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: 811-03290
Name of Fund: BlackRock Variable Series Funds, Inc.
BlackRock 60/40 Target Allocation ETF V.I. Fund
BlackRock Advantage Large Cap Core V.I. Fund
BlackRock Advantage Large Cap Value V.I. Fund
BlackRock Advantage U.S. Total Market V.I. Fund
BlackRock Basic Value V.I. Fund
BlackRock Capital Appreciation V.I. Fund
BlackRock Equity Dividend V.I. Fund
BlackRock Global Allocation V.I. Fund
BlackRock Government Money Market V.I. Fund
BlackRock International V.I. Fund
BlackRock International Index V.I. Fund
BlackRock Large Cap Focus Growth V.I. Fund
BlackRock Managed Volatility V.I. Fund
BlackRock S&P 500 Index V.I. Fund
BlackRock Small Cap Index V.I. Fund
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Variable Series
Funds, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2020
Date of reporting period: 06/30/2020
Item 1 – Report to Stockholders
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| | |
| Not FDIC Insured -May Lose Value -No Bank Guarantee | | |
The Markets in Review
Dear Shareholder,
The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the course of the pandemic, and an uptick in U.S. infection rates caused concern late in the reporting period.
Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.
The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were flat due to credit concerns.
The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruption has clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the impact of the outbreak subsides. Several risks remain, however, including a potential resurgence of the virus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.
Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for a cyclical upside as re-openings continue.
In this environment, our view is that 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, 2020 |
| | | 6-Month | | 12-Month |
U.S. large cap equities
(S&P 500® Index) | | (3.08)% | | 7.51% |
U.S. small cap equities
(Russell 2000® Index) | | (12.98) | | (6.63) |
International equities
(MSCI Europe, Australasia, Far East Index) | | (11.34) | | (5.13) |
Emerging market equities
(MSCI Emerging Markets Index) | | (9.78) | | (3.39) |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | 0.60 | | 1.63 |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | 12.68 | | 14.21 |
U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index) | | 6.14 | | 8.74 |
Tax-exempt municipal bonds
(S&P Municipal Bond Index) | | 1.97 | | 4.23 |
U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | | (3.83) | | 0.00 |
|
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
| | |
THIS PAGEISNOT PARTOF YOUR FUND REPORT | | |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock 60/40 Target Allocation ETF V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock 60/40 Target Allocation ETF V.I. Fund |
Investment Objective
BlackRock 60/40 Target Allocation ETF V.I. Fund’s (the “Fund”) investment objective is to seek to provide total return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its blended benchmark (60% MSCI All Country World Index / 40% Bloomberg Barclays U.S. Aggregate Bond Index).
What factors influenced performance?
The largest contributions to Fund performance came from a focus on ETFs that invest in stocks screened on the basis of environmental, social and governance criteria in both the U.S. and emerging markets. In addition, exposure to U.S. Treasuries benefited performance as yields declined dramatically in the flight to safety trade driven by coronavirus pandemic concerns. Lastly, exposure to global technology stocks, which continued to benefit from investors seeking growth stories against an uncertain post-pandemic backdrop, added to returns.
Exposure to international developed market equities and factor exposure to smaller-capitalization stocks were the largest detractors from returns.
Describe recent portfolio activity.
The portfolio made four notable shifts during the six-month period. At the start of the period, the Fund added to its equity exposure, favoring U.S. and emerging market stocks, while reducing longer-duration (and thus more sensitive to interest rate changes) U.S. Treasury exposures and adding some credit risk in the form of shorter-duration high yield bonds. In light of the coronavirus downturn, the investment adviser made an intra-quarter trade as the Fund had significantly drifted away from its equity overweight due to extraordinary price moves in bonds and stocks. The Fund purchased ETFs that invest in U.S. equities and added back some U.S. Treasury exposure for resilience. For the remainder of the period, the Fund added equity exposure broadly, targeting beaten down value stocks as well as cyclically oriented stocks. These moves were complemented with a modest increase in duration within the Fund’s fixed income investments in order to maintain balanced risk.
Describe portfolio positioning at period end.
At period end, the Fund was overweight in equity ETFs, driven by the relatively successful reopening of economies globally thus far, with a tilt toward more cyclical sectors that have lagged during the recovery in stock prices seen in the second quarter of 2020.
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
Affiliated Investment
Companies | |
Equity Funds | | | 55 | % |
Fixed Income Funds | | | 33 | |
Short-Term Securities | | | 12 | |
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock 60/40 Target Allocation ETF V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | 5 Years | | | Since Inception (b) | |
Class I (c)(d) | | | (0.74 | )% | | | | | | | 6.30 | % | | | 5.95 | % | | | 5.20 | % |
Class III (c)(d) | | | (0.91 | ) | | | | | | | 6.00 | | | | 5.69 | | | | 4.93 | |
60% MSCI All Country World Index / 40% Bloomberg Barclays U.S. Aggregate Bond Index(e) | | | (1.01 | ) | | | | | | | 5.29 | | | | 5.87 | | | | 5.44 | |
MSCI All Country World Index(f) | | | (6.25 | ) | | | | | | | 2.11 | | | | 6.46 | | | | 6.00 | |
Bloomberg Barclays U.S. Aggregate Bond Index(g) | | | 6.14 | | | | | | | | 8.74 | | | | 4.30 | | | | 3.98 | |
| (a) | For the portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | The Fund commenced operations on April 30, 2014. |
| (c) | Average annual and cumulative 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 Fund’s total returns prior to May 1, 2019 are the returns of the Fund when it followed different investment strategies under the name BlackRock iShares® Dynamic Allocation V.I. Fund. |
| (d) | The Fund invests in a portfolio of underlying exchange-traded funds that seek to track equity and fixed income indices. |
| (e) | A customized weighted index comprised of 60% MSCI All Country World Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index. |
| (f) | A free float-adjusted market capitalization index designed to measure the equity market performance of developed and emerging markets countries. The Index consists of 49 country indexes comprising of 23 developed and 26 emerging market country indexes. |
| (g) | 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. |
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 992.60 | | | $ | 0.94 | | | | | | | $ | 1,000.00 | | | $ | 1,023.92 | | | $ | 0.96 | | | | 0.19 | % |
Class III | | | 1,000.00 | | | | 990.90 | | | | 2.18 | | | | | | | | 1,000.00 | | | | 1,022.68 | | | | 2.21 | | | | 0.44 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock 60/40 Target Allocation ETF V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Affiliated Investment Companies — 112.9%* | |
| Equity Funds — 62.5% | | | | | | |
iShares Core MSCI EAFE ETF (a) | | | 133,436 | | | $ | 7,627,202 | |
iShares Core S&P 500 ETF | | | 125,706 | | | | 38,929,891 | |
iShares Core S&P Small-Cap ETF (a) | | | 114,514 | | | | 7,820,161 | |
iShares Edge MSCI Minimum Volatility USA ETF | | | 67,987 | | | | 4,122,052 | |
iShares Edge MSCI USA Value Factor ETF (a) | | | 108,097 | | | | 7,813,251 | |
iShares ESG MSCI EM ETF | | | 328,219 | | | | 10,516,137 | |
iShares ESG MSCI USA ETF | | | 325,538 | | | | 22,784,405 | |
iShares Global Tech ETF (a) | | | 28,227 | | | | 6,648,588 | |
iShares MSCI EAFE Growth ETF (a) | | | 198,056 | | | | 16,460,434 | |
iShares U.S. Medical Devices ETF | | | 23,649 | | | | 6,261,546 | |
| | | | | | | | |
| | | | | | | 128,983,667 | |
| | |
| Fixed Income Funds — 37.1% | | | | | | |
iShares 0-5 Year High Yield Corporate Bond ETF (a) | | | 189,866 | | | | 8,143,353 | |
iShares 20+ Year Treasury Bond ETF (a) | | | 12,941 | | | | 2,121,418 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Fixed Income Funds (continued) | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 202,509 | | | $ | 27,237,460 | |
iShares Short Maturity Bond ETF (a) | | | 86,617 | | | | 4,331,716 | |
iShares Short-Term Corporate Bond ETF | | | 220,275 | | | | 12,051,245 | |
iShares U.S. Treasury Bond ETF | | | 818,694 | | | | 22,915,245 | |
| | | | | | | | |
| | | | | | | 76,800,437 | |
|
Short-Term Securities — 13.3% (b) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 491,083 | | | | 491,083 | |
SL Liquidity Series, LLC, Money Market Series, 0.50% (c) | | | 26,861,386 | | | | 26,882,875 | |
| | | | | | | | |
| | | | | | | 27,373,958 | |
Total Affiliated Investment Companies — 112.9%
(Cost: $220,662,252) | | | | 233,158,062 | |
Liabilities in Excess of Other Assets — (12.9)% | | | | (26,666,910 | ) |
| | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 206,491,152 | |
| | | | | | | | |
| (a) | All or a portion of this security is on loan. |
| (b) | Annualized 7-day yield as of period end. |
| (c) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 2,018,799 | | | | — | | | | (1,527,716 | ) | | | 491,083 | | | $ | 491,083 | | | $ | 3,181 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 8,663,465 | | | | 18,197,921 | | | | — | | | | 26,861,386 | | | | 26,882,875 | | | | 61,493 | (c) | | | (7,260 | ) | | | (579 | ) |
iShares 0-5 Year High Yield Corporate Bond ETF | | | — | | | | 190,266 | | | | (400 | ) | | | 189,866 | | | | 8,143,353 | | | | 67,925 | | | | (693 | ) | | | (17,244 | ) |
iShares 20+ Year Treasury Bond ETF | | | 26,087 | | | | 5,967 | | | | (19,113 | ) | | | 12,941 | | | | 2,121,418 | | | | 25,469 | | | | 610,277 | | | | 210,096 | |
iShares Core MSCI EAFE ETF | | | 254,194 | | | | 207,123 | | | | (327,881 | ) | | | 133,436 | | | | 7,627,202 | | | | 91,939 | | | | (2,825,500 | ) | | | (843,870 | ) |
iShares Core MSCI Emerging Markets ETF(d) | | | 235,217 | | | | 51,256 | | | | (286,473 | ) | | | — | | | | — | | | | — | | | | (2,660,383 | ) | | | (560,978 | ) |
iShares Core S&P 500 ETF | | | 145,195 | | | | 29,323 | | | | (48,812 | ) | | | 125,706 | | | | 38,929,891 | | | | 403,785 | | | | 812,842 | | | | (2,146,137 | ) |
iShares Core S&P Small-Cap ETF | | | — | | | | 114,514 | | | | — | | | | 114,514 | | | | 7,820,161 | | | | 26,477 | | | | — | | | | (293,871 | ) |
iShares Core S&P Total U.S. Stock Market ETF(d) | | | 81,900 | | | | 99,360 | | | | (181,260 | ) | | | — | | | | — | | | | 47,858 | | | | (1,168,334 | ) | | | (488,180 | ) |
iShares Edge MSCI Minimum Volatility USA ETF | | | 90,213 | | | | 10,218 | | | | (32,444 | ) | | | 67,987 | | | | 4,122,052 | | | | 49,605 | | | | 45,852 | | | | (551,198 | ) |
iShares Edge MSCI USA Quality Factor ETF(d) | | | 107,176 | | | | 24,743 | | | | (131,919 | ) | | | — | | | | — | | | | 53,096 | | | | (597,826 | ) | | | (802,344 | ) |
iShares Edge MSCI USA Size Factor ETF(d) | | | 95,521 | | | | 9,573 | | | | (105,094 | ) | | | — | | | | — | | | | 29,015 | | | | (804,524 | ) | | | (316,060 | ) |
iShares Edge MSCI USA Value Factor ETF | | | — | | | | 108,267 | | | | (170 | ) | | | 108,097 | | | | 7,813,251 | | | | 42,246 | | | | (573 | ) | | | 239,009 | |
iShares ESG MSCI EM ETF | | | — | | | | 456,119 | | | | (127,900 | ) | | | 328,219 | | | | 10,516,137 | | | | 68,394 | | | | 424,095 | | | | 1,081,249 | |
iShares ESG MSCI USA ETF | | | — | | | | 335,938 | | | | (10,400 | ) | | | 325,538 | | | | 22,784,405 | | | | 81,664 | | | | 76,783 | | | | 2,434,253 | |
iShares Global Tech ETF | | | 37,882 | | | | 3,344 | | | | (12,999 | ) | | | 28,227 | | | | 6,648,588 | | | | 26,788 | | | | 587,620 | | | | 215,442 | |
iShares iBoxx $ High Yield Corporate Bond ETF(d) | | | — | | | | 176,774 | | | | (176,774 | ) | | | — | | | | — | | | | 96,788 | | | | (508,634 | ) | | | — | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | — | | | | 222,809 | | | | (20,300 | ) | | | 202,509 | | | | 27,237,460 | | | | 137,349 | | | | (25,530 | ) | | | 381,432 | |
iShares Intermediate-Term Corporate Bond ETF(d) | | | 216,330 | | | | 17,704 | | | | (234,034 | ) | | | — | | | | — | | | | 107,457 | | | | 807,752 | | | | (910,610 | ) |
iShares MBS ETF(d) | | | 113,556 | | | | 7,036 | | | | (120,592 | ) | | | — | | | | — | | | | 64,344 | | | | 301,792 | | | | (131,829 | ) |
iShares MSCI EAFE Growth ETF | | | — | | | | 203,756 | | | | (5,700 | ) | | | 198,056 | | | | 16,460,434 | | | | 98,847 | | | | 55,523 | | | | 1,800,965 | |
iShares Short Maturity Bond ETF | | | 112,795 | | | | 226,650 | | | | (252,828 | ) | | | 86,617 | | | | 4,331,716 | | | | 89,404 | | | | 21,132 | | | | 78,275 | |
iShares Short-Term Corporate Bond ETF | | | — | | | | 220,275 | | | | — | | | | 220,275 | | | | 12,051,245 | | | | — | | | | — | | | | 64,878 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock 60/40 Target Allocation ETF V.I. Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
iShares U.S. Medical Devices ETF | | | — | | | | 23,699 | | | | (50 | ) | | | 23,649 | | | $ | 6,261,546 | | | $ | 4,419 | | | $ | 495 | | | $ | 429,000 | |
iShares U.S. Treasury Bond ETF | | | 1,302,937 | | | | 271,330 | | | | (755,573 | ) | | | 818,694 | | | | 22,915,245 | | | | 173,039 | | | | 1,979,569 | | | | 434,197 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 233,158,062 | | | $ | 1,850,582 | | | $ | (2,875,525 | ) | | $ | 305,896 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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. |
| (d) | As of period end, the entity is no longer held by the Fund. |
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: | | | | | | | | | | | | | | | | |
Affiliated Investment Companies | | $ | 205,784,104 | | | $ | — | | | $ | — | | | $ | 205,784,104 | |
Short-Term Securities | | | 491,083 | | | | — | | | | — | | | | 491,083 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 206,275,187 | | | $ | — | | | $ | — | | | $ | 206,275,187 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 26,882,875 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 233,158,062 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | 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. |
See notes to financial statements.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock 60/40 Target
Allocation ETF V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — affiliated (including securities loaned at value of $26,539,199) (cost — $220,662,252) | | $ | 233,158,062 | |
Receivables: | | | | |
Securities lending income — affiliated | | | 11,445 | |
Capital shares sold | | | 566,614 | |
Dividends — affiliated | | | 72 | |
From affiliate(s) | | | 994 | |
Prepaid expenses | | | 1,049 | |
| | | | |
Total assets | | | 233,738,236 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 26,887,237 | |
Payables: | | | | |
Investments purchased | | | 196,725 | |
Accounting services fees | | | 18,059 | |
Capital shares redeemed | | | 910 | |
Distribution fees | | | 2,925 | |
Investment advisory fees | | | 8,683 | |
Other affiliates | | | 153 | |
Professional fees | | | 46,944 | |
Transfer agent fees | | | 77,241 | |
Other accrued expenses | | | 8,207 | |
| | | | |
Total liabilities | | | 27,247,084 | |
| | | | |
| |
NET ASSETS | | $ | 206,491,152 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 194,690,325 | |
Accumulated earnings | | | 11,800,827 | |
| | | | |
NET ASSETS | | $ | 206,491,152 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $190,938,794 and 15,805,673 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 12.08 | |
| | | | |
Class III — Based on net assets of $15,552,358 and 1,294,677 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 12.01 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
60/40 Target
Allocation ETF V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 1,789,089 | |
Securities lending income — affiliated — net | | | 61,493 | |
| | | | |
Total investment income | | | 1,850,582 | |
| | | | |
| |
EXPENSES | | | | |
Transfer agent — class specific | | | 193,252 | |
Investment advisory | | | 140,889 | |
Professional | | | 49,292 | |
Accounting services | | | 28,208 | |
Printing | | | 27,391 | |
Distribution — class specific | | | 15,521 | |
Custodian | | | 7,468 | |
Directors and Officer | | | 3,305 | |
Transfer agent | | | 2,488 | |
Miscellaneous | | | 9,549 | |
| | | | |
Total expenses | | | 477,363 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (90,172) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (193,252) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 193,939 | |
| | | | |
Net investment income | | | 1,656,643 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized loss from investments — affiliated | | | (2,875,525) | |
Net change in unrealized appreciation on investments — affiliated | | | 305,896 | |
| | | | |
Net realized and unrealized loss | | | (2,569,629) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (912,986) | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock 60/40 Target Allocation ETF V.I.
Fund | |
| | | Six Months Ended
06/30/20 (unaudited) | | | Year Ended
12/31/19 (a) | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 1,656,643 | | | $ | 3,550,638 | |
Net realized gain (loss) | | | (2,875,525) | | | | 1,974,820 | |
Net change in unrealized appreciation (depreciation) | | | 305,896 | | | | 22,047,074 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (912,986) | | | | 27,572,532 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (b) | | | | | | | | |
Class I | | | — | | | | (4,892,043) | |
Class III | | | — | | | | (297,098) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (5,189,141) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | 22,958,497 | | | | 40,379,241 | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase in net assets | | | 22,045,511 | | | | 62,762,632 | |
Beginning of period | | | 184,445,641 | | | | 121,683,009 | |
| | | | |
End of period | | $ | 206,491,152 | | | $ | 184,445,641 | |
| | | | |
| (a) | Consolidated Statements 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.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock 60/40 Target Allocation ETF V.I. Fund | |
| | | Class I | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | | | | | |
| | | 06/30/20 (unaudited) | | | | | | 2019 (a) | | | 2018 (a) | | | 2017 (a) | | | 2016 (a) | | | 2015 (a) | |
| |
| | | | | | | |
Net asset value, beginning of period | | $ | 12.17 | | | | | | | $ | 10.32 | | | $ | 11.13 | | | $ | 9.85 | | | $ | 9.45 | | | $ | 10.02 | |
| | | | |
Net investment income (b) | | | 0.10 | | | | | | | | 0.28 | | | | 0.33 | | | | 0.23 | | | | 0.22 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (0.19 | ) | | | | | | | 1.93 | | | | (0.88 | ) | | | 1.26 | | | | 0.39 | | | | (0.63 | ) |
| | | | |
Net increase (decrease) from investment operations | | | (0.09 | ) | | | | | | | 2.21 | | | | (0.55 | ) | | | 1.49 | | | | 0.61 | | | | (0.39 | ) |
| | | | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.24 | ) | | | (0.11 | ) | | | (0.20 | ) | | | (0.20 | ) | | | (0.17 | ) |
From net realized gain | | | — | | | | | | | | (0.12 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | |
From return of capital | | | — | | | | | | | | — | | | | — | | | | (0.01 | ) | | | (0.01 | ) | | | (0.01 | ) |
| | | | |
Total distributions | | | — | | | | | | | | (0.36 | ) | | | (0.26 | ) | | | (0.21 | ) | | | (0.21 | ) | | | (0.18 | ) |
| | | | |
| | | | | | | |
Net asset value, end of period | | $ | 12.08 | | | | | | | $ | 12.17 | | | $ | 10.32 | | | $ | 11.13 | | | $ | 9.85 | | | $ | 9.45 | |
| | | | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (0.74)%(e) | | | | | | | | 21.41% | | | | (4.94)% | | | | 15.11% | | | | 6.49% | | | | (3.88)% | |
| | | | |
| | | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.49%(g) | | | | | | | | 0.57% | | | | 1.00%(h) | | | | 0.94% | | | | 0.83% | | | | 1.90% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.19%(g) | | | | | | | | 0.19% | | | | 0.37%(h) | | | | 0.53% | | | | 0.53% | | | | 0.64% | |
| | | | |
Net investment income | | | 1.78%(g) | | | | | | | | 2.45% | | | | 3.01% | | | | 2.14% | | | | 2.27% | | | | 2.41% | |
| | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 190,939 | | | | | | | $ | 173,351 | | | $ | 117,502 | | | $ | 25,332 | | | $ | 18,135 | | | $ | 14,636 | |
| | | | |
Portfolio turnover rate | | | 84% | | | | | | | | 61% | | | | 54% | | | | 48% | | | | 54% | | | | 54% | |
| | | | |
| |
(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) 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 | | | | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.17 | % | | | | | | | 0.14% | | | | 0.20% | | | | 0.21% | | | | 0.23% | | | | 0.29% | |
| (h) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.76% and 0.37%, respectively. |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock 60/40 Target Allocation ETF V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | | | | 2019 (a) | | | 2018 (a) | | | 2017 (a) | | | 2016 (a) | | | 2015 (a) | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 12.12 | | | | | | | $ | 10.28 | | | $ | 11.09 | | | $ | 9.83 | | | $ | 9.44 | | | $ | 10.01 | |
| | | | |
Net investment income (b) | | | 0.09 | | | | | | | | 0.28 | | | | 0.20 | | | | 0.21 | | | | 0.21 | | | | 0.26 | |
Net realized and unrealized gain (loss) | | | (0.20 | ) | | | | | | | 1.90 | | | | (0.77 | ) | | | 1.24 | | | | 0.37 | | | | (0.66 | ) |
| | | | |
Net increase (decrease) from investment operations | | | (0.11 | ) | | | | | | | 2.18 | | | | (0.57 | ) | | | 1.45 | | | | 0.58 | | | | (0.40 | ) |
| | | | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.22 | ) | | | (0.09 | ) | | | (0.18 | ) | | | (0.18 | ) | | | (0.16 | ) |
From net realized gain | | | — | | | | | | | | (0.12 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | |
From return of capital | | | — | | | | | | | | — | | | | — | | | | (0.01 | ) | | | (0.01 | ) | | | (0.01 | ) |
| | | | |
Total distributions | | | — | | | | | | | | (0.34 | ) | | | (0.24 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.17 | ) |
| | | | |
| | | | | | | |
Net asset value, end of period | | $ | 12.01 | | | | | | | $ | 12.12 | | | $ | 10.28 | | | $ | 11.09 | | | $ | 9.83 | | | $ | 9.44 | |
| | | | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (0.91)%(e) | | | | | | | | 21.22% | | | | (5.18)% | | | | 14.72% | | | | 6.16% | | | | (3.99)% | |
| | | | |
| | | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.74%(g) | | | | | | | | 0.86% | | | | 1.38%(h) | | | | 1.25% | | | | 1.02% | | | | 1.87% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.44%(g) | | | | | | | | 0.44% | | | | 0.72%(h) | | | | 0.78% | | | | 0.78% | | | | 0.86% | |
| | | | |
Net investment income | | | 1.59%(g) | | | | | | | | 2.38% | | | | 1.83% | | | | 1.97% | | | | 2.08% | | | | 2.56% | |
| | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 15,552 | | | | | | | $ | 11,094 | | | $ | 4,181 | | | $ | 3,615 | | | $ | 1,804 | | | $ | 1,174 | |
| | | | |
Portfolio turnover rate | | | 84% | | | | | | | | 61% | | | | 54% | | | | 48% | | | | 54% | | | | 54% | |
| | | | |
| |
(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) 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 | | | | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.17 | % | | | | | | | 0.14% | | | | 0.20% | | | | 0.21% | | | | 0.23% | | | | 0.29% | |
| (h) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.14% and 0.72%, respectively. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock 60/40 Target Allocation ETF V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
Basis of Consolidation: The accompanying financial statements of the Fund include the account of iShares® Dynamic Allocation V.I. Fund (Cayman) (the “Subsidiary”). There were no assets in the Subsidiary during the period. Effective March 26, 2020, the Subsidiary, which was wholly-owned by the Fund, was dissolved. The Subsidiary enabled the Fund to hold commodity-related instruments and other derivatives and satisfy Regulated Investment Company (“RIC”) tax requirements.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
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 the Fund’s ordinary income and/or capital gains for that year.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| | • | | Exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at the official closing price each day, if available. For ETFs traded on more than one exchange, the official closing price on the exchange where the ETF is primarily traded is used. ETFs 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. |
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
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
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 investment companies in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 13 |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities
Loaned at Value | | | Cash Collateral
Received (a) | | | Net Amount | |
BofA Securities, Inc. | | $ | 11,301,410 | | | $ | (11,301,410 | ) | | $ | — | |
Credit Suisse Securities (USA) LLC | | | 2,435,384 | | | | (2,435,384 | ) | | | — | |
Deutsche Bank Securities, Inc | | | 191,212 | | | | (191,212 | ) | | | — | |
JP Morgan Securities LLC | | | 3,283,480 | | | | (3,283,480 | ) | | | — | |
SG Americas Securities LLC | | | 7,080,972 | | | | (7,080,972 | ) | | | — | |
TD Prime Services LLC | | | 2,246,741 | | | | (2,246,741 | ) | | | — | |
| | | | |
| | $ | 26,539,199 | | | $ | (26,539,199 | ) | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.150 | % |
$1 Billion — $3 Billion | | | 0.140 | |
$3 Billion — $5 Billion | | | 0.135 | |
Greater than $5 Billion | | | 0.130 | |
Prior to the dissolution of the Subsidiary, the Manager provided investment management and other services to the Subsidiary. The Manager did not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, the Fund paid the Manager based on the Fund’s net assets, which included the assets of the Subsidiary.
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at the annual rate of 0.25% based upon the average daily net assets attributable to Class III.
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the class specific distribution fees borne directly by Class III were $15,521.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 180,410 | |
Class III | | | 12,842 | |
| | | $ | 193,252 | |
Expense Limitations, Waivers, and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Company, as defined in the 1940 Act
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
(“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $477.
In addition, the Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed income mutual funds that have a contractual management fee through April 30, 2021, if any. For six months ended June 30, 2020, there were no fees waived by the manager. For the six months ended June 30, 2020, the Fund reimbursed the Manager $881 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 0.19 | % |
Class III | | | 0.44 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $89,695, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.
These amounts waived and/or reimbursed are included in transfer agent fees waived — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements are as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 180,410 | |
Class III | | | 12,842 | |
| | | | $ 193,252 | |
With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
(1) the Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and
(2) the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator.
This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective April 30, 2021, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses will be terminated.
As of June 30, 2020, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:
| | | | | | | | |
| | | Expiring | |
| | | | December 31, 2020 | | | | April 30, 2021 | |
Fund Level | | $ | 86,844 | | | $ | 355,992 | |
Class I | | | 90,389 | | | | 459,758 | |
Class III | | | 8,320 | | | | 26,467 | |
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
Pursuant to the current securities lending agreement, the Fund retains 82% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, 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 (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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $13,501 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
Other Transactions: The Fund 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, 2020, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | | |
Sales | | $ | 113,154 | |
Net Realized Loss | | | (965 | ) |
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $183,388,869 and $158,993,309, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for the period ended June 30, 2020 and each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 220,772,214 | |
| | | | |
Gross unrealized appreciation | | $ | 13,111,217 | |
Gross unrealized depreciation | | | (725,369 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 12,385,848 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | | | | Year Ended 12/31/19 | |
| | | Shares | | | Amount | | | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | | | |
Shares sold | | | 2,221,794 | | | $ | 26,277,669 | | | | | | 3,628,212 | | | $ | 43,040,580 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | | | 402,659 | | | | 4,892,043 | |
Shares redeemed | | | (659,702 | ) | | | (7,689,741 | ) | | | | | (1,176,910 | ) | | | (13,589,381 | ) |
| | | | |
Net increase | | | 1,562,092 | | | $ | 18,587,928 | | | | | | 2,853,961 | | | $ | 34,343,242 | |
| | | | |
Class III | | | | | | | | | | | | | | | | | | |
Shares sold | | | 598,324 | | | $ | 6,776,185 | | | | | | 624,873 | | | $ | 7,361,592 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | | | 24,569 | | | | 297,098 | |
Shares redeemed | | | (219,253 | ) | | | (2,405,616 | ) | | | | | (140,375 | ) | | | (1,622,691 | ) |
| | | | |
Net increase | | | 379,071 | | | $ | 4,370,569 | | | | | | 509,067 | | | $ | 6,035,999 | |
| | | | |
Total Net Increase | | | 1,941,163 | | | $ | 22,958,497 | | | | | | 3,363,028 | | | $ | 40,379,241 | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 17 |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| EAFE | | Europe, Australasia and Far East |
| ETF | | Exchange-Traded Fund |
| MSCI | | Morgan Stanley Capital International |
| S&P | | Standard & Poor’s |
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Advantage Large Cap Core V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund |
Investment Objective
BlackRock Advantage Large Cap Core V.I. Fund’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, 2020, the Fund outperformed its benchmark, the Russell 1000® Index.
What factors influenced performance?
The Fund performed well navigating a highly volatile market backdrop during the period. At the beginning of 2020, markets were touching new highs in a strong risk-on rally driven by excitement for a phase one trade deal between the United States and China. The anticipation of a resolution for the trade dispute, and the actual deal itself, helped boost stocks through mid-February. However, the spread of a coronavirus across the globe provided an inflection point leading to a steep market decline. Investor concerns mounted amid broadly enforced economic shutdowns, as expectations of growth and employment were impacted. The speed of the selloff drove one of the worst quarterly returns for U.S. equities on record as volatility hit levels last observed during the 2008 global financial crisis. As a result, policy makers stepped in with both fiscal and monetary packages aimed at supporting the market. In the second quarter of 2020, U.S. equities recovered sharply as policy stimulus exceeded expectations and the economy slowly reopened. Further supporting markets, economic data improved after hitting troughs earlier in the year. Both U.S. retail sales and jobs data surprised in May, creating hope for a strong recovery. This prompted a sharp reversal in market leadership, as positions that had benefited earlier from the coronavirus pandemic began to underperform more value-oriented cyclicals. The recovery ultimately moderated in June amid rising coronavirus cases, reestablishing leadership for growth over value.
The Fund’s sentiment measures were the largest positive contributors to relative performance for the period, as they were broadly able to successfully navigate the changing market environment. Specifically, an insight that looks to cross-asset class data, such as bond markets, outperformed given credit spread volatility. This insight drove gains through successful positioning in biotechnology companies. Sentiment-based insights that utilize alternative data contributed to excess return as well. This was most observable across insights that captured supply chain disruptions and look to non-obvious news. Less traditional quality measures also continued to display strong performance, such as insights related to environmental, social and governance (“ESG”) factors. Specifically, a recently added insight that identifies investor flows into ESG-related positions was one of the top performing signals after successfully capturing an evolving investor preference for sustainability.
Unsurprisingly, given the market volatility, insights with a preference for less-leveraged companies positively contributed to Fund returns. Capturing how companies are navigating fast-changing consumer habits and the emergence from lockdown using web traffic and mobile application usage was effective as well. The “real time” nature of these types of measures has been helpful in evaluating the quickly evolving marketplace, specifically with respect to banks. Macro insights that that look toward import and labor costs were also strong contributors in the period.
Select insights struggled during the period. Certain macro-thematic insights lagged against the rapidly evolving backdrop. A style-timing insight focused on momentum exposures detracted given the sharp rotations of that style during the period. Growth and technology stocks continued to dominate market leadership, presenting a headwind to value-based insights. In particular, more traditional value signals, such as comparing research trends across price, struggled given the backdrop.
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. Among these is a new signal that uses the investment adviser’s existing library of insights to create bespoke allocation models at the individual stock level. This builds upon earlier machine-learned capabilities developed by the investment adviser. Additionally, a new insight that looks to identify trade crowding from broker concentration was added. Finally, given the dynamism of the current environment, the Fund instituted enhanced signal constructs to best identify emerging trends, such as “work from home.”
Describe portfolio positioning at period end.
From a sector positioning perspective, the Fund remains largely sector neutral. The Fund has slight overweight positions to financials and utilities companies and maintains slight underweights in communication services and industrials stocks.
Relative to the Russell 1000® Index, the Fund was positioned essentially neutrally from a sector perspective. The Fund had slight overweight positions in the financials and utilities sectors and slight underweight positions in communication services and industrials.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Advantage Large Cap Core V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | | | | | | | 5 Years | | | | | | | | | 10 Years | |
Class I (b)(c) | | | (2.22) | % | | | | | | | 6.45 | % | | | | | | | | | | | 10.03 | % | | | | | | | | | | | 12.94 | % |
Class II (b)(c) | | | (2.25) | | | | | | | | 6.30 | | | | | | | | | | | | 9.85 | | | | | | | | | | | | 12.76 | |
Class III (b)(c) | | | (2.31) | | | | | | | | 6.18 | | | | | | | | | | | | 9.72 | | | | | | | | | | | | 12.64 | |
Russell 1000® Index (d) | | | (2.81) | | | | | | | | 7.48 | | | | | | | | | | | | 10.47 | | | | | | | | | | | | 13.97 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund seeks to invest 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. The Fund’s 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 V.I. Fund”. |
| (d) | An index that 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.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Information Technology | | | 27 | % |
Health Care | | | 14 | |
Consumer Discretionary | | | 12 | |
Financials | | | 10 | |
Communication Services | | | 9 | |
Industrials | | | 8 | |
Consumer Staples | | | 7 | |
Utilities | | | 3 | |
Real Estate | | | 3 | |
Materials | | | 2 | |
Energy | | | 2 | |
Short-Term Securities | | | 5 | |
Liabilities in Excess of Other Assets | | | (2 | ) |
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 such sector sub-classifications for reporting ease.
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio |
Class I | | $ | 1,000.00 | | | $ | 977.80 | | | $ | 2.80 | | | | | | | $ | 1,000.00 | | | $ | 1,022.03 | | | $ | 2.87 | | | 0.57% |
Class II | | | 1,000.00 | | | | 977.50 | | | | 3.64 | | | | | | | | 1,000.00 | | | | 1,021.18 | | | | 3.72 | | | 0.74 |
Class III | | | 1,000.00 | | | | 976.90 | | | | 4.18 | | | | | | | | 1,000.00 | | | | 1,020.64 | | | | 4.27 | | | 0.85 |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 96.9% | |
|
| Aerospace & Defense — 1.2% | |
Boeing Co. (The)(a) | | | 2,618 | | | $ | 479,879 | |
Curtiss-Wright Corp. | | | 549 | | | | 49,015 | |
HEICO Corp. | | | 6,102 | | | | 608,064 | |
Hexcel Corp.(a) | | | 3,525 | | | | 159,401 | |
L3Harris Technologies, Inc. | | | 5,054 | | | | 857,512 | |
Lockheed Martin Corp. | | | 4,439 | | | | 1,619,880 | |
Mercury Systems, Inc.(b) | | | 501 | | | | 39,409 | |
Northrop Grumman Corp. | | | 2,853 | | | | 877,126 | |
Spirit AeroSystems Holdings, Inc., Class A | | | 10,815 | | | | 258,911 | |
Teledyne Technologies, Inc.(b) | | | 1,731 | | | | 538,255 | |
| | | | | | | | |
| | | | | | | 5,487,452 | |
| | |
| Air Freight & Logistics — 0.3% | | | | | | |
FedEx Corp. | | | 1,228 | | | | 172,190 | |
United Parcel Service, Inc., Class B | | | 11,775 | | | | 1,309,145 | |
| | | | | | | | |
| | | | | | | 1,481,335 | |
| | |
| Airlines — 0.3% | | | | | | |
Alaska Air Group, Inc. | | | 6,270 | | | | 227,350 | |
Delta Air Lines, Inc. | | | 30,771 | | | | 863,126 | |
Southwest Airlines Co. | | | 7,220 | | | | 246,780 | |
| | | | | | | | |
| | | | | | | 1,337,256 | |
| | |
| Auto Components — 0.1% | | | | | | |
Aptiv plc | | | 1,052 | | | | 81,972 | |
Goodyear Tire & Rubber Co. (The) | | | 24,285 | | | | 217,229 | |
| | | | | | | | |
| | | | | | | 299,201 | |
| | |
| Automobiles — 0.5% | | | | | | |
Harley-Davidson, Inc. | | | 2,965 | | | | 70,478 | |
Tesla, Inc.(b) | | | 2,102 | | | | 2,269,761 | |
| | | | | | | | |
| | | | | | | 2,340,239 | |
| | |
| Banks — 3.4% | | | | | | |
Bank of America Corp. | | | 109,478 | | | | 2,600,102 | |
Bank OZK(a) | | | 3,716 | | | | 87,214 | |
Citigroup, Inc. | | | 7,869 | | | | 402,106 | |
Citizens Financial Group, Inc. | | | 21,888 | | | | 552,453 | |
Comerica, Inc. | | | 1,421 | | | | 54,140 | |
Credicorp Ltd. | | | 307 | | | | 41,037 | |
Cullen/Frost Bankers, Inc.(a) | | | 12,973 | | | | 969,213 | |
First Horizon National Corp. | | | 8,910 | | | | 88,744 | |
JPMorgan Chase & Co. | | | 47,118 | | | | 4,431,919 | |
PNC Financial Services Group, Inc. (The) | | | 5,585 | | | | 587,598 | |
US Bancorp | | | 11,872 | | | | 437,127 | |
Wells Fargo & Co. | | | 172,937 | | | | 4,427,187 | |
Zions Bancorp NA | | | 2,962 | | | | 100,708 | |
| | | | | | | | |
| | | | | | | 14,779,548 | |
| | |
| Beverages — 1.7% | | | | | | |
Brown-Forman Corp., Class B | | | 1,661 | | | | 105,739 | |
Coca-Cola Co. (The) | | | 38,539 | | | | 1,721,922 | |
Coca-Cola European Partners plc | | | 12,618 | | | | 476,456 | |
Molson Coors Beverage Co., Class B(a) | | | 5,694 | | | | 195,646 | |
PepsiCo, Inc. | | | 38,611 | | | | 5,106,691 | |
| | | | | | | | |
| | | | | | | 7,606,454 | |
| | |
| Biotechnology — 4.0% | | | | | | |
AbbVie, Inc. | | | 57,770 | | | | 5,671,858 | |
Alexion Pharmaceuticals, Inc.(b) | | | 1,288 | | | | 144,565 | |
Alkermes plc(b) | | | 4,903 | | | | 95,143 | |
Amgen, Inc. | | | 14,115 | | | | 3,329,164 | |
Biogen, Inc.(b) | | | 2,811 | | | | 752,083 | |
Bluebird Bio, Inc.(b) | | | 2,377 | | | | 145,092 | |
Gilead Sciences, Inc. | | | 54,037 | | | | 4,157,607 | |
Moderna, Inc.(b) | | | 3,980 | | | | 255,556 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Regeneron Pharmaceuticals, Inc.(b) | | | 1,961 | | | $ | 1,222,978 | |
Sage Therapeutics, Inc.(b) | | | 2,471 | | | | 102,744 | |
United Therapeutics Corp.(b) | | | 663 | | | | 80,223 | |
Vertex Pharmaceuticals, Inc.(b) | | | 6,039 | | | | 1,753,182 | |
| | | | | | | | |
| | | | | | | 17,710,195 | |
| | |
| Building Products — 0.7% | | | | | | |
Advanced Drainage Systems, Inc. | | | 2,407 | | | | 118,906 | |
Allegion plc | | | 25,087 | | | | 2,564,393 | |
Resideo Technologies, Inc.(b) | | | 19,140 | | | | 224,321 | |
Trex Co., Inc.(b) | | | 412 | | | | 53,589 | |
| | | | | | | | |
| | | | | | | 2,961,209 | |
| | |
| Capital Markets — 2.5% | | | | | | |
Ameriprise Financial, Inc. | | | 4,022 | | | | 603,461 | |
Bank of New York Mellon Corp. (The) | | | 12,588 | | | | 486,526 | |
Cboe Global Markets, Inc. | | | 1,377 | | | | 128,447 | |
Charles Schwab Corp. (The) | | | 37,127 | | | | 1,252,665 | |
CME Group, Inc. | | | 7,109 | | | | 1,155,497 | |
FactSet Research Systems, Inc.(a) | | | 3,831 | | | | 1,258,369 | |
Franklin Resources, Inc.(a) | | | 2,191 | | | | 45,945 | |
Intercontinental Exchange, Inc. | | | 15,372 | | | | 1,408,075 | |
Moody’s Corp. | | | 143 | | | | 39,286 | |
Northern Trust Corp. | | | 1,544 | | | | 122,501 | |
S&P Global, Inc. | | | 11,483 | | | | 3,783,419 | |
State Street Corp. | | | 2,852 | | | | 181,245 | |
T. Rowe Price Group, Inc. | | | 2,421 | | | | 298,993 | |
TD Ameritrade Holding Corp. | | | 4,055 | | | | 147,521 | |
| | | | | | | | |
| | | | | | | 10,911,950 | |
| | |
| Chemicals — 1.8% | | | | | | |
Air Products & Chemicals, Inc. | | | 5,203 | | | | 1,256,316 | |
DuPont de Nemours, Inc. | | | 1,857 | | | | 98,662 | |
Ecolab, Inc.(a) | | | 18,506 | | | | 3,681,769 | |
FMC Corp. | | | 978 | | | | 97,428 | |
Linde plc | | | 2,922 | | | | 619,785 | |
LyondellBasell Industries NV, Class A | | | 3,548 | | | | 233,175 | |
Mosaic Co. (The) | | | 30,854 | | | | 385,984 | |
PPG Industries, Inc. | | | 4,786 | | | | 507,603 | |
Sherwin-Williams Co. (The) | | | 1,643 | | | | 949,408 | |
| | | | | | | | |
| | | | | | | 7,830,130 | |
| | |
| Commercial Services & Supplies — 0.2% | | | | | | |
Cintas Corp. | | | 3,212 | | | | 855,548 | |
Copart, Inc.(b) | | | 2,530 | | | | 210,673 | |
| | | | | | | | |
| | | | | | | 1,066,221 | |
| | |
| Communications Equipment — 1.7% | | | | | | |
Ciena Corp.(b) | | | 6,997 | | | | 378,958 | |
Cisco Systems, Inc. | | | 152,473 | | | | 7,111,341 | |
Motorola Solutions, Inc. | | | 56 | | | | 7,847 | |
| | | | | | | | |
| | | | | | | 7,498,146 | |
| | |
| Construction & Engineering — 0.4% | | | | | | |
EMCOR Group, Inc. | | | 16,707 | | | | 1,105,001 | |
MasTec, Inc.(b) | | | 15,406 | | | | 691,267 | |
Quanta Services, Inc. | | | 2,989 | | | | 117,259 | |
| | | | | | | | |
| | | | | | | 1,913,527 | |
| | |
| Consumer Finance — 0.6% | | | | | | |
Ally Financial, Inc. | | | 47,522 | | | | 942,361 | |
American Express Co. | | | 13,934 | | | | 1,326,517 | |
Discover Financial Services | | | 1,273 | | | | 63,765 | |
LendingTree, Inc.(a)(b) | | | 818 | | | | 236,835 | |
| | | | | | | | |
| | | | | | | 2,569,478 | |
| | |
| Containers & Packaging — 0.1% | | | | | | |
WestRock Co. | | | 16,600 | | | | 469,116 | |
| | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Diversified Consumer Services — 0.3% | |
Bright Horizons Family Solutions, Inc.(b) | | | 1,835 | | | $ | 215,062 | |
Graham Holdings Co., Class B | | | 268 | | | | 91,836 | |
Grand Canyon Education, Inc.(b) | | | 1,259 | | | | 113,977 | |
H&R Block, Inc. | | | 57,397 | | | | 819,629 | |
| | | | | | | | |
| | | | | | | 1,240,504 | |
| | |
| Diversified Financial Services — 1.5% | | | | | | |
Berkshire Hathaway, Inc., Class B(b) | | | 35,891 | | | | 6,406,902 | |
| | | | | | | | |
| | |
| Diversified Telecommunication Services — 1.0% | | | | | | |
AT&T, Inc. | | | 72,825 | | | | 2,201,500 | |
CenturyLink, Inc.(a) | | | 26,245 | | | | 263,237 | |
Verizon Communications, Inc. | | | 39,046 | | | | 2,152,606 | |
| | | | | | | | |
| | | | | | | 4,617,343 | |
| | |
| Electric Utilities — 1.7% | | | | | | |
Alliant Energy Corp. | | | 8,773 | | | | 419,701 | |
Eversource Energy | | | 21,156 | | | | 1,761,660 | |
IDACORP, Inc. | | | 5,817 | | | | 508,231 | |
NextEra Energy, Inc. | | | 11,293 | | | | 2,712,240 | |
Pinnacle West Capital Corp. | | | 5,828 | | | | 427,134 | |
Xcel Energy, Inc. | | | 23,098 | | | | 1,443,625 | |
| | | | | | | | |
| | | | | | | 7,272,591 | |
| | |
| Electrical Equipment — 0.7% | | | | | | |
AMETEK, Inc. | | | 16,769 | | | | 1,498,645 | |
Generac Holdings, Inc.(b) | | | 2,904 | | | | 354,085 | |
Hubbell, Inc. | | | 11,030 | | | | 1,382,721 | |
| | | | | | | | |
| | | | | | | 3,235,451 | |
|
| Electronic Equipment, Instruments & Components — 0.5% | |
Avnet, Inc. | | | 31,627 | | | | 881,919 | |
National Instruments Corp. | | | 37,018 | | | | 1,432,967 | |
| | | | | | | | |
| | | | | | | 2,314,886 | |
| | |
| Energy Equipment & Services — 0.3% | | | | | | |
Baker Hughes Co. | | | 11,239 | | | | 172,968 | |
ChampionX Corp.(b) | | | 30,428 | | | | 296,977 | |
Schlumberger Ltd. | | | 20,778 | | | | 382,108 | |
TechnipFMC plc | | | 35,717 | | | | 244,304 | |
| | | | | | | | |
| | | | | | | 1,096,357 | |
| | |
| Entertainment — 1.0% | | | | | | |
Activision Blizzard, Inc. | | | 5,225 | | | | 396,578 | |
Electronic Arts, Inc.(b) | | | 3,392 | | | | 447,914 | |
Netflix, Inc.(b) | | | 6,379 | | | | 2,902,700 | |
Walt Disney Co. (The) | | | 4,375 | | | | 487,856 | |
Zynga, Inc., Class A(b) | | | 31,571 | | | | 301,187 | |
| | | | | | | | |
| | | | | | | 4,536,235 | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.6% | |
Alexandria Real Estate Equities, Inc. | | | 3,426 | | | | 555,869 | |
American Tower Corp. | | | 7,657 | | | | 1,979,641 | |
AvalonBay Communities, Inc. | | | 4,310 | | | | 666,498 | |
Boston Properties, Inc. | | | 22,933 | | | | 2,072,685 | |
Camden Property Trust | | | 1,465 | | | | 133,637 | |
Douglas Emmett, Inc. | | | 1,659 | | | | 50,865 | |
Equity Residential | | | 23,926 | | | | 1,407,327 | |
Host Hotels & Resorts, Inc. | | | 51,490 | | | | 555,577 | |
Macerich Co. (The)(a) | | | 49,178 | | | | 441,127 | |
National Retail Properties, Inc. | | | 4,182 | | | | 148,377 | |
Park Hotels & Resorts, Inc. | | | 66,853 | | | | 661,176 | |
Prologis, Inc. | | | 19,371 | | | | 1,807,895 | |
QTS Realty Trust, Inc., Class A | | | 2,707 | | | | 173,492 | |
Realty Income Corp. | | | 6,432 | | | | 382,704 | |
RLJ Lodging Trust | | | 8,101 | | | | 76,473 | |
SBA Communications Corp. | | | 154 | | | | 45,880 | |
Service Properties Trust | | | 6,976 | | | | 49,460 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Simon Property Group, Inc. | | | 6,052 | | | $ | 413,836 | |
| | | | | | | | |
| | | | | | | 11,622,519 | |
| | |
| Food & Staples Retailing — 1.5% | | | | | | |
Costco Wholesale Corp. | | | 21,043 | | | | 6,380,448 | |
Performance Food Group Co.(b) | | | 2,393 | | | | 69,732 | |
| | | | | | | | |
| | | | | | | 6,450,180 | |
| | |
| Food Products — 1.5% | | | | | | |
Campbell Soup Co.(a) | | | 2,900 | | | | 143,927 | |
General Mills, Inc. | | | 56,903 | | | | 3,508,070 | |
Hershey Co. (The) | | | 23,110 | | | | 2,995,518 | |
Lamb Weston Holdings, Inc. | | | 2,354 | | | | 150,491 | |
| | | | | | | | |
| | | | | | | 6,798,006 | |
| | |
| Gas Utilities — 0.2% | | | | | | |
Southwest Gas Holdings, Inc. | | | 5,944 | | | | 410,433 | |
UGI Corp. | | | 9,136 | | | | 290,525 | |
| | | | | | | | |
| | | | | | | 700,958 | |
| | |
| Health Care Equipment & Supplies — 2.7% | | | | | | |
Abbott Laboratories | | | 26,452 | | | | 2,418,506 | |
Danaher Corp. | | | 4,574 | | | | 808,820 | |
Dentsply Sirona, Inc. | | | 5,053 | | | | 222,635 | |
Edwards Lifesciences Corp.(b) | | | 41,065 | | | | 2,838,002 | |
Hologic, Inc.(b) | | | 19,401 | | | | 1,105,857 | |
IDEXX Laboratories, Inc.(b) | | | 4,059 | | | | 1,340,120 | |
Medtronic plc | | | 12,631 | | | | 1,158,263 | |
SmileDirectClub, Inc.(a)(b) | | | 20,530 | | | | 162,187 | |
Stryker Corp. | | | 9,432 | | | | 1,699,552 | |
West Pharmaceutical Services, Inc. | | | 486 | | | | 110,405 | |
| | | | | | | | |
| | | | | | | 11,864,347 | |
| | |
| Health Care Providers & Services — 3.0% | | | | | | |
AMN Healthcare Services, Inc.(b) | | | 2,968 | | | | 134,272 | |
Anthem, Inc. | | | 8,196 | | | | 2,155,384 | |
Cardinal Health, Inc. | | | 6,465 | | | | 337,408 | |
Cigna Corp. | | | 3,150 | | | | 591,098 | |
CVS Health Corp. | | | 36,575 | | | | 2,376,278 | |
HCA Healthcare, Inc. | | | 4,338 | | | | 421,046 | |
McKesson Corp. | | | 10,455 | | | | 1,604,006 | |
Quest Diagnostics, Inc. | | | 2,429 | | | | 276,809 | |
UnitedHealth Group, Inc. | | | 17,964 | | | | 5,298,482 | |
| | | | | | | | |
| | | | | | | 13,194,783 | |
| | |
| Health Care Technology — 0.5%(b) | | | | | | |
Teladoc Health, Inc. | | | 3,196 | | | | 609,925 | |
Veeva Systems, Inc., Class A | | | 5,899 | | | | 1,382,843 | |
| | | | | | | | |
| | | | | | | 1,992,768 | |
| | |
| Hotels, Restaurants & Leisure — 1.5% | | | | | | |
Boyd Gaming Corp.(a) | | | 13,188 | | | | 275,629 | |
Chipotle Mexican Grill, Inc.(a)(b) | | | 379 | | | | 398,845 | |
Darden Restaurants, Inc. | | | 11,926 | | | | 903,633 | |
Domino’s Pizza, Inc. | | | 1,896 | | | | 700,458 | |
Extended Stay America, Inc. | | | 36,615 | | | | 409,722 | |
International Game Technology plc | | | 7,236 | | | | 64,400 | |
Las Vegas Sands Corp. | | | 810 | | | | 36,887 | |
McDonald’s Corp. | | | 7,672 | | | | 1,415,254 | |
MGM Resorts International | | | 5,345 | | | | 89,796 | |
Penn National Gaming, Inc.(b) | | | 11,746 | | | | 358,723 | |
Texas Roadhouse, Inc.(a) | | | 9,266 | | | | 487,114 | |
Vail Resorts, Inc. | | | 1,119 | | | | 203,826 | |
Wyndham Destinations, Inc. | | | 1,584 | | | | 44,637 | |
Wyndham Hotels & Resorts, Inc. | | | 1,854 | | | | 79,018 | |
Yum! Brands, Inc. | | | 12,730 | | | | 1,106,364 | |
| | | | | | | | |
| | | | | | | 6,574,306 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Household Durables — 0.0% | | | | | | |
DR Horton, Inc. | | | 2,012 | | | $ | 111,565 | |
| | | | | | | | |
| | |
| Household Products — 1.8% | | | | | | |
Church & Dwight Co., Inc. | | | 15,235 | | | | 1,177,666 | |
Clorox Co. (The) | | | 9,409 | | | | 2,064,052 | |
Colgate-Palmolive Co. | | | 962 | | | | 70,476 | |
Procter & Gamble Co. (The) | | | 39,038 | | | | 4,667,774 | |
| | | | | | | | |
| | | | | | | 7,979,968 | |
| | |
| Industrial Conglomerates — 0.9% | | | | | | |
3M Co. | | | 3,192 | | | | 497,920 | |
Carlisle Cos., Inc. | | | 4,220 | | | | 505,007 | |
General Electric Co. | | | 6,462 | | | | 44,136 | |
Honeywell International, Inc. | | | 16,376 | | | | 2,367,806 | |
Roper Technologies, Inc | | | 1,931 | | | | 749,730 | |
| | | | | | | | |
| | | | | | | 4,164,599 | |
| | |
| Insurance — 1.9% | | | | | | |
Aflac, Inc. | | | 5,036 | | | | 181,447 | |
Arthur J Gallagher & Co. | | | 1,686 | | | | 164,368 | |
Brown & Brown, Inc. | | | 2,419 | | | | 98,598 | |
Cincinnati Financial Corp. | | | 41,658 | | | | 2,667,362 | |
First American Financial Corp. | | | 8,902 | | | | 427,474 | |
Globe Life, Inc. | | | 11,370 | | | | 843,995 | |
Hartford Financial Services Group, Inc. (The) | | | 1,065 | | | | 41,056 | |
Marsh & McLennan Cos., Inc. | | | 8,905 | | | | 956,130 | |
Progressive Corp. (The) | | | 3,143 | | | | 251,786 | |
Prudential Financial, Inc. | | | 35,662 | | | | 2,171,816 | |
Reinsurance Group of America, Inc. | | | 794 | | | | 62,281 | |
Unum Group | | | 16,057 | | | | 266,386 | |
Willis Towers Watson plc | | | 1,933 | | | | 380,704 | |
| | | | | | | | |
| | | | | | | 8,513,403 | |
| | |
| Interactive Media & Services — 5.0%(b) | | | | | | |
Alphabet, Inc., Class A | | | 5,952 | | | | 8,440,233 | |
Alphabet, Inc., Class C | | | 4,395 | | | | 6,212,816 | |
Facebook, Inc., Class A | | | 27,605 | | | | 6,268,267 | |
Twitter, Inc. | | | 29,592 | | | | 881,546 | |
Yelp, Inc. | | | 8,114 | | | | 187,677 | |
| | | | | | | | |
| | | | | | | 21,990,539 | |
| | |
| Internet & Direct Marketing Retail — 5.3% | | | | | | |
Amazon.com, Inc.(b) | | | 8,010 | | | | 22,098,148 | |
eBay, Inc. | | | 11,043 | | | | 579,205 | |
Etsy, Inc.(b) | | | 2,117 | | | | 224,889 | |
Grubhub, Inc.(b) | | | 1,371 | | | | 96,381 | |
Wayfair, Inc., Class A(b) | | | 1,804 | | | | 356,489 | |
| | | | | | | | |
| | | | | | | 23,355,112 | |
| | |
| IT Services — 5.2% | | | | | | |
Accenture plc, Class A | | | 2,611 | | | | 560,634 | |
Amdocs Ltd. | | | 4,845 | | | | 294,964 | |
Automatic Data Processing, Inc. | | | 27,226 | | | | 4,053,679 | |
DXC Technology Co. | | | 2,388 | | | | 39,402 | |
Fiserv, Inc.(b) | | | 12,575 | | | | 1,227,572 | |
Jack Henry & Associates, Inc. | | | 1,939 | | | | 356,834 | |
Mastercard, Inc., Class A | | | 14,120 | | | | 4,175,284 | |
Paychex, Inc. | | | 32,516 | | | | 2,463,087 | |
PayPal Holdings, Inc.(b) | | | 34,297 | | | | 5,975,566 | |
Visa, Inc., Class A | | | 20,396 | | | | 3,939,895 | |
| | | | | | | | |
| | | | | | | 23,086,917 | |
| | |
| Leisure Products — 0.0% | | | | | | |
Peloton Interactive, Inc., Class A(b) | | | 661 | | | | 38,186 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Life Sciences Tools & Services — 0.1% | | | | | | |
Mettler-Toledo International, Inc.(b) | | | 115 | | | $ | 92,638 | |
Thermo Fisher Scientific, Inc. | | | 564 | | | | 204,360 | |
| | | | | | | | |
| | | | | | | 296,998 | |
| | |
| Machinery — 2.1% | | | | | | |
AGCO Corp. | | | 5,978 | | | | 331,540 | |
Deere & Co.(a) | | | 7,156 | | | | 1,124,565 | |
Fortive Corp. | | | 1,186 | | | | 80,245 | |
Illinois Tool Works, Inc. | | | 16,127 | | | | 2,819,806 | |
Middleby Corp. (The)(b) | | | 2,881 | | | | 227,426 | |
Oshkosh Corp. | | | 19,741 | | | | 1,413,851 | |
PACCAR, Inc. | | | 17,019 | | | | 1,273,872 | |
Snap-on, Inc.(a) | | | 5,793 | | | | 802,389 | |
Toro Co. (The) | | | 1,274 | | | | 84,517 | |
Xylem, Inc. | | | 14,320 | | | | 930,227 | |
| | | | | | | | |
| | | | | | | 9,088,438 | |
| | |
| Media — 1.6% | | | | | | |
Altice USA, Inc., Class A(b) | | | 8,301 | | | | 187,104 | |
AMC Networks, Inc., Class A(a)(b) | | | 14,462 | | | | 338,266 | |
Cable One, Inc. | | | 62 | | | | 110,041 | |
Comcast Corp., Class A(a) | | | 37,518 | | | | 1,462,452 | |
Discovery, Inc., Class A(b) | | | 29,212 | | | | 616,373 | |
Interpublic Group of Cos., Inc. (The) | | | 106,126 | | | | 1,821,122 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(b) | | | 1,284 | | | | 44,324 | |
Sirius XM Holdings, Inc. | | | 391,779 | | | | 2,299,743 | |
TEGNA, Inc. | | | 3,548 | | | | 39,525 | |
ViacomCBS, Inc.(a) | | | 2,695 | | | | 62,847 | |
| | | | | | | | |
| | | | | | | 6,981,797 | |
| | |
| Metals & Mining — 0.3% | | | | | | |
Alcoa Corp.(b) | | | 40,588 | | | | 456,209 | |
Reliance Steel & Aluminum Co. | | | 5,845 | | | | 554,866 | |
Steel Dynamics, Inc. | | | 4,278 | | | | 111,613 | |
| | | | | | | | |
| | | | | | | 1,122,688 | |
| | |
| Multiline Retail — 0.3% | | | | | | |
Macy’s, Inc.(a) | | | 28,419 | | | | 195,523 | |
Target Corp. | | | 9,644 | | | | 1,156,605 | |
| | | | | | | | |
| | | | | | | 1,352,128 | |
| | |
| Multi-Utilities — 0.7% | | | | | | |
Ameren Corp. | | | 17,263 | | | | 1,214,624 | |
CMS Energy Corp. | | | 14,297 | | | | 835,231 | |
Consolidated Edison, Inc. | | | 17,331 | | | | 1,246,619 | |
| | | | | | | | |
| | | | | | | 3,296,474 | |
| | |
| Oil, Gas & Consumable Fuels — 1.7% | | | | | | |
Chevron Corp. | | | 15,753 | | | | 1,405,640 | |
Concho Resources, Inc. | | | 2,869 | | | | 147,754 | |
ConocoPhillips | | | 20,049 | | | | 842,459 | |
Continental Resources, Inc. | | | 19,900 | | | | 348,847 | |
EOG Resources, Inc. | | | 28,338 | | | | 1,435,603 | |
Exxon Mobil Corp. | | | 8,886 | | | | 397,382 | |
Marathon Oil Corp.(a) | | | 109,906 | | | | 672,625 | |
ONEOK, Inc. | | | 2,528 | | | | 83,980 | |
PBF Energy, Inc., Class A(a) | | | 10,605 | | | | 108,595 | |
Phillips 66 | | | 1,902 | | | | 136,754 | |
Suncor Energy, Inc. | | | 31,570 | | | | 532,270 | |
Valero Energy Corp. | | | 11,734 | | | | 690,194 | |
Williams Cos., Inc. (The) | | | 27,566 | | | | 524,305 | |
| | | | | | | | |
| | | | | | | 7,326,408 | |
| | |
| Paper & Forest Products — 0.1% | | | | | | |
Domtar Corp. | | | 25,867 | | | | 546,052 | |
| | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Pharmaceuticals — 3.8% | | | | | | |
Bristol-Myers Squibb Co. | | | 31,904 | | | $ | 1,875,955 | |
Elanco Animal Health, Inc.(b) | | | 12,024 | | | | 257,915 | |
Eli Lilly & Co. | | | 9,115 | | | | 1,496,501 | |
Johnson & Johnson | | | 21,698 | | | | 3,051,390 | |
Merck & Co., Inc. | | | 70,009 | | | | 5,413,796 | |
Mylan NV(b) | | | 13,746 | | | | 221,035 | |
Pfizer, Inc. | | | 62,051 | | | | 2,029,068 | |
Zoetis, Inc. | | | 18,687 | | | | 2,560,866 | |
| | | | | | | | |
| | | | | | | 16,906,526 | |
| | |
| Professional Services — 0.4% | | | | | | |
IHS Markit Ltd. | | | 7,493 | | | | 565,722 | |
Robert Half International, Inc. | | | 19,123 | | | | 1,010,268 | |
| | | | | | | | |
| | | | | | | 1,575,990 | |
| | |
| Road & Rail — 0.9% | | | | | | |
AMERCO | | | 1,518 | | | | 458,725 | |
CSX Corp. | | | 11,114 | | | | 775,090 | |
Landstar System, Inc. | | | 4,472 | | | | 502,250 | |
Norfolk Southern Corp. | | | 5,394 | | | | 947,025 | |
Union Pacific Corp. | | | 6,814 | | | | 1,152,043 | |
| | | | | | | | |
| | | | | | | 3,835,133 | |
|
| Semiconductors & Semiconductor Equipment — 4.6% | |
Analog Devices, Inc. | | | 387 | | | | 47,462 | |
Applied Materials, Inc. | | | 35,064 | | | | 2,119,619 | |
Cirrus Logic, Inc.(b) | | | 16,992 | | | | 1,049,766 | |
Intel Corp. | | | 89,545 | | | | 5,357,477 | |
Lam Research Corp. | | | 5,560 | | | | 1,798,437 | |
NVIDIA Corp. | | | 18,147 | | | | 6,894,227 | |
Silicon Laboratories, Inc.(b) | | | 476 | | | | 47,728 | |
Skyworks Solutions, Inc. | | | 8,766 | | | | 1,120,821 | |
Texas Instruments, Inc. | | | 11,409 | | | | 1,448,601 | |
Xilinx, Inc. | | | 2,791 | | | | 274,606 | |
| | | | | | | | |
| | | | | | | 20,158,744 | |
| | |
| Software — 10.4% | | | | | | |
Adobe, Inc.(b) | | | 12,087 | | | | 5,261,592 | |
Atlassian Corp. plc, Class A(b) | | | 4,337 | | | | 781,831 | |
Autodesk, Inc.(b) | | | 318 | | | | 76,062 | |
Citrix Systems, Inc. | | | 4,928 | | | | 728,901 | |
Cloudflare, Inc., Class A(b) | | | 13,395 | | | | 481,550 | |
DocuSign, Inc.(b) | | | 4,920 | | | | 847,273 | |
HubSpot, Inc.(b) | | | 1,294 | | | | 290,309 | |
Intuit, Inc. | | | 6,574 | | | | 1,947,153 | |
Microsoft Corp. | | | 134,439 | | | | 27,359,681 | |
New Relic, Inc.(b) | | | 3,770 | | | | 259,753 | |
RingCentral, Inc., Class A(b) | | | 3,734 | | | | 1,064,227 | |
salesforce.com, Inc.(b) | | | 13,106 | | | | 2,455,147 | |
ServiceNow, Inc.(b) | | | 1,176 | | | | 476,351 | |
Slack Technologies, Inc., Class A(b) | | | 18,477 | | | | 574,450 | |
Smartsheet, Inc., Class A(a)(b) | | | 9,893 | | | | 503,752 | |
VMware, Inc., Class A(b) | | | 1,736 | | | | 268,837 | |
Workday, Inc., Class A(b) | | | 3,518 | | | | 659,132 | |
Zoom Video Communications, Inc., Class A(b) | | | 4,112 | | | | 1,042,556 | |
Zscaler, Inc.(b) | | | 5,074 | | | | 555,603 | |
| | | | | | | | |
| | | | | | | 45,634,160 | |
| | |
| Specialty Retail — 2.8% | | | | | | |
Best Buy Co., Inc. | | | 8,046 | | | | 702,174 | |
Home Depot, Inc. (The) | | | 28,644 | | | | 7,175,609 | |
Lowe’s Cos., Inc. | | | 27,520 | | | | 3,718,502 | |
TJX Cos., Inc. (The) | | | 12,371 | | | | 625,478 | |
| | | | | | | | |
| | | | | | | 12,221,763 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Technology Hardware, Storage & Peripherals — 4.7% | |
Apple, Inc. | | | 55,138 | | | $ | 20,114,342 | |
HP, Inc. | | | 21,927 | | | | 382,188 | |
NetApp, Inc. | | | 6,735 | | | | 298,832 | |
| | | | | | | | |
| | | | | | | 20,795,362 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.9% | | | | | | |
Lululemon Athletica, Inc.(a)(b) | | | 1,678 | | | | 523,553 | |
NIKE, Inc., Class B | | | 30,119 | | | | 2,953,168 | |
VF Corp. | | | 6,134 | | | | 373,806 | |
| | | | | | | | |
| | | | | | | 3,850,527 | |
| | |
| Thrifts & Mortgage Finance — 0.0% | | | | | | |
Essent Group Ltd. | | | 1,458 | | | | 52,882 | |
MGIC Investment Corp. | | | 16,110 | | | | 131,941 | |
| | | | | | | | |
| | | | | | | 184,823 | |
| | |
| Tobacco — 0.0% | | | | | | |
Altria Group, Inc. | | | 3,103 | | | | 121,793 | |
| | | | | | | | |
|
| Trading Companies & Distributors — 0.4% | |
Fastenal Co. | | | 1,025 | | | | 43,911 | |
GATX Corp.(a) | | | 17,949 | | | | 1,094,530 | |
SiteOne Landscape Supply, Inc.(b) | | | 325 | | | | 37,040 | |
WESCO International, Inc.(b) | | | 1,277 | | | | 44,835 | |
WW Grainger, Inc. | | | 1,048 | | | | 329,240 | |
| | | | | | | | |
| | | | | | | 1,549,556 | |
| | |
| Water Utilities — 0.7% | | | | | | |
American Water Works Co., Inc. | | | 23,296 | | | | 2,997,263 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.3% | |
Telephone & Data Systems, Inc. | | | 40,871 | | | | 812,515 | |
United States Cellular Corp.(b) | | | 22,070 | | | | 681,301 | |
| | | | | | | | |
| | | | | | | 1,493,816 | |
| | | | | | | | |
| | |
Total Common Stocks — 96.9%
(Cost: $390,410,465) | | | | | | | 426,756,321 | |
| | | | | | | | |
|
| Rights — 0.0% | |
|
| Pharmaceuticals — 0.0%(b) | |
Bristol-Myers Squibb Co | | | 11,568 | | | | 41,413 | |
| | | | | | | | |
| |
Total Rights — 0.0%
(Cost: $24,640) | | | | 41,413 | |
| | | | | | | | |
| |
Total Long-Term Investments — 96.9%
(Cost: $390,435,105) | | | | 426,797,734 | |
| | | | | | | | |
|
Short-Term Securities — 4.7%(c) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | 12,463,628 | | | | 12,463,628 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | 88,171 | | | | 88,171 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(d)* | | | 8,059,614 | | | | 8,066,062 | |
| | | | | | | | |
| |
Total Short-Term Securities — 4.7%
(Cost: $20,617,861) | | | | 20,617,861 | |
| | | | | | | | |
| |
Total Investments — 101.6%
(Cost: $411,052,966) | | | | 447,415,595 | |
| |
Liabilities in Excess of Other Assets — (1.6)% | | | | (6,971,796 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 440,443,799 | |
| | | | | | | | |
| (a) | All or a portion of this security is on loan. |
| (b) | Non-income producing security. |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund |
| (c) | Annualized 7-day yield as of period end. |
| (d) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Shares
Held at
12/31/19 | | | Shares
Purchased | | | Shares
Sold | | | Shares
Held at
06/30/20 | | | Value at
06/30/20 | | | Income | | | Net Realized
Gain (Loss) (a) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Liquidity Funds, T-Fund,
Institutional Class(b) | | | 3,174,969 | | | | 9,288,659 | | | | — | | | | 12,463,628 | | | $ | 12,463,628 | | | $ | 16,917 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 20,681,570 | | | | — | | | | (12,621,956 | ) | | | 8,059,614 | | | | 8,066,062 | | | | 43,810 | (c) | | | (8,616 | ) | | | (193) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 20,529,690 | | | $ | 60,727 | | | $ | (8,616 | ) | | $ | (193) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund |
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 | | | 93 | | | | 09/18/20 | | | $ | 14,369 | | | $ | 275,153 | |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 275,153 | | | $ | — | | | $ | — | | | $ | — | | | $ | 275,153 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 839,924 | | | $ | — | | | $ | — | | | $ | — | | | $ | 839,924 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 214,176 | | | | — | | | | — | | | | — | | | | 214,176 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 13,159,268 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core V.I. Fund |
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 | | $ | 426,797,734 | | | $ | — | | | $ | — | | | $ | 426,797,734 | |
Short-Term Securities | | | 12,551,799 | | | | — | | | | — | | | | 12,551,799 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 439,349,533 | | | $ | — | | | $ | — | | | $ | 439,349,533 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 8,066,062 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 447,415,595 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 275,153 | | | $ | — | | | $ | — | | | $ | 275,153 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 11 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Advantage
Large Cap Core
V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $7,977,571) (cost — $390,523,276) | | $ | 426,885,905 | |
Investments at value — affiliated (cost — $20,529,690) | | | 20,529,690 | |
Cash | | | 359 | |
Cash pledged for futures contracts | | | 1,140,000 | |
Receivables: | | | | |
Investments sold | | | 3,353,604 | |
Securities lending income — affiliated | | | 11,318 | |
Capital shares sold | | | 972 | |
Dividends — affiliated | | | 1,062 | |
Dividends — unaffiliated | | | 320,430 | |
From affiliate(s) | | | 458 | |
Variation margin on futures contracts | | | 197,178 | |
Prepaid expenses | | | 3,667 | |
| | | | |
Total assets | | | 452,444,643 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 8,071,534 | |
Payables: | | | | |
Investments purchased | | | 3,172,725 | |
Capital shares redeemed | | | 106,291 | |
Distribution fees | | | 58,990 | |
Investment advisory fees | | | 168,409 | |
Other affiliates | | | 1,696 | |
Transfer agent fees | | | 234,531 | |
Other accrued expenses | | | 186,668 | |
| | | | |
Total liabilities | | | 12,000,844 | |
| | | | |
| |
NET ASSETS | | $ | 440,443,799 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 390,955,089 | |
Accumulated earnings | | | 49,488,710 | |
| | | | |
NET ASSETS | | $ | 440,443,799 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $155,385,942 and 5,782,771 shares outstanding, 200 million shares authorized, $0.10 par value | | $ | 26.87 | |
| | | | |
Class II — Based on net assets of $3,872,229 and 144,028 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 26.89 | |
| | | | |
Class III — Based on net assets of $281,185,628 and 10,576,252 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 26.59 | |
| | | | |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Advantage
Large Cap Core
V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 16,917 | |
Dividends — unaffiliated | | | 3,933,226 | |
Securities lending income — affiliated — net | | | 43,810 | |
Foreign taxes withheld | | | (2,265) | |
| | | | |
Total investment income | | | 3,991,688 | |
| | | | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 1,009,882 | |
Transfer agent — class specific | | | 432,804 | |
Distribution — class specific | | | 345,158 | |
Accounting services | | | 37,421 | |
Professional | | | 32,870 | |
Custodian | | | 21,665 | |
Printing | | | 17,939 | |
Directors and Officer | | | 5,051 | |
Transfer agent | | | 2,488 | |
Miscellaneous | | | 4,858 | |
| | | | |
Total expenses | | | 1,910,136 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (3,086) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (283,661) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1,623,389 | |
| | | | |
Net investment income | | | 2,368,299 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (8,616) | |
Investments — unaffiliated | | | 4,342,253 | |
Futures contracts | | | 839,924 | |
| | | | |
| | | 5,173,561 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (193) | |
Investments — unaffiliated | | | (18,505,161) | |
Futures contracts | | | 214,176 | |
| | | | |
| | | (18,291,178) | |
| | | | |
Net realized and unrealized loss | | | (13,117,617) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (10,749,318) | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Advantage Large Cap Core V.I.
Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 2,368,299 | | | $ | 5,940,159 | |
Net realized gain | | | 5,173,561 | | | | 35,747,447 | |
Net change in unrealized appreciation (depreciation) | | | (18,291,178) | | | | 76,995,420 | |
Net increase (decrease) in net assets resulting from operations | | | (10,749,318) | | | | 118,683,026 | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (10,956,570) | |
Class II | | | — | | | | (313,065) | |
Class III | | | — | | | | (19,446,891) | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (30,716,526) | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (33,066,435) | | | | (39,726,187) | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (43,815,753) | | | | 48,240,313 | |
Beginning of period | | | 484,259,552 | | | | 436,019,239 | |
End of period | | $ | 440,443,799 | | | $ | 484,259,552 | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 27.48 | | | | | | | $ | 22.80 | | | $ | 28.45 | | | $ | 31.91 | | | $ | 31.40 | | | $ | 33.26 | |
Net investment income (a) | | | 0.16 | | | | | | | | 0.38 | | | | 0.42 | (b) | | | 0.44 | | | | 0.39 | | | | 0.36 | |
Net realized and unrealized gain (loss) | | | (0.77 | ) | | | | | | | 6.20 | | | | (1.90 | ) | | | 6.64 | | | | 2.91 | | | | (0.16 | ) |
Net increase (decrease) from investment operations | | | (0.61 | ) | | | | | | | 6.58 | | | | (1.48 | ) | | | 7.08 | | | | 3.30 | | | | 0.20 | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.39 | ) | | | (0.44 | ) | | | (0.47 | ) | | | (0.40 | ) | | | (0.39 | ) |
From net realized gain | | | — | | | | | | | | (1.51 | ) | | | (3.73 | ) | | | (10.07 | ) | | | (2.39 | ) | | | (1.67 | ) |
Total distributions | | | — | | | | | | | | (1.90 | ) | | | (4.17 | ) | | | (10.54 | ) | | | (2.79 | ) | | | (2.06 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 26.87 | | | | | | | $ | 27.48 | | | $ | 22.80 | | | $ | 28.45 | | | $ | 31.91 | | | $ | 31.40 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.22)%(e) | | | | | | | | 28.92% | | | | (5.22)% | | | | 22.33% | | | | 10.55% | | | | 0.52% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.73%(f) | | | | | | | | 0.72% | | | | 0.74% | | | | 0.73% | | | | 0.72% | | | | 0.71% | |
Total expenses after fees waived and/or reimbursed | | | 0.57%(f) | | | | | | | | 0.57% | | | | 0.58% | | | | 0.58% | | | | 0.58% | | | | 0.56% | |
Net investment income | | | 1.28%(f) | | | | | | | | 1.43% | | | | 1.45%(b) | | | | 1.27% | | | | 1.26% | | | | 1.08% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 155,386 | | | | | | | $ | 169,743 | | | $ | 152,717 | | | $ | 185,938 | | | $ | 175,947 | | | $ | 184,151 | |
Portfolio turnover rate | | | 59% | | | | | | | | 129% | | | | 149% | | | | 149% | | | | 50% | | | | 31% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.06%, respectively, resulting from a non-recurring 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. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core V.I. Fund | |
| |
| | | Class II | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 27.51 | | | | | | | $ | 22.83 | | | $ | 28.47 | | | $ | 31.93 | | | $ | 31.42 | | | $ | 33.27 | |
Net investment income (a) | | | 0.14 | | | | | | | | 0.34 | | | | 0.37 | (b) | | | 0.38 | | | | 0.34 | | | | 0.30 | |
Net realized and unrealized gain (loss) | | | (0.76 | ) | | | | | | | 6.19 | | | | (1.89 | ) | | | 6.64 | | | | 2.90 | | | | (0.16 | ) |
Net increase (decrease) from investment operations | | | (0.62 | ) | | | | | | | 6.53 | | | | (1.52 | ) | | | 7.02 | | | | 3.24 | | | | 0.14 | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.34 | ) | | | (0.39 | ) | | | (0.41 | ) | | | (0.34 | ) | | | (0.32 | ) |
From net realized gain | | | — | | | | | | | | (1.51 | ) | | | (3.73 | ) | | | (10.07 | ) | | | (2.39 | ) | | | (1.67 | ) |
Total distributions | | | — | | | | | | | | (1.85 | ) | | | (4.12 | ) | | | (10.48 | ) | | | (2.73 | ) | | | (1.99 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 26.89 | | | | | | | $ | 27.51 | | | $ | 22.83 | | | $ | 28.47 | | | $ | 31.93 | | | $ | 31.42 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.25)%(e) | | | | | | | | 28.67% | | | | (5.37)% | | | | 22.12% | | | | 10.37% | | | | 0.34% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.88%(f) | | | | | | | | 0.87% | | | | 0.89% | | | | 0.88% | | | | 0.88% | | | | 0.85% | |
Total expenses after fees waived and/or reimbursed | | | 0.74%(f) | | | | | | | | 0.74% | | | | 0.75% | | | | 0.75% | | | | 0.75% | | | | 0.73% | |
Net investment income | | | 1.10%(f) | | | | | | | | 1.26% | | | | 1.28%(b) | | | | 1.08% | | | | 1.09% | | | | 0.91% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 3,872 | | | | | | | $ | 4,986 | | | $ | ��4,390 | | | $ | 4,862 | | | $ | 5,170 | | | $ | 5,333 | |
Portfolio turnover rate | | | 59% | | | | | | | | 129% | | | | 149% | | | | 149% | | | | 50% | | | | 31% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.06%, respectively, resulting from a non-recurring 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. |
See notes to financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 27.22 | | | | | | | $ | 22.60 | | | $ | 28.23 | | | $ | 31.74 | | | $ | 31.25 | | | $ | 33.11 | |
Net investment income (a) | | | 0.13 | | | | | | | | 0.30 | | | | 0.34 | (b) | | | 0.34 | | | | 0.31 | | | | 0.27 | |
Net realized and unrealized gain (loss) | | | (0.76 | ) | | | | | | | 6.14 | | | | (1.89 | ) | | | 6.59 | | | | 2.88 | | | | (0.17 | ) |
Net increase (decrease) from investment operations | | | (0.63 | ) | | | | | | | 6.44 | | | | (1.55 | ) | | | 6.93 | | | | 3.19 | | | | 0.10 | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.31 | ) | | | (0.35 | ) | | | (0.37 | ) | | | (0.31 | ) | | | (0.29 | ) |
From net realized gain | | | — | | | | | | | | (1.51 | ) | | | (3.73 | ) | | | (10.07 | ) | | | (2.39 | ) | | | (1.67 | ) |
Total distributions | | | — | | | | | | | | (1.82 | ) | | | (4.08 | ) | | | (10.44 | ) | | | (2.70 | ) | | | (1.96 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 26.59 | | | | | | | $ | 27.22 | | | $ | 22.60 | | | $ | 28.23 | | | $ | 31.74 | | | $ | 31.25 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.31)%(e) | | | | | | | | 28.56% | | | | (5.51)% | | | | 21.97% | | | | 10.26% | | | | 0.23% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.98%(f) | | | | | | | | 0.97% | | | | 0.99% | | | | 0.99% | | | | 0.97% | | | | 0.96% | |
Total expenses after fees waived and/or reimbursed | | | 0.85%(f) | | | | | | | | 0.85% | | | | 0.86% | | | | 0.86% | | | | 0.86% | | | | 0.84% | |
Net investment income | | | 1.00%(f) | | | | | | | | 1.15% | | | | 1.17%(b) | | | | 0.98% | | | | 0.98% | | | | 0.80% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 281,186 | | | | | | | $ | 309,530 | | | $ | 278,913 | | | $ | 341,630 | | | $ | 328,040 | | | $ | 306,567 | |
Portfolio turnover rate | | | 59% | | | | | | | | 129% | | | | 149% | | | | 149% | | | | 50% | | | | 31% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.06%, respectively, resulting from a non-recurring 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. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Advantage Large Cap Core V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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 the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | • | | 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for 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, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Notes to Financial Statements (unaudited) (continued)
The market value of any securities on loan, all of which were classified as common stocks in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities
Loaned at Value | | | Cash Collateral
Received (a) | | | Net
Amount (b) | |
Barclays Bank plc | | $ | 519,260 | | | $ | (519,260 | ) | | $ | — | |
BofA Securities, Inc. | | | 6,082 | | | | (6,082 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 3,077,928 | | | | (3,072,028 | ) | | | 5,900 | |
Credit Suisse Securities (USA) LLC | | | 339,736 | | | | (339,664 | ) | | | 72 | |
Deutsche Bank Securities, Inc. | | | 81,358 | | | | (78,098 | ) | | | 3,260 | |
Goldman Sachs & Co. | | | 208,735 | | | | (208,735 | ) | | | — | |
Jefferies LLC | | | 325,121 | | | | (325,121 | ) | | | — | |
JP Morgan Securities LLC | | | 683,163 | | | | (683,163 | ) | | | — | |
Morgan Stanley & Co. LLC | | | 2,177,630 | | | | (2,177,630 | ) | | | — | |
National Financial Services LLC | | | 100,907 | | | | (100,409 | ) | | | 498 | |
State Street Bank & Trust Co. | | | 457,651 | | | | (457,651 | ) | | | — | |
| | $ | 7,977,571 | | | $ | (7,967,841 | ) | | $ | 9,730 | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
| (b) | The market value of the loaned securities is determined as of June 30, 2020. Additional collateral is delivered to the Funds on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $250 Million | | | 0.500 | % |
$250 Million — $300 Million | | | 0.450 | |
$300 Million — $400 Million | | | 0.425 | |
Greater than $400 Million | | | 0.400 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and Distribution Plans with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plans and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15% | |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the following table shows the class specific distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution
Fees | |
Class II | | $ | 3,180 | |
Class III | | | 341,978 | |
| | | $ | 345,158 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 153,322 | |
Class II | | | 4,230 | |
Class III | | | 275,252 | |
| | | $ | 432,804 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $3,086.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $2,823 for certain accounting services, which is included in accounting services in the Statement of Operations.
| | |
NOTESTO FINANCIAL STATEMENTS | | 21 |
Notes to Financial Statements (unaudited) (continued)
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.05 | % |
Class II | | | 0.07 | |
Class III | | | 0.08 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 115,089 | |
Class II | | | 2,746 | |
Class III | | | 165,826 | |
| | | | $ 283,661 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class II | | | 1.40 | |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $13,652 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund did not participate in the Interfund Lending Program.
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Directors and Officers: Certain directors and/or officers of the Company are directors and/or officers of BlackRock or its affiliates. The Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $250,902,589 and $291,145,739, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 412,374,215 | |
| | | | |
Gross unrealized appreciation | | $ | 58,762,264 | |
Gross unrealized depreciation | | | (23,445,731) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 35,316,533 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
| | |
NOTESTO FINANCIAL STATEMENTS | | 23 |
Notes to Financial Statements (unaudited) (continued)
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: As of period end, the Fund invested a significant portion of its assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 53,543 | | | $ | 1,384,721 | | | | 119,377 | | | $ | 3,193,650 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 403,253 | | | | 10,956,570 | |
Shares redeemed | | | (448,355 | ) | | | (11,578,774 | ) | | | (1,044,097 | ) | | | (27,816,664 | ) |
Net decrease | | | (394,812 | ) | | $ | (10,194,053 | ) | | | (521,467 | ) | | $ | (13,666,444 | ) |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 50,337 | | | $ | 1,233,767 | | | | 21,719 | | | $ | 577,422 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 11,505 | | | | 313,065 | |
Shares redeemed | | | (87,535 | ) | | | (2,198,336 | ) | | | (44,326 | ) | | | (1,190,547 | ) |
Net decrease | | | (37,198 | ) | | $ | (964,569 | ) | | | (11,102 | ) | | $ | (300,060 | ) |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 306,704 | | | $ | 7,459,107 | | | | 411,381 | | | $ | 10,712,715 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 722,384 | | | | 19,446,891 | |
Shares redeemed | | | (1,099,924 | ) | | | (29,366,920 | ) | | | (2,104,593 | ) | | | (55,919,289 | ) |
Net decrease | | | (793,220 | ) | | $ | (21,907,813 | ) | | | (970,828 | ) | | $ | (25,759,683 | ) |
Total Net Decrease | | | (1,225,230 | ) | | $ | (33,066,435 | ) | | | (1,503,397 | ) | | $ | (39,726,187 | ) |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Glossary of Terms Used in this Report
Portfolio Abbreviation
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 25 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Advantage Large Cap Value V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund |
Investment Objective
BlackRock Advantage Large Cap Value V.I. Fund’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, 2020, the Fund outperformed its benchmark, the Russell 1000® Value Index.
What factors influenced performance?
The Fund performed well navigating a highly volatile market backdrop during the period. At the beginning of 2020, markets were touching new highs in a strong risk-on rally driven by excitement for a phase one trade deal between the United States and China. The anticipation of a resolution for the trade dispute, and the actual deal itself, helped boost stocks through mid-February. However, the spread of a coronavirus across the globe provided an inflection point leading to a steep market decline. Investor concerns mounted amid broadly enforced economic shutdowns, as expectations of growth and employment were impacted. The speed of the selloff drove one of the worst quarterly returns for U.S. equities on record as volatility hit levels last observed during the 2008 global financial crisis. As a result, policy makers stepped in with both fiscal and monetary packages aimed at supporting the market. In the second quarter of 2020, U.S. equities recovered sharply as policy stimulus exceeded expectations and the economy slowly reopened. Further supporting markets, economic data improved after hitting troughs earlier in the year. Both U.S. retail sales and jobs data surprised in May, creating hope for a strong recovery. This prompted a sharp reversal in market leadership, as positions that had benefited earlier from the coronavirus pandemic began to underperform more value-oriented cyclicals. The recovery ultimately moderated in June amid rising coronavirus cases, reestablishing leadership for growth over value.
Sentiment-based stock selection signals drove the Fund’s relative outperformance as trend-based measures were broadly able to successfully identify the evolving marketplace. The best-performing signals were sentiment measures that benefit from alternative data. These were able to successfully identify the evolving economic landscape as traditional data sets struggled to catch up. Signals that look toward bond market sentiment and non-obvious news, as well as those that capture supply chain disruptions, were most additive to excess performance in the period. Additionally, there was continued strength from insights related to environmental, social and governance (“ESG”) factors, which tend to demonstrate portfolio resilience during market declines. Specifically, a recently added insight that identifies investor flows into ESG-related positions was one of the top performing signals after successfully capturing an evolving investor preference for sustainability. Elsewhere, other fundamental quality signals, such as those with a preference for lower volatility stocks, outperformed given the market volatility.
Select insights struggled during the period. Text-based analyses that capture trends across earnings expectations and fundamentals were top detractors as near-term economic challenges outweighed prior guidance. Certain macro-thematic insights struggled against the rapidly evolving backdrop. A style-timing insight focused on momentum exposures detracted given the sharp rotations in and out of favor of that style during the period. Similarly, macro insights that that look toward import costs were also weak in the period. Growth and technology stocks continued to dominate market leadership, presenting a headwind to value-based insights.
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. Among these is a new signal that uses the investment adviser’s existing library of insights to create bespoke allocation models at the individual stock level. This builds upon earlier machine-learned capabilities developed by the investment adviser. Additionally, a new insight that looks to identify trade crowding from broker concentration was added. Finally, given the dynamism of the current environment, the Fund instituted enhanced signal constructs to best identify emerging trends, such as “work from home.”
Describe portfolio positioning at period end.
Relative to the Russell 1000® Value Index, the Fund was positioned essentially neutrally from a sector perspective. The Fund ended the period with slight overweight positions in the financials and utilities sectors and slight underweight positions in communication services and industrials.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Advantage Large Cap Value V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total Returns (a) | | | | | | 1 Year | | | | | | | | | 5 Years | | | | | | | | | 10 Years | |
Class I (b)(c) | | | (14.71) | % | | | | | | | (8.03) | % | | | | | | | | | | | 5.02 | % | | | | | | | | | | | 10.00 | % |
Class II (b)(c) | | | (14.80) | | | | | | | | (8.23) | | | | | | | | | | | | 4.83 | | | | | | | | | | | | 9.80 | |
Class III (b)(c) | | | (14.80) | | | | | | | | (8.31) | | | | | | | | | | | | 4.71 | | | | | | | | | | | | 9.66 | |
Russell 1000® Value Index(d) | | | (16.26) | | | | | | | | (8.84) | | | | | | | | | | | | 4.64 | | | | | | | | | | | | 10.41 | |
| (a) | For the portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in large cap equity securities of U.S. issuers and derivatives that have similar economic characteristics to such securities. The Fund’s total returns prior to June 12, 2017 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name “BlackRock Large Cap Value V.I. Fund”. |
| (d) | An unmanaged index that is a subset of the Russell 1000® Index that consists of those Russell 1000® securities with lower price-to book ratios and lower expected 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.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Financials | | | 19 | % |
Health Care | | | 14 | |
Industrials | | | 11 | |
Information Technology | | | 10 | |
Communication Services | | | 8 | |
Consumer Staples | | | 8 | |
Consumer Discretionary | | | 7 | |
Utilities | | | 7 | |
Energy | | | 5 | |
Real Estate | | | 4 | |
Materials | | | 4 | |
Short-Term Securities | | | 7 | |
Liabilities in Excess of Other Assets | | | (4 | ) |
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 such sector sub-classifications for reporting ease.
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | |
| | | Beginning
Account Value (01/01/20) | | | Ending
Account Value (06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio |
Class I | | $ | 1,000.00 | | | $ | 852.90 | | | $ | 2.76 | | | | | | | $ | 1,000.00 | | | $ | 1,021.88 | | | $ | 3.02 | | | 0.60% |
Class II | | | 1,000.00 | | | | 852.00 | | | | 3.45 | | | | | | | | 1,000.00 | | | | 1,021.13 | | | | 3.77 | | | 0.75 |
Class III | | | 1,000.00 | | | | 852.00 | | | | 3.91 | | | | | | | | 1,000.00 | | | | 1,020.64 | | | | 4.27 | | | 0.85 |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 97.1% | |
|
| Aerospace & Defense — 1.8% | |
Axon Enterprise, Inc.(a) | | | 368 | | | $ | 36,112 | |
Boeing Co. (The) | | | 1,557 | | | | 285,398 | |
Curtiss-Wright Corp. | | | 1,801 | | | | 160,793 | |
General Dynamics Corp. | | | 1,935 | | | | 289,205 | |
Hexcel Corp.(b) | | | 994 | | | | 44,949 | |
L3Harris Technologies, Inc. | | | 1,024 | | | | 173,742 | |
Mercury Systems, Inc.(a) | | | 757 | | | | 59,546 | |
Northrop Grumman Corp. | | | 152 | | | | 46,731 | |
Raytheon Technologies Corp. | | | 1,181 | | | | 72,773 | |
Spirit AeroSystems Holdings, Inc., Class A | | | 1,513 | | | | 36,221 | |
Teledyne Technologies, Inc.(a) | | | 508 | | | | 157,963 | |
| | | | | | | | |
| | | | | | | 1,363,433 | |
| |
| Air Freight & Logistics — 0.2% | | | | |
FedEx Corp. | | | 1,157 | | | | 162,235 | |
| | | | | | | | |
| | |
| Airlines — 0.5% | | | | | | |
Alaska Air Group, Inc. | | | 1,368 | | | | 49,604 | |
Delta Air Lines, Inc. | | | 6,283 | | | | 176,238 | |
Southwest Airlines Co. | | | 4,279 | | | | 146,256 | |
| | | | | | | | |
| | | | | | | 372,098 | |
| | |
| Auto Components — 0.4% | | | | | | |
Aptiv plc | | | 2,067 | | | | 161,061 | |
Goodyear Tire & Rubber Co. (The) | | | 14,561 | | | | 130,248 | |
| | | | | | | | |
| | | | | | | 291,309 | |
| | |
| Automobiles — 0.1% | | | | | | |
Harley-Davidson, Inc. | | | 3,495 | | | | 83,076 | |
| | | | | | | | |
| | |
| Banks — 7.6% | | | | | | |
Bank of America Corp. | | | 47,701 | | | | 1,132,899 | |
CIT Group, Inc. | | | 583 | | | | 12,086 | |
Citigroup, Inc. | | | 6,575 | | | | 335,982 | |
Citizens Financial Group, Inc. | | | 11,265 | | | | 284,329 | |
Comerica, Inc. | | | 966 | | | | 36,805 | |
Cullen/Frost Bankers, Inc.(b) | | | 3,641 | | | | 272,019 | |
First Horizon National Corp. | | | 13,399 | | | | 133,454 | |
JPMorgan Chase & Co. | | | 19,355 | | | | 1,820,531 | |
PacWest Bancorp | | | 575 | | | | 11,333 | |
PNC Financial Services Group, Inc. (The) | | | 1,579 | | | | 166,127 | |
Regions Financial Corp. | | | 5,077 | | | | 56,456 | |
Synovus Financial Corp. | | | 493 | | | | 10,121 | |
US Bancorp | | | 6,455 | | | | 237,673 | |
Wells Fargo & Co. | | | 50,339 | | | | 1,288,678 | |
Wintrust Financial Corp. | | | 1,014 | | | | 44,231 | |
Zions Bancorp NA | | | 2,737 | | | | 93,058 | |
| | | | | | | | |
| | | | | | | 5,935,782 | |
| | |
| Beverages — 1.8% | | | | | | |
Brown-Forman Corp., Class B(b) | | | 1,800 | | | | 114,588 | |
Coca-Cola Co. (The) | | | 3,193 | | | | 142,663 | |
Coca-Cola European Partners plc | | | 3,615 | | | | 136,503 | |
Constellation Brands, Inc., Class A | | | 313 | | | | 54,759 | |
Keurig Dr Pepper, Inc. | | | 2,928 | | | | 83,155 | |
Molson Coors Beverage Co., Class B(b) | | | 832 | | | | 28,588 | |
PepsiCo, Inc. | | | 6,238 | | | | 825,038 | |
| | | | | | | | |
| | | | | | | 1,385,294 | |
| | |
| Biotechnology — 3.1% | | | | | | |
AbbVie, Inc. | | | 7,940 | | | | 779,549 | |
Amgen, Inc. | | | 1,349 | | | | 318,175 | |
Biogen, Inc.(a) | | | 797 | | | | 213,238 | |
Gilead Sciences, Inc. | | | 12,673 | | | | 975,061 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 225 | | | | 140,321 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Sage Therapeutics, Inc.(a) | | | 388 | | | $ | 16,133 | |
| | | | | | | | |
| | | | | | | 2,442,477 | |
| | |
| Building Products — 1.0% | | | | | | |
Advanced Drainage Systems, Inc. | | | 1,009 | | | | 49,845 | |
Allegion plc | | | 5,469 | | | | 559,041 | |
Owens Corning | | | 853 | | | | 47,563 | |
Resideo Technologies, Inc.(a) | | | 5,466 | | | | 64,062 | |
Trex Co., Inc.(a) | | | 362 | | | | 47,085 | |
| | | | | | | | |
| | | | | | | 767,596 | |
| | |
| Capital Markets — 3.7% | | | | | | |
Affiliated Managers Group, Inc. | | | 137 | | | | 10,215 | |
Ameriprise Financial, Inc. | | | 1,736 | | | | 260,469 | |
Bank of New York Mellon Corp. (The) | | | 6,858 | | | | 265,062 | |
Cboe Global Markets, Inc. | | | 562 | | | | 52,423 | |
Charles Schwab Corp. (The) | | | 9,916 | | | | 334,566 | |
CME Group, Inc. | | | 3,113 | | | | 505,987 | |
E*TRADE Financial Corp. | | | 1,154 | | | | 57,388 | |
FactSet Research Systems, Inc.(b) | | | 342 | | | | 112,337 | |
Franklin Resources, Inc.(b) | | | 6,541 | | | | 137,165 | |
Intercontinental Exchange, Inc. | | | 2,196 | | | | 201,154 | |
Invesco Ltd.(b) | | | 6,156 | | | | 66,238 | |
Morgan Stanley | | | 3,385 | | | | 163,495 | |
Northern Trust Corp. | | | 2,285 | | | | 181,292 | |
S&P Global, Inc. | | | 464 | | | | 152,879 | |
State Street Corp. | | | 2,656 | | | | 168,789 | |
T. Rowe Price Group, Inc. | | | 1,734 | | | | 214,149 | |
TD Ameritrade Holding Corp. | | | 220 | | | | 8,004 | |
| | | | | | | | |
| | | | | | | 2,891,612 | |
| | |
| Chemicals — 2.8% | | | | | | |
Air Products & Chemicals, Inc. | | | 50 | | | | 12,073 | |
Chemours Co. (The) | | | 2,175 | | | | 33,386 | |
Dow, Inc. | | | 2,387 | | | | 97,294 | |
DuPont de Nemours, Inc. | | | 3,193 | | | | 169,644 | |
Ecolab, Inc.(b) | | | 2,289 | | | | 455,397 | |
FMC Corp. | | | 2,115 | | | | 210,696 | |
Linde plc | | | 2,240 | | | | 475,126 | |
LyondellBasell Industries NV, Class A | | | 2,926 | | | | 192,297 | |
Mosaic Co. (The) | | | 15,596 | | | | 195,106 | |
PPG Industries, Inc. | | | 3,199 | | | | 339,286 | |
| | | | | | | | |
| | | | | | | 2,180,305 | |
|
| Commercial Services & Supplies — 0.1% | |
Cintas Corp. | | | 314 | | | | 83,637 | |
| | | | | | | | |
|
| Communications Equipment — 1.2% | |
Cisco Systems, Inc. | | | 20,191 | | | | 941,708 | |
| | | | | | | | |
|
| Construction & Engineering — 0.3% | |
EMCOR Group, Inc. | | | 2,006 | | | | 132,677 | |
MasTec, Inc.(a) | | | 2,037 | | | | 91,400 | |
Quanta Services, Inc. | | | 756 | | | | 29,658 | |
| | | | | | | | |
| | | | | | | 253,735 | |
| | |
| Consumer Finance — 0.7% | | | | | | |
Ally Financial, Inc. | | | 12,808 | | | | 253,983 | |
American Express Co. | | | 2,477 | | | | 235,810 | |
Discover Financial Services | | | 617 | | | | 30,906 | |
| | | | | | | | |
| | | | | | | 520,699 | |
|
| Containers & Packaging — 0.3% | |
International Paper Co. | | | 2,846 | | | | 100,208 | |
Sonoco Products Co. | | | 170 | | | | 8,889 | |
WestRock Co. | | | 3,181 | | | | 89,895 | |
| | | | | | | | |
| | | | | | | 198,992 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Diversified Consumer Services — 0.4% | |
Bright Horizons Family Solutions, Inc.(a) | | | 89 | | | $ | 10,431 | |
Graham Holdings Co., Class B | | | 404 | | | | 138,439 | |
H&R Block, Inc.(b) | | | 12,470 | | | | 178,071 | |
| | | | | | | | |
| | | | | | | 326,941 | |
|
| Diversified Financial Services — 3.0% | |
Berkshire Hathaway, Inc., Class B(a) | | | 13,170 | | | | 2,350,977 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 3.1% | |
AT&T, Inc. | | | 40,254 | | | | 1,216,878 | |
CenturyLink, Inc.(b) | | | 1,322 | | | | 13,260 | |
Verizon Communications, Inc. | | | 21,031 | | | | 1,159,439 | |
| | | | | | | | |
| | | | | | | 2,389,577 | |
| | |
| Electric Utilities — 3.9% | | | | | | |
Alliant Energy Corp. | | | 8,047 | | | | 384,968 | |
Avangrid, Inc. | | | 891 | | | | 37,404 | |
Duke Energy Corp. | | | 671 | | | | 53,606 | |
Eversource Energy | | | 3,710 | | | | 308,932 | |
Exelon Corp. | | | 3,381 | | | | 122,696 | |
IDACORP, Inc. | | | 3,625 | | | | 316,716 | |
NextEra Energy, Inc. | | | 4,670 | | | | 1,121,594 | |
Pinnacle West Capital Corp. | | | 3,671 | | | | 269,048 | |
Xcel Energy, Inc. | | | 6,981 | | | | 436,313 | |
| | | | | | | | |
| | | | | | | 3,051,277 | |
| | |
| Electrical Equipment — 0.8% | | | | | | |
Generac Holdings, Inc.(a) | | | 1,013 | | | | 123,515 | |
Hubbell, Inc. | | | 3,752 | | | | 470,351 | |
| | | | | | | | |
| | | | | | | 593,866 | |
|
| Electronic Equipment, Instruments & Components — 0.7% | |
Avnet, Inc. | | | 11,360 | | | | 316,773 | |
National Instruments Corp. | | | 6,866 | | | | 265,783 | |
| | | | | | | | |
| | | | | | | 582,556 | |
|
| Energy Equipment & Services — 0.7% | |
Baker Hughes Co. | | | 8,081 | | | | 124,367 | |
ChampionX Corp.(a) | | | 1,849 | | | | 18,046 | |
Halliburton Co. | | | 3,042 | | | | 39,485 | |
National Oilwell Varco, Inc. | | | 1,579 | | | | 19,343 | |
Schlumberger Ltd. | | | 14,385 | | | | 264,540 | |
TechnipFMC plc | | | 7,741 | | | | 52,948 | |
| | | | | | | | |
| | | | | | | 518,729 | |
| | |
| Entertainment — 1.5% | | | | | | |
Activision Blizzard, Inc. | | | 3,051 | | | | 231,571 | |
Electronic Arts, Inc.(a) | | | 55 | | | | 7,263 | |
Walt Disney Co. (The) | | | 7,606 | | | | 848,145 | |
Zynga, Inc., Class A(a) | | | 4,232 | | | | 40,373 | |
| | | | | | | | |
| | | | | | | 1,127,352 | |
|
| Equity Real Estate Investment Trusts (REITs) — 4.2% | |
AvalonBay Communities, Inc. | | | 1,459 | | | | 225,620 | |
Boston Properties, Inc. | | | 6,375 | | | | 576,172 | |
Brandywine Realty Trust | | | 5,287 | | | | 57,575 | |
Camden Property Trust | | | 1,451 | | | | 132,360 | |
Douglas Emmett, Inc. | | | 5,095 | | | | 156,213 | |
Equity Residential | | | 9,310 | | | | 547,614 | |
Essex Property Trust, Inc. | | | 245 | | | | 56,147 | |
Federal Realty Investment Trust | | | 662 | | | | 56,409 | |
Healthpeak Properties, Inc. | | | 946 | | | | 26,072 | |
Host Hotels & Resorts, Inc. | | | 12,669 | | | | 136,699 | |
Life Storage, Inc. | | | 183 | | | | 17,376 | |
Macerich Co. (The)(b) | | | 7,724 | | | | 69,284 | |
National Retail Properties, Inc. | | | 2,345 | | | | 83,201 | |
Park Hotels & Resorts, Inc. | | | 11,787 | | | | 116,573 | |
Prologis, Inc. | | | 6,798 | | | | 634,457 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Realty Income Corp. | | | 4,145 | | | $ | 246,628 | |
Regency Centers Corp. | | | 2,042 | | | | 93,707 | |
UDR, Inc. | | | 257 | | | | 9,607 | |
VICI Properties, Inc. | | | 666 | | | | 13,447 | |
Welltower, Inc. | | | 823 | | | | 42,590 | |
| | | | | | | | |
| | | | | | | 3,297,751 | |
| | |
| Food & Staples Retailing — 1.3% | | | | | | |
Costco Wholesale Corp. | | | 1,634 | | | | 495,445 | |
Performance Food Group Co.(a) | | | 787 | | | | 22,933 | |
US Foods Holding Corp.(a) | | | 857 | | | | 16,900 | |
Walmart, Inc. | | | 3,854 | | | | 461,632 | |
| | | | | | | | |
| | | | | | | 996,910 | |
| | |
| Food Products — 2.6% | | | | | | |
Campbell Soup Co.(b) | | | 1,193 | | | | 59,209 | |
General Mills, Inc.(b) | | | 15,665 | | | | 965,747 | |
Hershey Co. (The) | | | 4,678 | | | | 606,362 | |
JM Smucker Co. (The) | | | 727 | | | | 76,924 | |
Lamb Weston Holdings, Inc. | | | 1,136 | | | | 72,624 | |
Mondelez International, Inc., Class A | | | 4,975 | | | | 254,372 | |
| | | | | | | | |
| | | | | | | 2,035,238 | |
| | |
| Gas Utilities — 0.4% | | | | | | |
ONE Gas, Inc. | | | 140 | | | | 10,787 | |
UGI Corp.(b) | | | 8,254 | | | | 262,477 | |
| | | | | | | | |
| | | | | | | 273,264 | |
|
| Health Care Equipment & Supplies — 3.1% | |
Abbott Laboratories(b) | | | 7,002 | | | | 640,193 | |
Danaher Corp. | | | 1,901 | | | | 336,154 | |
Dentsply Sirona, Inc. | | | 828 | | | | 36,482 | |
Edwards Lifesciences Corp.(a) | | | 5,204 | | | | 359,648 | |
Hologic, Inc.(a) | | | 2,513 | | | | 143,241 | |
IDEXX Laboratories, Inc.(a) | | | 71 | | | | 23,441 | |
Medtronic plc | | | 6,498 | | | | 595,867 | |
STERIS plc | | | 1,018 | | | | 156,202 | |
Stryker Corp. | | | 371 | | | | 66,850 | |
West Pharmaceutical Services, Inc. | | | 375 | | | | 85,189 | |
| | | | | | | | |
| | | | | | | 2,443,267 | |
|
| Health Care Providers & Services — 3.1% | |
Anthem, Inc. | | | 1,493 | | | | 392,629 | |
Cardinal Health, Inc. | | | 3,057 | | | | 159,545 | |
Cigna Corp. | | | 1,637 | | | | 307,183 | |
Covetrus, Inc.(a) | | | 539 | | | | 9,643 | |
CVS Health Corp. | | | 12,352 | | | | 802,509 | |
HCA Healthcare, Inc. | | | 1,477 | | | | 143,358 | |
Humana, Inc. | | | 214 | | | | 82,978 | |
Laboratory Corp. of America Holdings(a) | | | 446 | | | | 74,085 | |
McKesson Corp. | | | 1,706 | | | | 261,735 | |
Quest Diagnostics, Inc. | | | 747 | | | | 85,128 | |
UnitedHealth Group, Inc. | | | 323 | | | | 95,269 | |
| | | | | | | | |
| | | | | | | 2,414,062 | |
|
| Health Care Technology — 0.1%(a) | |
Teladoc Health, Inc. | | | 401 | | | | 76,527 | |
Veeva Systems, Inc., Class A | | | 73 | | | | 17,113 | |
| | | | | | | | |
| | | | | | | 93,640 | |
|
| Hotels, Restaurants & Leisure — 1.6% | |
Boyd Gaming Corp. | | | 2,360 | | | | 49,324 | |
Darden Restaurants, Inc. | | | 2,956 | | | | 223,976 | |
Extended Stay America, Inc. | | | 7,173 | | | | 80,266 | |
International Game Technology plc | | | 3,018 | | | | 26,860 | |
Las Vegas Sands Corp. | | | 531 | | | | 24,182 | |
McDonald’s Corp. | | | 2,883 | | | | 531,827 | |
MGM Resorts International | | | 1,264 | | | | 21,235 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Penn National Gaming, Inc.(a) | | | 1,176 | | | $ | 35,915 | |
Texas Roadhouse, Inc. | | | 905 | | | | 47,576 | |
Vail Resorts, Inc. | | | 61 | | | | 11,111 | |
Wyndham Destinations, Inc. | | | 317 | | | | 8,933 | |
Yum! Brands, Inc. | | | 1,659 | | | | 144,184 | |
| | | | | | | | |
| | | | | | | 1,205,389 | |
| | |
| Household Durables — 0.2% | | | | | | |
DR Horton, Inc. | | | 2,534 | | | | 140,510 | |
| | | | | | | | |
| | |
| Household Products — 2.4% | | | | | | |
Clorox Co. (The) | | | 2,113 | | | | 463,529 | |
Colgate-Palmolive Co. | | | 2,173 | | | | 159,194 | |
Procter & Gamble Co. (The) | | | 10,244 | | | | 1,224,875 | |
| | | | | | | | |
| | | | | | | 1,847,598 | |
| | |
| Industrial Conglomerates — 1.6% | | | | | | |
Carlisle Cos., Inc. | �� | | 1,314 | | | | 157,246 | |
General Electric Co. | | | 27,355 | | | | 186,835 | |
Honeywell International, Inc. | | | 4,562 | | | | 659,619 | |
Roper Technologies, Inc. | | | 607 | | | | 235,674 | |
| | | | | | | | |
| | | | | | | 1,239,374 | |
| | |
| Insurance — 3.8% | | | | | | |
Aflac, Inc. | | | 5,156 | | | | 185,771 | |
Allstate Corp. (The) | | | 941 | | | | 91,268 | |
American International Group, Inc. | | | 1,355 | | | | 42,249 | |
American National Insurance Co.(b) | | | 228 | | | | 16,432 | |
Arch Capital Group Ltd.(a) | | | 1,081 | | | | 30,971 | |
Brown & Brown, Inc. | | | 3,382 | | | | 137,850 | |
Cincinnati Financial Corp. | | | 8,333 | | | | 533,562 | |
First American Financial Corp. | | | 2,206 | | | | 105,932 | |
Globe Life, Inc. | | | 1,951 | | | | 144,823 | |
Hanover Insurance Group, Inc. (The) | | | 466 | | | | 47,220 | |
Hartford Financial Services Group, Inc. (The) | | | 1,563 | | | | 60,254 | |
Lincoln National Corp. | | | 727 | | | | 26,746 | |
Marsh & McLennan Cos., Inc.(b) | | | 1,827 | | | | 196,165 | |
MetLife, Inc. | | | 3,455 | | | | 126,177 | |
Principal Financial Group, Inc. | | | 535 | | | | 22,224 | |
Progressive Corp. (The) | | | 1,032 | | | | 82,673 | |
Prudential Financial, Inc. | | | 10,449 | | | | 636,344 | |
Reinsurance Group of America, Inc. | | | 1,150 | | | | 90,206 | |
Travelers Cos., Inc. (The) | | | 465 | | | | 53,033 | |
Unum Group | | | 6,394 | | | | 106,076 | |
Willis Towers Watson plc | | | 818 | | | | 161,105 | |
WR Berkley Corp. | | | 336 | | | | 19,249 | |
| | | | | | | | |
| | | | | | | 2,916,330 | |
|
| Interactive Media & Services — 1.3%(a) | |
Alphabet, Inc., Class A | | | 236 | | | | 334,660 | |
Alphabet, Inc., Class C | | | 354 | | | | 500,418 | |
Twitter, Inc. | | | 5,760 | | | | 171,590 | |
| | | | | | | | |
| | | | | | | 1,006,668 | |
|
| Internet & Direct Marketing Retail — 1.0% | |
Amazon.com, Inc.(a) | | | 291 | | | | 802,817 | |
| | | | | | | | |
| | |
| IT Services — 2.1% | | | | | | |
Automatic Data Processing, Inc. | | | 2,466 | | | | 367,163 | |
Cognizant Technology Solutions Corp., Class A | | | 1,033 | | | | 58,695 | |
DXC Technology Co. | | | 3,310 | | | | 54,615 | |
Fiserv, Inc.(a) | | | 3,882 | | | | 378,961 | |
Leidos Holdings, Inc. | | | 198 | | | | 18,546 | |
PayPal Holdings, Inc.(a) | | | 1,948 | | | | 339,400 | |
Perspecta, Inc. | | | 565 | | | | 13,125 | |
Visa, Inc., Class A | | | 1,983 | | | | 383,056 | |
| | | | | | | | |
| | | | | | | 1,613,561 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Life Sciences Tools & Services — 0.1% | |
Agilent Technologies, Inc. | | | 452 | | | $ | 39,943 | |
| | | | | | | | |
| | |
| Machinery — 3.0% | | | | | | |
AGCO Corp. | | | 2,446 | | | | 135,655 | |
Caterpillar, Inc. | | | 1,198 | | | | 151,547 | |
Deere & Co.(b) | | | 2,654 | | | | 417,076 | |
Fortive Corp. | | | 1,181 | | | | 79,907 | |
Illinois Tool Works, Inc. | | | 2,160 | | | | 377,676 | |
Oshkosh Corp. | | | 5,091 | | | | 364,617 | |
Otis Worldwide Corp. | | | 1,026 | | | | 58,338 | |
PACCAR, Inc. | | | 2,795 | | | | 209,206 | |
Snap-on, Inc.(b) | | | 1,585 | | | | 219,538 | |
Stanley Black & Decker, Inc. | | | 83 | | | | 11,569 | |
Toro Co. (The) | | | 1,137 | | | | 75,429 | |
Xylem, Inc. | | | 3,266 | | | | 212,159 | |
| | | | | | | | |
| | | | | | | 2,312,717 | |
| | |
| Media — 2.2% | | | | | | |
Comcast Corp., Class A | | | 18,403 | | | | 717,349 | |
Discovery, Inc., Class A(a)(b) | | | 6,497 | | | | 137,087 | |
Discovery, Inc., Class C(a) | | | 377 | | | | 7,261 | |
Interpublic Group of Cos., Inc. (The) | | | 21,767 | | | | 373,522 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | | | 535 | | | | 18,468 | |
Nexstar Media Group, Inc., Class A | | | 566 | | | | 47,368 | |
Omnicom Group, Inc. | | | 646 | | | | 35,272 | |
Sirius XM Holdings, Inc.(b) | | | 39,005 | | | | 228,959 | |
TEGNA, Inc. | | | 617 | | | | 6,873 | |
ViacomCBS, Inc., Class B(b) | | | 5,383 | | | | 125,532 | |
| | | | | | | | |
| | | | | | | 1,697,691 | |
| | |
| Metals & Mining — 0.8% | | | | | | |
Alcoa Corp.(a) | | | 9,679 | | | | 108,792 | |
Freeport-McMoRan, Inc. | | | 3,887 | | | | 44,972 | |
Newmont Corp. | | | 1,597 | | | | 98,599 | |
Reliance Steel & Aluminum Co. | | | 2,015 | | | | 191,284 | |
Southern Copper Corp.(b) | | | 1,780 | | | | 70,791 | |
Steel Dynamics, Inc. | | | 5,397 | | | | 140,808 | |
| | | | | | | | |
| | | | | | | 655,246 | |
| | |
| Multiline Retail — 0.6% | | | | | | |
Macy’s, Inc.(b) | | | 3,985 | | | | 27,417 | |
Target Corp. | | | 3,346 | | | | 401,286 | |
| | | | | | | | |
| | | | | | | 428,703 | |
| | |
| Multi-Utilities — 1.4% | | | | | | |
Ameren Corp. | | | 7,453 | | | | 524,393 | |
CMS Energy Corp. | | | 5,861 | | | | 342,400 | |
Consolidated Edison, Inc. | | | 2,300 | | | | 165,439 | |
Public Service Enterprise Group, Inc. | | | 1,501 | | | | 73,789 | |
| | | | | | | | |
| | | | | | | 1,106,021 | |
|
| Oil, Gas & Consumable Fuels — 4.1% | |
Chevron Corp. | | | 8,399 | | | | 749,443 | |
Concho Resources, Inc. | | | 998 | | | | 51,397 | |
ConocoPhillips | | | 7,614 | | | | 319,940 | |
Continental Resources, Inc. | | | 6,527 | | | | 114,418 | |
EOG Resources, Inc. | | | 7,777 | | | | 393,983 | |
Exxon Mobil Corp. | | | 10,011 | | | | 447,692 | |
Hess Corp. | | | 495 | | | | 25,646 | |
Kinder Morgan, Inc. | | | 13,799 | | | | 209,331 | |
Marathon Oil Corp.(b) | | | 29,992 | | | | 183,551 | |
ONEOK, Inc. | | | 1,942 | | | | 64,513 | |
PBF Energy, Inc., Class A(b) | | | 5,133 | | | | 52,562 | |
Phillips 66 | | | 3,022 | | | | 217,282 | |
Suncor Energy, Inc. | | | 1,478 | | | | 24,919 | |
Valero Energy Corp. | | | 3,469 | | | | 204,046 | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Williams Cos., Inc. (The) | | | 5,181 | | | $ | 98,543 | |
| | | | | | | | |
| | | | | | | 3,157,266 | |
|
| Paper & Forest Products — 0.1% | |
Domtar Corp. | | | 5,254 | | | | 110,912 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 4.7% | | | | | | |
Bristol-Myers Squibb Co. | | | 5,165 | | | | 303,702 | |
Elanco Animal Health, Inc.(a) | | | 6,089 | | | | 130,609 | |
Johnson & Johnson | | | 11,034 | | | | 1,551,712 | |
Merck & Co., Inc. | | | 6,776 | | | | 523,988 | |
Mylan NV(a) | | | 1,491 | | | | 23,975 | |
Pfizer, Inc. | | | 30,994 | | | | 1,013,504 | |
Zoetis, Inc. | | | 960 | | | | 131,558 | |
| | | | | | | | |
| | | | | | | 3,679,048 | |
| | |
| Professional Services — 0.2% | | | | | | |
IHS Markit Ltd. | | | 818 | | | | 61,759 | |
Robert Half International, Inc. | | | 1,527 | | | | 80,671 | |
| | | | | | | | |
| | | | | | | 142,430 | |
|
| Real Estate Management & Development — 0.0% | |
CBRE Group, Inc., Class A(a) | | | 506 | | | | 22,881 | |
| | | | | | | | |
| | |
| Road & Rail — 1.1% | | | | | | |
AMERCO | | | 306 | | | | 92,470 | |
CSX Corp. | | | 3,063 | | | | 213,614 | |
Landstar System, Inc. | | | 97 | | | | 10,894 | |
Lyft, Inc., Class A(a) | | | 1,937 | | | | 63,940 | |
Norfolk Southern Corp. | | | 1,849 | | | | 324,629 | |
Uber Technologies, Inc.(a) | | | 1,973 | | | | 61,321 | |
Union Pacific Corp. | | | 650 | | | | 109,895 | |
| | | | | | | | |
| | | | | | | 876,763 | |
|
| Semiconductors & Semiconductor Equipment — 3.9% | |
Analog Devices, Inc. | | | 552 | | | | 67,697 | |
Applied Materials, Inc. | | | 10,073 | | | | 608,913 | |
Cirrus Logic, Inc.(a) | | | 307 | | | | 18,967 | |
Intel Corp. | | | 33,106 | | | | 1,980,732 | |
NVIDIA Corp. | | | 963 | | | | 365,853 | |
| | | | | | | | |
| | | | | | | 3,042,162 | |
| | |
| Software — 1.5% | | | | | | |
Atlassian Corp. plc, Class A(a) | | | 414 | | | | 74,632 | |
Citrix Systems, Inc. | | | 1,011 | | | | 149,537 | |
Cloudflare, Inc., Class A(a) | | | 2,151 | | | | 77,328 | |
DocuSign, Inc.(a) | | | 469 | | | | 80,766 | |
Intuit, Inc. | | | 44 | | | | 13,032 | |
Microsoft Corp. | | | 2,024 | | | | 411,904 | |
RingCentral, Inc., Class A(a) | | | 265 | | | | 75,528 | |
Slack Technologies, Inc., Class A(a) | | | 2,377 | | | | 73,901 | |
Smartsheet, Inc., Class A(a)(b) | | | 1,542 | | | | 78,519 | |
VMware, Inc., Class A(a) | | | 106 | | | | 16,415 | |
Zoom Video Communications, Inc., Class A(a) | | | 289 | | | | 73,273 | |
Zscaler, Inc.(a) | | | 697 | | | | 76,322 | |
| | | | | | | | |
| | | | | | | 1,201,157 | |
| | |
| Specialty Retail — 2.2% | | | | | | |
Best Buy Co., Inc. | | | 1,574 | | | | 137,363 | |
Dick’s Sporting Goods, Inc. | | | 216 | | | | 8,912 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Specialty Retail (continued) | |
Home Depot, Inc. (The) | | | 5,401 | | | $ | 1,353,004 | |
Lowe’s Cos., Inc. | | | 1,641 | | | | 221,732 | |
TJX Cos., Inc. (The) | | | 139 | | | | 7,028 | |
| | | | | | | | |
| | | | | | | 1,728,039 | |
|
| Technology Hardware, Storage & Peripherals — 0.3% | |
HP, Inc. | | | 8,801 | | | | 153,402 | |
NetApp, Inc. | | | 1,401 | | | | 62,162 | |
Xerox Holdings Corp. | | | 656 | | | | 10,030 | |
| | | | | | | | |
| | | | | | | 225,594 | |
|
| Textiles, Apparel & Luxury Goods — 0.4% | |
Levi Strauss & Co., Class A | | | 1,314 | | | | 17,608 | |
NIKE, Inc., Class B | | | 1,352 | | | | 132,564 | |
VF Corp. | | | 2,045 | | | | 124,622 | |
| | | | | | | | |
| | | | | | | 274,794 | |
|
| Thrifts & Mortgage Finance — 0.1% | |
MGIC Investment Corp. | | | 7,862 | | | | 64,390 | |
| | | | | | | | |
| | |
| Tobacco — 0.1% | | | | | | |
Altria Group, Inc. | | | 377 | | | | 14,797 | |
Philip Morris International, Inc. | | | 978 | | | | 68,519 | |
| | | | | | | | |
| | | | | | | 83,316 | |
|
| Trading Companies & Distributors — 0.5% | |
Fastenal Co. | | | 189 | | | | 8,097 | |
GATX Corp.(b) | | | 3,426 | | | | 208,917 | |
SiteOne Landscape Supply, Inc.(a) | | | 775 | | | | 88,327 | |
WESCO International, Inc.(a) | | | 2,046 | | | | 71,835 | |
WW Grainger, Inc. | | | 65 | | | | 20,420 | |
| | | | | | | | |
| | | | | | | 397,596 | |
| | |
| Water Utilities — 0.9% | | | | | | |
American Water Works Co., Inc. | | | 5,153 | | | | 662,985 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.4% | |
Telephone & Data Systems, Inc. | | | 7,127 | | | | 141,685 | |
United States Cellular Corp.(a) | | | 4,939 | | | | 152,467 | |
| | | | | | | | |
| | | | | | | 294,152 | |
| | | | | | | | |
| |
Total Common Stocks — 97.1%
(Cost: $79,510,470) | | | | 75,345,448 | |
| | | | | | | | |
| |
Total Long-Term Investments — 97.1%
(Cost: $79,510,470) | | | | 75,345,448 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
|
Short-Term Securities — 6.8%(c) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | 1,959,763 | | | | 1,959,763 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | 45,883 | | | | 45,883 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(d)* | | | 3,275,636 | | | | 3,278,256 | |
| | | | | | | | |
| |
Total Short-Term Securities — 6.8%
(Cost: $5,284,013) | | | | 5,283,902 | |
| | | | | | | | |
| |
Total Investments — 103.9%
(Cost: $84,794,483) | | | | 80,629,350 | |
| |
Liabilities in Excess of Other Assets — (3.9)% | | | | (3,052,450 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 77,576,900 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Annualized 7-day yield as of period end. |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund |
| (d) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized Appreciation (Depreciation |
) |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 915,491 | | | | 1,044,272 | | | | — | | | | 1,959,763 | | | $ | 1,959,763 | | | $ | 3,714 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 6,772,706 | | | | — | | | | (3,497,070 | ) | | | 3,275,636 | | | | 3,278,256 | | | | 10,006 | (c) | | | (6,811 | ) | | | (437) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 5,238,019 | | | $ | 13,720 | | | $ | (6,811 | ) | | $ | (437) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund |
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 | | | 16 | | | | 09/18/20 | | | $ | 2,472 | | | $ | 47,214 | |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 47,214 | | | $ | — | | | $ | — | | | $ | — | | | $ | 47,214 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (25,516 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (25,516 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 33,048 | | | | — | | | | — | | | | — | | | | 33,048 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 2,392,445 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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 | | $ | 75,345,448 | | | $ | — | | | $ | — | | | $ | 75,345,448 | |
Short-Term Securities | | | 2,005,646 | | | | — | | | | — | | | | 2,005,646 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 77,351,094 | | | $ | — | | | $ | — | | | $ | 77,351,094 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 3,278,256 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 80,629,350 | |
| | | | | | | | | | | | | | | | |
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Value V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 47,214 | | | $ | — | | | $ | — | | | $ | 47,214 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
SCHEDULEOF INVESTMENTS | | 11 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock Advantage Large Cap Value V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $3,252,588) (cost — $79,556,353) | | $ | 75,391,331 | |
Investments at value — affiliated (cost — $5,238,130) | | | 5,238,019 | |
Cash pledged for futures contracts | | | 170,000 | |
Receivables: | | | | |
Investments sold | | | 1,038,852 | |
Securities lending income — affiliated | | | 1,772 | |
Capital shares sold | | | 2,060 | |
Dividends — affiliated | | | 193 | |
Dividends — unaffiliated | | | 88,926 | |
From affiliate(s) | | | 830 | |
Variation margin on futures contracts | | | 30,433 | |
Prepaid expenses | | | 729 | |
| | | | |
Total assets | | | 81,963,145 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 3,282,899 | |
Payables: | | | | |
Investments purchased | | | 836,929 | |
Capital shares redeemed | | | 63,511 | |
Distribution fees | | | 1,152 | |
Investment advisory fees | | | 28,757 | |
Other affiliates | | | 354 | |
Other accrued expenses | | | 172,643 | |
| | | | |
Total liabilities | | | 4,386,245 | |
| | | | |
| |
NET ASSETS | | $ | 77,576,900 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 83,573,388 | |
Accumulated loss | | | (5,996,488) | |
| | | | |
NET ASSETS | | $ | 77,576,900 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $71,620,413 and 8,519,541 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 8.41 | |
| | | | |
Class II — Based on net assets of $579,977 and 68,527 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 8.46 | |
| | | | |
Class III — Based on net assets of $5,376,510 and 653,567 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 8.23 | |
| | | | |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock Advantage Large Cap Value V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 3,714 | |
Dividends — unaffiliated | | | 1,077,306 | |
Securities lending income — affiliated — net | | | 10,006 | |
Foreign taxes withheld | | | (739) | |
| | | | |
Total investment income | | | 1,090,287 | |
| | | | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 303,347 | |
Transfer agent — class specific | | | 79,839 | |
Accounting services | | | 25,109 | |
Professional | | | 20,164 | |
Custodian | | | 11,644 | |
Distribution — class specific | | | 6,651 | |
Directors and Officer | | | 2,735 | |
Transfer agent | | | 2,488 | |
Printing | | | 1,279 | |
Miscellaneous | | | 2,135 | |
| | | | |
Total expenses | | | 455,391 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (126,432) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (79,839) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 249,120 | |
| | | | |
Net investment income | | | 841,167 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized loss from: | | | | |
Investments — affiliated | | | (6,811) | |
Investments — unaffiliated | | | (3,487,754) | |
Futures contracts | | | (25,516) | |
| | | | |
| | | (3,520,081) | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (437) | |
Investments — unaffiliated | | | (11,264,768) | |
Futures contracts | | | 33,048 | |
| | | | |
| | | (11,232,157) | |
| | | | |
Net realized and unrealized loss | | | (14,752,238) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (13,911,071) | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Advantage Large Cap Value V.I.
Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 841,167 | | | $ | 1,955,805 | |
Net realized gain (loss) | | | (3,520,081) | | | | 5,652,429 | |
Net change in unrealized appreciation (depreciation) | | | (11,232,157) | | | | 12,949,136 | |
Net increase (decrease) in net assets resulting from operations | | | (13,911,071) | | | | 20,557,370 | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (5,280,887) | |
Class II | | | — | | | | (83,595) | |
Class III | | | — | | | | (272,257) | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (5,636,739) | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (2,956,885) | | | | (7,849,629) | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (16,867,956) | | | | 7,071,002 | |
Beginning of period | | | 94,444,856 | | | | 87,373,854 | |
End of period | | $ | 77,576,900 | | | $ | 94,444,856 | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Value V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 9.86 | | | | | | | $ | 8.40 | | | $ | 10.63 | | | $ | 12.06 | | | $ | 11.49 | | | $ | 12.74 | |
Net investment income (a) | | | 0.09 | | | | | | | | 0.20 | | | | 0.20 | (b) | | | 0.20 | | | | 0.15 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | (1.54 | ) | | | | | | | 1.88 | | | | (1.08 | ) | | | 1.86 | | | | 1.41 | | | | (0.36 | ) |
Net increase (decrease) from investment operations | | | (1.45 | ) | | | | | | | 2.08 | | | | (0.88 | ) | | | 2.06 | | | | 1.56 | | | | (0.22 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.20 | ) | | | (0.21 | ) | | | (0.21 | ) | | | (0.16 | ) | | | (0.15 | ) |
From net realized gain | | | — | | | | | | | | (0.42 | ) | | | (1.14 | ) | | | (3.28 | ) | | | (0.83 | ) | | | (0.88 | ) |
Total distributions | | | — | | | | | | | | (0.62 | ) | | | (1.35 | ) | | | (3.49 | ) | | | (0.99 | ) | | | (1.03 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 8.41 | | | | | | | $ | 9.86 | | | $ | 8.40 | | | $ | 10.63 | | | $ | 12.06 | | | $ | 11.49 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (14.71)%(e) | | | | | | | | 24.89% | | | | (8.20)% | | | | 17.22% | | | | 13.60% | | | | (1.72)% | |
| | | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.11%(g) | | | | | | | | 1.13% | | | | 1.17% | | | | 1.17% | | | | 1.09% | | | | 1.08% | |
Total expenses after fees waived and/or reimbursed | | | 0.60%(g) | | | | | | | | 0.60% | | | | 0.61% | | | | 0.71% | | | | 0.82% | | | | 0.77% | |
Net investment income | | | 2.10%(g) | | | | | | | | 2.12% | | | | 1.90%(b) | | | | 1.57% | | | | 1.29% | | | | 1.14% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 71,620 | | | | | | | $ | 87,984 | | | $ | 78,685 | | | $ | 99,213 | | | $ | 92,795 | | | $ | 93,983 | |
Portfolio turnover rate | | | 74% | | | | | | | | 144% | | | | 164% | | | | 168% | | | | 47% | | | | 29% | |
|
(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 0.09%, respectively, resulting from a non-recurring 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) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | | | | | — | % | | | 0.00 | % | | | 0.01 | % | | | — | % | | | — | % |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Value V.I. Fund | |
| |
| | | Class II | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 9.93 | | | | | | | $ | 8.44 | | | $ | 10.67 | | | $ | 12.09 | | | $ | 11.52 | | | $ | 12.77 | |
Net investment income (a) | | | 0.08 | | | | | | | | 0.19 | | | | 0.19 | (b) | | | 0.18 | | | | 0.13 | | | | 0.12 | |
Net realized and unrealized gain (loss) | | | (1.55 | ) | | | | | | | 1.89 | | | | (1.09 | ) | | | 1.86 | | | | 1.40 | | | | (0.36 | ) |
Net increase (decrease) from investment operations | | | (1.47 | ) | | | | | | | 2.08 | | | | (0.90 | ) | | | 2.04 | | | | 1.53 | | | | (0.24 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.17 | ) | | | (0.19 | ) | | | (0.18 | ) | | | (0.13 | ) | | | (0.13 | ) |
From net realized gain | | | — | | | | | | | | (0.42 | ) | | | (1.14 | ) | | | (3.28 | ) | | | (0.83 | ) | | | (0.88 | ) |
Total distributions | | | — | | | | | | | | (0.59 | ) | | | (1.33 | ) | | | (3.46 | ) | | | (0.96 | ) | | | (1.01 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 8.46 | | | | | | | $ | 9.93 | | | $ | 8.44 | | | $ | 10.67 | | | $ | 12.09 | | | $ | 11.52 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (14.80)%(e) | | | | | | | | 24.69% | | | | (8.37)% | | | | 17.06% | | | | 13.35% | | | | (1.96)% | |
| | | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.23%(g) | | | | | | | | 1.27% | | | | 1.32% | | | | 1.32% | | | | 1.27% | | | | 1.19% | |
Total expenses after fees waived and/or reimbursed | | | 0.75%(g) | | | | | | | | 0.75% | | | | 0.76% | | | | 0.88% | | | | 1.03% | | | | 0.96% | |
Net investment income | | | 1.94%(g) | | | | | | | | 1.95% | | | | 1.74%(b) | | | | 1.38% | | | | 1.10% | | | | 0.95% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 580 | | | | | | | $ | 1,484 | | | $ | 4,813 | | | $ | 7,063 | | | $ | 6,060 | | | $ | 5,680 | |
Portfolio turnover rate | | | 74% | | | | | | | | 144% | | | | 164% | | | | 168% | | | | 47% | | | | 29% | |
(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 0.10%, respectively, resulting from a non-recurring 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) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | | | | | — | % | | | 0.00 | % | | | 0.01 | % | | | — | % | | | — | % |
See notes to financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Value V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 9.66 | | | | | | | $ | 8.24 | | | $ | 10.46 | | | $ | 11.92 | | | $ | 11.37 | | | $ | 12.61 | |
Net investment income (a) | | | 0.08 | | | | | | | | 0.18 | | | | 0.18 | (b) | | | 0.16 | | | | 0.11 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | (1.51 | ) | | | | | | | 1.84 | | | | (1.07 | ) | | | 1.83 | | | | 1.38 | | | | (0.36 | ) |
Net increase (decrease) from investment operations | | | (1.43 | ) | | | | | | | 2.02 | | | | (0.89 | ) | | | 1.99 | | | | 1.49 | | | | (0.26 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.18 | ) | | | (0.19 | ) | | | (0.17 | ) | | | (0.11 | ) | | | (0.10 | ) |
From net realized gain | | | — | | | | | | | | (0.42 | ) | | | (1.14 | ) | | | (3.28 | ) | | | (0.83 | ) | | | (0.88 | ) |
Total distributions | | | — | | | | | | | | (0.60 | ) | | | (1.33 | ) | | | (3.45 | ) | | | (0.94 | ) | | | (0.98 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 8.23 | | | | | | | $ | 9.66 | | | $ | 8.24 | | | $ | 10.46 | | | $ | 11.92 | | | $ | 11.37 | |
| | | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (14.80)%(e) | | | | | | | | 24.60% | | | | (8.46)% | | | | 16.86% | | | | 13.17% | | | | (2.11)% | |
| | | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.37%(g) | | | | | | | | 1.38% | | | | 1.42% | | | | 1.43% | | | | 1.35% | | | | 1.34% | |
Total expenses after fees waived and/or reimbursed | | | 0.85%(g) | | | | | | | | 0.85% | | | | 0.86% | | | | 0.99% | | | | 1.18% | | | | 1.13% | |
Net investment income | | | 1.88%(g) | | | | | | | | 1.88% | | | | 1.70%(b) | | | | 1.26% | | | | 0.92% | | | | 0.78% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 5,377 | | | | | | | $ | 4,976 | | | $ | 3,876 | | | $ | 3,019 | | | $ | 1,930 | | | $ | 1,810 | |
Portfolio turnover rate | | | 74% | | | | | | | | 144% | | | | 164% | | | | 168% | | | | 47% | | | | 29% | |
|
(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 0.09%, respectively, resulting from a non-recurring 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) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | |
| | | Six Months Ended 06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | | | | | — | % | | | 0.00 | % | | | 0.01 | % | | | — | % | | | — | % |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Advantage Large Cap Value V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | • | | Futures contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for 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, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | | Cash Collateral Received (a) | | | Net Amount | |
Barclays Bank plc | | $ | 130,312 | | | $ | (130,312 | ) | | $ | — | |
BofA Securities, Inc. | | | 6,041 | | | | (6,041 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 1,992,674 | | | | (1,992,674 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 259,337 | | | | (259,337 | ) | | | — | |
Goldman Sachs & Co. | | | 90,372 | | | | (90,372 | ) | | | — | |
JP Morgan Securities LLC | | | 250,746 | | | | (250,746 | ) | | | — | |
Morgan Stanley & Co. LLC | | | 471,163 | | | | (471,163 | ) | | | — | |
National Financial Services LLC | | | 16,039 | | | | (16,039 | ) | | | — | |
State Street Bank & Trust Co. | | | 35,904 | | | | (35,904 | ) | | | — | |
| | $ | 3,252,588 | | | $ | (3,252,588 | ) | | $ | — | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter.
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 Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment Advisory Fees | |
First $1 Billion | | | 0.75 | % |
$1 Billion — $3 Billion | | | 0.71 | |
$3 Billion — $5 Billion | | | 0.68 | |
$5 Billion — $10 Billion | | | 0.65 | |
Greater than $10 Billion | | | 0.64 | |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15% | |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the following table shows the class specific distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution Fees | |
Class II | | $ | 905 | |
Class III | | | 5,746 | |
| | | $ | 6,651 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 74,167 | |
Class II | | | 996 | |
Class III | | | 4,676 | |
| | | $ | 79,839 | |
Expense Limitations, Waivers, and Reimbursements: The Manager has agreed to voluntarily waive 0.05% of its investment advisory fee payable by the Fund. This voluntary waiver may be reduced or discontinued at any time without notice. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived and/or reimbursed was $20,223.
The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $609.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $555 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.00 | % |
Class II | | | 0.05 | |
Class III | | | 0.11 | |
| | |
NOTESTO FINANCIAL STATEMENTS | | 21 |
Notes to Financial Statements (unaudited) (continued)
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements are as follows:
| | | | |
| | | Transfer Agent Fees Waived and/or Reimbursed | |
Class I | | | $ 74,166 | |
Class II | | | 697 | |
Class III | | | 2,151 | |
| | | | $ 77,014 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 0.60 | % |
Class II | | | 0.75 | |
Class III | | | 0.85 | |
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $105,600 and $2,825, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Statement of Operations.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $3,120 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $59,172,936 and $62,619,140, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 85,097,094 | |
| | | | |
Gross unrealized appreciation | | $ | 3,084,508 | |
Gross unrealized depreciation | | | (7,505,038 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | (4,420,530 | ) |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial
| | |
NOTESTO FINANCIAL STATEMENTS | | 23 |
Notes to Financial Statements (unaudited) (continued)
resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | | Year Ended
12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 160,063 | | | $ | 1,411,706 | | | | 351,065 | | | $ | 3,386,062 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 539,411 | | | | 5,280,887 | |
Shares redeemed | | | (564,664 | ) | | | (4,824,811 | ) | | | (1,336,511 | ) | | | (12,817,825 | ) |
Net decrease | | | (404,601 | ) | | $ | (3,413,105 | ) | | | (446,035 | ) | | $ | (4,150,876 | ) |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 53,715 | | | $ | 390,836 | | | | 80,996 | | | $ | 770,410 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 8,478 | | | | 83,595 | |
Shares redeemed | | | (134,608 | ) | | | (1,047,815 | ) | | | (510,369 | ) | | | (4,969,798 | ) |
Net decrease | | | (80,893 | ) | | $ | (656,979 | ) | | | (420,895 | ) | | $ | (4,115,793 | ) |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 197,300 | | | $ | 1,594,897 | | | | 279,094 | | | $ | 2,664,998 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 28,389 | | | | 272,257 | |
Shares redeemed | | | (58,890 | ) | | | (481,698 | ) | | | (262,713 | ) | | | (2,520,215 | ) |
Net increase | | | 138,410 | | | $ | 1,113,199 | | | | 44,770 | | | $ | 417,040 | |
Total Net Decrease | | | (347,084 | ) | | $ | (2,956,885 | ) | | | (822,160 | ) | | $ | (7,849,629 | ) |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviation |
| |
| S&P | | Standard & Poor’s |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 25 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Advantage U.S. Total Market V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund |
Investment Objective
BlackRock Advantage U.S. Total Market V.I. Fund’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, 2020, the Fund outperformed its benchmark, the Russell 3000® Index.
What factors influenced performance?
The Fund performed well navigating a highly volatile market backdrop during the period. At the beginning of 2020, markets were touching new highs in a strong risk-on rally driven by excitement for a phase one trade deal between the United States and China. The anticipation of a resolution for the trade dispute, and the actual deal itself, helped boost stocks through mid-February. However, the spread of a coronavirus across the globe provided an inflection point leading to a steep market decline. Investor concerns mounted amid broadly enforced economic shutdowns, as expectations of growth and employment were impacted. The speed of the selloff drove one of the worst quarterly returns for U.S. equities on record as volatility hit levels last observed during the 2008 global financial crisis. As a result, policy makers stepped in with both fiscal and monetary packages aimed at supporting the market. In the second quarter of 2020, U.S. equities recovered sharply as policy stimulus exceeded expectations and the economy slowly reopened. Further supporting markets, economic data improved after hitting troughs earlier in the year. Both U.S. retail sales and jobs data surprised in May, creating hope for a strong recovery. This prompted a sharp reversal in market leadership, as positions that had benefited earlier from the coronavirus pandemic began to underperform more value-oriented cyclicals. The recovery ultimately moderated in June amid rising coronavirus cases, reestablishing leadership for growth over value.
The Fund’s sentiment measures drove the outperformance for the period, as they were broadly able to successfully navigate the changing market environment. Sentiment-based insights that utilize alternative data also contributed to excess returns. This was most observable across insights that captured supply chain disruptions and look to non-obvious news. Additionally, there was continued strength from insights related to environmental, social and governance (“ESG”) factors, which tend to demonstrate portfolio resilience during market declines. Specifically, a recently added insight that identifies investor flows into ESG-related positions was one of the top performing signals after successfully capturing an evolving investor preference for sustainability.
Unsurprisingly, given the market volatility, insights with a preference for less-leveraged companies also positively contributed. In addition, newer insights that look to capture emerging themes such as “work from home” added value in the period. Capturing how companies are navigating fast-changing consumer habits and the emergence from lockdown using web traffic and mobile application usage was effective. The “real time” nature of these types of measures has been helpful in evaluating the quickly evolving marketplace, specifically across internet & direct marketing retailers.
Select insights struggled during the period. Certain macro-thematic insights struggled against the rapidly evolving backdrop. A style-timing insight focused on momentum exposures detracted given the sharp rotations of that style in and out of favor during the period. Similarly, macro insights that that look toward import and labor costs were also weak in the period. Finally, growth and technology stocks continued to dominate market leadership, presenting a headwind to value-based insights.
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. Among these is a new signal that uses the investment adviser’s existing library of insights to create bespoke allocation models at the individual stock level. This builds upon earlier machine-learned capabilities developed by the investment adviser. Additionally, a new insight that looks to identify trade crowding from broker concentration was added. Finally, given the dynamism of the current environment, the Fund has instituted enhanced signal constructs to best identify emerging trends, such as “work from home.”
Describe portfolio positioning at period end.
Relative to the Russell 3000® Index, the Fund was positioned essentially neutrally from a sector perspective. The Fund had slight overweight positions in the consumer discretionary and health care sectors and slight underweight positions in the communication services and information technology.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Advantage U.S. Total Market V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | 1 Year | | | | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (2.52) | % | | | 6.09 | % | | | | | | | 8.60 | % | | | 12.88 | % |
Class II (b)(c) | | | (2.56) | | | | 5.90 | | | | | | | | 8.42 | | | | 12.70 | |
Class III (b)(c) | | | (2.63) | | | | 5.78 | | | | | | | | 8.35 | | | | 12.63 | |
Russell 3000® Index (d) | | | (3.48) | | | | 6.53 | | | | | | | | 10.03 | | | | 13.72 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. issuers and derivatives that have similar economic characteristics to such securities. The Fund’s total returns prior to June 12, 2017 are the returns of the Fund when it followed different investment strategies under the name “BlackRock Value Opportunities V.I. Fund”. |
| (d) | An index that measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. 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. |
Portfolio Information
SECTOR ALLOCATION
| | | | |
| | |
| Sector | | Percent of
Net Assets | |
Information Technology | | | 25 | % |
Health Care | | | 15 | |
Consumer Discretionary | | | 12 | |
Financials | | | 10 | |
Industrials | | | 9 | |
Communication Services | | | 9 | |
Consumer Staples | | | 7 | |
Real Estate | | | 3 | |
Utilities | | | 3 | |
Materials | | | 2 | |
Energy | | | 2 | |
Short-Term Securities | | | 6 | |
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 such sector sub-classifications for reporting ease.
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio |
Class I | | $ | 1,000.00 | | | $ | 974.80 | | | $ | 2.70 | | | | | | | $ | 1,000.00 | | | $ | 1,022.13 | | | $ | 2.77 | | | 0.55% |
Class II | | | 1,000.00 | | | | 974.40 | | | | 3.44 | | | | | | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | 0.70 |
Class III | | | 1,000.00 | | | | 973.70 | | | | 3.93 | | | | | | | | 1,000.00 | | | | 1,020.89 | | | | 4.02 | | | 0.80 |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 96.9% | | | | | | | | |
| | |
| Aerospace & Defense — 1.4% | | | | | | |
Astronics Corp.(a) | | | 7,730 | | | $ | 81,629 | |
Boeing Co. (The)(b) | | | 725 | | | | 132,893 | |
Curtiss-Wright Corp. | | | 1,257 | | | | 112,225 | |
HEICO Corp. | | | 2,963 | | | | 295,263 | |
Hexcel Corp. | | | 614 | | | | 27,765 | |
L3Harris Technologies, Inc. | | | 1,241 | | | | 210,560 | |
Lockheed Martin Corp. | | | 1,894 | | | | 691,159 | |
Mercury Systems, Inc.(a) | | | 655 | | | | 51,522 | |
Moog, Inc., Class A | | | 310 | | | | 16,424 | |
Northrop Grumman Corp. | | | 721 | | | | 221,664 | |
Teledyne Technologies, Inc.(a) | | | 1,272 | | | | 395,528 | |
| | | | | | | | |
| | | | | | | 2,236,632 | |
| | |
| Air Freight & Logistics — 0.3% | | | | | | |
FedEx Corp. | | | 285 | | | | 39,963 | |
Hub Group, Inc., Class A(a) | | | 4,489 | | | | 214,843 | |
United Parcel Service, Inc., Class B | | | 2,693 | | | | 299,408 | |
| | | | | | | | |
| | | | | | | 554,214 | |
| | |
| Airlines — 0.3% | | | | | | |
Alaska Air Group, Inc. | | | 4,433 | | | | 160,740 | |
Delta Air Lines, Inc. | | | 8,796 | | | | 246,728 | |
Hawaiian Holdings, Inc. | | | 2,226 | | | | 31,253 | |
| | | | | | | | |
| | | | | | | 438,721 | |
| | |
| Auto Components — 0.1% | | | | | | |
Dana, Inc. | | | 16,568 | | | | 201,964 | |
| | | | | | | | |
| | |
| Automobiles — 0.5% | | | | | | |
Tesla, Inc.(a) | | | 783 | | | | 845,491 | |
| | | | | | | | |
| | |
| Banks — 3.8% | | | | | | |
Bank of America Corp. | | | 38,786 | | | | 921,167 | |
Bank of Hawaii Corp. | | | 251 | | | | 15,414 | |
Bank OZK(b) | | | 5,409 | | | | 126,949 | |
BOK Financial Corp.(b) | | | 568 | | | | 32,058 | |
CIT Group, Inc. | | | 2,980 | | | | 61,775 | |
Citigroup, Inc. | | | 4,258 | | | | 217,584 | |
Citizens Financial Group, Inc. | | | 16,883 | | | | 426,127 | |
Comerica, Inc. | | | 505 | | | | 19,240 | |
Credicorp Ltd. | | | 156 | | | | 20,853 | |
Cullen/Frost Bankers, Inc.(b) | | | 5,846 | | | | 436,755 | |
First Horizon National Corp. | | | 13,586 | | | | 135,317 | |
IBERIABANK Corp. | | | 275 | | | | 12,523 | |
JPMorgan Chase & Co. | | | 16,364 | | | | 1,539,198 | |
M&T Bank Corp. | | | 195 | | | | 20,274 | |
Pinnacle Financial Partners, Inc. | | | 816 | | | | 34,264 | |
PNC Financial Services Group, Inc. (The) | | | 345 | | | | 36,297 | |
Republic First Bancorp, Inc.(a) | | | 25,113 | | | | 61,276 | |
Sandy Spring Bancorp, Inc. | | | 2,013 | | | | 49,882 | |
South State Corp. | | | 1,702 | | | | 81,117 | |
Synovus Financial Corp. | | | 859 | | | | 17,635 | |
US Bancorp. | | | 5,144 | | | | 189,402 | |
Webster Financial Corp. | | | 1,132 | | | | 32,387 | |
Wells Fargo & Co. | | | 55,187 | | | | 1,412,787 | |
Wintrust Financial Corp. | | | 1,996 | | | | 87,066 | |
Zions Bancorp NA | | | 3,504 | | | | 119,136 | |
| | | | | | | | |
| | | | | | | 6,106,483 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Beverages — 1.8% | | | | | | |
Coca-Cola Co. (The) | | | 12,278 | | | $ | 548,581 | |
Coca-Cola European Partners plc | | | 4,619 | | | | 174,413 | |
Molson Coors Beverage Co., Class B(b) | | | 2,207 | | | | 75,833 | |
PepsiCo, Inc. | | | 15,775 | | | | 2,086,401 | |
| | | | | | | | |
| | | | | | | 2,885,228 | |
| | |
| Biotechnology — 4.0% | | | | | | |
AbbVie, Inc. | | | 18,911 | | | | 1,856,682 | |
Alkermes plc(a) | | | 7,469 | | | | 144,936 | |
Amgen, Inc. | | | 6,267 | | | | 1,478,135 | |
Biogen, Inc.(a) | | | 860 | | | | 230,093 | |
Bluebird Bio, Inc.(a) | | | 1,164 | | | | 71,051 | |
Clovis Oncology, Inc.(a) | | | 2,440 | | | | 16,470 | |
Gilead Sciences, Inc. | | | 14,422 | | | | 1,109,629 | |
Inovio Pharmaceuticals, Inc.(a)(b) | | | 862 | | | | 23,231 | |
Moderna, Inc.(a) | | | 2,944 | | | | 189,034 | |
Novavax, Inc.(a) | | | 350 | | | | 29,172 | |
Prevail Therapeutics, Inc.(a) | | | 652 | | | | 9,715 | |
Regeneron Pharmaceuticals, Inc.(a)(b) | | | 849 | | | | 529,479 | |
Sage Therapeutics, Inc.(a) | | | 2,824 | | | | 117,422 | |
Sorrento Therapeutics, Inc.(a)(b) | | | 3,652 | | | | 22,934 | |
United Therapeutics Corp.(a) | | | 593 | | | | 71,753 | |
Vertex Pharmaceuticals, Inc.(a) | | | 2,113 | | | | 613,425 | |
Vir Biotechnology, Inc.(a) | | | 263 | | | | 10,775 | |
| | | | | | | | |
| | | | | | | 6,523,936 | |
| | |
| Building Products — 0.7% | | | | | | |
Advanced Drainage Systems, Inc. | | | 2,226 | | | | 109,965 | |
Allegion plc | | | 8,006 | | | | 818,373 | |
Owens Corning | | | 479 | | | | 26,709 | |
Resideo Technologies, Inc.(a) | | | 5,472 | | | | 64,132 | |
Trex Co., Inc.(a) | | | 818 | | | | 106,397 | |
| | | | | | | | |
| | | | | | | 1,125,576 | |
| | |
| Capital Markets — 3.1% | | | | | | |
Affiliated Managers Group, Inc. | | | 814 | | | | 60,692 | |
Ameriprise Financial, Inc. | | | 2,272 | | | | 340,891 | |
Bank of New York Mellon Corp. (The) | | | 3,928 | | | | 151,817 | |
Cboe Global Markets, Inc. | | | 1,669 | | | | 155,684 | |
Charles Schwab Corp. (The) | | | 14,435 | | | | 487,037 | |
CME Group, Inc. | | | 4,208 | | | | 683,968 | |
E*TRADE Financial Corp. | | | 579 | | | | 28,794 | |
FactSet Research Systems, Inc. | | | 1,223 | | | | 401,719 | |
Franklin Resources, Inc. | | | 1,310 | | | | 27,471 | |
Intercontinental Exchange, Inc. | | | 5,943 | | | | 544,379 | |
Invesco Ltd.(b) | | | 5,031 | | | | 54,133 | |
Moody’s Corp. | | | 1,450 | | | | 398,358 | |
Northern Trust Corp. | | | 722 | | | | 57,283 | |
S&P Global, Inc. | | | 3,852 | | | | 1,269,157 | |
State Street Corp. | | | 2,360 | | | | 149,978 | |
T. Rowe Price Group, Inc. | | | 746 | | | | 92,131 | |
TD Ameritrade Holding Corp. | | | 1,394 | | | | 50,714 | |
Westwood Holdings Group, Inc. | | | 1,973 | | | | 31,075 | |
| | | | | | | | |
| | | | | | | 4,985,281 | |
| | |
| Chemicals — 1.7% | | | | | | |
Air Products & Chemicals, Inc. | | | 3,262 | | | | 787,642 | |
Dow, Inc. | | | 2,129 | | | | 86,778 | |
Ecolab, Inc.(b) | | | 4,826 | | | | 960,133 | |
FMC Corp. | | | 180 | | | | 17,932 | |
Ingevity Corp.(a) | | | 997 | | | | 52,412 | |
Linde plc | | | 634 | | | | 134,478 | |
LyondellBasell Industries NV, Class A | | | 1,103 | | | | 72,489 | |
Minerals Technologies, Inc. | | | 824 | | | | 38,670 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Chemicals (continued) | | | | | | |
Mosaic Co. (The) | | | 14,309 | | | $ | 179,006 | |
Scotts Miracle-Gro Co. (The) | | | 530 | | | | 71,269 | |
Sherwin-Williams Co. (The) | | | 443 | | | | 255,988 | |
Trinseo SA | | | 1,284 | | | | 28,453 | |
| | | | | | | | |
| | | | | | | 2,685,250 | |
| | |
| Commercial Services & Supplies — 0.3% | | | | | | |
Cintas Corp. | | | 1,385 | | | | 368,909 | |
MSA Safety, Inc.(b) | | | 834 | | | | 95,443 | |
| | | | | | | | |
| | | | | | | 464,352 | |
| | |
| Communications Equipment — 1.0% | | | | | | |
Acacia Communications, Inc.(a) | | | 200 | | | | 13,438 | |
Cisco Systems, Inc. | | | 34,216 | | | | 1,595,834 | |
CommScope Holding Co., Inc.(a) | | | 1,911 | | | | 15,919 | |
Motorola Solutions, Inc. | | | 306 | | | | 42,880 | |
| | | | | | | | |
| | | | | | | 1,668,071 | |
| | |
| Construction & Engineering — 0.7% | | | | | | |
Comfort Systems USA, Inc. | | | 8,681 | | | | 353,751 | |
EMCOR Group, Inc. | | | 8,044 | | | | 532,030 | |
MasTec, Inc.(a) | | | 6,021 | | | | 270,162 | |
| | | | | | | | |
| | | | | | | 1,155,943 | |
| | |
| Construction Materials — 0.0% | | | | | | |
Vulcan Materials Co. | | | 223 | | | | 25,834 | |
| | | | | | | | |
| | |
| Consumer Finance — 0.6% | | | | | | |
Ally Financial, Inc. | | | 15,224 | | | | 301,892 | |
American Express Co. | | | 4,900 | | | | 466,480 | |
Discover Financial Services | | | 113 | | | | 5,660 | |
FirstCash, Inc. | | | 758 | | | | 51,150 | |
LendingTree, Inc.(a) | | | 398 | | | | 115,233 | |
| | | | | | | | |
| | | | | | | 940,415 | |
| | |
| Containers & Packaging — 0.0% | | | | | | |
WestRock Co. | | | 957 | | | | 27,045 | |
| | | | | | | | |
| | |
| Diversified Consumer Services — 0.4% | | | | | | |
Bright Horizons Family Solutions, Inc.(a) | | | 1,645 | | | | 192,794 | |
Chegg, Inc.(a) | | | 361 | | | | 24,281 | |
Graham Holdings Co., Class B | | | 146 | | | | 50,030 | |
H&R Block, Inc. | | | 22,179 | | | | 316,716 | |
| | | | | | | | |
| | | | | | | 583,821 | |
| | |
| Diversified Financial Services — 0.8% | | | | | | |
Berkshire Hathaway, Inc., Class B(a) | | | 7,096 | | | | 1,266,707 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 0.9% | |
AT&T, Inc. | | | 22,950 | | | | 693,779 | |
CenturyLink, Inc. | | | 2,707 | | | | 27,151 | |
Verizon Communications, Inc. | | | 12,816 | | | | 706,546 | |
| | | | | | | | |
| | | | | | | 1,427,476 | |
| | |
| Electric Utilities — 1.6% | | | | | | |
ALLETE, Inc. | | | 1,774 | | | | 96,878 | |
Alliant Energy Corp.(b) | | | 9,313 | | | | 445,534 | |
El Paso Electric Co. | | | 214 | | | | 14,338 | |
Eversource Energy | | | 6,405 | | | | 533,344 | |
Exelon Corp. | | | 403 | | | | 14,625 | |
IDACORP, Inc. | | | 8,494 | | | | 742,121 | |
NextEra Energy, Inc. | | | 966 | | | | 232,004 | |
Pinnacle West Capital Corp. | | | 4,192 | | | | 307,232 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Electric Utilities (continued) | | | | | | |
Xcel Energy, Inc. | | | 2,080 | | | $ | 130,000 | |
| | | | | | | | |
| | | | | | | 2,516,076 | |
| | |
| Electrical Equipment — 0.7% | | | | | | |
AMETEK, Inc. | | | 4,754 | | | | 424,865 | |
Generac Holdings, Inc.(a) | | | 1,019 | | | | 124,247 | |
Hubbell, Inc. | | | 3,862 | | | | 484,140 | |
Rockwell Automation, Inc. | | | 188 | | | | 40,044 | |
| | | | | | | | |
| | | | | | | 1,073,296 | |
|
| Electronic Equipment, Instruments & Components — 0.4% | |
Avnet, Inc. | | | 8,521 | | | | 237,608 | |
National Instruments Corp. | | | 9,244 | | | | 357,835 | |
| | | | | | | | |
| | | | | | | 595,443 | |
| | |
| Energy Equipment & Services — 0.3% | | | | | | |
Archrock, Inc.(b) | | | 27,487 | | | | 178,391 | |
ChampionX Corp.(a) | | | 4,883 | | | | 47,658 | |
Schlumberger Ltd. | | | 11,714 | | | | 215,420 | |
Seadrill Ltd.(a) | | | 29 | | | | 13 | |
TechnipFMC plc | | | 20,037 | | | | 137,053 | |
| | | | | | | | |
| | | | | | | 578,535 | |
| | |
| Entertainment — 0.8% | | | | | | |
Activision Blizzard, Inc. | | | 2,306 | | | | 175,025 | |
Electronic Arts, Inc.(a) | | | 155 | | | | 20,468 | |
Netflix, Inc.(a) | | | 2,187 | | | | 995,173 | |
Zynga, Inc., Class A(a) | | | 5,636 | | | | 53,767 | |
| | | | | | | | |
| | | | | | | 1,244,433 | |
|
| Equity Real Estate Investment Trusts (REITs) — 3.1% | |
Alexandria Real Estate Equities, Inc. | | | 1,252 | | | | 203,137 | |
American Campus Communities, Inc. | | | 2,374 | | | | 82,995 | |
American Tower Corp. | | | 2,951 | | | | 762,952 | |
AvalonBay Communities, Inc. | | | 1,591 | | | | 246,032 | |
Boston Properties, Inc. | | | 8,938 | | | | 807,816 | |
Camden Property Trust | | | 1,400 | | | | 127,708 | |
Crown Castle International Corp. | | | 337 | | | | 56,397 | |
Equity Residential | | | 8,730 | | | | 513,499 | |
Essex Property Trust, Inc. | | | 403 | | | | 92,355 | |
Federal Realty Investment Trust | | | 474 | | | | 40,390 | |
Host Hotels & Resorts, Inc. | | | 20,079 | | | | 216,652 | |
Life Storage, Inc. | | | 445 | | | | 42,253 | |
Macerich Co. (The)(b) | | | 2,192 | | | | 19,662 | |
National Retail Properties, Inc. | | | 488 | | | | 17,314 | |
Outfront Media, Inc. | | | 2,886 | | | | 40,895 | |
Park Hotels & Resorts, Inc. | | | 24,904 | | | | 246,301 | |
Prologis, Inc. | | | 7,949 | | | | 741,880 | |
QTS Realty Trust, Inc., Class A | | | 899 | | | | 57,617 | |
Realty Income Corp. | | | 2,016 | | | | 119,952 | |
Regency Centers Corp. | | | 844 | | | | 38,731 | |
RLJ Lodging Trust(b) | | | 30,209 | | | | 285,173 | |
SBA Communications Corp. | | | 621 | | | | 185,008 | |
Simon Property Group, Inc. | | | 743 | | | | 50,806 | |
Ventas, Inc. | | | 858 | | | | 31,420 | |
Welltower, Inc. | | | 1,300 | | | | 67,275 | |
| | | | | | | | |
| | | | | | | 5,094,220 | |
| | |
| Food & Staples Retailing — 1.5% | | | | �� | | |
Costco Wholesale Corp. | | | 7,766 | | | | 2,354,729 | |
Performance Food Group Co.(a) | | | 1,079 | | | | 31,442 | |
| | | | | | | | |
| | | | | | | 2,386,171 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Food Products — 1.5% | | | | | | |
Campbell Soup Co.(b) | | | 664 | | | $ | 32,954 | |
General Mills, Inc. | | | 14,412 | | | | 888,500 | |
Hershey Co. (The) | | | 6,537 | | | | 847,326 | |
Lamb Weston Holdings, Inc. | | | 1,672 | | | | 106,891 | |
Lancaster Colony Corp. | | | 2,636 | | | | 408,553 | |
Mondelez International, Inc., Class A | | | 1,468 | | | | 75,059 | |
| | | | | | | | |
| | | | | | | 2,359,283 | |
| | |
| Gas Utilities — 0.2% | | | | | | |
Southwest Gas Holdings, Inc. | | | 2,215 | | | | 152,946 | |
UGI Corp. | | | 5,850 | | | | 186,030 | |
| | | | | | | | |
| | | | | | | 338,976 | |
| | |
| Health Care Equipment & Supplies — 2.9% | | | | | | |
Abbott Laboratories(b) | | | 12,265 | | | | 1,121,389 | |
Danaher Corp. | | | 2,015 | | | | 356,312 | |
Dentsply Sirona, Inc. | | | 491 | | | | 21,633 | |
DexCom, Inc.(a) | | | 249 | | | | 100,945 | |
Edwards Lifesciences Corp.(a) | | | 12,809 | | | | 885,230 | |
Globus Medical, Inc., Class A(a) | | | 1,115 | | | | 53,197 | |
Haemonetics Corp.(a) | | | 318 | | | | 28,480 | |
Hologic, Inc.(a)(b) | | | 744 | | | | 42,408 | |
IDEXX Laboratories, Inc.(a) | | | 2,007 | | | | 662,631 | |
LivaNova plc(a) | | | 1,483 | | | | 71,377 | |
Medtronic plc | | | 4,624 | | | | 424,021 | |
Sientra, Inc.(a)(b) | | | 15,403 | | | | 59,610 | |
SmileDirectClub, Inc.(a)(b) | | | 4,290 | | | | 33,891 | |
STERIS plc | | | 206 | | | | 31,609 | |
Stryker Corp. | | | 2,701 | | | | 486,693 | |
West Pharmaceutical Services, Inc. | | | 1,220 | | | | 277,147 | |
| | | | | | | | |
| | | | | | | 4,656,573 | |
| | |
| Health Care Providers & Services — 3.3% | | | | | | |
AmerisourceBergen Corp. | | | 2,078 | | | | 209,400 | |
AMN Healthcare Services, Inc.(a)(b) | | | 646 | | | | 29,225 | |
Anthem, Inc. | | | 2,915 | | | | 766,587 | |
Brookdale Senior Living, Inc.(a) | | | 6,004 | | | | 17,712 | |
Cardinal Health, Inc. | | | 3,833 | | | | 200,044 | |
Cigna Corp. | | | 1,992 | | | | 373,799 | |
CVS Health Corp. | | | 11,855 | | | | 770,219 | |
HCA Healthcare, Inc. | | | 1,975 | | | | 191,693 | |
Humana, Inc. | | | 64 | | | | 24,816 | |
Laboratory Corp. of America Holdings(a) | | | 654 | | | | 108,636 | |
McKesson Corp. | | | 3,921 | | | | 601,560 | |
Quest Diagnostics, Inc. | | | 2,010 | | | | 229,060 | |
UnitedHealth Group, Inc. | | | 6,100 | | | | 1,799,195 | |
| | | | | | | | |
| | | | | | | 5,321,946 | |
| | |
| Health Care Technology — 0.4%(a) | | | | | | |
Allscripts Healthcare Solutions, Inc. | | | 2,231 | | | | 15,104 | |
Teladoc Health, Inc. | | | 1,404 | | | | 267,939 | |
Veeva Systems, Inc., Class A | | | 1,624 | | | | 380,698 | |
| | | | | | | | |
| | | | | | | 663,741 | |
| | |
| Hotels, Restaurants & Leisure — 1.8% | | | | | | |
Boyd Gaming Corp. | | | 9,492 | | | | 198,383 | |
Brinker International, Inc. | | | 1,079 | | | | 25,896 | |
Chipotle Mexican Grill, Inc.(a) | | | 150 | | | | 157,854 | |
Choice Hotels International, Inc. | | | 614 | | | | 48,445 | |
Churchill Downs, Inc. | | | 180 | | | | 23,967 | |
Cracker Barrel Old Country Store, Inc. | | | 751 | | | | 83,293 | |
Darden Restaurants, Inc. | | | 4,318 | | | | 327,175 | |
Dave & Buster’s Entertainment, Inc. | | | 5,939 | | | | 79,167 | |
Domino’s Pizza, Inc. | | | 601 | | | | 222,033 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Hotels, Restaurants & Leisure (continued) | | | | | | |
Extended Stay America, Inc. | | | 11,948 | | | $ | 133,698 | |
International Game Technology plc | | | 4,395 | | | | 39,116 | |
McDonald’s Corp. | | | 2,227 | | | | 410,815 | |
Penn National Gaming, Inc.(a) | | | 4,545 | | | | 138,804 | |
Scientific Games Corp., Class A(a) | | | 2,812 | | | | 43,474 | |
Texas Roadhouse, Inc.(b) | | | 5,659 | | | | 297,494 | |
Vail Resorts, Inc. | | | 426 | | | | 77,596 | |
Wingstop, Inc. | | | 1,200 | | | | 166,764 | |
Wyndham Destinations, Inc. | | | 791 | | | | 22,290 | |
Wyndham Hotels & Resorts, Inc. | | | 878 | | | | 37,420 | |
Yum! Brands, Inc. | | | 5,095 | | | | 442,806 | |
| | | | | | | | |
| | | | | | | 2,976,490 | |
| | |
| Household Durables — 0.2% | | | | | | |
DR Horton, Inc. | | | 1,346 | | | | 74,636 | |
Helen of Troy Ltd.(a) | | | 1,088 | | | | 205,153 | |
LGI Homes, Inc.(a) | | | 351 | | | | 30,898 | |
| | | | | | | | |
| | | | | | | 310,687 | |
| | |
| Household Products — 1.7% | | | | | | |
Church & Dwight Co., Inc. | | | 5,085 | | | | 393,071 | |
Clorox Co. (The) | | | 1,409 | | | | 309,092 | |
Colgate-Palmolive Co. | | | 3,009 | | | | 220,439 | |
Procter & Gamble Co. (The) | | | 14,972 | | | | 1,790,202 | |
| | | | | | | | |
| | | | | | | 2,712,804 | |
| | |
| Industrial Conglomerates — 0.9% | | | | | | |
3M Co. | | | 236 | | | | 36,814 | |
Carlisle Cos., Inc. | | | 1,912 | | | | 228,809 | |
Honeywell International, Inc. | | | 5,418 | | | | 783,388 | |
Roper Technologies, Inc. | | | 942 | | | | 365,741 | |
| | | | | | | | |
| | | | | | | 1,414,752 | |
| | |
| Insurance — 1.9% | | | | | | |
Alleghany Corp. | | | 68 | | | | 33,261 | |
Allstate Corp. (The) | | | 496 | | | | 48,107 | |
Arthur J Gallagher & Co. | | | 2,645 | | | | 257,861 | |
Brown & Brown, Inc. | | | 3,968 | | | | 161,736 | |
Cincinnati Financial Corp. | | | 12,104 | | | | 775,019 | |
CNO Financial Group, Inc. | | | 1,558 | | | | 24,258 | |
First American Financial Corp. | | | 3,762 | | | | 180,651 | |
Globe Life, Inc. | | | 3,194 | | | | 237,091 | |
Hanover Insurance Group, Inc. (The) | | | 332 | | | | 33,642 | |
Hartford Financial Services Group, Inc. (The)(b) | | | 1,058 | | | | 40,786 | |
Marsh & McLennan Cos., Inc. | | | 3,123 | | | | 335,316 | |
Progressive Corp. (The) | | | 685 | | | | 54,875 | |
Prudential Financial, Inc. | | | 10,559 | | | | 643,043 | |
Reinsurance Group of America, Inc. | | | 564 | | | | 44,240 | |
Unum Group | | | 4,415 | | | | 73,245 | |
Willis Towers Watson plc | | | 667 | | | | 131,366 | |
| | | | | | | | |
| | | | | | | 3,074,497 | |
| | |
| Interactive Media & Services — 5.0%(a) | | | | | | |
Alphabet, Inc., Class A | | | 1,963 | | | | 2,783,632 | |
Alphabet, Inc., Class C | | | 1,520 | | | | 2,148,687 | |
Facebook, Inc., Class A | | | 10,039 | | | | 2,279,556 | |
Twitter, Inc. | | | 9,188 | | | | 273,711 | |
Yelp, Inc. | | | 1,798 | | | | 41,588 | |
ZoomInfo Technologies, Inc., Class A | | | 10,613 | | | | 541,581 | |
| | | | | | | | |
| | | | | | | 8,068,755 | |
| | |
| Internet & Direct Marketing Retail — 5.0% | | | | | | |
Amazon.com, Inc.(a) | | | 2,760 | | | | 7,614,343 | |
eBay, Inc. | | | 5,345 | | | | 280,345 | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Internet & Direct Marketing Retail (continued) | | | | | | |
Etsy, Inc.(a) | | | 828 | | | $ | 87,958 | |
Grubhub, Inc.(a) | | | 473 | | | | 33,252 | |
Wayfair, Inc., Class A(a) | | | 734 | | | | 145,046 | |
| | | | | | | | |
| | | | | | | 8,160,944 | |
| | |
| IT Services — 4.6% | | | | | | |
Accenture plc, Class A | | | 561 | | | | 120,458 | |
Automatic Data Processing, Inc. | | | 10,099 | | | | 1,503,640 | |
Broadridge Financial Solutions, Inc. | | | 558 | | | | 70,414 | |
Cognizant Technology Solutions Corp., Class A | | | 355 | | | | 20,171 | |
Fiserv, Inc.(a) | | | 857 | | | | 83,660 | |
Gartner, Inc.(a) | | | 262 | | | | 31,788 | |
Jack Henry & Associates, Inc. | | | 925 | | | | 170,228 | |
ManTech International Corp., Class A | | | 747 | | | | 51,162 | |
Mastercard, Inc., Class A | | | 4,590 | | | | 1,357,263 | |
Paychex, Inc. | | | 13,345 | | | | 1,010,884 | |
PayPal Holdings, Inc.(a) | | | 11,172 | | | | 1,946,498 | |
Perspecta, Inc. | | | 881 | | | | 20,466 | |
Unisys Corp.(a) | | | 2,515 | | | | 27,439 | |
VeriSign, Inc.(a) | | | 104 | | | | 21,510 | |
Visa, Inc., Class A | | | 5,585 | | | | 1,078,854 | |
| | | | | | | | |
| | | | | | | 7,514,435 | |
| | |
| Life Sciences Tools & Services — 0.4% | | | | | | |
Mettler-Toledo International, Inc.(a) | | | 325 | | | | 261,804 | |
PRA Health Sciences, Inc.(a) | | | 140 | | | | 13,621 | |
Repligen Corp.(a) | | | 175 | | | | 21,632 | |
Thermo Fisher Scientific, Inc. | | | 828 | | | | 300,017 | |
Waters Corp.(a) | | | 530 | | | | 95,612 | |
| | | | | | | | |
| | | | | | | 692,686 | |
| | |
| Machinery — 1.8% | | | | | | |
AGCO Corp. | | | 606 | | | | 33,609 | |
Deere & Co. | | | 1,422 | | | | 223,467 | |
IDEX Corp. | | | 506 | | | | 79,968 | |
Illinois Tool Works, Inc. | | | 6,194 | | | | 1,083,021 | |
Middleby Corp. (The)(a) | | | 372 | | | | 29,366 | |
Oshkosh Corp. | | | 4,037 | | | | 289,130 | |
PACCAR, Inc. | | | 7,295 | | | | 546,031 | |
Snap-on, Inc.(b) | | | 2,486 | | | | 344,336 | |
Stanley Black & Decker, Inc. | | | 319 | | | | 44,462 | |
Toro Co. (The) | | | 557 | | | | 36,951 | |
Xylem, Inc. | | | 2,935 | | | | 190,658 | |
| | | | | | | | |
| | | | | | | 2,900,999 | |
| | |
| Media — 1.5% | | | | | | |
AMC Networks, Inc., Class A(a) | | | 1,971 | | | | 46,102 | |
Cable One, Inc. | | | 28 | | | | 49,696 | |
Comcast Corp., Class A | | | 11,430 | | | | 445,541 | |
Gray Television, Inc.(a) | | | 5,038 | | | | 70,280 | |
iHeartMedia, Inc., Class A(a)(b) | | | 5,794 | | | | 48,380 | |
Interpublic Group of Cos., Inc. (The) | | | 45,586 | | | | 782,256 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | | | 447 | | | | 15,431 | |
Nexstar Media Group, Inc., Class A | | | 409 | | | | 34,229 | |
Omnicom Group, Inc. | | | 322 | | | | 17,581 | |
Sirius XM Holdings, Inc. | | | 161,101 | | | | 945,663 | |
ViacomCBS, Inc.(b) | | | 1,307 | | | | 30,479 | |
| | | | | | | | |
| | | | | | | 2,485,638 | |
| | |
| Metals & Mining — 0.4% | | | | | | |
Alcoa Corp.(a) | | | 14,899 | | | | 167,465 | |
Materion Corp. | | | 1,990 | | | | 122,365 | |
Newmont Corp. | | | 506 | | | | 31,240 | |
Reliance Steel & Aluminum Co. | | | 480 | | | | 45,566 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Metals & Mining (continued) | | | | | | |
Royal Gold, Inc. | | | 1,464 | | | $ | 182,005 | |
Steel Dynamics, Inc. | | | 2,155 | | | | 56,224 | |
| | | | | | | | |
| | | | | | | 604,865 | |
| | |
| Multiline Retail — 0.4% | | | | | | |
Dollar General Corp. | | | 1,264 | | | | 240,805 | |
Target Corp. | | | 3,835 | | | | 459,931 | |
| | | | | | | | |
| | | | | | | 700,736 | |
| | |
| Multi-Utilities — 0.5% | | | | | | |
Ameren Corp. | | | 4,852 | | | | 341,387 | |
CMS Energy Corp. | | | 6,649 | | | | 388,434 | |
Consolidated Edison, Inc. | | | 1,060 | | | | 76,246 | |
| | | | | | | | |
| | | | | | | 806,067 | |
| | |
| Oil, Gas & Consumable Fuels — 1.8% | | | | | | |
Cheniere Energy, Inc.(a) | | | 408 | | | | 19,715 | |
Chevron Corp. | | | 5,912 | | | | 527,528 | |
Concho Resources, Inc. | | | 779 | | | | 40,119 | |
ConocoPhillips | | | 4,225 | | | | 177,534 | |
Continental Resources, Inc. | | | 3,489 | | | | 61,162 | |
Devon Energy Corp. | | | 7,909 | | | | 89,688 | |
EOG Resources, Inc. | | | 9,536 | | | | 483,094 | |
Exxon Mobil Corp. | | | 7,640 | | | | 341,661 | |
Marathon Oil Corp.(b) | | | 57,906 | | | | 354,385 | |
Marathon Petroleum Corp. | | | 2,167 | | | | 81,002 | |
ONEOK, Inc. | | | 537 | | | | 17,839 | |
PBF Energy, Inc., Class A | | | 3,747 | | | | 38,369 | |
Phillips 66 | | | 1,866 | | | | 134,165 | |
Teekay Corp.(a)(b) | | | 10,158 | | | | 24,379 | |
Valero Energy Corp. | | | 4,191 | | | | 246,515 | |
Williams Cos., Inc. (The) | | | 17,091 | | | | 325,071 | |
| | | | | | | | |
| | | | | | | 2,962,226 | |
| | |
| Paper & Forest Products — 0.4% | | | | | | |
Boise Cascade Co. | | | 8,818 | | | | 331,645 | |
Domtar Corp. | | | 10,047 | | | | 212,092 | |
Verso Corp., Class A(b) | | | 5,575 | | | | 66,677 | |
| | | | | | | | |
| | | | | | | 610,414 | |
| | |
| Pharmaceuticals — 4.1% | | | | | | |
Bristol-Myers Squibb Co. | | | 11,797 | | | | 693,664 | |
Elanco Animal Health, Inc.(a) | | | 2,826 | | | | 60,618 | |
Eli Lilly & Co. | | | 4,418 | | | | 725,347 | |
Evolus, Inc.(a) | | | 4,007 | | | | 21,237 | |
Johnson & Johnson | | | 11,204 | | | | 1,575,618 | |
Merck & Co., Inc. | | | 20,861 | | | | 1,613,181 | |
Mylan NV(a) | | | 3,683 | | | | 59,223 | |
Pfizer, Inc. | | | 25,021 | | | | 818,187 | |
Prestige Consumer Healthcare, Inc.(a) | | | 2,330 | | | | 87,515 | |
Zoetis, Inc. | | | 6,830 | | | | 935,983 | |
| | | | | | | | |
| | | | | | | 6,590,573 | |
| | |
| Professional Services — 0.2% | | | | | | |
IHS Markit Ltd. | | | 1,226 | | | | 92,563 | |
Robert Half International, Inc. | | | 4,200 | | | | 221,886 | |
| | | | | | | | |
| | | | | | | 314,449 | |
|
| Real Estate Management & Development — 0.1% | |
CBRE Group, Inc., Class A(a) | | | 2,146 | | | | 97,042 | |
| | | | | | | | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Road & Rail — 1.0% | | | | | | |
AMERCO | | | 551 | | | $ | 166,507 | |
Covenant Transportation Group, Inc., Class A(a) | | | 1,496 | | | | 21,587 | |
CSX Corp. | | | 4,300 | | | | 299,882 | |
Landstar System, Inc. | | | 892 | | | | 100,181 | |
Lyft, Inc., Class A(a) | | | 2,096 | | | | 69,189 | |
Norfolk Southern Corp. | | | 2,018 | | | | 354,300 | |
Uber Technologies, Inc.(a) | | | 2,973 | | | | 92,401 | |
Union Pacific Corp. | | | 2,488 | | | | 420,646 | |
Universal Logistics Holdings, Inc. | | | 3,296 | | | | 57,284 | |
| | | | | | | | |
| | | | | | | 1,581,977 | |
|
| Semiconductors & Semiconductor Equipment — 3.9% | |
Applied Materials, Inc. | | | 8,561 | | | | 517,513 | |
Cirrus Logic, Inc.(a) | | | 7,760 | | | | 479,413 | |
Intel Corp. | | | 28,643 | | | | 1,713,711 | |
Lam Research Corp. | | | 1,633 | | | | 528,210 | |
Monolithic Power Systems, Inc. | | | 75 | | | | 17,775 | |
NVIDIA Corp. | | | 5,362 | | | | 2,037,077 | |
Skyworks Solutions, Inc. | | | 3,474 | | | | 444,186 | |
Texas Instruments, Inc. | | | 4,592 | | | | 583,046 | |
Xilinx, Inc. | | | 703 | | | | 69,168 | |
| | | | | | | | |
| | | | | | | 6,390,099 | |
| | |
| Software — 10.3% | | | | | | |
8x8, Inc.(a) | | | 10,970 | | | | 175,520 | |
Adobe, Inc.(a) | | | 4,604 | | | | 2,004,167 | |
Atlassian Corp. plc, Class A(a) | | | 1,539 | | | | 277,436 | |
Autodesk, Inc.(a) | | | 623 | | | | 149,015 | |
Box, Inc., Class A(a) | | | 8,482 | | | | 176,086 | |
Cadence Design Systems, Inc.(a) | | | 274 | | | | 26,293 | |
Citrix Systems, Inc. | | | 1,685 | | | | 249,228 | |
Cloudflare, Inc., Class A(a) | | | 4,970 | | | | 178,672 | |
DocuSign, Inc.(a) | | | 1,840 | | | | 316,866 | |
HubSpot, Inc.(a) | | | 938 | | | | 210,440 | |
Intuit, Inc. | | | 3,082 | | | | 912,858 | |
LogMeIn, Inc. | | | 250 | | | | 21,193 | |
Microsoft Corp. | | | 44,740 | | | | 9,105,037 | |
New Relic, Inc.(a) | | | 399 | | | | 27,491 | |
Paylocity Holding Corp.(a) | | | 268 | | | | 39,099 | |
RingCentral, Inc., Class A(a) | | | 1,080 | | | | 307,811 | |
salesforce.com, Inc.(a) | | | 3,138 | | | | 587,842 | |
ServiceNow, Inc.(a) | | | 912 | | | | 369,415 | |
Slack Technologies, Inc., Class A(a) | | | 6,961 | | | | 216,417 | |
Smartsheet, Inc., Class A(a) | | | 3,919 | | | | 199,555 | |
Teradata Corp.(a) | | | 2,446 | | | | 50,877 | |
VMware, Inc., Class A(a) | | | 904 | | | | 139,993 | |
Workday, Inc., Class A(a) | | | 1,056 | | | | 197,852 | |
Zendesk, Inc.(a) | | | 452 | | | | 40,016 | |
Zoom Video Communications, Inc., Class A(a) | | | 1,602 | | | | 406,171 | |
Zscaler, Inc.(a) | | | 1,837 | | | | 201,152 | |
| | | | | | | | |
| | | | | | | 16,586,502 | |
| | |
| Specialty Retail — 2.4% | | | | | | |
Abercrombie & Fitch Co., Class A(b) | | | 7,318 | | | | 77,863 | |
Bed Bath & Beyond, Inc. | | | 9,779 | | | | 103,657 | |
Best Buy Co., Inc. | | | 2,868 | | | | 250,290 | |
Home Depot, Inc. (The) | | | 7,864 | | | | 1,970,011 | |
Lowe’s Cos., Inc. | | | 7,815 | | | | 1,055,963 | |
Michaels Cos., Inc. (The)(a) | | | 25,623 | | | | 181,155 | |
TJX Cos., Inc. (The) | | | 3,532 | | | | 178,578 | |
| | | | | | | | |
| | | | | | | 3,817,517 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Technology Hardware, Storage & Peripherals — 4.9% | |
Apple, Inc. | | | 21,195 | | | $ | 7,731,936 | |
HP, Inc. | | | 7,582 | | | | 132,154 | |
NetApp, Inc. | | | 516 | | | | 22,895 | |
| | | | | | | | |
| | | | | | | 7,886,985 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.8% | | | | | | |
Deckers Outdoor Corp.(a) | | | 215 | | | | 42,224 | |
Lululemon Athletica, Inc.(a) | | | 1,163 | | | | 362,868 | |
NIKE, Inc., Class B | | | 8,506 | | | | 834,013 | |
VF Corp. | | | 1,203 | | | | 73,311 | |
| | | | | | | | |
| | | | | | | 1,312,416 | |
| | |
| Thrifts & Mortgage Finance — 0.1% | | | | | | |
MGIC Investment Corp. | | | 11,465 | | | | 93,899 | |
Premier Financial Corp. | | | 196 | | | | 3,463 | |
| | | | | | | | |
| | | | | | | 97,362 | |
| | |
| Tobacco — 0.0% | | | | | | |
Altria Group, Inc. | | | 1,814 | | | | 71,199 | |
| | | | | | | | |
| | |
| Trading Companies & Distributors — 0.6% | | | | | | |
GATX Corp.(b) | | | 9,263 | | | | 564,858 | |
SiteOne Landscape Supply, Inc.(a) | | | 327 | | | | 37,268 | |
WESCO International, Inc.(a) | | | 683 | | | | 23,980 | |
WW Grainger, Inc. | | | 905 | | | | 284,315 | |
| | | | | | | | |
| | | | | | | 910,421 | |
| | |
| Water Utilities — 0.7% | | | | | | |
American Water Works Co., Inc. | | | 9,216 | | | | 1,185,731 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.4% | |
Telephone & Data Systems, Inc. | | | 17,351 | | | | 344,938 | |
United States Cellular Corp.(a) | | | 7,771 | | | | 239,891 | |
| | | | | | | | |
| | | | | | | 584,829 | |
| | | | | | | | |
| | |
Total Common Stocks — 96.9%
(Cost: $143,884,192) | | | | | | | 156,401,230 | |
| | | | | | | | |
| | |
Rights — 0.0% | | | | | | | | |
| | |
Pharmaceuticals — 0.0%(a) | | | | | | | | |
Bristol-Myers Squibb Co. | | | 3,948 | | | | 14,134 | |
| | | | | | | | |
| | |
Total Rights — 0.0%
(Cost: $8,409) | | | | | | | 14,134 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 96.9% (Cost: $143,892,601) | | | | | | | 156,415,364 | |
| | | | | | | | |
| | |
Short-Term Securities — 5.9%(c) | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | 4,362,928 | | | | 4,362,928 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | 20,715 | | | | 20,715 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(d)* | | | 5,196,606 | | | | 5,200,764 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 5.9%
(Cost: $9,584,661) | | | | | | | 9,584,407 | |
| | | | | | | | |
| | |
Total Investments — 102.8%
(Cost: $153,477,262) | | | | | | | 165,999,771 | |
| |
Liabilities in Excess of Other Assets — (2.8)% | | | | (4,577,648 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 161,422,123 | |
| | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Annualized 7-day yield as of period end. |
| (d) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 1,117,321 | | | | 3,245,607 | | | | — | | | | 4,362,928 | | | $ | 4,362,928 | | | $ | 6,212 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 8,995,175 | | | | — | | | | (3,798,569) | | | | 5,196,606 | | | | 5,200,764 | | | | 26,298 | (c) | | | (6,430 | ) | | | (398) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 9,563,692 | | | $ | 32,510 | | | $ | (6,430 | ) | | $ | (398) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund |
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 | | | 34 | | | | 09/18/20 | | | $ | 5,253 | | | $ | 96,295 | |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 96,295 | | | $ | — | | | $ | — | | | $ | — | | | $ | 96,295 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 278,283 | | | $ | — | | | $ | — | | | $ | — | | | $ | 278,283 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Net Change in Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | |
(Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 80,714 | | | | — | | | | — | | | | — | | | | 80,714 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 4,810,915 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
SCHEDULE OF INVESTMENTS | | 11 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage U.S. Total Market V.I. Fund |
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 | | $ | 156,415,364 | | | $ | — | | | $ | — | | | $ | 156,415,364 | |
Short-Term Securities | | | 4,383,643 | | | | — | | | | — | | | | 4,383,643 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 160,799,007 | | | $ | — | | | $ | — | | | $ | 160,799,007 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 5,200,764 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 165,999,771 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 96,295 | | | $ | — | | | $ | — | | | $ | 96,295 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Advantage U.S.
Total Market V.I.
Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $5,053,350) (cost — $143,913,316) | | $ | 156,436,079 | |
Investments at value — affiliated (cost — $9,563,946) | | | 9,563,692 | |
Cash | | | 259 | |
Cash pledged for futures contracts | | | 388,000 | |
Foreign currency at value (cost — $785) | | | 718 | |
Receivables: | | | | |
Investments sold | | | 1,286,874 | |
Securities lending income — affiliated | | | 6,710 | |
Capital shares sold | | | 66 | |
Dividends — affiliated | | | 393 | |
Dividends — unaffiliated | | | 114,928 | |
From affiliate(s) | | | 781 | |
Variation margin on futures contracts | | | 68,705 | |
Prepaid expenses | | | 1,887 | |
| | | | |
Total assets | | | 167,869,092 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 5,199,290 | |
Payables: | | | | |
Investments purchased | | | 904,906 | |
Capital shares redeemed | | | 64,793 | |
Distribution fees | | | 1,401 | |
Investment advisory fees | | | 61,675 | |
Other affiliates | | | 1,211 | |
Transfer agent fees | | | 79,810 | |
Other accrued expenses | | | 133,883 | |
| | | | |
Total liabilities | | | 6,446,969 | |
| | | | |
| |
NET ASSETS | | $ | 161,422,123 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 146,879,727 | |
Accumulated earnings | | | 14,542,396 | |
| | | | |
NET ASSETS | | $ | 161,422,123 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $153,598,062 and 6,391,590 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 24.03 | |
| | | | |
Class II — Based on net assets of $2,748,590 and 114,771 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 23.95 | |
| | | | |
Class III — Based on net assets of $5,075,471 and 319,129 shares outstanding, 10 million shares authorized, $0.10 par value | | $ | 15.90 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Advantage U.S.
Total Market V.I.
Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 6,212 | |
Dividends — unaffiliated | | | 1,419,684 | |
Securities lending income — affiliated — net | | | 26,298 | |
Foreign taxes withheld | | | (77) | |
| | | | |
Total investment income | | | 1,452,117 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 594,947 | |
Transfer agent — class specific | | | 191,933 | |
Accounting services | | | 25,623 | |
Professional | | | 25,436 | |
Custodian | | | 15,164 | |
Printing | | | 8,985 | |
Distribution — class specific | | | 8,410 | |
Directors and Officer | | | 3,282 | |
Transfer agent | | | 2,488 | |
Miscellaneous | | | 2,609 | |
| | | | |
Total expenses | | | 878,877 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (242,798) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (191,933) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 444,146 | |
| | | | |
Net investment income | | | 1,007,971 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (6,430) | |
Investments — unaffiliated | | | (851,916) | |
Futures contracts | | | 278,283 | |
| | | | |
| | | (580,063) | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (398) | |
Investments — unaffiliated | | | (5,327,475) | |
Foreign currency translations | | | (33) | |
Futures contracts | | | 80,714 | |
| | | | |
| | | (5,247,192) | |
| | | | |
Net realized and unrealized loss | | | (5,827,255) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (4,819,284) | |
| | | | |
See notes to financial statements.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Advantage U.S. Total Market V.I.
Fund | |
| | | Six Months Ended
06/30/20 (unaudited) | | | Year Ended
12/31/19 | |
| |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 1,007,971 | | | $ | 2,979,432 | |
Net realized gain (loss) | | | (580,063) | | | | 17,736,348 | |
Net change in unrealized appreciation (depreciation) | | | (5,247,192) | | | | 34,104,578 | |
Net increase (decrease) in net assets resulting from operations | | | (4,819,284) | | | | 54,820,358 | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (15,857,138) | |
Class II | | | — | | | | (284,705) | |
Class III | | | — | | | | (782,251) | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (16,924,094) | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (11,057,757) | | | | (87,387,941) | |
| | |
NET ASSETS | | | | | | | | |
Total decrease in net assets | | | (15,877,041) | | | | (49,491,677) | |
Beginning of period | | | 177,299,164 | | | | 226,790,841 | |
End of period | | $ | 161,422,123 | | | $ | 177,299,164 | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage U.S. Total Market V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended
06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 24.65 | | | | | | | $ | 21.11 | | | $ | 25.63 | | | $ | 27.93 | | | $ | 23.24 | | | $ | 26.96 | |
Net investment income (a) | | | 0.15 | | | | | | | | 0.35 | | | | 0.34 | | | | 0.26 | (b) | | | 0.07 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | (0.77 | ) | | | | | | | 5.74 | | | | (2.00 | ) | | | 3.60 | | | | 5.43 | | | | (1.80 | ) |
Net increase (decrease) from investment operations | | | (0.62 | ) | | | | | | | 6.09 | | | | (1.66 | ) | | | 3.86 | | | | 5.50 | | | | (1.73 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.44 | ) | | | (0.34 | ) | | | (0.27 | ) | | | (0.07 | ) | | | (0.07 | ) |
From net realized gain | | | — | | | | | | | | (2.11 | ) | | | (2.52 | ) | | | (5.89 | ) | | | (0.74 | ) | | | (1.92 | ) |
From return of capital | | | — | | | | | | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(d) |
Total distributions | | | — | | | | | | | | (2.55 | ) | | | (2.86 | ) | | | (6.16 | ) | | | (0.81 | ) | | | (1.99 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 24.03 | | | | | | | $ | 24.65 | | | $ | 21.11 | | | $ | 25.63 | | | $ | 27.93 | | | $ | 23.24 | |
| | | | | | | |
Total Return (e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.52)%(f) | | | | | | | | 28.98% | | | | (6.39)% | | | | 14.05% | | | | 23.65% | | | | (6.61)% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.10%(g) | | | | | | | | 1.02% | | | | 1.03% | | | | 1.05% | | | | 1.01% | | | | 1.01% | |
Total expenses after fees waived and/or reimbursed | | | 0.55%(g) | | | | | | | | 0.55% | | | | 0.55% | | | | 0.71% | | | | 0.92% | | | | 0.90% | |
Net investment income | | | 1.28%(g) | | | | | | | | 1.45% | | | | 1.31% | | | | 0.91%(b) | | | | 0.28% | | | | 0.26% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 153,598 | | | | | | | $ | 168,415 | | | $ | 218,976 | | | $ | 261,872 | | | $ | 250,567 | | | $ | 220,681 | |
Portfolio turnover rate | | | 61% | | | | | | | | 135% | | | | 150% | | | | 179% | | | | 78% | | | | 61% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.05 per share and 0.18%, respectively, resulting from a non-recurring dividend. |
| (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. |
See notes to financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage U.S. Total Market V.I. Fund (continued) | |
| |
| | | Class II | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 24.58 | | | | | | | $ | 21.06 | | | $ | 25.57 | | | $ | 27.88 | | | $ | 23.21 | | | $ | 26.91 | |
Net investment income (a) | | | 0.13 | | | | | | | | 0.32 | | | | 0.30 | | | | 0.20 | (b) | | | 0.03 | | | | 0.02 | |
Net realized and unrealized gain (loss) | | | (0.76 | ) | | | | | | | 5.71 | | | | (1.99 | ) | | | 3.60 | | | | 5.41 | | | | (1.77 | ) |
Net increase (decrease) from investment operations | | | (0.63 | ) | | | | | | | 6.03 | | | | (1.69 | ) | | | 3.80 | | | | 5.44 | | | | (1.75 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.40 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.03 | ) | | | (0.03 | ) |
From net realized gain | | | — | | | | | | | | (2.11 | ) | | | (2.52 | ) | | | (5.89 | ) | | | (0.74 | ) | | | (1.92 | ) |
From return of capital | | | — | | | | | | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(d) |
Total distributions | | | — | | | | | | | | (2.51 | ) | | | (2.82 | ) | | | (6.11 | ) | | | (0.77 | ) | | | (1.95 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 23.95 | | | | | | | $ | 24.58 | | | $ | 21.06 | | | $ | 25.57 | | | $ | 27.88 | | | $ | 23.21 | |
| | | | | | | |
Total Return (e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.56)%(f) | | | | | | | | 28.77% | | | | (6.53)% | | | | 13.85% | | | | 23.40% | | | | (6.76)% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.21%(g) | | | | | | | | 1.21% | | | | 1.22% | | | | 1.22% | | | | 1.20% | | | | 1.18% | |
Total expenses after fees waived and/or reimbursed | | | 0.70%(g) | | | | | | | | 0.70% | | | | 0.70% | | | | 0.88% | | | | 1.09% | | | | 1.07% | |
Net investment income | | | 1.13%(g) | | | | | | | | 1.29% | | | | 1.16% | | | | 0.72%(b) | | | | 0.10% | | | | 0.08% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 2,749 | | | | | | | $ | 3,055 | | | $ | 2,742 | | | $ | 3,131 | | | $ | 3,351 | | | $ | 3,120 | |
Portfolio turnover rate | | | 61% | | | | | | | | 135% | | | | 150% | | | | 179% | | | | 78% | | | | 61% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.05 per share and 0.17%, respectively, resulting from a non-recurring dividend. |
| (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. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage U.S. Total Market V.I. Fund (continued) | |
| |
| | | Class III | |
| | | Six Months Ended
06/30/20 (unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 16.33 | | | | | | | $ | 14.66 | | | $ | 18.74 | | | $ | 21.89 | | | $ | 18.36 | | | $ | 21.73 | |
Net investment income (a) | | | 0.08 | | | | | | | | 0.20 | | | | 0.20 | | | | 0.14 | (b) | | | 0.01 | | | | 0.01 | |
Net realized and unrealized gain (loss) | | | (0.51 | ) | | | | | | | 3.97 | | | | (1.46 | ) | | | 2.82 | | | | 4.29 | | | | (1.43 | ) |
Net increase (decrease) from investment operations | | | (0.43 | ) | | | | | | | 4.17 | | | | (1.26 | ) | | | 2.96 | | | | 4.30 | | | | (1.42 | ) |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.39 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.03 | ) | | | (0.03 | ) |
From net realized gain | | | — | | | | | | | | (2.11 | ) | | | (2.52 | ) | | | (5.89 | ) | | | (0.74 | ) | | | (1.92 | ) |
From return of capital | | | — | | | | | | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(d) |
Total distributions | | | — | | | | | | | | (2.50 | ) | | | (2.82 | ) | | | (6.11 | ) | | | (0.77 | ) | | | (1.95 | ) |
| | | | | | | |
Net asset value, end of period | | $ | 15.90 | | | | | | | $ | 16.33 | | | $ | 14.66 | | | $ | 18.74 | | | $ | 21.89 | | | $ | 18.36 | |
| | | | | | | |
Total Return (e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.63)%(f) | | | | | | | | 28.65% | | | | (6.65)% | | | | 13.83% | | | | 23.41% | | | | (6.78)% | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.30%(g) | | | | | | | | 1.31% | | | | 1.32% | | | | 1.32% | | | | 1.29% | | | | 1.29% | |
Total expenses after fees waived and/or reimbursed | | | 0.80%(g) | | | | | | | | 0.80% | | | | 0.80% | | | | 0.95% | | | | 1.11% | | | | 1.09% | |
Net investment income | | | 1.03%(g) | | | | | | | | 1.19% | | | | 1.06% | | | | 0.65%(b) | | | | 0.08% | | | | 0.06% | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 5,075 | | | | | | | $ | 5,829 | | | $ | 5,073 | | | $ | 5,324 | | | $ | 6,184 | | | $ | 6,152 | |
Portfolio turnover rate | | | 61% | | | | | | | | 135% | | | | 150% | | | | 179% | | | | 78% | | | | 61% | |
| (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 0.17%, respectively, resulting from a non-recurring dividend. |
| (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. |
See notes to financial statements.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Advantage U.S. Total Market V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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 the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Notes to Financial Statements (unaudited) (continued)
| | • | | 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for 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, 2020, certain investments of the Fund were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value — unaffiliated, and collateral on securities loaned at value, respectively.
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| |
| Counterparty | | Securities
Loaned at Value | | | Cash Collateral
Received (a) | | | Net
Amount | |
| |
Barclays Bank plc | | $ | 799,580 | | | $ | (799,580) | | | $ | — | |
Citigroup Global Markets, Inc. | | | 1,860,331 | | | | (1,860,331) | | | | — | |
Credit Suisse Securities (USA) LLC | | | 1,609,863 | | | | (1,609,863) | | | | — | |
Deutsche Bank Securities, Inc. | | | 29,159 | | | | (29,159) | | | | — | |
Goldman Sachs & Co. | | | 122,750 | | | | (122,750) | | | | — | |
JP Morgan Securities LLC | | | 278,690 | | | | (278,690) | | | | — | |
National Financial Services LLC | | | 215,360 | | | | (215,360) | | | | — | |
State Street Bank & Trust Co. | | | 136,431 | | | | (136,431) | | | | — | |
UBS Securities LLC | | | 1,186 | | | | (1,186) | | | | — | |
| | | | |
| | $ | 5,053,350 | | | $ | (5,053,350) | | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
| | |
NOTESTO FINANCIAL STATEMENTS | | 21 |
Notes to Financial Statements (unaudited) (continued)
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.75 | % |
$1 Billion — $3 Billion | | | 0.71 | |
$3 Billion — $5 Billion | | | 0.68 | |
$5 Billion — $10 Billion | | | 0.65 | |
Greater than $10 Billion | | | 0.64 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15% | |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution Fees | |
Class II | | $ | 2,067 | |
Class III | | | 6,343 | |
| | | $ | 8,410 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent — class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 184,146 | |
Class II | | | 2,759 | |
Class III | | | 5,028 | |
| | | $ | 191,933 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $1,136.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,160 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows.
| | | | |
Class I | | | 0.07 | % |
Class II | | | 0.09 | |
Class III | | | 0.01 | |
| | |
| 22 | | 2020 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, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 131,569 | |
Class II | | | 1,521 | |
Class III | | | 4,782 | |
| | | | $ 137,872 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets were as follows:
| | | | |
Class I | | | 0.55 | % |
Class II | | | 0.70 | |
Class III | | | 0.80 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $241,662 and $54,061, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed — class specific, respectively in the Statement of Operations.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $8,436 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
| | |
NOTESTO FINANCIAL STATEMENTS | | 23 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $95,130,873 and $108,724,959, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 154,066,747 | |
Gross unrealized appreciation | | $ | 20,714,159 | |
Gross unrealized depreciation | | | (8,684,840 | ) |
Net unrealized appreciation (depreciation) | | $ | 12,029,319 | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The 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 the Fund.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: As of period end, the Fund invested a significant portion of its assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 28,022 | | | $ | 640,981 | | | | 129,497 | | | $ | 3,140,046 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 650,520 | | | | 15,857,138 | |
Shares redeemed | | | (468,809 | ) | | | (10,870,260 | ) | | | (4,320,224 | ) | | | (106,385,309) | |
| | | | |
Net decrease | | | (440,787 | ) | | $ | (10,229,279 | ) | | | (3,540,207 | ) | | $ | (87,388,125) | |
| | | | |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 126 | | | $ | 2,410 | | | | 697 | | | $ | 16,660 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 11,714 | | | | 284,705 | |
Shares redeemed | | | (9,623 | ) | | | (223,675 | ) | | | (18,329 | ) | | | (444,528) | |
| | | | |
Net decrease | | | (9,497 | ) | | $ | (221,265 | ) | | | (5,918 | ) | | $ | (143,163) | |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 18,875 | | | $ | 284,208 | | | | 28,577 | | | $ | 466,249 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 48,411 | | | | 782,251 | |
Shares redeemed | | | (56,598 | ) | | | (891,421 | ) | | | (66,117 | ) | | | (1,105,153) | |
| | | | |
Net increase (decrease) | | | (37,723 | ) | | $ | (607,213 | ) | | | 10,871 | | | $ | 143,347 | |
| | | | |
Total Net Decrease | | | (488,007 | ) | | $ | (11,057,757 | ) | | | (3,535,254 | ) | | $ | (87,387,941) | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 25 |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviation |
| |
| S&P | | Standard & Poor’s |
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Basic Value V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Basic Value V.I. Fund |
Investment Objective
BlackRock Basic Value V.I. Fund’s (the “Fund”) investment objective is to seek capital appreciation and, secondarily, income.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the Russell 1000® Value Index.
What factors influenced performance?
Stock selection within the energy sector was the largest contributor to the Fund’s relative performance, particularly among oil, gas & consumable fuels companies. Stock selection within communication services also contributed, as an overweight position in Verizon Communications, Inc. proved advantageous. Finally, stock selection within consumer discretionary added to relative performance, particularly with respect to positions in the multiline retail industry and the Fund’s lack of exposure to the hotels, restaurants & leisure industry.
The largest detractor from the Fund’s relative performance was stock selection in the utilities sector, most notably in the electric utilities industry. A lack of exposure to household products companies within consumer staples also detracted. Lastly, in the materials sector, an underweight allocation and negative stock selection further weighed on relative performance.
Describe recent portfolio activity.
During the period, the Fund increased its exposure to the consumer discretionary, industrials and utilities sectors. The Fund reduced its weightings in the financials, consumer staples and energy.
Describe portfolio positioning at period end.
Relative to the Russell 1000® Value Index, the Fund ended the period with overweight exposures to the health care, financials and energy sectors. The Fund maintained underweight sector exposures to real estate, industrials and information technology.
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
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Financials | | | 21 | % |
Health Care | | | 19 | |
Communication Services | | | 10 | |
Industrials | | | 9 | |
Consumer Discretionary | | | 9 | |
Energy | | | 8 | |
Information Technology | | | 7 | |
Consumer Staples | | | 6 | |
Utilities | | | 6 | |
Materials | | | 3 | |
Real Estate | | | 1 | |
Short-Term Securities | | | 11 | |
Liabilities in Excess of Other Assets | | | (10 | ) |
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 such sector sub-classifications for reporting ease.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Basic Value V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (16.07 | )% | | | (9.00 | )% | | | 2.24 | % | | | 9.10 | % |
Class II (b)(c) | | | (16.13 | ) | | | (9.19 | ) | | | 2.07 | | | | 8.92 | |
Class III (b)(c) | | | (16.15 | ) | | | (9.27 | ) | | | 1.96 | | | | 8.80 | |
Russell 1000® Value Index (d) | | | (16.26 | ) | | | (8.84 | ) | | | 4.64 | | | | 10.41 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. | |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. | |
| (c) | The Fund invests primarily in equity securities that Fund management believes are undervalued, which means that their prices are less than Fund management believes they are worth. | |
| (d) | An unmanaged index that is a subset of the Russell 1000® Index that consists of those Russell 1000® securities with lower price-to-book ratios and lower expected 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.
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b)
| | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b)
| | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 839.30 | | | $ | 3.34 | | | | | | | $ | 1,000.00 | | | $ | 1,021.23 | | | $ | 3.67 | | | | 0.73 | % |
Class II | | | 1,000.00 | | | | 838.70 | | | | 4.11 | | | | | | | | 1,000.00 | | | | 1,020.39 | | | | 4.52 | | | | 0.90 | |
Class III | | | 1,000.00 | | | | 838.50 | | | | 4.62 | | | | | | | | 1,000.00 | | | | 1,019.84 | | | | 5.07 | | | | 1.01 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. | |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). | |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Basic Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value |
Common Stocks — 99.0% | |
| |
Aerospace & Defense — 3.0% | | | | | |
Airbus SE(a) | | | 30,240 | | | $ | 2,166,812 | |
BAE Systems plc, ADR(b) | | | 234,189 | | | | 5,620,536 | |
Boeing Co. (The) | | | 4,190 | | | | 768,027 | |
| | | | | | | | |
| | | | | | | 8,555,375 | |
| | |
| Automobiles — 2.2% | | | | | |
General Motors Co. | | | 254,551 | | | | 6,440,140 | |
| | | | | | | | |
| | |
| Banks — 9.1% | | | | | |
Bank of America Corp. | | | 179,771 | | | | 4,269,561 | |
Citigroup, Inc. | | | 193,994 | | | | 9,913,093 | |
JPMorgan Chase & Co. | | | 45,327 | | | | 4,263,458 | |
Wells Fargo & Co. | | | 303,498 | | | | 7,769,549 | |
| | | | | | | | |
| | | | | | | 26,215,661 | |
| | |
| Biotechnology — 1.0% | | | | | |
Biogen, Inc.(a) | | | 11,137 | | | | 2,979,704 | |
| | | | | | | | |
| | |
| Capital Markets — 2.0% | | | | | |
E*TRADE Financial Corp. | | | 113,148 | | | | 5,626,850 | |
| | | | | | | | |
| | |
| Chemicals — 2.6% | | | | | |
Axalta Coating Systems Ltd.(a) | | | 67,210 | | | | 1,515,585 | |
Corteva, Inc. | | | 226,349 | | | | 6,063,890 | |
| | | | | | | | |
| | | | | | | 7,579,475 | |
| | |
| Communications Equipment — 1.7% | | | | | |
Cisco Systems, Inc. | | | 102,425 | | | | 4,777,102 | |
| | | | | | | | |
| | |
| Construction & Engineering — 1.5% | | | | | |
Quanta Services, Inc.(b) | | | 107,779 | | | | 4,228,170 | |
| | | | | | | | |
| | |
| Consumer Finance — 2.0% | | | | | |
Ally Financial, Inc. | | | 146,535 | | | | 2,905,789 | |
Capital One Financial Corp. | | | 45,757 | | | | 2,863,931 | |
| | | | | | | | |
| | | | | | | 5,769,720 | |
| | |
| Diversified Financial Services — 2.5% | | | | | |
Berkshire Hathaway, Inc., Class B(a) | | | 19,500 | | | | 3,480,945 | |
Equitable Holdings, Inc. | | | 196,790 | | | | 3,796,079 | |
| | | | | | | | |
| | | | | | | 7,277,024 | |
| |
| Diversified Telecommunication Services — 3.4% | | | |
Verizon Communications, Inc. | | | 175,939 | | | | 9,699,517 | |
| | | | | | | | |
| | |
| Electric Utilities — 6.5% | | | | | |
Edison International | | | 28,364 | | | | 1,540,449 | |
Exelon Corp. | | | 136,360 | | | | 4,948,504 | |
FirstEnergy Corp. | | | 154,470 | | | | 5,990,346 | |
PPL Corp. | | | 234,090 | | | | 6,048,886 | |
| | | | | | | | |
| | | | | | | 18,528,185 | |
| | |
| Electrical Equipment — 0.8% | | | | | |
Hubbell, Inc. | | | 17,840 | | | | 2,236,422 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.8% | |
Flex Ltd.(a) | | | 223,346 | | | | 2,289,297 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value |
| | |
| Food Products — 1.2% | | | | | |
Danone SA | | | 51,520 | | | $ | 3,576,168 | |
| | | | | | | | |
| |
| Health Care Equipment & Supplies — 3.9% | | | |
Dentsply Sirona, Inc. | | | 28,158 | | | | 1,240,642 | |
Koninklijke Philips NV, NYRS(a)(b) | | | 121,338 | | | | 5,683,472 | |
Medtronic plc | | | 26,552 | | | | 2,434,818 | |
Smith & Nephew plc | | | 99,429 | | | | 1,852,724 | |
| | | | | | | | |
| | | | | | | 11,211,656 | |
| |
| Health Care Providers & Services — 7.4% | | | |
Anthem, Inc. | | | 24,490 | | | | 6,440,380 | |
Cigna Corp. | | | 27,353 | | | | 5,132,790 | |
CVS Health Corp. | | | 71,280 | | | | 4,631,062 | |
Laboratory Corp. of America Holdings(a) | | | 15,843 | | | | 2,631,681 | |
McKesson Corp. | | | 14,790 | | | | 2,269,082 | |
| | | | | | | | |
| | | | | | | 21,104,995 | |
| | |
| Household Durables — 0.5% | | | | | |
Newell Brands, Inc. | | | 82,900 | | | | 1,316,452 | |
| | | | | | | | |
| | |
| Industrial Conglomerates — 2.3% | | | | | |
General Electric Co. | | | 536,007 | | | | 3,660,928 | |
Siemens AG, ADR(b) | | | 48,180 | | | | 2,842,138 | |
| | | | | | | | |
| | | | | | | 6,503,066 | |
| | |
| Insurance — 5.4% | | | | | |
American International Group, Inc. | | | 206,820 | | | | 6,448,648 | |
Arthur J Gallagher & Co. | | | 28,780 | | | | 2,805,762 | |
Fidelity National Financial, Inc. | | | 93,640 | | | | 2,871,003 | |
MetLife, Inc. | | | 93,020 | | | | 3,397,090 | |
| | | | | | | | |
| | | | | | | 15,522,503 | |
| | |
| Interactive Media & Services — 1.6%(a) | | | | | |
Alphabet, Inc., Class A | | | 1,578 | | | | 2,237,683 | |
Facebook, Inc., Class A | | | 9,845 | | | | 2,235,504 | |
| | | | | | | | |
| | | | | | | 4,473,187 | |
| | |
| IT Services — 1.8% | | | | | |
Cognizant Technology Solutions Corp., Class A | | | 89,516 | | | | 5,086,299 | |
| | | | | | | | |
| | |
| Media — 3.6% | | | | | |
Comcast Corp., Class A | | | 197,338 | | | | 7,692,235 | |
Interpublic Group of Cos., Inc. (The) | | | 146,859 | | | | 2,520,101 | |
| | | | | | | | |
| | | | | | | 10,212,336 | |
| | |
| Multiline Retail — 2.5% | | | | | |
Dollar Tree, Inc.(a) | | | 76,734 | | | | 7,111,707 | |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 7.6% | | | | | |
BP plc, ADR(b) | | | 168,901 | | | | 3,938,771 | |
ConocoPhillips | | | 124,321 | | | | 5,223,968 | |
Marathon Petroleum Corp. | | | 128,881 | | | | 4,817,572 | |
Pioneer Natural Resources Co. | | | 48,177 | | | | 4,706,893 | |
Williams Cos., Inc. (The) | | | 157,388 | | | | 2,993,520 | |
| | | | | | | | |
| | | | | | | 21,680,724 | |
| | |
| Personal Products — 2.4% | | | | | |
Unilever NV, NYRS(b) | | | 131,759 | | | | 7,018,802 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 6.4% | | | | | |
Bayer AG (Registered) | | | 102,990 | | | | 7,633,986 | |
Elanco Animal Health, Inc.(a) | | | 112,530 | | | | 2,413,769 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Basic Value V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value |
| | |
| Pharmaceuticals (continued) | | | | | |
Mylan NV(a) | | | 86,922 | | | $ | 1,397,706 | |
Sanofi, ADR(b) | | | 135,050 | | | | 6,894,302 | |
| | | | | |
| | | | | | | 18,339,763 | |
| | |
| Professional Services — 0.9% | | | | | |
Robert Half International, Inc | | | 49,606 | | | | 2,620,685 | |
| | | | | |
|
| Real Estate Management & Development — 0.7% | |
Howard Hughes Corp. (The)(a) | | | 41,290 | | | | 2,145,015 | |
| | | | | |
| |
| Semiconductors & Semiconductor Equipment — 0.9% | | | |
NXP Semiconductors NV | | | 23,840 | | | | 2,718,714 | |
| | | | | |
| | |
| Software — 1.3% | | | | | |
CDK Global, Inc.(b) | | | 90,860 | | | | 3,763,421 | |
| | | | | |
| | |
| Specialty Retail — 1.8% | | | | | |
Lowe’s Cos., Inc. | | | 19,640 | | | | 2,653,757 | |
Ross Stores, Inc. | | | 16,040 | | | | 1,367,249 | |
TJX Cos., Inc. (The) | | | 23,650 | | | | 1,195,744 | |
| | | | | |
| | | | | | | 5,216,750 | |
|
| Technology Hardware, Storage & Peripherals — 0.9% | |
Dell Technologies, Inc., Class C(a) | | | 46,503 | | | | 2,554,875 | |
| | | | | |
| |
| Textiles, Apparel & Luxury Goods — 1.7%(b) | | | |
Gildan Activewear, Inc. | | | 163,303 | | | | 2,529,563 | |
Ralph Lauren Corp. | | | 30,855 | | | | 2,237,605 | |
| | | | | |
| | | | | | | 4,767,168 | |
| | | | | | | | |
| Security | | Shares | | | Value |
| | |
| Tobacco — 2.8% | | | | | |
Altria Group, Inc. | | | 133,946 | | | $ | 5,257,380 | |
British American Tobacco plc, ADR(b) | | | 69,090 | | | | 2,682,074 | |
| | | | | |
| | | | | | | 7,939,454 | |
| |
| Trading Companies & Distributors — 0.6% | | | |
Ferguson plc | | | 20,087 | | | | 1,642,445 | |
| | | | | |
| |
| Wireless Telecommunication Services — 1.7% | | | |
Telephone & Data Systems, Inc | | | 247,226 | | | | 4,914,853 | |
| | | | | |
| |
Total Common Stocks — 99.0%
(Cost: $298,518,106) | | | | 283,643,680 | |
| | | | | |
| |
Total Long-Term Investments — 99.0%
(Cost: $298,518,106) | | | | 283,643,680 | |
| | | | | |
|
Short-Term Securities — 11.3%(c)* | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 1,241,901 | | | | 1,241,901 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(d) | | | 30,954,717 | | | | 30,979,480 | |
| | | | | |
| |
Total Short-Term Securities — 11.3%
(Cost: $32,222,365) | | | | 32,221,381 | |
| | | | | | | | |
| |
Total Investments — 110.3%
(Cost: $330,740,471) | | | | 315,865,061 | |
| |
Liabilities in Excess of Other Assets — (10.3)% | | | | (29,380,488 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 286,484,573 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Annualized 7-day yield as of period end. |
| (d) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Shares
Held at
12/31/19 | | | Shares
Purchased | | | Shares
Sold | | | Shares
Held at
06/30/20 | | | Value at
06/30/20 | | | Income | | | Net
Realized
Gain (Loss) (a) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 4,209,673 | | | | — | | | | (2,967,772 | ) | | | 1,241,901 | | | $ | 1,241,901 | | | $ | 10,578 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 14,330,092 | | | | 16,624,625 | | | | — | | | | 30,954,717 | | | | 30,979,480 | | | | 45,162 | (c) | | | (6,528 | ) | | | (984 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 32,221,381 | | | $ | 55,740 | | | $ | (6,528 | ) | | $ | (984 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Basic Value V.I. Fund |
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 | | $ | 6,388,563 | | | $ | 2,166,812 | | | $ | — | | | $ | 8,555,375 | |
Automobiles | | | 6,440,140 | | | | — | | | | — | | | | 6,440,140 | |
Banks | | | 26,215,661 | | | | — | | | | — | | | | 26,215,661 | |
Biotechnology | | | 2,979,704 | | | | — | | | | — | | | | 2,979,704 | |
Capital Markets | | | 5,626,850 | | | | — | | | | — | | | | 5,626,850 | |
Chemicals | | | 7,579,475 | | | | — | | | | — | | | | 7,579,475 | |
Communications Equipment | | | 4,777,102 | | | | — | | | | — | | | | 4,777,102 | |
Construction & Engineering | | | 4,228,170 | | | | — | | | | — | | | | 4,228,170 | |
Consumer Finance | | | 5,769,720 | | | | — | | | | — | | | | 5,769,720 | |
Diversified Financial Services | | | 7,277,024 | | | | — | | | | — | | | | 7,277,024 | |
Diversified Telecommunication Services | | | 9,699,517 | | | | — | | | | — | | | | 9,699,517 | |
Electric Utilities | | | 18,528,185 | | | | — | | | | — | | | | 18,528,185 | |
Electrical Equipment | | | 2,236,422 | | | | — | | | | — | | | | 2,236,422 | |
Electronic Equipment, Instruments & Components | | | 2,289,297 | | | | — | | | | — | | | | 2,289,297 | |
Food Products | | | — | | | | 3,576,168 | | | | — | | | | 3,576,168 | |
Health Care Equipment & Supplies | | | 9,358,932 | | | | 1,852,724 | | | | — | | | | 11,211,656 | |
Health Care Providers & Services | | | 21,104,995 | | | | — | | | | — | | | | 21,104,995 | |
Household Durables | | | 1,316,452 | | | | — | | | | — | | | | 1,316,452 | |
Industrial Conglomerates | | | 6,503,066 | | | | — | | | | — | | | | 6,503,066 | |
Insurance | | | 15,522,503 | | | | — | | | | — | | | | 15,522,503 | |
Interactive Media & Services | | | 4,473,187 | | | | — | | | | — | | | | 4,473,187 | |
IT Services | | | 5,086,299 | | | | — | | | | — | | | | 5,086,299 | |
Media | | | 10,212,336 | | | | — | | | | — | | | | 10,212,336 | |
Multiline Retail | | | 7,111,707 | | | | — | | | | — | | | | 7,111,707 | |
Oil, Gas & Consumable Fuels | | | 21,680,724 | | | | — | | | | — | | | | 21,680,724 | |
Personal Products | | | 7,018,802 | | | | — | | | | — | | | | 7,018,802 | |
Pharmaceuticals | | | 18,339,763 | | | | — | | | | — | | | | 18,339,763 | |
Professional Services | | | 2,620,685 | | | | — | | | | — | | | | 2,620,685 | |
Real Estate Management & Development | | | 2,145,015 | | | | — | | | | — | | | | 2,145,015 | |
Semiconductors & Semiconductor Equipment | | | 2,718,714 | | | | — | | | | — | | | | 2,718,714 | |
Software | | | 3,763,421 | | | | — | | | | — | | | | 3,763,421 | |
Specialty Retail | | | 5,216,750 | | | | — | | | | — | | | | 5,216,750 | |
Technology Hardware, Storage & Peripherals | | | 2,554,875 | | | | — | | | | — | | | | 2,554,875 | |
Textiles, Apparel & Luxury Goods | | | 4,767,168 | | | | — | | | | — | | | | 4,767,168 | |
Tobacco | | | 7,939,454 | | | | — | | | | — | | | | 7,939,454 | |
Trading Companies & Distributors | | | — | | | | 1,642,445 | | | | — | | | | 1,642,445 | |
Wireless Telecommunication Services | | | 4,914,853 | | | | — | | | | — | | | | 4,914,853 | |
Short-Term Securities | | | 1,241,901 | | | | — | | | | — | | | | 1,241,901 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 275,647,432 | | | $ | 9,238,149 | | | $ | — | | | $ | 284,885,581 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 30,979,480 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 315,865,061 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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. |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 7 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Basic Value V.I.
Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $29,871,107) (cost — $298,518,106) | | $ | 283,643,680 | |
Investments at value — affiliated (cost — $32,222,365) | | | 32,221,381 | |
Receivables: | | | | |
Investments sold | | | 7,374,931 | |
Securities lending income — affiliated | | | 7,785 | |
Capital shares sold | | | 29,415 | |
Dividends — affiliated | | | 154 | |
Dividends — unaffiliated | | | 525,374 | |
From affiliate(s) | | | 620 | |
Prepaid expenses | | | 3,118 | |
| | | | |
Total assets | | | 323,806,458 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 30,987,992 | |
Payables: | | | | |
Investments purchased | | | 5,612,736 | |
Capital shares redeemed | | | 268,661 | |
Distribution fees | | | 11,547 | |
Investment advisory fees | | | 145,239 | |
Other affiliates | | | 1,818 | |
Other accrued expenses | | | 293,892 | |
| | | | |
Total liabilities | | | 37,321,885 | |
| | | | |
| |
NET ASSETS | | $ | 286,484,573 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 295,693,191 | |
Accumulated loss | | | (9,208,618) | |
| | | | |
NET ASSETS | | $ | 286,484,573 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $230,692,354 and 19,991,345 shares outstanding, 300 million shares authorized, $0.10 par value | | $ | 11.54 | |
| | | | |
Class II — Based on net assets of $3,238,804 and 281,932 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 11.49 | |
| | | | |
Class III — Based on net assets of $52,553,415 and 4,603,259 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 11.42 | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Basic Value V.I.
Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 10,578 | |
Dividends — unaffiliated | | | 5,009,252 | |
Securities lending income — affiliated — net | | | 45,162 | |
Foreign taxes withheld | | | (135,109) | |
| | | | |
Total investment income | | | 4,929,883 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 891,701 | |
Transfer agent — class specific | | | 314,200 | |
Distribution — class specific | | | 70,231 | |
Accounting services | | | 33,438 | |
Professional | | | 28,170 | |
Printing | | | 27,645 | |
Custodian | | | 6,208 | |
Directors and Officer | | | 4,383 | |
Transfer agent | | | 2,488 | |
Miscellaneous | | | 3,973 | |
| | | | |
Total expenses | | | 1,382,437 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (964) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (216,570) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1,164,903 | |
| | | | |
Net investment income | | | 3,764,980 | |
| | | | |
| |
REALIZED AND UNREALIZED LOSS | | | | |
Net realized loss from: | | | | |
Investments — affiliated | | | (6,528) | |
Investments — unaffiliated | | | (987,328) | |
Foreign currency transactions | | | (42,184) | |
| | | | |
| | | (1,036,040) | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (984) | |
Investments — unaffiliated | | | (58,700,094) | |
| | | | |
| | | (58,701,078) | |
| | | | |
Net realized and unrealized loss | | | (59,737,118) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (55,972,138) | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Basic Value V.I. Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended 12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 3,764,980 | | | $ | 8,074,675 | |
Net realized gain (loss) | | | (1,036,040) | | | | 36,002,459 | |
Net change in unrealized appreciation (depreciation) | | | (58,701,078) | | | | 37,466,935 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (55,972,138) | | | | 81,544,069 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (29,918,295) | |
Class II | | | — | | | | (431,025) | |
Class III | | | — | | | | (6,415,190) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (36,764,510) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (13,682,514) | | | | (77,003,585) | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
| | |
Total decrease in net assets | | | (69,654,652) | | | | (32,224,026) | |
Beginning of period | | | 356,139,225 | | | | 388,363,251 | |
| | | | |
End of period | | $ | 286,484,573 | | | $ | 356,139,225 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Basic Value V.I. Fund | |
| |
| | | Class I | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 13.75 | | | $ | 12.39 | | | $ | 15.60 | | | $ | 15.21 | | | $ | 13.36 | | | $ | 16.42 | |
| | | | |
Net investment income (a) | | | 0.15 | | | | 0.31 | | | | 0.28 | | | | 0.22 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (2.36) | | | | 2.63 | | | | (1.51) | | | | 1.03 | | | | 2.19 | | | | (1.20) | |
| | | | |
Net increase (decrease) from investment operations | | | (2.21) | | | | 2.94 | | | | (1.23) | | | | 1.25 | | | | 2.42 | | | | (0.96) | |
| | | | |
| | | | | | |
| Distributions (b) | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.35) | | | | (0.29) | | | | (0.25) | | | | (0.22) | | | | (0.25) | |
From net realized gain | | | — | | | | (1.23) | | | | (1.69) | | | | (0.61) | | | | (0.35) | | | | (1.85) | |
| | | | |
Total distributions | | | — | | | | (1.58) | | | | (1.98) | | | | (0.86) | | | | (0.57) | | | | (2.10) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 11.54 | | | $ | 13.75 | | | $ | 12.39 | | | $ | 15.60 | | | $ | 15.21 | | | $ | 13.36 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (16.07)%(d) | | | | 23.91% | | | | (7.85)% | | | | 8.24% | | | | 18.19% | | | | (5.95)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.89%(f) | | | | 0.84% | | | | 0.85% | | | | 0.85% | | | | 0.84% | | | | 0.86% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.73%(f) | | | | 0.73% | | | | 0.72% | | | | 0.73% | | | | 0.73% | | | | 0.73% | |
| | | | |
Net investment income | | | 2.59%(f) | | | | 2.20% | | | | 1.80% | | | | 1.47% | | | | 1.63% | | | | 1.47% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 230,692 | | | $ | 288,543 | | | $ | 326,873 | | | $ | 397,180 | | | $ | 409,216 | | | $ | 393,370 | |
| | | | |
Portfolio turnover rate | | | 57% | | | | 45% | | | | 32% | | | | 41% | | | | 45% | | | | 50% | |
| | | | |
| (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 | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
Investments in underlying funds | | | —% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Basic Value V.I. Fund | |
| |
| | | Class II | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 13.70 | | | $ | 12.35 | | | $ | 15.56 | | | $ | 15.16 | | | $ | 13.33 | | | $ | 16.38 | |
| | | | |
Net investment income��(a) | | | 0.14 | | | | 0.27 | | | | 0.26 | | | | 0.20 | | | | 0.20 | | | | 0.21 | |
Net realized and unrealized gain (loss) | | | (2.35) | | | | 2.64 | | | | (1.52) | | | | 1.03 | | | | 2.18 | | | | (1.18) | |
| | | | |
Net increase (decrease) from investment operations | | | (2.21) | | | | 2.91 | | | | (1.26) | | | | 1.23 | | | | 2.38 | | | | (0.97) | |
| | | | |
| | | | | | |
| Distributions (b) | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.33) | | | | (0.26) | | | | (0.22) | | | | (0.20) | | | | (0.23) | |
From net realized gain | | | — | | | | (1.23) | | | | (1.69) | | | | (0.61) | | | | (0.35) | | | | (1.85) | |
| | | | |
Total distributions | | | — | | | | (1.56) | | | | (1.95) | | | | (0.83) | | | | (0.55) | | | | (2.08) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 11.49 | | | $ | 13.70 | | | $ | 12.35 | | | $ | 15.56 | | | $ | 15.16 | | | $ | 13.33 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (16.13)%(d) | | | | 23.71% | | | | (8.06)% | | | | 8.15% | | | | 17.88% | | | | (6.07)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.02%(f) | | | | 1.02% | | | | 1.02% | | | | 1.02% | | | | 1.02% | | | | 1.02% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.90%(f) | | | | 0.90% | | | | 0.89% | | | | 0.90% | | | | 0.90% | | | | 0.90% | |
| | | | |
Net investment income | | | 2.42%(f) | | | | 1.97% | | | | 1.63% | | | | 1.29% | | | | 1.47% | | | | 1.30% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 3,239 | | | $ | 4,218 | | | $ | 3,829 | | | $ | 4,928 | | | $ | 5,280 | | | $ | 5,466 | |
| | | | |
Portfolio turnover rate | | | 57% | | | | 45% | | | | 32% | | | | 41% | | | | 45% | | | | 50% | |
| | | | |
| (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 | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
Investments in underlying funds | | | —% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Basic Value V.I. Fund | |
| |
| | | Class III | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 13.62 | | | $ | 12.29 | | | $ | 15.48 | | | $ | 15.08 | | | $ | 13.28 | | | $ | 16.32 | |
| | | | |
Net investment income (a) | | | 0.13 | | | | 0.26 | | | | 0.24 | | | | 0.18 | | | | 0.18 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | (2.33 | ) | | | 2.61 | | | | (1.50) | | | | 1.02 | | | | 2.17 | | | | (1.17) | |
| | | | |
Net increase (decrease) from investment operations | | | (2.20 | ) | | | 2.87 | | | | (1.26) | | | | 1.20 | | | | 2.35 | | | | (0.98) | |
| | | | |
| | | | | | |
| Distributions (b) | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.31) | | | | (0.24) | | | | (0.19) | | | | (0.20) | | | | (0.21) | |
From net realized gain | | | — | | | | (1.23) | | | | (1.69) | | | | (0.61) | | | | (0.35) | | | | (1.85) | |
| | | | |
Total distributions | | | — | | | | (1.54) | | | | (1.93) | | | | (0.80) | | | | (0.55) | | | | (2.06) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 11.42 | | | $ | 13.62 | | | $ | 12.29 | | | $ | 15.48 | | | $ | 15.08 | | | $ | 13.28 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (16.15)%(d) | | | | 23.53% | | | | (8.11)% | | | | 8.01% | | | | 17.72% | | | | (6.15)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.13%(f) | | | | 1.13% | | �� | | 1.15% | | | | 1.16% | | | | 1.04% | | | | 1.13% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1.01%(f) | | | | 1.01% | | | | 1.00% | | | | 1.01% | | | | 1.00% | | | | 1.01% | |
| | | | |
Net investment income | | | 2.32%(f) | | | | 1.86% | | | | 1.52% | | | | 1.16% | | | | 1.25% | | | | 1.19% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 52,553 | | | $ | 63,378 | | | $ | 57,661 | | | $ | 78,896 | | | $ | 114,160 | | | $ | 45,197 | |
| | | | |
Portfolio turnover rate | | | 57% | | | | 45% | | | | 32% | | | | 41% | | | | 45% | | | | 50% | |
| | | | |
| (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
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | —% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Basic Value V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Notes to Financial Statements (unaudited) (continued) | | |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, certain investments of the Fund were fair valued using NAV as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | | Cash Collateral
Received (a) | | | Net
Amount | |
Citigroup Global Markets, Inc. | | $ | 15,046 | | | $ | (15,046) | | | $ | — | |
Credit Suisse Securities (USA) LLC | | | 5,086,090 | | | | (5,086,090) | | | | — | |
Deutsche Bank Securities, Inc. | | | 7,222,860 | | | | (7,222,860) | | | | — | |
JP Morgan Securities LLC | | | 9,820,070 | | | | (9,820,070) | | | | — | |
Morgan Stanley & Co. LLC | | | 5,309,996 | | | | (5,309,996) | | | | — | |
National Financial Services LLC | | | 99,136 | | | | (99,136) | | | | — | |
State Street Bank & Trust Co. | | | 2,317,909 | | | | (2,317,909) | | | | — | |
| | | | |
| | $ | 29,871,107 | | | $ | (29,871,107) | | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.60 | % |
$1 Billion - $3 Billion | | | 0.56 | |
$3 Billion - $5 Billion | | | 0.54 | |
$5 Billion - $10 Billion | | | 0.52 | |
Greater than $10 Billion | | | 0.51 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15% | |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the following table shows the class specific distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution Fees | |
Class II | | $ | 2,535 | |
Class III | | | 67,696 | |
| | | $ | 70,231 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 255,503 | |
Class II | | | 3,353 | |
Class III | | | 55,344 | |
| | | $ | 314,200 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $964.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $2,164 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.06 | % |
Class II | | | 0.08 | |
Class III | | | 0.09 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed – class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements are as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 183,590 | |
Class II | | | 2,001 | |
Class III | | | 30,979 | |
| | | | $ 216,570 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class II | | | 1.40 | |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021 unless approved by the Board, including a majority of the Independent Directors or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
| | |
NOTESTO FINANCIAL STATEMENTS | | 17 |
Notes to Financial Statements (unaudited) (continued)
Pursuant to the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $13,951 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $171,164,953 and $180,208,812, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 332,178,119 | |
| | | | |
Gross unrealized appreciation | | $ | 10,189,524 | |
Gross unrealized depreciation | | | (26,502,582) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | (16,313,058) | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | | Year Ended
12/31/19 | |
| | | | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 354,149 | | | $ | 3,722,590 | | | | 409,623 | | | $ | 5,703,982 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 2,206,072 | | | | 29,918,295 | |
Shares redeemed | | | (1,351,379 | ) | | | (15,981,641 | ) | | | (8,013,802 | ) | | | (111,784,813) | |
| | | | |
Net decrease | | | (997,230 | ) | | $ | (12,259,051 | ) | | | (5,398,107 | ) | | $ | (76,162,536) | |
| | | | |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 6,188 | | | $ | 64,918 | | | | 586 | | | $ | 8,053 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 31,900 | | | | 431,025 | |
Shares redeemed | | | (32,205 | ) | | | (408,534 | ) | | | (34,572 | ) | | | (474,362) | |
| | | | |
Net decrease | | | (26,017 | ) | | $ | (343,616 | ) | | | (2,086 | ) | | $ | (35,284) | |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 401,233 | | | $ | 4,165,411 | | | | 199,212 | | | $ | 2,724,149 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 477,611 | | | | 6,415,190 | |
Shares redeemed | | | (451,259 | ) | | | (5,245,258 | ) | | | (716,499 | ) | | | (9,945,104) | |
| | | | |
Net decrease | | | (50,026 | ) | | $ | (1,079,847 | ) | | | (39,676 | ) | | $ | (805,765) | |
| | | | |
Total Net Decrease | | | (1,073,273) | | | $ | (13,682,514) | | | | (5,439,869 | ) | | $ | (77,003,585) | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Glossary of Terms Used in this Report
| | |
|
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| NYRS | | New York Registered Shares |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report
(Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Capital Appreciation V.I. Fund |
|
| Not FDIC Insured – May Lose Value – No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Capital Appreciation V.I. Fund |
Investment Objective
BlackRock Capital Appreciation V.I. Fund’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, 2020, the Fund outperformed its benchmark, the Russell 1000® Growth Index, as well as the broad market S&P 500® Index. The following discussion of relative performance pertains to the Russell 1000® Growth Index.
What factors influenced performance?
The largest contributors to the Fund’s relative performance over the period included stock selection in the consumer discretionary and communication services sectors as well as positioning in consumer staples. In consumer discretionary, an overweight to internet & direct marketing retail, most notably an overweight position in ecommerce and cloud computing company Amazon, Inc. and an out-of-benchmark position in Argentine ecommerce company MercadoLibre, Inc. drove relative performance. Within communication services, stock selection in the entertainment subsector with an overweight position in Netflix, Inc. further added to relative results. Lastly, an underweight to the consumer staples sector, with limited exposure most notably to the beverages segment, proved advantageous.
The only detractor from relative performance in sector terms was stock selection in health care. Within health care, an overweight exposure to health care equipment & supplies weighed on performance, specifically overweight positions in Boston Scientific Corp., Align Technology, Inc., Intuitive Surgical, Inc., and Varian Medical Systems, Inc. Additionally, positioning within the life sciences tools & services industry was a slight drag on performance, due to an overweight position in IQVIA holdings and an underweight position in Illumina, Inc.
Describe recent portfolio activity.
During the period, exposure to information technology (“IT”) increased with allocations to software. Exposure to the consumer discretionary sector increased as well. Conversely, exposure to industrials decreased the most due to a lowered allocation to aerospace & defense. Also, the Fund’s exposure to the health care sector was decreased.
Describe portfolio positioning at period end.
As of period end, the Fund’s largest overweight position relative to the Russell 1000® Growth Index was in the consumer discretionary sector, followed by financials and materials. Conversely, the consumer staples sector was the largest underweight, followed by health care and IT.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Capital Appreciation V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | |
Class I (b)(c) | | | 13.52 | % | | | | | | | 20.96 | % | | | | | | | 15.53 | % | | | | | | | 15.67 | % |
Class III (b)(c) | | | 13.46 | | | | | | | | 20.79 | | | | | | | | 15.24 | | | | | | | | 15.39 | |
Russell 1000® Growth Index (d) | | | 9.81 | | | | | | | | 23.28 | | | | | | | | 15.89 | | | | | | | | 17.23 | |
S&P 500® Index(e) | | | (3.08 | ) | | | | | | | 7.51 | | | | | | | | 10.73 | | | | | | | | 13.99 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative 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. |
| (c) | The Fund invests primarily in a diversified portfolio consisting primarily of common stock of U.S. companies that the investment adviser believes have exhibited above-average growth rates in earnings over the long-term. |
| (d) | An unmanaged index that 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. |
| (e) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
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.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Information Technology | | | 43 | % |
Consumer Discretionary | | | 22 | |
Health Care | | | 11 | |
Communication Services | | | 11 | |
Industrials | | | 5 | |
Financials | | | 4 | |
Real Estate | | | 3 | |
Materials | | | 2 | |
Consumer Staples | | | 1 | |
Short-Term Securities | | | — | (a) |
Liabilities in Excess of Other Assets | | | (2 | ) |
| (a) | Represents less than 1% of the Fund’s total investments. |
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 such sector sub-classifications for reporting ease.
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b)
| | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b)
| | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,135.20 | | | $ | 4.35 | | | | | | | $ | 1,000.00 | | | $ | 1,020.79 | | | $ | 4.12 | | | | 0.82% | |
Class III | | | 1,000.00 | | | | 1,134.60 | | | | 5.73 | | | | | | | | 1,000.00 | | | | 1,019.49 | | | | 5.42 | | | | 1.08 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Capital Appreciation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 100.0% | |
|
Automobiles — 0.4% | |
Ferrari NV | | | 5,002 | | | $ | 855,392 | |
| | | | | | | | |
| | |
| Beverages — 0.7% | | | | | | |
Constellation Brands, Inc., Class A | | | 8,058 | | | | 1,409,747 | |
| | | | | | | | |
| | |
| Biotechnology — 2.0%(a) | | | | | | |
Biogen, Inc. | | | 2,920 | | | | 781,246 | |
Vertex Pharmaceuticals, Inc. | | | 11,417 | | | | 3,314,469 | |
| | | | | | | | |
| | | | | | | 4,095,715 | |
| | |
| Capital Markets — 3.8% | | | | | | |
CME Group, Inc. | | | 11,202 | | | | 1,820,773 | |
S&P Global, Inc. | | | 17,851 | | | | 5,881,548 | |
| | | | | | | | |
| | | | | | | 7,702,321 | |
| | |
| Chemicals — 1.5% | | | | | | |
Sherwin-Williams Co. (The) | | | 5,266 | | | | 3,042,958 | |
| | | | | | | | |
| | |
| Commercial Services & Supplies — 0.5% | | | | | | |
Waste Management, Inc. | | | 8,713 | | | | 922,794 | |
| | | | | | | | |
| | |
| Containers & Packaging — 0.7% | | | | | | |
Ball Corp. | | | 21,441 | | | | 1,489,935 | |
| | | | | | | | |
| | |
Electronic Equipment, Instruments & Components —
1.1% | | | | | | |
Keysight Technologies, Inc.(a) | | | 23,083 | | | | 2,326,305 | |
| | | | | | | | |
| | |
| Entertainment — 3.3% | | | | | | |
Netflix, Inc.(a) | | | 15,008 | | | | 6,829,240 | |
| | | | | | | | |
| |
| Equity Real Estate Investment Trusts (REITs) — 2.5% | | | | |
Prologis, Inc | | | 13,591 | | | | 1,268,448 | |
SBA Communications Corp. | | | 13,128 | | | | 3,911,094 | |
| | | | | | | | |
| | | | | | | 5,179,542 | |
| | |
| Health Care Equipment & Supplies — 3.2%(a) | | | | | | |
Boston Scientific Corp. | | | 104,590 | | | | 3,672,155 | |
Intuitive Surgical, Inc. | | | 5,126 | | | | 2,920,948 | |
| | | | | | | | |
| | | | | | | 6,593,103 | |
| | |
| Health Care Providers & Services — 3.7% | | | | | | |
Humana, Inc. | | | 7,650 | | | | 2,966,288 | |
UnitedHealth Group, Inc. | | | 15,479 | | | | 4,565,531 | |
| | | | | | | | |
| | | | | | | 7,531,819 | |
| | |
| Hotels, Restaurants & Leisure — 1.2% | | | | | | |
Domino’s Pizza, Inc. | | | 2,901 | | | | 1,071,746 | |
Hilton Worldwide Holdings, Inc. | | | 20,058 | | | | 1,473,260 | |
| | | | | | | | |
| | | | | | | 2,545,006 | |
| | |
| Industrial Conglomerates — 1.1% | | | | | | |
Roper Technologies, Inc. | | | 5,944 | | | | 2,307,817 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Interactive Media & Services — 7.5%(a) | | | | | | |
Alphabet, Inc., Class A | | | 4,457 | | | $ | 6,320,249 | |
Facebook, Inc., Class A | | | 21,877 | | | | 4,967,610 | |
Snap, Inc., Class A | | | 171,593 | | | | 4,030,720 | |
| | | | | | | | |
| | | | | | | 15,318,579 | |
| | |
| Internet & Direct Marketing Retail — 14.0%(a) | | | | | | |
Alibaba Group Holding Ltd., ADR | | | 19,376 | | | | 4,179,403 | |
Amazon.com, Inc. | | | 7,425 | | | | 20,484,238 | |
MercadoLibre, Inc. | | | 4,201 | | | | 4,141,220 | |
| | | | | | | | |
| | | | | | | 28,804,861 | |
| | |
| IT Services — 13.3% | | | | | | |
Fidelity National Information Services, Inc. | | | 13,387 | | | | 1,795,063 | |
GoDaddy, Inc., Class A(a) | | | 25,813 | | | | 1,892,867 | |
Mastercard, Inc., Class A | | | 27,845 | | | | 8,233,767 | |
PayPal Holdings, Inc.(a) | | | 18,669 | | | | 3,252,700 | |
Shopify, Inc., Class A(a) | | | 2,380 | | | | 2,259,096 | |
Visa, Inc., Class A | | | 50,602 | | | | 9,774,788 | |
| | | | | | | | |
| | | | | | | 27,208,281 | |
| | |
| Pharmaceuticals — 2.6% | | | | | | |
AstraZeneca plc, ADR(b) | | | 37,404 | | | | 1,978,298 | |
Zoetis, Inc. | | | 24,456 | | | | 3,351,450 | |
| | | | | | | | |
| | | | | | | 5,329,748 | |
| | |
| Professional Services — 3.5% | | | | | | |
CoStar Group, Inc.(a) | | | 6,368 | | | | 4,525,547 | |
TransUnion | | | 29,509 | | | | 2,568,463 | |
| | | | | | | | |
| | | | | | | 7,094,010 | |
| |
| Semiconductors & Semiconductor Equipment — 4.2% | | | | |
Analog Devices, Inc. | | | 26,931 | | | | 3,302,818 | |
ASML Holding NV (Registered), NYRS | | | 14,477 | | | | 5,327,970 | |
| | | | | | | | |
| | | | | | | 8,630,788 | |
| | |
| Software — 20.8% | | | | | | |
Adobe, Inc.(a) | | | 13,783 | | | | 5,999,878 | |
Autodesk, Inc.(a) | | | 7,433 | | | | 1,777,899 | |
Coupa Software, Inc.(a) | | | 3,783 | | | | 1,048,042 | |
Intuit, Inc. | | | 19,021 | | | | 5,633,830 | |
Microsoft Corp. | | | 80,557 | | | | 16,394,155 | |
RingCentral, Inc., Class A(a) | | | 3,745 | | | | 1,067,362 | |
salesforce.com, Inc.(a) | | | 22,332 | | | | 4,183,454 | |
ServiceNow, Inc.(a) | | | 16,314 | | | | 6,608,149 | |
| | | | | | | | |
| | | | | | | 42,712,769 | |
| | |
| Specialty Retail — 3.4% | | | | | | |
Lowe’s Cos., Inc. | | | 27,660 | | | | 3,737,419 | |
TJX Cos., Inc. (The) | | | 63,280 | | | | 3,199,437 | |
| | | | | | | | |
| | | | | | | 6,936,856 | |
| |
| Technology Hardware, Storage & Peripherals — 2.3% | | | | |
Apple, Inc. | | | 13,210 | | | | 4,819,008 | |
| | | | | | | | |
| | |
| Textiles, Apparel & Luxury Goods — 2.7% | | | | | | |
LVMH Moet Hennessy Louis Vuitton SE | | | 3,261 | | | | 1,439,716 | |
NIKE, Inc., Class B | | | 40,959 | | | | 4,016,030 | |
| | | | | | | | |
| | | | | | | 5,455,746 | |
| | | | | | | | |
| |
Total Common Stocks — 100.0%
(Cost: $130,334,354) | | | | 205,142,340 | |
| | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Capital Appreciation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Preferred Stocks — 1.6% | | | | | | | | |
| | |
| Software — 1.6% | | | | | | |
Palantir Technologies, Inc., Series I (Acquired 02/11/14, cost $2,858,020)(a)(c)(d) | | | 466,235 | | | $ | 3,203,035 | |
| | | | | | | | |
| |
Total Preferred Stocks — 1.6%
(Cost: $2,858,021) | | | | 3,203,035 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 101.6%
(Cost: $133,192,375) | | | | | 208,345,375 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Short-Term Securities — 0.4%(e)* | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 193,787 | | | $ | 193,787 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(f) | | | 580,179 | | | | 580,643 | |
| | | | | | | | |
| |
Total Short-Term Securities — 0.4%
(Cost: $774,430) | | | | 774,430 | |
| | | | | | | | |
| |
Total Investments — 102.0%
(Cost: $133,966,805) | | | | 209,119,805 | |
| |
Liabilities in Excess of Other Assets — (2.0)% | | | | (4,037,130 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 205,082,675 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $3,203,035, representing 1.56% of its net assets as of period end, and an original cost of $2,858,020. |
| (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) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Affiliated Issuer | |
| Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized
Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
| |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 206,770 | | | | — | | | | (12,983) | | | | 193,787 | | | $ | 193,787 | | | $ | 2,360 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 2,200,535 | | | | — | | | | (1,620,356) | | | | 580,179 | | | | 580,643 | | | | 7,074 | (c) | | | 1,495 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 774,430 | | | $ | 9,434 | | | $ | 1,495 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Capital Appreciation V.I. Fund |
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: | | | | | | | | | | | | | | | | |
Automobiles | | $ | 855,392 | | | $ | — | | | $ | — | | | $ | 855,392 | |
Beverages | | | 1,409,747 | | | | — | | | | — | | | | 1,409,747 | |
Biotechnology | | | 4,095,715 | | | | — | | | | — | | | | 4,095,715 | |
Capital Markets | | | 7,702,321 | | | | — | | | | — | | | | 7,702,321 | |
Chemicals | | | 3,042,958 | | | | — | | | | — | | | | 3,042,958 | |
Commercial Services & Supplies | | | 922,794 | | | | — | | | | — | | | | 922,794 | |
Containers & Packaging | | | 1,489,935 | | | | — | | | | — | | | | 1,489,935 | |
Electronic Equipment, Instruments & Components | | | 2,326,305 | | | | — | | | | — | | | | 2,326,305 | |
Entertainment | | | 6,829,240 | | | | — | | | | — | | | | 6,829,240 | |
Equity Real Estate Investment Trusts (REITs) | | | 5,179,542 | | | | — | | | | — | | | | 5,179,542 | |
Health Care Equipment & Supplies | | | 6,593,103 | | | | — | | | | — | | | | 6,593,103 | |
Health Care Providers & Services | | | 7,531,819 | | | | — | | | | — | | | | 7,531,819 | |
Hotels, Restaurants & Leisure | | | 2,545,006 | | | | — | | | | — | | | | 2,545,006 | |
Industrial Conglomerates | | | 2,307,817 | | | | — | | | | — | | | | 2,307,817 | |
Interactive Media & Services | | | 15,318,579 | | | | — | | | | — | | | | 15,318,579 | |
Internet & Direct Marketing Retail | | | 28,804,861 | | | | — | | | | — | | | | 28,804,861 | |
IT Services | | | 27,208,281 | | | | — | | | | — | | | | 27,208,281 | |
Pharmaceuticals | | | 5,329,748 | | | | — | | | | — | | | | 5,329,748 | |
Professional Services | | | 7,094,010 | | | | — | | | | — | | | | 7,094,010 | |
Semiconductors & Semiconductor Equipment | | | 8,630,788 | | | | — | | | | — | | | | 8,630,788 | |
Software | | | 42,712,769 | | | | — | | | | — | | | | 42,712,769 | |
Specialty Retail | | | 6,936,856 | | | | — | | | | — | | | | 6,936,856 | |
Technology Hardware, Storage & Peripherals | | | 4,819,008 | | | | — | | | | — | | | | 4,819,008 | |
Textiles, Apparel & Luxury Goods | | | 4,016,030 | | | | 1,439,716 | | | | — | | | | 5,455,746 | |
Preferred Stocks | | | — | | | | — | | | | 3,203,035 | | | | 3,203,035 | |
Short-Term Securities | | | 193,787 | | | | — | | | | — | | | | 193,787 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 203,896,411 | | | $ | 1,439,716 | | | $ | 3,203,035 | | | $ | 208,539,162 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 580,643 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 209,119,805 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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. |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Capital Appreciation V.I. Fund |
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:
| | | | |
| |
| | | Preferred
Stocks | |
| |
Investments: | | | | |
Assets: | | | | |
Opening balance, as of December 31, 2019 | | $ | 2,760,111 | |
Transfers into level 3 | | | — | |
Transfers out of level 3 | | | — | |
Accrued discounts/premiums | | | — | |
Net realized gain | | | — | |
Net change in unrealized appreciation (a)(b) | | | 442,924 | |
Purchases | | | — | |
Sales | | | — | |
| | | | |
Closing balance, as of June 30, 2020 | | $ | 3,203,035 | |
| | | | |
Net change in unrealized appreciation on investments still held at June 30, 2020 (b) | | $ | 442,924 | |
| | | | |
| (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, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end.
| | | | | | | | | | | | | | |
| | | Value | | | Valuation
Approach | | | Unobservable Inputs | | Range of
Unobservable
Inputs Utilized (a) | |
Preferred Stocks | | $ | 3,203,035 | | | | Market | | | Revenue Multiple | | | 17.00x | |
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Capital
Appreciation
V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $565,923) (cost — $133,192,375) | | $ | 208,345,375 | |
Investments at value — affiliated (cost — $774,430) | | | 774,430 | |
Cash | | | 166 | |
Foreign currency at value (cost — $78) | | | 78 | |
Receivables: | | | | |
Investments sold | | | 789,777 | |
Securities lending income — affiliated | | | 1,156 | |
Capital shares sold | | | 4,053 | |
Dividends — affiliated | | | 35 | |
Dividends — unaffiliated | | | 15,223 | |
From affiliate(s) | | | 505 | |
Prepaid expenses | | | 2,108 | |
| | | | |
Total assets | | | 209,932,906 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 577,484 | |
Payables: | | | | |
Investments purchased | | | 541,390 | |
Capital shares redeemed | | | 3,379,330 | |
Distribution fees | | | 17,476 | |
Investment advisory fees | | | 109,783 | |
Other affiliates | | | 1,475 | |
Other accrued expenses | | | 223,293 | |
| | | | |
Total liabilities | | | 4,850,231 | |
| | | | |
| |
NET ASSETS | | $ | 205,082,675 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 122,127,431 | |
Accumulated earnings | | | 82,955,244 | |
| | | | |
NET ASSETS | | $ | 205,082,675 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $139,817,306 and 15,407,420 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 9.07 | |
| | | | |
Class III — Based on net assets of $65,265,369 and 7,375,826 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 8.85 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Capital
Appreciation
V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 2,360 | |
Dividends — unaffiliated | | | 531,882 | |
Securities lending income — affiliated — net | | | 7,074 | |
Foreign taxes withheld | | | (5,386) | |
| | | | |
Total investment income | | | 535,930 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 627,696 | |
Transfer agent — class specific | | | 190,240 | |
Distribution — class specific | | | 76,265 | |
Professional | | | 28,935 | |
Accounting services | | | 28,818 | |
Printing | | | 22,113 | |
Custodian | | | 8,946 | |
Directors and Officer | | | 3,685 | |
Transfer agent | | | 2,497 | |
Miscellaneous | | | 4,001 | |
| | | | |
Total expenses | | | 993,196 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (237) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (119,600) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 873,359 | |
| | | | |
Net investment loss | | | (337,429) | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN | | | | |
Net realized gain from: | | | | |
Investments — affiliated | | | 1,495 | |
Investments — unaffiliated | | | 6,251,532 | |
Foreign currency transactions | | | 15,510 | |
| | | | |
| | | 6,268,537 | |
| | | | |
Net change in unrealized appreciation on investments — unaffiliated | | | 19,011,571 | |
| | | | |
Net realized and unrealized gain | | | 25,280,108 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 24,942,679 | |
| | | | |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Capital Appreciation V.I. Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment loss | | $ | (337,429) | | | $ | (934,540) | |
Net realized gain | | | 6,268,537 | | | | 65,131,100 | |
Net change in unrealized appreciation (depreciation) | | | 19,011,571 | | | | 7,481,122 | |
| | | | |
Net increase in net assets resulting from operations | | | 24,942,679 | | | | 71,677,682 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (22,513,872) | |
Class III | | | — | | | | (11,826,346) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (34,340,218) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (19,832,883) | | | | (102,143,355) | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
| | |
Total increase (decrease) in net assets | | | 5,109,796 | | | | (64,805,891) | |
Beginning of period | | | 199,972,879 | | | | 264,778,770 | |
| | | | |
End of period | | $ | 205,082,675 | | | $ | 199,972,879 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Capital Appreciation V.I. Fund | |
| |
| | | Class I | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 7.99 | | | $ | 7.25 | | | $ | 10.26 | | | $ | 8.63 | | | $ | 8.86 | | | $ | 9.02 | |
| | | | |
Net investment loss (a) | | | (0.01 | ) | | | (0.02 | ) | | | 0.00 | (b)(c) | | | (0.00 | )(d)(e) | | | (0.00 | )(d)(f) | | | (0.01) | |
Net realized and unrealized gain | | | 1.09 | | | | 2.31 | | | | 0.23 | | | | 2.86 | | | | 0.01 | | | | 0.63 | |
| | | | |
Net increase from investment operations | | | 1.08 | | | | 2.29 | | | | 0.23 | | | | 2.86 | | | | 0.01 | | | | 0.62 | |
| | | | |
Distributions from net realized gain (g) | | | — | | | | (1.55 | ) | | | (3.24 | ) | | | (1.23 | ) | | | (0.24 | ) | | | (0.78) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 9.07 | | | $ | 7.99 | | | $ | 7.25 | | | $ | 10.26 | | | $ | 8.63 | | | $ | 8.86 | |
| | | | |
| | | | | | |
Total Return (h) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 13.52%(i) | | | | 31.99% | | | | 2.39% | | | | 33.22% | | | | 0.10% | | | | 6.73% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.95%(j) | | | | 0.93% | | | | 0.94%(k) | | | | 0.92% | | | | 0.92% | | | | 0.93% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.82%(j) | | | | 0.80% | | | | 0.80%(k) | | | | 0.79% | | | | 0.80% | | | | 0.79% | |
| | | | |
Net investment income (loss) | | | (0.27)%(j) | | | | (0.20)% | | | | 0.01%(c)(k) | | | | (0.00)%(e)(l) | | | | (0.06)%(f) | | | | (0.15)% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 139,817 | | | $ | 135,871 | | | $ | 119,220 | | | $ | 142,246 | | | $ | 124,752 | | | $ | 139,045 | |
| | | | |
Portfolio turnover rate | | | 24% | | | | 43% | | | | 45% | | | | 48% | | | | 89% | | | | 70% | |
| | | | |
| (a) | Based on average shares outstanding. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.21%, respectively, resulting from a non-recurring dividend. |
| (d) | Amount is greater than $(0.005) per share. |
| (e) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.09%, respectively, resulting from a non-recurring dividend from TransDigm Group, Inc. in August 2017. |
| (f) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.07%, respectively, resulting from a non-recurring dividend from TransDigm Group, Inc. in October 2016. |
| (g) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (h) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (i) | Aggregate total return. |
| (k) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
| (l) | Amount is greater than (0.005)%. |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Capital Appreciation V.I. Fund | |
| |
| | | Class III | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 7.80 | | | $ | 7.13 | | | $ | 10.17 | | | $ | 8.56 | | | $ | 8.81 | | | $ | 8.97 | |
| | | | |
Net investment loss (a) | | | (0.02 | ) | | | (0.04 | ) | | | (0.03 | )(b) | | | (0.03 | )(c) | | | (0.03 | )(d) | | | (0.04) | |
Net realized and unrealized gain | | | 1.07 | | | | 2.26 | | | | 0.23 | | | | 2.84 | | | | 0.02 | | | | 0.63 | |
| | | | |
Net increase (decrease) from investment operations | | | 1.05 | | | | 2.22 | | | | 0.20 | | | | 2.81 | | | | (0.01 | ) | | | 0.59 | |
| | | | |
Distributions from net realized gain (e) | | | — | | | | (1.55 | ) | | | (3.24 | ) | | | (1.20 | ) | | | (0.24 | ) | | | (0.75) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 8.85 | | | $ | 7.80 | | | $ | 7.13 | | | $ | 10.17 | | | $ | 8.56 | | | $ | 8.81 | |
| | | | |
| | | | | | |
Total Return (f) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 13.46%(g) | | | | 31.55% | | | | 2.13% | | | | 32.94% | | | | (0.13)% | | | | 6.49% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.19%(h) | | | | 1.17% | | | | 1.19%(i) | | | | 1.17% | | | | 1.18% | | | | 1.17% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1.08%(h) | | | | 1.05% | | | | 1.06%(i) | | | | 1.05% | | | | 1.06% | | | | 1.05% | |
| | | | |
Net investment loss | | | (0.53)%(h) | | | | (0.47)% | | | | (0.28)%(b)(i) | | | | (0.27)%(c) | | | | (0.32)%(d) | | | | (0.40)% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 65,265 | | | $ | 64,102 | | | $ | 145,559 | | | $ | 259,969 | | | $ | 231,136 | | | $ | 233,706 | |
| | | | |
Portfolio turnover rate | | | 24% | | | | 43% | | | | 45% | | | | 48% | | | | 89% | | | | 70% | |
| | | | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.19%, respectively, resulting from a non-recurring dividend. |
| (c) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.09%, respectively, resulting from a non-recurring dividend from TransDigm Group, Inc. in August 2017. |
| (d) | Net investment income per share and the ratio of net investment income to average net assets includes $0.00 per share and 0.07%, respectively, resulting from a non-recurring dividend from TransDigm Group, Inc. in October 2016. |
| (e) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (f) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (g) | Aggregate total return. |
| (i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Capital Appreciation V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
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
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
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
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
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. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities
Loaned at Value | | | Cash Collateral
Received (a) | | | Net
Amount | |
JP Morgan Securities LLC | | $ | 565,923 | | | $ | (565,923) | | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.65 | % |
$1 Billion - $3 Billion | | | 0.61 | |
$3 Billion - $5 Billion | | | 0.59 | |
$5 Billion - $10 Billion | | | 0.57 | |
Greater than $10 Billion | | | 0.55 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets attributable to Class III.
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the class specific distribution fees borne directly by Class III were $76,265.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 133,173 | |
Class III | | | 57,067 | |
| | | $ | 190,240 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $237.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,661 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.07 | % |
Class III | | | 0.08 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund.
| | |
NOTESTO FINANCIAL STATEMENTS | | 17 |
Notes to Financial Statements (unaudited) (continued)
These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements are as follows:
| | | | |
| | | Transfer Agent Fees Waived and/or Reimbursed | |
Class I | | | $ 86,935 | |
Class III | | | 32,665 | |
| | | | $ 119,600 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $2,226 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $47,313,090 and $64,457,803, respectively.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 134,011,942 | |
| | | | |
Gross unrealized appreciation | | $ | 75,731,029 | |
Gross unrealized depreciation | | | (623,166) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 75,107,863 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Notes to Financial Statements (unaudited) (continued)
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
Concentration Risk: As of period end, the Fund invested a significant portion of its assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
As of period end, the Fund’s investments had the following industry classifications:
| | | | |
| Industry | | Percent of
Long-Term
Investments | |
Software | | | 22 | % |
Internet & Direct Marketing Retail | | | 14 | |
IT Services | | | 13 | |
Interactive Media & Services | | | 7 | |
Other(a) | | | 44 | |
| (a) | All other industries held were each less than 5% of long-term investments. |
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Six Months Ended
06/30/20 | | | Year Ended
12/31/19 | |
| | | | |
| | | | | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class I | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 275,774 | | | $ | 2,249,259 | | | | 471,686 | | | $ | 4,106,041 | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | — | | | | 2,839,226 | | | | 22,513,872 | |
Shares redeemed | | | | | | | (1,865,231 | ) | | | (15,180,214 | ) | | | (2,753,421 | ) | | | (23,669,981) | |
| | | | |
Net increase (decrease) | | | | | | | (1,589,457 | ) | | $ | (12,930,955 | ) | | | 557,491 | | | $ | 2,949,932 | |
| | | | |
| | | | | |
Class III | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | 305,901 | | | $ | 2,364,362 | | | | 661,444 | | | $ | 5,481,843 | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | — | | | | 1,509,611 | | | | 11,826,346 | |
Shares redeemed | | | | | | | (1,143,156 | ) | | | (9,266,290 | ) | | | (14,378,799 | ) | | | (122,401,476) | |
| | | | |
Net decrease | | | | | | | (837,255 | ) | | $ | (6,901,928 | ) | | | (12,207,744 | ) | | $ | (105,093,287) | |
| | | | |
Total Net Decrease | | | | | | | (2,426,712 | ) | | $ | (19,832,883 | ) | | | (11,650,253 | ) | | $ | (102,143,355) | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| NYRS | | New York Registered Shares |
| |
| S&P | | Standard & Poor’s |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 21 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Equity Dividend V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Equity Dividend V.I. Fund |
Investment Objective
BlackRock Equity Dividend V.I. Fund’s (the “Fund”) investment objective is to seek long-term total return and current income.
Portfolio Management Commentary
How did the fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the Russell 1000® Value Index, and underperformed the broad-market S&P 500® Index. The following discussion of relative performance pertains to the Russell 1000® Value Index.
What factors influenced performance?
During the period, the largest contribution to relative performance came from an elevated cash balance, which was utilized to help mitigate portfolio volatility against a turbulent stock market. Within information technology (“IT”), a combination of stock selection and allocation decisions benefited performance. Notably, overweight exposure to the software and communications equipment segments fueled relative returns, as did stock selection among hardware and IT services firms. Within the consumer discretionary sector, stock selection in multiline retail and a lack of exposure to the hotels, restaurants & leisure industry proved beneficial. Lastly, an underweight to real estate, an overweight in health care, and stock selection in energy, industrials, and communication services added to relative performance.
Conversely, a combination of stock selection and allocation decisions in the financials sector significantly detracted from relative performance. In particular, the Fund’s overweight to and stock selection among banks, as well as stock selection in the capital markets industry, proved costly. Underweight positions to electric utilities and multi-utilities also weighed on relative returns as traditionally defensive sectors fared well amid a turbulent U.S. stock market during the first quarter of 2020. Other detractors included underweights to materials and consumer staples.
Describe recent portfolio activity.
During the period, a combination of portfolio trading activity and market price changes resulted in increased exposure to the utilities, IT and consumer staples sectors.
Conversely, the Fund’s exposures to financials, energy and industrials were reduced.
Describe portfolio positioning at period end.
In terms of sector positioning, the Fund’s largest allocations were in the financials, health care and IT sectors. Relative to the Russell 1000® Value benchmark, the Fund’s largest overweight positions were in the financials, health care and energy sectors. The Fund’s largest underweights were in the industrials, real estate and materials sectors.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Equity Dividend V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (13.73 | )% | | | | | | | (4.63 | )% | | | 6.87 | % | | | 10.41 | % |
Class III (b)(c) | | | (13.82 | ) | | | | | | | (4.80 | ) | | | 6.64 | | | | 10.15 | (d) |
Russell 1000® Value Index (e) | | | (16.26 | ) | | | | | | | (8.84 | ) | | | 4.64 | | | | 10.41 | |
S&P 500® Index (f) | | | (3.08 | ) | | | | | | | 7.51 | | | | 10.73 | | | | 13.99 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. | |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. | |
| (c) | The Fund seeks to achieve its objective by investing primarily in a diversified portfolio of equity securities. Under normal circumstances, the Fund will invest at least 80% of its assets in equity securities and at least 80% of its assets in dividend paying securities. The Fund’s total returns prior to October 1, 2010 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name BlackRock Utilities and Telecommunications V.I. Fund. | |
| (d) | The returns for Class III Shares prior to July 1, 2011, the recommencement of operations of Class III Shares, are based upon the performance of the Fund’s Class I Shares, as adjusted to reflect the distribution (12b-1) fees applicable to Class III Shares. | |
| (e) | An unmanaged index that is a subset of the Russell 1000® Index that consists of those Russell 1000® securities with lower price-to-book ratios and lower expected growth values. | |
| (f) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. | |
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.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Financials | | | 24 | % |
Health Care | | | 18 | |
Information Technology | | | 10 | |
Energy | | | 8 | |
Consumer Staples | | | 8 | |
Communication Services | | | 7 | |
Industrials | | | 6 | |
Consumer Discretionary | | | 6 | |
Utilities | | | 5 | |
Materials | | | 1 | |
Short-Term Securities | | | 9 | |
Liabilities in Excess of Other Assets | | | (2 | ) |
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 such sector sub-classifications for reporting ease.
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 862.70 | | | $ | 3.06 | | | | | | | $ | 1,000.00 | | | $ | 1,021.58 | | | $ | 3.32 | | | | 0.66 | % |
Class III | | | 1,000.00 | | | | 861.80 | | | | 4.21 | | | | | | | | 1,000.00 | | | | 1,020.34 | | | | 4.57 | | | | 0.91 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Equity Dividend V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 92.2% | | | | | | | | |
| | |
| Aerospace & Defense — 1.9% | | | | | | |
BAE Systems plc | | | 952,321 | | | $ | 5,694,367 | |
| | | | | | | | |
| | |
| Air Freight & Logistics — 0.4% | | | | | | |
FedEx Corp. | | | 9,384 | | | | 1,315,824 | |
| | | | | | | | |
| | |
| Automobiles — 1.3% | | | | | | |
General Motors Co. | | | 152,806 | | | | 3,865,992 | |
| | | | | | | | |
| | |
| Banks — 9.8% | | | | | | |
Bank of America Corp. | | | 407,673 | | | | 9,682,234 | |
Citigroup, Inc. | | | 183,640 | | | | 9,384,004 | |
JPMorgan Chase & Co.(a) | | | 46,932 | | | | 4,414,424 | |
Wells Fargo & Co. | | | 222,976 | | | | 5,708,185 | |
| | | | | | | | |
| | | | | | | 29,188,847 | |
| | |
| Beverages — 1.3% | | | | | | |
Constellation Brands, Inc., Class A | | | 22,605 | | | | 3,954,745 | |
| | | | | | | | |
| | |
| Capital Markets — 5.2% | | | | | | |
Charles Schwab Corp. (The) | | | 108,521 | | | | 3,661,499 | |
CME Group, Inc. | | | 11,510 | | | | 1,870,835 | |
Morgan Stanley | | | 115,941 | | | | 5,599,950 | |
Raymond James Financial, Inc. | | | 64,305 | | | | 4,426,113 | |
| | | | | | | | |
| | | | | | | 15,558,397 | |
| | |
| Chemicals — 1.4% | | | | | | |
Corteva, Inc. | | | 59,114 | | | | 1,583,664 | |
DuPont de Nemours, Inc. | | | 48,229 | | | | 2,562,407 | |
| | | | | | | | |
| | | | | | | 4,146,071 | |
| | |
| Communications Equipment — 1.7% | | | | | | |
Cisco Systems, Inc. | | | 61,625 | | | | 2,874,190 | |
Motorola Solutions, Inc. | | | 15,515 | | | | 2,174,117 | |
| | | | | | | | |
| | | | | | | 5,048,307 | |
| | |
| Construction Materials — 0.2% | | | | | | |
CRH plc | | | 18,465 | | | | 633,671 | |
| | | | | | | | |
| | |
| Consumer Finance — 0.6% | | | | | | |
American Express Co. | | | 19,500 | | | | 1,856,400 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 2.1% | | | | | | |
Berkshire Hathaway, Inc., Class B(b) | | | 23,050 | | | | 4,114,656 | |
Equitable Holdings, Inc. | | | 106,700 | | | | 2,058,243 | |
| | | | | | | | |
| | | | | | | 6,172,899 | |
|
| Diversified Telecommunication Services — 3.9% | |
Verizon Communications, Inc. | | | 212,207 | | | | 11,698,972 | |
| | | | | | | | |
| | |
| Electric Utilities — 3.3% | | | | | | |
Edison International | | | 49,660 | | | | 2,697,035 | |
FirstEnergy Corp. | | | 145,342 | | | | 5,636,363 | |
PPL Corp. | | | 57,903 | | | | 1,496,213 | |
| | | | | | | | |
| | | | | | | 9,829,611 | |
| | |
| Food Products — 1.1% | | | | | | |
Nestle SA (Registered) | | | 29,508 | | | | 3,271,570 | |
| | | | | | | | |
| | |
| Health Care Equipment & Supplies — 5.1% | | | | | | |
Alcon, Inc.(b) | | | 47,741 | | | | 2,743,161 | |
Koninklijke Philips NV(b) | | | 128,321 | | | | 5,985,882 | |
Medtronic plc | | | 71,350 | | | | 6,542,795 | |
| | | | | | | | |
| | | | | | | 15,271,838 | |
| | |
| Health Care Providers & Services — 6.0% | | | | | | |
Anthem, Inc. | | | 23,408 | | | | 6,155,836 | |
CVS Health Corp.(a) | | | 70,685 | | | | 4,592,404 | |
| | | | | | | | |
McKesson Corp. | | | 16,157 | | | | 2,478,807 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Health Care Providers & Services (continued) | | | | | | |
Quest Diagnostics, Inc. | | | 7,684 | | | $ | 875,669 | |
UnitedHealth Group, Inc | | | 12,820 | | | | 3,781,259 | |
| | | | | | | | |
| | | | | | | 17,883,975 | |
| | |
| Household Durables — 1.5% | | | | | | |
Newell Brands, Inc. | | | 117,339 | | | | 1,863,343 | |
Sony Corp. | | | 35,400 | | | | 2,443,669 | |
| | | | | | | | |
| | | | | | | 4,307,012 | |
| | |
| Industrial Conglomerates — 2.5% | | | | | | |
General Electric Co. | | | 500,710 | | | | 3,419,849 | |
Siemens AG (Registered) | | | 35,084 | | | | 4,137,710 | |
| | | | | | | | |
| | | | | | | 7,557,559 | |
| | |
| Insurance — 6.7% | | | | | | |
Allstate Corp. (The) | | | 21,167 | | | | 2,052,987 | |
American International Group, Inc.(a) | | | 198,813 | | | | 6,198,989 | |
Arthur J Gallagher & Co. | | | 51,215 | | | | 4,992,951 | |
Fidelity National Financial, Inc. | | | 49,910 | | | | 1,530,241 | |
MetLife, Inc. | | | 104,317 | | | | 3,809,657 | |
Willis Towers Watson plc(a) | | | 6,757 | | | | 1,330,791 | |
| | | | | | | | |
| | | | | | | 19,915,616 | |
| | |
| IT Services — 3.3% | | | | | | |
Cognizant Technology Solutions Corp., Class A | | | 111,396 | | | | 6,329,521 | |
Visa, Inc., Class A | | | 18,790 | | | | 3,629,664 | |
| | | | | | | | |
| | | | | | | 9,959,185 | |
| | |
| Media — 2.8% | | | | | | |
Comcast Corp., Class A | | | 143,927 | | | | 5,610,275 | |
Fox Corp., Class A(a) | | | 93,800 | | | | 2,515,716 | |
Fox Corp., Class B | | | 11,030 | | | | 296,045 | |
| | | | | | | | |
| | | | | | | 8,422,036 | |
| | |
| Multiline Retail — 0.6% | | | | | | |
Dollar General Corp. | | | 9,871 | | | | 1,880,524 | |
| | | | | | | | |
| | |
| Multi-Utilities — 1.6% | | | | | | |
NiSource, Inc. | | | 35,210 | | | | 800,675 | |
Public Service Enterprise Group, Inc. | | | 81,138 | | | | 3,988,744 | |
| | | | | | | | |
| | | | | | | 4,789,419 | |
| | |
| Oil, Gas & Consumable Fuels — 7.9% | | | | | | |
BP plc | | | 583,498 | | | | 2,235,406 | |
ConocoPhillips | | | 75,530 | | | | 3,173,771 | |
Enterprise Products Partners LP | | | 211,254 | | | | 3,838,485 | |
Equinor ASA | | | 224,193 | | | | 3,229,650 | |
Marathon Petroleum Corp. | | | 112,202 | | | | 4,194,111 | |
Pioneer Natural Resources Co. | | | 41,215 | | | | 4,026,706 | |
Williams Cos., Inc. (The)(a) | | | 153,859 | | | | 2,926,398 | |
| | | | | | | | |
| | | | | | | 23,624,527 | |
| | |
| Personal Products — 2.1% | | | | | | |
Unilever NV, NYRS | | | 116,548 | | | | 6,208,512 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 6.6% | | | | | | |
AstraZeneca plc(a) | | | 41,127 | | | | 4,280,268 | |
Bayer AG (Registered) | | | 80,957 | | | | 6,000,821 | |
Pfizer, Inc. | | | 62,434 | | | | 2,041,592 | |
Sanofi | | | 71,863 | | | | 7,328,926 | |
| | | | | | | | |
| | | | | | | 19,651,607 | |
| | |
| Road & Rail — 0.8% | | | | | | |
Union Pacific Corp. | | | 13,572 | | | | 2,294,618 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 1.2% | |
Applied Materials, Inc. | | | 25,020 | | | | 1,512,459 | |
NXP Semiconductors NV | | | 18,812 | | | | 2,145,320 | |
| | | | | | | | |
| | | | | | | 3,657,779 | |
| | |
SCHEDULES OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Equity Dividend V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Software — 2.2% | | | | | | |
CDK Global, Inc. | | | 29,330 | | | $ | 1,214,849 | |
Microsoft Corp. | | | 24,759 | | | | 5,038,704 | |
Open Text Corp.(a) | | | 3,530 | | | | 149,954 | |
| | | | | | | | |
| | | | | | | 6,403,507 | |
| | |
| Specialty Retail — 2.4% | | | | | | |
Lowe’s Cos., Inc.(a) | | | 21,963 | | | | 2,967,641 | |
Ross Stores, Inc.(a) | | | 30,250 | | | | 2,578,510 | |
TJX Cos., Inc. (The) | | | 28,390 | | | | 1,435,398 | |
| | | | | | | | |
| | | | | | | 6,981,549 | |
|
| Technology Hardware, Storage & Peripherals — 1.6% | |
Samsung Electronics Co. Ltd., GDR | | | 2,896 | | | | 3,165,950 | |
Samsung Electronics Co. Ltd., GDR(c) | | | 1,344 | | | | 1,482,432 | |
| | | | | | | | |
| | | | | | | 4,648,382 | |
| | |
| Tobacco — 2.2% | | | | | | |
Altria Group, Inc.(a) | | | 144,409 | | | | 5,668,053 | |
British American Tobacco plc | | | 18,960 | | | | 727,170 | |
| | | | | | | | |
| | | | | | | 6,395,223 | |
| | |
| Trading Companies & Distributors — 0.9% | | | | | | |
Ferguson plc | | | 33,025 | | | | 2,700,340 | |
| | | | | | | | |
| | |
Total Common Stocks — 92.2%
(Cost: $272,833,840) | | | | | | | 274,788,881 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Preferred Stocks — 1.2% | | | | | | | | |
| | |
| Household Products — 1.2% | | | | | | |
Henkel AG & Co. KGaA (Preference) | | | 39,658 | | | $ | 3,699,842 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 1.2%
(Cost: $3,550,169) | | | | | | | 3,699,842 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 93.4%
(Cost: $276,384,009) | | | | | | | 278,488,723 | |
| | | | | | | | |
| |
Short-Term Securities — 8.7%(d)* | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 19,553,826 | | | | 19,553,826 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(e) | | | 6,271,519 | | | | 6,276,536 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 8.7%
(Cost: $25,830,511) | | | | | | | 25,830,362 | |
| | | | | | | | |
| | |
Total Investments — 102.1%
(Cost: $302,214,520) | | | | | | | 304,319,085 | |
| |
Liabilities in Excess of Other Assets — (2.1)% | | | | (6,127,411 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 298,191,674 | |
| | | | | | | | |
| (a) | All or a portion of this security is on loan. |
| (b) | Non-income producing security. |
| (c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (d) | Annualized 7-day yield as of period end. |
| (e) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional
Class(b) | | | 26,786,942 | | | | — | | | | (7,233,116 | ) | | | 19,553,826 | | | $ | 19,553,826 | | | $ | 87,882 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market
Series(b) | | | 10,950,897 | | | | — | | | | (4,679,378 | ) | | | 6,271,519 | | | | 6,276,536 | | | | 28,514 | (c) | | | (5,661 | ) | | | (149 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 25,830,362 | | | $ | 116,396 | | | $ | (5,661 | ) | | $ | (149 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Equity Dividend V.I. Fund |
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 | | $ | — | | | $ | 5,694,367 | | | $ | — | | | $ | 5,694,367 | |
Air Freight & Logistics | | | 1,315,824 | | | | — | | | | — | | | | 1,315,824 | |
Automobiles | | | 3,865,992 | | | | — | | | | — | | | | 3,865,992 | |
Banks | | | 29,188,847 | | | | — | | | | — | | | | 29,188,847 | |
Beverages | | | 3,954,745 | | | | — | | | | — | | | | 3,954,745 | |
Capital Markets | | | 15,558,397 | | | | — | | | | — | | | | 15,558,397 | |
Chemicals | | | 4,146,071 | | | | — | | | | — | | | | 4,146,071 | |
Communications Equipment | | | 5,048,307 | | | | — | | | | — | | | | 5,048,307 | |
Construction Materials | | | — | | | | 633,671 | | | | — | | | | 633,671 | |
Consumer Finance | | | 1,856,400 | | | | — | | | | — | | | | 1,856,400 | |
Diversified Financial Services | | | 6,172,899 | | | | — | | | | — | | | | 6,172,899 | |
Diversified Telecommunication Services | | | 11,698,972 | | | | — | | | | — | | | | 11,698,972 | |
Electric Utilities | | | 9,829,611 | | | | — | | | | — | | | | 9,829,611 | |
Food Products | | | — | | | | 3,271,570 | | | | — | | | | 3,271,570 | |
Health Care Equipment & Supplies | | | 6,542,795 | | | | 8,729,043 | | | | — | | | | 15,271,838 | |
Health Care Providers & Services | | | 17,883,975 | | | | — | | | | — | | | | 17,883,975 | |
Household Durables | | | 1,863,343 | | | | 2,443,669 | | | | — | | | | 4,307,012 | |
Industrial Conglomerates | | | 3,419,849 | | | | 4,137,710 | | | | — | | | | 7,557,559 | |
Insurance | | | 19,915,616 | | | | — | | | | — | | | | 19,915,616 | |
IT Services | | | 9,959,185 | | | | — | | | | — | | | | 9,959,185 | |
Media | | | 8,422,036 | | | | — | | | | — | | | | 8,422,036 | |
Multiline Retail | | | 1,880,524 | | | | — | | | | — | | | | 1,880,524 | |
Multi-Utilities | | | 4,789,419 | | | | — | | | | — | | | | 4,789,419 | |
Oil, Gas & Consumable Fuels | | | 18,159,471 | | | | 5,465,056 | | | | — | | | | 23,624,527 | |
Personal Products | | | 6,208,512 | | | | — | | | | — | | | | 6,208,512 | |
Pharmaceuticals | | | 2,041,592 | | | | 17,610,015 | | | | — | | | | 19,651,607 | |
Road & Rail | | | 2,294,618 | | | | — | | | | — | | | | 2,294,618 | |
Semiconductors & Semiconductor Equipment | | | 3,657,779 | | | | — | | | | — | | | | 3,657,779 | |
Software | | | 6,403,507 | | | | — | | | | — | | | | 6,403,507 | |
Specialty Retail | | | 6,981,549 | | | | — | | | | — | | | | 6,981,549 | |
Technology Hardware, Storage & Peripherals | | | — | | | | 3,165,950 | | | | 1,482,432 | | | | 4,648,382 | |
Tobacco | | | 5,668,053 | | | | 727,170 | | | | — | | | | 6,395,223 | |
Trading Companies & Distributors | | | — | | | | 2,700,340 | | | | — | | | | 2,700,340 | |
Preferred Stocks | | | — | | | | 3,699,842 | | | | — | | | | 3,699,842 | |
Short-Term Securities | | | 19,553,826 | | | | — | | | | — | | | | 19,553,826 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 238,281,714 | | | $ | 58,278,403 | | | $ | 1,482,432 | | | $ | 298,042,549 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 6,276,536 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 304,319,085 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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. | |
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 7 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Equity Dividend V.I. Fund | |
|
ASSETS | |
Investments at value — unaffiliated (including securities loaned at value of $6,148,293) (cost — $276,384,009) | | $ | 278,488,723 | |
Investments at value — affiliated (cost — $25,830,511) | | | 25,830,362 | |
Foreign currency at value (cost — $1,420) | | | 1,365 | |
Receivables: | | | | |
Securities lending income — affiliated | | | 1,603 | |
Capital shares sold | | | 89,641 | |
Dividends — affiliated | | | 1,676 | |
Dividends — unaffiliated | | | 630,303 | |
From affiliate(s) | | | 614 | |
Prepaid expenses | | | 2,560 | |
| | | | |
Total assets | | | 305,046,847 | |
| | | | |
|
LIABILITIES | |
Cash collateral on securities loaned at value | | | 6,277,039 | |
Payables: | | | | |
Capital shares redeemed | | | 140,385 | |
Distribution fees | | | 55,154 | |
Investment advisory fees | | | 149,133 | |
Other affiliates | | | 993 | |
Professional fees | | | 31,115 | |
Transfer agent fees | | | 147,789 | |
Other accrued expenses | | | 53,565 | |
| | | | |
Total liabilities | | | 6,855,173 | |
| | | | |
| |
NET ASSETS | | $ | 298,191,674 | |
| | | | |
|
NET ASSETS CONSIST OF | |
Paid-in capital | | $ | 290,807,594 | |
Accumulated earnings | | | 7,384,080 | |
| | | | |
NET ASSETS | | $ | 298,191,674 | |
| | | | |
|
NET ASSET VALUE | |
Class I — Based on net assets of $28,340,130 and 2,777,149 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 10.20 | |
| | | | |
Class III — Based on net assets of $269,851,544 and 26,516,685 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 10.18 | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCKSEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Equity Dividend
V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 87,882 | |
Dividends — unaffiliated | | | 4,849,503 | |
Securities lending income — affiliated — net | | | 28,514 | |
Foreign taxes withheld | | | (181,236) | |
| | | | |
Total investment income | | | 4,784,663 | |
| | | | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 890,941 | |
Distribution — class specific | | | 334,562 | |
Transfer agent — class specific | | | 296,483 | |
Accounting services | | | 32,491 | |
Professional | | | 25,952 | |
Printing | | | 15,994 | |
Custodian | | | 11,869 | |
Directors and Officer | | | 4,142 | |
Transfer agent | | | 2,503 | |
Miscellaneous | | | 3,494 | |
| | | | |
Total expenses | | | 1,618,431 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (8,660) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (296,483) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1,313,288 | |
| | | | |
Net investment income | | | 3,471,375 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (5,661) | |
Investments — unaffiliated | | | 3,244,909 | |
Foreign currency transactions | | | 7,929 | |
| | | | |
| | | 3,247,177 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (149) | |
Investments — unaffiliated | | | (52,203,698) | |
Foreign currency translations | | | 1,113 | |
| | | | |
| | | (52,202,734) | |
| | | | |
Net realized and unrealized loss | | | (48,955,557) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (45,484,182 | ) |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Equity Dividend V.I. Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 3,471,375 | | | $ | 6,104,714 | |
Net realized gain | | | 3,247,177 | | | | 19,424,737 | |
Net change in unrealized appreciation (depreciation) | | | (52,202,734) | | | | 50,340,126 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (45,484,182) | | | | 75,869,577 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | (175,387) | | | | (2,844,230) | |
Class III | | | (1,374,632) | | | | (24,841,855) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | (1,550,019) | | | | (27,686,085) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | 4,980,282 | | | | 11,152,752 | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (42,053,919) | | | | 59,336,244 | |
Beginning of period | | | 340,245,593 | | | | 280,909,349 | |
| | | | |
End of period | | $ | 298,191,674 | | | $ | 340,245,593 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Equity Dividend V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 11.90 | | | $ | 10.17 | | | $ | 12.14 | | | $ | 11.15 | | | $ | 10.04 | | | $ | 10.90 | |
Net investment income (a) | | | 0.13 | | | | 0.25 | | | | 0.24 | | | | 0.22 | | | | 0.21 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | (1.77 | ) | | | 2.53 | | | | (1.09 | ) | | | 1.62 | | | | 1.42 | | | | (0.25 | ) |
Net increase (decrease) from investment operations | | | (1.64 | ) | | | 2.78 | | | | (0.85 | ) | | | 1.84 | | | | 1.63 | | | | (0.06 | ) |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.06 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.21 | ) | | | (0.19 | ) | | | (0.18 | ) |
From net realized gain | | | — | | | | (0.81 | ) | | | (0.88 | ) | | | (0.64 | ) | | | (0.33 | ) | | | (0.62 | ) |
Total distributions | | | (0.06 | ) | | | (1.05 | ) | | | (1.12 | ) | | | (0.85 | ) | | | (0.52 | ) | | | (0.80 | ) |
| | | | | | |
Net asset value, end of period | | $ | 10.20 | | | $ | 11.90 | | | $ | 10.17 | | | $ | 12.14 | | | $ | 11.15 | | | $ | 10.04 | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (13.73)%(d) | | | | 27.71% | | | | (7.16)% | | | | 16.74% | | | | 16.40% | | | | (0.61)% | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.86%(f) | | | | 0.86% | | | | 0.87% | | | | 0.89% | | | | 0.89% | | | | 1.00% | |
Total expenses after fees waived and/or reimbursed | | | 0.66%(f) | | | | 0.65% | | | | 0.66% | | | | 0.68% | | | | 0.70% | | | | 0.79% | |
Net investment income | | | 2.56%(f) | | | | 2.17% | | | | 2.00% | | | | 1.82% | | | | 1.98% | | | | 1.79% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 28,340 | | | $ | 33,881 | | | $ | 30,655 | | | $ | 37,525 | | | $ | 35,256 | | | $ | 30,527 | |
Portfolio turnover rate | | | 32% | | | | 45% | | | | 37% | | | | 37% | | | | 23% | | | | 25% | |
| (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
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | —% | |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Equity Dividend V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 11.88 | | | $ | 10.15 | | | $ | 12.12 | | | $ | 11.13 | | | $ | 10.03 | | | $ | 10.89 | |
Net investment income (a) | | | 0.12 | | | | 0.22 | | | | 0.21 | | | | 0.19 | | | | 0.18 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | (1.77 | ) | | | 2.53 | | | | (1.09 | ) | | | 1.62 | | | | 1.42 | | | | (0.25 | ) |
Net increase (decrease) from investment operations | | | (1.65 | ) | | | 2.75 | | | | (0.88 | ) | | | 1.81 | | | | 1.60 | | | | (0.08 | ) |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.05 | ) | | | (0.21 | ) | | | (0.21 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.16 | ) |
From net realized gain | | | — | | | | (0.81 | ) | | | (0.88 | ) | | | (0.64 | ) | | | (0.33 | ) | | | (0.62 | ) |
Total distributions | | | (0.05 | ) | | | (1.02 | ) | | | (1.09 | ) | | | (0.82 | ) | | | (0.50 | ) | | | (0.78 | ) |
| | | | | | |
Net asset value, end of period | | $ | 10.18 | | | $ | 11.88 | | | $ | 10.15 | | | $ | 12.12 | | | $ | 11.13 | | | $ | 10.03 | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (13.82)%(d) | | | | 27.46% | | | | (7.42)% | | | | 16.49% | | | | 16.06% | | | | (0.82)% | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.12%(f) | | | | 1.12% | | | | 1.12% | | | | 1.16% | | | | 1.13% | | | | 1.16% | |
Total expenses after fees waived and/or reimbursed | | | 0.91%(f) | | | | 0.90% | | | | 0.91% | | | | 0.93% | | | | 0.95% | | | | 1.03% | |
Net investment income | | | 2.32%(f) | | | | 1.91% | | | | 1.75% | | | | 1.57% | | | | 1.73% | | | | 1.59% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 269,852 | | | $ | 306,365 | | | $ | 250,255 | | | $ | 287,615 | | | $ | 223,338 | | | $ | 85,163 | |
Portfolio turnover rate | | | 32% | | | | 45% | | | | 37% | | | | 37% | | | | 23% | | | | 25% | |
| (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
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | 0.01% | | | | —% | |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Equity Dividend V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign
| | |
NOTESTO FINANCIAL STATEMENTS | | 13 |
Notes to Financial Statements (unaudited) (continued)
exchange-traded and over-the-counter 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
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.
| | |
| 14 | | 2020 BLACKROCK SEMIANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, certain investments of the Fund were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities
Loaned at Value | | | Cash Collateral
Received (a) | | | Net Amount | |
Citigroup Global Markets, Inc. | | $ | 541,203 | | | $ | (541,203 | ) | | $ | — | |
Deutsche Bank Securities, Inc. | | | 47,030 | | | | (47,030 | ) | | | — | |
Goldman Sachs & Co. | | | 305,979 | | | | (305,979 | ) | | | — | |
JP Morgan Securities LLC | | | 4,840,486 | | | | (4,840,486 | ) | | | — | |
Morgan Stanley & Co. LLC | | | 413,595 | | | | (413,595 | ) | | | — | |
| | | | |
| | $ | 6,148,293 | | | $ | (6,148,293 | ) | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.60 | % |
$1 Billion — $3 Billion | | | 0.56 | |
$3 Billion — $5 Billion | | | 0.54 | |
$5 Billion — $10 Billion | | | 0.52 | |
Greater than $10 Billion | | | 0.51 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets attributable to Class III.
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
For the six months ended June 30, 2020, the class specific distribution fees borne directly by Class III were $334,562.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 29,044 | |
Class III | | | 267,439 | |
| | | $ | 296,483 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $8,660.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,867 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse all transfer agent fees for Class I and III. The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021 unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 29,044 | |
Class III | | | 267,439 | |
| | | | $ 296,483 | |
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $9,034 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $102,981,486 and $88,807,955, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 17 |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | | | | | | |
| |
Tax cost | | | | | | $ | 303,687,944 | |
| | | | | | | | |
Gross unrealized appreciation | | | | | | $ | 24,382,182 | |
Gross unrealized depreciation | | | | | | | (23,751,041 | ) |
| | | | | | | | |
Net unrealized appreciation (depreciation) | | | | | | $ | 631,141 | |
| | | | | | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
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| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | Year Ended 12/31/19 |
| | | Shares | | Amount | | Shares | | Amount |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 155,572 | | | $ | 1,571,224 | | | | 154,159 | | | $ | 1,782,814 | |
Shares issued in reinvestment of distributions | | | 18,520 | | | | 175,387 | | | | 242,563 | | | | 2,844,230 | |
Shares redeemed | | | (243,604 | ) | | | (2,512,175 | ) | | | (563,670 | ) | | | (6,465,248 | ) |
| | | | |
Net decrease | | | (69,512 | ) | | $ | (765,564 | ) | | | (166,948 | ) | | $ | (1,838,204 | ) |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 3,438,009 | | | $ | 34,124,400 | | | | 2,676,030 | | | $ | 29,909,100 | |
Shares issued in reinvestment of distributions | | | 145,464 | | | | 1,374,632 | | | | 2,122,845 | | | | 24,841,855 | |
Shares redeemed | | | (2,864,838 | ) | | | (29,753,186 | ) | | | (3,651,660 | ) | | | (41,759,999 | ) |
| | | | |
Net increase | | | 718,635 | | | $ | 5,745,846 | | | | 1,147,215 | | | $ | 12,990,956 | |
| | | | |
Total Net Increase | | | 649,123 | | | $ | 4,980,282 | | | | 980,267 | | | $ | 11,152,752 | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| GDR | | Global Depositary Receipts |
| |
| NYRS | | New York Registered Shares |
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| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Global Allocation V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Investment Objective
BlackRock Global Allocation V.I. Fund’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, 2020, the Fund outperformed its Reference Benchmark, which is comprised of the S&P 500® Index (36%), FTSE World (ex-U.S.) Index (24%), ICE BofAML, Current 5-Year U.S. Treasury Index (24%) and FTSE Non-U.S. Dollar World Government Bond Index (16%) (the “Reference Benchmark”), and outperformed the broad-based all-equity benchmark, the FTSE World Index. The Fund invests in both equities and bonds; therefore, Fund management believes that the Reference Benchmark provides a more accurate representation of the Fund’s composition and 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, swaps and options (except with respect to fixed income securities), and convertible bonds, and may vary relative to the market value.
What factors influenced performance?
Within equities, security selection within and an overweight to consumer discretionary and information technology (“IT”) contributed to performance. Stock selection within and an underweight to energy was additive, and stock selection within communication services contributed to returns as well. Portfolio positioning within fixed income, specifically yield curve positioning at the long end of the curve, positively impacted returns. Exposure to U.S. investment grade corporate credit and modest exposure to Chinese government bonds was also additive. Exposure to gold-related securities and cash equivalents contributed to performance 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 Fund’s use of derivatives, in aggregate, contributed to the Fund’s performance.
Within equities, security selection within industrials weighed on returns. Stock selection within financials and health care also detracted, although this was partially offset by an underweight and overweight, respectively, to those sectors. Within fixed income, a broad underweight relative to the benchmark negatively impacted returns. Exposure to U.S. Treasury inflation-protected securities detracted as well. Currency management, notably an underweight to the Australian dollar, also weighed on performance.
Describe recent portfolio activity.
During the period, the Fund’s overall equity allocation decreased from 67% to 64% of net assets. Within equities, the Fund increased exposure to Europe and decreased exposure to Japan and the U.S. From a sector perspective, the Fund increased exposure to IT and consumer discretionary, and decreased exposure to industrials, financials, energy, consumer staples and communication services. The Fund’s allocation to fixed income remained essentially unchanged at 26% of net assets. Within fixed income, the Fund decreased exposure to government bonds and securitized debt, and increased exposure to corporate credit. From the perspective of the portfolio’s interest rate sensitivity, the Fund increased total portfolio duration from 1.7 years to 2.4 years. The Fund’s allocation to commodity-related assets increased from 2% to 4% of net assets.
Reflecting the changes in the Fund’s overall allocations to the equity, fixed income and commodity-related asset classes during the period, the Fund’s cash equivalents increased from 5% to 6% of net assets. During the six-month period, cash 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 and underweight in fixed income, with exposure to commodity-related securities and cash and cash equivalents. Within equities, the Fund was overweight in the United States and continental Europe, and underweight in Asia, specifically Japan and Australia. From a sector perspective, the Fund was overweight in consumer discretionary, health care, communication services and IT, and underweight in consumer staples, real estate, financials and energy. Within fixed income, the Fund was underweight in developed market government bonds, and overweight in corporate bonds and securitized debt. With respect to currency exposure, the Fund was overweight in the U.S. dollar, and underweight in the euro and Australian dollar.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
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| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Global Allocation V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total Returns (a) | | | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | |
Class I (b)(c) | | | 0.53 | % | | | | | | | 7.05 | % | | | | | | | 4.65 | % | | | | | | | 6.40 | % |
Class II (b)(c) | | | 0.47 | | | | | | | | 6.94 | | | | | | | | 4.49 | | | | | | | | 6.24 | |
Class III (b)(c) | | | 0.41 | | | | | | | | 6.78 | | | | | | | | 4.40 | | | | | | | | 6.15 | |
FTSE World Index (d) | | | (6.20 | ) | | | | | | | 2.73 | | | | | | | | 7.17 | | | | | | | | 9.99 | |
Reference Benchmark (e) | | | (1.67 | ) | | | | | | | 4.22 | | | | | | | | 6.09 | | | | | | | | 7.59 | |
U.S. Stocks: S&P 500® Index (f) | | | (3.08 | ) | | | | | | | 7.51 | | | | | | | | 10.73 | | | | | | | | 13.99 | |
Non-U.S. Stocks: FTSE World (ex-U.S.) Index (g) | | | (11.64 | ) | | | | | | | (4.93 | ) | | | | | | | 2.63 | | | | | | | | 5.65 | |
U.S. Bonds: ICE BofAML Current 5-year U.S. Treasury Index (h) | | | 7.25 | | | | | | | | 8.44 | | | | | | | | 3.21 | | | | | | | | 2.93 | |
Non U.S. Bonds: FTSE Non-U.S. Dollar World Government Bond Index (i) | | | 1.04 | | | | | | | | 0.86 | | | | | | | | 3.32 | | | | | | | | 1.81 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fees. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative 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. |
| (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) | A market cap weighted index representing the performance of the large and mid-cap stocks from the developed and advanced emerging countries within the FTSE Global Equity Index Series. |
| (e) | 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) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
| (g) | A market cap weighted index representing the performance of the large and mid-cap stocks from the developed and advanced emerging countries excluding the U.S. within the FTSE Global Equity Index Series. |
| (h) | An unmanaged index designed to track the total return of the current coupon five-year U.S. Treasury bond. Effective January 1, 2020, the Fund’s benchmark was renamed from ICE BofAML Current 5-Year U.S. Treasury Index to ICE BofA Current 5-Year U.S. Treasury Index. |
| (i) | An unmanaged market capitalization-weighted index that 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. |
Overall Asset Exposure
| | | | | | | | | | | | |
| | | Percent of Fund’s Net Assets (a) | | | Reference Benchmark (b) Percentages | |
| | | 06/30/2020 | | | 12/31/2019 | |
U.S. Equities | | | 42 | % | | | 43 | % | | | 35 | % |
European Equities | | | 13 | | | | 12 | | | | 12 | |
Asia Pacific Equities | | | 8 | | | | 11 | | | | 10 | |
Other Equities | | | 1 | | | | 1 | | | | 3 | |
| | | | | | | | | | | | |
Total Equities | | | 64 | | | | 67 | | | | 60 | |
| | | | | | | | | | | | |
U.S. Dollar Denominated Fixed Income Securities | | | 20 | | | | 18 | | | | 24 | |
U.S. Issuers | | | 18 | | | | 17 | | | | — | |
Non-U.S. Issuers | | | 2 | | | | 1 | | | | — | |
Non-U.S. Dollar Denominated Fixed Income Securities | | | 6 | | | | 8 | | | | 16 | |
| | | | | | | | | | | | |
Total Fixed Income Securities | | | 26 | | | | 26 | | | | 40 | |
| | | | | | | | | | | | |
Commodity-Related | | | 4 | | | | 2 | | | | — | |
| | | | | | | | | | | | |
Cash & Short-Term Securities | | | 6 | | | | 5 | | | | — | |
| | | | | | | | | | | | |
| (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 BofAML Merrill Lynch 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 2 of this report to shareholders in the “Performance Summary” section. |
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | |
| | | | | | | | | Including
dividend
expense | | | Excluding
dividend
expense | | | | | | | | | Including dividend expense | | | Excluding dividend expense | |
| | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | Expenses Paid During the Period (c) | | | | | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (c) | |
Class I | | $ | 1,000.00 | | | $ | 1,005.30 | | | $ | 3.69 | | | $ | 3.64 | | | | | | | $ | 1,000.00 | | | $ | 1,021.18 | | | $ | 3.72 | | | $ | 1,021.18 | | | $ | 3.72 | |
Class II | | | 1,000.00 | | | | 1,004.70 | | | | 4.44 | | | | 4.44 | | | | | | | | 1,000.00 | | | | 1,020.44 | | | | 4.47 | | | | 1,020.44 | | | | 4.47 | |
Class III | | | 1,000.00 | | | | 1,004.10 | | | | 4.93 | | | | 4.93 | | | | | | | | 1,000.00 | | | | 1,019.94 | | | | 4.97 | | | | 1,019.94 | | | | 4.97 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.74% for Class I, 0.89% for Class II and 0.99% for Class III), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| (c) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.74% for Class I, 0.89% for Class II and 0.99% for Class III), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Consolidated Financial Statements.
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| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities — 0.8% | |
| |
| Cayman Islands — 0.4%(a)(b) | | | | |
AGL Core CLO 5 Ltd.: | | | | | | | | | | | | |
Series 2020-5A, Class A2, (LIBOR USD 3 Month + 2.35%), 2.65%, 07/20/30 | | | USD | | | | 550 | | | $ | 546,933 | |
Series 2020-5A, Class B, (LIBOR USD 3 Month + 2.78%), 3.08%, 07/20/30 | | | | | | | 725 | | | | 717,537 | |
AIMCO CLO, Series 2018-AA, Class B, (LIBOR USD 3 Month + 1.40%), 2.53%, 04/17/31 | | | | | | | 256 | | | | 245,459 | |
ALM Ltd., Series 2020-1A, Class A2, (LIBOR USD 3 Month + 1.85%), 3.36%, 10/15/29 | | | | | | | 252 | | | | 246,195 | |
Ares LV CLO Ltd., Series 2020-55A, Class B, (LIBOR USD 3 Month + 2.50%), 2.87%, 04/15/31 | | | | | | | 950 | | | | 940,263 | |
Atrium XII: | | | | | | | | | | | | |
Series 12A, Class AR, (LIBOR USD 3 Month + 0.83%), 1.93%, 04/22/27 | | | | | | | 397 | | | | 392,993 | |
Series 12A, Class BR, (LIBOR USD 3 Month + 1.35%), 2.45%, 04/22/27 | | | | | | | 287 | | | | 274,494 | |
Bain Capital Credit CLO Ltd., Series 2020-2A, Class B1, (LIBOR USD 3 Month + 2.50%), 2.86%, 07/19/31 | | | | | | | 575 | | | | 584,315 | |
Barings CLO Ltd., Series 2016-2A, Class AR, (LIBOR USD 3 Month + 1.08%), 2.22%, 07/20/28 | | | | | | | 400 | | | | 394,181 | |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R, (LIBOR USD 3 Month + 1.25%), 2.47%, 07/15/29 | | | | | | | 401 | | | | 394,902 | |
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class A1, (LIBOR USD 3 Month + 1.25%), 2.47%, 10/15/30 | | | | | | | 400 | | | | 392,420 | |
Benefit Street Partners CLO XIX Ltd., Series 2019-19A, Class A, (LIBOR USD 3 Month + 1.35%), 3.23%, 01/15/33 | | | | | | | 400 | | | | 392,341 | |
Benefit Street Partners CLO XVIII Ltd., Series 2019-18A, Class A, (LIBOR USD 3 Month + 1.34%), 2.56%, 10/15/32 | | | | | | | 872 | | | | 856,311 | |
BlueMountain CLO Ltd.: | | | | | | | | | | | | |
Series 2013-2A, Class A1R, (LIBOR USD 3 Month + 1.18%), 2.28%, 10/22/30 | | | | | | | 255 | | | | 247,988 | |
Series 2014-2A, Class BR2, (LIBOR USD 3 Month + 1.75%), 2.89%, 10/20/30 | | | | | | | 256 | | | | 247,358 | |
California Street CLO XII Ltd., Series 2013-12A, Class CR, (LIBOR USD 3 Month + 2.10%), 3.32%, 10/15/25 | | | | | | | 269 | | | | 261,862 | |
Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class A1R, (LIBOR USD 3 Month + 1.00%), 1.89%, 07/28/28 | | | | | | | 500 | | | | 489,990 | |
Catskill Park CLO Ltd., Series 2017-1A, Class A1B, (LIBOR USD 3 Month + 1.35%), 2.49%, 04/20/29 | | | | | | | 313 | | | | 304,700 | |
Chenango Park CLO Ltd., Series 2018- 1A, Class A2, (LIBOR USD 3 Month + 1.55%), 2.77%, 04/15/30 | | | | | | | 401 | | | | 384,818 | |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
| Cayman Islands (continued) | | | | | | | | | |
CIFC Funding Ltd.: | | | | | | | | | | | | |
Series 2015-5A, Class A1R, (LIBOR USD 3 Month + 0.86%), 1.85%, 10/25/27 | | | USD | | | | 568 | | | $ | 556,840 | |
Series 2017-3A, Class A1, (LIBOR USD 3 Month + 1.22%), 2.36%, 07/20/30 | | | | | | | 664 | | | | 650,274 | |
Series 2017-3A, Class A2, (LIBOR USD 3 Month + 1.80%), 2.94%, 07/20/30 | | | | | | | 276 | | | | 266,314 | |
Series 2017-4A, Class A1, (LIBOR USD 3 Month + 1.25%), 2.27%, 10/24/30 | | | | | | | 492 | | | | 484,091 | |
Series 2018-2A, Class A1, (LIBOR USD 3 Month + 1.04%), 2.18%, 04/20/31 | | | | | | | 265 | | | | 258,015 | |
Series 2020-1A, Class B, (LIBOR USD 3 Month + 2.30%), 0.32%, 07/15/32 | | | | | | | 875 | | | | 875,000 | |
Clear Creek CLO, Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.20%), 2.34%, 10/20/30 | | | | | | | 250 | | | | 244,162 | |
Cook Park CLO Ltd., Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.40%), 2.53%, 04/17/30 | | | | | | | 402 | | | | 383,299 | |
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (LIBOR USD 3 Month + 0.90%), 2.12%, 04/15/29 | | | | | | | 401 | | | | 391,144 | |
Elmwood CLO II Ltd., Series 2019-2A, Class B, (LIBOR USD 3 Month + 2.10%), 3.24%, 04/20/31 | | | | | | | 275 | | | | 272,500 | |
Elmwood CLO V Ltd.: | | | | | | | | | | | | |
Series 2020-2A, Class A1, (LIBOR USD 3 Month + 1.75%), 0.00%, 07/24/31 | | | | | | | 1,000 | | | | 1,000,000 | |
Series 2020-2A, Class B, (LIBOR USD 3 Month + 2.20%), 0.00%, 07/24/31 | | | | | | | 250 | | | | 250,000 | |
Goldentree Loan Management US CLO 6 Ltd., Series 2019-6A, Class B1, (LIBOR USD 3 Month + 1.90%), 3.04%, 01/20/33 | | | | | | | 326 | | | | 321,513 | |
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, (LIBOR USD 3 Month + 1.37%), 3.00%, 04/15/33 | | | | | | | 1,742 | | | | 1,709,874 | |
KKR CLO 11 Ltd., Series 11, Class AR, (LIBOR USD 3 Month + 1.18%), 2.40%, 01/15/31 | | | | | | | 492 | | | | 481,666 | |
Madison Park Funding XI Ltd., Series 2013-11A, Class AR, (LIBOR USD 3 Month + 1.16%), 2.20%, 07/23/29 | | | | | | | 401 | | | | 395,019 | |
Madison Park Funding XII Ltd., Series 2014-12A, Class B1R, (LIBOR USD 3 Month + 1.65%), 2.79%, 07/20/26 | | | | | | | 273 | | | | 270,029 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class BR2, (LIBOR USD 3 Month + 1.50%), 2.64%, 04/19/30 | | | | | | | 250 | | | | 241,262 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (LIBOR USD 3 Month + 1.19%), 2.30%, 10/21/30 | | | | | | | 656 | | | | 643,681 | |
Mariner CLO 8 Ltd., Series 2020-8A, Class A, (LIBOR USD 3 Month + 1.27%), 2.44%, 04/20/33 | | | | | | | 872 | | | | 847,561 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 5 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
| Cayman Islands (continued) | | | | | | | | | |
OCP CLO Ltd.: | | | | | | | | | | | | |
Series 2015-9A, Class A1R, (LIBOR USD 3 Month + 0.80%), 2.02%, 07/15/27 | | | USD | | | | 226 | | | $ | 224,282 | |
Series 2017-13A, Class A1A, (LIBOR USD 3 Month + 1.26%), 2.48%, 07/15/30 | | | | | | | 401 | | | | 396,793 | |
Series 2017-13A, Class A2A, (LIBOR USD 3 Month + 1.80%), 3.02%, 07/15/30 | | | | | | | 401 | | | | 390,699 | |
Series 2020-19A, Class B, (LIBOR USD 3 Month + 2.50%), 2.82%, 07/20/31 | | | | | | | 175 | | | | 174,339 | |
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (LIBOR USD 3 Month + 0.97%), 2.19%, 04/15/31 | | | | | | | 401 | | | | 390,800 | |
Octagon Investment Partners 46 Ltd.: | | | | | | | | | | | | |
Series 2020-2A, Class A, (LIBOR USD 3 Month + 1.65%), 0.00%, 07/15/33 | | | | | | | 1,000 | | | | 1,000,000 | |
Series 2020-2A, Class B, (LIBOR USD 3 Month + 2.20%), 0.00%, 07/15/33 | | | | | | | 300 | | | | 300,000 | |
OHA Credit Funding 3 Ltd., Series 2019-3A, Class B1, (LIBOR USD 3 Month + 1.80%), 2.94%, 07/20/32 | | | | | | | 322 | | | | 313,311 | |
OHA Loan Funding Ltd., Series 2015- 1A, Class A1R2, (LIBOR USD 3 Month + 1.34%), 1.73%, 11/15/32 | | | | | | | 950 | | | | 930,427 | |
Palmer Square Loan Funding Ltd.: | | | | | | | | | | | | |
Series 2018-2A, Class A2, (LIBOR USD 3 Month + 1.05%), 2.27%, 07/15/26 | | | | | | | 650 | | | | 622,985 | |
Series 2019-2A, Class A2, (LIBOR USD 3 Month + 1.60%), 2.74%, 04/20/27 | | | | | | | 583 | | | | 565,786 | |
Series 2020-3A, Class A2, (LIBOR USD 3 Month + 2.40%), 2.71%, 07/20/28 | | | | | | | 475 | | | | 480,081 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class A2R, (LIBOR USD 3 Month + 1.80%), 2.16%, 08/23/31 | | | | | | | 269 | | | | 261,448 | |
RR 10 Ltd.: | | | | | | | | | | | | |
Series 2020-10A, Class A2A, (LIBOR USD 3 Month + 2.50%), 2.70%, 07/15/33 | | | | | | | 650 | | | | 643,168 | |
Series 2020-10A, Class A2B, (LIBOR USD 3 Month + 3.00%), 3.20%, 07/15/33 | | | | | | | 650 | | | | 650,000 | |
RR 2 Ltd., Series 2017-2A, Class A2, (LIBOR USD 3 Month + 1.60%), 2.82%, 10/15/29 | | | | | | | 402 | | | | 388,859 | |
TICP CLO XV Ltd., Series 2020-15A, Class A, (LIBOR USD 3 Month + 1.28%), 2.92%, 04/20/33 | | | | | | | 583 | | | | 569,261 | |
Whitebox CLO I Ltd., Series 2019-1A, Class ANA, (LIBOR USD 3 Month + 1.41%), 2.43%, 07/24/32 | | | | | | | 253 | | | | 246,337 | |
York CLO 1 Ltd., Series 2014-1A, Class BRR, (LIBOR USD 3 Month + 1.65%), 2.75%, 10/22/29 | | | | | | | 256 | | | | 248,320 | |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
| Cayman Islands (continued) | | | | | | | | | |
York CLO-3 Ltd., Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.75%), 2.89%, 10/20/29 | | | USD | | | | 725 | | | $ | 705,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,359,849 | |
| | | |
| Ireland — 0.0%(b) | | | | | | | | | |
Aqueduct European CLO 4 DAC, Series 2019-4A, Class B1, (EURIBOR 3 Month + 1.80%), 1.80%, 07/15/32(a) | | | EUR | | | | 250 | | | | 278,346 | |
Harvest CLO XVIII DAC, Series 18X, Class B, (EURIBOR 3 Month + 1.20%), 1.20%, 10/15/30 | | | | | | | 231 | | | | 250,386 | |
OAK Hill European Credit Partners V Designated Activity Co., Series 2016-5X, Class B1, (EURIBOR 3 Month + 1.55%), 1.55%, 02/21/30 | | | | | | | 259 | | | | 285,369 | |
OAK Hill European Credit Partners VI DAC, Series 2017-6X, Class B1, (EURIBOR 3 Month + 1.20%), 1.20%, 01/20/32 | | | | | | | 160 | | | | 172,065 | |
Rockford Tower Europe CLO DAC, Series 2018-1X, Class B, (EURIBOR 3 Month + 1.85%), 1.85%, 12/20/31 | | | | | | | 207 | | | | 230,517 | |
Voya Euro CLO II DAC, Series 2X, Class B1, (EURIBOR 3 Month + 1.90%), 1.90%, 07/15/32 | | | | | | | 109 | | | | 118,964 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,335,647 | |
| | | |
| United States — 0.4% | | | | | | | | | |
Navient Private Education Loan Trust, Series 2014-AA, Class A3, (LIBOR USD 1 Month + 1.60%), 1.78%, 10/15/31(a)(b) | | | USD | | | | 2,066 | | | | 2,065,999 | |
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A,
3.42%, 01/15/43(a) | | | | | | | 827 | | | | 846,824 | |
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(a) | | | | | | | 7,290 | | | | 7,554,278 | |
SLM Private Credit Student Loan Trust(b): | | | | | | | | | | | | |
Series 2005-B, Class A4, (LIBOR USD 3 Month + 0.33%), 0.64%, 06/15/39 | | | | | | | 1,596 | | | | 1,497,022 | |
Series 2006-A, Class A5, (LIBOR USD 3 Month + 0.29%), 0.60%, 06/15/39 | | | | | | | 2,415 | | | | 2,240,030 | |
Series 2007-A, Class A4A, (LIBOR USD 3 Month + 0.24%), 0.55%, 12/16/41 | | | | | | | 2,581 | | | | 2,445,153 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (LIBOR USD 1 Month + 4.75%), 4.93%, 10/15/41(a)(b) | | | | | | | 5,643 | | | | 6,023,182 | |
SMB Private Education Loan Trust(a): | | | | | | | | | | | | |
Series 2019-A, Class A2A, 3.44%, 07/15/36 | | | | | | | 2,093 | | | | 2,187,636 | |
Series 2020-PTA, Class A2A, 1.60%, 09/15/54 | | | | | | | 3,806 | | | | 3,753,205 | |
SoFi Professional Loan Program LLC, Series 2019-A, Class A2FX,
3.69%, 06/15/48(a)(c) | | | | | | | 1,333 | | | | 1,404,997 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.34%, 08/25/47(a) | | | USD | | | | 617 | | | $ | 637,936 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,656,262 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities — 0.8%
(Cost: $59,314,074) | | | | | | | | 60,351,758 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
| | | |
Common Stocks — 59.9% | | | | | | | | | | | | |
| | | |
Australia — 0.1% | | | | | | | | | | | | |
BHP Group Ltd. | | | | | | | 9,828 | | | | 244,697 | |
BHP Group plc | | | | | | | 2,644 | | | | 54,104 | |
Brambles Ltd. | | | | | | | 14,486 | | | | 109,839 | |
CSL Ltd. | | | | | | | 293 | | | | 58,274 | |
Glencore plc(d) | | | | | | | 56,912 | | | | 121,234 | |
Goodman Group | | | | | | | 6,384 | | | | 65,872 | |
Newcrest Mining Ltd. | | | | | | | 157,025 | | | | 3,481,884 | |
QBE Insurance Group Ltd. | | | | | | | 20,347 | | | | 125,563 | |
Quintis HoldCo Pty. Ltd. (Acquired 10/22/18, cost $5,761,227)(c)(d)(e)* | | | | | | | 9,827,224 | | | | 5,221,961 | |
Wesfarmers Ltd. | | | | | | | 9,954 | | | | 309,492 | |
Woodside Petroleum Ltd. | | | | | | | 1,019 | | | | 15,400 | |
Woolworths Group Ltd. | | | | | | | 1,430 | | | | 36,861 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,845,181 | |
| | | |
| Belgium — 0.1% | | | | | | | | | |
KBC Group NV | | | | | | | 169,026 | | | | 9,710,756 | |
UCB SA | | | | | | | 557 | | | | 64,638 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,775,394 | |
| | | |
| Brazil — 0.0% | | | | | | | | | |
B3 SA - Brasil Bolsa Balcao | | | | | | | 29,186 | | | | 298,885 | |
Banco do Brasil SA(d) | | | | | | | 19,741 | | | | 117,072 | |
Banco Santander Brasil SA(d) | | | | | | | 15,447 | | | | 80,528 | |
Centrais Eletricas Brasileiras SA | | | | | | | 6,808 | | | | 39,197 | |
CPFL Energia SA | | | | | | | 7,202 | | | | 40,817 | |
Engie Brasil Energia SA | | | | | | | 20,074 | | | | 156,366 | |
Natura & Co. Holding SA(d) | | | | | | | 3,032 | | | | 22,129 | |
Petroleo Brasileiro SA | | | | | | | 25,020 | | | | 104,072 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 859,066 | |
| | | |
| Canada — 0.6% | | | | | | | | | |
Barrick Gold Corp. | | | | | | | 222,672 | | | | 5,991,609 | |
Brookfield Asset Management, Inc., Class A | | | | | | | 1,171 | | | | 38,539 | |
Constellation Software, Inc. | | | | | | | 213 | | | | 240,502 | |
Enbridge, Inc. | | | | | | | 1,090,767 | | | | 33,166,516 | |
Fairfax Financial Holdings Ltd. | | | | | | | 844 | | | | 260,753 | |
George Weston Ltd. | | | | | | | 242 | | | | 17,728 | |
Loblaw Cos. Ltd. | | | | | | | 1,092 | | | | 53,176 | |
Manulife Financial Corp. | | | | | | | 1,298 | | | | 17,659 | |
Nutrien Ltd. | | | | | | | 1,969 | | | | 63,264 | |
Thomson Reuters Corp. | | | | | | | 4,633 | | | | 314,782 | |
Wheaton Precious Metals Corp. | | | | | | | 155,495 | | | | 6,838,985 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 47,003,513 | |
| | | |
| Chile — 0.0% | | | | | | | | | |
Cia Cervecerias Unidas SA, ADR(f) | | | | | | | 17,340 | | | | 248,309 | |
| | | | | | | | | | | | |
| | | |
| China — 2.2% | | | | | | | | | |
58.com, Inc., ADR(d) | | | | | | | 888 | | | | 47,899 | |
AAC Technologies Holdings, Inc. | | | | | | | 256,500 | | | | 1,584,093 | |
Agile Group Holdings Ltd. | | | | | | | 58,000 | | | | 68,750 | |
| | | | | | | | | | | | |
| Security | | | | | Shares | | | Value | |
| | | |
| China (continued) | | | | | | | | | |
Aier Eye Hospital Group Co. Ltd., Class A | | | | | | | 545,763 | | | $ | 3,361,199 | |
Alibaba Group Holding Ltd.(d) | | | | | | | 73,700 | | | | 1,988,706 | |
Alibaba Group Holding Ltd., ADR(d) | | | | | | | 96,574 | | | | 20,831,012 | |
Alibaba Health Information Technology Ltd.(d) | | | | | | | 734,000 | | | | 2,158,461 | |
Amoy Diagnostics Co. Ltd., Class A | | | | | | | 151,050 | | | | 1,646,287 | |
Anhui Conch Cement Co. Ltd., Class H | | | | | | | 17,500 | | | | 118,583 | |
Anhui Gujing Distillery Co. Ltd.,
Class B(d) | | | | | | | 6,200 | | | | 66,784 | |
ANTA Sports Products Ltd. | | | | | | | 269,000 | | | | 2,393,314 | |
Asymchem Laboratories Tianjin Co. Ltd., Class A | | | | | | | 50,187 | | | | 1,726,184 | |
Autobio Diagnostics Co. Ltd., Class A | | | | | | | 78,200 | | | | 1,796,754 | |
Baidu, Inc., ADR(d) | | | | | | | 777 | | | | 93,155 | |
Beijing Enterprises Holdings Ltd. | | | | | | | 41,500 | | | | 139,360 | |
Bilibili, Inc., ADR(d) | | | | | | | 848 | | | | 39,279 | |
Brilliance China Automotive Holdings Ltd. | | | | | | | 1,028,000 | | | | 930,428 | |
China CITIC Bank Corp. Ltd., Class H | | | | | | | 247,000 | | | | 108,237 | |
China East Education Holdings Ltd.(a) | | | | | | | 54,000 | | | | 98,161 | |
China Feihe Ltd.(a) | | | | | | | 98,000 | | | | 197,480 | |
China Longyuan Power Group Corp. Ltd., Class H | | | | | | | 33,000 | | | | 18,606 | |
China Merchants Bank Co. Ltd., Class H | | | | | | | 244,000 | | | | 1,130,731 | |
China Mobile Ltd. | | | | | | | 47,500 | | | | 320,723 | |
China National Building Material Co. Ltd., Class H | | | | | | | 38,000 | | | | 40,759 | |
China Oilfield Services Ltd., Class H | | | | | | | 568,000 | | | | 517,617 | |
China Resources Cement Holdings Ltd. | | | | | | | 128,000 | | | | 157,865 | |
China Resources Pharmaceutical Group
Ltd.(a) | | | | | | | 418,500 | | | | 242,421 | |
China Resources Power Holdings Co. Ltd. | | | | | | | 146,000 | | | | 172,221 | |
China Telecom Corp. Ltd., Class H | | | | | | | 1,018,000 | | | | 285,953 | |
China Tourism Group Duty Free Corp. Ltd., Class A(d) | | | | | | | 128,800 | | | | 2,824,200 | |
China Unicom Hong Kong Ltd. | | | | | | | 424,000 | | | | 230,697 | |
China United Network Communications Ltd., Class A | | | | | | | 102,000 | | | | 70,160 | |
CNOOC Ltd. | | | | | | | 191,000 | | | | 214,365 | |
Country Garden Services Holdings Co. Ltd. | | | | | | | 30,321 | | | | 141,549 | |
CRRC Corp. Ltd., Class H | | | | | | | 103,000 | | | | 43,728 | |
Dali Foods Group Co. Ltd.(a) | | | | | | | 208,500 | | | | 127,074 | |
Glodon Co. Ltd., Class A | | | | | | | 223,890 | | | | 2,217,254 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A | | | | | | | 170,700 | | | | 1,371,654 | |
Guangdong Marubi Biotechnology Co. Ltd., Class A(d) | | | | | | | 107,000 | | | | 1,308,352 | |
Guangzhou Automobile Group Co. Ltd., Class A | | | | | | | 520,694 | | | | 665,406 | |
Guangzhou Automobile Group Co. Ltd., Class H | | | | | | | 1,194,000 | | | | 869,912 | |
Guangzhou Baiyun International Airport Co. Ltd., Class A | | | | | | | 655,900 | | | | 1,420,969 | |
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A | | | | | | | 2,700 | | | | 12,390 | |
Guotai Junan Securities Co. Ltd.,
Class H(a) | | | | | | | 21,200 | | | | 29,483 | |
Haidilao International Holding Ltd.(a)(f) | | | | | | | 272,000 | | | | 1,155,985 | |
Haier Smart Home Co. Ltd., Class A | | | | | | | 597,299 | | | | 1,500,891 | |
Haitong Securities Co. Ltd., Class H | | | | | | | 65,200 | | | | 52,972 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 7 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| China (continued) | | | | | | |
Hangzhou Hikvision Digital Technology Co. Ltd., Class A | | | 809,700 | | | $ | 3,500,170 | |
Hangzhou Robam Appliances Co. Ltd., Class A | | | 326,900 | | | | 1,444,758 | |
Hangzhou Tigermed Consulting Co. Ltd., Class A | | | 130,738 | | | | 1,882,878 | |
Han’s Laser Technology Industry Group Co. Ltd., Class A(d) | | | 255,690 | | | | 1,308,380 | |
Hansoh Pharmaceutical Group Co. Ltd.(a)(d) | | | 8,000 | | | | 37,835 | |
Huazhu Group Ltd., ADR(f) | | | 61,394 | | | | 2,151,860 | |
Hundsun Technologies, Inc., Class A | | | 160,024 | | | | 2,450,462 | |
Industrial & Commercial Bank of China Ltd., Class H | | | 1,637,000 | | | | 989,678 | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | | | 242,395 | | | | 1,070,824 | |
Inspur Electronic Information Industry Co. Ltd., Class A | | | 179,300 | | | | 1,005,986 | |
JD.com, Inc., ADR(d) | | | 2,155 | | | | 129,688 | |
Jiangxi Copper Co. Ltd., Class H | | | 75,000 | | | | 76,417 | |
Kingdee International Software Group Co.
Ltd.(d) | | | 2,702,000 | | | | 6,322,365 | |
Kunlun Energy Co. Ltd. | | | 184,000 | | | | 120,507 | |
Kweichow Moutai Co. Ltd., Class A | | | 10,800 | | | | 2,243,905 | |
Lenovo Group Ltd. | | | 194,000 | | | | 108,241 | |
Li Ning Co. Ltd. | | | 24,000 | | | | 76,859 | |
Meituan Dianping, Class B(d) | | | 105,800 | | | | 2,364,247 | |
Momo, Inc., ADR | | | 13,655 | | | | 238,689 | |
NetEase, Inc., ADR | | | 6,625 | | | | 2,844,643 | |
New Oriental Education & Technology Group, Inc., ADR(d) | | | 12,571 | | | | 1,637,121 | |
PICC Property & Casualty Co. Ltd., Class H | | | 140,000 | | | | 116,349 | |
Ping An Insurance Group Co. of China Ltd., Class A | | | 85,600 | | | | 866,781 | |
Shanghai International Airport Co. Ltd., Class A | | | 142,490 | | | | 1,455,618 | |
Shenzhen Goodix Technology Co. Ltd., Class A | | | 1,800 | | | | 57,092 | |
Shenzhen Inovance Technology Co. Ltd., Class A | | | 321,400 | | | | 1,733,610 | |
Silergy Corp. | | | 47,000 | | | | 3,078,890 | |
Sinopec Shanghai Petrochemical Co. Ltd., Class H | | | 32,000 | | | | 7,705 | |
Tencent Holdings Ltd. | | | 716,400 | | | | 45,905,417 | |
Tingyi Cayman Islands Holding Corp. | | | 58,000 | | | | 90,350 | |
Trip.com Group Ltd., ADR(d) | | | 122,816 | | | | 3,183,391 | |
Venus MedTech Hangzhou, Inc., Class H(a)(d)(f) | | | 210,000 | | | | 2,074,585 | |
Venustech Group, Inc., Class A | | | 232,496 | | | | 1,387,134 | |
Vipshop Holdings Ltd., ADR(d) | | | 11,948 | | | | 237,885 | |
Want Want China Holdings Ltd. | | | 1,705,000 | | | | 1,295,133 | |
Weichai Power Co. Ltd., Class H | | | 26,000 | | | | 48,987 | |
Wens Foodstuffs Group Co. Ltd., Class A | | | 8,760 | | | | 27,112 | |
Wuhan Raycus Fiber Laser Technologies Co. Ltd., Class A | | | 126,591 | | | | 1,955,139 | |
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd., Class A | | | 7,100 | | | | 47,157 | |
WuXi AppTec Co. Ltd., Class A | | | 133,735 | | | | 1,827,614 | |
Wuxi Biologics Cayman, Inc.(a)(d) | | | 97,500 | | | | 1,789,673 | |
Yifeng Pharmacy Chain Co. Ltd., Class A | | | 146,680 | | | | 1,892,944 | |
Yihai International Holding Ltd.(d) | | | 178,000 | | | | 1,834,299 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| China (continued) | | | | | | |
Yonyou Network Technology Co. Ltd., Class A | | | 197,414 | | | $ | 1,237,250 | |
Yum China Holdings, Inc. | | | 58,272 | | | | 2,801,135 | |
Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | 50,200 | | | | 128,733 | |
| | | | | | | | |
| | | | | | | 163,623,559 | |
| | |
| Denmark — 0.1% | | | | | | |
AP Moller - Maersk A/S, Class B | | | 51 | | | | 59,773 | |
Coloplast A/S, Class B | | | 202 | | | | 31,485 | |
DSV Panalpina A/S | | | 24,891 | | | | 3,057,485 | |
Genmab A/S(d) | | | 4,677 | | | | 1,577,052 | |
| | | | | | | | |
| | | | | | | 4,725,795 | |
| | |
| Finland — 0.2% | | | | | | |
Fortum OYJ | | | 14,836 | | | | 283,043 | |
Neste OYJ | | | 435,729 | | | | 17,113,733 | |
Nokia OYJ | | | 17,198 | | | | 75,153 | |
| | | | | | | | |
| | | | | | | 17,471,929 | |
| | |
| France — 2.2% | | | | | | |
Carrefour SA | | | 8,349 | | | | 129,477 | |
Cie de Saint-Gobain(d) | | | 57,179 | | | | 2,063,074 | |
Danone SA | | | 680,707 | | | | 47,250,048 | |
Eiffage SA(d) | | | 28,046 | | | | 2,570,883 | |
Electricite de France SA | | | 10,143 | | | | 94,300 | |
Engie SA(d) | | | 7,695 | | | | 95,433 | |
EssilorLuxottica SA(d) | | | 148,743 | | | | 19,129,612 | |
Kering SA | | | 5,005 | | | | 2,736,330 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 41,471 | | | | 18,309,251 | |
Safran SA(d) | | | 260,435 | | | | 26,197,501 | |
Sanofi | | | 441,894 | | | | 45,066,423 | |
Schneider Electric SE | | | 1,856 | | | | 206,455 | |
TOTAL SA | | | 2,917 | | | | 112,475 | |
Vivendi SA | | | 10,779 | | | | 278,526 | |
| | | | | | | | |
| | | | | | | 164,239,788 | |
| | |
| Germany — 1.6% | | | | | | |
adidas AG(d) | | | 28,779 | | | | 7,587,636 | |
Deutsche Boerse AG | | | 2,231 | | | | 403,759 | |
Deutsche Post AG (Registered) | | | 8,488 | | | | 311,679 | |
Deutsche Telekom AG (Registered) | | | 2,068,428 | | | | 34,706,652 | |
Evonik Industries AG | | | 2,485 | | | | 63,293 | |
Henkel AG & Co. KGaA | | | 3,442 | | | | 287,959 | |
SAP SE | | | 1,095 | | | | 153,070 | |
Siemens AG (Registered) | | | 602,089 | | | | 71,008,704 | |
Vonovia SE | | | 80,742 | | | | 4,935,199 | |
| | | | | | | | |
| | | | | | | 119,457,951 | |
| | |
| Hong Kong — 0.8% | | | | | | |
AIA Group Ltd. | | | 4,150,400 | | | | 38,837,804 | |
CK Infrastructure Holdings Ltd. | | | 240,500 | | | | 1,243,207 | |
CLP Holdings Ltd. | | | 171,000 | | | | 1,679,432 | |
Hang Lung Properties Ltd. | | | 1,140,000 | | | | 2,710,096 | |
HKT Trust & HKT Ltd.(g) | | | 1,159,000 | | | | 1,700,796 | |
Hong Kong Exchanges & Clearing Ltd. | | | 500 | | | | 21,296 | |
Hysan Development Co. Ltd. | | | 263,000 | | | | 849,026 | |
Jardine Matheson Holdings Ltd. | | | 40,200 | | | | 1,680,796 | |
Sun Hung Kai Properties Ltd. | | | 1,107,583 | | | | 14,149,638 | |
WH Group Ltd.(a) | | | 1,448,500 | | | | 1,251,786 | |
| | | | | | | | |
| | | | | | | 64,123,877 | |
| | |
| India — 0.6% | | | | | | |
HDFC Asset Management Co. Ltd.(a) | | | 1,665 | | | | 54,810 | |
Hindustan Unilever Ltd. | | | 30,170 | | | | 872,238 | |
Oil & Natural Gas Corp. Ltd. | | | 15,981 | | | | 17,353 | |
Petronet LNG Ltd. | | | 255,156 | | | | 873,211 | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| India (continued) | | | | | | |
Reliance Industries Ltd. | | | 1,627,240 | | | $ | 37,013,885 | |
Reliance Industries Ltd.(d) | | | 110,317 | | | | 1,165,357 | |
Vedanta Ltd. | | | 156,124 | | | | 223,043 | |
Wipro Ltd. | | | 29,299 | | | | 85,527 | |
Zee Entertainment Enterprises Ltd. | | | 522,437 | | | | 1,186,841 | |
| | | | | | | | |
| | | | | | | 41,492,265 | |
| | |
| Indonesia — 0.0% | | | | | | |
Bank Central Asia Tbk. PT | | | 1,197,800 | | | | 2,396,560 | |
| | | | | | | | |
| | |
| Italy — 1.7% | | | | | | |
Enel SpA | | | 7,662,135 | | | | 66,265,568 | |
Intesa Sanpaolo SpA(d) | | | 3,693,703 | | | | 7,098,154 | |
RAI Way SpA(a)(d) | | | 1,381,615 | | | | 9,087,744 | |
Snam SpA | | | 532,843 | | | | 2,597,692 | |
UniCredit SpA(d) | | | 4,467,700 | | | | 41,233,381 | |
| | | | | | | | |
| | | | | | | 126,282,539 | |
| | |
| Japan — 2.4% | | | | | | |
Ajinomoto Co., Inc. | | | 1,285,700 | | | | 21,336,143 | |
Astellas Pharma, Inc. | | | 1,525,465 | | | | 25,474,597 | |
Canon, Inc. | | | 1,700 | | | | 33,912 | |
East Japan Railway Co. | | | 242,351 | | | | 16,793,777 | |
Eisai Co. Ltd. | | | 1,200 | | | | 95,339 | |
FamilyMart Co. Ltd. | | | 9,200 | | | | 157,945 | |
FUJIFILM Holdings Corp. | | | 3,600 | | | | 154,086 | |
Fujitsu Ltd. | | | 1,000 | | | | 117,083 | |
Hitachi Ltd. | | | 4,300 | | | | 136,675 | |
Hoya Corp. | | | 238,774 | | | | 22,864,758 | |
KDDI Corp. | | | 157,900 | | | | 4,711,285 | |
Keyence Corp. | | | 10,800 | | | | 4,525,865 | |
Maeda Road Construction Co. Ltd. | | | 27,200 | | | | 512,962 | |
Marubeni Corp. | | | 12,800 | | | | 58,143 | |
Mitsubishi Estate Co. Ltd. | | | 249,200 | | | | 3,713,533 | |
Mitsubishi Heavy Industries Ltd. | | | 15,200 | | | | 358,874 | |
Murata Manufacturing Co. Ltd. | | | 308,484 | | | | 18,184,670 | |
NEC Corp. | | | 5,200 | | | | 249,838 | |
Nintendo Co. Ltd. | | | 300 | | | | 134,121 | |
Nippon Telegraph & Telephone Corp. | | | 165,620 | | | | 3,858,855 | |
Nissan Motor Co. Ltd. | | | 16,800 | | | | 62,302 | |
NTT Data Corp. | | | 11,000 | | | | 122,984 | |
Olympus Corp. | | | 4,800 | | | | 92,412 | |
Otsuka Holdings Co. Ltd. | | | 3,100 | | | | 135,104 | |
Rakuten, Inc. | | | 15,900 | | | | 140,445 | |
Sekisui House Ltd. | | | 2,400 | | | | 45,821 | |
Seven & i Holdings Co. Ltd. | | | 4,400 | | | | 143,939 | |
Shin-Etsu Chemical Co. Ltd. | | | 216,534 | | | | 25,412,760 | |
Shionogi & Co. Ltd. | | | 1,900 | | | | 119,193 | |
Softbank Corp. | | | 6,000 | | | | 76,477 | |
Sompo Holdings, Inc. | | | 1,600 | | | | 55,081 | |
Sony Corp. | | | 400 | | | | 27,612 | |
Subaru Corp. | | | 607,264 | | | | 12,715,913 | |
Suzuki Motor Corp. | | | 484,089 | | | | 16,529,757 | |
Tokyo Electron Ltd. | | | 1,100 | | | | 271,418 | |
Toshiba Corp. | | | 300 | | | | 9,624 | |
| | | | | | | | |
| | | | | | | 179,433,303 | |
| | |
| Mexico — 0.0% | | | | | | |
Fomento Economico Mexicano SAB de CV | | | 13,252 | | | | 82,258 | |
Grupo Bimbo SAB de CV | | | 75,075 | | | | 125,950 | |
| | | | | | | | |
| | | | | | | 208,208 | |
| | |
| Netherlands — 2.4% | | | | | | |
Adyen NV(a)(d) | | | 11,386 | | | | 16,572,258 | |
Akzo Nobel NV | | | 457,692 | | | | 41,119,344 | |
ASML Holding NV | | | 122,360 | | | | 44,760,903 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Netherlands (continued) | | | | | | |
ING Groep NV | | | 1,735,510 | | | $ | 12,098,084 | |
Koninklijke Ahold Delhaize NV | | | 7,481 | | | | 203,888 | |
Koninklijke Philips NV(d) | | | 886,611 | | | | 41,358,382 | |
NXP Semiconductors NV | | | 223,586 | | | | 25,497,747 | |
Royal Dutch Shell plc, Class A | | | 13,333 | | | | 213,478 | |
Royal Dutch Shell plc, Class B | | | 16,378 | | | | 248,295 | |
Wolters Kluwer NV | | | 1,090 | | | | 85,135 | |
| | | | | | | | |
| | | | | | | 182,157,514 | |
| | |
| Poland — 0.0% | | | | | | |
Polski Koncern Naftowy ORLEN SA | | | 3,761 | | | | 59,768 | |
| | | | | | | | |
| | |
| Portugal — 0.0% | | | | | | |
Jeronimo Martins SGPS SA(d) | | | 97,696 | | | | 1,709,676 | |
| | | | | | | | |
| | |
| Saudi Arabia — 0.0% | | | | | | |
Riyad Bank | | | 7,443 | | | | 33,560 | |
| | | | | | | | |
| | |
| Singapore — 0.3% | | | | | | |
CapitaLand Ltd.(d) | | | 6,701,350 | | | | 14,157,573 | |
ComfortDelGro Corp. Ltd. | | | 1,017,400 | | | | 1,069,195 | |
DBS Group Holdings Ltd. | | | 164,500 | | | | 2,475,204 | |
Singapore Telecommunications Ltd. | | | 274,000 | | | | 487,418 | |
United Overseas Bank Ltd. | | | 285,800 | | | | 4,176,072 | |
Wilmar International Ltd. | | | 30,200 | | | | 89,325 | |
| | | | | | | | |
| | | | | | | 22,454,787 | |
| | |
| South Africa — 0.0% | | | | | | |
Anglo American Platinum Ltd. | | | 1,187 | | | | 86,387 | |
Anglo American plc | | | 4,107 | | | | 94,679 | |
AngloGold Ashanti Ltd. | | | 4,026 | | | | 118,454 | |
Kumba Iron Ore Ltd. | | | 3,338 | | | | 89,261 | |
MTN Group Ltd.(f) | | | 51,402 | | | | 157,426 | |
Old Mutual Ltd.(f) | | | 25,442 | | | | 17,733 | |
| | | | | | | | |
| | | | | | | 563,940 | |
| | |
| South Korea — 0.2% | | | | | | |
Amorepacific Corp. | | | 263 | | | | 36,788 | |
Celltrion, Inc.(d) | | | 676 | | | | 173,014 | |
Hana Financial Group, Inc. | | | 1,898 | | | | 43,165 | |
Hyundai Mobis Co. Ltd. | | | 658 | | | | 105,622 | |
Kakao Corp. | | | 17,973 | | | | 4,033,188 | |
KB Financial Group, Inc. | | | 2,256 | | | | 63,866 | |
Kia Motors Corp. | | | 6,847 | | | | 185,024 | |
LG Chem Ltd. | | | 8,379 | | | | 3,457,838 | |
LG Electronics, Inc. | | | 5,171 | | | | 274,041 | |
LG Uplus Corp. | | | 4,226 | | | | 43,186 | |
NCSoft Corp. | | | 4,933 | | | | 3,669,793 | |
POSCO | | | 7,326 | | | | 1,067,080 | |
Shinhan Financial Group Co. Ltd. | | | 4,961 | | | | 119,889 | |
SK Telecom Co. Ltd. | | | 1,041 | | | | 183,339 | |
| | | | | | | | |
| | | | | | | 13,455,833 | |
| | |
| Spain — 0.3% | | | | | | |
Cellnex Telecom SA(a) | | | 360,331 | | | | 22,008,211 | |
Endesa SA | | | 2,200 | | | | 54,574 | |
Grifols SA | | | 1,130 | | | | 34,361 | |
Naturgy Energy Group SA | | | 1,679 | | | | 31,345 | |
Repsol SA | | | 8,480 | | | | 74,929 | |
Telefonica SA | | | 12,279 | | | | 58,728 | |
| | | | | | | | |
| | | | | | | 22,262,148 | |
| | |
| Sweden — 0.0% | | | | | | |
Assa Abloy AB, Class B | | | 2,372 | | | | 48,549 | |
Hennes & Mauritz AB, Class B | | | 11,552 | | | | 168,616 | |
Telefonaktiebolaget LM Ericsson, Class B | | | 9,036 | | | | 83,760 | |
| | | | | | | | |
| | | | | | | 300,925 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 9 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| |
| Switzerland — 1.2% | | | |
Alcon, Inc.(d) | | | 2,372 | | | $ | 136,293 | |
Alcon, Inc.(d)(f) | | | 55,818 | | | | 3,199,488 | |
Nestle SA (Registered) | | | 295,039 | | | | 32,711,158 | |
Novartis AG (Registered) | | | 4,178 | | | | 363,992 | |
Roche Holding AG | | | 145,936 | | | | 50,559,460 | |
SGS SA (Registered) | | | 61 | | | | 149,428 | |
Sika AG (Registered) | | | 15,117 | | | | 2,914,141 | |
STMicroelectronics NV | | | 28,400 | | | | 774,136 | |
| | | | | | | | |
| | | | | | | 90,808,096 | |
| |
| Taiwan — 0.9% | | | |
Asustek Computer, Inc. | | | 23,000 | | | | 168,990 | |
Cathay Financial Holding Co. Ltd. | | | 984,000 | | | | 1,399,726 | |
Chunghwa Telecom Co. Ltd. | | | 504,000 | | | | 2,001,613 | |
Formosa Chemicals & Fibre Corp.(d) | | | 438,000 | | | | 1,128,125 | |
Formosa Petrochemical Corp. | | | 234,000 | | | | 708,245 | |
Formosa Plastics Corp. | | | 388,000 | | | | 1,155,260 | |
Fubon Financial Holding Co. Ltd. | | | 1,071,000 | | | | 1,599,022 | |
Hon Hai Precision Industry Co. Ltd. | | | 522,960 | | | | 1,535,492 | |
MediaTek, Inc. | | | 7,000 | | | | 138,394 | |
Nan Ya Plastics Corp. | | | 531,000 | | | | 1,166,284 | |
Nanya Technology Corp. | | | 41,000 | | | | 85,542 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 5,065,000 | | | | 54,091,770 | |
Uni-President Enterprises Corp. | | | 783,000 | | | | 1,897,058 | |
United Microelectronics Corp. | | | 371,000 | | | | 200,578 | |
Yageo Corp. | | | 169,000 | | | | 2,201,703 | |
| | | | | | | | |
| | | | | | | 69,477,802 | |
| |
| Thailand — 0.1% | | | |
Advanced Info Service PCL | | | 303,600 | | | | 1,827,146 | |
Intouch Holdings PCL, Class F | | | 975,000 | | | | 1,784,116 | |
Thai Beverage PCL | | | 1,152,100 | | | | 562,413 | |
| | | | | | | | |
| | | | | | | 4,173,675 | |
| |
| Turkey — 0.0% | | | |
BIM Birlesik Magazalar A/S | | | 5,897 | | | | 58,466 | |
Tupras Turkiye Petrol Rafinerileri A/S(d) | | | 23,672 | | | | 309,662 | |
| | | | | | | | |
| | | | | | | 368,128 | |
| |
| United Arab Emirates — 0.0% | | | |
NMC Health plc(c)(d) | | | 365,939 | | | | 5 | |
| | | | | | | | |
| |
| United Kingdom — 1.4% | | | |
AstraZeneca plc | | | 12,231 | | | | 1,272,934 | |
Berkeley Group Holdings plc | | | 75,738 | | | | 3,900,523 | |
BT Group plc | | | 25,160 | | | | 35,583 | |
Coca-Cola European Partners plc | | | 3,042 | | | | 114,866 | |
Compass Group plc | | | 4,724 | | | | 64,995 | |
Diageo plc | | | 3,785 | | | | 125,803 | |
Experian plc | | | 2,604 | | | | 91,397 | |
Fiat Chrysler Automobiles NV(d) | | | 22,840 | | | | 231,098 | |
GlaxoSmithKline plc | | | 9,459 | | | | 191,069 | |
Hut Group (The) (Acquired 12/03/19,
cost $8,230,667)(c)(d)(e) | | | 12,665 | | | | 11,186,114 | |
RELX plc | | | 2,292 | | | | 53,050 | |
Unilever NV | | | 618,858 | | | | 32,996,134 | |
Unilever plc | | | 303,473 | | | | 16,369,658 | |
Vodafone Group plc | | | 26,668,565 | | | | 42,396,627 | |
| | | | | | | | |
| | | | | | | 109,029,851 | |
| |
| United States — 40.5% | | | |
Abbott Laboratories | | | 360,266 | | | | 32,939,120 | |
AbbVie, Inc. | | | 414,810 | | | | 40,726,046 | |
Adobe, Inc.(d) | | | 44,327 | | | | 19,295,986 | |
Agilent Technologies, Inc.(f) | | | 316,839 | | | | 27,999,062 | |
Air Products & Chemicals, Inc. | | | 215,524 | | | | 52,040,425 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| |
| United States (continued) | | | |
Alexion Pharmaceuticals, Inc.(d) | | | 16,143 | | | $ | 1,811,890 | |
Alphabet, Inc., Class C(d) | | | 84,212 | | | | 119,042,925 | |
Altair Engineering, Inc., Class A(d) | | | 61,149 | | | | 2,430,673 | |
Altria Group, Inc. | | | 474 | | | | 18,605 | |
Amazon.com, Inc.(d) | | | 56,017 | | | | 154,540,820 | |
American International Group, Inc. | | | 2,023 | | | | 63,077 | |
American Tower Corp. | | | 23,745 | | | | 6,139,032 | |
American Water Works Co., Inc. | | | 15,249 | | | | 1,961,936 | |
Ameriprise Financial, Inc. | | | 918 | | | | 137,737 | |
Amgen, Inc. | | | 866 | | | | 204,255 | |
Anthem, Inc. | | | 157,560 | | | | 41,435,129 | |
Aon plc, Class A | | | 1,133 | | | | 218,216 | |
Apellis Pharmaceuticals, Inc.(d) | | | 46,065 | | | | 1,504,483 | |
Apple, Inc. | | | 439,688 | | | | 160,398,182 | |
Applied Materials, Inc. | | | 296,854 | | | | 17,944,824 | |
Aptiv plc | | | 294,960 | | | | 22,983,283 | |
Autodesk, Inc.(d) | | | 169,579 | | | | 40,561,601 | |
AutoZone, Inc.(d)(f) | | | 142 | | | | 160,193 | |
AvalonBay Communities, Inc. | | | 182 | | | | 28,144 | |
Bank of America Corp. | | | 2,060,541 | | | | 48,937,849 | |
Bank of New York Mellon Corp. (The) | | | 2,612 | | | | 100,954 | |
Baxter International, Inc. | | | 39,174 | | | | 3,372,881 | |
Becton Dickinson and Co. | | | 102,099 | | | | 24,429,228 | |
Berkshire Hathaway, Inc., Class B(d). | | | 47,956 | | | | 8,560,626 | |
Biogen, Inc.(d) | | | 91 | | | | 24,347 | |
BioMarin Pharmaceutical, Inc.(d)(f) | | | 22,081 | | | | 2,723,471 | |
Booking Holdings, Inc.(d) | | | 256 | | | | 407,639 | |
Boston Scientific Corp.(d) | | | 491,571 | | | | 17,259,058 | |
Bristol-Myers Squibb Co. | | | 390,262 | | | | 22,947,406 | |
Cadence Design Systems, Inc.(d) | | | 46,889 | | | | 4,499,468 | |
Capital One Financial Corp. | | | 519,317 | | | | 32,504,051 | |
Cardinal Health, Inc. | | | 1,998 | | | | 104,276 | |
Cerner Corp. | | | 5,259 | | | | 360,504 | |
CH Robinson Worldwide, Inc.(f) | | | 46,223 | | | | 3,654,390 | |
Charles Schwab Corp. (The) | | | 351,643 | | | | 11,864,435 | |
Charter Communications, Inc., Class A(d) | | | 116,495 | | | | 59,417,110 | |
Chevron Corp. | | | 961 | | | | 85,750 | |
Chubb Ltd. | | | 114,000 | | | | 14,434,680 | |
Cintas Corp. | | | 363 | | | | 96,689 | |
Cisco Systems, Inc. | | | 2,621 | | | | 122,243 | |
Citigroup, Inc. | | | 427,027 | | | | 21,821,080 | |
CME Group, Inc. | | | 1,257 | | | | 204,313 | |
Cognizant Technology Solutions Corp., Class A | | | 1,176 | | | | 66,820 | |
Colgate-Palmolive Co. | | | 68,788 | | | | 5,039,409 | |
Comcast Corp., Class A | | | 1,599,046 | | | | 62,330,813 | |
Costco Wholesale Corp. | | | 63,407 | | | | 19,225,636 | |
Crowdstrike Holdings, Inc., Class A(d) | | | 55,463 | | | | 5,562,384 | |
Crown Castle International Corp. | | | 828 | | | | 138,566 | |
Cummins, Inc. | | | 447 | | | | 77,447 | |
Delta Air Lines, Inc.(f) | | | 9,265 | | | | 259,883 | |
DexCom, Inc.(d) | | | 4,613 | | | | 1,870,110 | |
Digital Realty Trust, Inc. | | | 364 | | | | 51,728 | |
Dollar General Corp. | | | 1,231 | | | | 234,518 | |
Dollar Tree, Inc.(d) | | | 13,067 | | | | 1,211,050 | |
DR Horton, Inc. | | | 955,045 | | | | 52,957,245 | |
Eaton Corp. plc | | | 2,294 | | | | 200,679 | |
eBay, Inc. | | | 40,754 | | | | 2,137,547 | |
Edwards Lifesciences Corp.(d) | | | 105,312 | | | | 7,278,112 | |
Electronic Arts, Inc.(d) | | | 781 | | | | 103,131 | |
Eli Lilly & Co. | | | 2,675 | | | | 439,182 | |
Emerson Electric Co. | | | 499,875 | | | | 31,007,246 | |
Exxon Mobil Corp. | | | 33,305 | | | | 1,489,400 | |
Facebook, Inc., Class A(d) | | | 184,958 | | | | 41,998,413 | |
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United States (continued) | | | | | | |
FedEx Corp. | | | 1,254 | | | $ | 175,836 | |
Ferguson plc | | | 42,727 | | | | 3,493,639 | |
FleetCor Technologies, Inc.(d) | | | 107,433 | | | | 27,022,622 | |
Fortinet, Inc.(d) | | | 39,605 | | | | 5,436,578 | |
Fortive Corp.(f) | | | 441,302 | | | | 29,858,493 | |
Fortune Brands Home & Security, Inc. | | | 45,440 | | | | 2,904,979 | |
Freeport-McMoRan, Inc. | | | 319,394 | | | | 3,695,389 | |
General Electric Co. | | | 27,694 | | | | 189,150 | |
Gilead Sciences, Inc. | | | 290,919 | | | | 22,383,308 | |
Global Payments, Inc. | | | 124,406 | | | | 21,101,746 | |
Guardant Health, Inc.(d) | | | 44,386 | | | | 3,601,036 | |
HCA Healthcare, Inc. | | | 251,952 | | | | 24,454,461 | |
Hershey Co. (The) | | | 550 | | | | 71,291 | |
Hess Corp. | | | 160,387 | | | | 8,309,650 | |
Hewlett Packard Enterprise Co. | | | 25,239 | | | | 245,575 | |
Home Depot, Inc. (The) | | | 166,804 | | | | 41,786,070 | |
HP, Inc. | | | 16,415 | | | | 286,113 | |
Humana, Inc. | | | 3,500 | | | | 1,357,125 | |
iHeartMedia, Inc.(d) | | | 3,761 | | | | 31,404 | |
Illumina, Inc.(d) | | | 4,072 | | | | 1,508,065 | |
Incyte Corp.(d) | | | 1,128 | | | | 117,278 | |
Insulet Corp.(d) | | | 5,860 | | | | 1,138,364 | |
Intel Corp. | | | 27,314 | | | | 1,634,197 | |
Intercontinental Exchange, Inc. | | | 3,213 | | | | 294,311 | |
International Flavors & Fragrances, Inc. | | | 298,784 | | | | 36,589,089 | |
Intuit, Inc. | | | 26,879 | | | | 7,961,291 | |
Intuitive Surgical, Inc.(d) | | | 15,658 | | | | 8,922,398 | |
Iovance Biotherapeutics, Inc.(d) | | | 30,352 | | | | 833,162 | |
IQVIA Holdings, Inc.(d) | | | 1,181 | | | | 167,560 | |
Jawbone Health Hub, Inc. (Acquired 01/24/17, cost $0)(c)(d)(e) | | | 301,223 | | | | 3 | |
JBS SA | | | 239,936 | | | | 942,872 | |
Johnson & Johnson | | | 363,855 | | | | 51,168,929 | |
JPMorgan Chase & Co. | | | 617,944 | | | | 58,123,813 | |
Kinder Morgan, Inc. | | | 5,713 | | | | 86,666 | |
Kroger Co. (The) | | | 4,441 | | | | 150,328 | |
L3Harris Technologies, Inc. | | | 296,147 | | | | 50,247,261 | |
Lam Research Corp. | | | 252 | | | | 81,512 | |
Las Vegas Sands Corp. | | | 18,100 | | | | 824,274 | |
Lennar Corp., Class A | | | 317,437 | | | | 19,560,468 | |
Liberty Broadband Corp., Class C(d) | | | 6,030 | | | | 747,479 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(d) | | | 202,288 | | | | 6,982,982 | |
Liberty Media Corp.-Liberty SiriusXM,
Class C(d)(f) | | | 350,571 | | | | 12,077,171 | |
Live Nation Entertainment, Inc.(d) | | | 15,833 | | | | 701,877 | |
Lookout, Inc. (Acquired 03/04/15,
cost $936,169)(c)(d)(e) | | | 73,943 | | | | 360,102 | |
Lowe’s Cos., Inc. | | | 351,847 | | | | 47,541,567 | |
Madison Square Garden Sports Corp.(d) | | | 824 | | | | 121,037 | |
Marathon Petroleum Corp.(f) | | | 98,597 | | | | 3,685,556 | |
Marsh & McLennan Cos., Inc. | | | 367,423 | | | | 39,450,208 | |
Marvell Technology Group Ltd. | | | 216,162 | | | | 7,578,640 | |
Masco Corp. | | | 117,244 | | | | 5,886,821 | |
Mastercard, Inc., Class A | | | 211,070 | | | | 62,413,399 | |
McDonald’s Corp. | | | 229,078 | | | | 42,258,019 | |
McKesson Corp. | | | 384 | | | | 58,913 | |
Medtronic plc | | | 4,803 | | | | 440,435 | |
Merck & Co., Inc. | | | 412,513 | | | | 31,899,630 | |
MGM Resorts International | | | 30,078 | | | | 505,310 | |
Microchip Technology, Inc. | | | 144,375 | | | | 15,204,131 | |
Micron Technology, Inc.(d) | | | 194,296 | | | | 10,010,130 | |
Microsoft Corp.(h) | | | 820,648 | | | | 167,010,074 | |
Mondelez International, Inc., Class A(f) | | | 73,433 | | | | 3,754,629 | |
Moody’s Corp. | | | 598 | | | | 164,289 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United States (continued) | | | | | | |
Morgan Stanley | | | 1,415,089 | | | $ | 68,348,799 | |
Motorola Solutions, Inc. | | | 47,479 | | | | 6,653,232 | |
Neon Parent, Inc.(d) | | | 6,920 | | | | 1,231,899 | |
Nevro Corp.(d) | | | 8,928 | | | | 1,066,628 | |
Newmont Corp. | | | 105,359 | | | | 6,504,865 | |
NextEra Energy, Inc. | | | 240,302 | | | | 57,713,331 | |
Northrop Grumman Corp. | | | 4,200 | | | | 1,291,248 | |
NortonLifeLock, Inc. | | | 126,419 | | | | 2,506,889 | |
NVIDIA Corp. | | | 94,569 | | | | 35,927,709 | |
Okta, Inc.(d) | | | 26,525 | | | | 5,311,101 | |
Oracle Corp.(f) | | | 193,354 | | | | 10,686,676 | |
Palo Alto Networks, Inc.(d) | | | 24,583 | | | | 5,645,978 | |
PayPal Holdings, Inc.(d)(f) | | | 178,064 | | | | 31,024,091 | |
Peloton Interactive, Inc., Class A(d) | | | 241,174 | | | | 13,932,622 | |
PepsiCo, Inc.(f) | | | 39,470 | | | | 5,220,302 | |
Pfizer, Inc. | | | 854,925 | | | | 27,956,048 | |
Philip Morris International, Inc. | | | 22,129 | | | | 1,550,358 | |
PPG Industries, Inc. | | | 281,600 | | | | 29,866,496 | |
Procter & Gamble Co. (The) | | | 3,836 | | | | 458,671 | |
Proofpoint, Inc.(d) | | | 17,668 | | | | 1,963,268 | |
Prudential Financial, Inc. | | | 558 | | | | 33,982 | |
PTC Therapeutics, Inc.(d) | | | 14,930 | | | | 757,548 | |
PTC, Inc.(d)(f) | | | 28,576 | | | | 2,222,927 | |
Public Storage | | | 1,487 | | | | 285,340 | |
QUALCOMM, Inc. | | | 32,151 | | | | 2,932,493 | |
Raytheon Technologies Corp. | | | 821,966 | | | | 50,649,545 | |
Republic Services, Inc. | | | 929 | | | | 76,224 | |
ResMed, Inc.(f) | | | 17,282 | | | | 3,318,144 | |
salesforce.com, Inc.(d) | | | 330,247 | | | | 61,865,171 | |
Sarepta Therapeutics, Inc.(d)(f) | | | 13,830 | | | | 2,217,502 | |
Schlumberger Ltd. | | | 6,587 | | | | 121,135 | |
Seattle Genetics, Inc.(d) | | | 10,537 | | | | 1,790,447 | |
ServiceNow, Inc.(d) | | | 41,825 | | | | 16,941,635 | |
Simply Good Foods Co. (The)(d)(f) | | | 109,232 | | | | 2,029,531 | |
Splunk, Inc.(d) | | | 36,357 | | | | 7,224,136 | |
Stanley Black & Decker, Inc. | | | 1,481 | | | | 206,422 | |
Starbucks Corp. | | | 623,033 | | | | 45,848,998 | |
Stryker Corp.(f) | | | 15,534 | | | | 2,799,071 | |
Target Corp. | | | 2,815 | | | | 337,603 | |
Texas Instruments, Inc. | | | 1,093 | | | | 138,778 | |
Thermo Fisher Scientific, Inc. | | | 99,984 | | | | 36,228,203 | |
Thor Industries, Inc.(f) | | | 1,025 | | | | 109,193 | |
TJX Cos., Inc. (The) | | | 573,956 | | | | 29,019,215 | |
T-Mobile US, Inc.(d) | | | 35,658 | | | | 3,713,781 | |
Travelers Cos., Inc. (The) | | | 32,487 | | | | 3,705,142 | |
Uber Technologies, Inc.(d) | | | 694,329 | | | | 21,579,745 | |
Union Pacific Corp. | | | 314,833 | | | | 53,228,815 | |
United Parcel Service, Inc., Class B | | | 1,766 | | | | 196,344 | |
UnitedHealth Group, Inc. | | | 264,424 | | | | 77,991,859 | |
US Bancorp | | | 161,821 | | | | 5,958,249 | |
Vail Resorts, Inc. | | | 427 | | | | 77,778 | |
VeriSign, Inc.(d) | | | 1,791 | | | | 370,433 | |
Verizon Communications, Inc. | | | 63,907 | | | | 3,523,193 | |
Vertex Pharmaceuticals, Inc.(d) | | | 60,581 | | | | 17,587,270 | |
Vertiv Holdings Co. (Acquired 02/04/20,
cost $17,149,150)(d)(e) | | | 1,714,915 | | | | 23,254,247 | |
Visa, Inc., Class A | | | 24,105 | | | | 4,656,363 | |
Vistra Energy Corp. | | | 194,188 | | | | 3,615,781 | |
VMware, Inc., Class A(d)(f) | | | 175,381 | | | | 27,159,502 | |
Walgreens Boots Alliance, Inc. | | | 5,928 | | | | 251,288 | |
Walmart, Inc. | | | 292,588 | | | | 35,046,191 | |
Walt Disney Co. (The) | | | 141,533 | | | | 15,782,345 | |
Wells Fargo & Co. | | | 111,118 | | | | 2,844,621 | |
Western Digital Corp. | | | 61,163 | | | | 2,700,346 | |
Weyerhaeuser Co. | | | 102,962 | | | | 2,312,527 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 11 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Shares | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Williams Cos., Inc. (The) | | | | | | | 408,819 | | | $ | 7,775,737 | |
Willis Towers Watson plc | | | | | | | 122 | | | | 24,028 | |
Winnebago Industries, Inc. | | | | | | | 1,608 | | | | 107,125 | |
Workday, Inc., Class A(d) | | | | | | | 1,335 | | | | 250,126 | |
Wynn Resorts Ltd. | | | | | | | 27,904 | | | | 2,078,569 | |
Xilinx, Inc. | | | | | | | 128,904 | | | | 12,682,865 | |
Yum! Brands, Inc. | | | | | | | 1,883 | | | | 163,652 | |
Zillow Group, Inc., Class C(d)(f) | | | | | | | 45,766 | | | | 2,636,579 | |
Zimmer Biomet Holdings, Inc. | | | | | | | 588 | | | | 70,184 | |
Zoetis, Inc. | | | | | | | 30,458 | | | | 4,173,964 | |
Zscaler, Inc.(d) | | | | | | | 38,833 | | | | 4,252,214 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,073,590,433 | |
| | | |
| Zambia — 0.0% | | | | | | | | | |
First Quantum Minerals Ltd. | | | | | | | 445,810 | | | | 3,553,082 | |
| | | | | | | | | | | | |
| | | |
Total Common Stocks — 59.9%
(Cost: $3,927,518,609) | | | | | | | | | | | 4,545,186,460 | |
| | | | | | | | | | | | |
| | |
| | | Par (000) | | | | |
| | | |
Corporate Bonds — 7.1% | | | | | | | | | | | | |
| | | |
Australia — 0.5%(a) | | | | | | | | | | | | |
FMG Resources August 2006 Pty. Ltd.: | | | | | | | | | | | | |
4.75%, 05/15/22 | | | | | | | 140 | | | | 142,698 | |
5.13%, 03/15/23 | | | | | | | 95 | | | | 97,612 | |
5.13%, 05/15/24 | | | | | | | 144 | | | | 148,320 | |
Quintis Australia Pty. Ltd.(c)(i)*: | | | | | | | | | | | | |
7.50%, (7.50% Cash or 8.00% PIK), 10/01/26 | | | | | | | 17,757 | | | | 17,397,864 | |
12.00%, (0.00% Cash or 0.00% PIK), 10/01/28 | | | | | | | 18,591 | | | | 18,591,047 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,377,541 | |
| | | |
| Brazil — 0.1% | | | | | | | | | |
Itau Unibanco Holding SA, 3.25%, 01/24/25 | | | | | | | 961 | | | | 946,843 | |
Petrobras Global Finance BV: | | | | | | | | | | | | |
5.30%, 01/27/25 | | | | | | | 927 | | | | 960,894 | |
5.60%, 01/03/31 | | | | | | | 2,276 | | | | 2,286,242 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,193,979 | |
| | | |
| Canada — 0.0% | | | | | | | | | |
1011778 BC ULC, 5.00%, 10/15/25(a) | | | | | | | 456 | | | | 453,314 | |
Brookfield Residential Properties, Inc., 6.25%, 09/15/27(a) | | | | | | | 117 | | | | 111,888 | |
Magna International, Inc., 2.45%, 06/15/30 | | | | | | | 300 | | | | 306,804 | |
Mattamy Group Corp., 4.63%, 03/01/30(a) | | | | | | | 1,770 | | | | 1,699,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,571,206 | |
| | | |
| Chile — 0.0% | | | | | | | | | |
Falabella SA, 4.38%, 01/27/25 | | | | | | | 924 | | | | 969,623 | |
Inversiones Alsacia SA,
8.00%, 12/31/18(a)(d)(j) | | | | | | | 100 | | | | 1,992 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 971,615 | |
| | | |
| China — 0.0% | | | | | | | | | |
China Milk Products Group Ltd.,
0.00%, 01/05/12(d)(j)(k)(l) | | | | | | | 4,800 | | | | 4,800 | |
Tencent Holdings Ltd., 3.24%, 06/03/50(a) | | | | | | | 973 | | | | 982,039 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 986,839 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| France — 0.0% | | | | | | | | | |
BNP Paribas SA, 3.38%, 01/09/25(a) | | | USD | | | | 2,269 | | | $ | 2,452,424 | |
| | | | | | | | | | | | |
| | | |
| Germany — 0.1% | | | | | | | | | |
Vertical Midco GmbH: | | | | | | | | | | | | |
6.63%, 07/28/20 | | | EUR | | | | 1,440 | | | | 1,617,840 | |
4.38%, 07/15/27(a) | | | | | | | 2,175 | | | | 2,443,613 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,061,453 | |
| | | |
| Greece — 0.1% | | | | | | | | | |
Ellaktor Value plc, 6.38%, 12/15/24(a) | | | | | | | 5,554 | | | | 5,224,435 | |
| | | | | | | | | | | | |
| | | |
| India — 0.0% | | | | | | | | | |
REI Agro Ltd.(d)(j)(k): | | | | | | | | | | | | |
5.50%, 11/13/14(a) | | | USD | | | | 5,549 | | | | 56 | |
5.50%, 11/13/14(c) | | | | | | | 2,291 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | 56 | |
| | | |
| Italy — 0.0% | | | | | | | | | |
UniCredit SpA, (USD Swap Rate 5 Year + 4.75%), 5.46%, 06/30/35(a)(b) | | | | | | | 2,072 | | | | 2,088,846 | |
| | | | | | | | | | | | |
| | | |
| Japan — 0.1% | | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc., 3.78%, 03/02/25 | | | | | | | 2,126 | | | | 2,344,435 | |
Takeda Pharmaceutical Co. Ltd.: | | | | | | | | | | | | |
2.05%, 03/31/30 | | | | | | | 1,951 | | | | 1,949,940 | |
3.18%, 07/09/50 | | | | | | | 3,578 | | | | 3,566,392 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,860,767 | |
| | | |
| Luxembourg — 0.1% | | | | | | | | | |
Intelsat Jackson Holdings SA,
8.00%, 02/15/24(a)(m) | | | | | | | 7,812 | | | | 7,922,774 | |
| | | | | | | | | | | | |
| | | |
| Macau — 0.0%(a) | | | | | | | | | |
MGM China Holdings Ltd.: | | | | | | | | | | | | |
5.38%, 05/15/24 | | | | | | | 200 | | | | 203,110 | |
5.88%, 05/15/26 | | | | | | | 200 | | | | 206,000 | |
Wynn Macau Ltd., 4.88%, 10/01/24 | | | | | | | 200 | | | | 196,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 605,110 | |
| | | |
| Malaysia — 0.0% | | | | | | | | | |
Petronas Capital Ltd., 4.55%, 04/21/50(a) | | | | | | | 785 | | | | 997,649 | |
| | | | | | | | | | | | |
| | | |
| Netherlands — 0.1% | | | | | | | | | |
ING Groep NV, 4.10%, 10/02/23 | | | | | | | 7,089 | | | | 7,767,403 | |
NXP BV, 3.15%, 05/01/27(a) | | | | | | | 325 | | | | 344,526 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,111,929 | |
| | | |
| Saudi Arabia — 0.0% | | | | | | | | | |
Saudi Electricity Global Sukuk Co. 2,
5.06%, 04/08/43 | | | | | | | 850 | | | | 973,516 | |
| | | | | | | | | | | | |
| | | |
| Singapore — 0.1% | | | | | | | | | |
CapitaLand Ltd., 1.95%, 10/17/23(a)(k) | | | SGD | | | | 5,250 | | | | 3,603,347 | |
| | | | | | | | | | | | |
| | | |
| South Korea — 0.0% | | | | | | | | | |
Clark Equipment Co., 5.88%, 06/01/25(a) | | | USD | | | | 364 | | | | 372,190 | |
| | | | | | | | | | | | |
| | | |
| Spain — 0.0% | | | | | | | | | |
Banco Santander SA: | | | | | | | | | | | | |
2.75%, 05/28/25 | | | | | | | 1,000 | | | | 1,036,315 | |
3.49%, 05/28/30 | | | | | | | 400 | | | | 429,522 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,465,837 | |
| | | |
| Switzerland — 0.1% | | | | | | | | | |
UBS Group AG, 4.13%, 09/24/25(a) | | | | | | | 3,289 | | | | 3,727,932 | |
| | | | | | | | | | | | |
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Turkey — 0.1% | | | | | | | | | |
Bio City Development Co. BV,
8.00%, 07/06/20(a)(c)(d)(j)(k)* | | | USD | | | | 21,400 | | | $ | 2,702,820 | |
| | | | | | | | | | | | |
| | | |
| United Arab Emirates — 0.0% | | | | | | | | | |
DP World plc, 6.85%, 07/02/37 | | | | | | | 770 | | | | 936,513 | |
MDGH — GMTN BV, 3.70%, 11/07/49(a) | | | | | | | 947 | | | | 1,001,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,938,261 | |
| | | |
| United Kingdom — 0.0% | | | | | | | | | |
HSBC Holdings plc, 4.95%, 03/31/30 | | | | | | | 1,170 | | | | 1,405,830 | |
Royal Bank of Scotland Group plc, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 05/22/28(b) | | | | | | | 885 | | | | 931,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,337,276 | |
| | | |
| United States — 5.7% | | | | | | | | | |
AbbVie, Inc., 4.25%, 11/21/49(a) | | | | | | | 2,278 | | | | 2,761,321 | |
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(a) | | | | | | | 524 | | | | 525,310 | |
Agilent Technologies, Inc., 2.10%, 06/04/30 | | | | | | | 1,915 | | | | 1,962,391 | |
Albertsons Cos., Inc.: | | | | | | | | | | | | |
3.50%, 02/15/23(a) | | | | | | | 149 | | | | 150,862 | |
6.63%, 06/15/24 | | | | | | | 235 | | | | 240,875 | |
5.75%, 03/15/25 | | | | | | | 692 | | | | 707,141 | |
7.50%, 03/15/26(a) | | | | | | | 123 | | | | 132,840 | |
AMC Networks, Inc.: | | | | | | | | | | | | |
5.00%, 04/01/24 | | | | | | | 186 | | | | 184,140 | |
4.75%, 08/01/25 | | | | | | | 148 | | | | 145,810 | |
American Tower Corp., 3.10%, 06/15/50 | | | | | | | 3,395 | | | | 3,358,107 | |
Anthem, Inc.: | | | | | | | | | | | | |
2.25%, 05/15/30 | | | | | | | 4,205 | | | | 4,313,857 | |
3.13%, 05/15/50 | | | | | | | 2,260 | | | | 2,337,929 | |
Aramark Services, Inc.: | | | | | | | | | | | | |
4.75%, 06/01/26 | | | | | | | 94 | | | | 90,475 | |
5.00%, 02/01/28(a) | | | | | | | 219 | | | | 208,050 | |
Ardagh Packaging Finance plc, 4.13%, 08/15/26(a) | | | | | | | 745 | | | | 732,968 | |
AT&T, Inc., 2.30%, 06/01/27 | | | | | | | 3,711 | | | | 3,841,889 | |
AutoNation, Inc., 4.75%, 06/01/30 | | | | | | | 1,043 | | | | 1,130,162 | |
Avantor, Inc., 6.00%, 10/01/24(a) | | | | | | | 290 | | | | 303,050 | |
Axalta Coating Systems LLC, 4.75%, 06/15/27(a) | | | | | | | 150 | | | | 150,780 | |
Bank of America Corp.: | | | | | | | | | | | | |
4.00%, 01/22/25 | | | | | | | 2,637 | | | | 2,912,184 | |
(SOFR + 2.15%), 2.59%, 04/29/31(b) | | | | | | | 6,485 | | | | 6,862,074 | |
Bausch Health Cos., Inc.(a): | | | | | | | | | | | | |
5.50%, 11/01/25 | | | | | | | 257 | | | | 263,425 | |
5.75%, 08/15/27 | | | | | | | 77 | | | | 81,620 | |
6.25%, 02/15/29 | | | | | | | 568 | | | | 570,840 | |
Becton Dickinson and Co.: | | | | | | | | | | | | |
2.82%, 05/20/30 | | | | | | | 660 | | | | 698,352 | |
3.79%, 05/20/50 | | | | | | | 820 | | | | 910,757 | |
Bemis Co., Inc., 2.63%, 06/19/30 | | | | | | | 800 | | | | 820,229 | |
BorgWarner, Inc., 2.65%, 07/01/27 | | | | | | | 1,079 | | | | 1,107,049 | |
Boyd Gaming Corp., 8.63%, 06/01/25(a) | | | | | | | 495 | | | | 517,275 | |
Broadcom, Inc.(a): | | | | | | | | | | | | |
3.15%, 11/15/25 | | | | | | | 585 | | | | 622,629 | |
4.15%, 11/15/30 | | | | | | | 1,570 | | | | 1,706,090 | |
Buckeye Partners LP: | | | | | | | | | | | | |
4.35%, 10/15/24 | | | | | | | 425 | | | | 401,625 | |
4.13%, 03/01/25(a) | | | | | | | 2,150 | | | | 2,062,430 | |
Calpine Corp., 5.13%, 03/15/28(a) | | | | | | | 456 | | | | 446,880 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Carrier Global Corp.(a): | | | | | | | | | | | | |
2.24%, 02/15/25 | | | USD | | | | 1,517 | | | $ | 1,551,009 | |
3.58%, 04/05/50 | | | | | | | 1,517 | | | | 1,493,201 | |
Cedar Fair LP: | | | | | | | | | | | | |
5.38%, 04/15/27 | | | | | | | 96 | | | | 85,920 | |
5.25%, 07/15/29(a) | | | | | | | 94 | | | | 85,070 | |
Centene Corp.: | | | | | | | | | | | | |
4.75%, 01/15/25 | | | | | | | 2,896 | | | | 2,964,838 | |
5.25%, 04/01/25(a) | | | | | | | 210 | | | | 216,231 | |
5.38%, 06/01/26(a) | | | | | | | 3,254 | | | | 3,373,291 | |
5.38%, 08/15/26(a) | | | | | | | 142 | | | | 147,710 | |
4.25%, 12/15/27 | | | | | | | 470 | | | | 484,998 | |
Charles River Laboratories International, Inc., 5.50%, 04/01/26(a) | | | | | | | 97 | | | | 100,880 | |
Charter Communications Operating LLC, 2.80%, 04/01/31 | | | | | | | 5,630 | | | | 5,703,311 | |
Cheniere Energy Partners LP: | | | | | | | | | | | | |
5.25%, 10/01/25 | | | | | | | 736 | | | | 733,571 | |
5.63%, 10/01/26 | | | | | | | 210 | | | | 208,950 | |
Churchill Downs, Inc., 5.50%, 04/01/27(a) | | | | | | | 115 | | | | 112,562 | |
Citigroup, Inc.(b): | | | | | | | | | | | | |
(LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/25 | | | | | | | 3,640 | | | | 3,932,945 | |
(SOFR + 2.75%), 3.11%, 04/08/26 | | | | | | | 6,085 | | | | 6,544,875 | |
(SOFR + 3.91%), 4.41%, 03/31/31 | | | | | | | 3,168 | | | | 3,758,894 | |
(SOFR + 4.55%), 5.32%, 03/26/41 | | | | | | | 1,957 | | | | 2,656,700 | |
Clean Harbors, Inc., 4.88%, 07/15/27(a) | | | | | | | 101 | | | | 103,777 | |
Colfax Corp., 6.00%, 02/15/24(a) | | | | | | | 117 | | | | 120,656 | |
Colt Merger Sub, Inc.(a): | | | | | | | | | | | | |
5.75%, 07/01/25 | | | | | | | 1,023 | | | | 1,028,831 | |
6.25%, 07/01/25 | | | | | | | 7,685 | | | | 7,636,969 | |
8.13%, 07/01/27 | | | | | | | 2,920 | | | | 2,821,450 | |
Comcast Corp., 2.80%, 01/15/51 | | | | | | | 2,025 | | | | 2,076,608 | |
CommScope, Inc., 7.13%, 07/01/28(a) | | | | | | | 613 | | | | 611,529 | |
Crown Castle International Corp., 4.15%, 07/01/50 | | | | | | | 3,594 | | | | 4,211,834 | |
CrownRock LP, 5.63%, 10/15/25(a) | | | | | | | 217 | | | | 194,486 | |
CSC Holdings LLC(a): | | | | | | | | | | | | |
5.50%, 05/15/26 | | | | | | | 1,422 | | | | 1,459,498 | |
5.38%, 02/01/28 | | | | | | | 465 | | | | 485,925 | |
4.13%, 12/01/30 | | | | | | | 3,365 | | | | 3,335,556 | |
4.63%, 12/01/30 | | | | | | | 1,075 | | | | 1,044,212 | |
CVS Health Corp.: | | | | | | | | | | | | |
3.63%, 04/01/27 | | | | | | | 1,165 | | | | 1,308,281 | |
3.75%, 04/01/30 | | | | | | | 2,320 | | | | 2,672,887 | |
5.05%, 03/25/48 | | | | | | | 2,278 | | | | 2,983,935 | |
Darling Ingredients, Inc., 5.25%, 04/15/27(a) | | | | | | | 96 | | | | 98,667 | |
DaVita, Inc.: | | | | | | | | | | | | |
5.00%, 05/01/25 | | | | | | | 277 | | | | 283,232 | |
4.63%, 06/01/30(a) | | | | | | | 4,955 | | | | 4,931,216 | |
Dow Chemical Co. (The), 3.63%, 05/15/26 | | | | | | | 2,440 | | | | 2,686,840 | |
Elanco Animal Health, Inc.(m): | | | | | | | | | | | | |
4.66%, 08/27/21 | | | | | | | 93 | | | | 94,860 | |
5.02%, 08/28/23 | | | | | | | 145 | | | | 152,250 | |
Endeavor Energy Resources LP(a): | | | | | | | | | | | | |
5.50%, 01/30/26 | | | | | | | 93 | | | | 89,047 | |
5.75%, 01/30/28 | | | | | | | 190 | | | | 182,400 | |
Energizer Holdings, Inc., 4.75%, 06/15/28(a) | | | | | | | 701 | | | | 687,660 | |
Energy Transfer Operating LP, 4.05%, 03/15/25 | | | | | | | 1,555 | | | | 1,650,060 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 13 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
ERAC USA Finance LLC, 3.80%, 11/01/25(a) | | | USD | | | | 2,278 | | | $ | 2,410,128 | |
ESH Hospitality, Inc., 5.25%, 05/01/25(a) | | | | | | | 242 | | | | 232,320 | |
Exxon Mobil Corp., 3.45%, 04/15/51 | | | | | | | 2,605 | | | | 2,884,856 | |
Ferguson Finance plc, 3.25%, 06/02/30(a) | | | | | | | 2,240 | | | | 2,294,881 | |
Fiserv, Inc., 2.65%, 06/01/30 | | | | | | | 2,115 | | | | 2,240,991 | |
Ford Motor Credit Co. LLC, 5.13%, 06/16/25 | | | | | | | 827 | | | | 827,331 | |
Forestar Group, Inc., 5.00%, 03/01/28(a) | | | | | | | 3,730 | | | | 3,655,400 | |
Fox Corp., 3.05%, 04/07/25 | | | | | | | 275 | | | | 297,612 | |
Freeport-McMoRan, Inc., 5.00%, 09/01/27 | | | | | | | 456 | | | | 458,137 | |
General Electric Co., 4.35%, 05/01/50 | | | | | | | 890 | | | | 880,214 | |
General Mills, Inc., 2.88%, 04/15/30 | | | | | | | 3,849 | | | | 4,190,721 | |
General Motors Co., 6.80%, 10/01/27 | | | | | | | 1,601 | | | | 1,865,581 | |
General Motors Financial Co., Inc.: | | | | | | | | | | | | |
5.20%, 03/20/23 | | | | | | | 1,515 | | | | 1,619,105 | |
3.60%, 06/21/30 | | | | | | | 2,813 | | | | 2,737,792 | |
Georgia-Pacific LLC(a): | | | | | | | | | | | | |
2.10%, 04/30/27 | | | | | | | 1,405 | | | | 1,459,073 | |
2.30%, 04/30/30 | | | | | | | 6,260 | | | | 6,521,143 | |
Global Payments, Inc., 2.90%, 05/15/30 | | | | | | | 2,324 | | | | 2,438,700 | |
GLP Capital LP, 4.00%, 01/15/31 | | | | | | | 2,559 | | | | 2,540,447 | |
Goldman Sachs Group, Inc. (The): | | | | | | | | | | | | |
(LIBOR USD 3 Month + 1.05%), 2.91%, 06/05/23(b) | | | | | | | 4,934 | | | | 5,114,751 | |
3.63%, 02/20/24 | | | | | | | 5,751 | | | | 6,253,375 | |
3.50%, 04/01/25 | | | | | | | 12,865 | | | | 14,106,570 | |
2.60%, 02/07/30 | | | | | | | 2,278 | | | | 2,388,700 | |
4.75%, 10/21/45 | | | | | | | 525 | | | | 685,726 | |
Great Western Petroleum LLC, 9.00%, 09/30/21(a) | | | | | | | 1,212 | | | | 727,200 | |
H&E Equipment Services, Inc., 5.63%, 09/01/25 | | | | | | | 181 | | | | 182,772 | |
Hanesbrands, Inc., 4.63%, 05/15/24(a) | | | | | | | 170 | | | | 169,150 | |
HCA, Inc.: | | | | | | | | | | | | |
5.38%, 09/01/26 | | | | | | | 456 | | | | 496,470 | |
3.50%, 09/01/30 | | | | | | | 6,947 | | | | 6,691,156 | |
5.25%, 06/15/49 | | | | | | | 1,519 | | | | 1,819,861 | |
HD Supply, Inc., 5.38%, 10/15/26(a) | | | | | | | 145 | | | | 148,081 | |
Hilton Domestic Operating Co., Inc., 5.13%, 05/01/26 | | | | | | | 284 | | | | 282,759 | |
Hilton Worldwide Finance LLC: | | | | | | | | | | | | |
4.63%, 04/01/25 | | | | | | | 167 | | | | 163,278 | |
4.88%, 04/01/27 | | | | | | | 114 | | | | 111,292 | |
Home Depot, Inc. (The), 3.30%, 04/15/40 | | | | | | | 3,423 | | | | 3,842,617 | |
Howard Hughes Corp. (The), 5.38%, 03/15/25(a) | | | | | | | 188 | | | | 174,953 | |
Hughes Satellite Systems Corp., 7.63%, 06/15/21 | | | | | | | 857 | | | | 882,710 | |
iHeartCommunications, Inc.: | | | | | | | | | | | | |
6.38%, 05/01/26 | | | | | | | 5,564 | | | | 5,507,897 | |
8.38%, 05/01/27 | | | | | | | 1,927 | | | | 1,766,302 | |
5.25%, 08/15/27(a) | | | | | | | 902 | | | | 863,665 | |
4.75%, 01/15/28(a) | | | | | | | 759 | | | | 700,177 | |
International Business Machines Corp.: | | | | | | | | | | | | |
1.95%, 05/15/30 | | | | | | | 3,694 | | | | 3,778,384 | |
2.85%, 05/15/40 | | | | | | | 2,075 | | | | 2,160,688 | |
2.95%, 05/15/50 | | | | | | | 1,055 | | | | 1,082,519 | |
International Game Technology plc(a): | | | | | | | | | | | | |
6.50%, 02/15/25 | | | | | | | 227 | | | | 232,110 | |
5.25%, 01/15/29 | | | | | | | 325 | | | | 317,427 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
IQVIA, Inc.(a): | | | | | | | | | | | | |
5.00%, 10/15/26 | | | USD | | | | 200 | | | $ | 205,740 | |
5.00%, 05/15/27 | | | | | | | 211 | | | | 216,209 | |
Iron Mountain, Inc., 5.25%, 07/15/30(a) | | | | | | | 3,683 | | | | 3,627,755 | |
Jaguar Holding Co. II/PPD Development LP, 5.00%, 06/15/28(a) | | | | | | | 350 | | | | 358,313 | |
JBS Investments II GmbH(a): | | | | | | | | | | | | |
7.00%, 01/15/26 | | | | | | | 200 | | | | 209,900 | |
5.75%, 01/15/28 | | | | | | | 200 | | | | 197,712 | |
JBS USA LUX SA(a): | | | | | | | | | | | | |
5.75%, 06/15/25 | | | | | | | 652 | | | | 657,705 | |
6.75%, 02/15/28 | | | | | | | 183 | | | | 192,951 | |
6.50%, 04/15/29 | | | | | | | 286 | | | | 303,517 | |
JPMorgan Chase & Co.(b): | | | | | | | | | | | | |
(SOFR + 1.85%), 2.08%, 04/22/26 | | | | | | | 5,655 | | | | 5,873,388 | |
(SOFR + 1.89%), 2.18%, 06/01/28 | | | | | | | 1,897 | | | | 1,963,612 | |
(SOFR + 2.44%), 3.11%, 04/22/51 | | | | | | | 2,950 | | | | 3,176,367 | |
KFC Holding Co., 5.25%, 06/01/26(a) | | | | | | | 456 | | | | 467,400 | |
L Brands, Inc., 6.88%, 07/01/25(a) | | | | | | | 765 | | | | 789,862 | |
Lam Research Corp.: | | | | | | | | | | | | |
1.90%, 06/15/30 | | | | | | | 925 | | | | 945,489 | |
3.13%, 06/15/60 | | | | | | | 570 | | | | 597,773 | |
Lamar Media Corp.: | | | | | | | | | | | | |
5.75%, 02/01/26 | | | | | | | 126 | | | | 129,984 | |
4.88%, 01/15/29(a) | | | | | | | 380 | | | | 381,900 | |
Lamb Weston Holdings, Inc.(a): | | | | | | | | | | | | |
4.63%, 11/01/24 | | | | | | | 157 | | | | 162,887 | |
4.88%, 11/01/26 | | | | | | | 158 | | | | 163,530 | |
Lennar Corp.: | | | | | | | | | | | | |
4.75%, 04/01/21 | | | | | | | 93 | | | | 94,123 | |
4.13%, 01/15/22 | | | | | | | 110 | | | | 111,375 | |
4.50%, 04/30/24 | | | | | | | 126 | | | | 131,014 | |
Level 3 Financing, Inc.: | | | | | | | | | | | | |
5.13%, 05/01/23 | | | | | | | 128 | | | | 128,000 | |
5.25%, 03/15/26 | | | | | | | 146 | | | | 150,015 | |
4.63%, 09/15/27(a) | | | | | | | 476 | | | | 479,570 | |
4.25%, 07/01/28(a) | | | | | | | 6,301 | | | | 6,293,754 | |
Lowe’s Cos., Inc., 5.13%, 04/15/50 | | | | | | | 2,020 | | | | 2,756,813 | |
Marathon Petroleum Corp., 4.70%, 05/01/25 | | | | | | | 1,959 | | | | 2,193,020 | |
Marriott International, Inc., 4.63%, 06/15/30 | | | | | | | 470 | | | | 487,679 | |
Marriott Ownership Resorts, Inc.: | | | | | | | | | | | | |
6.13%, 09/15/25(a) | | | | | | | 2,695 | | | | 2,755,637 | |
6.50%, 09/15/26 | | | | | | | 149 | | | | 150,118 | |
Marsh & McLennan Cos., Inc.: | | | | | | | | | | | | |
4.38%, 03/15/29 | | | | | | | 568 | | | | 676,327 | |
2.25%, 11/15/30 | | | | | | | 2,277 | | | | 2,362,959 | |
Masonite International Corp., 5.38%, 02/01/28(a) | | | | | | | 249 | | | | 254,602 | |
Mauser Packaging Solutions Holding Co., 7.25%, 04/15/25(a) | | | | | | | 531 | | | | 481,495 | |
McDonald’s Corp.: | | | | | | | | | | | | |
3.50%, 07/01/27 | | | | | | | 1,680 | | | | 1,907,621 | |
4.45%, 09/01/48 | | | | | | | 1,960 | | | | 2,421,508 | |
4.20%, 04/01/50 | | | | | | | 2,278 | | | | 2,761,916 | |
Meritor, Inc., 6.25%, 06/01/25(a) | | | | | | | 379 | | | | 382,790 | |
MGM Growth Properties Operating Partnership LP: | | | | | | | | | | | | |
5.63%, 05/01/24 | | | | | | | 207 | | | | 214,249 | |
4.63%, 06/15/25(a) | | | | | | | 1,110 | | | | 1,085,447 | |
Microchip Technology, Inc., 4.33%, 06/01/23 | | | | | | | 2,153 | | | | 2,322,570 | |
Molina Healthcare, Inc., 5.38%, 11/15/22(m) | | | | | | | 135 | | | | 137,700 | |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Mondelez International, Inc., 2.75%, 04/13/30 | | | USD | | | | 3,035 | | | $ | 3,266,988 | |
Morgan Stanley(b): | | | | | | | | | | | | |
(SOFR + 1.99%), 2.19%, 04/28/26 | | | | | | | 4,195 | | | | 4,367,873 | |
(SOFR + 3.12%), 3.62%, 04/01/31 | | | | | | | 8,787 | | | | 10,038,039 | |
MPT Operating Partnership LP, 5.00%, 10/15/27 | | | | | | | 267 | | | | 274,342 | |
Netflix, Inc., 5.50%, 02/15/22 | | | | | | | 135 | | | | 140,771 | |
Newell Brands, Inc., 4.35%, 04/01/23(m) | | | | | | | 262 | | | | 269,808 | |
Newmont Corp., 2.25%, 10/01/30 | | | | | | | 2,278 | | | | 2,308,669 | |
Norfolk Southern Corp., 3.05%, 05/15/50 | | | | | | | 1,610 | | | | 1,657,680 | |
NRG Energy, Inc.: | | | | | | | | | | | | |
7.25%, 05/15/26 | | | | | | | 196 | | | | 206,780 | |
6.63%, 01/15/27 | | | | | | | 236 | | | | 246,325 | |
5.75%, 01/15/28 | | | | | | | 158 | | | | 166,690 | |
5.25%, 06/15/29(a) | | | | | | | 142 | | | | 149,100 | |
NVIDIA Corp., 3.50%, 04/01/50 | | | | | | | 1,700 | | | | 1,942,344 | |
ONEOK Partners LP, 4.90%, 03/15/25 | | | | | | | 3,585 | | | | 3,891,942 | |
ONEOK, Inc., 2.75%, 09/01/24 | | | | | | | 2,104 | | | | 2,122,744 | |
Oracle Corp.: | | | | | | | | | | | | |
2.80%, 04/01/27 | | | | | | | 6,769 | | | | 7,392,458 | |
2.95%, 04/01/30 | | | | | | | 6,769 | | | | 7,538,204 | |
3.60%, 04/01/40 | | | | | | | 6,769 | | | | 7,683,426 | |
Ortho-Clinical Diagnostics, Inc., 7.38%, 06/01/25(a) | | | | | | | 379 | | | | 385,633 | |
Outfront Media Capital LLC(a): | | | | | | | | | | | | |
6.25%, 06/15/25 | | | | | | | 360 | | | | 362,358 | |
5.00%, 08/15/27 | | | | | | | 125 | | | | 112,500 | |
Parsley Energy LLC(a): | | | | | | | | | | | | |
5.38%, 01/15/25 | | | | | | | 1,173 | | | | 1,141,094 | |
5.25%, 08/15/25 | | | | | | | 2,403 | | | | 2,307,721 | |
5.63%, 10/15/27 | | | | | | | 134 | | | | 131,990 | |
PBF Holding Co. LLC, 9.25%, 05/15/25(a) | | | | | | | 2,475 | | | | 2,642,063 | |
Pfizer, Inc., 1.70%, 05/28/30 | | | | | | | 1,765 | | | | 1,794,176 | |
PG&E Corp.: | | | | | | | | | | | | |
5.00%, 07/01/28 | | | | | | | 2,121 | | | | 2,120,364 | |
5.25%, 07/01/30 | | | | | | | 363 | | | | 365,069 | |
Picasso Finance Sub, Inc., 6.13%, 06/15/25(a) | | | | | | | 295 | | | | 301,638 | |
Pilgrim’s Pride Corp., 5.88%, 09/30/27(a) | | | | | | | 164 | | | | 164,033 | |
Prudential Financial, Inc., 3.70%, 03/13/51 | | | | | | | 2,440 | | | | 2,675,597 | |
QEP Resources, Inc., 6.88%, 03/01/21 | | | | | | | 197 | | | | 188,135 | |
Quicken Loans, Inc.(a): | | | | | | | | | | | | |
5.75%, 05/01/25 | | | | | | | 227 | | | | 232,060 | |
5.25%, 01/15/28 | | | | | | | 188 | | | | 193,993 | |
Rackspace Hosting, Inc., 8.63%, 11/15/24(a) | | | | | | | 531 | | | | 533,655 | |
Reynolds Group Issuer, Inc.,
5.13%, 07/15/23(a) | | | | | | | 456 | | | | 459,461 | |
Select Medical Corp., 6.25%, 08/15/26(a) | | | | | | | 3,482 | | | | 3,520,128 | |
Service Properties Trust: | | | | | | | | | | | | |
5.00%, 08/15/22 | | | | | | | 1,787 | | | | 1,754,874 | |
4.50%, 06/15/23 | | | | | | | 1,269 | | | | 1,214,980 | |
7.50%, 09/15/25 | | | | | | | 475 | | | | 500,429 | |
Sherwin-Williams Co. (The), 3.80%, 08/15/49 | | | | | | | 2,278 | | | | 2,483,730 | |
Sirius XM Radio, Inc.(a): | | | | | | | | | | | | |
3.88%, 08/01/22 | | | | | | | 186 | | | | 187,415 | |
4.63%, 07/15/24 | | | | | | | 267 | | | | 273,675 | |
5.38%, 04/15/25 | | | | | | | 187 | | | | 192,049 | |
5.38%, 07/15/26 | | | | | | | 190 | | | | 196,221 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
5.00%, 08/01/27 | | | USD | | | | 288 | | | $ | 294,356 | |
5.50%, 07/01/29 | | | | | | | 242 | | | | 254,734 | |
4.13%, 07/01/30 | | | | | | | 3,195 | | | | 3,159,727 | |
Six Flags Entertainment Corp., 4.88%, 07/31/24(a) | | | | | | | 187 | | | | 167,365 | |
SM Energy Co.: | | | | | | | | | | | | |
1.50%, 07/01/21(k) | | | | | | | 426 | | | | 391,021 | |
6.13%, 11/15/22 | | | | | | | 525 | | | | 383,250 | |
10.00%, 01/15/25(a) | | | | | | | 1,967 | | | | 1,868,715 | |
Spectrum Brands, Inc., 5.50%, 07/15/30(a) | | | | | | | 342 | | | | 342,428 | |
Standard Industries, Inc.(a): | | | | | | | | | | | | |
5.00%, 02/15/27 | | | | | | | 95 | | | | 96,188 | |
4.38%, 07/15/30 | | | | | | | 562 | | | | 560,595 | |
Starbucks Corp.: | | | | | | | | | | | | |
2.55%, 11/15/30 | | | | | | | 2,280 | | | | 2,391,601 | |
3.50%, 11/15/50 | | | | | | | 2,280 | | | | 2,402,202 | |
Steel Dynamics, Inc., 3.25%, 01/15/31 | | | | | | | 295 | | | | 300,884 | |
Summit Materials LLC, 6.13%, 07/15/23 | | | | | | | 118 | | | | 117,475 | |
Sunoco Logistics Partners Operations LP, 4.00%, 10/01/27 | | | | | | | 759 | | | | 777,542 | |
Sunoco LP: | | | | | | | | | | | | |
4.88%, 01/15/23 | | | | | | | 184 | | | | 181,240 | |
5.50%, 02/15/26 | | | | | | | 150 | | | | 145,500 | |
6.00%, 04/15/27 | | | | | | | 114 | | | | 112,860 | |
Talen Energy Supply LLC, 7.63%, 06/01/28(a) | | | | | | | 2,860 | | | | 2,860,000 | |
Targa Resources Partners LP: | | | | | | | | | | | | |
6.75%, 03/15/24 | | | | | | | 110 | | | | 109,725 | |
5.13%, 02/01/25 | | | | | | | 94 | | | | 90,475 | |
5.88%, 04/15/26 | | | | | | | 192 | | | | 190,080 | |
5.38%, 02/01/27 | | | | | | | 96 | | | | 92,640 | |
6.50%, 07/15/27 | | | | | | | 155 | | | | 155,387 | |
6.88%, 01/15/29 | | | | | | | 157 | | | | 164,458 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 95 | | | | 100,435 | |
Tempur Sealy International, Inc., 5.50%, 06/15/26 | | | | | | | 112 | | | | 113,120 | |
Tenet Healthcare Corp.: | | | | | | | | | | | | |
4.63%, 07/15/24 | | | | | | | 800 | | | | 783,832 | |
4.63%, 09/01/24(a) | | | | | | | 113 | | | | 110,457 | |
5.13%, 05/01/25 | | | | | | | 260 | | | | 250,955 | |
4.88%, 01/01/26(a) | | | | | | | 389 | | | | 378,789 | |
6.25%, 02/01/27(a) | | | | | | | 290 | | | | 287,825 | |
4.63%, 06/15/28(a) | | | | | | | 405 | | | | 394,551 | |
Terex Corp., 5.63%, 02/01/25(a) | | | | | | | 114 | | | | 103,740 | |
TJX Cos., Inc. (The), 3.88%, 04/15/30 | | | | | | | 1,565 | | | | 1,839,165 | |
T-Mobile USA, Inc.(a): | | | | | | | | | | | | |
3.50%, 04/15/25 | | | | | | | 1,975 | | | | 2,149,570 | |
3.75%, 04/15/27 | | | | | | | 6,703 | | | | 7,428,064 | |
3.88%, 04/15/30 | | | | | | | 6,701 | | | | 7,457,945 | |
2.55%, 02/15/31 | | | | | | | 4,900 | | | | 4,917,248 | |
TransDigm, Inc., 6.25%, 03/15/26(a) | | | | | | | 13,759 | | | | 13,724,878 | |
Union Pacific Corp., 3.25%, 02/05/50 | | | | | | | 2,278 | | | | 2,495,775 | |
United Rentals North America, Inc.: | | | | | | | | | | | | |
5.50%, 07/15/25 | | | | | | | 456 | | | | 467,970 | |
4.63%, 10/15/25 | | | | | | | 138 | | | | 138,690 | |
5.88%, 09/15/26 | | | | | | | 195 | | | | 204,360 | |
6.50%, 12/15/26 | | | | | | | 216 | | | | 226,800 | |
5.50%, 05/15/27 | | | | | | | 196 | | | | 201,880 | |
4.88%, 01/15/28 | | | | | | | 311 | | | | 318,775 | |
US Concrete, Inc., 6.38%, 06/01/24 | | | | | | | 112 | | | | 110,600 | |
VICI Properties LP(a): | | | | | | | | | | | | |
3.50%, 02/15/25 | | | | | | | 1,283 | | | | 1,206,020 | |
3.75%, 02/15/27 | | | | | | | 1,230 | | | | 1,156,200 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 15 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
4.13%, 08/15/30 | | | USD | | | | 1,465 | | | $ | 1,397,244 | |
Vistra Operations Co. LLC(a): | | | | | | | | | | | | |
5.50%, 09/01/26 | | | | | | | 192 | | | | 195,924 | |
5.63%, 02/15/27 | | | | | | | 4,765 | | | | 4,890,558 | |
5.00%, 07/31/27 | | | | | | | 248 | | | | 250,790 | |
Wells Fargo & Co.: | | | | | | | | | | | | |
3.75%, 01/24/24 | | | | | | | 3,256 | | | | 3,557,663 | |
(SOFR + 2.53%), 3.07%, 04/30/41(b) | | | | | | | 3,583 | | | | 3,737,377 | |
WESCO Distribution, Inc.(a): | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 475 | | | | 500,237 | |
7.25%, 06/15/28 | | | | | | | 585 | | | | 618,637 | |
William Carter Co. (The),
5.63%, 03/15/27(a) | | | | | | | 97 | | | | 99,910 | |
WPX Energy, Inc., 5.75%, 06/01/26 | | | | | | | 94 | | | | 91,180 | |
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a) | | | | | | | 95 | | | | 91,438 | |
XPO Logistics, Inc.(a): | | | | | | | | | | | | |
6.13%, 09/01/23 | | | | | | | 101 | | | | 102,263 | |
6.75%, 08/15/24 | | | | | | | 199 | | | | 208,472 | |
6.25%, 05/01/25 | | | | | | | 1,240 | | | | 1,298,900 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 433,254,265 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 7.1%
(Cost: $551,904,989) | | | | 534,802,067 | |
| | | | | | | | | | | | |
|
Floating Rate Loan Interests — 0.8% | |
| | | |
France — 0.1% | | | | | | | | | | | | |
Casino, Guichard-Perrachon SA, Term Loan B, (EURIBOR 3 Month + 5.50%), 5.50%, 01/31/24(n) | | | EUR | | | | 8,126 | | | | 8,903,604 | |
| | | | | | | | | | | | |
| | | |
| Netherlands — 0.3%(n) | | | | | | | | | |
Boels Rental Ltd., Term Loan B,
02/09/27(o) | | | | | | | 10,935 | | | | 11,786,437 | |
Ziggo BV, Term Loan, (EURIBOR 6 Month + 3.00%), 3.00%, 01/31/29 | | | | | | | 13,707 | | | | 14,847,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,633,719 | |
| | | |
| United States — 0.4%(n) | | | | | | | | | |
Airbnb, Inc., Term Loan, (LIBOR USD 1 Month + 7.50%), 8.50%, 04/17/25(c) | | | USD | | | | 2,670 | | | | 2,763,450 | |
BBD Bidco Ltd., Term Loan, (EURIBOR 6 Month + 5.50%), 5.50%, 04/29/23(c) | | | EUR | | | | 7,314 | | | | 7,970,263 | |
Caesars Resort Collection LLC, Term Loan, 06/19/25(o) | | | USD | | | | 1,537 | | | | 1,441,906 | |
Douglas Dynamics LLC, Term Loan, (LIBOR USD 1 Month + 3.75%),
4.75%, 06/05/26(c) | | | | | | | 538 | | | | 526,018 | |
Fieldwood Energy LLC, 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 8.25%, 04/11/23(d)(j) | | | | | | | 2,669 | | | | 16,015 | |
Fieldwood Energy LLC, Term Loan, (LIBOR USD 3 Month + 5.25%),
6.25%, 04/11/22(d)(j) | | | | | | | 1,977 | | | | 359,196 | |
Hilton Worldwide Finance LLC, Term Loan B2, (LIBOR USD 1 Month + 1.75%), 1.93%, 06/22/26 | | | | | | | 6,621 | | | | 6,238,816 | |
iHeart Communications, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 05/01/26 | | | | | | | 2,965 | | | | 2,725,637 | |
Opendoor, Term Loan, (LIBOR USD 6 Month + 10.00%), 3.33% - 10.00%, 01/23/26(c) | | | | | | | 2,651 | | | | 2,651,200 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25 | | | USD | | | | 2,125 | | | $ | 2,085,156 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,777,657 | |
| | | | | | | | | | | | |
| |
Total Floating Rate Loan Interests — 0.8%
(Cost: $65,508,040) | | | | 62,314,980 | |
| | | | | | | | | | | | |
|
Foreign Agency Obligations — 0.2% | |
| | | |
Chile — 0.1% | | | | | | | | | | | | |
Corp. Nacional del Cobre de Chile, 4.25%, 07/17/42 | | | | | | | 1,894 | | | | 2,078,073 | |
Empresa Nacional del Petroleo, 4.50%, 09/14/47 | | | | | | | 1,012 | | | | 1,052,796 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,130,869 | |
| | | |
| Colombia — 0.0% | | | | | | | | | |
Ecopetrol SA, 6.88%, 04/29/30 | | | | | | | 1,847 | | | | 2,117,124 | |
| | | | | | | | | | | | |
| | | |
| India — 0.0% | | | | | | | | | |
Export-Import Bank of India, 3.88%, 02/01/28 | | | | | | | 911 | | | | 948,734 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.0% | | | | | | | | | |
Pertamina Persero PT, 3.65%, 07/30/29 | | | | | | | 1,931 | | | | 2,019,102 | |
| | | | | | | | | | | | |
| | | |
| Mexico — 0.1% | | | | | | | | | |
Comision Federal de Electricidad, 4.75%, 02/23/27 | | | | | | | 1,924 | | | | 2,019,599 | |
Petroleos Mexicanos, 4.50%, 01/23/26 | | | | | | | 1,064 | | | | 928,340 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,947,939 | |
| | | |
| Peru — 0.0% | | | | | | | | | |
Corp. Financiera de Desarrollo SA, (LIBOR USD 3 Month + 5.61%),
5.25%, 07/15/29(a)(b) | | | | | | | 200 | | | | 209,812 | |
| | | | | | | | | | | | |
| | | |
| Saudi Arabia — 0.0% | | | | | | | | | |
Saudi Arabian Oil Co., 4.25%, 04/16/39 | | | | | | | 1,045 | | | | 1,167,787 | |
| | | | | | | | | | | | |
| |
Total Foreign Agency Obligations — 0.2%
(Cost: $11,715,751) | | | | 12,541,367 | |
| | | | | | | | | | | | |
|
Foreign Government Obligations — 5.5% | |
| | | |
Argentina — 0.2% | | | | | | | | | | | | |
Argentine Republic(d)(j): | | | | | | | | | | | | |
3.38%, 01/15/23 | | | EUR | | | | 4,029 | | | | 1,765,367 | |
6.88%, 01/26/27 | | | USD | | | | 12,208 | | | | 4,889,304 | |
5.88%, 01/11/28 | | | | | | | 11,981 | | | | 4,768,438 | |
5.25%, 01/15/28 | | | EUR | | | | 925 | | | | 389,714 | |
7.82%, 12/31/33 | | | | | | | 4,391 | | | | 2,098,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,911,728 | |
| | | |
| Australia — 0.8% | | | | | | | | | |
Commonwealth of Australia, 3.00%, 03/21/47 | | | AUD | | | | 65,560 | | | | 57,575,749 | |
| | | | | | | | | | | | |
| | | |
| China — 0.6% | | | | | | | | | |
People’s Republic of China, 3.29%, 05/23/29 | | | CNY | | | | 286,160 | | | | 41,378,716 | |
| | | | | | | | | | | | |
| | | |
| Colombia — 0.1% | | | | | | | | | |
Republic of Colombia, 4.50%, 03/15/29 | | | USD | | | | 3,358 | | | | 3,674,911 | |
| | | | | | | | | | | | |
| | | |
| Dominican Republic — 0.0% | | | | | | | | | |
Dominican Republic Government Bond: | | | | | | | | | | | | |
5.50%, 01/27/25 | | | | | | | 976 | | | | 986,370 | |
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Dominican Republic (continued) | | | | | | | | | |
6.88%, 01/29/26 | | | USD | | | | 759 | | | $ | 795,764 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,782,134 | |
| | | |
| Egypt — 0.0% | | | | | | | | | |
Arab Republic of Egypt, 7.60%, 03/01/29 | | | | | | | 1,064 | | | | 1,083,285 | |
| | | | | | | | | | | | |
| | | |
| Germany — 0.1% | | | | | | | | | |
Federal Republic of Germany, 0.00%, 08/15/50 | | | EUR | | | | 8,917 | | | | 10,046,668 | |
| | | | | | | | | | | | |
| | | |
| Greece — 0.3% | | | | | | | | | |
Hellenic Republic, 2.00%, 04/22/27(a) | | | | | | | 15,841 | | | | 19,034,458 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.1% | | | | | | | | | |
Republic of Indonesia: | | | | | | | | | | | | |
6.63%, 02/17/37 | | | USD | | | | 1,503 | | | | 2,058,171 | |
4.20%, 10/15/50 | | | | | | | 902 | | | | 1,003,475 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,061,646 | |
| | | |
| Italy — 1.3% | | | | | | | | | |
Republic of Italy: | | | | | | | | | | | | |
1.35%, 04/01/30 | | | EUR | | | | 53,066 | | | | 60,338,187 | |
3.85%, 09/01/49(a) | | | | | | | 26,711 | | | | 40,540,431 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 100,878,618 | |
| | | |
| Japan — 0.9% | | | | | | | | | |
Japan Government Bond, 0.40%, 09/20/49 | | | JPY | | | | 7,988,250 | | | | 70,338,030 | |
| | | | | | | | | | | | |
| | | |
| Mexico — 0.1% | | | | | | | | | |
United Mexican States, 4.75%, 04/27/32 | | | USD | | | | 3,423 | | | | 3,770,434 | |
| | | | | | | | | | | | |
| | | |
| Panama — 0.0% | | | | | | | | | |
Republic of Panama, 6.70%, 01/26/36 | | | | | | | 1,434 | | | | 2,063,616 | |
| | | | | | | | | | | | |
| | | |
| Paraguay — 0.0% | | | | | | | | | |
Republic of Paraguay,
4.95%, 04/28/31(a) | | | | | | | 902 | | | | 1,001,220 | |
| | | | | | | | | | | | |
| | | |
| Peru — 0.0% | | | | | | | | | |
Republic of Peru, 6.55%, 03/14/37 | | | | | | | 634 | | | | 964,274 | |
| | | | | | | | | | | | |
| | | |
| Philippines — 0.0% | | | | | | | | | |
Republic of Philippines, 2.95%, 05/05/45 | | | | | | | 910 | | | | 944,125 | |
| | | | | | | | | | | | |
| | | |
| Qatar — 0.1% | | | | | | | | | |
State of Qatar(a): | | | | | | | | | | | | |
3.40%, 04/16/25 | | | | | | | 3,720 | | | | 4,054,800 | |
4.40%, 04/16/50 | | | | | | | 797 | | | | 987,284 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,042,084 | |
| | | |
| Romania — 0.0% | | | | | | | | | |
Romania Government Bond, 6.13%, 01/22/44(a) | | | | | | | 758 | | | | 993,691 | |
| | | | | | | | | | | | |
| | | |
| Russia — 0.0% | | | | | | | | | |
Russian Federation, 5.25%, 06/23/47 | | | | | | | 1,400 | | | | 1,849,400 | |
| | | | | | | | | | | | |
| | | |
| Saudi Arabia — 0.0% | | | | | | | | | |
Kingdom of Saudi Arabia, 4.63%, 10/04/47 | | | | | | | 2,541 | | | | 2,960,265 | |
| | | | | | | | | | | | |
| | | |
| Spain — 0.9% | | | | | | | | | |
Kingdom of Spain(a): | | | | | | | | | | | | |
0.60%, 10/31/29 | | | EUR | | | | 46,855 | | | | 53,840,137 | |
1.25%, 10/31/30 | | | | | | | 6,358 | | | | 7,704,798 | |
2.70%, 10/31/48 | | | | | | | 5,143 | | | | 7,796,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 69,341,777 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Ukraine — 0.0% | | | | | | | | | |
Ukraine Government Bond, 7.75%, 09/01/25(a) | | | USD | | | | 2,032 | | | $ | 2,118,360 | |
| | | | | | | | | | | | |
| | | |
| United Arab Emirates — 0.0% | | | | | | | | | |
United Arab Emirates Government Bond, 3.13%, 04/16/30(a) | | | | | | | 1,863 | | | | 2,049,300 | |
| | | | | | | | | | | | |
| | | |
| Uruguay — 0.0% | | | | | | | | | |
Oriental Republic of Uruguay, 5.10%, 06/18/50 | | | | | | | 1,633 | | | | 2,105,241 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 5.5%
(Cost: $426,090,437) | | | | 417,969,730 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
| | | |
Investment Companies — 4.6% | | | | | | | | | | | | |
Consumer Discretionary Select Sector SPDR Fund(f) | | | | | | | 65,637 | | | | 8,382,501 | |
Financial Select Sector SPDR Fund(f) | | | | | | | 313,814 | | | | 7,261,656 | |
Industrial Select Sector SPDR Fund(f) | | | | | | | 187,875 | | | | 12,907,013 | |
Invesco QQQ Trust Series 1(f) | | | | | | | 47,351 | | | | 11,724,108 | |
iShares China Large-Cap ETF(f)* | | | | | | | 180,812 | | | | 7,178,236 | |
iShares iBoxx $ High Yield Corporate Bond ETF(f)* | | | | | | | 645,680 | | | | 52,700,401 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF* | | | | | | | 56,456 | | | | 7,593,332 | |
iShares MSCI Emerging Markets ETF(f)* | | | | | | | 28,334 | | | | 1,133,077 | |
iShares Nasdaq Biotechnology ETF* | | | | | | | 10,363 | | | | 1,416,519 | |
iShares Russell 2000 ETF(f)* | | | | | | | 87,661 | | | | 12,551,302 | |
iShares S&P 500 Value ETF* | | | | | | | 80,267 | | | | 8,685,692 | |
KraneShares CSI China Internet ETF(f) | | | | | | | 48,809 | | | | 3,023,229 | |
SPDR Gold Shares(d)(p) | | | | | | | 998,164 | | | | 167,062,709 | |
SPDR S&P 500 ETF Trust(f) | | | | | | | 115,798 | | | | 35,707,471 | |
United States Oil Fund LP(p) | | | | | | | 70,575 | | | | 1,980,334 | |
VanEck Vectors Semiconductor ETF(f) | | | | | | | 37,800 | | | | 5,775,840 | |
| | | | | | | | | | | | |
| | | |
Total Investment Companies — 4.6%
(Cost: $332,317,662) | | | | | | | | | | | 345,083,420 | |
| | | | | | | | | | | | |
| | |
| | | Par (000) | | | | |
|
Non-Agency Mortgage-Backed Securities — 0.4% | |
|
Commercial Mortgage-Backed Securities — 0.4% | |
| | | |
| United States — 0.4% | | | | | | | | | |
1211 Avenue of the Americas Trust, Series 2015-1211, Class D,
4.28%, 08/10/35(a)(q) | | | | | | | 1,520 | | | | 1,567,920 | |
BANK, Series 2017-BNK9, Class A4, 3.54%, 11/15/54 | | | | | | | 700 | | | | 787,657 | |
BBCMS Mortgage Trust, Series 2018- TALL, Class C, 1.31%, 03/15/37(a)(q) | | | | | | | 1,701 | | | | 1,598,749 | |
BWAY Mortgage Trust, Series 2013- 1515, Class D, 3.63%, 03/10/33(a) | | | | | | | 700 | | | | 700,376 | |
BX Commercial Mortgage Trust(a)(q): | | | | | | | | | | | | |
Series 2018-BIOA, Class D,
1.51%, 03/15/37 | | | | | | | 460 | | | | 438,865 | |
Series 2018-IND, Class G,
2.23%, 11/15/35 | | | | | | | 890 | | | | 859,199 | |
Series 2019-XL, Class G,
2.48%, 10/15/36 | | | | | | | 3,177 | | | | 3,049,480 | |
Series 2019-XL, Class J,
2.83%, 10/15/36 | | | | | | | 1,051 | | | | 991,772 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 17 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
BX Trust(a)(q): | | | | | | | | | | | | |
Series 2019-OC11, Class D, 4.08%, 12/09/41 | | | USD | | | | 2,801 | | | $ | 2,587,528 | |
Series 2019-OC11, Class E, 4.08%, 12/09/41 | | | | | | | 3,926 | | | | 3,478,615 | |
CD Mortgage Trust, Series 2017-CD6,
Class B, 3.91%, 11/13/50(q) | | | | | | | 303 | | | | 316,563 | |
CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class E, 2.33%, 07/15/32(a)(q) | | | | | | | 1,162 | | | | 1,133,759 | |
Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2014-CR21, Class A3, 3.53%, 12/10/47 | | | | | | | 1,407 | | | | 1,512,443 | |
Series 2019-521F, Class A, 1.08%, 06/15/34(a)(q) | | | | | | | 1,018 | | | | 987,461 | |
CORE Mortgage Trust, Series 2019- CORE, Class F, 2.53%, 12/15/31(a)(q) | | | | | | | 702 | | | | 666,984 | |
CSAIL Commercial Mortgage Trust, Series 2020-C19, Class A3, 2.56%, 03/15/53 | | | | | | | 4,122 | | | | 4,368,775 | |
GRACE Mortgage Trust, Series 2014- GRCE, Class B, 3.52%, 06/10/28(a) | | | | | | | 1,200 | | | | 1,202,717 | |
Hudson Yards Mortgage Trust, Series 2016-10HY, Class E, 3.08%, 08/10/38(a)(q) | | | | | | | 315 | | | | 294,794 | |
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR4, Class A5, 4.03%, 03/10/52 | | | | | | | 1,512 | | | | 1,761,148 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | |
Series 2015-C24, Class C, 4.49%, 05/15/48(q) | | | | | | | 227 | | | | 214,431 | |
Series 2016-C32, Class A4, 3.72%, 12/15/49 | | | | | | | 1,184 | | | | 1,324,296 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.92%, 10/15/52 | | | | | | | 412 | | | | 446,453 | |
VNDO Trust, Series 2016-350P, Class D, 4.03%, 01/10/35(a)(q) | | | | | | | 750 | | | | 781,595 | |
Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A, 3.87%, 06/15/36(a)(q) | | | | | | | 759 | | | | 837,175 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,908,755 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 0.4%
(Cost: $32,040,003) | | | | 31,908,755 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities — 1.9% | | | | | | | | | | | | |
| | | |
Capital Trusts — 0.5% | | | | | | | | | | | | |
| | | |
| United Kingdom — 0.2%(n)(r) | | | | | | | | | |
HSBC Holdings plc, 6.37% | | | | | | | 9,556 | | | | 9,639,615 | |
Lloyds Bank plc, 13.00% | | | GBP | | | | 5,252 | | | | 11,123,833 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,763,448 | |
| | | |
| United States — 0.3% | | | | | | | | | |
American Express Co., Series C, 3.60%(n)(r) | | | USD | | | | 3,254 | | | | 2,772,278 | |
Citigroup, Inc., Series Q, 5.95%(n)(r) | | | | | | | 4,629 | | | | 4,416,390 | |
Goldman Sachs Group, Inc. (The), Series M, 4.37%(n)(r) | | | | | | | 5,238 | | | | 4,801,675 | |
Morgan Stanley, Series H, 4.83%(n)(r) | | | | | | | 3,697 | | | | 3,327,128 | |
NBCUniversal Enterprise, Inc., 5.25%(a)(r) | | | | | | | 3,909 | | | | 3,918,772 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Prudential Financial, Inc.(n): | | | | | | | | | | | | |
5.63%, 06/15/43 | | | USD | | | | 1,927 | | | $ | 2,050,328 | |
5.87%, 09/15/42 | | | | | | | 2,817 | | | | 2,998,415 | |
USB Capital IX, 3.50%(n)(r) | | | | | | | 1,344 | | | | 1,110,144 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,395,130 | |
| | | | | | | | | | | | |
| | | |
Total Capital Trusts — 0.5%
(Cost: $47,165,241) | | | | | | | | | | | 46,158,578 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
| | | |
| Preferred Stocks — 1.2% | | | | | | | | | |
| | | |
Brazil — 0.0% | | | | | | | | | | | | |
Banco Bradesco SA (Preference) | | | | | | | 9,768 | | | | 37,630 | |
Centrais Eletricas Brasileiras SA (Preference) | | | | | | | 12,366 | | | | 73,017 | |
Itau Unibanco Holding SA (Preference) | | | | | | | 349,169 | | | | 1,650,143 | |
Petroleo Brasileiro SA (Preference) | | | | | | | 10,217 | | | | 40,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,801,710 | |
| | | |
| United States — 1.2% | | | | | | | | | |
2020 Cash Mandatory Exchangeable Trust, 5.25%(a)(c)(k) | | | | | | | 12,010 | | | | 12,413,836 | |
Aptiv plc, Series A, 5.50% | | | | | | | 47,115 | | | | 4,842,480 | |
Becton Dickinson and Co., Series B, 6.00% | | | | | | | 119,150 | | | | 6,338,780 | |
Boston Scientific Corp., Series A, 5.50% | | | | | | | 31,118 | | | | 3,257,743 | |
C3.ai, Inc., Series D (Acquired 10/07/19, cost $6,972,964)(c)(d)(e) | | | | | | | 1,572,648 | | | | 8,350,761 | |
C3.ai, Inc., Series E (Acquired 10/07/19, cost $800,895)(c)(d)(e) | | | | | | | 180,630 | | | | 959,145 | |
Databricks, Inc., Series F (Acquired 10/22/19, cost $3,896,150)(c)(d)(e) | | | | | | | 90,717 | | | | 6,010,001 | |
Grand Rounds, Inc., Series C (Acquired 03/31/15, cost $5,939,231)(c)(d)(e) | | | | | | | 1,929,993 | | | | 7,160,274 | |
Grand Rounds, Inc., Series D (Acquired 05/01/18, cost $3,180,966)(c)(d)(e) | | | | | | | 1,184,166 | | | | 4,345,889 | |
Lookout, Inc., Series F (Acquired 09/19/14-10/22/14, cost $10,936,522)(c)(d)(e) | | | | | | | 863,811 | | | | 9,631,493 | |
Palantir Technologies, Inc., Series I (Acquired 02/11/14,
cost $11,447,321)(c)(d)(e) | | | | | | | 1,867,426 | | | | 12,829,217 | |
SambaNova Systems, Inc. Series C (Acquired 02/19/20,
cost $4,030,858)(c)(d)(e) | | | | | | | 75,709 | | | | 4,227,591 | |
Wells Fargo & Co., Series L, 7.50%(k)(r) | | | | | | | 2,041 | | | | 2,647,177 | |
Zero Mass Water, Inc., Series C-1 (Acquired 05/07/20,
cost $3,083,013)(c)(d)(e) | | | | | | | 195,578 | | | | 3,092,088 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 86,106,475 | |
| | | | | | | | | | | | |
| | | |
Total Preferred Stocks — 1.2%
(Cost: $79,065,084) | | | | | | | | | | | 87,908,185 | |
| | | | | | | | | | | | |
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Shares | | | Value | |
| | | |
| Trust Preferreds — 0.2% | | | | | | | | | |
| | | |
| United States — 0.2%(n) | | | | | | | | | |
Citigroup Capital XIII, 7.13%, 10/30/40 | | | | | | | 229,762 | | | $ | 6,088,693 | |
GMAC Capital Trust I, Series 2, 6.18%, 02/15/40 | | | | | | | 252,391 | | | | 5,658,606 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,747,299 | |
| | | | | | | | | | | | |
| | | |
Total Trust Preferreds — 0.2%
(Cost: $12,414,222) | | | | | | | | | | | 11,747,299 | |
| | | | | | | | | | | | |
| | | |
Total Preferred Securities — 1.9%
(Cost: $138,644,547) | | | | | | | | | | | 145,814,062 | |
| | | | | | | | | | | | |
| | | |
Rights — 0.0%(d) | | | | | | | | | | | | |
| | | |
Spain — 0.0% | | | | | | | | | | | | |
Repsol SA | | | | | | | 7,463 | | | | 3,633 | |
Telefonica SA | | | | | | | 12,279 | | | | 2,416 | |
| | | |
| United States — 0.0% | | | | | | | | | |
T-Mobile US, Inc. | | | | | | | 38,937 | | | | 6,541 | |
| | | | | | | | | | | | |
| | | |
Total Rights — 0.0%
(Cost: $19,090) | | | | | | | | | | | 12,590 | |
| | | | | | | | | | | | |
| | |
| | | Par (000) | | | | |
|
U.S. Government Sponsored Agency
Securities — 2.0% | |
| | | |
| Mortgage-Backed Securities — 2.0% | | | | | | | | | |
Uniform Mortgage-Backed Securities, 2.50%, 07/25/50(s) | | | | | | | 148,771 | | | | 155,094,013 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 2.0%
(Cost: $153,956,785) | | | | 155,094,013 | |
| | | | | | | | | | | | |
|
U.S. Treasury Obligations — 7.8% | |
U.S. Treasury Bonds: | | | | | | | | | | | | |
1.13%, 05/15/40 | | | | | | | 12,574 | | | | 12,456,313 | |
2.38%, 11/15/49 | | | | | | | 64,336 | | | | 79,465,259 | |
U.S. Treasury Inflation Linked Notes: | | | | | | | | | | | | |
0.63%, 04/15/23 | | | | | | | 32,215 | | | | 33,495,628 | |
0.13%, 10/15/24 - 01/15/30 | | | | | | | 241,995 | | | | 255,111,686 | |
U.S. Treasury Notes:(h) | | | | | | | | | | | | |
1.75%, 11/15/20(p) | | | | | | | 20,085 | | | | 20,199,829 | |
1.75%, 11/15/29(t) | | | | | | | 175,567 | | | | 193,836,720 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Obligations — 7.8%
(Cost: $553,606,470) | | | | 594,565,435 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
| | | |
Warrants — 0.0% | | | | | | | | | | | | |
| | | |
United States — 0.0% | | | | | | | | | | | | |
Zero Mass Water, Inc. (Issued/ exercisable 05/08/20, 1 share for 1 warrant, Expires 11/08/21, Strike Price USD 18.92)(c)(d) | | | | | | | 195,578 | | | | 205,357 | |
| | | | | | | | | | | | |
| | | |
Total Warrants — 0.0% | | | | | | | | | | | 205,357 | |
| | | | | | | | | | | | |
| | |
Total Long-Term Investments — 91.0%
(Cost: $6,252,636,457) | | | | | | | | 6,905,849,994 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Short-Term Securities — 12.3% | |
|
Foreign Government Obligations — 4.7%(u) | |
| | | |
Japan — 4.7% | | | | | | | | | | | | |
Japan Treasury Discount Bills: | | | | | | | | | | | | |
(0.16)%, 07/20/20 | | | JPY | | | | 5,396,200 | | | $ | 49,979,807 | |
(0.20)%, 07/27/20 | | | | | | | 5,905,350 | | | | 54,697,410 | |
(0.16)%, 08/03/20 | | | | | | | 6,190,150 | | | | 57,337,273 | |
(0.15)%, 08/11/20 | | | | | | | 7,594,150 | | | | 70,344,626 | |
(0.13)%, 08/17/20 | | | | | | | 6,829,650 | | | | 63,264,954 | |
(0.13)%, 09/07/20 | | | | | | | 2,125,000 | | | | 19,686,622 | |
(0.12)%, 09/14/20 | | | | | | | 4,689,950 | | | | 43,450,807 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 358,761,499 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 4.7%
(Cost: $361,517,163) | | | | 358,761,499 | |
| | | | | | | | | | | | |
| | |
| | | Shares | | | | |
|
Money Market Funds — 2.2%(v)* | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | | | | | 17,631,429 | | | | 17,631,429 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(w) | | | | | | | 146,738,658 | | | | 146,856,049 | |
| | | | | | | | | | | | |
| |
Total Money Market Funds — 2.2%
(Cost: $164,492,775) | | | | 164,487,478 | |
| | | | | | | | | | | | |
| | |
| | | Par (000) | | | | |
|
Time Deposits — 0.1% | |
| | | |
Canada — 0.0% | | | | | | | | | | | | |
Royal Bank of Canada, 0.02%, 07/02/20 | | | CAD | | | | 1,717 | | | | 1,264,375 | |
| | | | | | | | | | | | |
| | | |
| Europe — 0.1% | | | | | | | | | |
Citibank NA, (0.68)%, 07/01/20 | | | EUR | | | | 1,278 | | | | 1,435,453 | |
| | | | | | | | | | | | |
| | | |
| Hong Kong — 0.0% | | | | | | | | | |
Hong Kong & Shanghai Bank, 0.04%, 07/02/20 | | | HKD | | | | 276 | | | | 35,588 | |
| | | | | | | | | | | | |
| | | |
| Japan — 0.0% | | | | | | | | | |
Sumitomo Mitsui Financial Group, Inc., (0.25)%, 07/01/20 | | | JPY | | | | 100,373 | | | | 929,599 | |
| | | | | | | | | | | | |
| | | |
| Singapore — 0.0% | | | | | | | | | |
Hong Kong & Shanghai Bank, 0.00%, 07/01/20 | | | SGD | | | | 278 | | | | 199,199 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom — 0.0% | | | | | | | | | |
Citibank NA, 0.01%, 07/01/20 | | | GBP | | | | 450 | | | | 557,505 | |
| | | | | | | | | | | | |
| | | |
| United States — 0.0% | | | | | | | | | |
National Australia Bank Ltd.,
0.10%, 07/01/20 | | | USD | | | | 1,789 | | | | 1,788,567 | |
| | | | | | | | | | | | |
| | | |
Total Time Deposits — 0.1%
(Cost: $6,210,286) | | | | | | | | | | | 6,210,286 | |
| | | | | | | | | | | | |
|
U.S. Treasury Obligations — 5.3% | |
U.S. Treasury Bills(u): | | | | | | | | | | | | |
0.11%, 08/13/20 | | | | | | | 14,250 | | | | 14,247,702 | |
0.11%, 08/06/20 | | | | | | | 50,000 | | | | 49,994,000 | |
0.12%, 09/22/20 | | | | | | | 50,000 | | | | 49,984,668 | |
0.14%, 09/24/20 | | | | | | | 50,000 | | | | 49,982,882 | |
0.15%, 10/06/20 | | | | | | | 15,000 | | | | 14,994,544 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 19 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
U.S. Treasury Obligations (continued) | |
0.16%, 10/27/20 | | | USD | | | | 25,350 | | | $ | 25,338,367 | |
0.29%, 08/27/20 | | | | | | | 80,000 | | | | 79,982,267 | |
0.56%, 07/09/20 | | | | | | | 69,000 | | | | 68,998,236 | |
0.75%, 08/20/20 | | | | | | | 50,000 | | | | 49,990,972 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Obligations — 5.3%
(Cost: $403,446,705) | | | | 403,513,638 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 12.3%
(Cost: $935,666,929) | | | | 932,972,901 | |
| | | | | | | | | | | | |
| |
Total Options Purchased — 1.2%
(Cost: $70,518,711) | | | | 87,257,360 | |
| | | | | | | | | | | | |
| |
Total Investments Before Options Written and Investments Sold Short — 104.5%
(Cost: $7,258,822,097) | | | | 7,926,080,255 | |
| | | | | | | | | | | | |
| |
Total Options Written — (1.0)%
(Premiums Received — $68,502,462) | | | | (74,077,192 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Security | | | | | Shares | | | Value | |
|
Investments Sold Short — (0.1)% | |
|
Common Stocks — (0.1)% | |
| | | |
| United States — (0.1)% | | | | | | | | | |
Netflix, Inc.(d) | | | | | | | 12,863 | | | $ | (5,853,180 | ) |
| | | | | | | | | | | | |
| | | |
Total Common Stocks — (0.1)%
(Proceeds: $3,962,357) | | | | | | | | | | | (5,853,180 | ) |
| | | | | | | | | | | | |
| | | |
Total Investments Sold Short — (0.1)%
(Proceeds: $3,962,357) | | | | | | | | | | | (5,853,180 | ) |
| | | | | | | | | | | | |
| |
Total Investments Net of Options Written and Investments Sold Short — 103.4%
(Cost: $7,186,357,278) | | | | 7,846,149,883 | |
| |
Liabilities in Excess of Other Assets — (3.4)% | | | | (258,625,293 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 7,587,524,590 | |
| | | | | | | | | | | | |
| (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) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (d) | Non-income producing security. |
| (e) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $96,628,886, representing 1.27% of its net assets as of period end, and an original cost of $82,365,133. |
| (f) | All or a portion of this security is on loan. |
| (g) | A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (h) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (i) | 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. |
| (j) | Issuer filed for bankruptcy and/or is in default. |
| (k) | Convertible security. |
| (m) | 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. |
| (n) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (o) | 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. |
| (p) | 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. |
| (q) | 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. |
| (r) | Perpetual security with no stated maturity date. |
| (s) | Represents or includes a TBA transaction. |
| (t) | All or a portion of the security has been pledged in connection with outstanding centrally cleared swaps. |
| (u) | Rates are discount rates or a range of discount rates as of period end. |
| (v) | Annualized 7-day yield as of period end. |
| (w) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | |
| Par/Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Par/Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| |
| Income
(Expense) |
| |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 12,096,488 | | | | 5,534,941 | | | | — | | | | 17,631,429 | | | $ | 17,631,429 | | | $ | 68,847 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 117,709,841 | | | | 29,028,817 | | | | — | | | | 146,738,658 | | | | 146,856,049 | | | | 803,246 | (c) | | | 9,741 | | | | (13,784 | ) |
Bio City Development Co. BV, 8.00%, 07/06/20 | | | 21,400,000 | | | | — | | | | — | | | | 21,400,000 | | | | 2,702,820 | | | | — | | | | — | | | | (132,680 | ) |
iShares China Large-Cap ETF | | | 189,176 | | | | 399,314 | | | | (407,678 | ) | | | 180,812 | | | | 7,178,236 | | | | 60,254 | | | | (628,680 | ) | | | (856,138 | ) |
iShares iBoxx $ High Yield Corporate Bond ETF | | | — | | | | 1,430,861 | | | | (785,181 | ) | | | 645,680 | | | | 52,700,401 | | | | 435,588 | | | | 6,381,792 | | | | 1,002,838 | |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | |
| Par/Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Par/Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| |
| Income
(Expense) |
| |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | — | | | | 417,916 | | | | (361,460 | ) | | | 56,456 | | | $ | 7,593,332 | | | $ | 85,960 | | | $ | 687,416 | | | $ | 192,500 | |
iShares MSCI Emerging Markets ETF | | | 454,236 | | | | — | | | | (425,902 | ) | | | 28,334 | | | | 1,133,077 | | | | 6,525 | | | | (2,759,466 | ) | | | (237,931 | ) |
iShares Nasdaq Biotechnology ETF | | | — | | | | 10,363 | | | | — | | | | 10,363 | | | | 1,416,519 | | | | 1,311 | | | | — | | | | 239,306 | |
iShares Russell 2000 ETF | | | 82,300 | | | | 164,952 | | | | (159,591 | ) | | | 87,661 | | | | 12,551,302 | | | | 100,171 | | | | (6,641,383 | ) | | | (1,203,517 | ) |
iShares S&P 500 Value ETF | | | 80,267 | | | | — | | | | — | | | | 80,267 | | | | 8,685,692 | | | | 116,396 | | | | — | | | | (1,756,242 | ) |
Quintis Australia Pty. Ltd., 7.50%, 10/01/26 | | | 17,073,990 | | | | 682,959 | | | | — | | | | 17,756,949 | | | | 17,397,864 | | | | 682,960 | | | | — | | | | (13,464 | ) |
Quintis Australia Pty. Ltd., 12.00%, 10/01/28 | | | 18,591,047 | | | | — | | | | — | | | | 18,591,047 | | | | 18,591,047 | | | | 1 | | | | — | | | | (319,149 | ) |
Quintis HoldCo Pty. Ltd. | | | 9,827,224 | | | | — | | | | — | | | | 9,827,224 | | | | 5,221,961 | | | | — | | | | — | | | | (1,398,443 | ) |
iShares iBoxx $ Investment Grade Corporate Bond ETF(d) | | | — | | | | (481,072 | ) | | | 481,072 | | | | — | | | | — | | | | (146,235 | ) | | | 6,503,341 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 299,659,729 | | | $ | 2,215,024 | | | $ | 3,552,761 | | | $ | (4,496,704 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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. |
| (d) | As of period end, the entity is no longer held by the Fund. |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 21 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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 | | | | | | | | | | | | |
Euro-BTP | | | 348 | | | | 09/08/20 | | | $ | 56,254 | | | $ | 946,921 | |
Euro-Oat | | | 403 | | | | 09/08/20 | | | | 75,907 | | | | 1,095,229 | |
Australia 10 Year Bond | | | 252 | | | | 09/15/20 | | | | 25,875 | | | | (29,325) | |
DAX Index | | | 63 | | | | 09/18/20 | | | | 21,810 | | | | 134,312 | |
EURO STOXX 50 Index | | | 1,460 | | | | 09/18/20 | | | | 52,867 | | | | 729,636 | |
FTSE/MIB Index | | | 84 | | | | 09/18/20 | | | | 9,102 | | | | (44,345) | |
MSCI Emerging Markets Index | | | 210 | | | | 09/18/20 | | | | 10,350 | | | | 254,579 | |
U.S. Treasury 10 Year Note | | | 2,660 | | | | 09/21/20 | | | | 370,197 | | | | 1,897,614 | |
U.S. Treasury 10 Year Ultra Note | | | 1,779 | | | | 09/21/20 | | | | 280,165 | | | | 1,788,082 | |
U.S. Treasury Ultra Bond | | | 271 | | | | 09/21/20 | | | | 59,120 | | | | 417,141 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,189,844 | |
| | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | |
Euro-Bund | | | 41 | | | | 09/08/20 | | | | 8,131 | | | | (110,433) | |
Yen Denominated Nikkei 225 Index | | | 21 | | | | 09/10/20 | | | | 2,167 | | | | 71,953 | |
SPI 200 Index | | | 17 | | | | 09/17/20 | | | | 1,728 | | | | 432 | |
FTSE 100 Index | | | 1 | | | | 09/18/20 | | | | 76 | | | | 40 | |
NASDAQ 100 E-Mini Index | | | 183 | | | | 09/18/20 | | | | 37,139 | | | | (1,354,159) | |
S&P 500 E-Mini Index | | | 1,546 | | | | 09/18/20 | | | | 238,872 | | | | (2,989,262) | |
U.S. Treasury Long Bond | | | 98 | | | | 09/21/20 | | | | 17,499 | | | | (8,892) | |
U.S. Treasury 2 Year Note | | | 3,177 | | | | 09/30/20 | | | | 701,571 | | | | (34,607) | |
U.S. Treasury 5 Year Note | | | 3,932 | | | | 09/30/20 | | | | 494,418 | | | | (1,569,838) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (5,994,766) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 1,195,078 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
| |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
| |
| AUD | | | 30,819,000 | | | USD | | | 21,248,776 | | | Bank of America NA | | | 07/02/20 | | | $ | 19,416 | |
| AUD | | | 895,372 | | | USD | | | 617,153 | | | Citibank NA | | | 07/02/20 | | | | 743 | |
| CAD | | | 26,416,000 | | | USD | | | 19,184,694 | | | Citibank NA | | | 07/02/20 | | | | 273,173 | |
| EUR | | | 15,852,624 | | | GBP | | | 13,931,475 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | 547,933 | |
| GBP | | | 14,436,351 | | | EUR | | | 15,852,624 | | | BNP Paribas SA | | | 07/02/20 | | | | 77,659 | |
| GBP | | | 21,666,000 | | | USD | | | 26,801,789 | | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | 45,635 | |
| USD | | | 2,906,762 | | | JPY | | | 312,589,683 | | | HSBC Bank plc | | | 07/09/20 | | | | 11,534 | |
| GBP | | | 16,953,000 | | | USD | | | 20,854,902 | | | Bank of America NA | | | 07/23/20 | | | | 154,575 | |
| RUB | | | 1,495,686,000 | | | USD | | | 19,647,118 | | | Bank of America NA | | | 07/24/20 | | | | 1,305,124 | |
| EUR | | | 2,003,000 | | | JPY | | | 232,453,157 | | | Citibank NA | | | 07/31/20 | | | | 98,211 | |
| EUR | | | 6,583,891 | | | USD | | | 7,186,042 | | | JPMorgan Chase Bank NA | | | 08/06/20 | | | | 216,907 | |
| MXN | | | 440,459,000 | | | USD | | | 18,184,629 | | | Citibank NA | | | 08/06/20 | | | | 884,207 | |
| EUR | | | 11,349,000 | | | USD | | | 12,283,965 | | | Bank of America NA | | | 08/07/20 | | | | 477,169 | |
| CHF | | | 17,260,000 | | | USD | | | 17,886,455 | | | Citibank NA | | | 08/13/20 | | | | 354,395 | |
| EUR | | | 7,336,710 | | | USD | | | 7,934,289 | | | JPMorgan Chase Bank NA | | | 08/13/20 | | | | 316,399 | |
| KRW | | | 28,311,955,000 | | | USD | | | 23,252,645 | | | Citibank NA | | | 08/14/20 | | | | 353,297 | |
| MXN | | | 146,913,000 | | | USD | | | 6,057,681 | | | Barclays Bank plc | | | 08/14/20 | | | | 296,040 | |
| RUB | | | 502,201,000 | | | USD | | | 6,775,056 | | | Citibank NA | | | 08/14/20 | | | | 242,897 | |
| EUR | | | 29,582,628 | | | USD | | | 32,466,727 | | | Deutsche Bank AG | | | 08/20/20 | | | | 806,292 | |
| EUR | | | 9,991,325 | | | USD | | | 11,126,407 | | | Goldman Sachs International | | | 08/20/20 | | | | 111,322 | |
| MXN | | | 351,469,000 | | | USD | | | 14,725,532 | | | Citibank NA | | | 08/20/20 | | | | 463,025 | |
| NOK | | | 148,387,000 | | | USD | | | 14,932,481 | | | Morgan Stanley & Co. International plc | | | 08/20/20 | | | | 486,874 | |
| USD | | | 32,369,715 | | | JPY | | | 3,482,101,775 | | | Citibank NA | | | 08/20/20 | | | | 100,156 | |
| USD | | | 24,602,177 | | | JPY | | | 2,647,658,458 | | | JPMorgan Chase Bank NA | | | 08/20/20 | | | | 65,624 | |
| MYR | | | 14,975,840 | | | USD | | | 3,442,722 | | | Barclays Bank plc | | | 08/21/20 | | | | 45,210 | |
| MYR | | | 80,822,160 | | | USD | | | 18,559,475 | | | Morgan Stanley & Co. International plc | | | 08/21/20 | | | | 264,324 | |
| EUR | | | 33,113,699 | | | USD | | | 36,520,304 | | | Citibank NA | | | 08/27/20 | | | | 730,003 | |
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Forward Foreign Currency Exchange Contracts (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
| |
| EUR | | | 6,830,000 | | | USD | | | 7,537,103 | | | UBS AG | | | 08/27/20 | | | $ | 146,110 | |
| EUR | | | 9,892,897 | | | USD | | | 11,064,744 | | | JPMorgan Chase Bank NA | | | 09/03/20 | | | | 65,725 | |
| JPY | | | 2,000,226,855 | | | USD | | | 18,443,911 | | | JPMorgan Chase Bank NA | | | 09/03/20 | | | | 96,202 | |
| USD | | | 18,529,930 | | | JPY | | | 1,978,709,270 | | | JPMorgan Chase Bank NA | | | 09/24/20 | | | | 182,657 | |
| CAD | | | 14,053,000 | | | USD | | | 10,321,345 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 31,868 | |
| GBP | | | 32,762,000 | | | USD | | | 40,539,011 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 78,308 | |
| USD | | | 19,056,648 | | | ZAR | | | 332,902,488 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 51,896 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 9,400,910 | |
| | | | | | | | | | | | | | | | | | | | |
| GBP | | | 33,540,000 | | | USD | | | 42,383,871 | | | Barclays Bank plc | | | 07/02/20 | | | | (824,456) | |
| USD | | | 10,170,742 | | | AUD | | | 16,750,802 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (1,388,987) | |
| USD | | | 9,022,911 | | | AUD | | | 14,963,570 | | | Morgan Stanley & Co. International plc | | | 07/02/20 | | | | (1,303,448) | |
| USD | | | 18,897,772 | | | CAD | | | 25,964,000 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (227,154) | |
| USD | | | 331,982 | | | CAD | | | 452,000 | | | Morgan Stanley & Co. International plc | | | 07/02/20 | | | | (959) | |
| USD | | | 962,059 | | | GBP | | | 778,000 | | | Barclays Bank plc | | | 07/02/20 | | | | (1,961) | |
| USD | | | 40,517,748 | | | GBP | | | 32,762,000 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (77,646) | |
| JPY | | | 7,027,373,500 | | | USD | | | 65,346,662 | | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | (258,621) | |
| GBP | | | 33,591,000 | | | USD | | | 41,960,006 | | | BNP Paribas SA | | | 07/23/20 | | | | (331,425) | |
| USD | | | 10,880,192 | | | AUD | | | 17,024,000 | | | UBS AG | | | 07/24/20 | | | | (869,692) | |
| JPY | | | 4,196,497,012 | | | EUR | | | 36,136,665 | | | Goldman Sachs International | | | 07/31/20 | | | | (1,746,406) | |
| USD | | | 40,203,674 | | | HKD | | | 312,048,856 | | | Barclays Bank plc | | | 08/06/20 | | | | (51,060) | |
| USD | | | 25,284,461 | | | CNY | | | 180,282,000 | | | Deutsche Bank AG | | | 08/07/20 | | | | (162,324) | |
| USD | | | 14,435,458 | | | CNY | | | 103,018,000 | | | Goldman Sachs International | | | 08/07/20 | | | | (105,522) | |
| USD | | | 40,327,847 | | | HKD | | | 312,907,798 | | | HSBC Bank plc | | | 08/13/20 | | | | (35,833) | |
| JPY | | | 1,787,401,000 | | | USD | | | 16,678,312 | | | Barclays Bank plc | | | 08/20/20 | | | | (113,993) | |
| JPY | | | 1,839,888,000 | | | USD | | | 17,099,537 | | | UBS AG | | | 08/20/20 | | | | (48,808) | |
| USD | | | 9,290,694 | | | NOK | | | 89,625,748 | | | HSBC Bank plc | | | 08/20/20 | | | | (22,596) | |
| USD | | | 6,096,957 | | | NOK | | | 58,761,252 | | | JPMorgan Chase Bank NA | | | 08/20/20 | | | | (9,107) | |
| AUD | | | 10,741,866 | | | JPY | | | 806,972,263 | | | HSBC Bank plc | | | 09/03/20 | | | | (65,021) | |
| EUR | | | 6,619,652 | | | USD | | | 7,456,398 | | | HSBC Bank plc | | | 09/03/20 | | | | (8,647) | |
| USD | | | 16,217,401 | | | INR | | | 1,236,739,000 | | | Bank of America NA | | | 09/03/20 | | | | (42,554) | |
| USD | | | 7,399,000 | | | JPY | | | 804,515,344 | | | HSBC Bank plc | | | 09/03/20 | | | | (58,057) | |
| EUR | | | 9,988,559 | | | USD | | | 11,316,121 | | | JPMorgan Chase Bank NA | | | 09/04/20 | | | | (77,767) | |
| USD | | | 11,168,889 | | | JPY | | | 1,222,661,611 | | | Deutsche Bank AG | | | 09/04/20 | | | | (164,162) | |
| AUD | | | 21,550,760 | | | JPY | | | 1,644,656,809 | | | JPMorgan Chase Bank NA | | | 09/10/20 | | | | (370,176) | |
| AUD | | | 32,241,816 | | | JPY | | | 2,413,315,403 | | | Morgan Stanley & Co. International plc | | | 09/10/20 | | | | (115,945) | |
| EUR | | | 9,860,683 | | | USD | | | 11,158,395 | | | Morgan Stanley & Co. International plc | | | 09/10/20 | | | | (62,399) | |
| USD | | | 11,213,765 | | | JPY | | | 1,224,303,211 | | | Citibank NA | | | 09/10/20 | | | | (135,670) | |
| USD | | | 35,210,127 | | | CNY | | | 250,459,000 | | | HSBC Bank plc | | | 09/11/20 | | | | (72,739) | |
| USD | | | 7,764,112 | | | INR | | | 591,571,000 | | | BNP Paribas SA | | | 09/11/20 | | | | (6,328) | |
| GBP | | | 10,234,063 | | | EUR | | | 11,422,000 | | | HSBC Bank plc | | | 09/17/20 | | | | (168,112) | |
| GBP | | | 5,113,527 | | | EUR | | | 5,679,000 | | | Morgan Stanley & Co. International plc | | | 09/17/20 | | | | (52,385) | |
| JPY | | | 1,986,369,743 | | | AUD | | | 27,179,768 | | | Morgan Stanley & Co. International plc | | | 09/17/20 | | | | (345,594) | |
| JPY | | | 1,455,315,526 | | | EUR | | | 12,035,000 | | | Bank of America NA | | | 09/17/20 | | | | (52,301) | |
| NOK | | | 107,833,000 | | | USD | | | 11,326,485 | | | JPMorgan Chase Bank NA | | | 09/18/20 | | | | (120,034) | |
| USD | | | 2,274,742 | | | NOK | | | 21,942,112 | | | HSBC Bank plc | | | 09/18/20 | | | | (5,573) | |
| USD | | | 1,492,792 | | | NOK | | | 14,385,888 | | | JPMorgan Chase Bank NA | | | 09/18/20 | | | | (2,249) | |
| JPY | | | 9,821,050,259 | | | USD | | | 92,041,308 | | | JPMorgan Chase Bank NA | | | 09/24/20 | | | | (977,151) | |
| USD | | | 34,828,270 | | | CNY | | | 247,695,000 | | | UBS AG | | | 09/24/20 | | | | (38,184) | |
| USD | | | 15,194,870 | | | INR | | | 1,172,421,000 | | | BNP Paribas SA | | | 09/24/20 | | | | (181,980) | |
| EUR | | | 13,321,433 | | | USD | | | 15,042,474 | | | Citibank NA | | | 09/25/20 | | | | (47,048) | |
| EUR | | | 1,722,567 | | | USD | | | 1,945,422 | | | Morgan Stanley & Co. International plc | | | 09/25/20 | | | | (6,394) | |
| JPY | | | 2,467,893,128 | | | EUR | | | 20,495,000 | | | JPMorgan Chase Bank NA | | | 09/25/20 | | | | (186,890) | |
| USD | | | 21,254,632 | | | AUD | | | 30,819,000 | | | Bank of America NA | | | 10/01/20 | | | | (19,395) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (10,962,753) | |
| | | | | | | | | | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 23 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Barrier Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Type of Option | | Counterparty | | Number of
Contracts | | | Expiration Date | | | Exercise Price | | | Barrier
Price/Range | | | Notional Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | Up and In | | Bank of America NA | | | — | | | | 08/25/20 | | | | CHF | | | | 1.17 | | | | CHF | | | | 1.17 | | | | EUR | | | | 1,073 | | | $ | 8,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 8,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Down and In | | Bank of America NA | | | — | | | | 07/29/20 | | | | JPY | | | | 104.95 | | | | JPY | | | | 1.07 | | | | USD | | | | 1,101 | | | $ | 110 | |
USD Currency | | Down and In | | Bank of America NA | | | — | | | | 07/29/20 | | | | JPY | | | | 105.61 | | | | JPY | | | | 1.07 | | | | USD | | | | 1,185 | | | | 355 | |
EUR Currency | | One-Touch | | Goldman Sachs International | | | — | | | | 08/13/20 | | | | USD | | | | 1.05 | | | | USD | | | | 1.05 | | | | EUR | | | | 795 | | | | 6,430 | |
S&P 500 Index | | Down and out | | Citibank NA | | | 5,583 | | | | 08/21/20 | | | | USD | | | | 2,810.77 | | | | USD | | | | 2,318.16 | | | | USD | | | | 17,314 | | | | 80,449 | |
S&P 500 Index | | Down and out | | Citibank NA | | | 16,816 | | | | 08/21/20 | | | | USD | | | | 2,810.53 | | | | USD | | | | 2,317.96 | | | | USD | | | | 52,150 | | | | 242,229 | |
EUR Currency | | One-Touch | | UBS AG | | | — | | | | 09/10/20 | | | | NOK | | | | 10.00 | | | | NOK | | | | 10.00 | | | | EUR | | | | 301 | | | | 15,346 | |
S&P 500 Index | | Down and out | | JPMorgan Chase Bank NA | | | 5,643 | | | | 12/18/20 | | | | USD | | | | 2,900.00 | | | | USD | | | | 2,200.00 | | | | USD | | | | 17,500 | | | | 205,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 550,889 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 558,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional
Amount (000) | | | Value | |
| |
| Call | | | | | | | | | | | | | | | | | | | |
Alibaba Group Holding Ltd. | | | 187 | | | | 07/17/20 | | | USD | | | 205.00 | | | USD | | | 4,034 | | | $ | 242,165 | |
Amazon.com, Inc. | | | 58 | | | | 07/17/20 | | | USD | | | 2,300.00 | | | USD | | | 16,001 | | | | 2,678,585 | |
Autodesk, Inc. | | | 240 | | | | 07/17/20 | | | USD | | | 155.00 | | | USD | | | 5,741 | | | | 2,020,800 | |
Financial Select Sector SPDR Fund | | | 4,826 | | | | 07/17/20 | | | USD | | | 25.00 | | | USD | | | 11,167 | | | | 69,977 | |
Home Depot, Inc. (The) | | | 638 | | | | 07/17/20 | | | USD | | | 240.00 | | | USD | | | 15,983 | | | | 826,210 | |
Invesco QQQ Trust, Series 1 | | | 670 | | | | 07/17/20 | | | USD | | | 228.00 | | | USD | | | 16,589 | | | | 1,368,810 | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | 3,895 | | | | 07/17/20 | | | USD | | | 82.00 | | | USD | | | 31,791 | | | | 264,860 | |
SPDR S&P 500 ETF Trust | | | 695 | | | | 07/17/20 | | | USD | | | 300.00 | | | USD | | | 21,431 | | | | 869,098 | |
SPDR S&P 500 ETF Trust | | | 724 | | | | 07/17/20 | | | USD | | | 310.00 | | | USD | | | 22,325 | | | | 410,870 | |
SPDR S&P 500 ETF Trust | | | 1,153 | | | | 07/17/20 | | | USD | | | 285.00 | | | USD | | | 35,554 | | | | 2,889,418 | |
Boston Scientific Corp. | | | 1,080 | | | | 08/21/20 | | | USD | | | 35.00 | | | USD | | | 3,792 | | | | 226,800 | |
Global Payments, Inc. | | | 403 | | | | 08/21/20 | | | USD | | | 195.00 | | | USD | | | 6,836 | | | | 66,495 | |
Home Depot, Inc. (The) | | | 314 | | | | 08/21/20 | | | USD | | | 200.00 | | | USD | | | 7,866 | | | | 1,632,015 | |
Invesco QQQ Trust, Series 1 | | | 475 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 11,761 | | | | 287,613 | |
Invesco QQQ Trust, Series 1 | | | 737 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 18,248 | | | | 297,011 | |
iShares Russell 2000 ETF | | | 1,168 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 16,723 | | | | 745,184 | |
L3Harris Technologies, Inc. | | | 190 | | | | 08/21/20 | | | USD | | | 200.00 | | | USD | | | 3,224 | | | | 22,325 | |
Mastercard, Inc. | | | 255 | | | | 08/21/20 | | | USD | | | 305.00 | | | USD | | | 7,540 | | | | 246,713 | |
PPG Industries, Inc. | | | 801 | | | | 08/21/20 | | | USD | | | 95.00 | | | USD | | | 8,495 | | | | 1,109,385 | |
SPDR S&P 500 ETF Trust | | | 284 | | | | 08/21/20 | | | USD | | | 325.00 | | | USD | | | 8,757 | | | | 104,796 | |
SPDR S&P 500 ETF Trust | | | 1,695 | | | | 08/21/20 | | | USD | | | 315.00 | | | USD | | | 52,267 | | | | 1,352,610 | |
SPDR S&P 500 ETF Trust | | | 1,704 | | | | 08/21/20 | | | USD | | | 320.00 | | | USD | | | 52,545 | | | | 949,128 | |
SPDR S&P 500 ETF Trust | | | 2,280 | | | | 08/21/20 | | | USD | | | 335.00 | | | USD | | | 70,306 | | | | 342,000 | |
VanEck Vectors Semiconductor ETF | | | 378 | | | | 08/21/20 | | | USD | | | 160.00 | | | USD | | | 5,776 | | | | 176,715 | |
Capital One Financial Corp | | | 1,003 | | | | 09/18/20 | | | USD | | | 72.50 | | | USD | | | 6,278 | | | | 274,321 | |
EURO STOXX Bank Index | | | 2,374 | | | | 09/18/20 | | | EUR | | | 70.00 | | | EUR | | | 7,457 | | | | 346,735 | |
Financial Select Sector SPDR Fund | | | 3,037 | | | | 09/18/20 | | | USD | | | 25.00 | | | USD | | | 7,028 | | | | 217,146 | |
Invesco QQQ Trust, Series 1 | | | 623 | | | | 09/18/20 | | | USD | | | 253.00 | | | USD | | | 15,425 | | | | 591,850 | |
iShares Russell 2000 ETF | | | 1,941 | | | | 09/18/20 | | | USD | | | 160.00 | | | USD | | | 27,791 | | | | 380,436 | |
NXP Semiconductors NV | | | 373 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 4,254 | | | | 483,968 | |
Raytheon Co. | | | 598 | | | | 09/18/20 | | | USD | | | 75.00 | | | USD | | | 3,685 | | | | 68,770 | |
SPDR Gold Shares(a) | | | 1,619 | | | | 09/18/20 | | | USD | | | 180.00 | | | USD | | | 27,097 | | | | 365,894 | |
SPDR S&P 500 ETF Trust | | | 437 | | | | 09/18/20 | | | USD | | | 290.00 | | | USD | | | 13,475 | | | | 1,209,835 | |
SPDR S&P 500 ETF Trust | | | 527 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 16,251 | | | | 1,071,391 | |
SPDR S&P 500 ETF Trust | | | 1,034 | | | | 09/18/20 | | | USD | | | 325.00 | | | USD | | | 31,884 | | | | 615,230 | |
SPDR S&P 500 ETF Trust | | | 1,876 | | | | 09/18/20 | | | USD | | | 330.00 | | | USD | | | 57,848 | | | | 788,858 | |
Walt Disney Co. (The) | | | 467 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 5,208 | | | | 406,290 | |
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Exchange-Traded Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional
Amount (000) | | | Value | |
| |
SPDR S&P 500 ETF Trust | | | 341 | | | | 09/30/20 | | | USD | | | 294.00 | | | USD | | | 10,515 | | | $ | 867,504 | |
Apple, Inc. | | | 252 | | | | 10/16/20 | | | USD | | | 300.00 | | | USD | | | 9,193 | | | | 1,812,510 | |
Costco Wholesale Corp. | | | 137 | | | | 10/16/20 | | | USD | | | 315.00 | | | USD | | | 4,154 | | | | 125,013 | |
Starbucks Corp. | | | 490 | | | | 10/16/20 | | | USD | | | 77.50 | | | USD | | | 3,606 | | | | 183,750 | |
VMware, Inc. | | | 655 | | | | 10/16/20 | | | USD | | | 160.00 | | | USD | | | 10,143 | | | | 691,025 | |
Wells Fargo & Co. | | | 1,043 | | | | 10/16/20 | | | USD | | | 35.00 | | | USD | | | 2,670 | | | | 46,935 | |
SPDR S&P 500 ETF Trust | | | 1,241 | | | | 11/20/20 | | | USD | | | 350.00 | | | USD | | | 38,267 | | | | 329,486 | |
Bank of America Corp. | | | 2,016 | | | | 12/18/20 | | | USD | | | 27.00 | | | USD | | | 4,788 | | | | 294,336 | |
JPMorgan Chase & Co. | | | 464 | | | | 12/18/20 | | | USD | | | 110.00 | | | USD | | | 4,364 | | | | 178,640 | |
Microsoft Corp. | | | 438 | | | | 12/18/20 | | | USD | | | 165.00 | | | USD | | | 8,914 | | | | 1,888,875 | |
SPDR S&P 500 ETF Trust | | | 1,541 | | | | 12/18/20 | | | USD | | | 290.00 | | | USD | | | 47,518 | | | | 5,215,515 | |
SPDR S&P 500 ETF Trust | | | 2,397 | | | | 12/18/20 | | | USD | | | 300.00 | | | USD | | | 73,914 | | | | 6,447,930 | |
SPDR S&P 500 ETF Trust | | | 602 | | | | 12/31/20 | | | USD | | | 350.00 | | | USD | | | 18,563 | | | | 217,623 | |
Amazon.com, Inc. | | | 13 | | | | 01/15/21 | | | USD | | | 2,350.00 | | | USD | | | 3,586 | | | | 689,065 | |
VanEck Vectors Semiconductor ETF | | | 782 | | | | 01/15/21 | | | USD | | | 145.00 | | | USD | | | 11,949 | | | | 1,567,910 | |
Alibaba Group Holding Ltd. | | | 678 | | | | 02/19/21 | | | USD | | | 210.00 | | | USD | | | 14,624 | | | | 1,756,020 | |
SPDR S&P 500 ETF Trust | | | 895 | | | | 12/17/21 | | | USD | | | 305.00 | | | USD | | | 27,598 | | | | 3,098,043 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 51,430,487 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 351 | | | | 07/01/20 | | | USD | | | 295.00 | | | USD | | | 10,823 | | | | 2,282 | |
SPDR S&P 500 ETF Trust | | | 351 | | | | 07/02/20 | | | USD | | | 295.00 | | | USD | | | 10,823 | | | | 8,951 | |
American Airlines Group, Inc. | | | 1,691 | | | | 07/17/20 | | | USD | | | 13.00 | | | USD | | | 2,210 | | | | 186,856 | |
SPDR S&P 500 ETF Trust | | | 1,570 | | | | 07/17/20 | | | USD | | | 305.00 | | | USD | | | 48,413 | | | | 849,370 | |
SPDR S&P 500 ETF Trust | | | 966 | | | | 08/21/20 | | | USD | | | 290.00 | | | USD | | | 29,788 | | | | 630,315 | |
Stamps.com, Inc. | | | 48 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 882 | | | | 87,360 | |
Wayfair, Inc. | | | 60 | | | | 08/21/20 | | | USD | | | 160.00 | | | USD | | | 1,186 | | | | 56,400 | |
Anthem, Inc. | | | 281 | | | | 09/18/20 | | | USD | | | 260.00 | | | USD | | | 7,390 | | | | 543,735 | |
Etsy, Inc. | | | 241 | | | | 09/18/20 | | | USD | | | 70.00 | | | USD | | | 2,560 | | | | 47,598 | |
SPDR S&P Retail ETF | | | 604 | | | | 09/18/20 | | | USD | | | 42.00 | | | USD | | | 2,590 | | | | 164,590 | |
UnitedHealth Group, Inc. | | | 252 | | | | 09/18/20 | | | USD | | | 280.00 | | | USD | | | 7,433 | | | | 357,840 | |
Chewy, Inc. | | | 241 | | | | 10/16/20 | | | USD | | | 45.00 | | | USD | | | 1,077 | | | | 148,215 | |
BJ’s Wholesale Club Holdings, Inc. | | | 602 | | | | 11/20/20 | | | USD | | | 30.00 | | | USD | | | 2,244 | | | | 94,815 | |
Anthem, Inc. | | | 288 | | | | 12/18/20 | | | USD | | | 250.00 | | | USD | | | 7,574 | | | | 714,240 | |
UnitedHealth Group, Inc. | | | 257 | | | | 12/18/20 | | | USD | | | 280.00 | | | USD | | | 7,580 | | | | 605,878 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 4,498,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 55,928,932 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | 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. |
OTC Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | Exercise
Price | | | Notional
Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | BNP Paribas SA | | | — | | | | 07/16/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 53,207 | | | $ | 139,718 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 380,363 | | | | 07/17/20 | | | | USD | | | | 168.00 | | | | USD | | | | 63,661 | | | | 802,566 | |
SPDR Gold Shares(a) | | JPMorgan Chase Bank NA | | | 152,048 | | | | 07/31/20 | | | | USD | | | | 166.00 | | | | USD | | | | 25,448 | | | | 594,940 | |
Agilent Technologies, Inc. | | Citibank NA | | | 112,555 | | | | 08/21/20 | | | | USD | | | | 87.50 | | | | USD | | | | 9,946 | | | | 537,450 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 494,536 | | | | 08/21/20 | | | | USD | | | | 167.00 | | | | USD | | | | 82,770 | | | | 2,423,474 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 303,314 | | | | 08/31/20 | | | | USD | | | | 165.00 | | | | USD | | | | 50,766 | | | | 1,915,003 | |
EUR Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/17/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 35,471 | | | | 383,794 | |
Apple, Inc. | | Morgan Stanley & Co. International plc | | | 46,917 | | | | 09/18/20 | | | | USD | | | | 320.00 | | | | USD | | | | 17,115 | | | | 2,435,627 | |
LVMH Moet Hennessy Louis Vuitton SE | | Barclays Bank plc | | | 15,745 | | | | 09/18/20 | | | | EUR | | | | 390.00 | | | | EUR | | | | 6,148 | | | | 348,067 | |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 60,832 | | | | 09/18/20 | | | | USD | | | | 167.00 | | | | USD | | | | 10,181 | | | | 368,034 | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 342,377 | | | | 09/18/20 | | | | USD | | | | 170.00 | | | | USD | | | | 57,304 | | | | 1,651,969 | |
Union Pacific Corp. | | Goldman Sachs International | | | 55,821 | | | | 09/18/20 | | | | USD | | | | 182.50 | | | | USD | | | | 9,438 | | | | 220,972 | |
EUR Currency | | Bank of America NA | | | — | | | | 09/25/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 40,955 | | | | 478,067 | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 302,590 | | | | 09/30/20 | | | | USD | | | | 170.00 | | | | USD | | | | 50,644 | | | | 1,603,727 | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 11/19/20 | | | | NOK | | | | 10.70 | | | | USD | | | | 37,915 | | | | 310,563 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 25 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional
Amount (000) | | | Value | |
| |
Capital One Financial Corp. | | Nomura International plc | | | 54,814 | | | | 11/20/20 | | | | USD | | | | 55.00 | | | | USD | | | | 3,431 | | | $ | 694,627 | |
SPDR Gold Shares(a) | | BNP Paribas SA | | | 410,040 | | | | 12/18/20 | | | | USD | | | | 185.00 | | | | USD | | | | 68,628 | | | | 1,670,913 | |
SPDR S&P 500 ETF Trust | | Morgan Stanley & Co. International plc | | | 198,200 | | | | 06/18/21 | | | | USD | | | | 360.00 | | | | USD | | | | 61,117 | | | | 1,011,670 | |
EURO STOXX 50 Price Index | | Credit Suisse International | | | 4,703 | | | | 12/17/21 | | | | EUR | | | | 3,400.00 | | | | EUR | | | | 15,210 | | | | 1,058,349 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | 18,649,530 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 07/09/20 | | | | JPY | | | | 103.00 | | | | USD | | | | 61,834 | | | | 1,908 | |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | | USD | | | | 1.12 | | | | EUR | | | | 11,570 | | | | 47,121 | |
EUR Currency | | Citibank NA | | | — | | | | 08/19/20 | | | | USD | | | | 1.07 | | | | EUR | | | | 36,247 | | | | 15,272 | |
EUR Currency | | HSBC Bank plc | | | — | | | | 08/19/20 | | | | JPY | | | | 116.50 | | | | EUR | | | | 21,748 | | | | 52,710 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 745,804 | | | | 08/19/20 | | | | USD | | | | 284.45 | | | | USD | | | | 233,437 | | | | 51,155 | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 08/28/20 | | | | CAD | | | | 1.37 | | | | USD | | | | 37,946 | | | | 534,835 | |
NZD Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/10/20 | | | | JPY | | | | 68.00 | | | | NZD | | | | 16,122 | | | | 132,295 | |
ASML Holding NV | | Credit Suisse International | | | 7,821 | | | | 09/18/20 | | | | EUR | | | | 265.00 | | | | EUR | | | | 2,557 | | | | 48,240 | |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 73,036 | | | | 29/09/2020 | | | | HKD | | | | 392.22 | | | | HKD | | | | 36,416 | | | | 27,599 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | 911,135 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 19,560,665 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | 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. |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Paid by the Fund | | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Notional Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 1.08% | | | Semi-Annual | | Bank of America NA | | | 08/13/20 | | | | 1.08 | % | | USD | | | 47,023 | | | $ | 2,031,092 | |
30-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 0.93% | | | Semi-Annual | | Morgan Stanley & Co. International plc | | | 10/21/20 | | | | 0.93 | | | USD | | | 30,884 | | | | 1,548,528 | |
30-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 0.85% | | | Semi-Annual | | Goldman Sachs International | | | 12/18/20 | | | | 0.85 | | | USD | | | 41,893 | | | | 2,287,290 | |
30-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 1.00% | | | Semi-Annual | | JPMorgan Chase Bank NA | | | 06/04/21 | | | | 1.00 | | | USD | | | 35,591 | | | | 3,193,056 | |
30-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 1.00% | | | Semi-Annual | | BNP Paribas SA | | | 06/11/21 | | | | 1.00 | | | USD | | | 11,606 | | | | 1,047,779 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 10,107,745 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 1.80% | | | Semi-Annual | |
| 3 month
LIBOR |
| | Quarterly | | JPMorgan Chase Bank NA | | | 08/11/20 | | | | 1.80 | | | USD | | | 85,363 | | | | 358 | |
10-Year Interest Rate Swap(a) | | | 2.08% | | | Semi-Annual | |
| 3 month
LIBOR |
| | Quarterly | | Bank of America NA | | | 08/13/20 | | | | 2.08 | | | USD | | | 47,023 | | | | 67 | |
10-Year Interest Rate Swap(a) | | | 0.75% | | | Semi-Annual | |
| 3 month
LIBOR |
| | Quarterly | | JPMorgan Chase Bank NA | | | 10/02/20 | | | | 0.75 | | | USD | | | 22,291 | | | | 208,062 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 208,487 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 10,316,232 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Interest Rate Caps Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Exercise
Rate | | | Counterparty | | Expiration
Date | | | Notional Amount (000) | | Value | | | Premiums
Paid (Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
2Y-10Y CMS Index Cap | | | 0.50 | % | | Goldman Sachs International | | | 08/27/20 | | | USD 687,929 | | $ | 892,561 | | | $ | 1,754,220 | | | $ | (861,659) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Barrier Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Type of Option | | Counterparty | | Number of
Contracts | | | Expiration Date | | | Exercise Price | | | Barrier Price/Range | | | Notional
Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | One-Touch | | UBS AG | | | — | | | | 09/10/20 | | | | NOK | | | | 10.50 | | | | EUR | | | | 10.50 | | | | EUR | | | | 60 | | | $ | (51,008) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NZD Currency | | Down and In | | JPMorgan Chase Bank NA | | | — | | | | 09/10/20 | | | | JPY | | | | 65.00 | | | | JPY | | | | 63.50 | | | | NZD | | | | 20,152 | | | $ | (66,250) | |
EURO STOXX 50 Index | | Down and In | | Credit Suisse International | | | 4,703 | | | | 12/17/21 | | | | EUR | | | | 2,600.00 | | | | EUR | | | | 2,200.00 | | | | EUR | | | | 15,214 | | | | (900,143) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (966,393) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,017,401) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
| Call | | | | | | | | | | | | | | | | | | | |
Adobe, Inc. | | | 116 | | | | 07/17/20 | | | USD | | | 400.00 | | | USD | | | 5,050 | | | $ | (441,090) | |
Anthem, Inc. | | | 271 | | | | 07/17/20 | | | USD | | | 290.00 | | | USD | | | 7,127 | | | | (21,816) | |
Anthem, Inc. | | | 271 | | | | 07/17/20 | | | USD | | | 300.00 | | | USD | | | 7,127 | | | | (5,827) | |
Applied Materials, Inc. | | | 778 | | | | 07/17/20 | | | USD | | | 60.00 | | | USD | | | 4,703 | | | | (187,109) | |
Autodesk, Inc. | | | 239 | | | | 07/17/20 | | | USD | | | 195.00 | | | USD | | | 5,717 | | | | (1,034,870) | |
Autodesk, Inc. | | | 407 | | | | 07/17/20 | | | USD | | | 210.00 | | | USD | | | 9,735 | | | | (1,271,875) | |
Home Depot, Inc. (The) | | | 638 | | | | 07/17/20 | | | USD | | | 260.00 | | | USD | | | 15,983 | | | | (123,453) | |
Microsoft Corp. | | | 394 | | | | 07/17/20 | | | USD | | | 200.00 | | | USD | | | 8,018 | | | | (250,190) | |
NVIDIA Corp. | | | 125 | | | | 07/17/20 | | | USD | | | 360.00 | | | USD | | | 4,749 | | | | (315,625) | |
SPDR S&P 500 ETF Trust | | | 702 | | | | 07/17/20 | | | USD | | | 281.00 | | | USD | | | 21,647 | | | | (2,012,283) | |
TJX Cos., Inc. (The) | | | 687 | | | | 07/17/20 | | | USD | | | 57.50 | | | USD | | | 3,473 | | | | (8,588) | |
Abbott Laboratories | | | 416 | | | | 08/21/20 | | | USD | | | 100.00 | | | USD | | | 3,803 | | | | (50,544) | |
Agilent Technologies, Inc. | | | 432 | | | | 08/21/20 | | | USD | | | 97.50 | | | USD | | | 3,818 | | | | (48,600) | |
Alphabet, Inc. | | | 28 | | | | 08/21/20 | | | USD | | | 1,580.00 | | | USD | | | 3,958 | | | | (35,420) | |
Alphabet, Inc. | | | 53 | | | | 08/21/20 | | | USD | | | 1,540.00 | | | USD | | | 7,492 | | | | (109,445) | |
Amazon.com, Inc. | | | 59 | | | | 08/21/20 | | | USD | | | 2,820.00 | | | USD | | | 16,277 | | | | (729,830) | |
Apple, Inc. | | | 255 | | | | 08/21/20 | | | USD | | | 355.00 | | | USD | | | 9,302 | | | | (584,588) | |
Bank of America Corp. | | | 1,136 | | | | 08/21/20 | | | USD | | | 29.00 | | | USD | | | 2,698 | | | | (24,424) | |
Bank of America Corp. | | | 1,594 | | | | 08/21/20 | | | USD | | | 28.00 | | | USD | | | 3,786 | | | | (51,805) | |
Boston Scientific Corp. | | | 1,048 | | | | 08/21/20 | | | USD | | | 40.00 | | | USD | | | 3,680 | | | | (45,588) | |
Citigroup, Inc. | | | 741 | | | | 08/21/20 | | | USD | | | 60.00 | | | USD | | | 3,787 | | | | (63,356) | |
DR Horton, Inc. | | | 442 | | | | 08/21/20 | | | USD | | | 47.50 | | | USD | | | 2,451 | | | | (418,795) | |
eBay, Inc. | | | 322 | | | | 08/21/20 | | | USD | | | 50.00 | | | USD | | | 1,689 | | | | (140,070) | |
Facebook, Inc. | | | 407 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 9,242 | | | | (167,888) | |
FleetCor Technologies, Inc. | | | 152 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 3,823 | | | | (196,840) | |
FleetCor Technologies, Inc. | | | 312 | | | | 08/21/20 | | | USD | | | 250.00 | | | USD | | | 7,848 | | | | (558,480) | |
HCA Healthcare, Inc. | | | 355 | | | | 08/21/20 | | | USD | | | 115.00 | | | USD | | | 3,446 | | | | (71,000) | |
Home Depot, Inc. (The) | | | 157 | | | | 08/21/20 | | | USD | | | 220.00 | | | USD | | | 3,933 | | | | (534,193) | |
Home Depot, Inc. (The) | | | 325 | | | | 08/21/20 | | | USD | | | 240.00 | | | USD | | | 8,142 | | | | (601,250) | |
Humana, Inc. | | | 35 | | | | 08/21/20 | | | USD | | | 465.00 | | | USD | | | 1,357 | | | | (4,375) | |
Invesco QQQ Trust, Series 1 | | | 712 | | | | 08/21/20 | | | USD | | | 275.00 | | | USD | | | 17,629 | | | | (60,164) | |
Invesco QQQ Trust, Series 1 | | | 1,474 | | | | 08/21/20 | | | USD | | | 270.00 | | | USD | | | 36,496 | | | | (219,626) | |
iShares Russell 2000 ETF | | | 1,168 | | | | 08/21/20 | | | USD | | | 155.00 | | | USD | | | 16,723 | | | | (255,208) | |
JPMorgan Chase & Co. | | | 403 | | | | 08/21/20 | | | USD | | | 110.00 | | | USD | | | 3,791 | | | | (42,315) | |
Lennar Corp. | | | 368 | | | | 08/21/20 | | | USD | | | 50.00 | | | USD | | | 2,268 | | | | (471,040) | |
Lowe’s Cos., Inc. | | | 306 | | | | 08/21/20 | | | USD | | | 140.00 | | | USD | | | 4,135 | | | | (143,055) | |
Lowe’s Cos., Inc. | | | 646 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 8,729 | | | | (185,079) | |
Marvell Technology Group Ltd. | | | 471 | | | | 08/21/20 | | | USD | | | 35.00 | | | USD | | | 1,651 | | | | (105,740) | |
Mastercard, Inc. | | | 269 | | | | 08/21/20 | | | USD | | | 325.00 | | | USD | | | 7,954 | | | | (89,443) | |
McDonald’s Corp. | | | 392 | | | | 08/21/20 | | | USD | | | 210.00 | | | USD | | | 7,231 | | | | (27,636) | |
Morgan Stanley | | | 787 | | | | 08/21/20 | | | USD | | | 55.00 | | | USD | | | 3,801 | | | | (58,238) | |
Northrop Grumman Corp. | | | 42 | | | | 08/21/20 | | | USD | | | 370.00 | | | USD | | | 1,291 | | | | (4,410) | |
PayPal Holdings, Inc. | | | 243 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 4,234 | | | | (312,863) | |
ServiceNow, Inc. | | | 96 | | | | 08/21/20 | | | USD | | | 420.00 | | | USD | | | 3,889 | | | | (195,840) | |
Starbucks Corp. | | | 942 | | | | 08/21/20 | | | USD | | | 85.00 | | | USD | | | 6,932 | | | | (45,216) | |
VanEck Vectors Semiconductor ETF | | | 756 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 11,552 | | | | (135,702) | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 27 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Exchange-Traded Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Walmart, Inc. | | | 434 | | | | 08/21/20 | | | USD | | | 140.00 | | | USD | | | 5,198 | | | $ | (10,633) | |
Walt Disney Co. (The) | | | 329 | | | | 08/21/20 | | | USD | | | 135.00 | | | USD | | | 3,669 | | | | (17,437) | |
AbbVie, Inc. | | | 416 | | | | 09/18/20 | | | USD | | | 100.00 | | | USD | | | 4,084 | | | | (177,840) | |
Air Products and Chemicals, Inc. | | | 154 | | | | 09/18/20 | | | USD | | | 270.00 | | | USD | | | 3,718 | | | | (59,290) | |
Alphabet, Inc. | | | 13 | | | | 09/18/20 | | | USD | | | 1,425.00 | | | USD | | | 1,838 | | | | (100,165) | |
Amazon.com, Inc. | | | 7 | | | | 09/18/20 | | | USD | | | 2,485.00 | | | USD | | | 1,931 | | | | (243,775) | |
Anthem, Inc. | | | 211 | | | | 09/18/20 | | | USD | | | 310.00 | | | USD | | | 5,549 | | | | (67,098) | |
Anthem, Inc. | | | 211 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 5,549 | | | | (111,830) | |
Apple, Inc. | | | 59 | | | | 09/18/20 | | | USD | | | 325.00 | | | USD | | | 2,152 | | | | (283,053) | |
Bristol-Myers Squibb Co. | | | 629 | | | | 09/18/20 | | | USD | | | 67.50 | | | USD | | | 3,699 | | | | (37,111) | |
Charter Communications, Inc. | | | 139 | | | | 09/18/20 | | | USD | | | 600.00 | | | USD | | | 7,090 | | | | (30,233) | |
Citigroup, Inc. | | | 303 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 1,548 | | | | (39,996) | |
EURO STOXX Bank Index | | | 4,748 | | | | 09/18/20 | | | EUR | | | 80.00 | | | EUR | | | 14,913 | | | | (193,371) | |
Facebook, Inc. | | | 88 | | | | 09/18/20 | | | USD | | | 215.00 | | | USD | | | 1,998 | | | | (206,800) | |
Intel Corp. | | | 220 | | | | 09/18/20 | | | USD | | | 75.00 | | | USD | | | 1,316 | | | | (4,730) | |
Invesco QQQ Trust, Series 1 | | | 449 | | | | 09/18/20 | | | USD | | | 226.00 | | | USD | | | 11,117 | | | | (1,245,526) | |
Johnson & Johnson | | | 93 | | | | 09/18/20 | | | USD | | | 165.00 | | | USD | | | 1,308 | | | | (3,906) | |
McDonald’s Corp. | | | 400 | | | | 09/18/20 | | | USD | | | 210.00 | | | USD | | | 7,379 | | | | (50,600) | |
Merck & Co., Inc. | | | 491 | | | | 09/18/20 | | | USD | | | 85.00 | | | USD | | | 3,797 | | | | (54,747) | |
Microsoft Corp. | | | 101 | | | | 09/18/20 | | | USD | | | 190.00 | | | USD | | | 2,055 | | | | (195,940) | |
Morgan Stanley | | | 340 | | | | 09/18/20 | | | USD | | | 50.00 | | | USD | | | 1,642 | | | | (101,150) | |
NextEra Energy, Inc. | | | 297 | | | | 09/18/20 | | | USD | | | 280.00 | | | USD | | | 7,133 | | | | (35,640) | |
NXP Semiconductors NV | | | 373 | | | | 09/18/20 | | | USD | | | 140.00 | | | USD | | | 4,254 | | | | (88,401) | |
PayPal Holdings, Inc. | | | 92 | | | | 09/18/20 | | | USD | | | 180.00 | | | USD | | | 1,603 | | | | (92,230) | |
Pfizer, Inc. | | | 1,148 | | | | 09/18/20 | | | USD | | | 37.00 | | | USD | | | 3,754 | | | | (44,198) | |
Raytheon Co. | | | 598 | | | | 09/18/20 | | | USD | | | 90.00 | | | USD | | | 3,685 | | | | (15,249) | |
SPDR Gold Shares(a) | | | 3,238 | | | | 09/18/20 | | | USD | | | 200.00 | | | USD | | | 54,194 | | | | (173,233) | |
STMicroelectronics NV | | | 284 | | | | 09/18/20 | | | EUR | | | 29.00 | | | EUR | | | 687 | | | | (14,837) | |
Thermo Fisher Scientific, Inc. | | | 107 | | | | 09/18/20 | | | USD | | | 390.00 | | | USD | | | 3,877 | | | | (71,690) | |
Uber Technologies, Inc. | | | 399 | | | | 09/18/20 | | | USD | | | 46.00 | | | USD | | | 1,240 | | | | (12,968) | |
UnitedHealth Group, Inc. | | | 249 | | | | 09/18/20 | | | USD | | | 330.00 | | | USD | | | 7,344 | | | | (130,103) | |
UnitedHealth Group, Inc. | | | 377 | | | | 09/18/20 | | | USD | | | 320.00 | | | USD | | | 11,120 | | | | (296,888) | |
US Bancorp | | | 414 | | | | 09/18/20 | | | USD | | | 42.50 | | | USD | | | 1,524 | | | | (42,228) | |
Walt Disney Co. (The) | | | 467 | | | | 09/18/20 | | | USD | | | 125.00 | | | USD | | | 5,208 | | | | (129,126) | |
Xilinx, Inc. | | | 157 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 1,545 | | | | (42,312) | |
SPDR S&P 500 ETF Trust | | | 349 | | | | 09/30/20 | | | USD | | | 253.00 | | | USD | | | 10,762 | | | | (2,065,208) | |
SPDR S&P 500 ETF Trust | | | 1,057 | | | | 09/30/20 | | | USD | | | 230.00 | | | USD | | | 32,594 | | | | (8,490,881) | |
Apple, Inc. | | | 504 | | | | 10/16/20 | | | USD | | | 330.00 | | | USD | | | 18,386 | | | | (2,401,560) | |
Comcast Corp. | | | 2,105 | | | | 10/16/20 | | | USD | | | 40.00 | | | USD | | | 8,205 | | | | (472,573) | |
Costco Wholesale Corp. | | | 137 | | | | 10/16/20 | | | USD | | | 345.00 | | | USD | | | 4,154 | | | | (30,483) | |
Marsh & McLennan Cos., Inc. | | | 353 | | | | 10/16/20 | | | USD | | | 120.00 | | | USD | | | 3,790 | | | | (46,773) | |
SPDR S&P 500 ETF Trust | | | 848 | | | | 10/16/20 | | | USD | | | 295.00 | | | USD | | | 26,149 | | | | (2,203,528) | |
Starbucks Corp. | | | 981 | | | | 10/16/20 | | | USD | | | 87.50 | | | USD | | | 7,219 | | | | (110,853) | |
VMware, Inc. | | | 655 | | | | 10/16/20 | | | USD | | | 180.00 | | | USD | | | 10,143 | | | | (298,025) | |
Anthem, Inc. | | | 288 | | | | 12/18/20 | | | USD | | | 290.00 | | | USD | | | 7,574 | | | | (486,720) | |
Microsoft Corp. | | | 438 | | | | 12/18/20 | | | USD | | | 190.00 | | | USD | | | 8,914 | | | | (1,121,280) | |
UnitedHealth Group, Inc. | | | 257 | | | | 12/18/20 | | | USD | | | 320.00 | | | USD | | | 7,580 | | | | (425,978) | |
Amazon.com, Inc. | | | 25 | | | | 01/15/21 | | | USD | | | 2,900.00 | | | USD | | | 6,897 | | | | (540,563) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (35,579,551) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | | |
Adobe, Inc. | | | 116 | | | | 07/17/20 | | | USD | | | 335.00 | | | USD | | | 5,050 | | | | (8,294) | |
American Airlines Group, Inc. | | | 1,691 | | | | 07/17/20 | | | USD | | | 9.00 | | | USD | | | 2,210 | | | | (17,756) | |
Autodesk, Inc. | | | 456 | | | | 07/17/20 | | | USD | | | 140.00 | | | USD | | | 10,907 | | | | (5,244) | |
Comcast Corp. | | | 1,950 | | | | 07/17/20 | | | USD | | | 32.50 | | | USD | | | 7,601 | | | | (18,525) | |
Financial Select Sector SPDR Fund | | | 4,826 | | | | 07/17/20 | | | USD | | | 19.00 | | | USD | | | 11,167 | | | | (19,304) | |
Financial Select Sector SPDR Fund | | | 9,403 | | | | 07/17/20 | | | USD | | | 23.00 | | | USD | | | 21,759 | | | | (658,210) | |
Home Depot, Inc. (The) | | | 638 | | | | 07/17/20 | | | USD | | | 185.00 | | | USD | | | 15,983 | | | | (9,889) | |
JPMorgan Chase & Co. | | | 776 | | | | 07/17/20 | | | USD | | | 85.00 | | | USD | | | 7,299 | | | | (74,108) | |
Morgan Stanley | | | 941 | | | | 07/17/20 | | | USD | | | 35.00 | | | USD | | | 4,545 | | | | (8,469) | |
SPDR S&P 500 ETF Trust | | | 702 | | | | 07/17/20 | | | USD | | | 281.00 | | | USD | | | 21,647 | | | | (87,750) | |
SPDR S&P 500 ETF Trust | | | 1,400 | | | | 07/17/20 | | | USD | | | 265.00 | | | USD | | | 43,170 | | | | (72,100) | |
SPDR S&P 500 ETF Trust | | | 1,444 | | | | 07/17/20 | | | USD | | | 285.00 | | | USD | | | 44,527 | | | | (233,206) | |
Walt Disney Co. (The) | | | 668 | | | | 07/17/20 | | | USD | | | 90.00 | | | USD | | | 7,449 | | | | (16,366) | |
| | |
| 28 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Exchange-Traded Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Bank of America Corp. | | | 1,136 | | | | 08/21/20 | | | USD | | | 21.00 | | | USD | | | 2,698 | | | $ | (73,840) | |
Bank of America Corp. | | | 1,594 | | | | 08/21/20 | | | USD | | | 19.00 | | | USD | | | 3,786 | | | | (49,414) | |
Boston Scientific Corp. | | | 1,080 | | | | 08/21/20 | | | USD | | | 26.00 | | | USD | | | 3,792 | | | | (25,920) | |
Citigroup, Inc. | | | 741 | | | | 08/21/20 | | | USD | | | 42.50 | | | USD | | | 3,787 | | | | (80,399) | |
Financial Select Sector SPDR Fund | | | 3,037 | | | | 08/21/20 | | | USD | | | 21.00 | | | USD | | | 7,028 | | | | (177,665) | |
Global Payments, Inc. | | | 403 | | | | 08/21/20 | | | USD | | | 165.00 | | | USD | | | 6,836 | | | | (310,310) | |
iShares Russell 2000 ETF | | | 1,168 | | | | 08/21/20 | | | USD | | | 115.00 | | | USD | | | 16,723 | | | | (153,592) | |
JPMorgan Chase & Co. | | | 403 | | | | 08/21/20 | | | USD | | | 75.00 | | | USD | | | 3,791 | | | | (42,315) | |
L3Harris Technologies, Inc. | | | 190 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 3,224 | | | | (59,375) | |
Mastercard, Inc. | | | 255 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 7,540 | | | | (107,100) | |
Morgan Stanley | | | 787 | | | | 08/21/20 | | | USD | | | 40.00 | | | USD | | | 3,801 | | | | (64,534) | |
PPG Industries, Inc. | | | 394 | | | | 08/21/20 | | | USD | | | 85.00 | | | USD | | | 4,179 | | | | (55,160) | |
SPDR S&P 500 ETF Trust | | | 284 | | | | 08/21/20 | | | USD | | | 265.00 | | | USD | | | 8,757 | | | | (77,816) | |
SPDR S&P 500 ETF Trust | | | 876 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 27,012 | | | | (166,878) | |
SPDR S&P 500 ETF Trust | | | 966 | | | | 08/21/20 | | | USD | | | 245.00 | | | USD | | | 29,788 | | | | (129,444) | |
Stamps.com, Inc. | | | 48 | | | | 08/21/20 | | | USD | | | 120.00 | | | USD | | | 882 | | | | (19,200) | |
Wayfair, Inc. | | | 60 | | | | 08/21/20 | | | USD | | | 120.00 | | | USD | | | 1,186 | | | | (13,800) | |
Anthem, Inc. | | | 281 | | | | 09/18/20 | | | USD | | | 230.00 | | | USD | | | 7,390 | | | | (266,950) | |
Bank of America Corp. | | | 1,406 | | | | 09/18/20 | | | USD | | | 20.00 | | | USD | | | 3,339 | | | | (102,638) | |
Capital One Financial Corp. | | | 1,003 | | | | 09/18/20 | | | USD | | | 55.00 | | | USD | | | 6,278 | | | | (368,603) | |
Citigroup, Inc. | | | 767 | | | | 09/18/20 | | | USD | | | 40.00 | | | USD | | | 3,919 | | | | (83,220) | |
Etsy, Inc. | | | 241 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 2,560 | | | | (23,498) | |
Netflix, Inc. | | | 128 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 5,825 | | | | (24,576) | |
NXP Semiconductors NV | | | 373 | | | | 09/18/20 | | | USD | | | 80.00 | | | USD | | | 4,254 | | | | (83,925) | |
Raytheon Co. | | | 299 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 1,842 | | | | (140,530) | |
SPDR S&P 500 ETF Trust | | | 284 | | | | 09/18/20 | | | USD | | | 265.00 | | | USD | | | 8,757 | | | | (137,314) | |
SPDR S&P 500 ETF Trust | | | 323 | | | | 09/18/20 | | | USD | | | 282.00 | | | USD | | | 9,960 | | | | (250,971) | |
SPDR S&P 500 ETF Trust | | | 354 | | | | 09/18/20 | | | USD | | | 285.00 | | | USD | | | 10,916 | | | | (297,891) | |
SPDR S&P 500 ETF Trust | | | 828 | | | | 09/18/20 | | | USD | | | 275.00 | | | USD | | | 25,532 | | | | (531,576) | |
SPDR S&P Retail ETF | | | 604 | | | | 09/18/20 | | | USD | | | 37.00 | | | USD | | | 2,590 | | | | (72,782) | |
UnitedHealth Group, Inc. | | | 252 | | | | 09/18/20 | | | USD | | | 230.00 | | | USD | | | 7,433 | | | | (100,800) | |
SPDR S&P 500 ETF Trust | | | 349 | | | | 09/30/20 | | | USD | | | 253.00 | | | USD | | | 10,762 | | | | (139,426) | |
SPDR S&P 500 ETF Trust | | | 1,057 | | | | 09/30/20 | | | USD | | | 230.00 | | | USD | | | 32,594 | | | | (215,628) | |
Chewy, Inc. | | | 241 | | | | 10/16/20 | | | USD | | | 35.00 | | | USD | | | 1,077 | | | | (51,815) | |
Costco Wholesale Corp. | | | 137 | | | | 10/16/20 | | | USD | | | 280.00 | | | USD | | | 4,154 | | | | (94,188) | |
SPDR S&P 500 ETF Trust | | | 848 | | | | 10/16/20 | | | USD | | | 295.00 | | | USD | | | 26,149 | | | | (1,133,352) | |
VMware, Inc. | | | 655 | | | | 10/16/20 | | | USD | | | 130.00 | | | USD | | | 10,143 | | | | (265,275) | |
BJ’s Wholesale Club Holdings, Inc. | | | 602 | | | | 11/20/20 | | | USD | | | 25.00 | | | USD | | | 2,244 | | | | (45,150) | |
SPDR S&P 500 ETF Trust | | | 1,241 | | | | 11/20/20 | | | USD | | | 220.00 | | | USD | | | 38,267 | | | | (400,843) | |
Anthem, Inc. | | | 288 | | | | 12/18/20 | | | USD | | | 210.00 | | | USD | | | 7,574 | | | | (360,000) | |
UnitedHealth Group, Inc. | | | 257 | | | | 12/18/20 | | | USD | | | 240.00 | | | USD | | | 7,580 | | | | (306,473) | |
SPDR S&P 500 ETF Trust | | | 602 | | | | 12/31/20 | | | USD | | | 250.00 | | | USD | | | 18,563 | | | | (507,787) | |
Amazon.com, Inc. | | | 13 | | | | 01/15/21 | | | USD | | | 1,850.00 | | | USD | | | 3,586 | | | | (43,648) | |
Alibaba Group Holding Ltd. | | | 678 | | | | 02/19/21 | | | USD | | | 190.00 | | | USD | | | 14,624 | | | | (818,685) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (9,703,527) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (45,283,078) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | 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. |
OTC Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional
Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | BNP Paribas SA | | | — | | | | 07/16/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 53,207 | | | $ | (23,697) | |
ASML Holding NV | | UBS AG | | | 12,153 | | | | 07/17/20 | | | | EUR | | | | 290.00 | | | | EUR | | | | 3,973 | | | | (534,920) | |
Western Digital Corp. | | Bank of America NA | | | 49,147 | | | | 07/17/20 | | | | USD | | | | 47.50 | | | | USD | | | | 2,170 | | | | (38,580) | |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | | USD | | | | 1.12 | | | | EUR | | | | 68,497 | | | | (698,519) | |
AUD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/24/20 | | | | USD | | | | 0.67 | | | | AUD | | | | 45,655 | | | | (1,009,926) | |
SPDR Gold Shares(a) | | JPMorgan Chase Bank NA | | | 227,066 | | | | 07/31/20 | | | | USD | | | | 177.50 | | | | USD | | | | 38,004 | | | | (168,937) | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 29 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 745,804 | | | | 08/19/20 | | | | USD | | | | 321.88 | | | | USD | | | | 233,437 | | | $ | (111,662) | |
Agilent Technologies, Inc. | | Citibank NA | | | 112,555 | | | | 08/21/20 | | | | USD | | | | 97.50 | | | | USD | | | | 9,946 | | | | (126,624) | |
Sanofi | | Barclays Bank plc | | | 37,172 | | | | 08/21/20 | | | | EUR | | | | 98.00 | | | | EUR | | | | 3,370 | | | | (40,845) | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 340,599 | | | | 08/21/20 | | | | USD | | | | 180.00 | | | | USD | | | | 57,006 | | | | (420,946) | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 454,971 | | | | 08/31/20 | | | | USD | | | | 175.00 | | | | USD | | | | 76,148 | | | | (1,191,565) | |
EUR Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/17/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 35,471 | | | | (183,330) | |
Apple, Inc. | | Morgan Stanley & Co. International plc | | | 59,100 | | | | 09/18/20 | | | | USD | | | | 370.00 | | | | USD | | | | 21,560 | | | | (1,115,058) | |
ASML Holding NV | | Credit Suisse International | | | 7,821 | | | | 09/18/20 | | | | EUR | | | | 305.00 | | | | EUR | | | | 2,557 | | | | (309,658) | |
Roche Holding AG | | Barclays Bank plc | | | 9,732 | | | | 09/18/20 | | | | CHF | | | | 365.00 | | | | CHF | | | | 3,196 | | | | (18,358) | |
Sanofi | | Barclays Bank plc | | | 37,182 | | | | 09/18/20 | | | | EUR | | | | 102.00 | | | | EUR | | | | 3,371 | | | | (24,152) | |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 60,832 | | | | 09/18/20 | | | | USD | | | | 195.00 | | | | USD | | | | 10,181 | | | | (45,624) | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 170,252 | | | | 09/18/20 | | | | USD | | | | 190.00 | | | | USD | | | | 28,495 | | | | (183,021) | |
Union Pacific Corp. | | Goldman Sachs International | | | 55,821 | | | | 09/18/20 | | | | USD | | | | 200.00 | | | | USD | | | | 9,438 | | | | (35,463) | |
EUR Currency | | Bank of America NA | | | — | | | | 09/25/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 40,955 | | | | (237,618) | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 378,263 | | | | 09/30/20 | | | | USD | | | | 187.50 | | | | USD | | | | 63,310 | | | | (593,181) | |
Roche Holding AG | | Barclays Bank plc | | | 13,376 | | | | 10/16/20 | | | | CHF | | | | 370.00 | | | | CHF | | | | 4,392 | | | | (32,647) | |
Capital One Financial Corp. | | Nomura International plc | | | 54,814 | | | | 11/20/20 | | | | USD | | | | 70.00 | | | | USD | | | | 3,431 | | | | (303,913) | |
SPDR Gold Shares(a) | | BNP Paribas SA | | | 410,040 | | | | 12/18/20 | | | | USD | | | | 225.00 | | | | USD | | | | 68,628 | | | | (383,387) | |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 73,036 | | | | 29/09/2020 | | | | HKD | | | | 454.15 | | | | HKD | | | | 36,416 | | | | (474,196) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (8,305,827) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 07/09/20 | | | | JPY | | | | 97.00 | | | | USD | | | | 61,834 | | | | (108) | |
ASML Holding NV | | UBS AG | | | 12,153 | | | | 07/17/20 | | | | EUR | | | | 220.00 | | | | EUR | | | | 3,973 | | | | (919) | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 189,169 | | | | 07/17/20 | | | | USD | | | | 158.00 | | | | USD | | | | 31,661 | | | | (48,236) | |
USD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/21/20 | | | | JPY | | | | 103.00 | | | | USD | | | | 68,455 | | | | (13,301) | |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | | USD | | | | 1.03 | | | | EUR | | | | 68,497 | | | | (226) | |
AUD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/24/20 | | | | USD | | | | 0.58 | | | | AUD | | | | 45,655 | | | | (877) | |
EUR Currency | | Deutsche Bank AG | | | — | | | | 08/19/20 | | | | JPY | | | | 110.00 | | | | EUR | | | | 21,748 | | | | (7,644) | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 745,804 | | | | 08/19/20 | | | | USD | | | | 250.02 | | | | USD | | | | 233,437 | | | | (1,350) | |
Agilent Technologies, Inc. | | Citibank NA | | | 75,019 | | | | 08/21/20 | | | | USD | | | | 75.00 | | | | USD | | | | 6,629 | | | | (68,245) | |
Capital One Financial Corp. | | Nomura International plc | | | 54,814 | | | | 08/21/20 | | | | USD | | | | 44.00 | | | | USD | | | | 3,431 | | | | (37,991) | |
Sanofi | | Barclays Bank plc | | | 37,172 | | | | 08/21/20 | | | | EUR | | | | 80.00 | | | | EUR | | | | 3,370 | | | | (33,508) | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 303,314 | | | | 08/31/20 | | | | USD | | | | 155.00 | | | | USD | | | | 50,766 | | | | (296,444) | |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 175,329 | | | | 09/11/20 | | | | JPY | | | | 3,820.96 | | | | JPY | | | | 531,598 | | | | (1,292,495) | |
ASML Holding NV | | Credit Suisse International | | | 7,821 | | | | 09/18/20 | | | | EUR | | | | 235.00 | | | | EUR | | | | 2,557 | | | | (22,064) | |
LVMH Moet Hennessy Louis Vuitton SE | | Barclays Bank plc | | | 10,494 | | | | 09/18/20 | | | | EUR | | | | 355.00 | | | | EUR | | | | 4,098 | | | | (123,080) | |
Roche Holding AG | | Barclays Bank plc | | | 9,732 | | | | 09/18/20 | | | | CHF | | | | 305.00 | | | | CHF | | | | 3,196 | | | | (63,171) | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 190,209 | | | | 09/18/20 | | | | USD | | | | 145.00 | | | | USD | | | | 31,835 | | | | (92,202) | |
Union Pacific Corp. | | Goldman Sachs International | | | 40,949 | | | | 09/18/20 | | | | USD | | | | 155.00 | | | | USD | | | | 6,923 | | | | (241,500) | |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 112,898 | | | | 09/30/20 | | | | USD | | | | 153.00 | | | | USD | | | | 18,896 | | | | (150,868) | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 226,917 | | | | 09/30/20 | | | | USD | | | | 155.00 | | | | USD | | | | 37,979 | | | | (376,483) | |
Roche Holding AG | | Barclays Bank plc | | | 6,688 | | | | 10/16/20 | | | | CHF | | | | 300.00 | | | | CHF | | | | 2,196 | | | | (46,828) | |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 175,325 | | | | 12/11/20 | | | | JPY | | | | 3,786.60 | | | | JPY | | | | 531,585 | | | | (1,400,492) | |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 186,216 | | | | 03/12/21 | | | | JPY | | | | 3,400.00 | | | | JPY | | | | 564,607 | | | | (1,232,415) | |
TOPIX Bank Index | | BNP Paribas SA | | | 4,800,556 | | | | 03/12/21 | | | | JPY | | | | 131.00 | | | | JPY | | | | 557,201 | | | | (948,554) | |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 73,036 | | | | 29/09/2020 | | | | HKD | | | | 350.94 | | | | HKD | | | | 36,416 | | | | (4,741) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (6,503,742) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (14,809,569) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | 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. |
| | |
| 30 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Credit Default Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | | | |
Description | | | Rate/Reference | | | Frequency | | | Rate/Reference | | | Frequency | | Counterparty | |
| Expiration
Date |
| |
| Credit
Rating (a) |
| | Exercise Price | | |
| Notional
Amount (000) (b) |
| | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Sold Protection on 5-Year Credit Default Swap | | | CDX.NA.IG.34.V1 | | | Quarterly | | | 1.00% | | | Quarterly | | Morgan Stanley & Co. International plc | | | 08/19/20 | | | | NR | | | USD | | | 70.00 | | | | USD | | | | 43,636 | | | $ | (82,812) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Sold Protection on 5-Year Credit Default Swap | | | CDX.NA.IG.34.V1 | | | Quarterly | | | 1.00% | | | Quarterly | | Morgan Stanley & Co. International plc | | | 08/19/20 | | | | NR | | | USD | | | 95.00 | | | | USD | | | | 21,818 | | | | (45,749) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (128,561) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Interest Rate Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | |
| Description | | Rate | | Frequency | | Rate | | Frequency | | Counterparty | | Expiration Date | | | Exercise Rate | | | Notional Amount (000) | | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.88% | | Semi-Annual | | Bank of America NA | | 08/13/20 | | | 0.88 | % | | USD | | | 214,810 | | | $ | (2,875,252) | |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.68% | | Semi-Annual | | Morgan Stanley & Co. International plc | | 09/10/20 | | | 0.68 | | | USD | | | 6,952 | | | | (87,357) | |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.66% | | Semi-Annual | | JPMorgan Chase Bank NA | | 09/23/20 | | | 0.66 | | | USD | | | 10,581 | | | | (135,129) | |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.76% | | Semi-Annual | | Deutsche Bank AG | | 09/25/20 | | | 0.76 | | | USD | | | 8,465 | | | | (158,979) | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.69% | | Semi-Annual | | Morgan Stanley & Co. International plc | | 10/21/20 | | | 0.69 | | | USD | | | 30,884 | | | | (761,623) | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.60% | | Semi-Annual | | Goldman Sachs International | | 12/18/20 | | | 0.60 | | | USD | | | 41,893 | | | | (1,256,741) | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.50% | | Semi-Annual | | JPMorgan Chase Bank NA | | 06/04/21 | | | 0.50 | | | USD | | | 35,591 | | | | (1,254,579) | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | 0.50% | | Semi-Annual | | BNP Paribas SA | | 06/11/21 | | | 0.50 | | | USD | | | 11,606 | | | | (414,358) | |
5-Year Interest Rate Swap(a) | | 6 month EURIBOR | | Semi-Annual | | (0.02)% | | Annual | | Barclays Bank plc | | 04/08/22 | | | (0.02 | ) | | EUR | | | 59,930 | | | | (1,259,089) | |
5-Year Interest Rate Swap(a) | | 6 month EURIBOR | | Semi-Annual | | (0.13)% | | Annual | | Barclays Bank plc | | 04/19/22 | | | (0.13 | ) | | EUR | | | 39,510 | | | | (665,290) | |
5-Year Interest Rate Swap(a) | | 6 month EURIBOR | | Semi-Annual | | (0.15)% | | Annual | | Barclays Bank plc | | 04/19/22 | | | (0.15 | ) | | EUR | | | 15,814 | | | | (254,187) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (9,122,584) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap(a) | | 1.88% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Bank of America NA | | 08/13/20 | | | 1.88 | | | USD | | | 231,315 | | | | — | |
10-Year Interest Rate Swap(a) | | 0.88% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Goldman Sachs International | | 08/19/20 | | | 0.88 | | | USD | | | 106,412 | | | | (249,336) | |
10-Year Interest Rate Swap(a) | | 0.68% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Morgan Stanley & Co. International plc | | 09/10/20 | | | 0.68 | | | USD | | | 6,952 | | | | (72,930) | |
10-Year Interest Rate Swap(a) | | 0.66% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | JPMorgan Chase Bank NA | | 09/23/20 | | | 0.66 | | | USD | | | 10,581 | | | | (131,156) | |
10-Year Interest Rate Swap(a) | | 0.76% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Deutsche Bank AG | | 09/25/20 | | | 0.76 | | | USD | | | 8,465 | | | | (69,758) | |
30-Year Interest Rate Swap(a) | | 1.19% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Morgan Stanley & Co. International plc | | 10/21/20 | | | 1.19 | | | USD | | | 30,884 | | | | (679,143) | |
30-Year Interest Rate Swap(a) | | 1.20% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Goldman Sachs International | | 12/18/20 | | | 1.20 | | | USD | | | 41,893 | | | | (1,165,869) | |
10-Year Interest Rate Swap(a) | | 2.00% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | JPMorgan Chase Bank NA | | 02/11/22 | | | 2.00 | | | USD | | | 85,363 | | | | (418,641) | |
5-Year Interest Rate Swap(a) | | (0.02)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | Barclays Bank plc | | 04/08/22 | | | (0.02 | ) | | EUR | | | 59,930 | | | | (417,803) | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 31 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
OTC Interest Rate Swaptions Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | |
| Description | | Rate | | Frequency | | Rate | | Frequency | | Counterparty | | Expiration Date | | Exercise Rate | | | Notional Amount (000) | | | Value | |
| |
5-Year Interest Rate Swap(a) | | (0.13)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | Barclays Bank plc | | 04/19/22 | | | (0.13 | % | | EUR | | | 39,510 | | | $ | (360,188) | |
5-Year Interest Rate Swap(a) | | (0.15)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | Barclays Bank plc | | 04/19/22 | | | (0.15) | | | EUR | | | 15,814 | | | | (151,175) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (3,715,999) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (12,838,583) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
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.33.V1 | | | 1.00 | % | | | Quarterly | | | | 12/20/24 | | | | USD | | | | 302,896 | | | $ | (3,680,184) | | | $ | (5,947,690) | | | $ | 2,267,506 | |
CDX.NA.HY.34.V6 | | | 5.00 | | | | Quarterly | | | | 06/20/25 | | | | USD | | | | 16,829 | | | | 95,048 | | | | 765,159 | | | | (670,111) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (3,585,136) | | | $ | (5,182,531) | | | $ | 1,597,395 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) |
|
| |
ITRAXX.EUR.
CROSSOVER.32.V1 | | | 5.00 | % | | | Quarterly | | | | 12/20/24 | | | | CCC+ | | | | EUR | | | | 7,444 | | | $ | 473,472 | | | $ | 1,001,963 | | | $ | (528,491) | |
ITRAXX.EUR.
CROSSOVER.33.V1 | | | 5.00 | | | | Quarterly | | | | 06/20/25 | | | | B | | | | EUR | | | | 16,752 | | | | 1,007,321 | | | | 234,614 | | | | 772,707 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,480,793 | | | $ | 1,236,577 | | | $ | 244,216 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | | Value | | | Upfront
Premium
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
| |
| 3 month BA | | Semi-Annual | | 1.91% | | Semi-Annual | | | N/A | | | | 07/09/21 | | | CAD | | | 244,344 | | | $ | 2,921,785 | | | $ | — | | | $ | 2,921,785 | |
| 1.06% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 03/27/22 | | | USD | | | 381,471 | | | | (6,586,320) | | | | — | | | | (6,586,320) | |
| 0.53% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 06/06/22 | (a) | | | 06/06/24 | | | USD | | | 71,709 | | | | (316,625) | | | | — | | | | (316,625) | |
| 1.60% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 01/24/25 | | | USD | | | 152,075 | | | | (9,739,081) | | | | 1,905 | | | | (9,740,986) | |
| 0.69% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 06/23/30 | | | USD | | | 17,492 | | | | (91,654) | | | | — | | | | (91,654) | |
| 0.89% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 07/02/20 | (a) | | | 07/02/50 | | | USD | | | 12,949 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (13,811,895) | | | $ | 1,905 | | | $ | (13,813,800) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 32 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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 2020 | | | USD | | | | 1,895,013 | | | | Goldman Sachs International | | | | 12/18/20 | | | USD | | | 1,895 | | | $ | 301,188 | | | $ | — | | | $ | 301,188 | |
GSCBBL8X | | | USD | | | | 7,410,998 | | | | Goldman Sachs International | | | | 01/22/21 | | | USD | | | 7,411 | | | | 3,406,770 | | | | — | | | | 3,406,770 | |
GSCBBL8X | | | USD | | | | 9,953,377 | | | | Goldman Sachs International | | | | 01/25/21 | | | USD | | | 9,953 | | | | 4,509,071 | | | | — | | | | 4,509,071 | |
S&P 500 Index Annual Dividend Future December 2021 | | | USD | | | | 2,403,225 | | | | BNP Paribas SA | | | | 12/17/21 | | | USD | | | 2,403 | | | | 96,525 | | | | — | | | | 96,525 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 8,313,554 | | | $ | — | | | $ | 8,313,554 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | At termination, the fixed amount paid (received) will be exchanged for the total return of the reference entity. |
OTC Total Return Swaps (a)
| | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Termination Date | | | Net Notional | | | Unrealized
Appreciation
(Depreciation) | | | Net Value of
Reference
Entity | | | Gross
Notional
Amount
Net Asset
Percentage | |
Equity Securities Long/Short | | Citibank NA | | | 01/25/21 - 05/31/23 | | | $ | 8,918,704 | | | $ | (391,579) | (b) | | $ | 8,302,496 | | | | 0.3 | % |
| | JPMorgan Chase Bank NA | | | 02/08/23 | | | | (5,813,812) | | | | 277,373 | (c) | | | (5,512,551) | | | | 0.1 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (114,206) | | | $ | 2,789,945 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| (a) | The Fund receives or pays the total return on a portfolio of long and short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 1-800 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest: |
Intercontinental Exchange LIBOR:
USD 1 Week
USD 1 Month
USD Overnight bank Funding Rate
| (b) | Amount includes $224,629 of net dividends and financing fees. |
| (c) | Amount includes $(23,888) of net dividends and financing fees. |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Citibank NA, as of June 30, 2020, expiration dates 01/25/21-05/31/23:
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
|
Reference Entity — Long | |
| | | |
Italy | | | | | | | | | | | | |
Leonardo SpA | | | 1,999,209 | | | $ | 13,327,421 | | | | 160.5 | % |
| | | | | | | | | | | | |
| | |
Total Reference Entity — Long | | | | 13,327,421 | | | | | |
| | | | | | | | | | | | |
|
Reference Entity — Short | |
| | | |
China | | | | | | | | | | | | |
China Communications Services Corp. Ltd., Class H | | | (100,000) | | | | (62,669) | | | | (0.7) | |
China Conch Venture Holdings Ltd. | | | (2,000) | | | | (8,489) | | | | (0.1) | |
China Eastern Airlines Corp. Ltd., Class H | | | (316,000) | | | | (113,774) | | | | (1.4) | |
China Everbright International Ltd. | | | (131,000) | | | | (69,505) | | | | (0.8) | |
China Evergrande Group | | | (15,000) | | | | (39,032) | | | | (0.5) | |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| China (continued) | | | | | | | | | |
China Literature Ltd. | | | (34,200) | | | $ | (231,904) | | | | (2.8) | % |
China Molybdenum Co. Ltd., Class H | | | (285,000) | | | | (94,096) | | | | (1.1) | |
China Resources Gas Group Ltd. | | | (12,000) | | | | (58,714) | | | | (0.7) | |
China Resources Land Ltd. | | | (8,000) | | | | (30,578) | | | | (0.4) | |
Longfor Group Holdings Ltd. | | | (47,000) | | | | (224,981) | | | | (2.7) | |
Ping An Healthcare and Technology Co. Ltd. | | | (10,100) | | | | (154,849) | | | | (1.9) | |
Prosus NV | | | (283) | | | | (26,307) | | | | (0.3) | |
Semiconductor Manufacturing International Corp. | | | (76,000) | | | | (266,604) | | | | (3.2) | |
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | | | (39,000) | | | | (130,750) | | | | (1.6) | |
Shimao Group Holdings Ltd. | | | (9,000) | | | | (38,477) | | | | (0.5) | |
Sunac China Holdings Ltd. | | | (5,000) | | | | (21,160) | | | | (0.3) | |
Xiaomi Corp., Class B | | | (161,800) | | | | (268,872) | | | | (3.2) | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 33 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| China (continued) | | | | | | | | | |
ZTO Express Cayman, Inc., ADR | | | (1,426 | ) | | $ | (52,348) | | | | (0.6 | )% |
| | | | | | | | | | | | |
| | | | | | | (1,893,109) | | | | | |
| | | |
| Denmark | | | | | | | | | |
Orsted A/S | | | (1,055 | ) | | | (121,749) | | | | (1.5 | ) |
| | | | | | | | | | | | |
| | | |
| France | | | | | | | | | |
Hermes International | | | (142 | ) | | | (119,224) | | | | (1.4 | ) |
| | | | | | | | | | | | |
| | | |
| Germany | | | | | | | | | |
Deutsche Bank AG (Registered) | | | (10,365 | ) | | | (98,883) | | | | (1.2 | ) |
Sartorius AG (Preference) | | | (161 | ) | | | (53,138) | | | | (0.6 | ) |
| | | | | | | | | | | | |
| | | | | | | (152,021) | | | | | |
| | | |
| Hong Kong | | | | | | | | | |
Sino Biopharmaceutical Ltd. | | | (98,000 | ) | | | (184,710) | | | | (2.2 | ) |
Wharf Real Estate Investment Co. Ltd. | | | (32,000 | ) | | | (153,619) | | | | (1.9 | ) |
| | | | | | | | | | | | |
| | | | | | | (338,329) | | | | | |
| | | |
| Japan | | | | | | | | | |
ANA Holdings, Inc. | | | (6,100 | ) | | | (139,403) | | | | (1.7 | ) |
LINE Corp. | | | (400 | ) | | | (20,132) | | | | (0.2 | ) |
Oriental Land Co. Ltd. | | | (700 | ) | | | (92,502) | | | | (1.1 | ) |
| | | | | | | | | | | | |
| | | | | | | (252,037) | | | | | |
| | | |
| Macau | | | | | | | | | |
Galaxy Entertainment Group Ltd. | | | (7,000 | ) | | | (48,018) | | | | (0.6 | ) |
| | | | | | | | | | | | |
| | | |
| Norway | | | | | | | | | |
Equinor ASA | | | (6,196 | ) | | | (89,258) | | | | (1.1 | ) |
| | | | | | | | | | | | |
| | | |
| Peru | | | | | | | | | |
Southern Copper Corp. | | | (989 | ) | | | (39,333) | | | | (0.5 | ) |
| | | | | | | | | | | | |
| | | |
| Poland | | | | | | | | | |
Polskie Gornictwo Naftowe i Gazownictwo SA | | | (40,129 | ) | | | (46,270) | | | | (0.5 | ) |
| | | | | | | | | | | | |
| | | |
| South Korea | | | | | | | | | |
Celltrion Healthcare Co. Ltd. | | | (3,181 | ) | | | (288,389) | | | | (3.5 | ) |
Korea Shipbuilding & Offshore Engineering Co. Ltd. | | | (2,202 | ) | | | (162,095) | | | | (1.9 | ) |
| | | | | | | | | | | | |
| | | | | | | (450,484) | | | | | |
| | | |
| Spain | | | | | | | | | |
CaixaBank SA | | | (59,546 | ) | | | (127,386) | | | | (1.5 | ) |
| | | | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | |
Svenska Handelsbanken AB, Class A | | | (11,420 | ) | | | (108,436) | | | | (1.3 | ) |
Swedbank AB, Class A | | | (4,351 | ) | | | (55,871) | | | | (0.7 | ) |
| | | | | | | | | | | | |
| | | | | | | (164,307) | | | | | |
| | | |
| Switzerland | | | | | | | | | |
Schindler Holding AG | | | (143 | ) | | | (33,842) | | | | (0.4 | ) |
| | | | | | | | | | | | |
| | | |
| Taiwan | | | | | | | | | |
China Steel Corp. | | | (22,000 | ) | | | (15,493) | | | | (0.2 | ) |
Hotai Motor Co. Ltd. | | | (6,000 | ) | | | (143,861) | | | | (1.7 | ) |
Shanghai Commercial & Savings Bank Ltd. (The) | | | (11,000 | ) | | | (17,060) | | | | (0.2 | ) |
| | | | | | | | | | | | |
| | | | | | | (176,414) | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
National Grid plc | | | (12,676 | ) | | | (154,652) | | | | (1.9 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| United States | | | | | | | | | |
Archer-Daniels-Midland Co. | | | (2,432 | ) | | $ | (97,037 | ) | | | (1.2 | )% |
Boeing Co. (The) | | | (666 | ) | | | (122,078 | ) | | | (1.5 | ) |
Fidelity National Information Services, Inc. | | | (344 | ) | | | (46,127 | ) | | | (0.5 | ) |
General Dynamics Corp. | | | (1,484 | ) | | | (221,799 | ) | | | (2.7 | ) |
Keurig Dr Pepper, Inc. | | | (5,319 | ) | | | (151,059 | ) | | | (1.8 | ) |
Kraft Heinz Co. (The) | | | (434 | ) | | | (13,840 | ) | | | (0.2 | ) |
Lululemon Athletica, Inc. | | | (303 | ) | | | (94,539 | ) | | | (1.1 | ) |
Marriott International, Inc., Class A | | | (840 | ) | | | (72,013 | ) | | | (0.9 | ) |
| | | | | | | | | | | | |
| | | | | | | (818,492 | ) | | | | |
| | | | | | | | | | | | |
| | | |
Total Reference Entity — Short | | | | | | | (5,024,925 | ) | | | | |
| | | | | | | | | | | | |
| | |
Net Value of Reference Entity — Citibank NA | | | $ | 8,302,496 | | | | | |
| | | | | | | | | | | | |
The following table represents the individual short positions and related values of equity securities underlying the total return swap with JPMorgan Chase Bank NA, as of June 30, 2020, expiration date 02/08/23:
| | | | | | | | | | | | |
| | | | |
Reference Entity — Short | | | | | | | | | | | | |
| | | |
| Australia | | | | | | | | | |
Ramsay Health Care Ltd. | | | (6,701) | | | | (309,468) | | | | 5.6 | |
Scentre Group | | | (48,019) | | | | (72,900) | | | | 1.3 | |
Sydney Airport | | | (8,032) | | | | (31,699) | | | | 0.6 | |
Transurban Group | | | (3,085) | | | | (30,254) | | | | 0.5 | |
| | | | | | | | | | | | |
| | | | | | | (444,321) | | | | | |
| | | |
| Brazil | | | | | | | | | |
Atacadao SA | | | (6,245) | | | | (22,979) | | | | 0.4 | |
Hapvida Participacoes e Investimentos SA | | | (9,628) | | | | (111,363) | | | | 2.0 | |
Lojas Americanas SA (Preference) | | | (10,569) | | | | (62,775) | | | | 1.1 | |
Magazine Luiza SA | | | (20,850) | | | | (275,286) | | | | 5.0 | |
Suzano SA | | | (25,049) | | | | (170,337) | | | | 3.1 | |
WEG SA | | | (7,509) | | | | (70,905) | | | | 1.3 | |
| | | | | | | | | | | | |
| | | | | | | (713,645) | | | | | |
| | | |
| China | | | | | | | | | |
Aluminum Corp. of China Ltd., Class H | | | (304,000) | | | | (57,338) | | | | 1.0 | |
Autohome, Inc., ADR | | | (1,352) | | | | (102,076) | | | | 1.9 | |
China Everbright International Ltd. | | | (157,000) | | | | (83,300) | | | | 1.5 | |
China Gas Holdings Ltd. | | | (18,400) | | | | (57,001) | | | | 1.0 | |
China Jinmao Holdings Group Ltd. | | | (246,000) | | | | (175,069) | | | | 3.2 | |
China Southern Airlines Co. Ltd., Class H | | | (546,000) | | | | (244,161) | | | | 4.4 | |
China State Construction International Holdings Ltd. | | | (282,000) | | | | (165,675) | | | | 3.0 | |
Dongfeng Motor Group Co. Ltd., Class H | | | (14,000) | | | | (8,443) | | | | 0.2 | |
Geely Automobile Holdings Ltd. | | | (112,000) | | | | (177,940) | | | | 3.2 | |
iQIYI, Inc., ADR | | | (12,089) | | | | (280,344) | | | | 5.1 | |
Shenzhou International Group Holdings Ltd. | | | (3,900) | | | | (47,413) | | | | 0.9 | |
Sun Art Retail Group Ltd. | | | (10,500) | | | | (18,014) | | | | 0.3 | |
| | | | | | | | | | | | |
| | | | | | | (1,416,774) | | | | | |
| | | |
| Germany | | | | | | | | | |
Knorr-Bremse AG | | | (1,675) | | | | (169,989) | | | | 3.1 | |
| | | | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | |
Link REIT | | | (5,200) | | | | (42,693) | | | | 0.8 | |
| | | | | | | | | | | | |
| | |
| 34 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| Japan | | | | | | | | | |
Dai-ichi Life Holdings, Inc. | | | (1,600) | | | | $ (19,152) | | | | 0.3% | |
Fast Retailing Co. Ltd. | | | (200) | | | | (114,954) | | | | 2.1 | |
Kintetsu Group Holdings Co. Ltd. | | | (1,300) | | | | (58,330) | | | | 1.1 | |
Nippon Paint Holdings Co. Ltd. | | | (2,400) | | | | (175,048) | | | | 3.2 | |
Obic Co. Ltd. | | | (100) | | | | (17,624) | | | | 0.3 | |
SoftBank Group Corp. | | | (600) | | | | (30,257) | | | | 0.5 | |
Sony Financial Holdings, Inc. | | | (4,000) | | | | (96,580) | | | | 1.8 | |
Toyota Industries Corp. | | | (600) | | | | (31,892) | | | | 0.6 | |
| | | | | | | | | | | | |
| | | | | | | (543,837) | | | | | |
| | | |
| Poland | | | | | | | | | |
CD Projekt SA | | | (598) | | | | (60,263) | | | | 1.1 | |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | |
Oversea-Chinese Banking Corp. Ltd. | | | (2,600) | | | | (16,946) | | | | 0.3 | |
| | | | | | | | | | | | |
| | | |
| South Africa | | | | | | | | | |
Capitec Bank Holdings Ltd. | | | (1,748) | | | | (86,876) | | | | 1.6 | |
Shoprite Holdings Ltd. | | | (11,199) | | | | (68,830) | | | | 1.2 | |
Vodacom Group Ltd. | | | (19,923) | | | | (141,365) | | | | 2.6 | |
| | | | | | | | | | | | |
| | | | | | | (297,071) | | | | | |
| | | |
| South Korea | | | | | | | | | |
AMOREPACIFIC Group (Preference) | | | (353) | | | | (10,060) | | | | 0.2 | |
Samsung C&T Corp. | | | (1,291) | | | | (125,584) | | | | 2.3 | |
| | | | | | | | | | | | |
| | | | | | | (135,644) | | | | | |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| Spain | | | | | | | | | |
Aena SME SA | | | (335) | | | | $ (44,804) | | | | 0.8% | |
Industria de Diseno Textil SA | | | (2,190) | | | | (58,108) | | | | 1.1 | |
| | | | | | | | | | | | |
| | | | | | | (102,912) | | | | | |
| | | |
| Switzerland | | | | | | | | | |
Swisscom AG (Registered) | | | (161) | | | | (84,429) | | | | 1.5 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
Tesco plc | | | (34,961) | | | | (98,333) | | | | 1.8 | |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
Conagra Brands, Inc. | | | (4,310) | | | | (151,582) | | | | 2.8 | |
Dominion Energy, Inc. | | | (515) | | | | (41,808) | | | | 0.8 | |
EOG Resources, Inc. | | | (923) | | | | (46,759) | | | | 0.8 | |
Fox Corp., Class A | | | (18,496) | | | | (496,228) | | | | 9.0 | |
General Mills, Inc. | | | (1,012) | | | | (62,390) | | | | 1.1 | |
Hilton Worldwide Holdings, Inc. | | | (1,966) | | | | (144,403) | | | | 2.6 | |
Hormel Foods Corp. | | | (1,095) | | | | (52,855) | | | | 1.0 | |
Roper Technologies, Inc. | | | (700) | | | | (271,782) | | | | 4.9 | |
Ross Stores, Inc. | | | (1,383) | | | | (117,887) | | | | 2.1 | |
| | | | | | | | | | | | |
| | | | | | | (1,385,694) | | | | | |
| | | | | | | | | | | | |
| | | |
Total Reference Entity — Short | | | | | | | (5,512,551) | | | | | |
| | | | | | | | | | | | |
| | |
Net Value of Reference Entity — JPMorgan Chase Bank NA | | | | $ (5,512,551) | | | | | |
| | | | | | | | | | | | |
The following reference rates, and their values as of period end, are used for security descriptions:
| | | | | | |
| Reference Index | | | | Reference Rate | |
3 month BA | | Canadian Bankers Acceptances | | | 0.56 | % |
3 month LIBOR | | London Interbank Offered Rate | | | 0.30 | |
6 month EURIBOR | | Euro Interbank Offered Rate | | | (0.31 | ) |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | | | | | | | | | | | | | | | | |
| | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | Value | |
Centrally Cleared Swaps (a) | | $ | 2,003,641 | | | $ | (5,947,690) | | | $ | 5,961,998 | | | $ | (17,934,187) | | | $ | — | |
OTC Swaps | | | — | | | | — | | | | 8,590,927 | | | | (391,579) | | | | — | |
Options Written | | | N/A | | | | N/A | | | | 23,092,777 | | | | (28,667,507) | | | | (74,077,192) | |
| (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. |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 35 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 1,190,952 | | | $ | — | | | $ | 6,144,987 | | | $ | — | | | $ | 7,335,939 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 9,400,910 | | | | — | | | | — | | | | 9,400,910 | |
Options purchased (b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated (c) | | | — | | | | — | | | | 73,921,962 | | | | 2,126,605 | | | | 11,208,793 | | | | — | | | | 87,257,360 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps (a) | | | — | | | | 3,040,213 | | | | — | | | | — | | | | 2,921,785 | | | | — | | | | 5,961,998 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | — | | | | — | | | | 8,590,927 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 8,590,927 | |
| | | | |
| | $ | — | | | $ | 3,040,213 | | | $ | 83,703,841 | | | $ | 11,527,515 | | | $ | 20,275,565 | | | $ | — | | | $ | 118,547,134 | |
| | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts (a) | | | — | | | | — | | | | 4,387,766 | | | | — | | | | 1,753,095 | | | | — | | | | 6,140,861 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 10,962,753 | | | | — | | | | — | | | | 10,962,753 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | 128,561 | | | | 58,817,544 | | | | 2,292,504 | | | | 12,838,583 | | | | — | | | | 74,077,192 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps (a) | | | — | | | | 1,198,602 | | | | — | | | | — | | | | 16,735,585 | | | | — | | | | 17,934,187 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | — | | | | 391,579 | | | | — | | | | — | | | | — | | | | 391,579 | |
| | | | |
| | $ | — | | | $ | 1,327,163 | | | $ | 63,596,889 | | | $ | 13,255,257 | | | $ | 31,327,263 | | | $ | — | | | $ | 109,506,572 | |
| | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes forward settling swaptions. |
| (c) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Commodity
Contracts | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 49,969,140 | | | $ | — | | | $ | 56,588,562 | | | $ | — | | | $ | 106,557,702 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (35,165,343 | ) | | | — | | | | — | | | | (35,165,343 | ) |
Options purchased (a) | | | — | | | | — | | | | (3,697,681 | ) | | | (4,147,943 | ) | | | (6,397,133 | ) | | | — | | | | (14,242,757 | ) |
Options written | | | — | | | | — | | | | 14,095,859 | | | | 7,205,576 | | | | 4,507,345 | | | | — | | | | 25,808,780 | |
Swaps | | | — | | | | 3,021,436 | | | | (340,013 | ) | | | — | | | | (5,022,861 | ) | | | — | | | | (2,341,438 | ) |
| | | | |
| | $ | — | | | $ | 3,021,436 | | | $ | 60,027,305 | | | $ | (32,107,710 | ) | | $ | 49,675,913 | | | $ | — | | | $ | 80,616,944 | |
| | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | (3,883,308 | ) | | | — | | | | 4,591,218 | | | | — | | | | 707,910 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (14,205,870 | ) | | | — | | | | — | | | | (14,205,870 | ) |
Options purchased (b) | | | — | | | | — | | | | 15,617,208 | | | | (1,076,829 | ) | | | 5,833,478 | | | | — | | | | 20,373,857 | |
Options written | | | — | | | | 43,256 | | | | (9,599,087 | ) | | | 464,643 | | | | (2,764,539 | ) | | | — | | | | (11,855,727 | ) |
Swaps | | | — | | | | 3,482,791 | | | | 11,782,031 | | | | — | | | | (14,327,653 | ) | | | — | | | | 937,169 | |
| | | | |
| | $ | — | | | $ | 3,526,047 | | | $ | 13,916,844 | | | $ | (14,818,056 | ) | | $ | (6,667,496 | ) | | $ | — | | | $ | (4,042,661 | ) |
| | | | |
| (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. |
| | |
| 36 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 853,553,267 | |
Average notional value of contracts — short | | | 1,227,178,650 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 663,519,401 | |
Average amounts sold — in USD | | | 799,393,302 | |
Options: | | | | |
Average value of option contracts purchased | | | 54,498,627 | |
Average value of option contracts written | | | 68,102,495 | |
Average notional value of swaption contracts purchased | | | 291,588,507 | |
Average notional value of swaption contracts written | | | 1,132,575,770 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 322,837,739 | |
Average notional value — sell protection | | | 17,697,720 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 749,949,001 | |
Average notional value — receives fixed rate | | | 286,530,176 | |
Total return swaps: | | | | |
Average notional value | | | 22,127,475 | |
| |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated 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 | | $ | 1,732,381 | | | $ | 5,597,977 | |
Forward foreign currency exchange contracts | | | 9,400,910 | | | | 10,962,753 | |
Options (a)(b) | | | 87,257,360 | | | | 74,077,192 | |
Swaps — Centrally cleared | | | — | | | | 179,630 | |
Swaps — OTC (c) | | | 8,590,927 | | | | 391,579 | |
| | | | |
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | | $ | 106,981,578 | | | $ | 91,209,131 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (57,661,313) | | | | (51,060,685) | |
| | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 49,320,265 | | | $ | 40,148,446 | |
| | | | |
| (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 forward settling swaptions. |
| (c) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Consolidated Statement of Assets and Liabilities. |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 37 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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 (b) | | | Cash Collateral
Received (b) | | | Net Amount of Derivative
Assets (c)(d) | |
Bank of America NA | | $ | 4,521,177 | | | $ | (3,964,445) | | | $ | — | | | $ | — | | | $ | 556,732 | |
Barclays Bank plc | | | 689,317 | | | | (689,317) | | | | — | | | | — | | | | — | |
BNP Paribas SA | | | 1,361,681 | | | | (1,361,681) | | | | — | | | | — | | | | — | |
BNP Paribas SA (e) | | | 1,670,913 | | | | (383,387) | | | | — | | | | (1,287,526) | | | | — | |
Citibank NA | | | 4,375,507 | | | | (769,166) | | | | — | | | | (1,050,000) | | | | 2,556,341 | |
Credit Suisse International | | | 1,106,589 | | | | (1,106,589) | | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 806,292 | | | | (562,867) | | | | — | | | | — | | | | 243,425 | |
Goldman Sachs International | | | 11,735,604 | | | | (4,800,837) | | | | — | | | | (6,934,765) | | | | 2 | |
Goldman Sachs International (e) | | | 368,034 | | | | (196,492) | | | | — | | | | — | | | | 171,542 | |
HSBC Bank plc | | | 64,244 | | | | (64,244) | | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA | | | 6,127,661 | | | | (6,127,661) | | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA (e) | | | 594,940 | | | | (168,937) | | | | — | | | | (360,000) | | | | 66,003 | |
Morgan Stanley & Co. International plc | | | 6,645,484 | | | | (6,645,484) | | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc (e) | | | 3,255,696 | | | | (1,244,887) | | | | — | | | | (1,913,000) | | | | 97,809 | |
Nomura International plc | | | 694,627 | | | | (341,904) | | | | — | | | | (352,723) | | | | — | |
Societe Generale SA (e) | | | 5,141,043 | | | | (1,957,191) | | | | — | | | | (2,730,000) | | | | 453,852 | |
UBS AG | | | 161,456 | | | | (161,456) | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 49,320,265 | | | $ | (30,546,545) | | | $ | — | | | $ | (14,628,014) | | | $ | 4,145,706 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | |
| 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)(f) | |
Bank of America NA | | $ | 3,964,445 | | | $ | (3,964,445) | | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank plc | | | 4,481,791 | | | | (689,317) | | | | (2,896,319) | | | | — | | | | 896,155 | |
BNP Paribas SA | | | 1,906,342 | | | | (1,361,681) | | | | — | | | | — | | | | 544,661 | |
BNP Paribas SA (e) | | | 383,387 | | | | (383,387) | | | | — | | | | — | | | | — | |
Citibank NA | | | 769,166 | | | | (769,166) | | | | — | | | | — | | | | — | |
Credit Suisse International | | | 1,231,865 | | | | (1,106,589) | | | | — | | | | — | | | | 125,276 | |
Deutsche Bank AG | | | 562,867 | | | | (562,867) | | | | — | | | | — | | | | — | |
Goldman Sachs International | | | 4,800,837 | | | | (4,800,837) | | | | — | | | | — | | | | — | |
Goldman Sachs International (e) | | | 196,492 | | | | (196,492) | | | | — | | | | — | | | | — | |
HSBC Bank plc | | | 436,578 | | | | (64,244) | | | | — | | | | — | | | | 372,334 | |
JPMorgan Chase Bank NA | | | 7,387,908 | | | | (6,127,661) | | | | — | | | | — | | | | 1,260,247 | |
JPMorgan Chase Bank NA (e) | | | 168,937 | | | | (168,937) | | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc | | | 8,770,318 | | | | (6,645,484) | | | | (624,363) | | | | — | | | | 1,500,471 | |
Morgan Stanley & Co. International plc (e) | | | 1,244,887 | | | | (1,244,887) | | | | — | | | | — | | | | — | |
Nomura International plc | | | 341,904 | | | | (341,904) | | | | — | | | | — | | | | — | |
Societe Generale SA (e) | | | 1,957,191 | | | | (1,957,191) | | | | — | | | | — | | | | — | |
UBS AG | | | 1,543,531 | | | | (161,456) | | | | (491,584) | | | | — | | | | 890,491 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 40,148,446 | | | $ | (30,546,545) | | | $ | (4,012,266) | | | $ | — | | | $ | 5,589,635 | |
| | | | | | | | | | | | | | | | | | | | |
| (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 may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (e) | Represents derivatives owned by the BlackRock Cayman Global Allocation V.I. Fund I, Ltd., a wholly-owned subsidiary of the Fund. See Note 1 of the Notes to Consolidated Financial Statements. |
| (f) | Net amount represents the net amount payable due to the counterparty in the event of default. |
| | |
| 38 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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 Consolidated 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: | | | | | | | | | | | | | | | | |
Cayman Islands | | $ | — | | | $ | 28,359,849 | | | $ | — | | | $ | 28,359,849 | |
Ireland | | | — | | | | 1,335,647 | | | | — | | | | 1,335,647 | |
United States | | | — | | | | 29,251,265 | | | | 1,404,997 | | | | 30,656,262 | |
Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 4,623,220 | | | | 5,221,961 | | | | 9,845,181 | |
Belgium | | | — | | | | 9,775,394 | | | | — | | | | 9,775,394 | |
Brazil | | | 859,066 | | | | — | | | | — | | | | 859,066 | |
Canada | | | 47,003,513 | | | | — | | | | — | | | | 47,003,513 | |
Chile | | | 248,309 | | | | — | | | | — | | | | 248,309 | |
China | | | 34,235,757 | | | | 129,387,802 | | | | — | | | | 163,623,559 | |
Denmark | | | — | | | | 4,725,795 | | | | — | | | | 4,725,795 | |
Finland | | | — | | | | 17,471,929 | | | | — | | | | 17,471,929 | |
France | | | — | | | | 164,239,788 | | | | — | | | | 164,239,788 | |
Germany | | | — | | | | 119,457,951 | | | | — | | | | 119,457,951 | |
Hong Kong | | | — | | | | 64,123,877 | | | | — | | | | 64,123,877 | |
India | | | 1,165,357 | | | | 40,326,908 | | | | — | | | | 41,492,265 | |
Indonesia | | | — | | | | 2,396,560 | | | | — | | | | 2,396,560 | |
Italy | | | — | | | | 126,282,539 | | | | — | | | | 126,282,539 | |
Japan | | | — | | | | 179,433,303 | | | | — | | | | 179,433,303 | |
Mexico | | | 208,208 | | | | — | | | | — | | | | 208,208 | |
Netherlands | | | 83,513,522 | | | | 98,643,992 | | | | — | | | | 182,157,514 | |
Poland | | | — | | | | 59,768 | | | | — | | | | 59,768 | |
Portugal | | | — | | | | 1,709,676 | | | | — | | | | 1,709,676 | |
Saudi Arabia | | | — | | | | 33,560 | | | | — | | | | 33,560 | |
Singapore | | | — | | | | 22,454,787 | | | | — | | | | 22,454,787 | |
South Africa | | | — | | | | 563,940 | | | | — | | | | 563,940 | |
South Korea | | | — | | | | 13,455,833 | | | | — | | | | 13,455,833 | |
Spain | | | — | | | | 22,262,148 | | | | — | | | | 22,262,148 | |
Sweden | | | — | | | | 300,925 | | | | — | | | | 300,925 | |
Switzerland | | | 3,199,488 | | | | 87,608,608 | | | | — | | | | 90,808,096 | |
Taiwan | | | — | | | | 69,477,802 | | | | — | | | | 69,477,802 | |
Thailand | | | — | | | | 4,173,675 | | | | — | | | | 4,173,675 | |
Turkey | | | — | | | | 368,128 | | | | — | | | | 368,128 | |
United Arab Emirates | | | — | | | | — | | | | 5 | | | | 5 | |
United Kingdom | | | 114,866 | | | | 97,728,871 | | | | 11,186,114 | | | | 109,029,851 | |
United States | | | 3,045,219,139 | | | | 28,011,189 | | | | 360,105 | | | | 3,073,590,433 | |
Zambia | | | 3,553,082 | | | | — | | | | — | | | | 3,553,082 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 388,630 | | | | 35,988,911 | | | | 36,377,541 | |
Brazil | | | — | | | | 4,193,979 | | | | — | | | | 4,193,979 | |
Canada | | | — | | | | 2,571,206 | | | | — | | | | 2,571,206 | |
Chile | | | — | | | | 971,615 | | | | — | | | | 971,615 | |
China | | | — | | | | 986,839 | | | | — | | | | 986,839 | |
France | | | — | | | | 2,452,424 | | | | — | | | | 2,452,424 | |
Germany | | | — | | | | 4,061,453 | | | | — | | | | 4,061,453 | |
Greece | | | — | | | | 5,224,435 | | | | — | | | | 5,224,435 | |
India | | | — | | | | 56 | | | | — | | | | 56 | |
Italy | | | — | | | | 2,088,846 | | | | — | | | | 2,088,846 | |
Japan | | | — | | | | 7,860,767 | | | | — | | | | 7,860,767 | |
Luxembourg | | | — | | | | 7,922,774 | | | | — | | | | 7,922,774 | |
Macau | | | — | | | | 605,110 | | | | — | | | | 605,110 | |
Malaysia | | | — | | | | 997,649 | | | | — | | | | 997,649 | |
Netherlands | | | — | | | | 8,111,929 | | | | — | | | | 8,111,929 | |
Saudi Arabia | | | — | | | | 973,516 | | | | — | | | | 973,516 | |
Singapore | | | — | | | | 3,603,347 | | | | — | | | | 3,603,347 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 39 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
South Korea | | $ | — | | | $ | 372,190 | | | $ | — | | | $ | 372,190 | |
Spain | | | — | | | | 1,465,837 | | | | — | | | | 1,465,837 | |
Switzerland | | | — | | | | 3,727,932 | | | | — | | | | 3,727,932 | |
Turkey | | | — | | | | — | | | | 2,702,820 | | | | 2,702,820 | |
United Arab Emirates | | | — | | | | 1,938,261 | | | | — | | | | 1,938,261 | |
United Kingdom | | | — | | | | 2,337,276 | | | | — | | | | 2,337,276 | |
United States | | | — | | | | 433,254,265 | | | | — | | | | 433,254,265 | |
Floating Rate Loan Interests: | | | | | | | | | | | | | | | | |
France | | | — | | | | 8,903,604 | | | | — | | | | 8,903,604 | |
Netherlands | | | — | | | | 26,633,719 | | | | — | | | | 26,633,719 | |
United States | | | — | | | | 12,866,726 | | | | 13,910,931 | | | | 26,777,657 | |
Foreign Agency Obligations | | | — | | | | 12,541,367 | | | | — | | | | 12,541,367 | |
Foreign Government Obligations | | | — | | | | 417,969,730 | | | | — | | | | 417,969,730 | |
Investment Companies | | | 345,083,420 | | | | — | | | | — | | | | 345,083,420 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 31,908,755 | | | | — | | | | 31,908,755 | |
Preferred Securities: | | | | | | | | | | | | | | | | |
Brazil | | | 1,801,710 | | | | — | | | | — | | | | 1,801,710 | |
United Kingdom | | | — | | | | 20,763,448 | | | | — | | | | 20,763,448 | |
United States | | | 28,833,479 | | | | 25,395,130 | | | | 69,020,295 | | | | 123,248,904 | |
Rights | | | 12,590 | | | | — | | | | — | | | | 12,590 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 155,094,013 | | | | — | | | | 155,094,013 | |
U.S. Treasury Obligations | | | — | | | | 594,565,435 | | | | — | | | | 594,565,435 | |
Warrants | | | — | | | | — | | | | 205,357 | | | | 205,357 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | — | | | | 358,761,499 | | | | — | | | | 358,761,499 | |
Money Market Funds | | | 17,631,429 | | | | — | | | | — | | | | 17,631,429 | |
Time Deposits | | | — | | | | 6,210,286 | | | | — | | | | 6,210,286 | |
U.S. Treasury Obligations | | | — | | | | 403,513,638 | | | | — | | | | 403,513,638 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Equity contracts | | | 55,928,932 | | | | 17,993,030 | | | | — | | | | 73,921,962 | |
Foreign currency exchange contracts | | | — | | | | 2,126,605 | | | | — | | | | 2,126,605 | |
Interest rate contracts | | | 2,287,290 | | | | 8,921,503 | | | | — | | | | 11,208,793 | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments Sold Short | | | (5,853,180) | | | | — | | | | — | | | | (5,853,180) | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 3,665,045,977 | | | $ | 3,968,323,553 | | | $ | 140,001,496 | | | $ | 7,773,371,026 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 146,856,049 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 7,920,227,075 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 3,040,213 | | | $ | — | | | $ | 3,040,213 | |
Equity contracts | | | 1,190,952 | | | | 8,590,927 | | | | — | | | | 9,781,879 | |
Foreign currency exchange contracts | | | — | | | | 9,400,910 | | | | — | | | | 9,400,910 | |
Interest rate contracts | | | 6,144,987 | | | | 2,921,785 | | | | — | | | | 9,066,772 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (1,327,163) | | | | — | | | | (1,327,163) | |
Equity contracts | | | (49,670,844) | | | | (13,926,045) | | | | — | | | | (63,596,889) | |
Foreign currency exchange contracts | | | — | | | | (13,255,257) | | | | — | | | | (13,255,257) | |
Interest rate contracts | | | (1,753,095) | | | | (29,574,168) | | | | — | | | | (31,327,263) | |
| | | | | | | | | | | | | | | | |
| | $ | (44,088,000) | | | $ | (34,128,798) | | | $ | — | | | $ | (78,216,798) | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Consolidated Schedule of Investments above.
| (a) | 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 options written are shown at value. |
| | |
| 40 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation V.I. Fund |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset-
Backed
Securities | | | Common
Stocks | | | Corporate
Bonds | | | Floating Rate Loan Interests | | Preferred
Securities | | | Warrants | | | Total | |
Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2019 | | $ | — | | | $ | 15,053,541 | | | $ | 38,151,469 | | | $ | — | | | $ | 38,429,122 | | | $ | — | | | $ | 91,634,132 | |
Transfers into level 3 | | | — | | | | 8,713,622 | | | | — | | | | — | | | | — | | | | — | | | | 8,713,622 | |
Transfers out of level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Accrued discounts/premiums | | | (99 | ) | | | — | | | | (18,209 | ) | | | 8,683 | | | | — | | | | — | | | | (9,625) | |
Net realized gain | | | — | | | | 3,221 | | | | — | | | | — | | | | 107 | | | | — | | | | 3,328 | |
Net change in unrealized appreciation (depreciation) (a)(b) | | | 49,810 | | | | (6,894,685 | ) | | | (124,488 | ) | | | 343,634 | | | | 11,471,605 | | | | 205,357 | | | | 5,051,233 | |
Purchases | | | 1,355,286 | | | | — | | | | 682,959 | | | | 13,558,614 | | | | 19,123,871 | | | | — | | | | 34,720,730 | |
Sales | | | — | | | | (107,514 | ) | | | — | | | | — | | | | (4,410 | ) | | | — | | | | (111,924) | |
| | | | |
Closing balance, as of June 30, 2020 | | $ | 1,404,997 | | | $ | 16,768,185 | | | $ | 38,691,731 | | | $ | 13,910,931 | | | $ | 69,020,295 | | | $ | 205,357 | | | $ | 140,001,496 | |
| | | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 (b) | | $ | 49,810 | | | $ | (6,894,685 | ) | | $ | (124,488 | ) | | $ | 343,634 | | | $ | 11,471,739 | | | $ | 205,357 | | | $ | 5,051,367 | |
| | | | |
| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated 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, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $25,078,572. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.
| | | | | | | | | | | | | | | | | | | | |
| | | Value | | | Valuation
Approach | | | Unobservable Inputs | | | Range of
Unobservable
Inputs Utilized (a) | | | Weighted Average of
Unobservable
Inputs Based on Fair Value | |
Common Stocks(b) | | $ | 16,768,177 | | | | Income | | | | Discount Rate | | | | 16% | | | | — | |
| | | | | | | Market | | | | Revenue Multiple | | | | 3.13x - 14.75x | | | | 3.49x | |
| | | | | | | | | | | EBITDA | | | | 32.00x | | | | — | |
| | | | | | | | | | | Volatility | | | | 52% | | | | — | |
| | | | | | | | | | | Time to Exit | | | | 1.9 | | | | — | |
Corporate Bonds | | | 38,691,731 | | | | Income | | | | Discount Rate | | | | 16% - 29% | | | | 17% | |
Floating Rate Loan Interests | | | 2,651,200 | | | | Income | | | | Discount Rate | | | | 11% | | | | — | |
Preferred Stocks(c)(d) | | | 56,606,459 | | | | Market | | | | Revenue Multiple | | | | 6.93x - 16.00x | | | | 11.93x | |
| | | | | | | | | | | Time to Exit | | | | 1.9 - 3.0 | | | | 2.4 | |
| | | | | | | | | | | Volatility | | | | 40% - 61% | | | | 52% | |
Warrants | | | 205,357 | | | | Market | | | | Revenue Multiple | | | | 6.93x | | | | — | |
| | | | | | | | | | | Time to Exit | | | | 3.0 | | | | — | |
| | | | | | | | | | | Volatility | | | | 40% | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 114,922,924 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
| (b) | For the period end June 30, 2020, the valuation technique for investments classified as Common Stocks amounting to $11,186,114 changed to Current Value. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |
| (c) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $15,319,907 changed to Current Value. The investments were previously valued utilizing PWERM approach. The change was due to consideration of the information that was available at the time the investments were valued. |
| (d) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $11,506,163 changed to Current Value. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |
See notes to consolidated financial statements.
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 41 |
Consolidated Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $145,254,857) (cost — $6,937,192,910) | | $ | 7,626,420,526 | |
Investments at value — affiliated (cost — $321,629,187) | | | 299,659,729 | |
Cash | | | 18,254,789 | |
Cash pledged: | | | | |
Collateral — OTC derivatives | | | 1,050,000 | |
Futures contracts | | | 54,195,000 | |
Centrally cleared swaps | | | 16,483,000 | |
Foreign currency at value (cost — $413,760) | | | 385,552 | |
Receivables: | | | | |
Investments sold | | | 32,448,564 | |
Securities lending income — affiliated | | | 76,853 | |
Capital shares sold | | | 393,010 | |
Dividends — affiliated | | | 2,156 | |
Dividends — unaffiliated | | | 7,087,974 | |
Interest — unaffiliated | | | 10,063,935 | |
Variation margin on futures contracts | | | 1,732,381 | |
Unrealized appreciation on: | | | | |
Forward foreign currency exchange contracts | | | 9,400,910 | |
OTC swaps | | | 8,590,927 | |
Prepaid expenses | | | 80,216 | |
| | | | |
Total assets | | | 8,086,325,522 | |
| | | | |
| |
LIABILITIES | | | | |
Investments sold short, , at value and (proceeds $3,962,357) | | | 5,853,180 | |
Cash received: | | | | |
Collateral — OTC derivatives | | | 17,223,000 | |
Collateral — TBA commitments | | | 560,000 | |
Cash collateral on securities loaned at value | | | 146,765,671 | |
Options written at value (premium received $68,502,462) | | | 74,077,192 | |
Payables: | | | | |
Investments purchased | | | 218,606,174 | |
Swaps | | | 55,456 | |
Capital shares redeemed | | | 4,912,579 | |
Deferred foreign capital gain tax | | | 1,399,206 | |
Distribution fees | | | 1,330,940 | |
Investment advisory fees | | | 3,947,514 | |
Directors’ and Officer’s fees | | | 22,150 | |
Other affiliates | | | 32,250 | |
Variation margin on futures contracts | | | 5,597,977 | |
Variation margin on centrally cleared swaps | | | 179,630 | |
Other accrued expenses | | | 6,883,681 | |
Unrealized depreciation on: | | | | |
Forward foreign currency exchange contracts | | | 10,962,753 | |
OTC swaps | | | 391,579 | |
| | | | |
Total liabilities | | | 498,800,932 | |
| | | | |
| |
NET ASSETS | | $ | 7,587,524,590 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 6,820,067,156 | |
Accumulated earnings | | | 767,457,434 | |
| | | | |
NET ASSETS | | $ | 7,587,524,590 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $1,162,131,249 and 67,553,975 shares outstanding, 400 million shares authorized, $0.10 par value | | $ | 17.20 | |
| | | | |
Class II — Based on net assets of $205,282,467 and 11,985,519 shares outstanding, 200 million shares authorized, $0.10 par value | | $ | 17.13 | |
| | | | |
Class III — Based on net assets of $6,220,110,874 and 428,095,273 shares outstanding, 1.5 billion shares authorized, $0.10 par value | | $ | 14.53 | |
| | | | |
See notes to consolidated financial statements
| | |
| 42 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 1,558,013 | |
Dividends — unaffiliated | | | 42,774,503 | |
Interest — unaffiliated | | | 22,437,134 | |
Securities lending income — affiliated — net | | | 803,246 | |
Foreign taxes withheld | | | (2,084,426) | |
| | | | |
Total investment income | | | 65,488,470 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 24,078,987 | |
Distribution — class specific | | | 7,872,700 | |
Transfer agent — class specific | | | 6,974,881 | |
Custodian | | | 447,210 | |
Accounting services | | | 290,804 | |
Printing | | | 273,087 | |
Directors and Officer | | | 57,189 | |
Professional | | | 32,263 | |
Transfer agent | | | 3,437 | |
Miscellaneous | | | 93,967 | |
| | | | |
Total expenses excluding dividend expense | | | 40,124,525 | |
Dividends expense — affiliated | | | 146,235 | |
Dividends expense — unaffiliated | | | 112,485 | |
| | | | |
Total expenses | | | 40,383,245 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (211,580) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (4,347,956) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 35,823,709 | |
| | | | |
Net investment income | | | 29,664,761 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (2,950,580) | |
Investments — unaffiliated (net of $(76,753) foreign capital gain tax) | | | (34,753,665) | |
Forward foreign currency exchange contracts | | | (35,165,343) | |
Foreign currency transactions | | | 3,304,701 | |
Futures contracts | | | 106,557,702 | |
Options written | | | 25,808,780 | |
Short sales — affiliated | | | 6,503,341 | |
Short sales — unaffiliated | | | 2,941,724 | |
Swaps | | | (2,341,438) | |
| | | | |
| | | 69,905,222 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (4,496,704) | |
Investments — unaffiliated (net of $754,006 foreign capital gain tax) | | | (58,772,978) | |
Forward foreign currency exchange contracts | | | (14,205,870) | |
Foreign currency translations | | | (188,207) | |
Futures contracts | | | 707,910 | |
Options written | | | (11,855,727) | |
Short sales — unaffiliated | | | (1,629,419) | |
Swaps | | | 937,169 | |
| | | | |
| | | (89,503,826) | |
| | | | |
Net realized and unrealized loss | | | (19,598,604) | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 10,066,157 | |
| | | | |
See notes to consolidated financial statements
| | |
CONSOLIDATED FINANCIAL STATEMENTS | | 43 |
Consolidated Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 29,664,761 | | | $ | 115,829,332 | |
Net realized gain | | | 69,905,222 | | | | 336,187,714 | |
Net change in unrealized appreciation (depreciation) | | | (89,503,826) | | | | 956,230,734 | |
| | | | |
Net increase in net assets resulting from operations | | | 10,066,157 | | | | 1,408,247,780 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (53,305,190) | |
Class II | | | — | | | | (9,837,909) | |
Class III | | | — | | | | (342,314,609) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (405,457,708) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (542,407,297) | | | | (1,858,035,783) | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
Total decrease in net assets | | | (532,341,140) | | | | (855,245,711) | |
Beginning of period | | | 8,119,865,730 | | | | 8,975,111,441 | |
| | | | |
End of period | | $ | 7,587,524,590 | | | $ | 8,119,865,730 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to consolidated financial statements
| | |
| 44 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| | | Class I | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 17.11 | | | $ | 15.19 | | | $ | 17.26 | | | $ | 15.51 | | | $ | 15.09 | | | $ | 16.26 | |
| | | | |
Net investment income (a) | | | 0.08 | | | | 0.26 | | | | 0.26 | | | | 0.22 | | | | 0.22 | | | | 0.22 | |
Net realized and unrealized gain (loss) | | | 0.01 | | | | 2.45 | | | | (1.52) | | | | 1.92 | | | | 0.40 | | | | (0.35) | |
| | | | |
Net increase (decrease) from investment operations | | | 0.09 | | | | 2.71 | | | | (1.26) | | | | 2.14 | | | | 0.62 | | | | (0.13) | |
| | | | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.22) | | | | (0.17) | | | | (0.22) | | | | (0.20) | | | | (0.19) | |
From net realized gain | | | — | | | | (0.57) | | | | (0.64) | | | | (0.17) | | | | — | | | | (0.84) | |
From return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01) | |
| | | | |
Total distributions | | | — | | | | (0.79) | | | | (0.81) | | | | (0.39) | | | | (0.20) | | | | (1.04) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 17.20 | | | $ | 17.11 | | | $ | 15.19 | | | $ | 17.26 | | | $ | 15.51 | | | $ | 15.09 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.53%(d) | | | | 17.92% | | | | (7.34)% | | | | 13.86% | | | | 4.11% | | | | (0.89)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.85%(f) | | | | 0.74% | | | | 0.75% | | | | 0.72% | | | | 0.74% | | | | 0.75% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.74%(f) | | | | 0.73% | | | | 0.74% | | | | 0.72% | | | | 0.74% | | | | 0.73% | |
| | | | |
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense and broker fees and expenses on short sales | | | 0.74%(f) | | | | 0.73% | | | | 0.73% | | | | 0.70% | | | | 0.73% | | | | 0.73% | |
| | | | |
Net investment income | | | 1.00%(f) | | | | 1.60% | | | | 1.53% | | | | 1.32% | | | | 1.47% | | | | 1.32% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,162,131 | | | $ | 1,192,769 | | | $ | 2,091,197 | | | $ | 2,306,034 | | | $ | 2,107,145 | | | $ | 1,994,371 | |
| | | | |
Portfolio turnover rate | | | 107% | | | | 198% | | | | 144% | | | | 118% | | | | 135% | | | | 90%(g) | |
| | | | |
(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 | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01% | | | | —% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
| (g) | Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 88%. |
See notes to consolidated financial statements.
| | |
CONSOLIDATED FINANCIAL HIGHLIGHTS | | 45 |
Consolidated Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| | | Class II | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 17.05 | | | $ | 15.14 | | | $ | 17.21 | | | $ | 15.46 | | | $ | 15.04 | | | $ | 16.21 | |
| | | | |
Net investment income (a) | | | 0.07 | | | | 0.23 | | | | 0.23 | | | | 0.19 | | | | 0.20 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | 0.01 | | | | 2.44 | | | | (1.52) | | | | 1.93 | | | | 0.40 | | | | (0.35) | |
| | | | |
Net increase (decrease) from investment operations | | | 0.08 | | | | 2.67 | | | | (1.29) | | | | 2.12 | | | | 0.60 | | | | (0.16) | |
| | | | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.19) | | | | (0.14) | | | | (0.20) | | | | (0.18) | | | | (0.16) | |
From net realized gain | | | — | | | | (0.57) | | | | (0.64) | | | | (0.17) | | | | — | | | | (0.84) | |
From return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01) | |
| | | | |
Total distributions | | | — | | | | (0.76) | | | | (0.78) | | | | (0.37) | | | | (0.18) | | | | (1.01) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 17.13 | | | $ | 17.05 | | | $ | 15.14 | | | $ | 17.21 | | | $ | 15.46 | | | $ | 15.04 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.47%(d) | | | | 17.76% | | | | (7.52)% | | | | 13.74% | | | | 3.96% | | | | (1.05)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.03%(f) | | | | 1.02% | | | | 1.04% | | | | 1.00% | | | | 1.02% | | | | 1.02% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.89%(f) | | | | 0.88% | | | | 0.89% | | | | 0.87% | | | | 0.89% | | | | 0.88% | |
| | | | |
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense and broker fees and expenses on short sales | | | 0.89%(f) | | | | 0.88% | | | | 0.88% | | | | 0.85% | | | | 0.88% | | | | 0.88% | |
| | | | |
Net investment income | | | 0.85%(f) | | | | 1.41% | | | | 1.34% | | | | 1.17% | | | | 1.33% | | | | 1.17% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 205,282 | | | $ | 224,159 | | | $ | 213,919 | | | $ | 258,564 | | | $ | 229,492 | | | $ | 256,964 | |
| | | | |
Portfolio turnover rate | | | 107% | | | | 198% | | | | 144% | | | | 118% | | | | 135% | | | | 90%(g) | |
| | | | |
(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 | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
Investments in underlying funds | | | 0.01% | | | | —% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
| (g) | Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 88%. |
See notes to consolidated financial statements.
| | |
| 46 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Global Allocation V.I. Fund | |
| | | Class III | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | |
Net asset value, beginning of period | | $ | 14.47 | | | $ | 12.95 | | | $ | 14.84 | | | $ | 13.37 | | | $ | 13.04 | | | $ | 14.19 | |
| | | | |
Net investment income (a) | | | 0.05 | | | | 0.19 | | | | 0.19 | | | | 0.17 | | | | 0.16 | | | | 0.15 | |
Net realized and unrealized gain (loss) | | | 0.01 | | | | 2.08 | | | | (1.31) | | | | 1.66 | | | | 0.34 | | | | (0.30) | |
| | | | |
Net increase (decrease) from investment operations | | | 0.06 | | | | 2.27 | | | | (1.12) | | | | 1.83 | | | | 0.50 | | | | (0.15) | |
| | | | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.18) | | | | (0.13) | | | | (0.19) | | | | (0.17) | | | | (0.15) | |
From net realized gain | | | — | | | | (0.57) | | | | (0.64) | | | | (0.17) | | | | — | | | | (0.84) | |
From return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01) | |
| | | | |
Total distributions | | | — | | | | (0.75) | | | | (0.77) | | | | (0.36) | | | | (0.17) | | | | (1.00) | |
| | | | |
| | | | | | |
Net asset value, end of period | | $ | 14.53 | | | $ | 14.47 | | | $ | 12.95 | | | $ | 14.84 | | | $ | 13.37 | | | $ | 13.04 | |
| | | | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.41%(d) | | | | 17.67% | | | | (7.58)% | | | | 13.71% | | | | 3.81% | | | | (1.14)% | |
| | | | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.12%(f) | | | | 1.14% | | | | 1.14% | | | | 1.13% | | | | 1.12% | | | | 1.12% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.99%(f) | | | | 0.98% | | | | 0.99% | | | | 1.00% | | | | 0.99% | | | | 0.98% | |
| | | | |
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense and broker fees and expenses on short sales | | | 0.99%(f) | | | | 0.98% | | | | 0.98% | | | | 0.98% | | | | 0.98% | | | | 0.98% | |
| | | | |
Net investment income | | | 0.75%(f) | | | | 1.32% | | | | 1.28% | | | | 1.15% | | | | 1.22% | | | | 1.07% | |
| | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 6,220,111 | | | $ | 6,702,938 | | | $ | 6,669,996 | | | $ | 8,233,615 | | | $ | 8,139,218 | | | $ | 8,869,288 | |
| | | | |
Portfolio turnover rate | | | 107% | | | | 198% | | | | 144% | | | | 118% | | | | 135% | | | | 90%(g) | |
| | | | |
(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 | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
Investments in underlying funds | | | 0.01% | | | | —% | | | | 0.01% | | | | 0.01% | | | | —% | | | | —% | |
| | | | |
| (g) | Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 88%. |
See notes to consolidated financial statements.
| | |
CONSOLIDATED FINANCIAL HIGHLIGHTS | | 47 |
Notes to Consolidated Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The consolidated financial statements presented are for BlackRock Global Allocation V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
Basis of Consolidation: The accompanying consolidated financial statements of the Fund include the accounts of BlackRock Cayman Global Allocation V.I. Fund I, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of the Fund and primarily invests in commodity-related instruments and other derivatives. The Subsidiary enables the Fund to hold these commodity-related instruments and satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary as of period end were $190,699,078, which is 2.5% of the Fund’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 the Fund, except that the Subsidiary may invest without limitation in commodity-related instruments.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The consolidated 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 consolidated financial statements, disclosure of contingent assets and liabilities at the date of the Consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Consolidated Statement 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. The 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 the Fund enters into certain investments (e.g., TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security”. Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
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 the Fund’s ordinary income and/or capital gains for that year.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| | |
| 48 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on overdrafts, subject to certain conditions.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the consolidated financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time. U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
| | • | | 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 based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
| | • | | Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. 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 Fund’s 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
| | |
NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 49 |
Notes to Consolidated Financial Statements (unaudited) (continued)
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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. 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, 2020, 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.
| 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.
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| 50 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
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.
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 Consolidated Statement 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.
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
| | |
NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 51 |
Notes to Consolidated Financial Statements (unaudited) (continued)
(“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 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, the Fund 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 Consolidated Statement 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 Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations. As of period end, the Fund had the following unfunded floating rate loan interests:
| | | | | | | | | | | | | | | | |
| Borrower | | Par | | | Commitment Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
Opendoor, Term Loan | | $ | 5,302,400 | | | $ | 5,302,400 | | | $ | 5,302,400 | | | $ | — | |
Short Sale Transactions: 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 Consolidated Statement of Assets and Liabilities. Securities segregated as collateral are denoted in the Consolidated Schedule 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 Consolidated Statement 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 Consolidated Statement 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: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 and preferred stocks in the Fund’s Consolidated Schedule of Investments, and the value of any related collateral are shown separately in the Consolidated Statement 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 Consolidated Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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
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| 52 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | | Cash Collateral Received (a) | | | Net Amount | |
BofA Securities, Inc. | | | $ 27,703,208 | | | | $ (27,703,208 | ) | | | $ — | |
Citigroup Global Markets, Inc. | | | 11,093,144 | | | | (11,093,144 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 27,607,848 | | | | (27,607,848 | ) | | | — | |
Goldman Sachs & Co. | | | 278 | | | | (278 | ) | | | — | |
Jefferies LLC | | | 8,602,460 | | | | (8,602,460 | ) | | | — | |
JP Morgan Securities LLC | | | 15,666,293 | | | | (15,666,293 | ) | | | — | |
National Financial Services LLC | | | 5,966,737 | | | | (5,966,737 | ) | | | — | |
SG Americas Securities LLC | | | 2,711,883 | | | | (2,711,883 | ) | | | — | |
State Street Bank & Trust Co. | | | 4,422,357 | | | | (4,422,357 | ) | | | — | |
TD Prime Services LLC | | | 35,872,002 | | | | (35,872,002 | ) | | | — | |
UBS Securities LLC | | | 5,608,647 | | | | (5,608,647 | ) | | | — | |
| | | | |
| | | $ 145,254,857 | | | | $ (145,254,857 | ) | | | $ — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Consolidated Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Consolidated Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Consolidated Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Consolidated Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Consolidated Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, 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 Fund 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 Consolidated Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated Statement 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, and such value may exceed the amount(s) reflected in the Consolidated Statement of Assets
| | |
NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 53 |
Notes to Consolidated Financial Statements (unaudited) (continued)
and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Consolidated Statement of Assets and Liabilities.
Options: The Fund purchases and writes call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Consolidated Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Consolidated Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Consolidated Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Fund writes a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Consolidated Statement of Assets and Liabilities.
| | • | | Swaptions — The Fund purchases and writes options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
| | • | | 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 the 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 — The Fund purchases and writes 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 — The Fund may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC. |
The Fund 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.
In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that it may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Consolidated Statement of Assets and Liabilities. Payments received or paid are recorded in the Consolidated Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Consolidated Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared
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| 54 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
swaps in the Consolidated Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Consolidated Statement 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 Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| | • | | 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 security or market (e.g., fixed-income) with another security or 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 of 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 Fund receives payment from or makes a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
| | • | | 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.
| | • | | Forward swaps — The Fund enters into forward interest rate swaps and forward total return swaps. In a forward swap, the 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 Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the 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, the 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.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 55 |
Notes to Consolidated Financial Statements (unaudited) (continued)
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it bears the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statement of Assets and Liabilities.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment Advisory Fees | |
First $6 Billion | | | 0.65 | % |
$6 Billion - $8 Billion | | | 0.61 | |
$8 Billion - $10 Billion | | | 0.59 | |
$10 Billion - $15 Billion | | | 0.57 | |
Greater than $15 Billion | | | 0.55 | |
The Manager provides investment management and other services to the Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, the Fund 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 Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15% | |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the following table shows the class specific distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution Fees | |
Class II | | $ | 154,441 | |
Class III | | | 7,718,259 | |
| | | $ | 7,872,700 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent — class specific in the Consolidated Statement of Operations. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Consolidated Statement of Operations.
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| 56 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 958,184 | |
Class II | | | 206,334 | |
Class III | | | 5,810,363 | |
| | | $ | 6,974,881 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the director 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations. For the six months ended June 30, 2020, the amount waived was $6,809.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations. For the six months ended June 30, 2020, the Manager waived $204,771 in investment advisory fees pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $44,742 for certain accounting services, which is included in accounting services in the Consolidated Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.07 | % |
Class II | | | 0.07 | |
Class III | | | 0.07 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Consolidated Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/ or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees Waived and/or Reimbursed | |
Class I | | | $ 564,524 | |
Class II | | | 134,249 | |
Class III | | | 3,649,183 | |
| | | | $ 4,347,956 | |
The Manager has contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class II | | | 1.40 | |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
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NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 57 |
Notes to Consolidated Financial Statements (unaudited) (continued)
Pursuant to the current securities lending agreement, the Fund retains 82% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, 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 (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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Consolidated Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $175,047 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Consolidated Statement of Operations.
Other Transactions: The Fund 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, 2020, 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 | | $ | 5,038,708 | |
Sales | | | 5,075,074 | |
Net Realized Gain | | | 104,143 | |
For the six months ended June 30, 2020, purchases and sales of investments, including paydowns, and excluding short-term securities, were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Non-U.S. Government Securities | | $ | 6,510,749,837 | | | $ | 6,361,679,186 | |
U.S. Government Securities | | | 682,162,852 | | | | 952,823,870 | |
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s consolidated financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| |
Tax cost | | $ | 7,285,051,689 | |
| | | | |
Gross unrealized appreciation | | $ | 1,064,782,103 | |
Gross unrealized depreciation | | | (435,592,028) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 629,190,075 | |
| | | | |
| | |
| 58 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Consolidated Financial Statements (unaudited) (continued)
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Consolidated Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The 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 the Fund.
For OTC options purchased, the Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally
| | |
NOTESTO CONSOLIDATED FINANCIAL STATEMENTS | | 59 |
Notes to Consolidated Financial Statements (unaudited) (continued)
obligate the Fund, and not the counterparty, to perform. The Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: The Fund invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 2,585,345 | | | $ | 42,502,308 | | | | 4,995,044 | | | $ | 82,768,726 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 2,991,028 | | | | 50,879,664 | |
Shares redeemed | | | (4,741,241 | ) | | | (77,849,178 | ) | | | (75,955,193 | ) | | | (1,254,809,730) | |
| | | | |
Net decrease | | | (2,155,896 | ) | | $ | (35,346,870 | ) | | | (67,969,121 | ) | | $ | (1,121,161,340) | |
| | | | |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 369,841 | | | $ | 6,212,739 | | | | 219,540 | | | $ | 3,637,138 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 580,600 | | | | 9,837,910 | |
Shares redeemed | | | (1,532,856 | ) | | | (24,060,585 | ) | | | (1,781,414 | ) | | | (29,175,794) | |
| | | | |
Net decrease | | | (1,163,015 | ) | | $ | (17,847,846 | ) | | | (981,274 | ) | | $ | (15,700,746) | |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 2,514,032 | | | $ | 33,702,314 | | | | 4,496,421 | | | $ | 63,308,040 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 23,779,931 | | | | 342,314,610 | |
Shares redeemed | | | (37,663,359 | ) | | | (522,914,895 | ) | | | (79,939,440 | ) | | | (1,126,796,347) | |
| | | | |
Net decrease | | | (35,149,327 | ) | | $ | (489,212,581 | ) | | | (51,663,088 | ) | | $ | (721,173,697) | |
| | | | |
Total Net Decrease | | | (38,468,238 | ) | | $ | (542,407,297 | ) | | | (120,613,483 | ) | | $ | (1,858,035,783) | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the consolidated financial statements.
| | |
| 60 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency |
| |
| AUD | | Australian Dollar |
| |
| CAD | | Canadian Dollar |
| |
| CHF | | Swiss Franc |
| |
| CNY | | Chinese Yuan |
| |
| EUR | | Euro |
| |
| GBP | | British Pound |
| |
| HKD | | Hong Kong Dollar |
| |
| INR | | Indian Rupee |
| |
| JPY | | Japanese Yen |
| |
| KRW | | South Korean Won |
| |
| MXN | | Mexican Peso |
| |
| MYR | | Malaysian Ringgit |
| |
| NOK | | Norwegian Krone |
| |
| NZD | | New Zealand Dollar |
| |
| RUB | | New Russian Ruble |
| |
| SGD | | Singapore Dollar |
| |
| USD | | United States Dollar |
| |
| ZAR | | South African Rand |
| | |
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| BA | | Canadian Bankers Acceptances |
| |
| CLO | | Collateralized Loan Obligation |
| |
| DAC | | Designated Activity Company |
| |
| ETF | | Exchange-Traded Fund |
| |
| EURIBOR | | Euro Interbank Offered Rate |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| MSCI | | Morgan Stanley Capital International |
| |
| NASDAQ | | National Association of Securities Dealers Automated |
| |
| OTC | | Over-the-counter |
| |
| PCL | | Public Company Limited |
| |
| PIK | | Payment-In-Kind |
| |
| REIT | | Real Estate Investment Trust |
| |
| S&P | | Standard & Poor’s |
| |
| SOFR | | Secured Overnight Financing Rate |
| |
| SPDR | | Standard & Poor’s Depositary Receipts |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 61 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Government Money Market V.I. Fund |
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Money Market Overview For the 6-Month Period Ended June 30, 2020
At the onset of 2020, the economy was in a good place and interest rate policy was appropriate according to the Fed, but this outlook quickly changed upon the imposition of dramatic measures by authorities around the world to stem the spread of the coronavirus pandemic. In response, the Fed quickly enacted a series of unprecedented measures to channel credit to businesses and households and smooth market functioning.
The Fed’s stimulus campaign began with an “emergency” 0.50% cut to the Federal Funds target rate on March 3, 2020. This action was followed up a few weeks later with a surprise 1% interest rate cut, bringing the range for the Federal Funds target rate to 0.00%-0.25%. This action included a commitment to keep rates low until the uncertainty has passed. Dusting off its crisis-era playbook, the Fed rebooted or rolled out various support facilities and continues to emphasize its support of credit and liquidity in order to stabilize markets.
The most impactful measure for money market funds, in our view, was the creation of the Money Market Liquidity Facility to purchases commercial paper and domestic and Yankee certificates of deposit from prime money market funds, and municipal debt and variable rate demand notes from municipal money market funds.
The facility was largely active and provided liquidity to money market funds by the end of the first quarter of 2020. In a nod to 2008, the Fed revived the following vehicles: the Commercial Paper Funding Facility to backstop the purchase of high-quality commercial paper from U.S. issuers; the Primary Dealer Credit Facility to provide low- cost funding against a broad range of collateral including commercial paper; and the Term Asset-Backed Securities Loan Facility to purchase asset-backed securities.
Other notable actions included the creation of new facilities to purchase investment- grade corporate debt through the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility. A $2 trillion fiscal aid package signed into law by President Trump along with a series of coordinated global fiscal and monetary actions complemented the Fed’s sweeping measures.
While no new policy initiatives were announced at the June 10, 2020 Federal Open Market Committee meeting, Chairman Powell acknowledged during the post-meeting press conference that two additional policy tools, so-called forward guidance and the targeting of interest rates along the yield curve, were both discussed. Minutes of the meeting released on July 1 revealed that “participants generally indicated support for outcome-based forward guidance.”
According to the Investment Company Institute (“ICI”), prime money market fund assets across the industry recouped over two-thirds of the outflows experienced during the first quarter of 2020, standing around $761 billion at the quarter’s end.
By contrast, over the second quarter, government money market fund assets industrywide declined more than $160 billion since peaking at over $3.9 trillion on May 13, 2020 per the ICI. According to Wrightson ICAP (a research firm that specializes in analysis of federal reserve operations and policy, economic data, and Treasury financing trends), net new Treasury bill supply was robust in the second quarter of 2020, totaling $2.4 trillion. Rates across the Treasury bill curve were up modestly as of June 30 relative to the end of the first quarter of 2020, as markets digested heavy Treasury bill supply.
The three-month London Interbank Offered Rate overnight indexed swap spread — a gauge of stress in the financial system — declined to 0.24% as of June 30, 2020 from 1.38% as on March 31, 2020. A sign, in our view, of normalizing over the quarter.
Usage of the Money Market Mutual Fund Liquidity Facility — which is intended to serve as a backstop source of liquidity for prime and municipal money market funds — steadily declined throughout the second quarter. As of July 1, 2020, usage stood at around $20.6 billion, which is down over $32 billion from the peak level seen on April 8, 2020.
In our view, some of the excess liquidity that was amassed in money market funds in March and April is slowly being deployed elsewhere, and we expect to see additional outflows from money market funds in advance of the July 15 federal income tax filing date.
Net new Treasury bill issuance, in our assessment, could be tempered in the near term given the ample cash balance of over $1.6 trillion in the Treasury General Account at the Fed as of July 1, 2020. Looking ahead, we believe a heavier-than-expected pace of disbursements from the Treasury General Account or passage of additional fiscal stimulus at the federal level could result in a resumption of more robust Treasury bill supply.
We expect credit spreads to remain range bound over the course of the third quarter of 2020. Going forward, we will be monitoring how successful economies are at restarting activity while controlling the coronavirus spread as well as the effectiveness of policy implementation.
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Government Money Market V.I. Fund |
Investment Objective
BlackRock Government Money Market V.I. Fund’s (the “Fund”) investment objective is to seek to preserve capital, maintain liquidity and achieve the highest possible current income consistent with the foregoing.
Fund Information
CURRENT SEVEN-DAY YIELDS
| | | | | | | | |
| | | 7-Day
SEC Yield | | | 7-Day
Yield | �� |
BlackRock Government Money Market V.I. Fund | | | 0.03 | % | | | 0.03 | % |
The 7-Day SEC Yields may differ from the 7-Day Yields shown above due to the fact that the 7-Day SEC Yields exclude distributed capital gains.
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.
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Net Assets | |
U.S. Government Sponsored Agency Obligations | | | 42 | % |
Repurchase Agreements | | | 40 | |
U.S. Treasury Obligations | | | 15 | |
Other Assets Less Liabilities | | | 3 | |
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period(b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period(b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,003.40 | | | $ | 1.49 | | | | | | | $ | 1,000.00 | | | $ | 1,023.37 | | | $ | 1.51 | | | | 0.30 | % |
| | (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. | |
| | (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). | |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Government Money Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| |
U.S. Government Sponsored Agency
Obligations — 41.8% | | | | |
Federal Farm Credit Bank Discount Notes(a): | | | | | |
0.15%, 08/14/20 | | | USD 770 | | | $ | 768,494 | |
0.14%, 09/03/20 | | | 1,695 | | | | 1,690,329 | |
0.14%, 09/28/20 | | | 460 | | | | 458,181 | |
0.15%, 10/02/20 | | | 545 | | | | 544,268 | |
0.17%, 11/12/20 | | | 1,205 | | | | 1,204,372 | |
0.18%, 12/08/20 | | | 2,980 | | | | 2,960,091 | |
0.18%, 01/19/21 | | | 1,230 | | | | 1,227,653 | |
0.18%, 01/20/21 | | | 270 | | | | 268,660 | |
0.17%, 02/12/21 | | | 1,040 | | | | 1,037,193 | |
0.17%, 03/11/21 | | | 1,000 | | | | 998,805 | |
0.17%, 03/17/21 | | | 1,040 | | | | 1,037,980 | |
0.15%, 06/01/21 | | | 1,155 | | | | 1,152,958 | |
Federal Farm Credit Bank Variable Rate Notes(b): | | | | | |
(LIBOR USD 1 Month - 0.04%),
0.15%, 09/11/20 | | | 510 | | | | 509,997 | |
(LIBOR USD 1 Month + 0.03%),
0.21%, 12/14/20 | | | 1,025 | | | | 1,024,981 | |
(SOFR + 0.11%), 0.19%, 01/15/21 | | | 705 | | | | 705,000 | |
(LIBOR USD 1 Month + 0.05%),
0.24%, 04/16/21 | | | 1,185 | | | | 1,185,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.26%), 0.41%, 06/17/21 | | | 795 | | | | 794,924 | |
(LIBOR USD 1 Month + 0.16%),
0.33%, 07/01/21 | | | 645 | | | | 645,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.23%), 0.38%, 07/08/21 | | | 455 | | | | 455,000 | |
(LIBOR USD 1 Month + 0.11%),
0.29%, 07/09/21 | | | 260 | | | | 260,000 | |
(LIBOR USD 1 Month + 0.13%),
0.31%, 10/08/21 | | | 300 | | | | 300,000 | |
(LIBOR USD 1 Month + 0.11%),
0.30%, 11/12/21 | | | 225 | | | | 225,000 | |
(SOFR + 0.19%), 0.27%, 11/18/21 | | | 375 | | | | 375,000 | |
Federal Farm Credit Banks Funding Corp., (US Treasury 3 Month Bill Money Market Yield + 0.12%), 0.27%, 05/02/22(b) | | | 270 | | | | 269,970 | |
Federal Farm Credit Banks Funding Corp. Variable Rate Notes(b): | | | | | | | | |
(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.18%, 12/16/20 | | | 95 | | | | 95,000 | |
(SOFR + 0.08%), 0.16%, 01/14/21 | | | 380 | | | | 380,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.30%, 12/13/21 | | | 535 | | | | 534,227 | |
(SOFR + 0.18%), 0.26%, 01/14/22 | | | 870 | | | | 870,000 | |
Federal Home Loan Bank, 0.20%, 06/17/21 | | | 480 | | | | 479,964 | |
Federal Home Loan Bank Discount Notes(a): | | | | | |
0.10%, 07/06/20 | | | 3,785 | | | | 3,784,174 | |
0.11%, 07/08/20 | | | 1,200 | | | | 1,199,961 | |
0.11%, 07/15/20 | | | 885 | | | | 884,463 | |
0.12%, 07/22/20 | | | 2,235 | | | | 2,234,844 | |
0.12%, 07/31/20 | | | 3,595 | | | | 3,590,315 | |
0.15%, 08/05/20 | | | 3,560 | | | | 3,559,588 | |
0.15%, 08/14/20 | | | 1,420 | | | | 1,417,255 | |
0.15%, 08/17/20 | | | 1,400 | | | | 1,397,999 | |
0.15%, 08/21/20 | | | 975 | | | | 972,894 | |
0.15%, 08/28/20 | | | 305 | | | | 304,538 | |
0.18%, 12/04/20 | | | 1,215 | | | | 1,211,314 | |
0.16%, 06/11/21 | | | 840 | | | | 838,390 | |
Federal Home Loan Bank Variable Rate Notes(b): | | | | | | | | |
(LIBOR USD 1 Month + 0.01%),
0.18%, 07/10/20 | | | 1,645 | | | | 1,645,000 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| U.S. Government Sponsored Agency Obligations (continued) | |
(SOFR + 0.08%), 0.16%, 07/24/20 | | | USD 265 | | | $ | 265,000 | |
(LIBOR USD 1 Month - 0.03%),
0.15%, 08/04/20 | | | 560 | | | | 560,000 | |
(SOFR + 0.03%), 0.11%, 08/05/20 | | | 335 | | | | 335,000 | |
(SOFR + 0.02%), 0.10%, 08/19/20 | | | 545 | | | | 545,000 | |
(LIBOR USD 1 Month - 0.05%),
0.14%, 08/20/20 | | | 720 | | | | 720,000 | |
(SOFR + 0.03%), 0.11%, 08/21/20 | | | 245 | | | | 245,000 | |
(SOFR + 0.02%), 0.10%, 08/28/20 | | | 1,775 | | | | 1,775,000 | |
(SOFR + 0.09%), 0.16%, 09/11/20 | | | 1,460 | | | | 1,460,000 | |
(SOFR + 0.11%), 0.19%, 10/01/20 | | | 990 | | | | 990,000 | |
(SOFR + 0.12%), 0.20%, 10/07/20 | | | 500 | | | | 500,000 | |
(SOFR + 0.13%), 0.21%, 10/16/20 | | | 4,220 | | | | 4,220,000 | |
(LIBOR USD 3 Month - 0.13%),
0.18%, 12/21/20 | | | 1,350 | | | | 1,350,000 | |
(LIBOR USD 3 Month - 0.17%),
1.18%, 01/08/21 | | | 700 | | | | 700,000 | |
(SOFR + 0.05%), 0.13%, 01/22/21 | | | 310 | | | | 310,000 | |
(SOFR + 0.04%), 0.12%, 02/09/21 | | | 1,825 | | | | 1,824,812 | |
(SOFR + 0.08%), 0.16%, 03/04/21 | | | 560 | | | | 560,000 | |
(SOFR + 0.12%), 0.20%, 03/12/21 | | | 890 | | | | 890,000 | |
(SOFR + 0.11%), 0.19%, 03/25/21 | | | 1,000 | | | | 1,000,000 | |
(LIBOR USD 1 Month - 0.01%),
0.16%, 04/05/21 | | | 1,555 | | | | 1,555,000 | |
(SOFR + 0.17%), 0.25%, 04/09/21 | | | 870 | | | | 870,000 | |
(LIBOR USD 1 Month - 0.02%),
0.16%, 04/27/21 | | | 865 | | | | 864,794 | |
(SOFR + 0.08%), 0.16%, 07/08/21 | | | 650 | | | | 650,000 | |
(SOFR + 0.09%), 0.16%, 09/10/21 | | | 1,580 | | | | 1,580,000 | |
(SOFR + 0.12%), 0.20%, 02/28/22 | | | 1,265 | | | | 1,265,000 | |
Federal Home Loan Mortgage Corp. Discount Notes(a): | | | | | | | | |
0.11%, 07/17/20 | | | 2,755 | | | | 2,753,727 | |
0.12%, 07/24/20 | | | 705 | | | | 704,698 | |
0.12%, 07/28/20 | | | 1,085 | | | | 1,084,463 | |
Federal Home Loan Mortgage Corp. Variable Rate Notes(b): | | | | | | | | |
(SOFR + 0.03%), 0.11%, 02/26/21 | | | 755 | | | | 755,000 | |
(SOFR + 0.18%), 0.26%, 12/13/21 | | | 1,390 | | | | 1,390,000 | |
Federal National Mortgage Association(b): | | | | | | | | |
(SOFR + 0.36%), 0.44%, 01/20/22 | | | 2,600 | | | | 2,600,000 | |
(SOFR + 0.35%), 0.43%, 04/07/22 | | | 985 | | | | 985,000 | |
(SOFR + 0.39%), 0.47%, 04/15/22 | | | 1,470 | | | | 1,470,000 | |
Federal National Mortgage Association Discount Notes, 0.12%, 07/24/20(a) | | | 720 | | | | 719,692 | |
Federal National Mortgage Association Variable Rate Notes, (SOFR + 0.07%),
0.15%, 12/11/20(b) | | | 715 | | | | 715,000 | |
| | | | | | | | |
Total U.S. Government Sponsored Agency
Obligations — 41.8%
(Cost: $83,710,968) | | | | 83,710,968 | |
| | | | | | | | |
| |
U.S. Treasury Obligations — 15.2% | | | | | |
U.S. Treasury Bills(a): | | | | | | | | |
0.10%, 07/14/20 | | | 2,000 | | | | 1,999,908 | |
0.13%, 07/30/20 | | | 1,715 | | | | 1,714,824 | |
0.13%, 08/04/20 | | | 7,000 | | | | 6,999,074 | |
0.14%, 08/18/20 | | | 2,010 | | | | 2,009,686 | |
0.13%, 08/20/20 | | | 355 | | | | 354,256 | |
0.14%, 08/27/20 | | | 1,140 | | | | 1,138,457 | |
0.14%, 09/10/20 | | | 455 | | | | 453,439 | |
0.16%, 10/15/20 | | | 1,500 | | | | 1,498,719 | |
0.16%, 10/22/20 | | | 2,450 | | | | 2,448,826 | |
0.16%, 10/29/20 | | | 595 | | | | 594,700 | |
0.18%, 11/10/20 | | | 1,085 | | | | 1,084,293 | |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Government Money Market V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| U.S. Treasury Obligations (continued) | | | | |
0.16%, 12/01/20 | | | USD 600 | | | $ | 599,582 | |
0.16%, 02/25/21 | | | 2,000 | | | | 1,997,610 | |
0.17%, 05/20/21 | | | 1,335 | | | | 1,333,084 | |
U.S. Treasury Notes: | | | | | | | | |
(US Treasury 3 Month Bill Money Market Yield + 0.05%), 0.20%, 10/31/20(b) | | | 3,000 | | | | 2,998,956 | |
1.75%, 11/15/20 | | | 190 | | | | 190,095 | |
2.63%, 11/15/20 | | | 530 | | | | 531,921 | |
1.63%, 11/30/20 | | | 210 | | | | 209,965 | |
2.00%, 11/30/20 | | | 125 | | | | 125,174 | |
2.00%, 01/15/21 | | | 350 | | | | 353,085 | |
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 0.29%, 04/30/21(b) | | | 170 | | | | 169,885 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| U.S. Treasury Obligations (continued) | |
(US Treasury 3 Month Bill Money Market Yield + 0.22%),
0.37%, 07/31/21(b) | | | USD 1,000 | | | $ | 1,000,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%),
0.45%, 10/31/21(b) | | | 590 | | | | 590,468 | |
| | | | | | | | |
Total U.S. Treasury Obligations — 15.2%
(Cost: $30,396,007) | | | | 30,396,007 | |
| | | | | | | | |
Total Repurchase Agreements — 40.1%
(Cost: $80,500,000) | | | | 80,500,000 | |
| | | | | | | | |
Total Investments — 97.1%
(Cost: $194,606,975)(c) | | | | 194,606,975 | |
Other Assets Less Liabilities — 2.9% | | | | | | | 5,828,308 | |
| | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 200,435,283 | |
| | | | | | | | |
| (a) | Rates are the current rate or a range of current rates as of period end. |
| (b) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (c) | Cost for U.S. federal income tax purposes. |
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 America Securities, Inc. | | | 0.09 | % | | | 06/30/20 | | | | 07/01/20 | | | $ | 10,000 | | | $ | 10,000 | | | $10,000,025 | | | | U.S. Government Sponsored Agency Obligation,
2.99%, due 07/18/34 | | $9,637,000 | | $10,200,803 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BNP Paribas SA | | | 0.09 | | | | 06/30/20 | | | | 07/01/20 | | | | 13,000 | | | | 13,000 | | | 13,000,033 | | | | U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations,
0.00% to 8.75%,
due 07/15/20 to 05/20/50 | | 31,085,367 | | 13,260,000 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. LLC | | | 0.11 | | | | 06/24/20 | | | | 07/01/20 | | | | 4,000 | | | | 4,000 | | | 4,000,086 | | | | U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations,
0.00% to 4.38%,
due 08/06/20 to 02/15/48 | | 4,036,886 | | 4,080,000 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
JP Morgan Securities LLC | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 10,000 | | | | 10,000 | | | 10,000,019 | | | | U.S. Treasury Obligation,
2.00%, due 07/31/20 | | 10,100,800 | | 10,200,068 |
| | | 0.26 | (a) | | | 06/30/20 | | | | 08/05/20 | | | | 3,500 | | | | 3,500 | | | 3,500,918 | | | | U.S. Government Sponsored Agency Obligations,
6.00% to 6.46%,
due 02/20/42 to 07/16/43 | | 58,988,496 | | 3,675,003 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total JP Morgan Securities LLC | | | | | | | | | | | | | | | | | | $ | 13,500 | | | | | | | | | | | $13,875,071 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mizuho Securities USA LLC | | | 0.09 | | | | 06/30/20 | | | | 07/01/20 | | | | 15,000 | | | | 15,000 | | | 15,000,038 | | | | U.S. Government Sponsored Agency Obligation,
2.50%, due 06/01/50 | | 14,798,130 | | 15,450,001 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Societe Generale SA | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 10,000 | | | | 10,000 | | | 10,000,019 | | | | U.S. Treasury Obligations,
0.00% to 3.00%,
due 08/13/20 to 11/15/45 | | 7,782,741 | | 10,200,033 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Government Money Market V.I. Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
TD Securities USA LLC | | | 0.07 | % | | | 06/30/20 | | | | 07/01/20 | | | $ | 10,000 | | | $ | 10,000 | | | $10,000,019 | | | | U.S. Treasury Obligations, 1.13% to 2.25%,
due 02/28/21 to 01/31/24 | | $9,944,300 | | $10,200,048 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wells Fargo Securities LLC | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 5,000 | | | | 5,000 | | | 5,000,010 | | | | U.S. Treasury Obligation, 1.75%, due 11/30/21 | | 4,981,600 | | 5,100,059 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 80,500 | | | | | | | | | | | $82,366,015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 | | $ | — | | | $ | 194,606,975 | | | $ | — | | | $ | 194,606,975 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
See notes to financial statements.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Statement of Assets and Liabilities (unaudited) June 30, 2020 | | |
| | | | |
| | | BlackRock
Government
Money Market
V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (cost — $114,106,975) | | $ | 114,106,975 | |
Cash | | | 6,208,900 | |
Repurchase agreements at value (cost — $80,500,000) | | | 80,500,000 | |
Receivables: | | | | |
Investments sold | | | 339,904 | |
Capital shares sold | | | 159,148 | |
Interest — unaffiliated | | | 21,978 | |
From affiliate(s) | | | 923 | |
Prepaid expenses | | | 1,554 | |
| | | | |
Total assets | | | 201,339,382 | |
| | | | |
| |
LIABILITIES | | | | |
Payables: | | | | |
Investments purchased | | | 594,700 | |
Capital shares redeemed | | | 127,259 | |
Investment advisory fees | | | 31,680 | |
Other affiliates | | | 660 | |
Professional fees | | | 59,855 | |
Other accrued expenses | | | 89,945 | |
| | | | |
Total liabilities | | | 904,099 | |
| | | | |
| |
NET ASSETS | | $ | 200,435,283 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 200,411,189 | |
Accumulated earnings | | | 24,094 | |
| | | | |
NET ASSETS | | $ | 200,435,283 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $200,435,283 and 200,410,725 shares outstanding, 3.3 billion shares authorized, $0.10 par value | | $ | 1.00 | |
| | | | |
See notes to financial statements.
| | |
Statement of Operations (unaudited) Six Months Ended June 30, 2020 | | |
| | | | |
| | | BlackRock
Government
Money Market
V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Interest — unaffiliated | | $ | 998,980 | |
| | | | |
Total investment income | | | 998,980 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 507,396 | |
Transfer agent | | | 44,452 | |
Professional | | | 42,300 | |
Printing | | | 40,271 | |
Accounting services | | | 20,410 | |
Custodian | | | 6,757 | |
Directors and Officer | | | 3,489 | |
Miscellaneous | | | 2,734 | |
| | | | |
Total expenses | | | 667,809 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (321,403 | ) |
Transfer agent fees waived and/or reimbursed | | | (41,964 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 304,442 | |
| | | | |
Net investment income | | | 694,538 | |
| | | | |
| |
REALIZED GAIN | | | | |
Net realized gain from investments | | | 4,576 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 699,114 | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Government Money Market V.I. Fund | |
| | | Six Months Ended
06/30/20 (unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 694,538 | | | $ | 3,931,343 | |
Net realized gain | | | 4,576 | | | | 4,798 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 699,114 | | | | 3,936,141 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (694,538 | ) | | | (3,931,343 | ) |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS | | | | | | | | |
Net proceeds from sale of shares | | | 119,976,898 | | | | 90,279,997 | |
Reinvestments of distributions | | | 686,739 | | | | 3,926,355 | |
Cost of shares redeemed | | | (121,551,011 | ) | | | (92,332,532 | ) |
| | | | | | | | |
Net increase (decrease) in net assets derived from capital transactions | | | (887,374 | ) | | | 1,873,820 | |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (882,798 | ) | | | 1,878,618 | |
Beginning of period | | | 201,318,081 | | | | 199,439,463 | |
| | | | | | | | |
End of period | | $ | 200,435,283 | | | $ | 201,318,081 | |
| | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Government Money Market V.I. Fund | |
| | | Class I | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 1.00 | | | | | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.0034 | | | | | | | | 0.0196 | | | | 0.0160 | | | | 0.0064 | | | | 0.0013 | | | | 0.0000 | (a) |
Net realized gain (loss) | | | 0.0000 | (a) | | | | | | | 0.0000 | (a) | | | (0.0001 | ) | | | 0.0000 | (a) | | | 0.0000 | (a) | | | 0.0001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.0034 | | | | | | | | 0.0196 | | | | 0.0159 | | | | 0.0064 | | | | 0.0013 | | | | 0.0001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.0034 | ) | | | | | | �� | (0.0196 | ) | | | (0.0159 | ) | | | (0.0064 | ) | | | (0.0013 | ) | | | (0.0000 | )(c) |
From net realized gain | | | — | | | | | | | | (0.0000 | )(c) | | | — | | | | (0.0000 | )(c) | | | (0.0000 | )(c) | | | (0.0001 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.0034 | ) | | | | | | | (0.0196 | ) | | | (0.0159 | ) | | | (0.0064 | ) | | | (0.0013 | ) | | | (0.0001 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 1.00 | | | | | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.34 | %(e) | | | | | | | 1.98 | % | | | 1.61 | % | | | 0.65 | % | | | 0.13 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.66 | %(f) | | | | | | | 0.64 | % | | | 0.80 | %(g) | | | 0.72 | % | | | 0.62 | % | | | 0.61 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.30 | %(f) | | | | | | | 0.30 | % | | | 0.30 | %(g) | | | 0.30 | % | | | 0.30 | % | | | 0.18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.68 | %(f) | | | | | | | 1.96 | % | | | 1.60 | % | | | 0.63 | % | | | 0.13 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 200,435 | | | | | | | $ | 201,318 | | | $ | 199,439 | | | $ | 135,659 | | | $ | 151,523 | | | $ | 152,118 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (g) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.72% and 0.29%, respectively. |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Notes to Financial Statements (unaudited) | | |
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Government Money Market V.I. Fund (the “Fund”). The Fund is classified as diversified.
The Fund 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.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are distributed at least annually and are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund are charged to the 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: U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund’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 per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s assumptions used in determining the fair value of investments) |
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. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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. Repurchase agreements may be traded bilaterally, in a tri-party arrangement or may be centrally cleared through a sponsoring agent. Subject to the
| | |
NOTESTO FINANCIAL STATEMENTS | | 11 |
| | |
| Notes to Financial Statements (unaudited) (continued) | | |
custodial undertaking associated with a tri-party repurchase arrangement and for centrally cleared repurchase agreements, a third party custodian maintains accounts to hold collateral for the fund and its counterparties. Typically, the fund and counterparty are not permitted to sell, re-pledge or use the collateral absent a default by the counterparty or the fund, respectively.
In the event the counterparty defaults and the fair value of the collateral declines, the fund could experience losses, delays and costs in liquidating the collateral.
Repurchase agreements are entered into by the fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits the 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, the 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, the fund would recognize a liability with respect to such excess collateral. The liability reflects the fund’s obligation under bankruptcy law to return the excess to the counterparty.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment Advisory Fees | |
First $1 Billion | | | 0.500 | % |
$1 Billion — $2 Billion | | | 0.450 | |
$2 Billion — $3 Billion | | | 0.400 | |
$3 Billion — $4 Billion | | | 0.375 | |
$4 Billion — $7 Billion | | | 0.350 | |
$7 Billion — $10 Billion | | | 0.325 | |
$10 Billion — $15 Billion | | | 0.300 | |
Greater than $15 Billion | | | 0.290 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement with BlackRock Investments, LLC, an affiliate of the Manager.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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, 2020, the Fund did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers and Reimbursements: The Manager has voluntarily agreed to waive a portion of its investment advisory fees and/or reimburse operating expenses to enable the Fund to maintain minimum levels of daily net investment income if applicable. These amounts, if any, are reported in the Statement of Operations as fees waived and/or reimbursed by the Manager. The Manager may discontinue the waiver and/or reimbursement at any time. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager under this agreement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,194 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”), to 0.30% of average daily net assets of Class I Shares.
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board of Directors of the Company, including a majority of the 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 the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $321,403 and $41,964, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed, respectively, in the Statement of Operations.
Directors and Officers: Certain directors and/or officers of the Company are directors and/or officers of BlackRock or its affiliates. The Fund reimburses 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 Statement of Operations.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Notes to Financial Statements (unaudited) (continued) | | |
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
| 8. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | | Year Ended
12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 119,976,898 | | | $ | 119,976,898 | | | | 90,266,065 | | | $ | 90,279,997 | |
Shares issued in reinvestment of distributions | | | 686,739 | | | | 686,739 | | | | 3,926,355 | | | | 3,926,355 | |
Shares redeemed | | | (121,551,011 | ) | | | (121,551,011 | ) | | | (92,332,532 | ) | | | (92,332,532 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (887,374 | ) | | $ | (887,374 | ) | | | 1,859,888 | | | $ | 1,873,820 | |
| | | | | | | | | | | | | | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 13 |
Glossary of Terms Used in this Report
Currency
Portfolio Abbreviations
| | |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| SOFR | | Secured Overnight Financing Rate |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock International V.I. Fund |
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock International V.I. Fund |
Investment Objective
BlackRock International V.I. Fund’s (the “Fund”) investment objective is long-term capital growth.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the MSCI All Country World Index (ACWI) ex USA Index.
What factors influenced performance?
From a sector perspective, overweight exposures and positive stock selection in the communication services and information technology (“IT”) sectors were the most significant contributors to the Fund’s relative performance during the period. Stock selection within materials also contributed. PayPal Holdings, Inc., SEA Ltd., and LG Chem Ltd. were the largest individual stock contributors. Payments company PayPal benefited from growth in e-commerce, while gaming and e-commerce platform provider SEA gained on plans to invest further into its fast-growing payments business. LG Chem contributed to relative performance as investors recognized the value of its growing electric vehicle solutions business.
By contrast, negative stock selection in the financials and consumer discretionary sector was the primary detractor from the Fund’s relative performance for the period. A lack of exposure to utilities stocks also detracted. Among individual stocks, Indusind Bank Ltd., ON Semiconductor Corp., and Banco do Brasil SA were the most significant detractors. Indusind and Banco do Brasil saw extensive declines along with many emerging market banking institutions, while ON suffered from cyclical pressure on semiconductor companies due to fears of a global growth slowdown.
Describe recent portfolio activity.
The Fund was active in making portfolio changes in an environment of increased volatility. The largest change to the Fund’s positioning was an increase in exposure to the industrials sector, as seen in new positions in elevator company Otis Worldwide Corp., automaker Volvo AB, energy and automation specialist Schneider Electric SE, and Canadian National Railway Co. Exposure to consumer staples also increased with adding positions in beermaker Heineken NV and consumer products giant Unilever Group. In contrast, the Fund reduced exposure to financials by selling insurance provider AXA SA and Indusind Bank, and reducing position sizes across the remaining financials holdings. The Fund also reduced its exposure to health care by selling German biotech company Morphosys AG.
Describe portfolio positioning at period end.
As of period end, the Fund’s largest sector overweight positions were in industrials, consumer staples and IT. The largest underweight exposures were in health care, financials and energy. On a geographical basis, the largest overweight exposures were in the United States, Netherlands and Iceland, while the largest underweight allocations were in China, Australia and Switzerland.
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.
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | | | | | (5.41 | )% | | | 5.39 | % | | | 3.55 | % | | | 6.19 | % |
MSCI ACWI ex USA Index (d) | | | | | | | (11.00 | ) | | | (4.80 | ) | | | 2.26 | | | | 4.97 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | The Fund invests primarily in stocks of companies located outside the U.S. The Fund’s total returns prior to October 1, 2011 are the returns of the Fund when it followed different investment strategies under the name “BlackRock International Value V.I. Fund.” |
| (d) | A free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, 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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock International V.I. Fund |
Portfolio Information
GEOGRAPHIC ALLOCATION
| | | | |
| Country/Geographic Region | | Percent of
Net Assets | |
United States | | | 16 | % |
Japan | | | 14 | |
United Kingdom | | | 13 | |
France | | | 8 | |
Germany | | | 7 | |
Netherlands | | | 6 | |
Brazil | | | 4 | |
China | | | 4 | |
Canada | | | 3 | |
Iceland | | | 3 | |
Italy | | | 3 | |
South Korea | | | 3 | |
Spain | | | 3 | |
Russia | | | 2 | |
Sweden | | | 2 | |
Switzerland | | | 2 | |
Taiwan | | | 2 | |
Macau | | | 1 | |
Mexico | | | 1 | |
Portugal | | | 1 | |
Short-Term Securities | | | 3 | |
Liabilities in Excess of Other Assets | | | (1 | ) |
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | | | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | Annualized Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 945.90 | | | $ | 4.50 | | | | | | | $ | 1,000.00 | | | $ | 1,020.24 | | | $ | 4.67 | | | | 0.93% | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock International V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 93.1% | |
|
| Brazil — 3.6%(a) | |
Banco do Brasil SA | | | 196,926 | | | $ | 1,167,846 | |
Locaweb Servicos de Internet SA(b) | | | 114,999 | | | | 913,547 | |
XP, Inc., Class A | | | 21,801 | | | | 915,860 | |
| | | | | | | | |
| | | | | | | 2,997,253 | |
| | |
| Canada — 2.5% | | | | | | |
Canadian National Railway Co. | | | 23,557 | | | | 2,084,142 | |
| | | | | | | | |
| | |
| China — 4.0% | | | | | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | 192,500 | | | | 1,919,031 | |
Wuxi Biologics Cayman, Inc.(a)(b) | | | 76,500 | | | | 1,404,205 | |
| | | | | | | | |
| | | | | | | 3,323,236 | |
| | |
| France — 8.1% | | | | | | |
Schneider Electric SE | | | 25,980 | | | | 2,889,931 | |
Ubisoft Entertainment SA(a) | | | 24,395 | | | | 2,020,162 | |
Worldline SA(a)(b) | | | 21,130 | | | | 1,842,314 | |
| | | | | | | | |
| | | | | | | 6,752,407 | |
| | |
| Germany — 1.7% | | | | | | |
Knorr-Bremse AG(a) | | | 14,012 | | | | 1,422,019 | |
| | | | | | | | |
| | |
| Iceland — 2.6% | | | | | | |
Marel HF(b) | | | 426,459 | | | | 2,205,830 | |
| | | | | | | | |
| | |
| Italy — 3.3% | | | | | | |
Intesa Sanpaolo SpA(a) | | | 1,438,428 | | | | 2,764,213 | |
| | | | | | | | |
| | |
| Japan — 14.2% | | | | | | |
FANUC Corp. | | | 22,500 | | | | 4,033,575 | |
Recruit Holdings Co. Ltd. | | | 131,200 | | | | 4,511,994 | |
Sony Corp. | | | 48,300 | | | | 3,334,158 | |
| | | | | | | | |
| | | | | | | 11,879,727 | |
| | |
| Macau — 1.4% | | | | | | |
Wynn Macau Ltd. | | | 688,400 | | | | 1,193,985 | |
| | | | | | | | |
| | |
| Mexico — 1.4% | | | | | | |
Grupo Financiero Banorte SAB de CV,
Class O(a) | | | 330,794 | | | | 1,144,599 | |
| | | | | | | | |
| | |
| Netherlands — 5.8% | | | | | | |
Heineken NV | | | 35,983 | | | | 3,317,432 | |
Koninklijke DSM NV | | | 11,432 | | | | 1,586,967 | |
| | | | | | | | |
| | | | | | | 4,904,399 | |
| | |
| Portugal — 1.4% | | | | | | |
Banco Comercial Portugues SA, Class R(a) | | | 9,767,417 | | | | 1,173,384 | |
| | | | | | | | |
| | |
| Russia — 2.1% | | | | | | |
Sberbank of Russia PJSC, ADR(a) | | | 158,342 | | | | 1,799,992 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| South Korea — 3.1% | | | | | | |
LG Chem Ltd. | | | 6,300 | | | $ | 2,599,878 | |
| | | | | | | | |
| | |
| Spain — 3.1% | | | | | | |
Masmovil Ibercom SA(a) | | | 100,440 | | | | 2,573,622 | |
| | | | | | | | |
| | |
| Sweden — 2.2% | | | | | | |
Volvo AB, Class B(a) | | | 116,812 | | | | 1,838,024 | |
| | | | | | | | |
| | |
| Switzerland — 2.4% | | | | | | |
Roche Holding AG | | | 5,851 | | | | 2,027,076 | |
| | | | | | | | |
| | |
| Taiwan — 1.7% | | | | | | |
Sea Ltd., ADR(a) | | | 13,543 | | | | 1,452,351 | |
| | | | | | | | |
| | |
| United Kingdom — 13.0% | | | | | | |
Burberry Group plc | | | 197,384 | | | | 3,900,328 | |
Unilever NV | | | 91,887 | | | | 4,899,211 | |
Vodafone Group plc | | | 1,311,564 | | | | 2,085,072 | |
| | | | | | | | |
| | | | | | | 10,884,611 | |
| | |
| United States — 15.5% | | | | | | |
Cadence Design Systems, Inc.(a) | | | 26,005 | | | | 2,495,440 | |
Marvell Technology Group Ltd. | | | 48,710 | | | | 1,707,773 | |
Mondelez International, Inc., Class A | | | 42,953 | | | | 2,196,187 | |
Otis Worldwide Corp. | | | 42,820 | | | | 2,434,745 | |
PayPal Holdings, Inc.(a) | | | 24,014 | | | | 4,183,959 | |
| | | | | | | | |
| | | | | | | 13,018,104 | |
| | | | | | | | |
| | |
Total Common Stocks — 93.1%
(Cost: $69,675,348) | | | | | | | 78,038,852 | |
| | | | | | | | |
| | |
Preferred Stocks — 4.4% | | | | | | | | |
| | |
| Germany — 4.4% | | | | | | |
Volkswagen AG (Preference) | | | 24,018 | | | | 3,650,740 | |
| | | | | | | | |
| |
Total Preferred Stocks — 4.4%
(Cost: $4,648,944) | | | | 3,650,740 | |
| | | | | | | | |
| |
Total Long-Term Investments — 97.5%
(Cost: $74,324,292) | | | | 81,689,592 | |
| | | | | | | | |
| | |
Short-Term Securities — 3.0% | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, | | | | | | | | |
Institutional Class, 0.11%(c)* | | | 2,517,226 | | | | 2,517,226 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 3.0%
(Cost: $2,517,226) | | | | | | | 2,517,226 | |
| | | | | | | | |
| | |
Total Investments — 100.5%
(Cost: $76,841,518) | | | | | | | 84,206,818 | |
| | |
Liabilities in Excess of Other Assets — (0.5)% | | | | | | | (433,278 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 83,773,540 | |
| | | | | | | | |
| (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) | Annualized 7-day yield as of period end. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International V.I. Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Shares
Held at
12/31/19 | | | Shares
Purchased | | | Shares
Sold | | | Shares
Held at
06/30/20 | | | Value at
06/30/20 | | | Income | | | Net Realized
Gain (Loss) (a) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Liquidity Funds, T-Fund,
Institutional Class(b) | | | 2,069,868 | | | | 447,358 | | | | — | | | | 2,517,226 | | | $ | 2,517,226 | | | $ | 3,613 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b)(c) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,882 | (d) | | | 129 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 2,517,226 | | | $ | 5,495 | | | $ | 129 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | As of period end, the entity is no longer held by the Fund. |
| (d) | All or a portion 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. |
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: | | | | | | | | | | | | | | | | |
Brazil | | $ | 2,997,253 | | | $ | — | | | $ | — | | | $ | 2,997,253 | |
Canada | | | 2,084,142 | | | | — | | | | — | | | | 2,084,142 | |
China | | | — | | | | 3,323,236 | | | | — | | | | 3,323,236 | |
France | | | — | | | | 6,752,407 | | | | — | | | | 6,752,407 | |
Germany | | | — | | | | 1,422,019 | | | | — | | | | 1,422,019 | |
Iceland | | | — | | | | 2,205,830 | | | | — | | | | 2,205,830 | |
Italy | | | — | | | | 2,764,213 | | | | — | | | | 2,764,213 | |
Japan | | | — | | | | 11,879,727 | | | | — | | | | 11,879,727 | |
Macau | | | — | | | | 1,193,985 | | | | — | | | | 1,193,985 | |
Mexico | | | 1,144,599 | | | | — | | | | — | | | | 1,144,599 | |
Netherlands | | | 3,317,432 | | | | 1,586,967 | | | | — | | | | 4,904,399 | |
Portugal | | | — | | | | 1,173,384 | | | | — | | | | 1,173,384 | |
Russia | | | — | | | | 1,799,992 | | | | — | | | | 1,799,992 | |
South Korea | | | — | | | | 2,599,878 | | | | — | | | | 2,599,878 | |
Spain | | | — | | | | 2,573,622 | | | | — | | | | 2,573,622 | |
Sweden | | | — | | | | 1,838,024 | | | | — | | | | 1,838,024 | |
Switzerland | | | — | | | | 2,027,076 | | | | — | | | | 2,027,076 | |
Taiwan | | | 1,452,351 | | | | — | | | | — | | | | 1,452,351 | |
United Kingdom | | | — | | | | 10,884,611 | | | | — | | | | 10,884,611 | |
United States | | | 13,018,104 | | | | — | | | | — | | | | 13,018,104 | |
Preferred Securities | | | — | | | | 3,650,740 | | | | — | | | | 3,650,740 | |
Short-Term Securities | | | 2,517,226 | | | | — | | | | — | | | | 2,517,226 | |
| | | | | | | | | | | | | | | | |
| | $ | 26,531,107 | | | $ | 57,675,711 | | | $ | — | | | $ | 84,206,818 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
See notes to financial statements.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
International V.I.
Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (cost — $74,324,292) | | $ | 81,689,592 | |
Investments at value — affiliated (cost — $2,517,226) | | | 2,517,226 | |
Receivables: | | | — | |
Securities lending income — affiliated | | | 434 | |
Dividends — affiliated | | | 102 | |
Dividends — unaffiliated | | | 218,266 | |
From affiliate(s) | | | 816 | |
Prepaid expenses | | | 704 | |
| | | | |
Total assets | | | 84,427,140 | |
| | | | |
| |
LIABILITIES | | | | |
Payables: | | | — | |
Investments purchased | | | 74,975 | |
Capital shares redeemed | | | 351,940 | |
Investment advisory fees | | | 50,233 | |
Other affiliates | | | 313 | |
Professional fees | | | 74,461 | |
Transfer agent fees | | | 39,572 | |
Other accrued expenses | | | 62,106 | |
| | | | |
Total liabilities | | | 653,600 | |
| | | | |
| |
NET ASSETS | | $ | 83,773,540 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 77,132,505 | |
Accumulated earnings | | | 6,641,035 | |
| | | | |
NET ASSETS | | $ | 83,773,540 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $83,773,540 and 7,368,422 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 11.37 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
International V.I.
Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 3,613 | |
Dividends — unaffiliated | | | 577,577 | |
Securities lending income — affiliated — net | | | 1,882 | |
Foreign taxes withheld | | | (62,897) | |
| | | | |
Total investment income | | | 520,175 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 306,258 | |
Transfer agent | | | 83,725 | |
Accounting services | | | 25,663 | |
Professional | | | 23,618 | |
Custodian | | | 18,339 | |
Printing | | | 13,539 | |
Directors and Officer | | | 2,710 | |
Miscellaneous | | | 2,574 | |
| | | | |
Total expenses | | | 476,426 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (15,472) | |
Transfer agent fees waived and/or reimbursed | | | (81,200) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 379,754 | |
| | | | |
Net investment income | | | 140,421 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | 129 | |
Investments — unaffiliated | | | (2,389,907) | |
Foreign currency transactions | | | (12,569) | |
| | | | |
| | | (2,402,347) | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — unaffiliated | | | (3,286,870) | |
Foreign currency translations | | | (37) | |
| | | | |
| | | (3,286,907) | |
| | | | |
Net realized and unrealized loss | | | (5,689,254) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (5,548,833) | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock International V.I. Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 140,421 | | | $ | 1,182,648 | |
Net realized gain (loss) | | | (2,402,347) | | | | 4,130,091 | |
Net change in unrealized appreciation (depreciation) | | | (3,286,907) | | | | 19,554,105 | |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (5,548,833) | | | | 24,866,844 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (1,052,006) | |
| | | | | | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (5,821,024) | | | | (10,904,229) | |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (11,369,857) | | | | 12,910,609 | |
Beginning of period | | | 95,143,397 | | | | 82,232,788 | |
| | | | | | | | |
End of period | | $ | 83,773,540 | | | $ | 95,143,397 | |
| | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock International V.I. Fund | |
| |
| | | Class I | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | | | | | |
| | | 06/30/20 (unaudited) | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| |
| | | | | | | |
Net asset value, beginning of period | | $ | 12.02 | | | | | | | $ | 9.20 | | | $ | 12.56 | | | $ | 9.58 | | | $ | 9.71 | | | $ | 10.10 | |
| | | | |
Net investment income (a) | | | 0.02 | | | | | | | | 0.14 | | | | 0.17 | (b) | | | 0.15 | | | | 0.15 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | (0.67 | ) | | | | | | | 2.81 | | | | (2.88 | ) | | | 2.83 | | | | (0.11 | ) | | | (0.42 | ) |
| | | | |
Net increase (decrease) from investment operations | | | (0.65 | ) | | | | | | | 2.95 | | | | (2.71 | ) | | | 2.98 | | | | 0.04 | | | | (0.28 | ) |
| | | | |
| | | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.13 | ) | | | (0.32 | ) | | | — | | | | (0.17 | ) | | | (0.11 | ) |
From net realized gain | | | — | | | | | | | | — | | | | (0.33 | ) | | | — | | | | — | | | | — | |
From return of capital | | | — | | | | | | | | — | | | | — | | | | — | | | | (0.00 | )(d) | | | — | |
| | | | |
Total distributions | | | — | | | | | | | | (0.13 | ) | | | (0.65 | ) | | | — | | | | (0.17 | ) | | | (0.11 | ) |
| | | | |
| | | | | | | |
Net asset value, end of period | | $ | 11.37 | | | | | | | $ | 12.02 | | | $ | 9.20 | | | $ | 12.56 | | | $ | 9.58 | | | $ | 9.71 | |
| | | | |
| | | | | | | |
Total Return (e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (5.41)% | (f) | | | | | | | 32.12% | | | | (21.82)% | | | | 31.11% | | | | 0.39% | | | | (2.76)% | |
| | | | |
| | | | | | | |
Ratios to Average Net Assets (g) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.17% | (h) | | | | | | | 1.12% | | | | 1.20% | | | | 1.24% | | | | 1.15% | | | | 1.09% | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 0.93% | (h) | | | | | | | 0.97% | | | | 1.07% | | | | 1.11% | | | | 1.04% | | | | 0.98% | |
| | | | |
Net investment income | | | 0.34% | (h) | | | | | | | 1.31% | | | | 1.48% | (b) | | | 1.37% | | | | 1.57% | | | | 1.35% | |
| | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 83,774 | | | | | | | $ | 95,143 | | | $ | 82,233 | | | $ | 115,433 | | | $ | 96,201 | | | $ | 107,942 | |
| | | | |
Portfolio turnover rate | | | 66% | | | | | | | | 104% | | | | 100% | | | | 103% | | | | 82% | | | | 112% | |
| | | | |
| (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 0.31%, respectively, resulting from non-recurring dividends. |
| (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
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | — | % | | | — | % |
| | | | |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock International V.I. Fund (the “Fund”). The Fund is classified as diversified.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund are charged to the 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.
The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on overdrafts, subject to certain conditions.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign
| | |
NOTESTO FINANCIAL STATEMENTS | | 11 |
Notes to Financial Statements (unaudited) (continued)
exchange-traded and over-the-counter 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 the 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.
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.75 | % |
$1 Billion — $3 Billion | | | 0.71 | |
$3 Billion — $5 Billion | | | 0.68 | |
$5 Billion — $10 Billion | | | 0.65 | |
Greater than $10 Billion | | | 0.64 | |
The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL, for services it provides for that portion of the Fund for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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, 2020, the Fund did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $431.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $534 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to 0.08% of average daily net assets. The Manager has agreed not to reduce or discontinue the contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in transfer agent fees waived and/or reimbursed in the Statement of Operations. For the six months ended June 30, 2020, expense waivers and/or reimbursements were $48,573.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitation as a percentage of average daily net assets is 0.93% for Class I.
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived $15,041
| | |
NOTESTO FINANCIAL STATEMENTS | | 13 |
Notes to Financial Statements (unaudited) (continued)
and $32,627, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed, respectively, in the Statement of Operations.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 82% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, 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 (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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $467 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $53,391,784 and $59,357,027, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 76,891,532 | |
| | | | |
Gross unrealized appreciation | | $ | 11,893,854 | |
Gross unrealized depreciation | | | (4,578,568 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 7,315,286 | |
| | | | |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
Concentration Risk: The Fund invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Fund concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.
The Fund 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.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 115,092 | | | $ | 1,164,059 | | | | 234,006 | | | $ | 2,548,975 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 88,914 | | | | 1,052,006 | |
Shares redeemed | | | (662,084 | ) | | | (6,985,083 | ) | | | (1,344,919 | ) | | | (14,505,210 | ) |
| | | | |
Net decrease | | | (546,992 | ) | | $ | (5,821,024 | ) | | | (1,021,999 | ) | | $ | (10,904,229 | ) |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| PJSC | | Public Joint Stock Company |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 17 |
| | |
| | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock International Index V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock International Index V.I. Fund |
Investment Objective
The investment objective of the BlackRock International Index V.I. Fund (the “Fund”) is to seek to match the performance of the MSCI EAFE Index (Europe, Australasia, Far East) (the “MSCI EAFE Index” or the “Underlying Index”) in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund’s Class I Shares returned (10.76)%. The MSCI EAFE Index returned (11.34)% for the same period. The MSCI EAFE Index is a free-float adjusted, market-capitalization weighted index designed to measure equity performance of developed markets, excluding the United States and Canada.
Describe the market environment?
Developed markets, as represented by the MSCI EAFE Index, declined 22.7% in the first quarter of 2020 (in U.S. dollar terms). All eleven of the Global Industry Classification Standard (“GICS”) sectors tumbled in the quarter. Health care (with a loss of 8.6%) outperformed in the asset class while traditional defensive sectors such as consumer staples and utilities also fared better than other sectors. Energy was the worst-performing sector in the first three months of 2020.
In the Asia Pacific region, Japan outperformed relatively (declining 16.75%) in the first quarter of 2020 while the country is likely to see a technical recession after a contraction in its fourth quarter of 2019 gross domestic product growth due to a sales tax hike and as the coronavirus pandemic hit Japan’s tourism and trade in the first quarter of 2020. Both Singapore and Australia suffered from record drawdowns on coronavirus fears during the quarter.
On continental Europe, Italy and Spain were among the worst performers in the first quarter of 2020 (with losses of 29.2% and 29.7%, respectively) as the coronavirus outbreak in Italy intensified in late February and virus-related measures started to disrupt economic activities in the broader region with both France and Germany dragging the index down. The globally integrated European economy is particularly vulnerable to global supply chain disruptions, posing downside risks to growth. Macro data across the region already showed a significant negative impact, as export orders sharply declined and the Eurozone March 2020 final manufacturing Purchasing Managers’ Index came in at 44.5 versus the 44.6 estimated, its lowest since July 2012.
In the United Kingdom, business sentiment improved in the first two months of 2020, before the spread of coronavirus started to rattle its economy, pushing U.K. equities down in March 2020.
Developed markets, as represented by the MSCI EAFE Index, advanced 15.2% (in U.S. dollar terms) in the second quarter of 2020, amid strong fiscal and monetary stimulus, combined with the reopening of economies.
The European Central Bank (“ECB”) continued its quantitative easing with a novel and flexible Pandemic Emergency Purchase Programme that allows the ECB to buy government debt out of proportion to euro area country shareholdings in the bank. Meanwhile, the targeted long-term refinancing operation provided a record boost to the ECB balance.
On continental Europe, Germany outperformed in the second quarter of 2020 with stronger government support while Italy, Switzerland and Spain lagged. Shares in the United Kingdom underperformed the region, with lower quarterly gains.
In the Asia-Pacific region, Australia led strong gains after suffering from record drawdowns on coronavirus fears in the previous quarter. Hong Kong and Singapore posted positive returns but underperformed in the region.
From a sector perspective, all GICS sectors rallied in the second quarter of 2020. Information technology and materials outperformed in the asset class while traditional defensive sectors such as consumer staples and real estate fell behind in the rally. Energy was the worst-performing sector, adding back only 0.2% gains after losing 36% in the first quarter of 2020.
Describe recent portfolio activity.
During the six-month period, as changes were made to the composition of the MSCI EAFE Index, the Fund purchased and sold securities to maintain its objective of matching the risks and return of the Underlying Index.
Describe portfolio positioning at period end.
The Fund remains positioned to match the risk characteristics of the Underlying Index, irrespective of the market’s future direction.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock International Index V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (10.76) | % | | | (4.74) | % | | | 1.99 | % | | | 5.55 | % |
MSCI EAFE Index (d) | | | (11.34) | | | | (5.13) | | | | 2.05 | | | | 5.73 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund invests at least 90% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE Index. On October 29, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the International Equity Index Fund (the “Predecessor Fund”), a series of State Farm Variable Product Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly, the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization. |
| (d) | A free float-adjusted, market-capitalization weighted index designed to measure equity performance of developed markets, excluding the United States and Canada. |
| | 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. |
Portfolio Information
GEOGRAPHIC ALLOCATION
| | | | |
| Country/Geographic Region | | Percent of
Net Assets | |
Japan | | | 25 | % |
United Kingdom | | | 13 | |
France | | | 11 | |
Germany | | | 10 | |
Switzerland | | | 10 | |
Australia | | | 7 | |
Netherlands | | | 4 | |
Hong Kong | | | 3 | |
Sweden | | | 3 | |
Denmark | | | 2 | |
Italy | | | 2 | |
Spain | | | 2 | |
Finland | | | 1 | |
Singapore | | | 1 | |
Other(a) | | | 5 | |
Short-Term Securities | | | 4 | |
Liabilities in Excess of Other Assets | | | (3 | ) |
| (a) | Includes holdings within countries that are 1% or less of net assets. Please refer to Schedule of Investments for such countries. |
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 892.40 | | | $ | 1.27 | | | | | | | $ | 1,000.00 | | | $ | 1,023.52 | | | $ | 1.36 | | | | 0.27% | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 98.1% | |
| | |
Australia — 7.4% | | | | | | | | |
Afterpay Ltd.(a) | | | 2,741 | | | $ | 118,378 | |
AGL Energy Ltd. | | | 8,066 | | | | 95,422 | |
AMP Ltd.(a) | | | 46,373 | | | | 60,003 | |
Ampol Ltd. | | | 3,273 | | | | 66,692 | |
APA Group(b) | | | 15,568 | | | | 120,377 | |
Aristocrat Leisure Ltd. | | | 7,276 | | | | 130,288 | |
ASX Ltd. | | | 2,547 | | | | 151,389 | |
Aurizon Holdings Ltd. | | | 23,960 | | | | 81,533 | |
AusNet Services | | | 24,028 | | | | 27,761 | |
Australia & New Zealand Banking Group Ltd. | | | 36,307 | | | | 471,089 | |
BGP Holdings plc(c) | | | 253,848 | | | | 3 | |
BHP Group Ltd. | | | 37,832 | | | | 941,937 | |
BHP Group plc | | | 26,812 | | | | 548,656 | |
BlueScope Steel Ltd. | | | 6,737 | | | | 55,498 | |
Brambles Ltd. | | | 19,656 | | | | 149,040 | |
CIMIC Group Ltd. | | | 1,293 | | | | 21,728 | |
Coca-Cola Amatil Ltd. | | | 6,738 | | | | 40,586 | |
Cochlear Ltd. | | | 828 | | | | 108,707 | |
Coles Group Ltd. | | | 16,964 | | | | 201,657 | |
Commonwealth Bank of Australia | | | 22,727 | | | | 1,097,586 | |
Computershare Ltd. | | | 6,136 | | | | 56,816 | |
Crown Resorts Ltd. | | | 4,428 | | | | 29,829 | |
CSL Ltd. | | | 5,826 | | | | 1,158,727 | |
Dexus | | | 14,431 | | | | 92,623 | |
Evolution Mining Ltd. | | | 20,784 | | | | 82,564 | |
Fortescue Metals Group Ltd. | | | 21,737 | | | | 211,320 | |
Glencore plc(a) | | | 128,201 | | | | 273,094 | |
Goodman Group | | | 21,515 | | | | 221,997 | |
GPT Group (The) | | | 23,998 | | | | 69,717 | |
Insurance Australia Group Ltd. | | | 28,928 | | | | 116,098 | |
Lendlease Group(b) | | | 8,407 | | | | 72,664 | |
Macquarie Group Ltd. | | | 4,321 | | | | 358,609 | |
Magellan Financial Group Ltd. | | | 1,613 | | | | 65,868 | |
Medibank Pvt Ltd. | | | 36,617 | | | | 75,916 | |
Mirvac Group | | | 49,339 | | | | 74,532 | |
National Australia Bank Ltd. | | | 41,368 | | | | 524,231 | |
Newcrest Mining Ltd. | | | 10,271 | | | | 227,750 | |
Northern Star Resources Ltd. | | | 9,499 | | | | 89,585 | |
Oil Search Ltd. | | | 25,328 | | | | 56,131 | |
Orica Ltd. | | | 5,028 | | | | 58,147 | |
Origin Energy Ltd. | | | 21,517 | | | | 87,558 | |
Qantas Airways Ltd. | | | 9,644 | | | | 25,556 | |
QBE Insurance Group Ltd. | | | 18,704 | | | | 115,424 | |
Ramsay Health Care Ltd. | | | 2,295 | | | | 105,989 | |
REA Group Ltd. | | | 701 | | | | 52,823 | |
Rio Tinto plc | | | 14,430 | | | | 812,071 | |
Santos Ltd. | | | 21,942 | | | | 81,549 | |
Scentre Group | | | 66,680 | | | | 101,230 | |
SEEK Ltd. | | | 4,434 | | | | 67,835 | |
Sonic Healthcare Ltd. | | | 5,750 | | | | 121,422 | |
South32 Ltd. | | | 59,618 | | | | 84,403 | |
Stockland | | | 32,369 | | | | 75,057 | |
Suncorp Group Ltd. | | | 15,622 | | | | 100,385 | |
Sydney Airport(b) | | | 14,680 | | | | 57,936 | |
Tabcorp Holdings Ltd. | | | 25,426 | | | | 59,971 | |
Telstra Corp. Ltd. | | | 51,980 | | | | 112,829 | |
TPG Telecom Ltd.(a) | | | 4,934 | | | | 30,304 | |
Transurban Group(b) | | | 35,045 | | | | 343,677 | |
Treasury Wine Estates Ltd. | | | 9,555 | | | | 69,521 | |
Tuas Ltd.(a) | | | 2,467 | | | | 1,149 | |
Vicinity Centres | | | 43,755 | | | | 43,856 | |
Washington H Soul Pattinson & Co. Ltd. | | | 1,455 | | | | 19,763 | |
Wesfarmers Ltd. | | | 14,430 | | | | 448,660 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Australia (continued) | | | | | | |
Westpac Banking Corp. | | | 46,360 | | | $ | 581,048 | |
WiseTech Global Ltd. | | | 1,912 | | | | 25,865 | |
Woodside Petroleum Ltd. | | | 11,736 | | | | 177,362 | |
Woolworths Group Ltd. | | | 16,051 | | | | 413,743 | |
| | | | | | | | |
| | | | | | | 12,621,534 | |
| | |
| Austria — 0.2% | | | | | | |
ANDRITZ AG | | | 968 | | | | 35,294 | |
Erste Group Bank AG | | | 3,659 | | | | 86,417 | |
OMV AG(a) | | | 1,717 | | | | 57,938 | |
Raiffeisen Bank International AG(a) | | | 1,968 | | | | 35,175 | |
Verbund AG | | | 920 | | | | 41,319 | |
voestalpine AG | | | 1,524 | | | | 32,912 | |
| | | | | | | | |
| | | | | | | 289,055 | |
| | |
| Belgium — 0.9% | | | | | | |
Ageas SA | | | 2,267 | | | | 80,342 | |
Anheuser-Busch InBev SA/NV | | | 9,695 | | | | 477,929 | |
Colruyt SA | | | 748 | | | | 41,110 | |
Elia Group SA/NV | | | 397 | | | | 43,190 | |
Galapagos NV(a) | | | 573 | | | | 113,097 | |
Groupe Bruxelles Lambert SA | | | 972 | | | | 81,415 | |
KBC Group NV | | | 3,211 | | | | 184,476 | |
Proximus SADP | | | 2,022 | | | | 41,202 | |
Sofina SA | | | 198 | | | | 52,283 | |
Solvay SA | | | 973 | | | | 78,060 | |
Telenet Group Holding NV | | | 601 | | | | 24,763 | |
UCB SA | | | 1,657 | | | | 192,289 | |
Umicore SA | | | 2,436 | | | | 114,989 | |
| | | | | | | | |
| | | | | | | 1,525,145 | |
| | |
| Chile — 0.0% | | | | | | |
Antofagasta plc | | | 5,243 | | | | 60,684 | |
| | | | | | | | |
| | |
| China — 0.5% | | | | | | |
BeiGene Ltd., ADR(a)(d) | | | 494 | | | | 93,070 | |
BOC Hong Kong Holdings Ltd. | | | 46,500 | | | | 148,888 | |
Budweiser Brewing Co. APAC Ltd.(e) | | | 22,100 | | | | 64,696 | |
Prosus NV(a) | | | 6,245 | | | | 580,525 | |
Yangzijiang Shipbuilding Holdings Ltd. | | | 31,700 | | | | 21,340 | |
| | | | | | | | |
| | | | | | | 908,519 | |
| | |
| Denmark — 2.3% | | | | | | |
Ambu A/S, Class B | | | 2,096 | | | | 66,259 | |
AP Moller — Maersk A/S, Class A | | | 50 | | | | 54,673 | |
AP Moller — Maersk A/S, Class B | | | 79 | | | | 92,588 | |
Carlsberg A/S, Class B | | | 1,356 | | | | 179,817 | |
Chr Hansen Holding A/S | | | 1,315 | | | | 135,636 | |
Coloplast A/S, Class B | | | 1,524 | | | | 237,543 | |
Danske Bank A/S(a) | | | 8,480 | | | | 113,365 | |
Demant A/S(a) | | | 1,632 | | | | 43,250 | |
DSV Panalpina A/S | | | 2,673 | | | | 328,338 | |
Genmab A/S(a) | | | 853 | | | | 287,626 | |
GN Store Nord A/S | | | 1,644 | | | | 88,004 | |
H Lundbeck A/S | | | 927 | | | | 35,026 | |
Novo Nordisk A/S, Class B(d) | | | 22,712 | | | | 1,479,635 | |
Novozymes A/S, Class B | | | 2,698 | | | | 156,419 | |
Orsted A/S(e) | | | 2,396 | | | | 276,502 | |
Pandora A/S | | | 1,323 | | | | 72,255 | |
Tryg A/S | | | 1,607 | | | | 46,690 | |
Vestas Wind Systems A/S | | | 2,553 | | | | 261,434 | |
| | | | | | | | |
| | | | | | | 3,955,060 | |
| | |
| Finland — 1.2% | | | | | | |
Elisa OYJ | | | 1,747 | | | | 106,308 | |
Fortum OYJ | | | 5,443 | | | | 103,842 | |
Kone OYJ, Class B | | | 4,334 | | | | 298,914 | |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Finland (continued) | | | | | | |
Metso OYJ | | | 1,399 | | | $ | 45,976 | |
Neste OYJ | | | 5,519 | | | | 216,765 | |
Nokia OYJ | | | 73,258 | | | | 320,128 | |
Nordea Bank Abp | | | 41,875 | | | | 290,405 | |
Orion OYJ, Class B | | | 1,385 | | | | 67,165 | |
Sampo OYJ, Class A | | | 6,046 | | | | 208,404 | |
Stora Enso OYJ, Class R | | | 7,327 | | | | 87,699 | |
UPM-Kymmene OYJ | | | 6,733 | | | | 195,019 | |
Wartsila OYJ Abp | | | 5,901 | | | | 48,949 | |
| | | | | | | | |
| | | | | | | 1,989,574 | |
| | |
| France — 10.5% | | | | | | |
Accor SA(a) | | | 2,301 | | | | 62,798 | |
Aeroports de Paris | | | 395 | | | | 40,780 | |
Air Liquide SA | | | 6,083 | | | | 879,522 | |
Airbus SE(a) | | | 7,540 | | | | 540,270 | |
Alstom SA | | | 2,360 | | | | 109,978 | |
Amundi SA(a)(e) | | | 804 | | | | 63,205 | |
Arkema SA | | | 814 | | | | 78,245 | |
Atos SE(a) | | | 1,264 | | | | 108,367 | |
AXA SA | | | 24,722 | | | | 520,223 | |
BioMerieux | | | 551 | | | | 75,671 | |
BNP Paribas SA(a) | | | 14,551 | | | | 581,371 | |
Bollore SA | | | 11,639 | | | | 36,725 | |
Bouygues SA(a) | | | 2,914 | | | | 99,818 | |
Bureau Veritas SA(a) | | | 3,526 | | | | 74,785 | |
Capgemini SE | | | 2,042 | | | | 235,650 | |
Carrefour SA | | | 7,725 | | | | 119,800 | |
Casino Guichard Perrachon SA(a) | | | 735 | | | | 27,230 | |
Cie de Saint-Gobain(a) | | | 6,642 | | | | 239,650 | |
Cie Generale des Etablissements Michelin SCA | | | 2,157 | | | | 224,831 | |
CNP Assurances(a) | | | 2,282 | | | | 26,468 | |
Covivio | | | 612 | | | | 44,391 | |
Credit Agricole SA(a) | | | 15,229 | | | | 144,610 | |
Danone SA | | | 7,856 | | | | 545,310 | |
Dassault Aviation SA(a) | | | 33 | | | | 30,277 | |
Dassault Systemes SE | | | 1,682 | | | | 291,983 | |
Edenred | | | 3,130 | | | | 137,276 | |
Eiffage SA(a) | | | 1,069 | | | | 97,992 | |
Electricite de France SA | | | 7,785 | | | | 72,378 | |
Engie SA(a) | | | 23,207 | | | | 287,812 | |
EssilorLuxottica SA(a) | | | 3,651 | | | | 472,230 | |
Eurazeo SE(a) | | | 537 | | | | 27,594 | |
Faurecia SE(a) | | | 1,009 | | | | 39,642 | |
Gecina SA | | | 601 | | | | 74,228 | |
Getlink SE(a) | | | 5,858 | | | | 84,711 | |
Hermes International | | | 403 | | | | 338,362 | |
ICADE | | | 379 | | | | 26,465 | |
Iliad SA | | | 193 | | | | 37,676 | |
Ingenico Group SA(a) | | | 788 | | | | 126,611 | |
Ipsen SA | | | 501 | | | | 42,501 | |
JCDecaux SA(a) | | | 990 | | | | 18,494 | |
Kering SA | | | 975 | | | | 533,051 | |
Klepierre SA | | | 2,450 | | | | 48,973 | |
La Francaise des Jeux SAEM(e) | | | 1,103 | | | | 34,092 | |
Legrand SA | | | 3,407 | | | | 258,872 | |
L’Oreal SA | | | 3,226 | | | | 1,041,181 | |
LVMH Moet Hennessy Louis Vuitton SE(d) | | | 3,565 | | | | 1,573,931 | |
Natixis SA(a) | | | 12,518 | | | | 33,017 | |
Orange SA | | | 25,324 | | | | 302,824 | |
Orpea | | | 664 | | | | 76,694 | |
Pernod Ricard SA | | | 2,730 | | | | 429,883 | |
Peugeot SA(a) | | | 7,357 | | | | 120,648 | |
Publicis Groupe SA | | | 2,776 | | | | 90,178 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| France (continued) | | | | | | |
Remy Cointreau SA | | | 300 | | | $ | 40,928 | |
Renault SA(a) | | | 2,559 | �� | | | 65,494 | |
Safran SA(a) | | | 4,155 | | | | 417,957 | |
Sanofi | | | 14,485 | | | | 1,477,248 | |
Sartorius Stedim Biotech | | | 362 | | | | 91,781 | |
Schneider Electric SE | | | 7,036 | | | | 782,662 | |
SCOR SE(a) | | | 1,940 | | | | 53,579 | |
SEB SA | | | 300 | | | | 49,764 | |
Societe Generale SA(a) | | | 10,388 | | | | 173,684 | |
Sodexo SA | | | 1,160 | | | | 78,657 | |
Suez SA | | | 4,361 | | | | 51,257 | |
Teleperformance(a) | | | 765 | | | | 194,832 | |
Thales SA | | | 1,328 | | | | 107,482 | |
TOTAL SA | | | 31,728 | | | | 1,223,382 | |
Ubisoft Entertainment SA(a) | | | 1,162 | | | | 96,226 | |
Unibail-Rodamco-Westfield(d) | | | 1,787 | | | | 100,727 | |
Valeo SA | | | 3,186 | | | | 84,032 | |
Veolia Environnement SA | | | 7,157 | | | | 161,613 | |
Vinci SA | | | 6,547 | | | | 607,059 | |
Vivendi SA | | | 10,445 | | | | 269,896 | |
Wendel SE | | | 369 | | | | 35,216 | |
Worldline SA(a)(e) | | | 1,777 | | | | 154,936 | |
| | | | | | | | |
| | |
| | | | | | 17,947,686 | |
| | |
| Germany — 8.5% | | | | | | |
adidas AG(a) | | | 2,444 | | | | 644,365 | |
Allianz SE (Registered) | | | 5,355 | | | | 1,094,254 | |
Aroundtown SA(a) | | | 15,905 | | | | 91,164 | |
BASF SE | | | 11,689 | | | | 656,563 | |
Bayer AG (Registered) | | | 12,610 | | | | 934,698 | |
Bayerische Motoren Werke AG | | | 4,202 | | | | 268,259 | |
Beiersdorf AG | | | 1,340 | | | | 152,377 | |
Brenntag AG | | | 2,054 | | | | 108,903 | |
Carl Zeiss Meditec AG | | | 538 | | | | 52,386 | |
Commerzbank AG(a) | | | 13,321 | | | | 59,370 | |
Continental AG | | | 1,346 | | | | 132,327 | |
Covestro AG(e) | | | 2,111 | | | | 80,404 | |
Daimler AG (Registered) | | | 10,980 | | | | 446,709 | |
Delivery Hero SE(a)(e) | | | 1,643 | | | | 168,847 | |
Deutsche Bank AG (Registered)(a) | | | 24,963 | | | | 238,149 | |
Deutsche Boerse AG | | | 2,418 | | | | 437,602 | |
Deutsche Lufthansa AG (Registered)(a) | | | 3,133 | | | | 31,432 | |
Deutsche Post AG (Registered) | | | 12,555 | | | | 461,018 | |
Deutsche Telekom AG (Registered) | | | 42,419 | | | | 711,759 | |
Deutsche Wohnen SE | | | 4,524 | | | | 203,289 | |
E.ON SE | | | 28,573 | | | | 322,523 | |
Evonik Industries AG | | | 2,692 | | | | 68,565 | |
Fraport AG Frankfurt Airport Services Worldwide(a)(d) | | | 553 | | | | 24,224 | |
Fresenius Medical Care AG & Co. KGaA | | | 2,721 | | | | 234,087 | |
Fresenius SE & Co. KGaA | | | 5,288 | | | | 262,829 | |
GEA Group AG | | | 1,958 | | | | 62,144 | |
Hannover Rueck SE | | | 747 | | | | 129,100 | |
HeidelbergCement AG | | | 1,979 | | | | 105,939 | |
Henkel AG & Co. KGaA | | | 1,370 | | | | 114,615 | |
HOCHTIEF AG | | | 256 | | | | 22,779 | |
Infineon Technologies AG | | | 16,272 | | | | 381,289 | |
KION Group AG | | | 801 | | | | 49,317 | |
Knorr-Bremse AG(a) | | | 646 | | | | 65,560 | |
LANXESS AG | | | 1,089 | | | | 57,588 | |
LEG Immobilien AG | | | 886 | | | | 112,376 | |
Merck KGaA | | | 1,644 | | | | 191,440 | |
METRO AG | | | 2,394 | | | | 22,720 | |
MTU Aero Engines AG | | | 650 | | | | 113,165 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Germany (continued) | | | | | | |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | | 1,859 | | | $ | 484,074 | |
Nemetschek SE | | | 741 | | | | 50,916 | |
Puma SE(a) | | | 1,100 | | | | 85,288 | |
RWE AG | | | 7,415 | | | | 259,578 | |
SAP SE | | | 13,404 | | | | 1,873,739 | |
Scout24 AG(e) | | | 1,381 | | | | 106,845 | |
Siemens AG (Registered) | | | 9,820 | | | | 1,158,144 | |
Siemens Healthineers AG(e) | | | 1,994 | | | | 95,848 | |
Symrise AG | | | 1,640 | | | | 191,629 | |
TeamViewer AG(a) | | | 1,669 | | | | 91,131 | |
Telefonica Deutschland Holding AG | | | 13,365 | | | | 39,416 | |
thyssenkrupp AG(a) | | | 5,144 | | | | 36,699 | |
Uniper SE | | | 2,405 | | | | 77,607 | |
United Internet AG (Registered) | | | 1,341 | | | | 56,975 | |
Volkswagen AG | | | 432 | | | | 69,750 | |
Vonovia SE | | | 6,654 | | | | 406,713 | |
Zalando SE(a)(e) | | | 1,947 | | | | 138,121 | |
| | | | | | | | |
| | | | | | | 14,536,608 | |
| | |
| Hong Kong — 2.9% | | | | | | |
AIA Group Ltd. | | | 155,154 | | | | 1,451,870 | |
ASM Pacific Technology Ltd. | | | 4,000 | | | | 42,272 | |
Bank of East Asia Ltd. (The) | | | 16,825 | | | | 38,568 | |
CK Asset Holdings Ltd. | | | 33,159 | | | | 198,848 | |
CK Infrastructure Holdings Ltd. | | | 9,000 | | | | 46,523 | |
CLP Holdings Ltd. | | | 20,783 | | | | 204,115 | |
Dairy Farm International Holdings Ltd. | | | 4,500 | | | | 21,027 | |
Hang Lung Properties Ltd. | | | 27,000 | | | | 64,187 | |
Hang Seng Bank Ltd. | | | 9,574 | | | | 161,248 | |
Henderson Land Development Co. Ltd. | | | 18,836 | | | | 71,835 | |
HK Electric Investments & HK Electric Investments Ltd.(b) | | | 35,000 | | | | 36,354 | |
HKT Trust & HKT Ltd.(b) | | | 50,100 | | | | 73,520 | |
Hong Kong & China Gas Co. Ltd. | | | 133,543 | | | | 207,548 | |
Hong Kong Exchanges & Clearing Ltd. | | | 15,407 | | | | 656,211 | |
Hongkong Land Holdings Ltd. | | | 13,800 | | | | 57,401 | |
Jardine Matheson Holdings Ltd. | | | 2,900 | | | | 121,251 | |
Jardine Strategic Holdings Ltd. | | | 2,900 | | | | 62,556 | |
Kerry Properties Ltd. | | | 8,500 | | | | 22,080 | |
Link REIT | | | 26,700 | | | | 219,211 | |
Melco Resorts & Entertainment Ltd., ADR | | | 2,854 | | | | 44,294 | |
MTR Corp. Ltd. | | | 20,000 | | | | 104,015 | |
New World Development Co. Ltd. | | | 20,361 | | | | 96,676 | |
NWS Holdings Ltd. | | | 20,254 | | | | 17,618 | |
PCCW Ltd. | | | 56,000 | | | | 32,019 | |
Power Assets Holdings Ltd. | | | 18,500 | | | | 101,085 | |
Sino Land Co. Ltd. | | | 37,311 | | | | 47,206 | |
Sun Hung Kai Properties Ltd. | | | 16,500 | | | | 210,792 | |
Swire Pacific Ltd., Class A | | | 6,500 | | | | 34,546 | |
Swire Properties Ltd. | | | 15,600 | | | | 39,829 | |
Techtronic Industries Co. Ltd. | | | 17,500 | | | | 173,155 | |
WH Group Ltd.(e) | | | 117,000 | | | | 101,111 | |
Wharf Real Estate Investment Co. Ltd. | | | 12,953 | | | | 62,182 | |
Wheelock & Co. Ltd. | | | 9,000 | | | | 71,296 | |
| | | | | | | | |
| | | | | | | 4,892,449 | |
| | |
| Ireland — 0.7% | | | | | | |
AerCap Holdings NV(a)(d) | | | 1,611 | | | | 49,619 | |
CRH plc | | | 9,929 | | | | 341,759 | |
Flutter Entertainment plc | | | 1,979 | | | | 261,276 | |
Kerry Group plc, Class A | | | 2,022 | | | | 251,188 | |
Kingspan Group plc | | | 1,962 | | | | 126,659 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Ireland (continued) | | | | | | |
Smurfit Kappa Group plc | | | 2,996 | | | $ | 100,683 | |
| | | | | | | | |
| | | | | | | 1,131,184 | |
| | |
| Israel — 0.6% | | | | | | |
Azrieli Group Ltd. | | | 564 | | | | 25,705 | |
Bank Hapoalim BM | | | 14,196 | | | | 84,866 | |
Bank Leumi Le-Israel BM | | | 18,004 | | | | 90,523 | |
Check Point Software Technologies Ltd.(a)(d) | | | 1,450 | | | | 155,773 | |
Elbit Systems Ltd. | | | 313 | | | | 43,013 | |
ICL Group Ltd. | | | 9,360 | | | | 27,881 | |
Israel Discount Bank Ltd., Class A | | | 15,549 | | | | 47,424 | |
Mizrahi Tefahot Bank Ltd. | | | 1,858 | | | | 34,912 | |
Nice Ltd.(a) | | | 814 | | | | 153,441 | |
Teva Pharmaceutical Industries Ltd., ADR(a)(d) | | | 14,395 | | | | 177,490 | |
Wix.com Ltd.(a)(d) | | | 657 | | | | 168,337 | |
| | | | | | | | |
| | | | | | | 1,009,365 | |
| | |
| Italy — 2.0% | | | | | | |
Assicurazioni Generali SpA | | | 14,224 | | | | 216,066 | |
Atlantia SpA(a) | | | 6,193 | | | | 100,174 | |
Davide Campari-Milano SpA | | | 7,722 | | | | 65,305 | |
DiaSorin SpA | | | 323 | | | | 62,031 | |
Enel SpA | | | 103,512 | | | | 895,218 | |
Eni SpA | | | 32,371 | | | | 310,309 | |
Ferrari NV | | | 1,618 | | | | 277,156 | |
FinecoBank Banca Fineco SpA(a) | | | 7,920 | | | | 107,190 | |
Infrastrutture Wireless Italiane SpA(e) | | | 3,081 | | | | 30,928 | |
Intesa Sanpaolo SpA(a) | | | 190,720 | | | | 366,505 | |
Leonardo SpA | | | 5,381 | | | | 35,872 | |
Mediobanca Banca di Credito Finanziario SpA | | | 8,248 | | | | 59,561 | |
Moncler SpA(a) | | | 2,379 | | | | 91,481 | |
Nexi SpA(a)(e) | | | 4,835 | | | | 83,841 | |
Pirelli & C SpA(a)(e) | | | 5,318 | | | | 22,625 | |
Poste Italiane SpA(e) | | | 6,946 | | | | 60,675 | |
Prysmian SpA | | | 3,194 | | | | 74,095 | |
Recordati SpA | | | 1,390 | | | | 69,554 | |
Snam SpA | | | 25,938 | | | | 126,452 | |
Telecom Italia SpA(d) | | | 201,859 | | | | 79,189 | |
Terna Rete Elettrica Nazionale SpA | | | 18,516 | | | | 127,715 | |
UniCredit SpA(a) | | | 27,234 | | | | 251,348 | |
| | | | | | | | |
| | | | | | | 3,513,290 | |
| | |
| Japan — 25.1% | | | | | | |
ABC-Mart, Inc. | | | 400 | | | | 23,465 | |
Acom Co. Ltd. | | | 5,300 | | | | 20,282 | |
Advantest Corp. | | | 2,500 | | | | 142,676 | |
Aeon Co. Ltd. | | | 8,100 | | | | 188,443 | |
Aeon Mall Co. Ltd. | | | 1,400 | | | | 18,604 | |
AGC, Inc. | | | 2,500 | | | | 71,674 | |
Air Water, Inc. | | | 2,000 | | | | 28,258 | |
Aisin Seiki Co. Ltd. | | | 1,900 | | | | 55,693 | |
Ajinomoto Co., Inc. | | | 5,600 | | | | 92,932 | |
Alfresa Holdings Corp. | | | 2,500 | | | | 52,403 | |
Amada Co. Ltd. | | | 4,500 | | | | 36,845 | |
ANA Holdings, Inc.(a) | | | 1,500 | | | | 34,279 | |
Aozora Bank Ltd. | | | 1,600 | | | | 27,899 | |
Asahi Group Holdings Ltd. | | | 5,000 | | | | 175,611 | |
Asahi Intecc Co. Ltd. | | | 2,600 | | | | 74,205 | |
Asahi Kasei Corp. | | | 15,700 | | | | 128,517 | |
Astellas Pharma, Inc. | | | 23,900 | | | | 399,120 | |
Bandai Namco Holdings, Inc. | | | 2,500 | | | | 131,595 | |
Bank of Kyoto Ltd. (The) | | | 700 | | | | 24,871 | |
Benesse Holdings, Inc. | | | 1,000 | | | | 26,820 | |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
Bridgestone Corp. | | | 6,900 | | | $ | 222,701 | |
Brother Industries Ltd. | | | 3,000 | | | | 54,201 | |
Calbee, Inc. | | | 1,100 | | | | 30,404 | |
Canon, Inc.(d) | | | 12,700 | | | | 253,340 | |
Casio Computer Co. Ltd. | | | 2,600 | | | | 45,359 | |
Central Japan Railway Co. | | | 1,900 | | | | 293,851 | |
Chiba Bank Ltd. (The) | | | 6,300 | | | | 29,785 | |
Chubu Electric Power Co., Inc. | | | 8,100 | | | | 101,590 | |
Chugai Pharmaceutical Co. Ltd. | | | 8,700 | | | | 465,798 | |
Chugoku Electric Power Co., Inc. (The) | | | 3,700 | | | | 49,329 | |
Coca-Cola Bottlers Japan Holdings, Inc. | | | 1,400 | | | | 25,391 | |
Concordia Financial Group Ltd. | | | 14,300 | | | | 45,975 | |
Cosmos Pharmaceutical Corp. | | | 300 | | | | 46,030 | |
CyberAgent, Inc. | | | 1,300 | | | | 63,900 | |
Dai Nippon Printing Co. Ltd. | | | 3,200 | | | | 73,569 | |
Daicel Corp. | | | 3,500 | | | | 27,126 | |
Daifuku Co. Ltd. | | | 1,300 | | | | 113,922 | |
Dai-ichi Life Holdings, Inc.(d) | | | 14,000 | | | | 167,580 | |
Daiichi Sankyo Co. Ltd. | | | 7,313 | | | | 598,142 | |
Daikin Industries Ltd. | | | 3,200 | | | | 517,760 | |
Daito Trust Construction Co. Ltd. | | | 900 | | | | 82,945 | |
Daiwa House Industry Co. Ltd. | | | 7,200 | | | | 170,027 | |
Daiwa House REIT Investment Corp. | | | 23 | | | | 54,110 | |
Daiwa Securities Group, Inc. | | | 20,500 | | | | 86,118 | |
Denso Corp. | | | 5,600 | | | | 219,615 | |
Dentsu Group, Inc. | | | 2,900 | | | | 68,793 | |
Disco Corp. | | | 400 | | | | 97,555 | |
East Japan Railway Co. | | | 3,800 | | | | 263,322 | |
Eisai Co. Ltd. | | | 3,200 | | | | 254,237 | |
Electric Power Development Co. Ltd. | | | 1,980 | | | | 37,534 | |
ENEOS Holdings, Inc. | | | 39,550 | | | | 140,979 | |
FamilyMart Co. Ltd. | | | 3,200 | | | | 54,937 | |
FANUC Corp. | | | 2,500 | | | | 448,175 | |
Fast Retailing Co. Ltd. | | | 700 | | | | 402,340 | |
Fuji Electric Co. Ltd. | | | 1,600 | | | | 44,038 | |
FUJIFILM Holdings Corp. | | | 4,600 | | | | 196,888 | |
Fujitsu Ltd.(d) | | | 2,500 | | | | 292,708 | |
Fukuoka Financial Group, Inc. | | | 1,900 | | | | 30,041 | |
GLP J-Reit(a) | | | 47 | | | | 67,917 | |
GMO Payment Gateway, Inc. | | | 500 | | | | 52,297 | |
Hakuhodo DY Holdings, Inc. | | | 3,100 | | | | 36,998 | |
Hamamatsu Photonics KK | | | 1,700 | | | | 74,026 | |
Hankyu Hanshin Holdings, Inc. | | | 3,000 | | | | 101,335 | |
Hikari Tsushin, Inc. | | | 300 | | | | 68,594 | |
Hino Motors Ltd. | | | 3,400 | | | | 23,068 | |
Hirose Electric Co. Ltd. | | | 435 | | | | 47,767 | |
Hisamitsu Pharmaceutical Co., Inc. | | | 500 | | | | 27,028 | |
Hitachi Construction Machinery Co. Ltd. | | | 1,400 | | | | 38,890 | |
Hitachi Ltd. | | | 12,400 | | | | 394,132 | |
Hitachi Metals Ltd. | | | 2,900 | | | | 34,759 | |
Honda Motor Co. Ltd. | | | 20,900 | | | | 534,908 | |
Hoshizaki Corp. | | | 700 | | | | 59,997 | |
Hoya Corp. | | | 4,800 | | | | 459,643 | |
Hulic Co. Ltd. | | | 4,000 | | | | 37,764 | |
Idemitsu Kosan Co. Ltd. | | | 2,425 | | | | 51,754 | |
Iida Group Holdings Co. Ltd. | | | 2,000 | | | | 30,737 | |
Inpex Corp. | | | 13,600 | | | | 84,922 | |
Isetan Mitsukoshi Holdings Ltd. | | | 4,480 | | | | 25,782 | |
Isuzu Motors Ltd. | | | 7,300 | | | | 66,338 | |
Ito En Ltd. | | | 700 | | | | 39,514 | |
ITOCHU Corp. | | | 17,300 | | | | 374,334 | |
Itochu Techno-Solutions Corp. | | | 1,300 | | | | 48,889 | |
Japan Airlines Co. Ltd. | | | 1,500 | | | | 27,068 | |
Japan Airport Terminal Co. Ltd. | | | 600 | | | | 25,603 | |
Japan Exchange Group, Inc. | | | 6,300 | | | | 145,908 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
Japan Post Bank Co. Ltd. | | | 5,400 | | | $ | 40,161 | |
Japan Post Holdings Co. Ltd. | | | 19,800 | | | | 141,306 | |
Japan Post Insurance Co. Ltd. | | | 3,000 | | | | 39,529 | |
Japan Prime Realty Investment Corp. | | | 11 | | | | 32,270 | |
Japan Real Estate Investment Corp. | | | 17 | | | | 87,246 | |
Japan Retail Fund Investment Corp. | | | 35 | | | | 43,777 | |
Japan Tobacco, Inc. | | | 15,500 | | | | 287,878 | |
JFE Holdings, Inc. | | | 6,500 | | | | 46,992 | |
JGC Holdings Corp. | | | 2,800 | | | | 29,526 | |
JSR Corp. | | | 2,600 | | | | 50,440 | |
JTEKT Corp. | | | 2,700 | | | | 21,082 | |
Kajima Corp. | | | 6,000 | | | | 71,741 | |
Kakaku.com, Inc. | | | 1,800 | | | | 45,854 | |
Kamigumi Co. Ltd. | | | 1,400 | | | | 27,533 | |
Kansai Electric Power Co., Inc. (The) | | | 9,400 | | | | 91,086 | |
Kansai Paint Co. Ltd. | | | 2,400 | | | | 50,716 | |
Kao Corp. | | | 6,100 | | | | 484,083 | |
Kawasaki Heavy Industries Ltd. | | | 1,900 | | | | 27,443 | |
KDDI Corp.(d) | | | 21,200 | | | | 632,547 | |
Keihan Holdings Co. Ltd. | | | 1,300 | | | | 58,057 | |
Keikyu Corp. | | | 2,900 | | | | 44,376 | |
Keio Corp. | | | 1,200 | | | | 68,676 | |
Keisei Electric Railway Co. Ltd. | | | 1,700 | | | | 53,279 | |
Keyence Corp. | | | 2,356 | | | | 987,309 | |
Kikkoman Corp. | | | 1,900 | | | | 91,765 | |
Kintetsu Group Holdings Co. Ltd. | | | 2,100 | | | | 94,226 | |
Kirin Holdings Co. Ltd. | | | 10,400 | | | | 219,230 | |
Kobayashi Pharmaceutical Co. Ltd. | | | 600 | | | | 52,755 | |
Kobe Bussan Co. Ltd. | | | 800 | | | | 45,428 | |
Koito Manufacturing Co. Ltd. | | | 1,400 | | | | 56,643 | |
Komatsu Ltd. | | | 11,200 | | | | 229,382 | |
Konami Holdings Corp. | | | 1,200 | | | | 40,043 | |
Kose Corp. | | | 400 | | | | 48,419 | |
Kubota Corp. | | | 13,500 | | | | 201,943 | |
Kuraray Co. Ltd. | | | 4,200 | | | | 43,952 | |
Kurita Water Industries Ltd. | | | 1,300 | | | | 36,164 | |
Kyocera Corp. | | | 4,100 | | | | 223,797 | |
Kyowa Kirin Co. Ltd. | | | 3,500 | | | | 92,137 | |
Kyushu Electric Power Co., Inc. | | | 5,000 | | | | 41,906 | |
Kyushu Railway Co. | | | 2,100 | | | | 54,566 | |
Lasertec Corp. | | | 1,000 | | | | 94,531 | |
Lawson, Inc. | | | 700 | | | | 35,210 | |
LINE Corp.(a) | | | 800 | | | | 40,263 | |
Lion Corp. | | | 3,000 | | | | 72,155 | |
LIXIL Group Corp. | | | 3,500 | | | | 49,155 | |
M3, Inc. | | | 5,600 | | | | 237,894 | |
Makita Corp. | | | 2,700 | | | | 98,184 | |
Marubeni Corp. | | | 21,200 | | | | 96,299 | |
Marui Group Co. Ltd. | | | 2,500 | | | | 45,223 | |
Maruichi Steel Tube Ltd. | | | 700 | | | | 17,448 | |
Mazda Motor Corp. | | | 7,600 | | | | 45,918 | |
McDonald’s Holdings Co. Japan Ltd. | | | 900 | | | | 48,643 | |
Mebuki Financial Group, Inc. | | | 10,980 | | | | 25,577 | |
Medipal Holdings Corp. | | | 2,300 | | | | 44,391 | |
MEIJI Holdings Co. Ltd. | | | 1,500 | | | | 119,364 | |
Mercari, Inc.(a) | | | 1,000 | | | | 31,051 | |
MINEBEA MITSUMI, Inc. | | | 4,600 | | | | 83,847 | |
MISUMI Group, Inc. | | | 3,800 | | | | 95,412 | |
Mitsubishi Chemical Holdings Corp. | | | 15,800 | | | | 92,140 | |
Mitsubishi Corp. | | | 17,300 | | | | 365,579 | |
Mitsubishi Electric Corp. | | | 23,600 | | | | 308,246 | |
Mitsubishi Estate Co. Ltd. | | | 15,000 | | | | 223,527 | |
Mitsubishi Gas Chemical Co., Inc. | | | 2,200 | | | | 33,461 | |
Mitsubishi Heavy Industries Ltd. | | | 4,000 | | | | 94,440 | |
Mitsubishi Materials Corp. | | | 1,400 | | | | 29,562 | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
Mitsubishi Motors Corp. | | | 8,900 | | | $ | 22,058 | |
Mitsubishi UFJ Financial Group, Inc. | | | 156,560 | | | | 616,146 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 5,400 | | | | 25,768 | |
Mitsui & Co. Ltd. | | | 20,800 | | | | 308,186 | |
Mitsui Chemicals, Inc. | | | 2,400 | | | | 50,199 | |
Mitsui Fudosan Co. Ltd. | | | 11,900 | | | | 211,400 | |
Miura Co. Ltd. | | | 1,100 | | | | 45,837 | |
Mizuho Financial Group, Inc. | | | 303,700 | | | | 373,565 | |
MonotaRO Co. Ltd. | | | 1,700 | | | | 68,303 | |
MS&AD Insurance Group Holdings, Inc. | | | 6,000 | | | | 165,232 | |
Murata Manufacturing Co. Ltd. | | | 7,300 | | | | 430,324 | |
Nabtesco Corp. | | | 1,500 | | | | 46,421 | |
Nagoya Railroad Co. Ltd. | | | 2,400 | | | | 67,645 | |
NEC Corp. | | | 3,200 | | | | 153,746 | |
Nexon Co. Ltd. | | | 5,900 | | | | 133,083 | |
NGK Insulators Ltd. | | | 3,500 | | | | 48,495 | |
NGK Spark Plug Co. Ltd. | | | 2,100 | | | | 30,183 | |
NH Foods Ltd. | | | 900 | | | | 36,216 | |
Nidec Corp. | | | 5,600 | | | | 377,265 | |
Nihon M&A Center, Inc. | | | 1,900 | | | | 86,408 | |
Nikon Corp. | | | 4,300 | | | | 36,113 | |
Nintendo Co. Ltd. | | | 1,400 | | | | 625,896 | |
Nippon Building Fund, Inc. | | | 17 | | | | 96,818 | |
Nippon Express Co. Ltd. | | | 1,000 | | | | 51,853 | |
Nippon Paint Holdings Co. Ltd. | | | 1,900 | | | | 138,580 | |
Nippon Prologis REIT, Inc.(a) | | | 27 | | | | 82,043 | |
Nippon Shinyaku Co. Ltd. | | | 600 | | | | 48,974 | |
Nippon Steel Corp. | | | 9,900 | | | | 93,550 | |
Nippon Telegraph & Telephone Corp. | | | 16,200 | | | | 377,451 | |
Nippon Yusen KK | | | 2,000 | | | | 28,306 | |
Nissan Chemical Corp. | | | 1,500 | | | | 77,173 | |
Nissan Motor Co. Ltd. | | | 28,700 | | | | 106,432 | |
Nisshin Seifun Group, Inc. | | | 2,600 | | | | 38,822 | |
Nissin Foods Holdings Co. Ltd. | | | 800 | | | | 70,880 | |
Nitori Holdings Co. Ltd. | | | 1,000 | | | | 196,069 | |
Nitto Denko Corp. | | | 2,100 | | | | 119,049 | |
Nomura Holdings, Inc. | | | 42,000 | | | | 188,731 | |
Nomura Real Estate Holdings, Inc. | | | 1,700 | | | | 31,650 | |
Nomura Real Estate Master Fund, Inc. | | | 52 | | | | 62,280 | |
Nomura Research Institute Ltd. | | | 4,410 | | | | 120,449 | |
NSK Ltd. | | | 4,800 | | | | 35,821 | |
NTT Data Corp. | | | 7,700 | | | | 86,089 | |
NTT DOCOMO, Inc. | | | 15,000 | | | | 398,220 | |
Obayashi Corp. | | | 8,600 | | | | 80,853 | |
Obic Co. Ltd. | | | 900 | | | | 158,615 | |
Odakyu Electric Railway Co. Ltd. | | | 3,900 | | | | 95,775 | |
Oji Holdings Corp. | | | 11,600 | | | | 54,118 | |
Olympus Corp. | | | 14,900 | | | | 286,862 | |
Omron Corp. | | | 2,400 | | | | 160,748 | |
Ono Pharmaceutical Co. Ltd. | | | 4,700 | | | | 137,177 | |
Oracle Corp. Japan | | | 500 | | | | 59,306 | |
Oriental Land Co. Ltd. | | | 2,600 | | | | 343,580 | |
ORIX Corp. | | | 16,600 | | | | 206,126 | |
Orix JREIT, Inc. | | | 31 | | | | 40,862 | |
Osaka Gas Co. Ltd. | | | 5,000 | | | | 98,835 | |
Otsuka Corp. | | | 1,400 | | | | 73,942 | |
Otsuka Holdings Co. Ltd. | | | 4,900 | | | | 213,552 | |
Pan Pacific International Holdings Corp. | | | 5,300 | | | | 116,688 | |
Panasonic Corp. | | | 28,600 | | | | 250,795 | |
Park24 Co. Ltd. | | | 1,500 | | | | 25,718 | |
PeptiDream, Inc.(a) | | | 1,200 | | | | 55,291 | |
Persol Holdings Co. Ltd. | | | 2,400 | | | | 33,088 | |
Pigeon Corp. | | | 1,600 | | | | 61,928 | |
Pola Orbis Holdings, Inc. | | | 1,200 | | | | 20,950 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
Rakuten, Inc. | | | 11,400 | | | $ | 100,696 | |
Recruit Holdings Co. Ltd. | | | 16,300 | | | | 560,560 | |
Renesas Electronics Corp.(a) | | | 9,700 | | | | 49,862 | |
Resona Holdings, Inc. | | | 27,800 | | | | 95,129 | |
Ricoh Co. Ltd. | | | 8,900 | | | | 63,863 | |
Rinnai Corp. | | | 400 | | | | 33,497 | |
Rohm Co. Ltd. | | | 1,100 | | | | 73,141 | |
Ryohin Keikaku Co. Ltd. | | | 3,000 | | | | 42,671 | |
Santen Pharmaceutical Co. Ltd. | | | 4,400 | | | | 81,002 | |
SBI Holdings, Inc. | | | 2,945 | | | | 63,908 | |
SCSK Corp. | | | 700 | | | | 34,247 | |
Secom Co. Ltd. | | | 2,700 | | | | 236,905 | |
Sega Sammy Holdings, Inc. | | | 2,268 | | | | 27,187 | |
Seibu Holdings, Inc. | | | 2,600 | | | | 28,320 | |
Seiko Epson Corp. | | | 3,700 | | | | 42,386 | |
Sekisui Chemical Co. Ltd. | | | 4,900 | | | | 70,206 | |
Sekisui House Ltd. | | | 7,800 | | | | 148,919 | |
Seven & i Holdings Co. Ltd. | | | 9,640 | | | | 315,358 | |
Seven Bank Ltd. | | | 7,900 | | | | 21,653 | |
SG Holdings Co. Ltd. | | | 2,100 | | | | 68,531 | |
Sharp Corp. | | | 2,300 | | | | 24,666 | |
Shimadzu Corp. | | | 3,000 | | | | 80,092 | |
Shimamura Co. Ltd. | | | 300 | | | | 20,320 | |
Shimano, Inc. | | | 1,000 | | | | 192,289 | |
Shimizu Corp. | | | 7,300 | | | | 60,138 | |
Shin-Etsu Chemical Co. Ltd. | | | 4,500 | | | | 528,127 | |
Shinsei Bank Ltd. | | | 2,100 | | | | 25,400 | |
Shionogi & Co. Ltd. | | | 3,500 | | | | 219,567 | |
Shiseido Co. Ltd. | | | 5,100 | | | | 324,975 | |
Shizuoka Bank Ltd. (The) | | | 5,700 | | | | 36,668 | |
Showa Denko KK | | | 1,800 | | | | 40,629 | |
SMC Corp. | | | 700 | | | | 359,745 | |
Softbank Corp. | | | 24,600 | | | | 313,557 | |
SoftBank Group Corp. | | | 20,100 | | | | 1,013,596 | |
Sohgo Security Services Co. Ltd. | | | 900 | | | | 42,024 | |
Sompo Holdings, Inc. | | | 4,400 | | | | 151,472 | |
Sony Corp. | | | 16,300 | | | | 1,125,192 | |
Sony Financial Holdings, Inc. | | | 1,800 | | | | 43,461 | |
Square Enix Holdings Co. Ltd. | | | 1,200 | | | | 60,797 | |
Stanley Electric Co. Ltd. | | | 1,800 | | | | 43,574 | |
Subaru Corp. | | | 7,800 | | | | 163,329 | |
SUMCO Corp. | | | 3,100 | | | | 47,660 | |
Sumitomo Chemical Co. Ltd. | | | 20,000 | | | | 60,176 | |
Sumitomo Corp. | | | 15,000 | | | | 172,522 | |
Sumitomo Dainippon Pharma Co. Ltd. | | | 2,100 | | | | 29,101 | |
Sumitomo Electric Industries Ltd. | | | 9,200 | | | | 106,128 | |
Sumitomo Heavy Industries Ltd. | | | 1,500 | | | | 32,807 | |
Sumitomo Metal Mining Co. Ltd. | | | 3,100 | | | | 87,326 | |
Sumitomo Mitsui Financial Group, Inc. | | | 16,600 | | | | 468,482 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 4,100 | | | | 115,539 | |
Sumitomo Realty & Development Co. Ltd. | | | 4,200 | | | | 115,931 | |
Sumitomo Rubber Industries Ltd. | | | 2,300 | | | | 22,780 | |
Sundrug Co. Ltd. | | | 1,000 | | | | 33,096 | |
Suntory Beverage & Food Ltd. | | | 1,800 | | | | 70,233 | |
Suzuken Co. Ltd. | | | 1,000 | | | | 37,360 | |
Suzuki Motor Corp. | | | 4,800 | | | | 163,901 | |
Sysmex Corp. | | | 2,200 | | | | 168,876 | |
T&D Holdings, Inc. | | | 6,400 | | | | 54,971 | |
Taiheiyo Cement Corp. | | | 1,600 | | | | 37,175 | |
Taisei Corp. | | | 2,500 | | | | 91,115 | |
Taisho Pharmaceutical Holdings Co. Ltd. | | | 500 | | | | 30,684 | |
Taiyo Nippon Sanso Corp. | | | 1,700 | | | | 28,429 | |
Takeda Pharmaceutical Co. Ltd. | | | 20,271 | | | | 728,296 | |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Japan (continued) | | | | | | |
TDK Corp. | | | 1,700 | | | $ | 169,237 | |
Teijin Ltd. | | | 2,400 | | | | 38,212 | |
Terumo Corp. | | | 8,100 | | | | 308,308 | |
THK Co. Ltd. | | | 1,600 | | | | 39,836 | |
TIS, Inc. | | | 2,900 | | | | 61,401 | |
Tobu Railway Co. Ltd. | | | 2,500 | | | | 82,599 | |
Toho Co. Ltd. | | | 1,500 | | | | 54,182 | |
Toho Gas Co. Ltd. | | | 1,000 | | | | 49,983 | |
Tohoku Electric Power Co., Inc. | | | 5,700 | | | | 54,148 | |
Tokio Marine Holdings, Inc. | | | 8,100 | | | | 354,562 | |
Tokyo Century Corp. | | | 600 | | | | 30,724 | |
Tokyo Electric Power Co. Holdings, Inc.(a) | | | 19,200 | | | | 59,063 | |
Tokyo Electron Ltd. | | | 1,900 | | | | 468,813 | |
Tokyo Gas Co. Ltd. | | | 4,800 | | | | 114,934 | |
Tokyu Corp. | | | 6,600 | | | | 92,917 | |
Tokyu Fudosan Holdings Corp. | | | 6,800 | | | | 31,990 | |
Toppan Printing Co. Ltd. | | | 3,300 | | | | 55,172 | |
Toray Industries, Inc. | | | 18,400 | | | | 86,848 | |
Toshiba Corp. | | | 5,000 | | | | 160,399 | |
Tosoh Corp. | | | 3,500 | | | | 48,079 | |
TOTO Ltd. | | | 1,900 | | | | 73,052 | |
Toyo Suisan Kaisha Ltd. | | | 1,200 | | | | 67,049 | |
Toyoda Gosei Co. Ltd. | | | 900 | | | | 18,804 | |
Toyota Industries Corp. | | | 1,900 | | | | 100,990 | |
Toyota Motor Corp. | | | 27,200 | | | | 1,710,447 | |
Toyota Tsusho Corp. | | | 2,800 | | | | 71,404 | |
Trend Micro, Inc. | | | 1,600 | | | | 89,415 | |
Tsuruha Holdings, Inc. | | | 500 | | | | 69,057 | |
Unicharm Corp. | | | 5,100 | | | | 209,164 | |
United Urban Investment Corp. | | | 39 | | | | 42,005 | |
USS Co. Ltd. | | | 2,900 | | | | 46,488 | |
Welcia Holdings Co. Ltd. | | | 600 | | | | 48,472 | |
West Japan Railway Co. | | | 2,100 | | | | 117,787 | |
Yakult Honsha Co. Ltd. | | | 1,500 | | | | 88,251 | |
Yamada Denki Co. Ltd. | | | 8,400 | | | | 41,667 | |
Yamaha Corp. | | | 1,800 | | | | 84,897 | |
Yamaha Motor Co. Ltd. | | | 3,700 | | | | 58,275 | |
Yamato Holdings Co. Ltd. | | | 4,100 | | | | 89,000 | |
Yamazaki Baking Co. Ltd. | | | 1,600 | | | | 27,484 | |
Yaskawa Electric Corp. | | | 3,200 | | | | 111,242 | |
Yokogawa Electric Corp. | | | 3,000 | | | | 47,006 | |
Yokohama Rubber Co. Ltd. (The) | | | 1,600 | | | | 22,624 | |
Z Holdings Corp. | | | 34,800 | | | | 170,789 | |
ZOZO, Inc. | | | 1,400 | | | | 31,209 | |
| | | | | | | | |
| | | | | | | 42,877,832 | |
| | |
| Jordan — 0.0% | | | | | | |
Hikma Pharmaceuticals plc | | | 1,866 | | | | 51,205 | |
| | | | | | | | |
| | |
| Luxembourg — 0.2% | | | | | | |
ArcelorMittal SA(a) | | | 9,423 | | | | 99,807 | |
Eurofins Scientific SE(a) | | | 169 | | | | 106,594 | |
SES SA, FDR | | | 4,843 | | | | 33,092 | |
Tenaris SA | | | 6,279 | | | | 40,805 | |
| | | | | | | | |
| | | | | | | 280,298 | |
| | |
| Macau — 0.2% | | | | | | |
Galaxy Entertainment Group Ltd. | | | 28,000 | | | | 192,073 | |
Sands China Ltd. | | | 30,400 | | | | 119,753 | |
SJM Holdings Ltd. | | | 26,000 | | | | 29,150 | |
Wynn Macau Ltd. | | | 20,800 | | | | 36,076 | |
| | | | | | | | |
| | | | | | | 377,052 | |
| | |
| Netherlands — 4.2% | | | | | | |
ABN AMRO Bank NV, CVA(e) | | | 5,624 | | | | 48,398 | |
Adyen NV(a)(e) | | | 232 | | | | 337,675 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Netherlands (continued) | | | | | | |
Aegon NV | | | 23,684 | | | $ | 70,009 | |
Akzo Nobel NV | | | 2,630 | | | | 236,281 | |
Altice Europe NV(a) | | | 6,672 | | | | 25,804 | |
ASML Holding NV | | | 5,464 | | | | 1,998,803 | |
EXOR NV | | | 1,319 | | | | 75,707 | |
Heineken Holding NV | | | 1,432 | | | | 117,205 | |
Heineken NV | | | 3,354 | | | | 309,220 | |
ING Groep NV | | | 50,287 | | | | 350,546 | |
Just Eat Takeaway.com NV(a)(e) | | | 1,499 | | | | 156,683 | |
Koninklijke Ahold Delhaize NV | | | 13,979 | | | | 380,985 | |
Koninklijke DSM NV | | | 2,211 | | | | 306,927 | |
Koninklijke KPN NV | | | 44,704 | | | | 118,909 | |
Koninklijke Philips NV(a) | | | 11,463 | | | | 534,723 | |
Koninklijke Vopak NV | | | 935 | | | | 49,456 | |
NN Group NV | | | 3,735 | | | | 125,525 | |
Randstad NV(a) | | | 1,393 | | | | 62,288 | |
Royal Dutch Shell plc, Class A | | | 53,203 | | | | 851,847 | |
Royal Dutch Shell plc, Class B | | | 47,522 | | | | 720,448 | |
Wolters Kluwer NV | | | 3,540 | | | �� | 276,494 | |
| | | | | | | | |
| | | | | | | 7,153,933 | |
| | |
| New Zealand — 0.3% | | | | | | |
a2 Milk Co. Ltd.(a) | | | 9,034 | | | | 118,253 | |
Auckland International Airport Ltd. | | | 15,598 | | | | 66,334 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 7,121 | | | | 164,045 | |
Mercury NZ Ltd. | | | 8,325 | | | | 25,363 | |
Meridian Energy Ltd. | | | 17,039 | | | | 53,116 | |
Ryman Healthcare Ltd. | | | 5,318 | | | | 45,118 | |
Spark New Zealand Ltd. | | | 21,630 | | | | 63,996 | |
| | | | | | | | |
| | | | | | | 536,225 | |
| | |
| Norway — 0.5% | | | | | | |
DNB ASA | | | 11,820 | | | | 157,767 | |
Equinor ASA(d) | | | 13,127 | | | | 189,103 | |
Gjensidige Forsikring ASA(a) | | | 2,659 | | | | 49,128 | |
Mowi ASA | | | 5,540 | | | | 105,602 | |
Norsk Hydro ASA(a) | | | 17,881 | | | | 49,886 | |
Orkla ASA | | | 8,866 | | | | 77,840 | |
Schibsted ASA, Class B(a) | | | 1,303 | | | | 30,778 | |
Telenor ASA | | | 8,961 | | | | 130,838 | |
Yara International ASA | | | 2,361 | | | | 82,310 | |
| | | | | | | | |
| | | | | | | 873,252 | |
| | |
| Portugal — 0.2% | | | | | | |
EDP — Energias de Portugal SA | | | 31,796 | | | | 151,771 | |
Galp Energia SGPS SA | | | 6,665 | | | | 77,314 | |
Jeronimo Martins SGPS SA(a) | | | 3,347 | | | | 58,572 | |
| | | | | | | | |
| | |
| | | | | | 287,657 | |
| | |
| Russia — 0.0% | | | | | | |
Evraz plc | | | 6,748 | | | | 23,909 | |
| | | | | | | | |
| | |
| Singapore — 1.1% | | | | | | |
Ascendas REIT | | | 42,035 | | | | 96,446 | |
CapitaLand Commercial Trust | | | 34,838 | | | | 42,637 | |
CapitaLand Ltd.(a) | | | 34,092 | | | | 72,024 | |
CapitaLand Mall Trust | | | 33,000 | | | | 46,825 | |
City Developments Ltd.(d) | | | 5,431 | | | | 33,189 | |
DBS Group Holdings Ltd. | | | 22,867 | | | | 344,076 | |
Genting Singapore Ltd. | | | 80,400 | | | | 44,234 | |
Jardine Cycle & Carriage Ltd. | | | 1,283 | | | | 18,724 | |
Keppel Corp. Ltd. | | | 17,302 | | | | 74,518 | |
Mapletree Commercial Trust | | | 22,200 | | | | 31,062 | |
Mapletree Logistics Trust | | | 34,100 | | | | 47,873 | |
Oversea-Chinese Banking Corp. Ltd. | | | 42,535 | | | | 277,234 | |
Singapore Airlines Ltd. | | | 18,000 | | | | 48,586 | |
Singapore Exchange Ltd. | | | 9,500 | | | | 57,168 | |
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | shares | | | Value | |
|
| Singapore (continued) | |
Singapore Technologies Engineering Ltd. | | | 20,781 | | | $ | 49,599 | |
Singapore Telecommunications Ltd. | | | 106,950 | | | | 190,253 | |
Suntec REIT | | | 24,100 | | | | 24,619 | |
United Overseas Bank Ltd. | | | 15,059 | | | | 220,040 | |
UOL Group Ltd. | | | 5,646 | | | | 27,760 | |
Venture Corp. Ltd. | | | 3,600 | | | | 42,072 | |
Wilmar International Ltd. | | | 22,600 | | | | 66,846 | |
| | | | | | | | |
| | | | | | | 1,855,785 | |
| | |
| South Africa — 0.3% | | | | | | |
Anglo American plc | | | 15,766 | | | | 363,457 | |
Mondi plc | | | 6,082 | | | | 113,764 | |
| | | | | | | | |
| | | | | | | 477,221 | |
| | |
| Spain — 2.4% | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 3,114 | | | | 80,026 | |
Aena SME SA(a)(e) | | | 884 | | | | 118,228 | |
Amadeus IT Group SA | | | 5,504 | | | | 288,972 | |
Banco Bilbao Vizcaya Argentaria SA | | | 84,819 | | | | 292,029 | |
Banco Santander SA | | | 215,062 | | | | 526,141 | |
Bankinter SA | | | 8,963 | | | | 42,961 | |
CaixaBank SA | | | 47,036 | | | | 100,624 | |
Cellnex Telecom SA(e) | | | 3,290 | | | | 200,946 | |
Enagas SA | | | 3,015 | | | | 73,758 | |
Endesa SA | | | 4,163 | | | | 103,268 | |
Ferrovial SA | | | 6,233 | | | | 166,608 | |
Grifols SA | | | 3,727 | | | | 113,331 | |
Iberdrola SA | | | 74,554 | | | | 870,394 | |
Industria de Diseno Textil SA | | | 13,883 | | | | 368,364 | |
Mapfre SA | | | 14,331 | | | | 25,591 | |
Naturgy Energy Group SA | | | 3,421 | | | | 63,866 | |
Red Electrica Corp. SA | | | 5,673 | | | | 106,139 | |
Repsol SA | | | 18,439 | | | | 162,927 | |
Siemens Gamesa Renewable Energy SA | | | 3,170 | | | | 56,442 | |
Telefonica SA | | | 59,573 | | | | 284,924 | |
| | | | | | | | |
| | | | | | | 4,045,539 | |
| | |
| Sweden — 2.8% | | | | | | |
Alfa Laval AB(a) | | | 3,904 | | | | 86,123 | |
Assa Abloy AB, Class B | | | 12,747 | | | | 260,899 | |
Atlas Copco AB, Class A | | | 8,546 | | | | 363,935 | |
Atlas Copco AB, Class B | | | 5,070 | | | | 188,391 | |
Boliden AB | | | 3,637 | | | | 83,420 | |
Electrolux AB | | | 2,964 | | | | 49,869 | |
Epiroc AB, Class A | | | 8,142 | | | | 102,023 | |
Epiroc AB, Class B | | | 5,188 | | | | 63,714 | |
EQT AB(a) | | | 3,058 | | | | 55,138 | |
Essity AB, Class B(a) | | | 7,695 | | | | 249,483 | |
Evolution Gaming Group AB(e) | | | 1,632 | | | | 96,934 | |
Hennes & Mauritz AB, Class B | | | 10,224 | | | | 149,232 | |
Hexagon AB, Class B(a) | | | 3,612 | | | | 212,117 | |
Husqvarna AB, Class B | | | 5,551 | | | | 45,685 | |
ICA Gruppen AB | | | 1,291 | | | | 61,367 | |
Industrivarden AB, Class C(a) | | | 2,221 | | | | 50,625 | |
Investment AB Latour, Class B(d) | | | 1,900 | | | | 34,497 | |
Investor AB, Class B | | | 5,739 | | | | 304,442 | |
Kinnevik AB, Class B | | | 3,118 | | | | 82,307 | |
L E Lundbergforetagen AB, Class B(a) | | | 1,010 | | | | 46,039 | |
Lundin Energy AB | | | 2,489 | | | | 60,746 | |
Nibe Industrier AB, Class B(a) | | | 4,003 | | | | 88,786 | |
Sandvik AB(a) | | | 14,218 | | | | 267,665 | |
Securitas AB, Class B(a) | | | 4,163 | | | | 56,293 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Sweden (continued) | | | | | | |
Skandinaviska Enskilda Banken AB, Class A(a) | | | 20,626 | | | $ | 179,045 | |
Skanska AB, Class B(a) | | | 4,532 | | | | 92,522 | |
SKF AB, Class B | | | 5,029 | | | | 94,010 | |
Svenska Cellulosa AB SCA, Class B(a) | | | 7,777 | | | | 93,022 | |
Svenska Handelsbanken AB, Class A(a) | | | 19,458 | | | | 184,760 | |
Swedbank AB, Class A(a) | | | 11,445 | | | | 146,964 | |
Swedish Match AB | | | 2,143 | | | | 151,201 | |
Tele2 AB, Class B | | | 6,403 | | | | 85,236 | |
Telefonaktiebolaget LM Ericsson, Class B | | | 37,465 | | | | 347,284 | |
Telia Co. AB | | | 35,360 | | | | 132,289 | |
Volvo AB, Class B(a) | | | 19,225 | | | | 302,503 | |
| | | | | | | | |
| | | | | | | 4,868,566 | |
|
| Switzerland — 10.3% | |
ABB Ltd. (Registered) | | | 23,760 | | | | 538,947 | |
Adecco Group AG (Registered) | | | 1,862 | | | | 87,767 | |
Alcon, Inc.(a) | | | 6,311 | | | | 362,625 | |
Baloise Holding AG (Registered) | | | 649 | | | | 97,772 | |
Banque Cantonale Vaudoise (Registered) | | | 386 | | | | 37,590 | |
Barry Callebaut AG (Registered) | | | 35 | | | | 66,809 | |
Chocoladefabriken Lindt & Spruengli AG | | | 13 | | | | 107,371 | |
Chocoladefabriken Lindt & Spruengli AG (Registered) | | | 2 | | | | 172,514 | |
Cie Financiere Richemont SA (Registered) | | | 6,606 | | | | 426,089 | |
Clariant AG (Registered)(a) | | | 2,648 | | | | 52,115 | |
Coca-Cola HBC AG | | | 2,617 | | | | 65,512 | |
Credit Suisse Group AG (Registered) | | | 31,168 | | | | 324,299 | |
EMS-Chemie Holding AG (Registered) | | | 109 | | | | 84,682 | |
Geberit AG (Registered) | | | 468 | | | | 234,812 | |
Givaudan SA (Registered) | | | 118 | | | | 441,081 | |
Julius Baer Group Ltd.(a) | | | 2,750 | | | | 115,493 | |
Kuehne + Nagel International AG (Registered)(a) | | | 667 | | | | 111,101 | |
LafargeHolcim Ltd. (Registered)(a) | | | 6,709 | | | | 295,572 | |
Logitech International SA (Registered) | | | 2,111 | | | | 138,333 | |
Lonza Group AG (Registered) | | | 955 | | | | 505,861 | |
Nestle SA (Registered) | | | 38,200 | | | | 4,235,258 | |
Novartis AG (Registered) | | | 27,575 | | | | 2,402,363 | |
Pargesa Holding SA, Class BR | | | 513 | | | | 38,896 | |
Partners Group Holding AG | | | 240 | | | | 218,566 | |
Roche Holding AG | | | 9,018 | | | | 3,124,282 | |
Schindler Holding AG | | | 508 | | | | 120,223 | |
Schindler Holding AG (Registered) | | | 268 | | | | 63,535 | |
SGS SA (Registered) | | | 79 | | | | 193,522 | |
Sika AG (Registered) | | | 1,620 | | | | 312,291 | |
Sonova Holding AG (Registered)(a) | | | 696 | | | | 139,322 | |
STMicroelectronics NV | | | 8,187 | | | | 223,164 | |
Straumann Holding AG (Registered) | | | 137 | | | | 118,435 | |
Swatch Group AG (The) | | | 377 | | | | 75,668 | |
Swatch Group AG (The) (Registered) | | | 742 | | | | 29,180 | |
Swiss Life Holding AG (Registered) | | | 421 | | | | 156,620 | |
Swiss Prime Site AG (Registered) | | | 947 | | | | 87,849 | |
Swiss Re AG | | | 3,750 | | | | 290,755 | |
Swisscom AG (Registered) | | | 329 | | | | 172,528 | |
Temenos AG (Registered) | | | 803 | | | | 124,805 | |
UBS Group AG (Registered) | | | 47,058 | | | | 543,476 | |
Vifor Pharma AG | | | 605 | | | | 91,529 | |
Zurich Insurance Group AG | | | 1,904 | | | | 674,645 | |
| | | | | | | | |
| | | | | | | 17,703,257 | |
| | |
SCHEDULEOF INVESTMENTS | | 11 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United Kingdom — 12.5% | | | | | | |
3i Group plc | | | 12,301 | | | $ | 126,663 | |
Admiral Group plc | | | 2,316 | | | | 65,679 | |
Ashtead Group plc | | | 5,873 | | | | 198,114 | |
Associated British Foods plc | | | 4,434 | | | | 104,838 | |
AstraZeneca plc(d) | | | 16,843 | | | | 1,752,925 | |
Auto Trader Group plc(e) | | | 12,141 | | | | 79,047 | |
AVEVA Group plc | | | 823 | | | | 41,729 | |
Aviva plc | | | 48,823 | | | | 165,480 | |
BAE Systems plc | | | 41,041 | | | | 245,403 | |
Barclays plc | | | 220,316 | | | | 310,821 | |
Barratt Developments plc | | | 13,463 | | | | 82,745 | |
Berkeley Group Holdings plc | | | 1,532 | | | | 78,898 | |
BP plc | | | 260,066 | | | | 996,324 | |
British American Tobacco plc | | | 29,444 | | | | 1,129,260 | |
British Land Co. plc (The) | | | 11,235 | | | | 53,742 | |
BT Group plc | | | 114,493 | | | | 161,922 | |
Bunzl plc | | | 4,495 | | | | 120,570 | |
Burberry Group plc | | | 5,393 | | | | 106,566 | |
CK Hutchison Holdings Ltd. | | | 34,159 | | | | 221,200 | |
CNH Industrial NV(a) | | | 12,504 | | | | 87,848 | |
Coca-Cola European Partners plc | | | 2,871 | | | | 108,409 | |
Compass Group plc | | | 22,896 | | | | 315,014 | |
Croda International plc | | | 1,574 | | | | 102,233 | |
DCC plc | | | 1,289 | | | | 107,559 | |
Diageo plc(d) | | | 29,868 | | | | 992,733 | |
Direct Line Insurance Group plc | | | 18,282 | | | | 61,301 | |
Experian plc | | | 11,682 | | | | 410,025 | |
Fiat Chrysler Automobiles NV(a) | | | 13,464 | | | | 136,230 | |
GlaxoSmithKline plc | | | 64,391 | | | | 1,300,678 | |
GVC Holdings plc | | | 7,296 | | | | 66,874 | |
Halma plc | | | 4,761 | | | | 135,642 | |
Hargreaves Lansdown plc | | | 4,262 | | | | 85,948 | |
HSBC Holdings plc | | | 260,746 | | | | 1,211,840 | |
Imperial Brands plc | | | 12,079 | | | | 229,944 | |
Informa plc | | | 19,097 | | | | 110,414 | |
InterContinental Hotels Group plc | | | 2,282 | | | | 100,739 | |
Intertek Group plc | | | 2,023 | | | | 136,251 | |
ITV plc | | | 48,169 | | | | 44,519 | |
J Sainsbury plc | | | 23,366 | | | | 60,470 | |
JD Sports Fashion plc | | | 5,572 | | | | 42,886 | |
Johnson Matthey plc | | | 2,573 | | | | 67,011 | |
Kingfisher plc | | | 28,521 | | | | 78,467 | |
Land Securities Group plc | | | 9,146 | | | | 62,491 | |
Legal & General Group plc | | | 76,613 | | | | 208,866 | |
Lloyds Banking Group plc | | | 913,047 | | | | 352,217 | |
London Stock Exchange Group plc | | | 4,034 | | | | 419,517 | |
M&G plc | | | 33,500 | | | | 69,561 | |
Melrose Industries plc | | | 59,712 | | | | 84,167 | |
National Grid plc | | | 45,032 | | | | 549,408 | |
Next plc | | | 1,623 | | | | 98,265 | |
Ocado Group plc(a) | | | 5,933 | | | | 149,098 | |
Pearson plc | | | 10,380 | | | | 73,893 | |
Persimmon plc | | | 4,139 | | | | 117,140 | |
Prudential plc | | | 33,485 | | | | 504,554 | |
Reckitt Benckiser Group plc | | | 9,122 | | | | 839,210 | |
RELX plc | | | 24,673 | | | | 571,075 | |
Rentokil Initial plc | | | 23,374 | | | | 147,798 | |
Rio Tinto Ltd. | | | 4,767 | | | | 326,414 | |
Rolls-Royce Holdings plc(a) | | | 24,786 | | | | 87,510 | |
Royal Bank of Scotland Group plc | | | 59,808 | | | | 89,787 | |
RSA Insurance Group plc | | | 13,648 | | | | 69,119 | |
Sage Group plc (The) | | | 13,453 | | | | 111,672 | |
Schroders plc | | | 1,653 | | | | 60,331 | |
Segro plc | | | 13,815 | | | | 152,794 | |
Severn Trent plc | | | 3,146 | | | | 96,280 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| United Kingdom (continued) | |
Smith & Nephew plc | | | 11,036 | | | $ | 205,641 | |
Smiths Group plc | | | 5,262 | | | | 91,990 | |
Spirax-Sarco Engineering plc | | | 982 | | | | 120,894 | |
SSE plc | | | 13,496 | | | | 228,529 | |
St. James’s Place plc | | | 7,035 | | | | 82,721 | |
Standard Chartered plc | | | 34,388 | | | | 186,410 | |
Standard Life Aberdeen plc | | | 31,196 | | | | 103,374 | |
Taylor Wimpey plc | | | 39,831 | | | | 70,302 | |
Tesco plc | | | 125,697 | | | | 353,543 | |
Unilever NV | | | 18,842 | | | | 1,004,614 | |
Unilever plc | | | 14,999 | | | | 809,062 | |
United Utilities Group plc | | | 8,430 | | | | 94,726 | |
Vodafone Group plc | | | 340,361 | | | | 541,092 | |
Whitbread plc | | | 2,676 | | | | 73,624 | |
Wm Morrison Supermarkets plc | | | 29,757 | | | | 70,100 | |
WPP plc | | | 15,652 | | | | 122,028 | |
| | | | | | | | |
| | | | | | | 21,434,778 | |
| | |
| United States — 0.3% | | | | | | |
CyberArk Software Ltd.(a)(d) | | | 497 | | | | 49,337 | |
Ferguson plc | | | 2,904 | | | | 237,450 | |
James Hardie Industries plc, CDI | | | 5,862 | | | | 112,953 | |
QIAGEN NV(a) | | | 2,837 | | | | 122,204 | |
| | | | | | | | |
| | | | | | | 521,944 | |
| | | | | | | | |
| |
Total Common Stocks — 98.1%
(Cost: $180,796,843) | | | | 167,748,606 | |
| | | | | | | | |
| | |
Preferred Securities — 0.6% | | | | | | | | |
|
Preferred Stocks — 0.6% | |
|
| Germany — 0.6% | |
Bayerische Motoren Werke AG (Preference) | | | 733 | | | | 35,607 | |
Fuchs Petrolub SE (Preference) | | | 924 | | | | 37,139 | |
Henkel AG & Co. KGaA (Preference) | | | 2,243 | | | | 209,258 | |
Porsche Automobil Holding SE (Preference) | | | 1,910 | | | | 110,625 | |
Sartorius AG (Preference) | | | 473 | | | | 156,113 | |
Volkswagen AG (Preference) | | | 2,362 | | | | 359,024 | |
| | | | | | | | |
| | | | | | | 907,766 | |
| | | | | | | | |
| |
Total Preferred Stocks — 0.6%
(Cost: $690,943) | | | | 907,766 | |
| | | | | | | | |
|
Rights — 0.0% | |
|
Spain — 0.0%(a) | |
ACS Actividades de Construccion y Servicios SA | | | 3,114 | | | | 4,858 | |
Repsol SA | | | 18,439 | | | | 8,976 | |
Telefonica SA | | | 59,573 | | | | 11,719 | |
| | | | | | | | |
| |
Total Rights — 0.0%
(Cost: $27,381) | | | | 25,553 | |
| | | | | | | | |
| |
Total Long-Term Investments — 98.7%
(Cost: $181,515,167) | | | | 168,681,925 | |
| | | | | | | | |
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Short-Term Securities — 4.1%(f)* | | | | | | |
BlackRock Liquidity Funds, T-Fund,
Institutional Class, 0.11% | | | 20,492 | | | $ | 20,492 | |
SL Liquidity Series, LLC,
Money Market Series, 0.50%(g) | | | 7,017,260 | | | | 7,022,873 | |
| | | | | | | | |
| | | | | | |
| Security | | Shares | | Value | |
| |
Total Short-Term Securities — 4.1%
(Cost: $7,043,619) | | $ | 7,043,365 | |
| | | | | | |
| |
Total Investments — 102.8%
(Cost: $188,558,786) | | | 175,725,290 | |
| |
Liabilities in Excess of Other Assets — (2.8)% | | | (4,742,576 | ) |
| | | | | | |
| |
Net Assets — 100.0% | | $ | 170,982,714 | |
| | | | | | |
| (a) | Non-income producing security. |
| (b) | A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (d) | All or a portion of this security is on loan. |
| (e) | 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. |
| (f) | Annualized 7-day yield as of period end. |
| (g) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized Appreciation (Depreciation |
) |
BlackRock Liquidity Funds, T-Fund,
Institutional Class(b) | | | 13,454 | | | | 7,038 | | | | — | | | | 20,492 | | | $ | 20,492 | | | $ | 292 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC,
Money Market Series(b) | | | 1,651,468 | | | | 5,365,792 | | | | — | | | | 7,017,260 | | | | 7,022,873 | | | | 15,228 | (c) | | | 3,429 | | | | (270 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 7,043,365 | | | $ | 15,520 | | | $ | 3,429 | | | $ | (270 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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. |
| | |
SCHEDULEOF INVESTMENTS | | 13 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund |
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 | | | 4 | | | | 09/10/20 | | | $ | 412 | | | $ | (12,727 | ) |
SPI 200 Index | | | 2 | | | | 09/17/20 | | | | 203 | | | | 1,242 | |
EURO STOXX 50 Index | | | 16 | | | | 09/18/20 | | | | 579 | | | | 7,027 | |
FTSE 100 Index | | | 4 | | | | 09/18/20 | | | | 305 | | | | (1,329 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (5,787 | ) |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 8,269 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,269 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | | — | | | | — | | | | 14,056 | | | | — | | | | — | | | | — | | | | 14,056 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity Contracts | | | Credit Contracts | | | Equity Contracts | | | Foreign Currency Exchange Contracts | | | Interest Rate Contracts | | | Other Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 550,662 | | | $ | — | | | $ | — | | | $ | — | | | $ | 550,662 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 175 | | | | — | | | | — | | | | — | | | | 175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 2,815,907 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock International Index V.I. Fund |
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: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | $ | 121,038 | | | $ | 12,500,493 | | | $ | 3 | | | $ | 12,621,534 | |
Austria | | | — | | | | 289,055 | | | | — | | | | 289,055 | |
Belgium | | | 52,283 | | | | 1,472,862 | | | | — | | | | 1,525,145 | |
Chile | | | — | | | | 60,684 | | | | — | | | | 60,684 | |
China | | | 673,595 | | | | 234,924 | | | | — | | | | 908,519 | |
Denmark | | | 364,506 | | | | 3,590,554 | | | | — | | | | 3,955,060 | |
Finland | | | — | | | | 1,989,574 | | | | — | | | | 1,989,574 | |
France | | | 76,694 | | | | 17,870,992 | | | | — | | | | 17,947,686 | |
Germany | | | 142,047 | | | | 14,394,561 | | | | — | | | | 14,536,608 | |
Hong Kong | | | 140,970 | | | | 4,751,479 | | | | — | | | | 4,892,449 | |
Ireland | | | 176,278 | | | | 954,906 | | | | — | | | | 1,131,184 | |
Israel | | | 501,600 | | | | 507,765 | | | | — | | | | 1,009,365 | |
Italy | | | — | | | | 3,513,290 | | | | — | | | | 3,513,290 | |
Japan | | | 214,129 | | | | 42,663,703 | | | | — | | | | 42,877,832 | |
Jordan | | | — | | | | 51,205 | | | | — | | | | 51,205 | |
Luxembourg | | | — | | | | 280,298 | | | | — | | | | 280,298 | |
Macau | | | — | | | | 377,052 | | | | — | | | | 377,052 | |
Netherlands | | | 1,152,338 | | | | 6,001,595 | | | | — | | | | 7,153,933 | |
New Zealand | | | — | | | | 536,225 | | | | — | | | | 536,225 | |
Norway | | | — | | | | 873,252 | | | | — | | | | 873,252 | |
Portugal | | | — | | | | 287,657 | | | | — | | | | 287,657 | |
Russia | | | — | | | | 23,909 | | | | — | | | | 23,909 | |
Singapore | | | — | | | | 1,855,785 | | | | — | | | | 1,855,785 | |
South Africa | | | — | | | | 477,221 | | | | — | | | | 477,221 | |
Spain | | | — | | | | 4,045,539 | | | | — | | | | 4,045,539 | |
Sweden | | | — | | | | 4,868,566 | | | | — | | | | 4,868,566 | |
Switzerland | | | — | | | | 17,703,257 | | | | — | | | | 17,703,257 | |
United Kingdom | | | 108,409 | | | | 21,326,369 | | | | — | | | | 21,434,778 | |
United States | | | 171,541 | | | | 350,403 | | | | — | | | | 521,944 | |
Preferred Securities | | | — | | | | 907,766 | | | | — | | | | 907,766 | |
Rights | | | 25,553 | | | | — | | | | — | | | | 25,553 | |
Short-Term Securities | | | 20,492 | | | | — | | | | — | | | | 20,492 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 3,941,473 | | | $ | 164,760,941 | | | $ | 3 | | | $ | 168,702,417 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV(a) | | | | | | | | | | | | | | | 7,022,873 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 175,725,290 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 8,269 | | | $ | — | | | $ | — | | | $ | 8,269 | |
Liabilities: | | | | | | | | | | | | | | | | |
Equity contracts | | | (14,056 | ) | | | — | | | | — | | | | (14,056 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (5,787 | ) | | $ | — | | | $ | — | | | $ | (5,787 | ) |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 15 |
| | |
Statement of Assets and Liabilities (unaudited) June 30, 2020 | | |
| | | | |
| | | BlackRock International Index V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $6,351,061) (cost — $181,515,167) | | $ | 168,681,925 | |
Investments at value — affiliated (cost — $7,043,619) | | | 7,043,365 | |
Cash pledged for futures contracts | | | 193,310 | |
Foreign currency at value (cost — $1,048,623) | | | 1,049,451 | |
Receivables: | | | | |
Investments sold | | | 60,204 | |
Securities lending income — affiliated | | | 3,049 | |
Capital shares sold | | | 163,720 | |
Dividends — affiliated | | | 8 | |
Dividends — unaffiliated | | | 1,005,227 | |
From the Manager | | | 3,845 | |
Investment adviser | | | 24 | |
From affiliate(s) | | | 915 | |
Variation margin on futures contracts | | | 6,355 | |
Prepaid expenses | | | 1,427 | |
| | | | |
Total assets | | | 178,212,825 | |
| | | | |
| |
LIABILITIES | | | | |
Bank overdraft | | | 3,550 | |
Cash collateral on securities loaned at value | | | 7,019,455 | |
Payables: | | | | |
Accounting services fees | | | 18,331 | |
Capital shares redeemed | | | 22,039 | |
Custodian fees | | | 20,660 | |
Other affiliates | | | 623 | |
Pricing fees | | | 72,829 | |
Professional fees | | | 41,119 | |
Transfer agent fees | | | 14,665 | |
Variation margin on futures contracts | | | 10,458 | |
Other accrued expenses | | | 6,382 | |
| | | | |
Total liabilities | | | 7,230,111 | |
| | | | |
| |
NET ASSETS | | $ | 170,982,714 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 185,338,659 | |
Accumulated loss | | | (14,355,945) | |
| | | | |
NET ASSETS | | $ | 170,982,714 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $170,982,714 and 20,393,367 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 8.38 | |
| | | | |
See notes to financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Statement of Operations (unaudited) Six Months Ended June 30, 2020 | �� | |
| | | | |
| | | BlackRock
International Index V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 292 | |
Dividends — unaffiliated | | | 2,787,389 | |
Securities lending income — affiliated — net | | | 15,228 | |
Foreign taxes withheld | | | (243,228) | |
| | | | |
Total investment income | | | 2,559,681 | |
| | | | |
| |
EXPENSES | | | | |
Pricing | | | 90,188 | |
Investment advisory | | | 67,734 | |
Printing | | | 60,557 | |
Transfer agent | | | 48,483 | |
Professional | | | 34,390 | |
Accounting services | | | 28,583 | |
Custodian | | | 20,776 | |
Directors and Officer | | | 3,471 | |
Miscellaneous | | | 14,479 | |
| | | | |
Total expenses | | | 368,661 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (93,981) | |
Transfer agent fees waived and/or reimbursed | | | (45,999) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 228,681 | |
| | | | |
Net investment income | | | 2,331,000 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | 3,429 | |
Investments — unaffiliated | | | (3,019,007) | |
Foreign currency transactions | | | 58,470 | |
Futures contracts | | | 550,662 | |
| | | | |
| | | (2,406,446) | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (270) | |
Investments — unaffiliated | | | (21,008,511) | |
Foreign currency translations | | | (71) | |
Futures contracts | | | 175 | |
| | | | |
| | | (21,008,677) | |
| | | | |
Net realized and unrealized loss | | | (23,415,123) | |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (21,084,123) | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock International Index V.I. Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 2,331,000 | | | $ | 5,800,605 | |
Net realized gain (loss) | | | (2,406,446) | | | | 253,535 | |
Net change in unrealized appreciation (depreciation) | | | (21,008,677) | | | | 29,879,893 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (21,084,123) | | | | 35,934,033 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (6,321,048) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (4,299,385) | | | | (3,875,905) | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (25,383,508) | | | | 25,737,080 | |
Beginning of period | | | 196,366,222 | | | | 170,629,142 | |
| | | | |
End of period | | $ | 170,982,714 | | | $ | ��196,366,222 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock International Index V.I. Fund (a) |
| | | Class I |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended December 31, |
| | | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 |
|
| | | | | | |
Net asset value, beginning of period | | $ | 9.39 | | | $ | 7.98 | | | $ | 14.28 | | | $ | 11.84 | | | $ | 12.21 | | | $12.76 |
| | | |
Net investment income (b) | | | 0.11 | | | | 0.28 | | | | 0.42 | | | | 0.36 | | | | 0.34 | | | 0.31 |
Net realized and unrealized gain (loss) | | | (1.12 | ) | | | 1.45 | | | | (2.40 | ) | | | 2.65 | | | | (0.24 | ) | | (0.45) |
| | | |
Net increase (decrease) from investment operations | | | (1.01 | ) | | | 1.73 | | | | (1.98 | ) | | | 3.01 | | | | 0.10 | | | (0.14) |
| | | |
| | | | | | |
Distributions (c) | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.31 | ) | | | (0.64 | ) | | | (0.40 | ) | | | (0.35 | ) | | (0.30) |
From net realized gain | | | — | | | | (0.01 | ) | | | (3.68 | ) | | | (0.17 | ) | | | (0.12 | ) | | (0.11) |
| | | |
Total distributions | | | — | | | | (0.32 | ) | | | (4.32 | ) | | | (0.57 | ) | | | (0.47 | ) | | (0.41) |
| | | |
| | | | | | |
Net asset value, end of period | | $ | 8.38 | | | $ | 9.39 | | | $ | 7.98 | | | $ | 14.28 | | | $ | 11.84 | | | $12.21 |
| | | |
| | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (10.76)%(e) | | | | 21.58% | | | | (13.70)% | | | | 25.40% | | | | 0.90% | | | (1.16)% |
| | | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.44%(f) | | | | 0.39% | | | | 0.31%(g) | | | | 0.26% | | | | 0.42% | | | 0.68% |
| | | |
Total expenses after fees waived and/or reimbursed | | | 0.27%(f) | | | | 0.27% | | | | 0.24%(g) | | | | 0.26%(h) | | | | 0.42%(h) | | | 0.68%(h) |
| | | |
Net investment income | | | 2.76%(f) | | | | 3.13% | | | | 3.00% | | | | 2.69% | | | | 2.83% | | | 2.31% |
| | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 170,983 | | | $ | 196,366 | | | $ | 170,629 | | | $ | 334,241 | | | $ | 275,529 | | | $280,934 |
| | | |
Portfolio turnover rate | | | 3% | | | | 3% | | | | 4% | | | | 4% | | | | 3% | | | 3% |
| | | |
| (a) | On October 29, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the International Equity Index Fund (the “Predecessor Fund”), a series of State Farm Variable Product Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. |
| (b) | Based on average shares outstanding. |
| (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. |
| (g) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.27% and 0.24%, respectively. |
| (h) | The expense ratio includes the effect of expense reimbursements that are less than 0.01%. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock International Index V.I. Fund (the “Fund”). The Fund is classified as diversified.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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 the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund are charged to the 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 Fund’s 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). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments) |
| | |
NOTESTO FINANCIAL STATEMENTS | | 21 |
Notes to Financial Statements (unaudited) (continued)
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. 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, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral.In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
Counterparty | |
| Securities
Loaned at Value |
| |
| Cash Collateral
Received |
(a) | |
| Net
Amount |
|
BofA Securities, Inc. | | $ | 239,376 | | | $ | (239,376 | ) | | $ | — | |
Citigroup Global Markets, Inc. | | | 490,828 | | | | (490,828 | ) | | | — | |
Goldman Sachs & Co. | | | 4,564,266 | | | | (4,564,266 | ) | | | — | |
Jefferies LLC | | | 946,782 | | | | (946,782 | ) | | | — | |
JP Morgan Securities LLC | | | 283 | | | | (283 | ) | | | — | |
State Street Bank & Trust Co. | | | 109,526 | | | | (108,311 | ) | | | 1,215 | |
| | | | |
| | $ | 6,351,061 | | | $ | (6,349,846 | ) | | $ | 1,215 | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to 0.08% of the average daily value of the Fund’s net assets:
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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, 2020, the Fund did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers, Reimbursements and Recoupments: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $40.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,127 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitation as a percentage of average daily net assets is 0.27%.
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $93,941 and $42,328, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed, respectively, in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses at 0.05% of average daily net assets. The Manager has agreed not to reduce or discontinue the contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts are included in transfer agent fees waived and/or reimbursed in the Statement of Operations. For the six months ended June 30, 2020, expense waivers and/or reimbursements were $3,671.
| | |
NOTESTO FINANCIAL STATEMENTS | | 23 |
Notes to Financial Statements (unaudited) (continued)
With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
(1) the Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and
(2) the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator.
This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective October 26, 2025, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses will be terminated.
As of June 30, 2020, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:
| | | | | | | | | | | | |
| | | Expiring December 31, | |
| | | 2020 | | | 2021 | | | 2022 | |
Fund Level | | $ | 32,290 | | | $ | 170,201 | | | $ | 93,941 | |
Class I | | | 15,533 | | | | 59,383 | | | | 45,999 | |
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 82% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, 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 (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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $3,269 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Other Transactions: The Fund 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, 2020, 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 | | $ | 1,059,796 | |
Sales | | | 313,293 | |
Net Realized Loss | | | (17,035 | ) |
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $4,981,185 and $6,788,905, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 189,943,814 | |
| | | | |
Gross unrealized appreciation | | $ | 52,149,052 | |
Gross unrealized depreciation | | | (66,373,363) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | (14,224,311) | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
| | |
NOTESTO FINANCIAL STATEMENTS | | 25 |
Notes to Financial Statements (unaudited) (continued)
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: The Fund invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Fund concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.
The Fund 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.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.
The Fund invests a significant portion of its assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Fund’s investments.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 184,018 | | | $ | 1,467,766 | | | | 233,553 | | | $ | 2,077,437 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 674,579 | | | | 6,317,929 | |
Shares redeemed | | | (696,313 | ) | | | (5,767,151 | ) | | | (1,379,661 | ) | | | (12,271,271) | |
| | | | |
Net decrease | | | (512,295 | ) | | $ | (4,299,385 | ) | | | (471,529 | ) | | $ | (3,875,905) | |
| | | | |
As of June 30, 2020, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 790 Class I Shares of the Fund.
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 27 |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| CDI | | Crest Depository Interests |
| |
| CVA | | Certification Van Aandelon (Dutch Certificate) |
| |
| FDR | | Fiduciary Depositary Receipt |
| |
| REIT | | Real Estate Investment Trust |
| |
| SCA | | Svenska Cellulosa Aktiebolaget |
| | |
| 28 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Large Cap Focus Growth V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Large Cap Focus Growth V.I. Fund |
Investment Objective
BlackRock Large Cap Focus Growth V.I. Fund’s (the “Fund”) investment objective is to seek long-term capital growth.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the Russell 1000® Growth Index.
What factors influenced performance?
The largest contributors to the Fund’s relative performance over the period included stock selection in the consumer discretionary, communication services and industrials sectors. In consumer discretionary, an overweight to internet & direct marketing retail, most notably an overweight position in ecommerce and cloud computing company Amazon.com, Inc and an out-off-benchmark position in Argentine ecommerce company MercadoLibre, Inc., drove relative performance. Within communication services, stock selection in the entertainment subsector with an overweight position in Netflix, Inc. further added to relative results. Lastly, limited exposure to the industrials sector with no exposure to the industrial conglomerates or machinery industries proved advantageous, along with a position in Union Pacific Corp. within the road & rail sub-sector.
The largest detractor from relative performance was the portfolio’s cash position. At the industry level, the portfolio’s underweight to the technology hardware, storage & peripherals industry in information technology (“IT”) weighed slightly on performance. Notable individual detractors during the period included an underweight position in consumer technology company Apple, Inc., an out-of-benchmark position in derivatives exchange CME Group, Inc. and an overweight position in building materials company Sherwin-Williams Co
Describe recent portfolio activity.
During the period, exposure to consumer discretionary increased with allocations to internet & direct marketing retail. Exposure to the IT sector increased as well. Conversely, exposure to industrials decreased due to a lowered allocation to aerospace & defense. Exposure to the communication services sector was also decreased.
Describe portfolio positioning at period end.
As of period end, the Fund’s largest overweight position relative to the Russell 1000® Growth Index was in the consumer discretionary sector, followed by financials and materials. Conversely, the consumer staples sector was the largest underweight, followed by IT 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.
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | | | | | | |
| | | 6-Month Total
Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
| |
Class I (b)(c) | | | 16.09 | % | | | 23.54 | % | | | 17.66 | % | | | 17.52% | |
Class III (b)(c) | | | 15.95 | | | | 23.15 | | | | 17.35 | | | | 17.24 | |
Russell 1000® Growth Index (d) | | | 9.81 | | | | 23.28 | | | | 15.89 | | | | 17.23 | |
| |
| (a) | For the portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund seeks to invest 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. The Fund’s 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 Growth V.I. Fund”. |
| (d) | An unmanaged index that 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. |
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Large Cap Focus Growth V.I. Fund |
Portfolio Information
SECTOR ALLOCATION
| | | | |
| |
| Sector | | Percent of
Net Assets | |
| |
Information Technology | | | 40% | |
Consumer Discretionary | | | 23 | |
Health Care | | | 12 | |
Communication Services | | | 11 | |
Industrials | | | 6 | |
Financials | | | 5 | |
Real Estate | | | 2 | |
Materials | | | 1 | |
Short-Term Securities | | | 1 | |
Liabilities in Excess of Other Assets | | | (1) | |
| |
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 such sector sub-classifications for reporting ease.
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | | | | Beginning Account Value (01/01/20) | | | Ending Account Value (06/30/20) | | | Expenses Paid During the Period (b) | | | Annualized Expense Ratio | |
| |
Class I | | $ | 1,000.00 | | | $ | 1,160.90 | | | $ | 4.24 | | | | | | | $ | 1,000.00 | | | $ | 1,020.93 | | | $ | 3.97 | | | | 0.79% | |
Class III | | | 1,000.00 | | | | 1,159.50 | | | | 5.58 | | | | | | | | 1,000.00 | | | | 1,019.69 | | | | 5.22 | | | | 1.04 | |
| |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Large Cap Focus Growth V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value |
|
Common Stocks — 99.8% | |
| | |
Automobiles — 1.4% | | | | | | | | |
Ferrari NV | | | 17,966 | | | $ | 3,072,366 | |
| | | | | | | | |
| | |
| Capital Markets — 4.6% | | | | | |
CME Group, Inc. | | | 14,801 | | | | 2,405,755 | |
S&P Global, Inc. | | | 24,132 | | | | 7,951,011 | |
| | | | | | | | |
| | | | | | | 10,356,766 | |
| | |
| Chemicals — 1.1% | | | | | |
Sherwin-Williams Co. (The) | | | 4,302 | | | | 2,485,911 | |
| | | | | | | | |
|
| Commercial Services & Supplies — 2.1% | |
Copart, Inc.(a) | | | 57,232 | | | | 4,765,709 | |
| | | | | | | | |
| | |
| Entertainment — 3.0% | | | | | |
Netflix, Inc.(a) | | | 14,730 | | | | 6,702,739 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.0% | |
SBA Communications Corp. | | | 15,304 | | | | 4,559,368 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 2.7%(a) | |
Boston Scientific Corp. | | | 78,001 | | | | 2,738,615 | |
Intuitive Surgical, Inc. | | | 5,711 | | | | 3,254,299 | |
| | | | | | | | |
| | | | | | | 5,992,914 | |
|
| Health Care Providers & Services — 1.8% | |
Humana, Inc. | | | 10,304 | | | | 3,995,376 | |
| | | | | | | | |
|
| Interactive Media & Services — 8.1%(a) | |
Alphabet, Inc., Class A | | | 4,648 | | | | 6,591,097 | |
Facebook, Inc., Class A | | | 22,365 | | | | 5,078,421 | |
Match Group, Inc.(b) | | | 16,847 | | | | 1,803,471 | |
Snap, Inc., Class A | | | 207,764 | | | | 4,880,376 | |
| | | | | | | | |
| | | | | | | 18,353,365 | |
|
| Internet & Direct Marketing Retail — 16.1%(a) | |
Alibaba Group Holding Ltd., ADR | | | 25,062 | | | | 5,405,873 | |
Amazon.com, Inc. | | | 9,516 | | | | 26,252,931 | |
MercadoLibre, Inc. | | | 4,572 | | | | 4,506,941 | |
| | | | | | | | |
| | | | | | | 36,165,745 | |
| | |
| IT Services — 10.6% | | | | | |
Adyen NV(a)(c) | | | 3,206 | | | | 4,666,315 | |
Mastercard, Inc., Class A | | | 30,641 | | | | 9,060,544 | |
Visa, Inc., Class A | | | 52,768 | | | | 10,193,194 | |
| | | | | | | | |
| | | | | | | 23,920,053 | |
|
| Life Sciences Tools & Services — 3.3% | |
Adaptive Biotechnologies Corp.(a) | | | 68,574 | | | | 3,317,610 | |
Lonza Group AG (Registered) | | | 7,742 | | | | 4,100,920 | |
| | | | | | | | |
| | | | | | | 7,418,530 | |
| | |
| Pharmaceuticals — 4.0% | | | | | |
AstraZeneca plc, ADR(b) | | | 65,656 | | | | 3,472,546 | |
Roche Holding AG | | | 6,277 | | | | 2,174,664 | |
Zoetis, Inc. | | | 24,963 | | | | 3,420,929 | |
| | | | | | | | |
| | | | | | | 9,068,139 | |
| | |
| Professional Services — 4.2% | | | | | |
CoStar Group, Inc.(a) | | | 8,070 | | | | 5,735,107 | |
TransUnion | | | 42,054 | | | | 3,660,380 | |
| | | | | | | | |
| | | | | | | 9,395,487 | |
| | | | | | | | | | | | |
| Security | | Shares | | | Value | |
|
| Semiconductors & Semiconductor Equipment — 4.2% | |
Analog Devices, Inc. | | | | | | | 26,364 | | | $ | 3,233,281 | |
ASML Holding NV (Registered), NYRS | | | | | | | 16,835 | | | | 6,195,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,429,066 | |
| | | |
| Software — 23.1% | | | | | | | | | |
Adobe, Inc.(a) | | | | | | | 14,237 | | | | 6,197,509 | |
Autodesk, Inc.(a) | | | | | | | 10,302 | | | | 2,464,135 | |
Coupa Software, Inc.(a) | | | | | | | 5,868 | | | | 1,625,671 | |
Fair Isaac Corp.(a) | | | | | | | 9,472 | | | | 3,959,675 | |
Intuit, Inc. | | | | | | | 21,467 | | | | 6,358,311 | |
Microsoft Corp. | | | | | | | 90,440 | | | | 18,405,444 | |
RingCentral, Inc., Class A(a) | | | | | | | 4,837 | | | | 1,378,593 | |
salesforce.com, Inc.(a) | | | | | | | 22,462 | | | | 4,207,806 | |
ServiceNow, Inc.(a) | | | | | | | 18,360 | | | | 7,436,902 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 52,034,046 | |
| | | |
| Specialty Retail — 3.3% | | | | | | | | | |
Lowe’s Cos., Inc. | | | | | | | 33,216 | | | | 4,488,146 | |
TJX Cos., Inc. (The) | | | | | | | 59,779 | | | | 3,022,426 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,510,572 | |
|
| Technology Hardware, Storage & Peripherals — 2.1% | |
Apple, Inc. | | | | | | | 13,229 | | | | 4,825,939 | |
| | | | | | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 2.1% | |
NIKE, Inc., Class B | | | | | | | 48,051 | | | | 4,711,400 | |
| | | | | | | | | | | | |
| |
Total Common Stocks — 99.8%
(Cost: $144,567,098) | | | | 224,763,491 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 99.8%
(Cost: $144,567,098) | | | | 224,763,491 | |
| | | | | | | | | | | | |
|
Short-Term Securities — 1.6% | |
|
Money Market Funds — 1.6%(d)* | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | | | | | 1,137,709 | | | | 1,137,709 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(e) | | | | | | | 2,390,697 | | | | 2,392,609 | |
| | | | | | | | | | | | |
| |
Total Money Market Funds — 1.6%
(Cost: $3,530,376) | | | | 3,530,318 | |
| | | | | | | | | | | | |
| | |
| | | Par
(000) | | | | |
|
Time Deposits — 0.0% | |
Brown Brothers Harriman & Co.: | | | | | | | | | | | | |
(0.10)%, 07/01/20 | | | AUD | | | | — | (f) | | | 227 | |
0.04%, 07/02/20 | | | HKD | | | | 1 | | | | 74 | |
| | | | | | | | | | | | |
| |
Total Time Deposits — 0.0%
(Cost: $301) | | | | 301 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 1.6%
(Cost: $3,530,677) | | | | 3,530,619 | |
| | | | | | | | | | | | |
| |
Total Investments — 101.4%
(Cost: $148,097,775) | | | | 228,294,110 | |
| |
Liabilities in Excess of Other Assets — (1.4)% | | | | (3,152,230 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 225,141,880 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Large Cap Focus Growth V.I. Fund |
| (a) | Non-income producing security. |
| (b) | All or a portion of this 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) | Annualized 7-day yield as of period end. |
| (e) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| (f) | Amount is less than 500. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized Appreciation (Depreciation) |
|
| |
BlackRock Liquidity Funds, T-Fund, Institutional Class (b) | | | 1,830,876 | | | | — | | | | (693,167) | | | | 1,137,709 | | | $ | 1,137,709 | | | $ | 5,065 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series (b) | | | 4,660,904 | | | | — | | | | (2,270,207) | | | | 2,390,697 | | | | 2,392,609 | | | | 29,264 | (c) | | | (881 | ) | | | (221) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 3,530,318 | | | $ | 34,329 | | | $ | (881 | ) | | $ | (221) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. 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: | | | | | | | | | | | | | | | | |
Automobiles | | $ | 3,072,366 | | | $ | — | | | $ | — | | | $ | 3,072,366 | |
Capital Markets | | | 10,356,766 | | | | — | | | | — | | | | 10,356,766 | |
Chemicals | | | 2,485,911 | | | | — | | | | — | | | | 2,485,911 | |
Commercial Services & Supplies | | | 4,765,709 | | | | — | | | | — | | | | 4,765,709 | |
Entertainment | | | 6,702,739 | | | | — | | | | — | | | | 6,702,739 | |
Equity Real Estate Investment Trusts (REITs) | | | 4,559,368 | | | | — | | | | — | | | | 4,559,368 | |
Health Care Equipment & Supplies | | | 5,992,914 | | | | — | | | | — | | | | 5,992,914 | |
Health Care Providers & Services | | | 3,995,376 | | | | — | | | | — | | | | 3,995,376 | |
Interactive Media & Services | | | 18,353,365 | | | | — | | | | — | | | | 18,353,365 | |
Internet & Direct Marketing Retail | | | 36,165,745 | | | | — | | | | — | | | | 36,165,745 | |
IT Services | | | 23,920,053 | | | | — | | | | — | | | | 23,920,053 | |
Life Sciences Tools & Services | | | 3,317,610 | | | | 4,100,920 | | | | — | | | | 7,418,530 | |
Pharmaceuticals | | | 6,893,475 | | | | 2,174,664 | | | | — | | | | 9,068,139 | |
Professional Services | | | 9,395,487 | | | | — | | | | — | | | | 9,395,487 | |
Semiconductors & Semiconductor Equipment | | | 9,429,066 | | | | — | | | | — | | | | 9,429,066 | |
Software | | | 52,034,046 | | | | — | | | | — | | | | 52,034,046 | |
Specialty Retail | | | 7,510,572 | | | | — | | | | — | | | | 7,510,572 | |
Technology Hardware, Storage & Peripherals | | | 4,825,939 | | | | — | | | | — | | | | 4,825,939 | |
Textiles, Apparel & Luxury Goods | | | 4,711,400 | | | | — | | | | — | | | | 4,711,400 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 1,137,709 | | | | — | | | | — | | | | 1,137,709 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Large Cap Focus Growth V.I. Fund |
| | | | | | | | | | | | | | | | |
| |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
Time Deposits | | $ | — | | | $ | 301 | | | $ | — | | | $ | 301 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 219,625,616 | | | $ | 6,275,885 | | | $ | — | | | $ | 225,901,501 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 2,392,609 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 228,294,110 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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. |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 7 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock Large Cap Focus Growth V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $2,351,303) (cost — $144,567,399) | | $ | 224,763,792 | |
Investments at value — affiliated (cost — $3,530,376) | | | 3,530,318 | |
Receivables: | | | | |
Investments sold | | | 1,207,656 | |
Securities lending income — affiliated | | | 15,278 | |
Capital shares sold | | | 69,857 | |
Dividends — affiliated | | | 66 | |
Dividends — unaffiliated | | | 21,132 | |
From affiliate(s) | | | 806 | |
Prepaid expenses | | | 1,374 | |
| | | | |
Total assets | | | 229,610,279 | |
| | | | |
| |
LIABILITIES | | | | |
Bank overdraft | | | 1,000,511 | |
Cash collateral on securities loaned at value | | | 2,394,873 | |
Payables: | | | | |
Investments purchased | | | 626,228 | |
Capital shares redeemed | | | 87,239 | |
Distribution fees | | | 20,665 | |
Investment advisory fees | | | 117,312 | |
Other affiliates | | | 529 | |
Transfer agent fees | | | 107,615 | |
Other accrued expenses | | | 113,427 | |
| | | | |
Total liabilities | | | 4,468,399 | |
| | | | |
| |
NET ASSETS | | $ | 225,141,880 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 139,752,080 | |
Accumulated earnings | | | 85,389,800 | |
| | | | |
NET ASSETS | | $ | 225,141,880 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $118,675,766 and 6,426,126 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 18.47 | |
| | | | |
Class III — Based on net assets of $106,466,114 and 5,881,068 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 18.10 | |
| | | | |
See notes to financial statements.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock Large Cap Focus Growth V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 5,065 | |
Dividends — unaffiliated | | | 490,241 | |
Securities lending income — affiliated — net | | | 29,264 | |
Foreign taxes withheld | | | (9,263) | |
| | | | |
Total investment income | | | 515,307 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 647,465 | |
Transfer agent — class specific | | | 203,745 | |
Distribution — class specific | | | 115,808 | |
Accounting services | | | 28,515 | |
Professional | | | 24,440 | |
Printing | | | 6,112 | |
Directors and Officer | | | 3,336 | |
Transfer agent | | | 2,486 | |
Miscellaneous | | | 2,781 | |
| | | | |
Total expenses | | | 1,034,688 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (474) | |
Transfer agent fees waived and/or reimbursed — class specific | | | (134,030) | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 900,184 | |
| | | | |
Net investment loss | | | (384,877) | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (881) | |
Investments — unaffiliated | | | 3,028,021 | |
Foreign currency transactions | | | (20,673) | |
| | | | |
| | | 3,006,467 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (221) | |
Investments — unaffiliated | | | 28,132,934 | |
Foreign currency translations | | | 113 | |
| | | | |
| | | 28,132,826 | |
| | | | |
Net realized and unrealized gain | | | 31,139,293 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 30,754,416 | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Large Cap Focus Growth V.I.
Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | |
| |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment loss | | $ | (384,877) | | | $ | (713,381) | |
Net realized gain | | | 3,006,467 | | | | 21,562,851 | |
Net change in unrealized appreciation (depreciation) | | | 28,132,826 | | | | 29,706,684 | |
| | | | |
Net increase in net assets resulting from operations | | | 30,754,416 | | | | 50,556,154 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (10,507,499) | |
Class III | | | — | | | | (9,229,899) | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (19,737,398) | |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (4,111,872) | | | | 5,615,086 | |
| | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase in net assets | | | 26,642,544 | | | | 36,433,842 | |
Beginning of period | | | 198,499,336 | | | | 162,065,494 | |
| | | | |
End of period | | $ | 225,141,880 | | | $ | 198,499,336 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Large Cap Focus Growth V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended December 31, | |
| | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 15.91 | | | $ | 13.32 | | | $ | 14.51 | | | $ | 13.35 | | | $ | 13.59 | | | $ | 14.08 | |
Net investment income (loss) (a) | | | (0.02 | ) | | | (0.04 | ) | | | (0.04 | ) | | | 0.02 | | | | 0.09 | | | | 0.08 | |
Net realized and unrealized gain | | | 2.58 | | | | 4.36 | | | | 0.49 | | | | 3.92 | | | | 0.99 | | | | 0.31 | |
Net increase from investment operations | | | 2.56 | | | | 4.32 | | | | 0.45 | | | | 3.94 | | | | 1.08 | | | | 0.39 | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | | | | (0.01 | ) | | | (0.10 | ) | | | (0.09 | ) |
From net realized gain | | | — | | | | (1.73 | ) | | | (1.64 | ) | | | (2.77 | ) | | | (1.22 | ) | | | (0.79 | ) |
Total distributions | | | — | | | | (1.73 | ) | | | (1.64 | ) | | | (2.78 | ) | | | (1.32 | ) | | | (0.88 | ) |
| | | | | | |
Net asset value, end of period | | $ | 18.47 | | | $ | 15.91 | | | $ | 13.32 | | | $ | 14.51 | | | $ | 13.35 | | | $ | 13.59 | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 16.09%(d) | | | | 32.70% | | | | 3.01% | | | | 29.56% | | | | 7.89% | | | | 2.73% | |
| | | | | | |
Ratios to Average Net Assets (e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.92%(f) | | | | 0.95% | | | | 0.96% | | | | 1.01% | | | | 0.96% | | | | 0.95% | |
Total expenses after fees waived and/or reimbursed | | | 0.79%(f) | | | | 0.81% | | | | 0.82% | | | | 0.89% | | | | 0.84% | | | | 0.82% | |
Net investment income (loss) | | | (0.27)%(f) | | | | (0.27)% | | | | (0.23)% | | | | 0.10% | | | | 0.68% | | | | 0.59% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 118,676 | | | $ | 106,238 | | | $ | 91,380 | | | $ | 100,308 | | | $ | 87,346 | | | $ | 98,485 | |
Portfolio turnover rate | | | 29% | | | | 58% | | | | 63% | | | | 95% | | | | 37% | | | | 35% | |
| (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 06/30/20 (unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | — | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | — | % |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Large Cap Focus Growth V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended 06/30/20
(unaudited) | | | Year Ended December 31, | |
| | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 15.61 | | | $ | 13.13 | | | $ | 14.36 | | | $ | 13.24 | | | $ | 13.50 | | | $ | 13.99 | |
Net investment income (loss) (a) | | | (0.04 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.02 | ) | | | 0.06 | | | | 0.05 | |
Net realized and unrealized gain | | | 2.53 | | | | 4.29 | | | | 0.49 | | | | 3.88 | | | | 0.96 | | | | 0.30 | |
Net increase from investment operations | | | 2.49 | | | | 4.21 | | | | 0.41 | | | | 3.86 | | | | 1.02 | | | | 0.35 | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | | | | (0.00 | )(c) | | | (0.06 | ) | | | (0.05 | ) |
From net realized gain | | | — | | | | (1.73 | ) | | | (1.64 | ) | | | (2.74 | ) | | | (1.22 | ) | | | (0.79 | ) |
Total distributions | | | — | | | | (1.73 | ) | | | (1.64 | ) | | | (2.74 | ) | | | (1.28 | ) | | | (0.84 | ) |
| | | | | | |
Net asset value, end of period | | $ | 18.10 | | | $ | 15.61 | | | $ | 13.13 | | | $ | 14.36 | | | $ | 13.24 | | | $ | 13.50 | |
| | | | | | |
Total Return (d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 15.95%(e) | | | | 32.33% | | | | 2.77% | | | | 29.23% | | | | 7.54% | | | | 2.51% | |
| | | | | | |
Ratios to Average Net Assets (f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.17%(g) | | | | 1.20% | | | | 1.22% | | | | 1.28% | | | | 1.22% | | | | 1.21% | |
Total expenses after fees waived and/or reimbursed | | | 1.04%(g) | | | | 1.06% | | | | 1.07% | | | | 1.14% | | | | 1.09% | | | | 1.07% | |
Net investment income (loss) | | | (0.52)%(g) | | | | (0.52)% | | | | (0.48)% | | | | (0.16)% | | | | 0.42% | | | | 0.35% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 106,466 | | | $ | 92,261 | | | $ | 70,685 | | | $ | 54,820 | | | $ | 39,346 | | | $ | 37,818 | |
Portfolio turnover rate | | | 29% | | | | 58% | | | | 63% | | | | 95% | | | | 37% | | | | 35% | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Amount is greater than $(0.005) per share. |
| (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 06/30/20 (unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | — | % | | | — | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | — | % |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Large Cap Focus Growth V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on overdrafts, subject to certain conditions.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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 |
| | |
NOTESTO FINANCIAL STATEMENTS | | 13 |
Notes to Financial Statements (unaudited) (continued)
| | which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | Cash Collateral Received (a) | | | Net Amount | |
BofA Securities, Inc. | | $ 1,169,200 | | $ | (1,169,200 | ) | | $ | — | |
Credit Suisse Securities (USA) LLC | | 616,180 | | | (616,180 | ) | | | — | |
JP Morgan Securities LLC | | 565,923 | | | (565,923 | ) | | | — | |
| | $ 2,351,303 | | $ | (2,351,303 | ) | | $ | — | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. | |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment Advisory Fees | |
First $1 Billion | | | 0.65 | % |
$ 1 Billion — $3 Billion | | | 0.61 | |
$ 3 Billion — $5 Billion | | | 0.59 | |
$ 5 Billion — $10 Billion | | | 0.57 | |
Greater than $10 Billion | | | 0.55 | |
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets attributable to Class III.
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the class specific distribution fees borne directly by Class III were $115,808.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent – class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 108,877 | |
Class III | | | 94,868 | |
| | | $ | 203,745 | |
| | |
NOTESTO FINANCIAL STATEMENTS | | 15 |
Notes to Financial Statements (unaudited) (continued)
Expense Limitations, Waivers, and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $474.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,147 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.07 | % |
Class III | | | 0.07 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts are included in transfer agent fees waived and/or reimbursed class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements are as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 71,583 | |
Class III | | | 62,447 | |
| | | | $ 134,030 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 1.25 | % |
Class III | | | 1.50 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $9,276 for securities lending agent services.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, including paydowns excluding short-term securities, were $58,385,629 and $61,938,622, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| |
Tax cost | | $ | 148,120,529 | |
| | | | |
Gross unrealized appreciation | | $ | 80,560,424 | |
Gross unrealized depreciation | | | (386,843) | |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 80,173,581 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, which may be subject to redemption gates or liquidity fees under certain circumstances.
| | |
NOTESTO FINANCIAL STATEMENTS | | 17 |
Notes to Financial Statements (unaudited) (continued)
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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
Concentration Risk: As of period end, the Fund invested a significant portion of its assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
As of period end, the Fund’s investments had the following industry classifications:
| | | | |
| Industry | | Percent of Long-Term Investments | |
Software | | | 23 | % |
Internet & Direct Marketing Retail | | | 16 | |
IT Services | | | 11 | |
Interactive Media & Services | | | 8 | |
Capital Markets | | | 5 | |
Other(a) | | | 37 | |
| (a) | All other industries held were each less than 5% of long-term investments. |
| 10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | | | | | Year Ended
12/31/19 | |
| | | Shares | | | Amount | | | | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 264,710 | | | $ | 4,338,788 | | | | | | | | 253,503 | | | $ | 4,110,454 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | | | | | 670,920 | | | | 10,507,499 | |
Shares redeemed | | | (516,434 | ) | | | (8,272,634 | ) | | | | | | | (1,108,808 | ) | | | (17,750,295 | ) |
| | | | |
Net decrease | | | (251,724 | ) | | $ | (3,933,846 | ) | | | | | | | (184,385 | ) | | $ | (3,132,342 | ) |
| | | | |
Class III | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 1,034,784 | | | $ | 16,591,286 | | | | | | | | 1,696,231 | | | $ | 26,488,011 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | | | | | 600,496 | | | | 9,229,899 | |
Shares redeemed | | | (1,062,439 | ) | | | (16,769,312 | ) | | | | | | | (1,772,732 | ) | | | (26,970,482 | ) |
| | | | |
Net increase (decrease) | | | (27,655 | ) | | $ | (178,026 | ) | | | | | | | 523,995 | | | $ | 8,747,428 | |
| | | | |
Total Net Increase (Decrease) | | | (279,379 | ) | | $ | (4,111,872 | ) | | | | | | | 339,610 | | | $ | 5,615,086 | |
| | | | |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency |
| |
| AUD | | Australian Dollar |
| |
| HKD | | Hong Kong Dollar |
|
Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| NYRS | | New York Registered Shares |
| |
| S&P | | Standard & Poor’s |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 19 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Managed Volatility V.I. Fund |
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
Investment Objective
BlackRock Managed Volatility V.I. Fund’s (the “Fund”) investment objective is to seek a level of current income and degree of stability of principal not normally available from an investment solely in equity securities, as well as the opportunity for capital appreciation greater than is normally available from an investment solely in debt securities.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund’s Class I Shares performed in line with its blended benchmark (50% MSCI All Country World Index (“ACWI”)/50% FTSE WGBI (hedged into USD)), the Fund’s while Class III Shares underperformed. For the same period, the Fund’s Class I and Class III Shares underperformed its performance benchmark, the ICE BofAML 3-Month U.S. Treasury Bill Index.
What factors influenced performance?
The largest detractor over the period was the Fund’s defensive de-risking process, which was triggered in the middle of the period as the coronavirus pandemic shocked markets. The process acts to tactically reduce the Fund’s exposure to cyclical assets, often equities, to reduce the Fund’s volatility and drawdown potential. As markets recovered sharply in April and May 2020, the Fund’s reduced directional equity exposure meant it did not fully participate. Currency positioning was also a substantial detractor over the period. Losses were concentrated in Mexico as a long position in the peso suffered from dislocations in emerging markets following an early-March commodity demand shock. The Fund also suffered losses from its directional short position in bonds. As bond pricing became increasingly rich relative to encouraging early 2020 growth data the Fund increased its short position. This detracted as global sovereign yields fell to record lows amid the coronavirus crisis.
Over the six-month period, relative value positions in global interest rates were the largest driver of positive returns. Long positions in emerging markets interest rates were a key contributor, specifically longs in South Africa and Mexico. In developed markets, shorts in the Eurozone versus Canadian and Australian rates also boosted returns. A series of relative value equity country views were the next largest positive contributor to Fund returns. These views were largely positioned for a reversal in relative performance within Asia and Europe, which transpired in the Fund’s favor. High conviction macro-thematic views further boosted Fund returns. Directional long positions in global equities were a key contributor, while an underweight to the U.S. dollar versus the euro, Japanese yen, and Canadian and Australian dollars also performed positively.
Describe recent portfolio activity.
The Fund entered the period net long equities and net short bonds. As early macroeconomic data suggested an initial upswing in global manufacturing activity, the Fund increased its exposure to cyclical assets, adding to equities and selling bonds. The global spread of coronavirus and the subsequent equity sell-off led the Fund to implement its de-risking process and reduce equity exposure over much of the March-through-May period. Even with the de-risking process engaged, the Fund began the second quarter of 2020 net long both equities and bonds. As equity volatility fell in April and May, the Fund gradually added back equity exposure. The Fund ended the second quarter of 2020 with a normal risk profile, with a net long position in both equities and bonds.
Derivatives are used by the investment adviser as an efficient means to take active views on interest rates, equity indices and currencies in the Fund. During the period, the use of derivatives instead of physical instruments had a positive impact on Fund performance.
The Fund held a relatively high allocation to cash as a result of its derivatives use. Derivative securities do not require large amounts of cash to gain desired exposures, leaving cash left over. Including its derivative securities, physical securities, and cash holdings, the Fund is fully exposed and equitized. The Fund’s cash position did not have a material impact on performance.
Describe portfolio positioning at period end.
As of period end, the Fund maintained a net long position in both equities and bonds on the view that global policymakers are likely to continue to pursue actions that encourage investors to take on more risk in an effort to support the economic recovery. This stance was also supported by the outlook for interest rates to remain at historically low levels for a sustained period until inflation firms and economies return to their pre-coronavirus activity levels.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Managed Volatility V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (0.23 | )% | | | | | | | 1.50 | % | | | 1.52 | % | | | 4.93 | % |
Class III (b)(c) | | | (0.38 | ) | | | | | | | 1.24 | | | | 1.27 | (d) | | | 4.67 | (d) |
50% MSCI All Country World Index/50% FTSE WGBI (hedged into USD) (e) | | | (0.21 | ) | | | | | | | 5.07 | | | | 5.85 | | | | 6.88 | |
MSCI All Country World Index (f) | | | (6.25 | ) | | | | | | | 2.11 | | | | 6.46 | | | | 9.16 | |
FTSE WGBI (hedged into USD) (g) | | | 5.08 | | | | | | | | 6.75 | | | | 4.63 | | | | 4.06 | |
ICE BofAML 3-Month U.S. Treasury Bill Index (h) | | | 0.60 | | | | | | | | 1.63 | | | | 1.19 | | | | 0.64 | |
| | (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. | |
| | (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. The Fund’s total returns prior to January 22, 2013 are the returns of the Fund when it followed different investment strategies under the name “BlackRock Balanced Capital V.I. Fund”. | |
| | (c) | The Fund uses an asset allocation strategy, investing various percentages of its portfolio in three major categories: stocks, bonds and money market investments. | |
| | (d) | The returns for Class III Shares prior to February 14, 2018, the recommencement of operations of Class III Shares, are based upon the performance of the Fund’s Class I Shares, as adjusted to reflect the distribution (12b-1) fees applicable to Class III Shares. | |
| | (e) | A customized weighted index comprised of the returns of 50% MSCI All Country World Index/50% FTSE WGBI (hedged into USD). | |
| | (f) | A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI All Country World Index consists of 49 country indexes comprising of 23 developed and 26 emerging market country indexes. | |
| | (g) | A market capitalization weighted bond index consisting of government bond markets of 23 countries, including the United States. | |
| | (h) | An unmanaged index that tracks 3-month U.S. Treasury securities. Effective June 2, 2014, the ICE BofAML 3-Month U.S. Treasury Bill Index was added to the performance benchmarks against which the Fund measures its performance. Effective January 1, 2020, the Fund’s benchmark was renamed from ICE BofAML 3-Month U.S. Treasury Bill Index to ICE BofA 3-Month U.S. Treasury Bill 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. | |
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Total Investments (a) | |
Common Stocks | | | 82 | % |
U.S. Treasury Obligations | | | 18 | |
Preferred Stocks | | | — | (b) |
Corporate Bonds | | | — | (b) |
Rights | | | — | (b) |
Other Interests | | | — | (b) |
| | (a) | Excludes short-term securities. | |
| | (b) | Represents less than 1% of the Fund’s total investments. | |
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 997.70 | | | $ | 2.93 | | | | | | | $ | 1,000.00 | | | $ | 1,021.93 | | | $ | 2.97 | | | | 0.59 | % |
Class III | | | 1,000.00 | | | | 996.20 | | | | 4.17 | | | | | | | | 1,000.00 | | | | 1,020.69 | | | | 4.22 | | | | 0.84 | |
| | (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. | |
| | (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). | |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 59.2% | | | | | | | | |
| | |
| Aerospace & Defense — 0.2% | | | | | | |
Howmet Aerospace, Inc.(a) | | | 1,057 | | | $ | 16,754 | |
Meggitt plc | | | 1,532 | | | | 5,580 | |
MTU Aero Engines AG | | | 43 | | | | 7,486 | |
Raytheon Technologies Corp. | | | 3,232 | | | | 199,156 | |
Singapore Technologies Engineering Ltd | | | 18,200 | | | | 43,439 | |
Teledyne Technologies, Inc.(a) | | | 114 | | | | 35,448 | |
TransDigm Group, Inc. | | | 83 | | | | 36,690 | |
| | | | | | | | |
| | | | | | | 344,553 | |
| | |
| Air Freight & Logistics — 0.2% | | | | | | |
CH Robinson Worldwide, Inc. | | | 417 | | | | 32,968 | |
Deutsche Post AG (Registered) | | | 1,831 | | | | 67,234 | |
FedEx Corp. | | | 787 | | | | 110,353 | |
United Parcel Service, Inc., Class B | | | 2,228 | | | | 247,709 | |
XPO Logistics, Inc.(a) | | | 111 | | | | 8,575 | |
Yamato Holdings Co. Ltd. | | | 1,200 | | | | 26,049 | |
| | | | | | | | |
| | | | | | | 492,888 | |
| | |
| Airlines — 0.3% | | | | | | |
ANA Holdings, Inc.(a) | | | 200 | | | | 4,571 | |
Delta Air Lines, Inc. | | | 7,999 | | | | 224,372 | |
Deutsche Lufthansa AG (Registered)(a) | | | 1,795 | | | | 18,009 | |
easyJet plc | | | 645 | | | | 5,445 | |
Japan Airlines Co. Ltd. | | | 400 | | | | 7,218 | |
Qantas Airways Ltd. | | | 8,900 | | | | 23,584 | |
Southwest Airlines Co. | | | 8,012 | | | | 273,850 | |
| | | | | | | | |
| | | | | | | 557,049 | |
| | |
| Auto Components — 0.0% | | | | | | |
Denso Corp. | | | 800 | | | | 31,374 | |
| | | | | | | | |
| | |
| Automobiles — 0.6% | | | | | | |
Bayerische Motoren Werke AG | | | 1,641 | | | | 104,763 | |
Daimler AG (Registered) | | | 2,733 | | | | 111,189 | |
Ferrari NV | | | 266 | | | | 45,565 | |
Fiat Chrysler Automobiles NV(a) | | | 2,931 | | | | 29,656 | |
Ford Motor Co. | | | 6,913 | | | | 42,031 | |
General Motors Co. | | | 3,042 | | | | 76,963 | |
Harley-Davidson, Inc. | | | 249 | | | | 5,919 | |
Honda Motor Co. Ltd. | | | 3,400 | | | | 87,018 | |
Isuzu Motors Ltd. | | | 1,800 | | | | 16,357 | |
Mitsubishi Motors Corp. | | | 2,800 | | | | 6,940 | |
Peugeot SA(a) | | | 548 | | | | 8,987 | |
Renault SA(a) | | | 998 | | | | 25,542 | |
Suzuki Motor Corp. | | | 1,300 | | | | 44,390 | |
Tesla, Inc.(a) | | | 366 | | | | 395,210 | |
Toyota Motor Corp. | | | 5,600 | | | | 352,151 | |
| | | | | | | | |
| | | | | | | 1,352,681 | |
| | |
| Banks — 2.8% | | | | | | |
Australia & New Zealand Banking Group Ltd. | | | 10,091 | | | | 130,932 | |
Banco Bilbao Vizcaya Argentaria SA | | | 10,133 | | | | 34,888 | |
Banco Santander SA | | | 36,747 | | | | 89,900 | |
Bank Hapoalim BM | | | 16,070 | | | | 96,069 | |
Bank Leumi Le-Israel BM | | | 3,511 | | | | 17,653 | |
Bank of America Corp. | | | 28,177 | | | | 669,204 | |
Barclays plc | | | 64,094 | | | | 90,424 | |
BNP Paribas SA(a) | | | 3,276 | | | | 130,889 | |
Citigroup, Inc. | | | 8,272 | | | | 422,699 | |
Citizens Financial Group, Inc. | | | 1,066 | | | | 26,906 | |
Comerica, Inc | | | 258 | | | | 9,830 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Banks (continued) | | | | | | |
Commonwealth Bank of Australia | | | 5,875 | | | $ | 283,729 | |
Credit Agricole SA(a) | | | 2,784 | | | | 26,436 | |
DBS Group Holdings Ltd. | | | 4,300 | | | | 64,701 | |
DNB ASA | | | 9,708 | | | | 129,578 | |
East West Bancorp, Inc. | | | 183 | | | | 6,632 | |
Erste Group Bank AG | | | 953 | | | | 22,508 | |
Fifth Third Bancorp | | | 1,952 | | | | 37,635 | |
First Republic Bank | | | 413 | | | | 43,774 | |
HSBC Holdings plc | | | 54,520 | | | | 253,387 | |
Huntington Bancshares, Inc. | | | 2,073 | | | | 18,730 | |
ING Groep NV | | | 8,157 | | | | 56,862 | |
Intesa Sanpaolo SpA(a) | | | 44,605 | | | | 85,717 | |
Israel Discount Bank Ltd., Class A | | | 16,826 | | | | 51,319 | |
Japan Post Bank Co. Ltd. | | | 3,800 | | | | 28,261 | |
JPMorgan Chase & Co. | | | 11,076 | | | | 1,041,809 | |
KBC Group NV | | | 413 | | | | 23,727 | |
KeyCorp | | | 3,008 | | | | 36,637 | |
M&T Bank Corp. | | | 465 | | | | 48,346 | |
Mitsubishi UFJ Financial Group, Inc. | | | 35,100 | | | | 138,137 | |
Mizrahi Tefahot Bank Ltd. | | | 3,135 | | | | 58,907 | |
Mizuho Financial Group, Inc. | | | 46,600 | | | | 57,320 | |
National Australia Bank Ltd | | | 10,304 | | | | 130,576 | |
Nordea Bank Abp | | | 12,095 | | | | 83,882 | |
Oversea-Chinese Banking Corp. Ltd. | | | 7,900 | | | | 51,491 | |
Regions Financial Corp. | | | 2,317 | | | | 25,765 | |
Royal Bank of Canada | | | 135 | | | | 9,159 | |
Royal Bank of Scotland Group plc | | | 24,739 | | | | 37,139 | |
Skandinaviska Enskilda Banken AB, Class A(a) | | | 5,805 | | | | 50,391 | |
Societe Generale SA(a) | | | 2,218 | | | | 37,084 | |
Standard Chartered plc | | | 9,233 | | | | 50,050 | |
Sumitomo Mitsui Financial Group, Inc | | | 3,600 | | | | 101,598 | |
Sumitomo Mitsui Trust Holdings, Inc | | | 200 | | | | 5,636 | |
SVB Financial Group(a) | | | 116 | | | | 25,001 | |
Svenska Handelsbanken AB, Class A(a) | | | 5,230 | | | | 49,661 | |
Swedbank AB, Class A(a) | | | 2,843 | | | | 36,507 | |
Toronto-Dominion Bank (The) | | | 155 | | | | 6,918 | |
Truist Financial Corp. | | | 4,549 | | | | 170,815 | |
UniCredit SpA(a) | | | 4,963 | | | | 45,805 | |
United Overseas Bank Ltd. | | | 3,600 | | | | 52,603 | |
US Bancorp | | | 5,715 | | | | 210,426 | |
Wells Fargo & Co. | | | 13,607 | | | | 348,339 | |
Westpac Banking Corp. | | | 12,556 | | | | 157,369 | |
| | | | | | | | |
| | | | | | | 5,919,761 | |
| | |
| Beverages — 2.1% | | | | | | |
Anheuser-Busch InBev SA/NV | | | 2,286 | | | | 112,692 | |
Asahi Group Holdings Ltd | | | 1,800 | | | | 63,220 | |
Brown-Forman Corp., Class B | | | 3,325 | | | | 211,670 | |
Budweiser Brewing Co. APAC Ltd.(b) | | | 5,600 | | | | 16,394 | |
Carlsberg A/S, Class B | | | 282 | | | | 37,396 | |
Coca-Cola Amatil Ltd | | | 9,681 | | | | 58,313 | |
Coca-Cola Bottlers Japan Holdings, Inc. | | | 500 | | | | 9,068 | |
Coca-Cola Co. (The) | | | 24,503 | | | | 1,094,794 | |
Coca-Cola European Partners plc | | | 3,956 | | | | 149,379 | |
Coca-Cola HBC AG | | | 1,515 | | | | 37,925 | |
Constellation Brands, Inc., Class A | | | 1,721 | | | | 301,089 | |
Davide Campari-Milano SpA | | | 3,516 | | | | 29,735 | |
Diageo plc | | | 9,651 | | | | 320,774 | |
Heineken Holding NV | | | 1,625 | | | | 133,001 | |
Heineken NV | | | 1,026 | | | | 94,591 | |
Ito En Ltd | | | 300 | | | | 16,935 | |
Keurig Dr Pepper, Inc. | | | 2,066 | | | | 58,674 | |
Kirin Holdings Co. Ltd. | | | 3,000 | | | | 63,239 | |
Molson Coors Beverage Co., Class B | | | 2,906 | | | | 99,850 | |
Monster Beverage Corp.(a) | | | 4,338 | | | | 300,710 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Beverages (continued) | | | | | | |
PepsiCo, Inc. | | | 8,216 | | | $ | 1,086,648 | |
Pernod Ricard SA | | | 712 | | | | 112,116 | |
Suntory Beverage & Food Ltd. | | | 900 | | | | 35,116 | |
Treasury Wine Estates Ltd. | | | 1,130 | | | | 8,222 | |
| | | | | | | | |
| | | | | | | 4,451,551 | |
| | |
| Biotechnology — 1.3% | | | | | | |
AbbVie, Inc. | | | 5,874 | | | | 576,709 | |
Alexion Pharmaceuticals, Inc.(a) | | | 695 | | | | 78,007 | |
Alnylam Pharmaceuticals, Inc.(a) | | | 322 | | | | 47,691 | |
Amgen, Inc. | | | 1,996 | | | | 470,776 | |
Biogen, Inc.(a) | | | 565 | | | | 151,166 | |
BioMarin Pharmaceutical, Inc.(a) | | | 564 | | | | 69,564 | |
CSL Ltd | | | 1,282 | | | | 254,976 | |
Exact Sciences Corp.(a) | | | 437 | | | | 37,993 | |
Galapagos NV(a) | | | 29 | | | | 5,724 | |
Gilead Sciences, Inc. | | | 4,187 | | | | 322,148 | |
Grifols SA | | | 372 | | | | 11,312 | |
Incyte Corp.(a) | | | 520 | | | | 54,064 | |
Ionis Pharmaceuticals, Inc.(a) | | | 333 | | | | 19,634 | |
Moderna, Inc.(a) | | | 900 | | | | 57,789 | |
Neurocrine Biosciences, Inc.(a) | | | 194 | | | | 23,668 | |
PeptiDream, Inc.(a) | | | 200 | | | | 9,215 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 320 | | | | 199,568 | |
Sarepta Therapeutics, Inc.(a) | | | 196 | | | | 31,427 | |
Seattle Genetics, Inc.(a) | | | 357 | | | | 60,661 | |
Vertex Pharmaceuticals, Inc.(a) | | | 878 | | | | 254,892 | |
| | | | | | | | |
| | | | | | | 2,736,984 | |
| | |
| Building Products — 0.4% | | | | | | |
AGC, Inc. | | | 500 | | | | 14,335 | |
Allegion plc | | | 326 | | | | 33,324 | |
AO Smith Corp. | | | 593 | | | | 27,942 | |
Assa Abloy AB, Class B | | | 5,178 | | | | 105,981 | |
Carrier Global Corp. | | | 1,692 | | | | 37,596 | |
Cie de Saint-Gobain(a) | | | 1,681 | | | | 60,652 | |
Daikin Industries Ltd. | | | 500 | | | | 80,900 | |
Fortune Brands Home & Security, Inc. | | | 644 | | | | 41,171 | |
Geberit AG (Registered) | | | 113 | | | | 56,696 | |
Johnson Controls International plc | | | 1,668 | | | | 56,945 | |
Lennox International, Inc. | | | 65 | | | | 15,144 | |
LIXIL Group Corp. | | | 700 | | | | 9,831 | |
Masco Corp. | | | 1,095 | | | | 54,980 | |
Nibe Industrier AB, Class B(a) | | | 796 | | | | 17,655 | |
Owens Corning | | | 681 | | | | 37,973 | |
TOTO Ltd. | | | 1,300 | | | | 49,983 | |
Trane Technologies plc | | | 852 | | | | 75,811 | |
| | | | | | | | |
| | | | | | | 776,919 | |
| | |
| Capital Markets — 1.8% | | | | | | |
3i Group plc | | | 5,487 | | | | 56,500 | |
Ameriprise Financial, Inc. | | | 473 | | | | 70,969 | |
Amundi SA(a)(b) | | | 271 | | | | 21,304 | |
Apollo Global Management, Inc | | | 529 | | | | 26,408 | |
ASX Ltd. | | | 818 | | | | 48,621 | |
Bank of New York Mellon Corp. (The) | | | 3,444 | | | | 133,111 | |
Blackstone Group, Inc. (The), Class A | | | 2,587 | | | | 146,579 | |
Cboe Global Markets, Inc. | | | 443 | | | | 41,323 | |
Charles Schwab Corp. (The) | | | 4,536 | | | | 153,045 | |
CME Group, Inc. | | | 1,395 | | | | 226,743 | |
Credit Suisse Group AG (Registered) | | | 6,167 | | | | 64,167 | |
Deutsche Bank AG (Registered)(a) | | | 4,008 | | | | 38,237 | |
Deutsche Boerse AG | | | 491 | | | | 88,860 | |
E*TRADE Financial Corp. | | | 798 | | | | 39,684 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Capital Markets (continued) | | | | | | |
Eaton Vance Corp | | | 156 | | | $ | 6,022 | |
EQT AB(a) | | | 842 | | | | 15,182 | |
FactSet Research Systems, Inc | | | 114 | | | | 37,446 | |
Franklin Resources, Inc. | | | 1,560 | | | | 32,713 | |
Goldman Sachs Group, Inc. (The) | | | 1,312 | | | | 259,277 | |
Hargreaves Lansdown plc | | | 773 | | | | 15,588 | |
Hong Kong Exchanges & Clearing Ltd. | | | 2,200 | | | | 93,702 | |
Intercontinental Exchange, Inc. | | | 2,183 | | | | 199,963 | |
Invesco Ltd. | | | 1,570 | | | | 16,893 | |
Japan Exchange Group, Inc. | | | 1,000 | | | | 23,160 | |
Julius Baer Group Ltd.(a) | | | 323 | | | | 13,565 | |
KKR & Co., Inc., Class A | | | 1,988 | | | | 61,389 | |
London Stock Exchange Group plc | | | 1,117 | | | | 116,163 | |
Macquarie Group Ltd | | | 1,245 | | | | 103,325 | |
Magellan Financial Group Ltd. | | | 473 | | | | 19,315 | |
MarketAxess Holdings, Inc. | | | 125 | | | | 62,615 | |
Moody’s Corp | | | 674 | | | | 185,168 | |
Morgan Stanley | | | 4,849 | | | | 234,207 | |
MSCI, Inc. | | | 306 | | | | 102,149 | |
Nasdaq, Inc. | | | 459 | | | | 54,837 | |
Natixis SA(a) | | | 3,100 | | | | 8,176 | |
Nomura Holdings, Inc. | | | 5,900 | | | | 26,512 | |
Northern Trust Corp | | | 819 | | | | 64,979 | |
Partners Group Holding AG | | | 51 | | | | 46,445 | |
Raymond James Financial, Inc. | | | 460 | | | | 31,662 | |
S&P Global, Inc. | | | 835 | | | | 275,116 | |
Schroders plc | | | 897 | | | | 32,738 | |
SEI Investments Co | | | 573 | | | | 31,504 | |
St. James’s Place plc | | | 3,194 | | | | 37,556 | |
Standard Life Aberdeen plc | | | 13,930 | | | | 46,160 | |
State Street Corp. | | | 1,500 | | | | 95,325 | |
T. Rowe Price Group, Inc. | | | 908 | | | | 112,138 | |
TD Ameritrade Holding Corp. | | | 1,186 | | | | 43,147 | |
Tradeweb Markets, Inc., Class A | | | 194 | | | | 11,279 | |
UBS Group AG (Registered) | | | 9,220 | | | | 106,482 | |
| | | | | | | | |
| | | | | | | 3,777,449 | |
| | |
| Chemicals — 1.3% | | | | | | |
Air Liquide SA | | | 654 | | | | 94,560 | |
Air Products & Chemicals, Inc. | | | 918 | | | | 221,660 | |
Air Water, Inc. | | | 1,600 | | | | 22,606 | |
Akzo Nobel NV | | | 88 | | | | 7,906 | |
Albemarle Corp. | | | 295 | | | | 22,777 | |
Asahi Kasei Corp. | | | 4,300 | | | | 35,199 | |
Axalta Coating Systems Ltd.(a) | | | 528 | | | | 11,906 | |
BASF SE | | | 1,714 | | | | 96,274 | |
CF Industries Holdings, Inc | | | 1,260 | | | | 35,456 | |
Clariant AG (Registered)(a) | | | 1,129 | | | | 22,220 | |
Corteva, Inc. | | | 2,778 | | | | 74,423 | |
Dow, Inc. | | | 3,191 | | | | 130,065 | |
DuPont de Nemours, Inc. | | | 2,692 | | | | 143,026 | |
Ecolab, Inc. | | | 1,052 | | | | 209,295 | |
EMS-Chemie Holding AG (Registered) | | | 118 | | | | 91,675 | |
Evonik Industries AG | | | 552 | | | | 14,059 | |
FMC Corp. | | | 309 | | | | 30,783 | |
ICL Group Ltd | | | 8,957 | | | | 26,680 | |
International Flavors & Fragrances, Inc | | | 265 | | | | 32,452 | |
Johnson Matthey plc | | | 677 | | | | 17,632 | |
Koninklijke DSM NV | | | 413 | | | | 57,332 | |
Linde plc | | | 2,260 | | | | 479,369 | |
LyondellBasell Industries NV, Class A | | | 1,385 | | | | 91,022 | |
Mitsubishi Chemical Holdings Corp. | | | 1,300 | | | | 7,581 | |
Nippon Paint Holdings Co. Ltd | | | 300 | | | | 21,881 | |
Nissan Chemical Corp. | | | 300 | | | | 15,435 | |
Nitto Denko Corp. | | | 1,100 | | | | 62,359 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Chemicals (continued) | | | | | | |
PPG Industries, Inc. | | | 960 | | | $ | 101,818 | |
RPM International, Inc. | | | 1,026 | | | | 77,012 | |
Sherwin-Williams Co. (The) | | | 430 | | | | 248,475 | |
Shin-Etsu Chemical Co. Ltd. | | | 700 | | | | 82,153 | |
Sika AG (Registered) | | | 35 | | | | 6,747 | |
Symrise AG | | | 56 | | | | 6,543 | |
Toray Industries, Inc. | | | 5,100 | | | | 24,072 | |
Tosoh Corp. | | | 1,300 | | | | 17,858 | |
Westlake Chemical Corp. | | | 115 | | | | 6,170 | |
Yara International ASA | | | 1,017 | | | | 35,455 | |
| | | | | | | | |
| | | | | | | 2,681,936 | |
| | |
| Commercial Services & Supplies — 0.2% | | | | | | |
Cintas Corp. | | | 248 | | | | 66,057 | |
Copart, Inc.(a) | | | 961 | | | | 80,023 | |
Dai Nippon Printing Co. Ltd. | | | 500 | | | | 11,495 | |
Republic Services, Inc. | | | 1,111 | | | | 91,158 | |
Secom Co. Ltd. | | | 800 | | | | 70,194 | |
Sohgo Security Services Co. Ltd. | | | 200 | | | | 9,339 | |
Toppan Printing Co. Ltd. | | | 500 | | | | 8,359 | |
Waste Connections, Inc. | | | 342 | | | | 32,076 | |
Waste Management, Inc | | | 1,319 | | | | 139,695 | |
| | | | | | | | |
| | | | | | | 508,396 | |
| | |
| Communications Equipment — 0.4% | | | | | | |
Cisco Systems, Inc. | | | 14,354 | | | | 669,471 | |
Juniper Networks, Inc. | | | 882 | | | | 20,162 | |
Nokia OYJ | | | 4,141 | | | | 18,096 | |
Telefonaktiebolaget LM Ericsson, Class B | | | 10,766 | | | | 99,796 | |
| | | | | | | | |
| | | | | | | 807,525 | |
| | |
| Construction & Engineering — 0.3% | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 389 | | | | 9,997 | |
Bouygues SA(a) | | | 1,492 | | | | 51,108 | |
Eiffage SA(a) | | | 1,293 | | | | 118,525 | |
JGC Holdings Corp. | | | 1,100 | | | | 11,599 | |
Kajima Corp | | | 2,700 | | | | 32,284 | |
Obayashi Corp. | | | 4,200 | | | | 39,486 | |
Shimizu Corp. | | | 8,100 | | | | 66,729 | |
Skanska AB, Class B(a) | | | 1,856 | | | | 37,891 | |
Taisei Corp. | | | 1,700 | | | | 61,958 | |
Vinci SA | | | 2,623 | | | | 243,213 | |
| | | | | | | | |
| | | | | | | 672,790 | |
| | |
| Construction Materials — 0.1% | | | | | | |
CRH plc | | | 477 | | | | 16,418 | |
Fletcher Building Ltd. | | | 2,543 | | | | 6,120 | |
LafargeHolcim Ltd. (Registered)(a) | | | 190 | | | | 8,371 | |
Martin Marietta Materials, Inc. | | | 653 | | | | 134,890 | |
Taiheiyo Cement Corp. | | | 100 | | | | 2,323 | |
Vulcan Materials Co. | | | 1,203 | | | | 139,368 | |
| | | | | | | | |
| | | | | | | 307,490 | |
| | |
| Consumer Finance — 0.3% | | | | | | |
Ally Financial, Inc. | | | 1,364 | | | | 27,048 | |
American Express Co. | | | 3,056 | | | | 290,931 | |
Capital One Financial Corp | | | 1,852 | | | | 115,917 | |
Discover Financial Services | | | 1,213 | | | | 60,759 | |
Synchrony Financial | | | 2,338 | | | | 51,810 | |
| | | | | | | | |
| | | | | | | 546,465 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Containers & Packaging — 0.0% | | | | | | |
Ball Corp. | | | 271 | | | $ | 18,832 | |
Toyo Seikan Group Holdings Ltd. | | | 500 | | | | 5,638 | |
| | | | | | | | |
| | | | | | | 24,470 | |
| | |
| Distributors — 0.0% | | | | | | |
LKQ Corp.(a) | | | 2,307 | | | | 60,443 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 0.2% | | | | | | |
AMP Ltd.(a) | | | 6,698 | | | | 8,667 | |
Equitable Holdings, Inc. | | | 1,806 | | | | 34,838 | |
EXOR NV | | | 517 | | | | 29,674 | |
Industrivarden AB, Class C(a) | | | 1,294 | | | | 29,495 | |
Investor AB, Class B | | | 2,653 | | | | 140,736 | |
Kinnevik AB, Class B | | | 1,086 | | | | 28,668 | |
L E Lundbergforetagen AB, Class B(a) | | | 1,038 | | | | 47,316 | |
M&G plc | | | 10,062 | | | | 20,893 | |
ORIX Corp | | | 2,900 | | | | 36,010 | |
Voya Financial, Inc. | | | 491 | | | | 22,905 | |
| | | | | | | | |
| | | | | | | 399,202 | |
| | |
| Diversified Telecommunication Services — 1.4% | | | | | | |
AT&T, Inc | | | 27,369 | | | | 827,365 | |
BT Group plc | | | 39,866 | | | | 56,380 | |
Cellnex Telecom SA(b) | | | 310 | | | | 18,934 | |
CenturyLink, Inc. | | | 4,659 | | | | 46,730 | |
Deutsche Telekom AG (Registered) | | | 9,397 | | | | 157,675 | |
Infrastrutture Wireless Italiane SpA(b) | | | 641 | | | | 6,435 | |
Liberty Global plc, Class A(a) | | | 323 | | | | 7,061 | |
Liberty Global plc, Class C(a) | | | 1,035 | | | | 22,263 | |
Nippon Telegraph & Telephone Corp. | | | 5,400 | | | | 125,817 | |
Orange SA | | | 5,827 | | | | 69,679 | |
Singapore Telecommunications Ltd. | | | 19,600 | | | | 34,866 | |
Spark New Zealand Ltd. | | | 40,810 | | | | 120,743 | |
Swisscom AG (Registered) | | | 53 | | | | 27,793 | |
Telefonica SA | | | 9,104 | | | | 43,542 | |
Telenor ASA | | | 10,545 | | | | 153,966 | |
Telia Co. AB | | | 14,725 | | | | 55,089 | |
Telstra Corp. Ltd. | | | 29,987 | | | | 65,091 | |
United Internet AG (Registered) | | | 212 | | | | 9,007 | |
Verizon Communications, Inc. | | | 20,044 | | | | 1,105,026 | |
| | | | | | | | |
| | | | | | | 2,953,462 | |
| | |
| Electric Utilities — 0.7% | | | | | | |
AusNet Services | | | 9,533 | | | | 11,014 | |
Edison International | | | 1,918 | | | | 104,167 | |
Electricite de France SA | | | 3,435 | | | | 31,936 | |
Eversource Energy | | | 1,380 | | | | 114,913 | |
Exelon Corp | | | 5,525 | | | | 200,502 | |
Iberdrola SA | | | 20,112 | | | | 234,801 | |
Mercury NZ Ltd | | | 34,759 | | | | 105,898 | |
NextEra Energy, Inc. | | | 2,044 | | | | 490,908 | |
Orsted A/S(b) | | | 426 | | | | 49,161 | |
SSE plc | | | 4,712 | | | | 79,789 | |
Terna Rete Elettrica Nazionale SpA | | | 10,031 | | | | 69,189 | |
Verbund AG | | | 679 | | | | 30,495 | |
| | | | | | | | |
| | | | | | | 1,522,773 | |
| | |
| Electrical Equipment — 0.3% | | | | | | |
ABB Ltd. (Registered) | | | 4,903 | | | | 111,215 | |
Acuity Brands, Inc. | | | 64 | | | | 6,127 | |
Eaton Corp. plc | | | 633 | | | | 55,375 | |
Emerson Electric Co. | | | 269 | | | | 16,686 | |
Fuji Electric Co. Ltd. | | | 800 | | | | 22,019 | |
Legrand SA | | | 151 | | | | 11,473 | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Electrical Equipment (continued) | | | | | | |
Mitsubishi Electric Corp. | | | 8,700 | | | $ | 113,633 | |
Nidec Corp. | | | 1,100 | | | | 74,106 | |
Rockwell Automation, Inc. | | | 76 | | | | 16,188 | |
Schneider Electric SE | | | 1,513 | | | | 168,301 | |
| | | | | | | | |
| | | | | | | 595,123 | |
|
| Electronic Equipment, Instruments & Components — 0.5% | |
Amphenol Corp., Class A | | | 963 | | | | 92,265 | |
CDW Corp | | | 748 | | | | 86,902 | |
Cognex Corp. | | | 269 | | | | 16,065 | |
Corning, Inc. | | | 2,128 | | | | 55,115 | |
Hexagon AB, Class B(a) | | | 675 | | | | 39,640 | |
Hitachi Ltd. | | | 2,600 | | | | 82,640 | |
Ingenico Group SA(a) | | | 49 | | | | 7,873 | |
IPG Photonics Corp.(a) | | | 95 | | | | 15,237 | |
Keyence Corp. | | | 500 | | | | 209,531 | |
Keysight Technologies, Inc.(a) | | | 378 | | | | 38,095 | |
Kyocera Corp. | | | 400 | | | | 21,834 | |
Murata Manufacturing Co. Ltd. | | | 1,800 | | | | 106,107 | |
Omron Corp | | | 600 | | | | 40,187 | |
Shimadzu Corp | | | 300 | | | | 8,009 | |
TDK Corp. | | | 500 | | | | 49,776 | |
TE Connectivity Ltd. | | | 693 | | | | 56,514 | |
Trimble, Inc.(a) | | | 736 | | | | 31,788 | |
Zebra Technologies Corp., Class A(a) | | | 167 | | | | 42,744 | |
| | | | | | | | |
| | | | | | | 1,000,322 | |
| | |
| Entertainment — 0.8% | | | | | | |
Activision Blizzard, Inc. | | | 2,574 | | | | 195,367 | |
Bollore SA | | | 2,875 | | | | 9,072 | |
Electronic Arts, Inc.(a) | | | 941 | | | | 124,259 | |
Netflix, Inc.(a) | | | 1,261 | | | | 573,805 | |
Nexon Co. Ltd. | | | 700 | | | | 15,789 | |
Nintendo Co. Ltd | | | 200 | | | | 89,414 | |
Take-Two Interactive Software, Inc.(a) | | | 305 | | | | 42,569 | |
Ubisoft Entertainment SA(a) | | | 67 | | | | 5,548 | |
Vivendi SA | | | 1,667 | | | | 43,075 | |
Walt Disney Co. (The) | | | 5,733 | | | | 639,287 | |
| | | | | | | | |
| | | | | | | 1,738,185 | |
|
| Equity Real Estate Investment Trusts (REITs) — 1.4% | |
Alexandria Real Estate Equities, Inc | | | 368 | | | | 59,708 | |
American Tower Corp. | | | 1,526 | | | | 394,532 | |
Ascendas REIT | | | 11,600 | | | | 26,615 | |
AvalonBay Communities, Inc. | | | 507 | | | | 78,402 | |
Boston Properties, Inc. | | | 511 | | | | 46,184 | |
British Land Co. plc (The) | | | 1,696 | | | | 8,113 | |
Camden Property Trust | | | 175 | | | | 15,963 | |
CapitaLand Commercial Trust | | | 5,500 | | | | 6,731 | |
CapitaLand Mall Trust | | | 6,900 | | | | 9,791 | |
Crown Castle International Corp. | | | 1,430 | | | | 239,310 | |
Dexus | | | 3,233 | | | | 20,750 | |
Digital Realty Trust, Inc. | | | 875 | | | | 124,346 | |
Duke Realty Corp. | | | 964 | | | | 34,116 | |
Equinix, Inc. | | | 289 | | | | 202,965 | |
Equity LifeStyle Properties, Inc. | | | 396 | | | | 24,742 | |
Equity Residential | | | 1,444 | | | | 84,936 | |
Essex Property Trust, Inc. | | | 215 | | | | 49,272 | |
Extra Space Storage, Inc. | | | 301 | | | | 27,803 | |
Federal Realty Investment Trust | | | 112 | | | | 9,544 | |
Gecina SA | | | 55 | | | | 6,793 | |
Goodman Group | | | 5,347 | | | | 55,172 | |
GPT Group (The) | | | 4,664 | | | | 13,549 | |
Healthpeak Properties, Inc. | | | 1,689 | | | | 46,549 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Host Hotels & Resorts, Inc. | | | 1,971 | | | $ | 21,267 | |
Invitation Homes, Inc. | | | 1,388 | | | | 38,212 | |
Iron Mountain, Inc. | | | 526 | | | | 13,729 | |
Kimco Realty Corp. | | | 458 | | | | 5,881 | |
Klepierre SA | | | 299 | | | | 5,977 | |
Land Securities Group plc | | | 2,523 | | | | 17,239 | |
Mapletree Commercial Trust | | | 6,300 | | | | 8,815 | |
Medical Properties Trust, Inc | | | 808 | | | | 15,190 | |
Mid-America Apartment Communities, Inc. | | | 318 | | | | 36,465 | |
Mirvac Group | | | 9,279 | | | | 14,017 | |
National Retail Properties, Inc. | | | 355 | | | | 12,595 | |
Nippon Building Fund, Inc | | | 1 | | | | 5,695 | |
Nomura Real Estate Master Fund, Inc. | | | 5 | | | | 5,988 | |
Omega Healthcare Investors, Inc | | | 701 | | | | 20,841 | |
Prologis, Inc | | | 2,650 | | | | 247,325 | |
Public Storage | | | 585 | | | | 112,256 | |
Realty Income Corp | | | 1,182 | | | | 70,329 | |
Regency Centers Corp. | | | 456 | | | | 20,926 | |
SBA Communications Corp. | | | 355 | | | | 105,762 | |
Scentre Group | | | 14,537 | | | | 22,069 | |
Segro plc | | | 3,570 | | | | 39,484 | |
Simon Property Group, Inc. | | | 1,080 | | | | 73,850 | |
Stockland | | | 5,955 | | | | 13,808 | |
Sun Communities, Inc. | | | 254 | | | | 34,463 | |
UDR, Inc. | | | 757 | | | | 28,297 | |
Unibail-Rodamco-Westfield | | | 315 | | | | 17,756 | |
Ventas, Inc. | | | 1,294 | | | | 47,386 | |
VEREIT, Inc. | | | 1,977 | | | | 12,712 | |
VICI Properties, Inc. | | | 1,525 | | | | 30,790 | |
Vicinity Centres | | | 5,962 | | | | 5,976 | |
Vornado Realty Trust | | | 340 | | | | 12,991 | |
Welltower, Inc | | | 1,464 | | | | 75,762 | |
Weyerhaeuser Co. | | | 2,570 | | | | 57,722 | |
WP Carey, Inc. | | | 614 | | | | 41,537 | |
| | | | | | | | |
| | | | | | | 2,878,998 | |
| | |
| Food & Staples Retailing — 1.6% | | | | | | |
Aeon Co. Ltd. | | | 3,800 | | | | 88,405 | |
Carrefour SA | | | 3,033 | | | | 47,036 | |
Coles Group Ltd. | | | 8,316 | | | | 98,855 | |
Colruyt SA | | | 1,006 | | | | 55,289 | |
Cosmos Pharmaceutical Corp. | | | 200 | | | | 30,687 | |
Costco Wholesale Corp. | | | 2,719 | | | | 824,428 | |
Dairy Farm International Holdings Ltd | | | 5,100 | | | | 23,831 | |
Empire Co. Ltd., Class A | | | 2,422 | | | | 57,999 | |
George Weston Ltd. | | | 1,860 | | | | 136,253 | |
ICA Gruppen AB | | | 2,515 | | | | 119,549 | |
J Sainsbury plc | | | 36,022 | | | | 93,223 | |
Jeronimo Martins SGPS SA(a) | | | 2,252 | | | | 39,410 | |
Kobe Bussan Co. Ltd | | | 300 | | | | 17,036 | |
Koninklijke Ahold Delhaize NV | | | 4,161 | | | | 113,404 | |
Kroger Co. (The) | | | 7,033 | | | | 238,067 | |
Lawson, Inc. | | | 800 | | | | 40,240 | |
Loblaw Cos. Ltd. | | | 2,832 | | | | 137,908 | |
METRO AG | | | 5,581 | | | | 52,965 | |
Metro, Inc. | | | 2,816 | | | | 116,158 | |
Sundrug Co. Ltd. | | | 700 | | | | 23,167 | |
Sysco Corp. | | | 4,393 | | | | 240,121 | |
Tsuruha Holdings, Inc. | | | 300 | | | | 41,434 | |
Walgreens Boots Alliance, Inc. | | | 6,590 | | | | 279,350 | |
Welcia Holdings Co. Ltd. | | | 200 | | | | 16,158 | |
Wm Morrison Supermarkets plc | | | 50,535 | | | | 119,047 | |
Woolworths Group Ltd. | | | 7,603 | | | | 195,981 | |
| | | | | | | | |
| | | | | | | 3,246,001 | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Food Products — 1.6% | | | | | | |
a2 Milk Co. Ltd.(a) | | | 6,118 | | | $ | 80,083 | |
Archer-Daniels-Midland Co | | | 2,208 | | | | 88,099 | |
Associated British Foods plc | | | 4,490 | | | | 106,162 | |
Bunge Ltd. | | | 88 | | | | 3,620 | |
Campbell Soup Co. | | | 1,186 | | | | 58,861 | |
Chocoladefabriken Lindt & Spruengli AG | | | 4 | | | | 33,037 | |
Chocoladefabriken Lindt & Spruengli AG (Registered) | | | 1 | | | | 86,257 | |
Conagra Brands, Inc. | | | 2,696 | | | | 94,818 | |
Danone SA | | | 1,694 | | | | 117,586 | |
General Mills, Inc. | | | 3,163 | | | | 194,999 | |
Hershey Co. (The) | | | 906 | | | | 117,436 | |
Hormel Foods Corp. | | | 2,296 | | | | 110,828 | |
Ingredion, Inc. | | | 315 | | | | 26,145 | |
JM Smucker Co. (The) | | | 582 | | | | 61,581 | |
Kellogg Co | | | 1,350 | | | | 89,181 | |
Kerry Group plc, Class A | | | 332 | | | | 41,244 | |
Kraft Heinz Co. (The) | | | 3,984 | | | | 127,050 | |
Lamb Weston Holdings, Inc. | | | 1,030 | | | | 65,848 | |
McCormick & Co., Inc. (Non-Voting) | | | 664 | | | | 119,128 | |
MEIJI Holdings Co. Ltd. | | | 600 | | | | 47,746 | |
Mondelez International, Inc., Class A | | | 5,886 | | | | 300,951 | |
Mowi ASA | | | 3,914 | | | | 74,607 | |
Nestle SA (Registered) | | | 8,280 | | | | 918,009 | |
NH Foods Ltd | | | 300 | | | | 12,072 | |
Nisshin Seifun Group, Inc | | | 700 | | | | 10,452 | |
Orkla ASA | | | 14,112 | | | | 123,898 | |
Tyson Foods, Inc., Class A | | | 1,682 | | | | 100,432 | |
Wilmar International Ltd. | | | 23,500 | | | | 69,508 | |
Yakult Honsha Co. Ltd. | | | 100 | | | | 5,883 | |
| | | | | | | | |
| | | | | | | 3,285,521 | |
| | |
| Gas Utilities — 0.1% | | | | | | |
APA Group(c) | | | 5,789 | | | | 44,762 | |
Hong Kong & China Gas Co. Ltd. | | | 34,650 | | | | 53,852 | |
Naturgy Energy Group SA | | | 2,024 | | | | 37,786 | |
Osaka Gas Co. Ltd. | | | 2,000 | | | | 39,534 | |
Snam SpA | | | 14,080 | | | | 68,642 | |
Toho Gas Co. Ltd. | | | 300 | | | | 14,995 | |
Tokyo Gas Co. Ltd. | | | 1,800 | | | | 43,100 | |
| | | | | | | | |
| | | | | | | 302,671 | |
| | |
| Health Care Equipment & Supplies — 2.0% | | | | | | |
Abbott Laboratories | | | 6,323 | | | | 578,112 | |
ABIOMED, Inc.(a) | | | 145 | | | | 35,026 | |
Alcon, Inc.(a) | | | 1,046 | | | | 60,102 | |
Align Technology, Inc.(a) | | | 259 | | | | 71,080 | |
Asahi Intecc Co. Ltd. | | | 200 | | | | 5,708 | |
Baxter International, Inc. | | | 1,879 | | | | 161,782 | |
Becton Dickinson and Co. | | | 977 | | | | 233,767 | |
Boston Scientific Corp.(a) | | | 5,473 | | | | 192,157 | |
Carl Zeiss Meditec AG | | | 97 | | | | 9,445 | |
Cochlear Ltd. | | | 163 | | | | 21,400 | |
Cooper Cos., Inc. (The) | | | 181 | | | | 51,339 | |
Danaher Corp. | | | 2,236 | | | | 395,392 | |
Dentsply Sirona, Inc. | | | 705 | | | | 31,062 | |
DexCom, Inc.(a) | | | 302 | | | | 122,431 | |
Edwards Lifesciences Corp.(a) | | | 2,383 | | | | 164,689 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 3,272 | | | | 75,377 | |
Hologic, Inc.(a) | | | 951 | | | | 54,207 | |
Hoya Corp. | | | 900 | | | | 86,183 | |
IDEXX Laboratories, Inc.(a) | | | 281 | | | | 92,775 | |
Insulet Corp.(a) | | | 186 | | | | 36,132 | |
Intuitive Surgical, Inc.(a) | | | 439 | | | | 250,155 | |
Koninklijke Philips NV(a) | | | 1,680 | | | | 78,368 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Health Care Equipment & Supplies (continued) | | | | | | |
Masimo Corp.(a) | | | 101 | | | $ | 23,027 | |
Medtronic plc | | | 5,142 | | | | 471,521 | |
Olympus Corp. | | | 2,900 | | | | 55,832 | |
ResMed, Inc. | | | 526 | | | | 100,992 | |
Siemens Healthineers AG(b) | | | 710 | | | | 34,128 | |
Smith & Nephew plc | | | 3,174 | | | | 59,143 | |
Sonova Holding AG (Registered)(a) | | | 88 | | | | 17,616 | |
STERIS plc | | | 328 | | | | 50,328 | |
Straumann Holding AG (Registered) | | | 12 | | | | 10,374 | |
Stryker Corp. | | | 1,344 | | | | 242,175 | |
Sysmex Corp. | | | 300 | | | | 23,029 | |
Teleflex, Inc. | | | 175 | | | | 63,697 | |
Terumo Corp. | | | 1,600 | | | | 60,901 | |
Varian Medical Systems, Inc.(a) | | | 330 | | | | 40,432 | |
West Pharmaceutical Services, Inc. | | | 158 | | | | 35,893 | |
Zimmer Biomet Holdings, Inc. | | | 834 | | | | 99,546 | |
| | | | | | | | |
| | | | | | | 4,195,323 | |
| | |
| Health Care Providers & Services — 1.7% | | | | | | |
AmerisourceBergen Corp. | | | 1,174 | | | | 118,304 | |
Anthem, Inc. | | | 904 | | | | 237,734 | |
Cardinal Health, Inc | | | 1,473 | | | | 76,876 | |
Centene Corp.(a) | | | 2,562 | | | | 162,815 | |
Cigna Corp. | | | 1,775 | | | | 333,079 | |
CVS Health Corp. | | | 6,745 | | | | 438,223 | |
DaVita, Inc.(a) | | | 690 | | | | 54,607 | |
Fresenius Medical Care AG & Co. KGaA | | | 479 | | | | 41,208 | |
Fresenius SE & Co. KGaA | | | 949 | | | | 47,168 | |
HCA Healthcare, Inc. | | | 1,775 | | | | 172,281 | |
Henry Schein, Inc.(a) | | | 696 | | | | 40,639 | |
Humana, Inc. | | | 564 | | | | 218,691 | |
Laboratory Corp. of America Holdings(a) | | | 660 | | | | 109,633 | |
McKesson Corp. | | | 1,004 | | | | 154,034 | |
Quest Diagnostics, Inc. | | | 886 | | | | 100,968 | |
Ramsay Health Care Ltd. | | | 334 | | | | 15,425 | |
Ryman Healthcare Ltd. | | | 6,114 | | | | 51,871 | |
Sonic Healthcare Ltd. | | | 1,192 | | | | 25,171 | |
UnitedHealth Group, Inc | | | 3,559 | | | | 1,049,727 | |
Universal Health Services, Inc., Class B | | | 639 | | | | 59,357 | |
| | | | | | | | |
| | | | | | | 3,507,811 | |
| | |
| Health Care Technology — 0.1% | | | | | | |
Cerner Corp | | | 1,120 | | | | 76,776 | |
M3, Inc. | | | 800 | | | | 33,985 | |
Teladoc Health, Inc.(a) | | | 207 | | | | 39,504 | |
Veeva Systems, Inc., Class A(a) | | | 476 | | | | 111,584 | |
| | | | | | | | |
| | | | | | | 261,849 | |
| | |
| Hotels, Restaurants & Leisure — 0.6% | | | | | | |
Accor SA(a) | | | 349 | | | | 9,525 | |
Carnival Corp. | | | 792 | | | | 13,005 | |
Chipotle Mexican Grill, Inc.(a) | | | 30 | | | | 31,571 | |
Compass Group plc | | | 4,628 | | | | 63,674 | |
Crown Resorts Ltd. | | | 6,345 | | | | 42,743 | |
Evolution Gaming Group AB(b) | | | 275 | | | | 16,334 | |
Flutter Entertainment plc | | | 131 | | | | 17,295 | |
Galaxy Entertainment Group Ltd. | | | 4,000 | | | | 27,439 | |
GVC Holdings plc | | | 2,565 | | | | 23,510 | |
Hilton Worldwide Holdings, Inc. | | | 794 | | | | 58,319 | |
InterContinental Hotels Group plc | | | 154 | | | | 6,798 | |
Las Vegas Sands Corp. | | | 1,140 | | | | 51,916 | |
Marriott International, Inc., Class A | | | 913 | | | | 78,271 | |
McDonald’s Corp. | | | 2,028 | | | | 374,105 | |
McDonald’s Holdings Co. Japan Ltd. | | | 100 | | | | 5,405 | |
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Hotels, Restaurants & Leisure (continued) | | | | | | |
MGM Resorts International | | | 1,437 | | | $ | 24,142 | |
Oriental Land Co. Ltd. | | | 600 | | | | 79,288 | |
Royal Caribbean Cruises Ltd. | | | 378 | | | | 19,013 | |
Sands China Ltd. | | | 2,800 | | | | 11,030 | |
Sodexo SA | | | 462 | | | | 31,327 | |
Starbucks Corp | | | 2,683 | | | | 197,442 | |
Tabcorp Holdings Ltd | | | 21,271 | | | | 50,171 | |
TUI AG | | | 1,042 | | | | 4,938 | |
Vail Resorts, Inc. | | | 95 | | | | 17,304 | |
Whitbread plc | | | 1,678 | | | | 46,166 | |
Wynn Resorts Ltd. | | | 201 | | | | 14,972 | |
Yum! Brands, Inc. | | | 425 | | | | 36,937 | |
| | | | | | | | |
| | | | | | | 1,352,640 | |
| | |
| Household Durables — 0.5% | | | | | | |
Barratt Developments plc | | | 7,545 | | | | 46,373 | |
Berkeley Group Holdings plc | | | 1,460 | | | | 75,190 | |
DR Horton, Inc. | | | 3,145 | | | | 174,390 | |
Lennar Corp., Class A | | | 2,495 | | | | 153,742 | |
NVR, Inc.(a) | | | 35 | | | | 114,056 | |
Panasonic Corp. | | | 3,900 | | | | 34,199 | |
Persimmon plc | | | 2,640 | | | | 74,716 | |
PulteGroup, Inc. | | | 2,901 | | | | 98,721 | |
Sony Corp. | | | 2,400 | | | | 165,673 | |
Taylor Wimpey plc | | | 26,195 | | | | 46,235 | |
| | | | | | | | |
| | | | | | | 983,295 | |
| | |
| Household Products — 0.9% | | | | | | |
Church & Dwight Co., Inc. | | | 708 | | | | 54,728 | |
Clorox Co. (The) | | | 320 | | | | 70,198 | |
Colgate-Palmolive Co. | | | 2,088 | | | | 152,967 | |
Essity AB, Class B(a) | | | 2,573 | | | | 83,420 | |
Henkel AG & Co. KGaA | | | 624 | | | | 52,204 | |
Kimberly-Clark Corp. | | | 1,208 | | | | 170,751 | |
Procter & Gamble Co. (The) | | | 8,324 | | | | 995,301 | |
Reckitt Benckiser Group plc | | | 2,142 | | | | 197,061 | |
Spectrum Brands Holdings, Inc. | | | 12 | | | | 551 | |
Unicharm Corp. | | | 400 | | | | 16,405 | |
| | | | | | | | |
| | | | | | | 1,793,586 | |
| |
| Independent Power and Renewable Electricity Producers — 0.1% | | | | |
Meridian Energy Ltd. | | | 31,953 | | | | 99,607 | |
Uniper SE | | | 1,266 | | | | 40,853 | |
| | | | | | | | |
| | | | | | | 140,460 | |
| | |
| Industrial Conglomerates — 0.3% | | | | | | |
3M Co | | | 1,138 | | | | 177,517 | |
DCC plc | | | 560 | | | | 46,728 | |
Investment AB Latour, Class B | | | 1,240 | | | | 22,514 | |
Keihan Holdings Co. Ltd | | | 700 | | | | 31,261 | |
Keppel Corp. Ltd | | | 21,200 | | | | 91,307 | |
NWS Holdings Ltd | | | 17,000 | | | | 14,787 | |
Roper Technologies, Inc | | | 61 | | | | 23,684 | |
Siemens AG (Registered) | | | 2,188 | | | | 258,047 | |
Smiths Group plc | | | 1,235 | | | | 21,590 | |
Toshiba Corp. | | | 1,200 | | | | 38,496 | |
| | | | | | | | |
| | | | | | | 725,931 | |
| | |
| Insurance — 1.1% | | | | | | |
Admiral Group plc | | | 315 | | | | 8,933 | |
Aflac, Inc. | | | 178 | | | | 6,413 | |
AIA Group Ltd. | | | 25,800 | | | | 241,426 | |
Alleghany Corp | | | 19 | | | | 9,294 | |
Allianz SE (Registered) | | | 1,073 | | | | 219,260 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Insurance (continued) | | | | | | |
Allstate Corp. (The) | | | 777 | | | $ | 75,361 | |
Aon plc, Class A | | | 613 | | | | 118,064 | |
Arch Capital Group Ltd.(a) | | | 964 | | | | 27,619 | |
Arthur J Gallagher & Co. | | | 322 | | | | 31,392 | |
Assicurazioni Generali SpA | | | 4,713 | | | | 71,592 | |
Aviva plc | | | 21,936 | | | | 74,349 | |
AXA SA | | | 5,639 | | | | 118,661 | |
Cincinnati Financial Corp. | | | 380 | | | | 24,331 | |
Dai-ichi Life Holdings, Inc. | | | 1,200 | | | | 14,364 | |
Direct Line Insurance Group plc | | | 4,793 | | | | 16,071 | |
Everest Re Group Ltd. | | | 52 | | | | 10,722 | |
Fidelity National Financial, Inc. | | | 489 | | | | 14,993 | |
Gjensidige Forsikring ASA(a) | | | 4,293 | | | | 79,318 | |
Hannover Rueck SE | | | 133 | | | | 22,986 | |
Hartford Financial Services Group, Inc. (The) | | | 172 | | | | 6,631 | |
Insurance Australia Group Ltd. | | | 5,934 | | | | 23,815 | |
Japan Post Holdings Co. Ltd | | | 5,300 | | | | 37,824 | |
Legal & General Group plc | | | 26,170 | | | | 71,346 | |
Markel Corp.(a) | | | 40 | | | | 36,927 | |
Marsh & McLennan Cos., Inc. | | | 1,370 | | | | 147,097 | |
Medibank Pvt Ltd. | | | 3,477 | | | | 7,209 | |
MetLife, Inc. | | | 168 | | | | 6,135 | |
MS&AD Insurance Group Holdings, Inc. | | | 300 | | | | 8,262 | |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | | 306 | | | | 79,681 | |
Poste Italiane SpA(b) | | | 1,128 | | | | 9,853 | |
Progressive Corp. (The) | | | 1,577 | | | | 126,334 | |
Prudential Financial, Inc. | | | 679 | | | | 41,351 | |
Prudential plc | | | 7,834 | | | | 118,043 | |
QBE Insurance Group Ltd. | | | 3,459 | | | | 21,346 | |
RSA Insurance Group plc | | | 689 | | | | 3,489 | |
Sompo Holdings, Inc. | | | 400 | | | | 13,770 | |
Suncorp Group Ltd. | | | 1,951 | | | | 12,537 | |
Swiss Re AG | | | 491 | | | | 38,070 | |
Tokio Marine Holdings, Inc. | | | 1,700 | | | | 74,414 | |
Travelers Cos., Inc. (The) | | | 729 | | | | 83,143 | |
Willis Towers Watson plc | | | 258 | | | | 50,813 | |
WR Berkley Corp. | | | 146 | | | | 8,364 | |
Zurich Insurance Group AG | | | 352 | | | | 124,724 | |
| | | | | | | | |
| | | | | | | 2,336,327 | |
| | |
| Interactive Media & Services — 2.5% | | | | | | |
Alphabet, Inc., Class A(a) | | | 1,032 | | | | 1,463,428 | |
Alphabet, Inc., Class C(a) | | | 1,056 | | | | 1,492,772 | |
Auto Trader Group plc(b) | | | 3,780 | | | | 24,611 | |
Facebook, Inc., Class A(a) | | | 8,127 | | | | 1,845,398 | |
IAC/InterActiveCorp(a) | | | 237 | | | | 76,646 | |
Match Group, Inc.(a) | | | 68 | | | | 7,279 | |
Pinterest, Inc., Class A(a) | | | 990 | | | | 21,948 | |
REA Group Ltd. | | | 326 | | | | 24,565 | |
SEEK Ltd. | | | 739 | | | | 11,306 | |
Snap, Inc., Class A(a) | | | 2,562 | | | | 60,181 | |
TripAdvisor, Inc | | | 279 | | | | 5,304 | |
Twitter, Inc.(a) | | | 2,555 | | | | 76,113 | |
Z Holdings Corp. | | | 4,200 | | | | 20,613 | |
Zillow Group, Inc., Class C(a) | | | 357 | | | | 20,567 | |
| | | | | | | | |
| | | | | | | 5,150,731 | |
| | |
| Internet & Direct Marketing Retail — 2.6% | | | | | | |
Amazon.com, Inc.(a) | | | 1,548 | | | | 4,270,653 | |
Booking Holdings, Inc.(a) | | | 209 | | | | 332,799 | |
Delivery Hero SE(a)(b) | | | 225 | | | | 23,123 | |
eBay, Inc. | | | 3,079 | | | | 161,493 | |
Expedia Group, Inc. | | | 843 | | | | 69,295 | |
Grubhub, Inc.(a) | | | 102 | | | | 7,171 | |
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Internet & Direct Marketing Retail (continued) | | | | | | |
Just Eat Takeaway.com NV(a)(b) | | | 192 | | | $ | 20,069 | |
MercadoLibre, Inc.(a) | | | 157 | | | | 154,766 | |
Ocado Group plc(a) | | | 1,565 | | | | 39,329 | |
Prosus NV(a) | | | 1,524 | | | | 141,668 | |
Rakuten, Inc. | | | 600 | | | | 5,300 | |
Wayfair, Inc., Class A(a) | | | 411 | | | | 81,218 | |
Zalando SE(a)(b) | | | 380 | | | | 26,957 | |
| | | | | | | | |
| | | | | | | 5,333,841 | |
| | |
| IT Services — 2.8% | | | | | | |
Accenture plc, Class A | | | 2,427 | | | | 521,125 | |
Adyen NV(a)(b) | | | 34 | | | | 49,487 | |
Afterpay Ltd.(a) | | | 669 | | | | 28,893 | |
Akamai Technologies, Inc.(a) | | | 290 | | | | 31,056 | |
Amadeus IT Group SA | | | 653 | | | | 34,284 | |
Automatic Data Processing, Inc | | | 1,575 | | | | 234,502 | |
Black Knight, Inc.(a) | | | 749 | | | | 54,347 | |
Booz Allen Hamilton Holding Corp. | | | 498 | | | | 38,739 | |
Broadridge Financial Solutions, Inc. | | | 392 | | | | 49,467 | |
Cognizant Technology Solutions Corp., Class A | | | 2,039 | | | | 115,856 | |
EPAM Systems, Inc.(a) | | | 70 | | | | 17,641 | |
Fidelity National Information Services, Inc. | | | 2,396 | | | | 321,280 | |
Fiserv, Inc.(a) | | | 2,258 | | | | 220,426 | |
FleetCor Technologies, Inc.(a) | | | 172 | | | | 43,263 | |
Fujitsu Ltd. | | | 600 | | | | 70,250 | |
Gartner, Inc.(a) | | | 261 | | | | 31,667 | |
Global Payments, Inc. | | | 1,102 | | | | 186,921 | |
GoDaddy, Inc., Class A(a) | | | 536 | | | | 39,305 | |
International Business Machines Corp. | | | 2,259 | | | | 272,819 | |
Itochu Techno-Solutions Corp. | | | 900 | | | | 33,846 | |
Jack Henry & Associates, Inc. | | | 326 | | | | 59,994 | |
Mastercard, Inc., Class A | | | 2,981 | | | | 881,482 | |
NEC Corp. | | | 600 | | | | 28,827 | |
Nexi SpA(a)(b) | | | 3,230 | | | | 56,010 | |
Nomura Research Institute Ltd. | | | 1,100 | | | | 30,044 | |
Obic Co. Ltd | | | 200 | | | | 35,248 | |
Okta, Inc.(a) | | | 327 | | | | 65,475 | |
Otsuka Corp. | | | 600 | | | | 31,689 | |
Paychex, Inc. | | | 2,064 | | | | 156,348 | |
PayPal Holdings, Inc.(a) | | | 3,801 | | | | 662,248 | |
SCSK Corp. | | | 200 | | | | 9,785 | |
Square, Inc., Class A(a) | | | 1,275 | | | | 133,799 | |
TIS, Inc. | | | 500 | | | | 10,586 | |
Twilio, Inc., Class A(a) | | | 363 | | | | 79,650 | |
VeriSign, Inc.(a) | | | 310 | | | | 64,117 | |
Visa, Inc., Class A | | | 5,810 | | | | 1,122,318 | |
Wix.com Ltd.(a) | | | 95 | | | | 24,341 | |
Worldline SA(a)(b) | | | 244 | | | | 21,274 | |
| | | | | | | | |
| | | | | | | 5,868,409 | |
| | |
| Leisure Products — 0.0% | | | | | | |
Hasbro, Inc. | | | 209 | | | | 15,664 | |
Polaris, Inc | | | 65 | | | | 6,016 | |
| | | | | | | | |
| | | | | | | 21,680 | |
| | |
| Life Sciences Tools & Services — 0.6% | | | | | | |
Agilent Technologies, Inc. | | | 1,173 | | | | 103,658 | |
Avantor, Inc.(a) | | | 1,436 | | | | 24,412 | |
Bio-Rad Laboratories, Inc., Class A(a) | | | 69 | | | | 31,153 | |
Eurofins Scientific SE(a) | | | 17 | | | | 10,723 | |
Illumina, Inc.(a) | | | 477 | | | | 176,657 | |
IQVIA Holdings, Inc.(a) | | | 680 | | | | 96,478 | |
Lonza Group AG (Registered) | | | 171 | | | | 90,578 | |
Mettler-Toledo International, Inc.(a) | | | 79 | | | | 63,639 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Life Sciences Tools & Services (continued) | | | | | | |
PerkinElmer, Inc. | | | 346 | | | $ | 33,939 | |
QIAGEN NV(a) | | | 619 | | | | 26,663 | |
Sartorius Stedim Biotech | | | 65 | | | | 16,480 | |
Thermo Fisher Scientific, Inc | | | 1,415 | | | | 512,711 | |
Waters Corp.(a) | | | 187 | | | | 33,735 | |
| | | | | | | | |
| | | | | | | 1,220,826 | |
| | |
| Machinery — 0.8% | | | | | | |
Alfa Laval AB(a) | | | 233 | | | | 5,140 | |
Atlas Copco AB, Class A | | | 2,098 | | | | 89,345 | |
Atlas Copco AB, Class B | | | 2,001 | | | | 74,353 | |
Caterpillar, Inc. | | | 755 | | | | 95,508 | |
Cummins, Inc. | | | 74 | | | | 12,821 | |
Deere & Co. | | | 400 | | | | 62,860 | |
Dover Corp. | | | 555 | | | | 53,591 | |
Electrolux Professional AB, Class B(a) | | | 453 | | | | 1,659 | |
Epiroc AB, Class A | | | 5,267 | | | | 65,998 | |
Epiroc AB, Class B | | | 3,078 | | | | 37,801 | |
FANUC Corp. | | | 400 | | | | 71,708 | |
Fortive Corp | | | 1,261 | | | | 85,319 | |
GEA Group AG | | | 358 | | | | 11,362 | |
IDEX Corp. | | | 135 | | | | 21,335 | |
Illinois Tool Works, Inc. | | | 1,187 | | | | 207,547 | |
Ingersoll Rand, Inc.(a) | | | 985 | | | | 27,698 | |
KION Group AG | | | 415 | | | | 25,552 | |
Knorr-Bremse AG(a) | | | 77 | | | | 7,814 | |
Kone OYJ, Class B | | | 719 | | | | 49,589 | |
Middleby Corp. (The)(a) | | | 77 | | | | 6,078 | |
MISUMI Group, Inc. | | | 600 | | | | 15,065 | |
Nordson Corp | | | 65 | | | | 12,331 | |
Otis Worldwide Corp. | | | 1,158 | | | | 65,844 | |
PACCAR, Inc. | | | 110 | | | | 8,234 | |
Parker-Hannifin Corp | | | 432 | | | | 79,173 | |
Pentair plc | | | 1,121 | | | | 42,587 | |
Sandvik AB(a) | | | 5,345 | | | | 100,624 | |
Schindler Holding AG | | | 95 | | | | 22,483 | |
Schindler Holding AG (Registered) | | | 114 | | | | 27,026 | |
SMC Corp. | | | 100 | | | | 51,392 | |
Snap-on, Inc. | | | 187 | | | | 25,901 | |
Spirax-Sarco Engineering plc | | | 786 | | | | 96,764 | |
Stanley Black & Decker, Inc. | | | 614 | | | | 85,579 | |
Volvo AB, Class B(a) | | | 1,873 | | | | 29,471 | |
Xylem, Inc. | | | 360 | | | | 23,386 | |
| | | | | | | | |
| | | | | | | 1,698,938 | |
| | |
| Marine — 0.0% | | | | | | |
Kuehne + Nagel International AG (Registered)(a) | | | 19 | | | | 3,165 | |
| | | | | | | | |
| | |
| Media — 0.5% | | | | | | |
Altice USA, Inc., Class A(a) | | | 341 | | | | 7,686 | |
Charter Communications, Inc., Class A(a) | | | 361 | | | | 184,125 | |
Comcast Corp., Class A | | | 13,656 | | | | 532,311 | |
DISH Network Corp., Class A(a) | | | 1,542 | | | | 53,214 | |
Fox Corp., Class A | | | 536 | | | | 14,376 | |
Fox Corp., Class B | | | 360 | | | | 9,662 | |
Informa plc | | | 9,157 | | | | 52,943 | |
ITV plc | | | 8,780 | | | | 8,115 | |
Liberty Broadband Corp., Class C(a) | | | 116 | | | | 14,379 | |
Omnicom Group, Inc. | | | 288 | | | | 15,725 | |
Pearson plc | | | 4,110 | | | | 29,258 | |
Publicis Groupe SA | | | 243 | | | | 7,894 | |
Schibsted ASA, Class B(a) | | | 1,807 | | | | 42,683 | |
ViacomCBS, Inc. | | | 774 | | | | 18,050 | |
| | |
SCHEDULE OF INVESTMENTS | | 11 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Media (continued) | | | | | | |
WPP plc | | | 7,402 | | | $ | 57,708 | |
| | | | | | | | |
| | | | | | | 1,048,129 | |
| | |
| Metals & Mining — 0.5% | | | | | | |
Agnico Eagle Mines Ltd. | | | 85 | | | | 5,443 | |
Alumina Ltd. | | | 5,601 | | | | 6,384 | |
ArcelorMittal SA(a) | | | 1,492 | | | | 15,803 | |
Arconic Corp.(a) | | | 325 | | | | 4,527 | |
B2Gold Corp. | | | 1,912 | | | | 10,873 | |
Boliden AB | | | 1,230 | | | | 28,212 | |
Evolution Mining Ltd. | | | 8,583 | | | | 34,096 | |
First Quantum Minerals Ltd | | | 1,597 | | | | 12,728 | |
Fortescue Metals Group Ltd. | | | 8,630 | | | | 83,898 | |
Glencore plc(a) | | | 54,771 | | | | 116,673 | |
Kirkland Lake Gold Ltd | | | 544 | | | | 22,399 | |
Newcrest Mining Ltd. | | | 471 | | | | 10,444 | |
Nippon Steel Corp | | | 3,400 | | | | 32,128 | |
Norsk Hydro ASA(a) | | | 4,252 | | | | 11,863 | |
Northern Star Resources Ltd | | | 2,890 | | | | 27,256 | |
Nucor Corp. | | | 3,919 | | | | 162,286 | |
Rio Tinto Ltd. | | | 1,263 | | | | 86,482 | |
Rio Tinto plc | | | 4,426 | | | | 249,080 | |
Steel Dynamics, Inc | | | 3,105 | | | | 81,009 | |
Sumitomo Metal Mining Co. Ltd | | | 900 | | | | 25,353 | |
| | | | | | | | |
| | | | | | | 1,026,937 | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |
AGNC Investment Corp. | | | 1,802 | | | | 23,246 | |
Annaly Capital Management, Inc. | | | 5,762 | | | | 37,798 | |
| | | | | | | | |
| | | | | | | 61,044 | |
| | |
| Multiline Retail — 0.6% | | | | | | |
Canadian Tire Corp. Ltd., Class A | | | 252 | | | | 21,837 | |
Dollar General Corp. | | | 1,614 | | | | 307,483 | |
Dollar Tree, Inc.(a) | | | 1,798 | | | | 166,639 | |
Dollarama, Inc. | | | 273 | | | | 9,081 | |
Kohl’s Corp. | | | 274 | | | | 5,691 | |
Marks & Spencer Group plc | | | 4,593 | | | | 5,632 | |
Next plc | | | 1,200 | | | | 72,654 | |
Nordstrom, Inc. | | | 328 | | | | 5,081 | |
Pan Pacific International Holdings Corp. | | | 800 | | | | 17,613 | |
Target Corp. | | | 3,079 | | | | 369,264 | |
Wesfarmers Ltd. | | | 6,310 | | | | 196,192 | |
| | | | | | | | |
| | | | | | | 1,177,167 | |
| | |
| Multi-Utilities — 0.3% | | | | | | |
Consolidated Edison, Inc. | | | 1,144 | | | | 82,288 | |
E.ON SE | | | 7,982 | | | | 90,099 | |
Engie SA(a) | | | 6,932 | | | | 85,970 | |
National Grid plc | | | 14,248 | | | | 173,831 | |
Public Service Enterprise Group, Inc. | | | 2,682 | | | | 131,847 | |
Sempra Energy | | | 435 | | | | 50,995 | |
Suez SA | | | 2,156 | | | | 25,341 | |
| | | | | | | | |
| | | | | | | 640,371 | |
| | |
| Oil, Gas & Consumable Fuels — 1.4% | | | | | | |
Aker BP ASA | | | 347 | | | | 6,422 | |
BP plc | | | 56,044 | | | | 214,707 | |
Cabot Oil & Gas Corp. | | | 1,345 | | | | 23,107 | |
Cheniere Energy, Inc.(a) | | | 332 | | | | 16,042 | |
Chevron Corp | | | 6,822 | | | | 608,727 | |
Concho Resources, Inc. | | | 625 | | | | 32,188 | |
ConocoPhillips | | | 4,019 | | | | 168,878 | |
Diamondback Energy, Inc | | | 351 | | | | 14,679 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
Eni SpA | | | 6,906 | | | $ | 66,201 | |
EOG Resources, Inc. | | | 2,173 | | | | 110,084 | |
Equinor ASA | | | 8,102 | | | | 116,715 | |
Exxon Mobil Corp. | | | 15,960 | | | | 713,731 | |
Hess Corp. | | | 791 | | | | 40,982 | |
HollyFrontier Corp | | | 230 | | | | 6,716 | |
Kinder Morgan, Inc. | | | 6,515 | | | | 98,833 | |
Marathon Petroleum Corp. | | | 1,932 | | | | 72,218 | |
Neste OYJ | | | 168 | | | | 6,598 | |
Occidental Petroleum Corp | | | 3,137 | | | | 57,407 | |
OMV AG(a) | | | 258 | | | | 8,706 | |
ONEOK, Inc | | | 1,285 | | | | 42,688 | |
Phillips 66 | | | 1,463 | | | | 105,190 | |
Pioneer Natural Resources Co. | | | 496 | | | | 48,459 | |
Repsol SA | | | 939 | | | | 8,297 | |
TOTAL SA | | | 6,091 | | | | 234,859 | |
Valero Energy Corp. | | | 1,338 | | | | 78,701 | |
Williams Cos., Inc. (The) | | | 3,530 | | | | 67,141 | |
Woodside Petroleum Ltd. | | | 1,504 | | | | 22,729 | |
| | | | | | | | |
| | | | | | | 2,991,005 | |
| | |
| Paper & Forest Products — 0.0% | | | | | | |
Mondi plc | | | 1,652 | | | | 30,901 | |
Oji Holdings Corp. | | | 1,500 | | | | 6,998 | |
Svenska Cellulosa AB SCA, Class B(a) | | | 1,433 | | | | 17,140 | |
| | | | | | | | |
| | | | | | | 55,039 | |
| | |
| Personal Products — 0.6% | | | | | | |
Beiersdorf AG | | | 832 | | | | 94,610 | |
Estee Lauder Cos., Inc. (The), Class A | | | 825 | | | | 155,661 | |
Kao Corp | | | 1,700 | | | | 134,908 | |
Kobayashi Pharmaceutical Co. Ltd | | | 100 | | | | 8,792 | |
Kose Corp. | | | 100 | | | | 12,105 | |
L’Oreal SA | | | 729 | | | | 235,282 | |
Pola Orbis Holdings, Inc | | | 800 | | | | 13,967 | |
Shiseido Co. Ltd. | | | 1,000 | | | | 63,721 | |
Unilever NV | | | 4,387 | | | �� | 233,905 | |
Unilever plc | | | 3,843 | | | | 207,296 | |
| | | | | | | | |
| | | | | | | 1,160,247 | |
| | |
| Pharmaceuticals — 3.3% | | | | | | |
Astellas Pharma, Inc. | | | 5,500 | | | | 91,848 | |
AstraZeneca plc | | | 3,532 | | | | 367,591 | |
Aurora Cannabis, Inc.(a) | | | 105 | | | | 1,299 | |
Bristol-Myers Squibb Co | | | 8,050 | | | | 473,340 | |
Catalent, Inc.(a) | | | 478 | | | | 35,037 | |
Chugai Pharmaceutical Co. Ltd. | | | 1,800 | | | | 96,372 | |
Daiichi Sankyo Co. Ltd | | | 1,500 | | | | 122,687 | |
Eisai Co. Ltd. | | | 700 | | | | 55,614 | |
Elanco Animal Health, Inc.(a) | | | 1,691 | | | | 36,272 | |
Eli Lilly & Co. | | | 3,020 | | | | 495,824 | |
GlaxoSmithKline plc | | | 15,831 | | | | 319,781 | |
Hikma Pharmaceuticals plc | | | 274 | | | | 7,519 | |
Jazz Pharmaceuticals plc(a) | | | 227 | | | | 25,047 | |
Johnson & Johnson | | | 9,399 | | | | 1,321,781 | |
Kyowa Kirin Co. Ltd | | | 1,100 | | | | 28,957 | |
Merck & Co., Inc. | | | 9,340 | | | | 722,262 | |
Merck KGaA | | | 490 | | | | 57,059 | |
Mylan NV(a) | | | 1,870 | | | | 30,070 | |
Novo Nordisk A/S, Class B | | | 3,816 | | | | 248,604 | |
Ono Pharmaceutical Co. Ltd. | | | 1,100 | | | | 32,105 | |
Otsuka Holdings Co. Ltd. | | | 1,400 | | | | 61,015 | |
Perrigo Co. plc | | | 487 | | | | 26,916 | |
Pfizer, Inc. | | | 20,188 | | | | 660,148 | |
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Pharmaceuticals (continued) | | | | | | |
Recordati SpA | | | 337 | | | $ | 16,863 | |
Roche Holding AG | | | 1,847 | | | | 639,892 | |
Sanofi | | | 2,990 | | | | 304,934 | |
Santen Pharmaceutical Co. Ltd. | | | 600 | | | | 11,046 | |
Shionogi & Co. Ltd. | | | 900 | | | | 56,460 | |
Sumitomo Dainippon Pharma Co. Ltd | | | 200 | | | | 2,772 | |
Taisho Pharmaceutical Holdings Co. Ltd. | | | 200 | | | | 12,273 | |
Takeda Pharmaceutical Co. Ltd. | | | 4,100 | | | | 147,305 | |
Teva Pharmaceutical Industries Ltd., ADR(a) | | | 4,398 | | | | 54,227 | |
UCB SA | | | 226 | | | | 26,227 | |
Vifor Pharma AG | | | 23 | | | | 3,480 | |
Zoetis, Inc. | | | 1,751 | | | | 239,957 | |
| | | | | | | | |
| | | | | | | 6,832,584 | |
| | |
| Professional Services — 0.3% | | | | | | |
CoStar Group, Inc.(a) | | | 113 | | | | 80,306 | |
Equifax, Inc. | | | 91 | | | | 15,641 | |
IHS Markit Ltd. | | | 689 | | | | 52,020 | |
Nihon M&A Center, Inc | | | 200 | | | | 9,096 | |
Recruit Holdings Co. Ltd. | | | 2,500 | | | | 85,975 | |
RELX plc | | | 1,814 | | | | 41,986 | |
SGS SA (Registered) | | | 4 | | | | 9,799 | |
Teleperformance(a) | | | 401 | | | | 102,127 | |
TransUnion | | | 586 | | | | 51,005 | |
Verisk Analytics, Inc | | | 430 | | | | 73,186 | |
| | | | | | | | |
| | | | | | | 521,141 | |
| | |
| Real Estate Management & Development — 0.2% | | | | | | |
Aroundtown SA(a) | | | 1,156 | | | | 6,626 | |
Azrieli Group Ltd | | | 1,115 | | | | 50,818 | |
CapitaLand Ltd.(a) | | | 22,800 | | | | 48,168 | |
CBRE Group, Inc., Class A(a) | | | 1,205 | | | | 54,490 | |
City Developments Ltd | | | 4,900 | | | | 29,944 | |
Daiwa House Industry Co. Ltd. | | | 1,300 | | | | 30,699 | |
Deutsche Wohnen SE | | | 347 | | | | 15,593 | |
Jones Lang LaSalle, Inc. | | | 138 | | | | 14,278 | |
Lendlease Group(c) | | | 1,952 | | | | 16,872 | |
Mitsubishi Estate Co. Ltd. | | | 2,200 | | | | 32,784 | |
Mitsui Fudosan Co. Ltd. | | | 1,800 | | | | 31,977 | |
Sumitomo Realty & Development Co. Ltd. | | | 300 | | | | 8,281 | |
UOL Group Ltd. | | | 2,300 | | | | 11,308 | |
Vonovia SE | | | 1,043 | | | | 63,751 | |
| | | | | | | | |
| | | | | | | 415,589 | |
| | |
| Road & Rail — 1.1% | | | | | | |
AMERCO | | | 164 | | | | 49,559 | |
Aurizon Holdings Ltd. | | | 22,392 | | | | 76,197 | |
Canadian National Railway Co. | | | 583 | | | | 51,579 | |
Canadian Pacific Railway Ltd. | | | 112 | | | | 28,489 | |
Central Japan Railway Co. | | | 600 | | | | 92,795 | |
CSX Corp. | | | 4,839 | | | | 337,472 | |
East Japan Railway Co. | | | 1,500 | | | | 103,943 | |
Hankyu Hanshin Holdings, Inc | | | 1,200 | | | | 40,534 | |
JB Hunt Transport Services, Inc. | | | 807 | | | | 97,114 | |
Kansas City Southern | | | 171 | | | | 25,529 | |
Keio Corp. | | | 200 | | | | 11,446 | |
Keisei Electric Railway Co. Ltd. | | | 900 | | | | 28,206 | |
Kintetsu Group Holdings Co. Ltd. | | | 300 | | | | 13,461 | |
Knight-Swift Transportation Holdings, Inc. | | | 1,315 | | | | 54,849 | |
Kyushu Railway Co. | | | 600 | | | | 15,590 | |
MTR Corp. Ltd. | | | 3,000 | | | | 15,602 | |
Nagoya Railroad Co. Ltd. | | | 500 | | | | 14,093 | |
Norfolk Southern Corp. | | | 1,494 | | | | 262,302 | |
Odakyu Electric Railway Co. Ltd. | | | 800 | | | | 19,646 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Road & Rail (continued) | | | | | | |
Old Dominion Freight Line, Inc. | | | 768 | | | $ | 130,245 | |
Seibu Holdings, Inc. | | | 800 | | | | 8,714 | |
Tobu Railway Co. Ltd | | | 300 | | | | 9,912 | |
Tokyu Corp. | | | 2,900 | | | | 40,827 | |
Uber Technologies, Inc.(a) | | | 5,753 | | | | 178,803 | |
Union Pacific Corp. | | | 3,684 | | | | 622,854 | |
West Japan Railway Co. | | | 800 | | | | 44,871 | |
| | | | | | | | |
| | | | | | | 2,374,632 | |
|
| Semiconductors & Semiconductor Equipment — 1.9% | |
Advanced Micro Devices, Inc.(a) | | | 2,628 | | | | 138,259 | |
Advantest Corp | | | 600 | | | | 34,242 | |
Analog Devices, Inc | | | 855 | | | | 104,857 | |
Applied Materials, Inc. | | | 1,004 | | | | 60,692 | |
ASML Holding NV | | | 834 | | | | 305,088 | |
Broadcom, Inc. | | | 1,410 | | | | 445,010 | |
Infineon Technologies AG | | | 3,065 | | | | 71,820 | |
Intel Corp. | | | 13,257 | | | | 793,166 | |
KLA Corp | | | 29 | | | | 5,640 | |
Lam Research Corp. | | | 51 | | | | 16,497 | |
Marvell Technology Group Ltd. | | | 1,844 | | | | 64,651 | |
Maxim Integrated Products, Inc. | | | 146 | | | | 8,849 | |
Micron Technology, Inc.(a) | | | 3,353 | | | | 172,747 | |
NVIDIA Corp. | | | 1,660 | | | | 630,651 | |
NXP Semiconductors NV | | | 710 | | | | 80,968 | |
ON Semiconductor Corp.(a) | | | 960 | | | | 19,027 | |
Qorvo, Inc.(a) | | | 412 | | | | 45,538 | |
QUALCOMM, Inc. | | | 3,234 | | | | 294,973 | |
Renesas Electronics Corp.(a) | | | 3,000 | | | | 15,421 | |
Rohm Co. Ltd | | | 500 | | | | 33,246 | |
Skyworks Solutions, Inc. | | | 508 | | | | 64,953 | |
STMicroelectronics NV | | | 1,575 | | | | 42,932 | |
Texas Instruments, Inc. | | | 2,761 | | | | 350,564 | |
Tokyo Electron Ltd. | | | 200 | | | | 49,349 | |
Xilinx, Inc | | | 439 | | | | 43,193 | |
| | | | | | | | |
| | | | | | | 3,892,333 | |
| | |
| Software — 4.8% | | | | | | |
Adobe, Inc.(a) | | | 1,702 | | | | 740,898 | |
ANSYS, Inc.(a) | | | 212 | | | | 61,847 | |
Autodesk, Inc.(a) | | | 737 | | | | 176,283 | |
Avalara, Inc.(a) | | | 181 | | | | 24,089 | |
AVEVA Group plc | | | 629 | | | | 31,892 | |
Cadence Design Systems, Inc.(a) | | | 913 | | | | 87,611 | |
CDK Global, Inc. | | | 777 | | | | 32,183 | |
Check Point Software Technologies Ltd.(a) | | | 869 | | | | 93,357 | |
Citrix Systems, Inc. | | | 331 | | | | 48,958 | |
Coupa Software, Inc.(a) | | | 190 | | | | 52,638 | |
Crowdstrike Holdings, Inc., Class A(a) | | | 311 | | | | 31,190 | |
CyberArk Software Ltd.(a) | | | 199 | | | | 19,755 | |
Dassault Systemes SE | | | 70 | | | | 12,152 | |
Datadog, Inc., Class A(a) | | | 270 | | | | 23,477 | |
DocuSign, Inc.(a) | | | 584 | | | | 100,571 | |
Dropbox, Inc., Class A(a) | | | 398 | | | | 8,664 | |
Dynatrace, Inc.(a) | | | 264 | | | | 10,718 | |
Fair Isaac Corp.(a) | | | 120 | | | | 50,165 | |
Fortinet, Inc.(a) | | | 513 | | | | 70,420 | |
Guidewire Software, Inc.(a) | | | 391 | | | | 43,342 | |
Intuit, Inc. | | | 1,199 | | | | 355,132 | |
Microsoft Corp. | | | 24,683 | | | | 5,023,237 | |
Nice Ltd.(a) | | | 421 | | | | 79,359 | |
Oracle Corp. | | | 8,288 | | | | 458,078 | |
Oracle Corp. Japan | | | 500 | | | | 59,306 | |
Palo Alto Networks, Inc.(a) | | | 303 | | | | 69,590 | |
Paycom Software, Inc.(a) | | | 227 | | | | 70,309 | |
| | |
SCHEDULE OF INVESTMENTS | | 13 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Software (continued) | | | | | | |
PTC, Inc.(a) | | | 360 | | | $ | 28,004 | |
RingCentral, Inc., Class A(a) | | | 269 | | | | 76,668 | |
Sage Group plc (The) | | | 4,364 | | | | 36,225 | |
salesforce.com, Inc.(a) | | | 3,159 | | | | 591,775 | |
SAP SE | | | 2,670 | | | | 373,238 | |
ServiceNow, Inc.(a) | | | 678 | | | | 274,631 | |
Slack Technologies, Inc., Class A(a) | | | 970 | | | | 30,157 | |
Splunk, Inc.(a) | | | 601 | | | | 119,419 | |
SS&C Technologies Holdings, Inc. | | | 1,041 | | | | 58,796 | |
Synopsys, Inc.(a) | | | 306 | | | | 59,670 | |
Temenos AG (Registered) | | | 227 | | | | 35,281 | |
Trade Desk, Inc. (The), Class A(a) | | | 164 | | | | 66,666 | |
Tyler Technologies, Inc.(a) | | | 233 | | | | 80,823 | |
VMware, Inc., Class A(a) | | | 366 | | | | 56,679 | |
Workday, Inc., Class A(a) | | | 706 | | | | 132,276 | |
Zoom Video Communications, Inc.,
Class A(a) . | | | 346 | | | | 87,725 | |
| | | | | | | | |
| | | | | | | 9,943,254 | |
| | |
| Specialty Retail — 1.5% | | | | | | |
Advance Auto Parts, Inc. | | | 51 | | | | 7,265 | |
AutoZone, Inc.(a) | | | 49 | | | | 55,278 | |
Best Buy Co., Inc. | | | 430 | | | | 37,526 | |
Burlington Stores, Inc.(a) | | | 1,035 | | | | 203,822 | |
CarMax, Inc.(a) | | | 263 | | | | 23,552 | |
Fast Retailing Co. Ltd. | | | 100 | | | | 57,477 | |
Gap, Inc. (The) | | | 533 | | | | 6,726 | |
Hennes & Mauritz AB, Class B | | | 3,721 | | | | 54,313 | |
Hikari Tsushin, Inc | | | 100 | | | | 22,865 | |
Home Depot, Inc. (The) | | | 3,472 | | | | 869,771 | |
Industria de Diseno Textil SA | | | 3,562 | | | | 94,512 | |
JD Sports Fashion plc | | | 2,619 | | | | 20,158 | |
Kingfisher plc | | | 2,280 | | | | 6,273 | |
Lowe’s Cos., Inc. | | | 2,254 | | | | 304,560 | |
Nitori Holdings Co. Ltd. | | | 200 | | | | 39,214 | |
O’Reilly Automotive, Inc.(a) | | | 154 | | | | 64,937 | |
Ross Stores, Inc. | | | 4,216 | | | | 359,372 | |
Tiffany & Co. | | | 695 | | | | 84,748 | |
TJX Cos., Inc. (The) | | | 11,285 | | | | 570,570 | |
Tractor Supply Co. | | | 910 | | | | 119,929 | |
Ulta Beauty, Inc.(a) | | | 502 | | | | 102,117 | |
USS Co. Ltd | | | 600 | | | | 9,618 | |
| | | | | | | | |
| | | | | | | 3,114,603 | |
|
| Technology Hardware, Storage & Peripherals — 2.8% | |
Apple, Inc. | | | 14,964 | | | | 5,458,868 | |
Canon, Inc | | | 2,300 | | | | 45,880 | |
Dell Technologies, Inc., Class C(a) | | | 736 | | | | 40,436 | |
FUJIFILM Holdings Corp. | | | 800 | | | | 34,241 | |
Hewlett Packard Enterprise Co. | | | 5,489 | | | | 53,408 | |
HP, Inc. | | | 5,407 | | | | 94,244 | |
NetApp, Inc. | | | 508 | | | | 22,540 | |
Seagate Technology plc | | | 1,689 | | | | 81,765 | |
Western Digital Corp. | | | 387 | | | | 17,086 | |
Xerox Holdings Corp. | | | 355 | | | | 5,428 | |
| | | | | | | | |
| | | | | | | 5,853,896 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.6% | | | | | | |
adidas AG(a) | | | 354 | | | | 93,333 | |
Burberry Group plc | | | 1,274 | | | | 25,175 | |
Capri Holdings Ltd.(a) | | | 356 | | | | 5,564 | |
EssilorLuxottica SA(a) | | | 541 | | | | 69,577 | |
Hanesbrands, Inc. | | | 262 | | | | 2,958 | |
Hermes International | | | 84 | | | | 70,527 | |
Kering SA | | | 209 | | | | 114,264 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| |
| Textiles, Apparel & Luxury Goods (continued) | | | | |
Lululemon Athletica, Inc.(a) | | | 316 | | | $ | 98,595 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 715 | | | | 315,669 | |
Moncler SpA(a) | | | 177 | | | | 6,806 | |
NIKE, Inc., Class B | | | 3,773 | | | | 369,943 | |
PVH Corp. | | | 116 | | | | 5,574 | |
VF Corp. | | | 647 | | | | 39,428 | |
| | | | | | | | |
| | | | | | | 1,217,413 | |
| |
| Trading Companies & Distributors — 0.3% | | | | |
Fastenal Co. | | | 2,380 | | | | 101,959 | |
HD Supply Holdings, Inc.(a) | | | 1,304 | | | | 45,184 | |
ITOCHU Corp. | | | 6,900 | | | | 149,301 | |
Mitsubishi Corp | | | 4,200 | | | | 88,753 | |
Mitsui & Co. Ltd. | | | 4,100 | | | | 60,748 | |
MonotaRO Co. Ltd. | | | 300 | | | | 12,054 | |
United Rentals, Inc.(a) | | | 286 | | | | 42,625 | |
WW Grainger, Inc. | | | 167 | | | | 52,465 | |
| | | | | | | | |
| | | | | | | 553,089 | |
| | |
| Transportation Infrastructure — 0.2% | | | | | | |
Aena SME SA(a)(b) | | | 548 | | | | 73,291 | |
Aeroports de Paris | | | 485 | | | | 50,072 | |
Atlantia SpA(a) | | | 1,450 | | | | 23,454 | |
Auckland International Airport Ltd. | | | 17,642 | | | | 75,027 | |
Fraport AG Frankfurt Airport Services
Worldwide(a) | | | 431 | | | | 18,880 | |
Kamigumi Co. Ltd. | | | 1,200 | | | | 23,600 | |
SATS Ltd | | | 2,800 | | | | 5,804 | |
Sydney Airport(c) | | | 11,099 | | | | 43,803 | |
Transurban Group(c) | | | 9,508 | | | | 93,242 | |
| | | | | | | | |
| | | | | | | 407,173 | |
| | |
| Water Utilities — 0.1% | | | | | | |
American Water Works Co., Inc | | | 940 | | | | 120,940 | |
Essential Utilities, Inc | | | 1,600 | | | | 67,584 | |
Severn Trent plc | | | 975 | | | | 29,839 | |
United Utilities Group plc | | | 2,749 | | | | 30,890 | |
| | | | | | | | |
| | | | | | | 249,253 | |
| |
| Wireless Telecommunication Services — 0.7% | | | | |
KDDI Corp | | | 4,400 | | | | 131,283 | |
Millicom International Cellular SA, SDR | | | 230 | | | | 6,055 | |
NTT DOCOMO, Inc. | | | 4,100 | | | | 108,847 | |
Softbank Corp. | | | 5,100 | | | | 65,006 | |
SoftBank Group Corp. | | | 3,700 | | | | 186,582 | |
Tele2 AB, Class B | | | 2,631 | | | | 35,023 | |
T-Mobile US, Inc.(a) | | | 7,940 | | | | 826,951 | |
TPG Telecom Ltd.(a) | | | 3,331 | | | | 20,459 | |
Tuas Ltd.(a) | | | 1,666 | | | | 776 | |
Vodafone Group plc | | | 90,521 | | | | 143,907 | |
| | | | | | | | |
| | | | | | | 1,524,889 | |
| | | | | | | | |
| | |
Total Common Stocks — 59.2% (Cost: $110,596,279) | | | | | | | 123,627,582 | |
| | | | | | | | |
| | |
| | | Par
(000) | | | | |
| | |
Corporate Bonds — 0.0% | | | | | | | | |
| |
| Diversified Telecommunication Services — 0.0% | | | | |
AT&T, Inc., 7.13%, 12/15/31 | | | USD 25 | | | | 32,014 | |
| | | | | | | | |
| | |
Total Corporate Bonds — 0.0%
(Cost: $29,837) | | | | | | | 32,014 | |
| | | | | | | | |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Beneficial Interest
(000) | | | Value | |
| | |
Other Interests — 0.0%(d) | | | | | | | | |
| | |
Capital Markets — 0.0% | | | | | | | | |
Lehman Brothers Holdings, Inc.(a)(e)(f) | | | USD 25 | | | $ | — | |
| | | | | | | | |
| | |
Total Other Interests — 0.0% | | | | | | | — | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Preferred Stocks — 0.1% | | | | | | | | |
| | |
Chemicals — 0.1% | | | | | | | | |
Fuchs Petrolub SE (Preference) | | | 1,810 | | | | 72,751 | |
| | | | | | | | |
| |
| Health Care Equipment & Supplies — 0.0% | | | | |
Sartorius AG (Preference) | | | 70 | | | | 23,103 | |
| | | | | | | | |
| | |
| Household Products — 0.0% | | | | | | |
Henkel AG & Co. KGaA (Preference) | | | 756 | | | | 70,530 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 0.1%
(Cost: $143,691) | | | | | | | 166,384 | |
| | | | | | | | |
| | |
Rights — 0.0%(a) | | | | | | | | |
| | |
| Construction & Engineering — 0.0% | | | | | | |
ACS Actividades de Construccion y Servicios SA | | | 389 | | | | 607 | |
| | | | | | | | |
| |
| Diversified Telecommunication Services — 0.0% | | | | |
Telefonica SA | | | 9,104 | | | | 1,791 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 0.0% | | | | | | |
Bristol-Myers Squibb Co | | | 2,935 | | | | 10,507 | |
| | | | | | | | |
| | | | | | | | |
Security | | Shares | | | Value | |
|
| Wireless Telecommunication Services — 0.0% | |
T-Mobile US, Inc. | | | 7,940 | | | $ | 1,334 | |
| | | | | | | | |
| | |
Total Rights — 0.0%
(Cost: $11,361) | | | | | | | 14,239 | |
| | | | | | | | |
| | |
| | | Par
(000) | | | | |
| | |
| U.S. Treasury Obligations — 12.7% | | | | | | |
U.S. Treasury Notes: | | | | | | | | |
2.75%, 08/15/21 | | | 12,000 | | | | 12,344,531 | |
1.13%, 08/31/21 | | | 14,000 | | | | 14,153,125 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations — 12.7% (Cost: $26,456,504) | | | | | | | 26,497,656 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 72.0% (Cost: $137,237,672) | | | | | | | 150,337,875 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
| Short-Term Securities — 5.5% | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(g)* | | | 11,529,281 | | | | 11,529,281 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 5.5% (Cost: $11,529,281) | | | | | | | 11,529,281 | |
| | | | | | | | |
| | |
Total Investments — 77.5% (Cost: $148,766,953) | | | | | | | 161,867,156 | |
| | |
Other Assets Less Liabilities — 22.5% | | | | | | | 46,907,566 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 208,774,722 | |
| | | | | | | | |
| (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) | A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (d) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. (e) Issuer filed for bankruptcy and/or is in default. |
| (f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. (g) Annualized 7-day yield as of period end. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Shares
Held at
12/31/19 | | | Shares
Purchased | | | Shares
Sold | | | Shares
Held at
06/30/20 | | | Value at
06/30/20 | | | Income | | | Net
Realized
Gain (Loss) (a) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 12,000,414 | | | | — | | | | (471,133 | ) | | | 11,529,281 | | | $ | 11,529,281 | | | $ | 35,741 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b)(c) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 54 | (d) | | | 52 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 11,529,281 | | | $ | 35,795 | | | $ | 52 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes net capital gain distributions, if applicable. | |
| | (b) | Represents net shares purchased (sold). | |
| | (c) | As of period end, the entity is no longer held by the Fund. | |
| | (d) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
SCHEDULE OF INVESTMENTS | | 15 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
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 | | | | | | | | | | | | | | | | |
AEX Index | | | 89 | | | | 07/17/20 | | | $ | 11,190 | | | $ | 224,032 | |
CAC 40 10 Euro Index | | | 575 | | | | 07/17/20 | | | | 31,742 | | | | 928,339 | |
IBEX 35 Index | | | 89 | | | | 07/17/20 | | | | 7,209 | | | | 45,577 | |
Hang Seng China Enterprises Index | | | 113 | | | | 07/30/20 | | | | 7,033 | | | | (63,863 | ) |
Hang Seng Index | | | 37 | | | | 07/30/20 | | | | 5,788 | | | | (55,278 | ) |
Euro-BTP | | | 41 | | | | 09/08/20 | | | | 6,628 | | | | 107,445 | |
Australia 10 Year Bond | | | 418 | | | | 09/15/20 | | | | 42,920 | | | | 72,342 | |
SPI 200 Index | | | 194 | | | | 09/17/20 | | | | 19,720 | | | | 254,988 | |
EURO STOXX 50 Index | | | 39 | | | | 09/18/20 | | | | 1,412 | | | | 58,081 | |
WIG20 Index | | | 202 | | | | 09/18/20 | | | | 1,791 | | | | 11,933 | |
U.S. Treasury Ultra Bond | | | 84 | | | | 09/21/20 | | | | 18,325 | | | | 27,326 | |
Long Gilt | | | 421 | | | | 09/28/20 | | | | 71,801 | | | | 284,962 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,895,884 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
OMXS30 Index | | | 342 | | | | 07/17/20 | | | | 6,116 | | | | (258,003 | ) |
MSCI Singapore Index | | | 369 | | | | 07/29/20 | | | | 7,834 | | | | 46,434 | |
SGX NIFTY 50 Index | | | 4 | | | | 07/30/20 | | | | 82 | | | | 66 | |
Euro-Bund | | | 663 | | | | 09/08/20 | | | | 131,486 | | | | (1,719,171 | ) |
Euro-Buxl | | | 40 | | | | 09/08/20 | | | | 9,885 | | | | (442,700 | ) |
TOPIX Index | | | 31 | | | | 09/10/20 | | | | 4,475 | | | | 34,802 | |
FTSE/JSE Top 40 Index | | | 23 | | | | 09/17/20 | | | | 667 | | | | (28,037 | ) |
S&P/TSX 60 Index | | | 50 | | | | 09/17/20 | | | | 6,839 | | | | (194,499 | ) |
DAX Index | | | 92 | | | | 09/18/20 | | | | 31,850 | | | | (1,023,223 | ) |
FTSE 100 Index | | | 32 | | | | 09/18/20 | | | | 2,438 | | | | (57,857 | ) |
FTSE/MIB Index | | | 39 | | | | 09/18/20 | | | | 4,226 | | | | (47,631 | ) |
MSCI EAFE E-Mini Index | | | 354 | | | | 09/18/20 | | | | 31,478 | | | | (768,772 | ) |
S&P 500 E-Mini Index | | | 613 | | | | 09/18/20 | | �� | | 94,715 | | | | (2,744,211 | ) |
Canada 10 Year Bond | | | 116 | | | | 09/21/20 | | | | 13,143 | | | | (9,601 | ) |
U.S. Treasury 10 Year Note | | | 207 | | | | 09/21/20 | | | | 28,809 | | | | (79,214 | ) |
SET50 Index | | | 215 | | | | 09/29/20 | | | | 1,220 | | | | (3,289 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (7,294,906 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (5,399,022 | ) |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
| CHF | | | 532,707 | | | USD | | | 559,997 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | $ | 3,555 | |
| USD | | | 220,479 | | | AUD | | | 318,851 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | 382 | |
| USD | | | 724,588 | | | GBP | | | 579,988 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | 5,599 | |
| USD | | | 387,595 | | | JPY | | | 41,666,000 | | | JPMorgan Chase Bank NA | | | 09/16/20 | | | | 1,307 | |
| USD | | | 2,511,122 | | | MXN | | | 56,400,000 | | | Goldman Sachs International | | | 09/17/20 | | | | 82,583 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 93,426 | |
| | | | | | | | | | | | | | | | | | | | |
| AUD | | | 6,308,746 | | | USD | | | 4,373,073 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | (18,267 | ) |
| CAD | | | 5,781,484 | | | USD | | | 4,292,524 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | (33,252 | ) |
| CLP | | | 1,108,537,000 | | | USD | | | 1,412,707 | | | HSBC Bank plc | | | 09/16/20 | | | | (61,558 | ) |
| EUR | | | 973,253 | | | USD | | | 1,096,409 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | (1,080 | ) |
| EUR | | | 16,082,601 | | | USD | | | 18,331,833 | | | UBS AG | | | 09/16/20 | | | | (231,980 | ) |
| JPY | | | 511,491,435 | | | USD | | | 4,786,330 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | (44,256 | ) |
| USD | | | 622,256 | | | AUD | | | 916,487 | | | HSBC Bank plc | | | 09/16/20 | | | | (10,377 | ) |
| USD | | | 597,506 | | | CAD | | | 817,161 | | | HSBC Bank plc | | | 09/16/20 | | | | (4,504 | ) |
| USD | | | 862,633 | | | NOK | | | 8,416,425 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | (12,030 | ) |
| USD | | | 492,061 | | | NZD | | | 768,359 | | | HSBC Bank plc | | | 09/16/20 | | | | (3,725 | ) |
| USD | | | 823,864 | | | SEK | | | 7,729,732 | | | Citibank NA | | | 09/16/20 | | | | (6,456 | ) |
| USD | | | 409,016 | | | SGD | | | 570,853 | | | HSBC Bank plc | | | 09/16/20 | | | | (700 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (428,185 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | Effective
Date | | | Termination
Date | | | | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency | | Notional
Amount (000) | |
| 6 month GBP LIBOR | | Semi-Annual | | 0.27% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | GBP | | | 7,000 | | | $ | 12,824 | | | $ | 3,473 | | | $ | 9,351 | |
| 6 month BBR | | Semi-Annual | | 0.45% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 13,000 | | | | (3,876 | ) | | | — | | | | (3,876 | ) |
| 6 month BBR | | Semi-Annual | | 0.46% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 13,000 | | | | (1,426 | ) | | | — | | | | (1,426 | ) |
| 6 month BBR | | Semi-Annual | | 0.47% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 9,000 | | | | 4,410 | | | | — | | | | 4,410 | |
| 6 month BBR | | Semi-Annual | | 0.48% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 21,000 | | | | 12,808 | | | | — | | | | 12,808 | |
| 6 month BBR | | Semi-Annual | | 0.48% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 9,000 | | | | 7,802 | | | | — | | | | 7,802 | |
| 6 month BBR | | Semi-Annual | | 0.49% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 21,000 | | | | 19,284 | | | | — | | | | 19,284 | |
| 6 month BBR | | Semi-Annual | | 0.53% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 3,000 | | | | 7,381 | | | | — | | | | 7,381 | |
| 6 month WIBOR | | Semi-Annual | | 0.53% | | Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | PLN | | | 21,000 | | | | (7,820 | ) | | | — | | | | (7,820 | ) |
| 6 month SOR | | Semi-Annual | | 0.59% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | SGD | | | 2,500 | | | | 3,765 | | | | — | | | | 3,765 | |
| 6 month SOR | | Semi-Annual | | 0.60% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | SGD | | | 1,250 | | | | 2,444 | | | | — | | | | 2,444 | |
| 6 month SOR | | Semi-Annual | | 0.60% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | SGD | | | 1,250 | | | | 2,107 | | | | — | | | | 2,107 | |
| 6 month SOR | | Semi-Annual | | 0.70% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | SGD | | | 1,800 | | | | 9,829 | | | | — | | | | 9,829 | |
| 6 month SOR | | Semi-Annual | | 0.71% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | SGD | | | 4,200 | | | | 24,747 | | | | — | | | | 24,747 | |
| 6 month BBR | | Semi-Annual | | 0.72% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | AUD | | | 60,985 | | | | 552,291 | | | | — | | | | 552,291 | |
| 3 month BA | | Semi-Annual | | 0.96% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | CAD | | | 2,000 | | | | 12,620 | | | | — | | | | 12,620 | |
| 3 month BA | | Semi-Annual | | 1.06% | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | CAD | | | 18,000 | | | | 179,425 | | | | (2,709 | ) | | | 182,134 | |
| 0.39% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | USD | | | 4,000 | | | | (10,405 | ) | | | 588 | | | | (10,993 | ) |
| 0.41% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | USD | | | 9,000 | | | | (32,070 | ) | | | 4,249 | | | | (36,319 | ) |
| 0.32% | | Annual | | 3 month STIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | SEK | | | 110,000 | | | | (147,997 | ) | | | 5,863 | | | | (153,860 | ) |
| 0.15% | | Annual | | 3 month STIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | SEK | | | 125,000 | | | | (49,989 | ) | | | 2,758 | | | | (52,747 | ) |
| 0.13% | | Annual | | 3 month STIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | SEK | | | 119,000 | | | | (36,488 | ) | | | 883 | | | | (37,371 | ) |
| 0.15% | | Annual | | 3 month STIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | SEK | | | 155,000 | | | | (59,104 | ) | | | 1,005 | | | | (60,109 | ) |
| 0.17% | | Annual | | 3 month STIBOR | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | SEK | | | 81,000 | | | | (42,188 | ) | | | 858 | | | | (43,046 | ) |
| (0.32)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 3,000 | | | | (4,007 | ) | | | (45 | ) | | | (3,962 | ) |
| (0.28)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 27,000 | | | | (98,126 | ) | | | 4,608 | | | | (102,734 | ) |
| (0.30)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 11,000 | | | | (29,985 | ) | | | 981 | | | | (30,966 | ) |
| (0.39)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 18,000 | | | | 43,490 | | | | 3,188 | | | | 40,302 | |
| (0.22)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 12,000 | | | | (87,237 | ) | | | 15,766 | | | | (103,003 | ) |
| (0.27)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 28,000 | | | | (125,468 | ) | | | (5,699 | ) | | | (119,769 | ) |
| (0.15)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 16,000 | | | | (176,620 | ) | | | (10,424 | ) | | | (166,196 | ) |
| (0.14)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 11,000 | | | | (133,682 | ) | | | (3,034 | ) | | | (130,648 | ) |
| (0.17)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 20,000 | | | | (198,014 | ) | | | 8,523 | | | | (206,537 | ) |
| (0.31)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 13,000 | | | | (29,725 | ) | | | (4,517 | ) | | | (25,208 | ) |
| (0.31)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 4,000 | | | | (9,761 | ) | | | (972 | ) | | | (8,789 | ) |
| (0.21)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 13,000 | | | | (104,154 | ) | | | 4,835 | | | | (108,989 | ) |
| | |
SCHEDULE OF INVESTMENTS | | 17 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
Centrally Cleared Interest Rate Swaps (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 |
| (0.22)% | | Annual | | 6 month EURIBOR | | Semi-Annual | | | 09/16/20 | (a) | | | 09/16/25 | | | EUR | | | 12,000 | | | $ | (85,420 | ) | | $ | (1,749 | ) | | $ | (83,671 | ) |
| 3 month JIBAR | | Quarterly | | 6.77% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 36,625 | | | | 138,471 | | | | — | | | | 138,471 | |
| 3 month JIBAR | | Quarterly | | 7.20% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 92,000 | | | | 449,767 | | | | — | | | | 449,767 | |
| 3 month JIBAR | | Quarterly | | 7.50% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 177,000 | | | | 1,002,139 | | | | — | | | | 1,002,139 | |
| 3 month JIBAR | | Quarterly | | 7.98% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 63,008 | | | | 434,670 | | | | — | | | | 434,670 | |
| 3 month JIBAR | | Quarterly | | 8.18% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 74,119 | | | | 549,516 | | | | — | | | | 549,516 | |
| 3 month JIBAR | | Quarterly | | 8.48% | | Quarterly | | | 09/16/20 | (a) | | | 09/16/25 | | | ZAR | | | 75,375 | | | | 617,097 | | | | — | | | | 617,097 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 2,613,325 | | | $ | 28,429 | | | $ | 2,584,896 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | Counterparty | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| Rate | | Frequency | | Rate | | | Frequency |
1 day
BZDIOVER | | At Termination | | | 4.09% | | | At Termination | | Barclays Bank plc | | | N/A | | | | 01/02/23 | | | | BRL | | | | 35,000 | | | $ | 19,313 | | | $ | — | | | $ | 19,313 | |
1 day
BZDIOVER | | At Termination | | | 4.10% | | | At Termination | | BNP Paribas SA | | | N/A | | | | 01/02/23 | | | | BRL | | | | 39,000 | | | | 26,592 | | | | — | | | | 26,592 | |
| 1 day MIBOR | | Semi-Annual | | | 4.07% | | | Semi-Annual | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 542,000 | | | | (7,573 | ) | | | — | | | | (7,573 | ) |
| 1 day MIBOR | | Semi-Annual | | | 4.74% | | | Semi-Annual | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 37,773 | | | | 14,456 | | | | — | | | | 14,456 | |
| 1 day MIBOR | | Semi-Annual | | | 4.75% | | | Semi-Annual | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 180,407 | | | | 70,111 | | | | — | | | | 70,111 | |
| 2.28% | | Quarterly | |
| 1 week
CNREPOFI |
| | Quarterly | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | CNY | | | | 44,329 | | | | 23,325 | | | | — | | | | 23,325 | |
| 2.29% | | Quarterly | |
| 1 week
CNREPOFI |
| | Quarterly | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | CNY | | | | 44,336 | | | | 18,914 | | | | — | | | | 18,914 | |
3 month
CD_KSDA | | Quarterly | | | 0.89% | | | Quarterly | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | KRW | | | | 6,100,000 | | | | 4,117 | | | | — | | | | 4,117 | |
3 month
CD_KSDA | | Quarterly | | | 0.91% | | | Quarterly | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | KRW | | | | 6,270,000 | | | | 10,598 | | | | — | | | | 10,598 | |
| 6 month THBFIX | | Semi-Annual | | | 0.85% | | | Semi-Annual | | Bank of America NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | THB | | | | 141,900 | | | | 13,814 | | | | — | | | | 13,814 | |
| 0.51% | | Quarterly | |
| 3 month
TWCPBA |
| | Quarterly | | Barclays Bank plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | TWD | | | | 155,000 | | | | 2,537 | | | | — | | | | 2,537 | |
| 0.47% | | Quarterly | |
| 3 month
TWCPBA |
| | Quarterly | | BNP Paribas SA | | | 09/16/20 | (a) | | | 09/16/25 | | | | TWD | | | | 178,000 | | | | 16,013 | | | | — | | | | 16,013 | |
| 0.50% | | Quarterly | |
| 3 month
TWCPBA |
| | Quarterly | | BNP Paribas SA | | | 09/16/20 | (a) | | | 09/16/25 | | | | TWD | | | | 120,000 | | | | 3,771 | | | | — | | | | 3,771 | |
| 0.50% | | Quarterly | |
| 3 month
TWCPBA |
| | Quarterly | | BNP Paribas SA | | | 09/16/20 | (a) | | | 09/16/25 | | | | TWD | | | | 155,000 | | | | 4,870 | | | | — | | | | 4,870 | |
| 2.26% | | Quarterly | |
| 1 week
CNREPOFI |
| | Quarterly | | BNP Paribas SA | | | 09/16/20 | (a) | | | 09/16/25 | | | | CNY | | | | 41,000 | | | | 27,696 | | | | — | | | | 27,696 | |
| 6 month THBFIX | | Semi-Annual | | | 0.85% | | | Semi-Annual | | BNP Paribas SA | | | 09/16/20 | (a) | | | 09/16/25 | | | | THB | | | | 116,100 | | | | 12,223 | | | | — | | | | 12,223 | |
| 1 day MIBOR | | Semi-Annual | | | 4.85% | | | Semi-Annual | | Citibank NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 473,413 | | | | 212,009 | | | | — | | | | 212,009 | |
| 1 day MIBOR | | Semi-Annual | | | 5.40% | | | Semi-Annual | | Citibank NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 445,500 | | | | 344,578 | | | | — | | | | 344,578 | |
| 1 day MIBOR | | Semi-Annual | | | 4.21% | | | Semi-Annual | | HSBC Bank plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 138,600 | | | | 9,470 | | | | — | | | | 9,470 | |
| 1 day MIBOR | | Semi-Annual | | | 4.78% | | | Semi-Annual | | HSBC Bank plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 180,407 | | | | 73,315 | | | | — | | | | 73,315 | |
| 1 day MIBOR | | Semi-Annual | | | 4.87% | | | Semi-Annual | | HSBC Bank plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 205,265 | | | | 94,355 | | | | — | | | | 94,355 | |
| 1 day MIBOR | | Semi-Annual | | | 5.39% | | | Semi-Annual | | JPMorgan Chase Bank NA | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 364,500 | | | | 278,690 | | | | — | | | | 278,690 | |
| 1 day MIBOR | | Semi-Annual | | | 4.80% | | | Semi-Annual | | Morgan Stanley & Co. International plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | INR | | | | 109,998 | | | | 46,004 | | | | — | | | | 46,004 | |
| 2.29% | | Quarterly | |
| 1 week
CNREPOFI |
| | Quarterly | | Morgan Stanley & Co. International plc | | | 09/16/20 | (a) | | | 09/16/25 | | | | CNY | | | | 44,336 | | | | 19,650 | | | | — | | | | 19,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,338,848 | | | $ | — | | | $ | 1,338,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
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) | |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (26,865,855 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 26,866 | | | $ | (22,442 | ) | | $ | — | | | $ | (22,442 | ) |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (17,910,570 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 17,911 | | | | (14,961 | ) | | | — | | | | (14,961 | ) |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (125,373,989 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 125,374 | | | | (104,730 | ) | | | — | | | | (104,730 | ) |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (18,087,292 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 18,087 | | | | (8,972 | ) | | | — | | | | (8,972 | ) |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (45,430,908 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 45,431 | | | | (15,221 | ) | | | — | | | | (15,221 | ) |
Taiwan Capitalization Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Stock Index Future July 2020 | | | TWD | | | | (70,924,583 | ) | | | Merrill Lynch International & Co. | | | | 07/15/20 | | | | TWD | | | | 70,925 | | | | — | | | | — | | | | — | |
BOVESPA Index Futures August 2020 | | | BRL | | | | 2,994,343 | | | | Merrill Lynch International & Co. | | | | 08/12/20 | | | | BRL | | | | 2,994 | | | | 27,940 | | | | — | | | | 27,940 | |
BOVESPA Index Futures August 2020 | | | BRL | | | | 5,129,215 | | | | Merrill Lynch International & Co. | | | | 08/12/20 | | | | BRL | | | | 5,129 | | | | 3,540 | | | | — | | | | 3,540 | |
KOSPI 200 Index Futures September 2020 | | | KRW | | | | (2,176,440,000 | ) | | | Merrill Lynch International & Co. | | | | 09/10/20 | | | | KRW | | | | 2,176,440 | | | | 58,561 | | | | — | | | | 58,561 | |
Swiss Market Index Futures September 2020 | | | CHF | | | | (674,520 | ) | | | HSBC Bank plc | | | | 09/18/20 | | | | CHF | | | | 675 | | | | (27,484 | ) | | | — | | | | (27,484 | ) |
Swiss Market Index Futures September 2020 | | | CHF | | | | (994,973 | ) | | | HSBC Bank plc | | | | 09/18/20 | | | | CHF | | | | 995 | | | | (6,151 | ) | | | — | | | | (6,151 | ) |
MSCI Chile Net Return Index | | | USD | | | | (1,388,463 | ) | | | BNP Paribas SA | | | | 05/20/21 | | | | USD | | | | 1,388 | | | | (85,732 | ) | | | — | | | | (85,732 | ) |
MSCI Mexico Net Return Index | | | USD | | | | 2,466,107 | | | | BNP Paribas SA | | | | 05/20/21 | | | | USD | | | | 2,466 | | | | 100,454 | | | | — | | | | 100,454 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (95,198 | ) | | $ | — | | | $ | (95,198 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | |
1 day BZDIOVER | | Overnight Brazil CETIP — Interbank Rate | | | 0.01 | % |
1 day MIBOR | | Mumbai Interbank Offered Rate | | | 3.89 | |
1 week CNREPOFI | | China Fixing Repo Rates | | | 3.00 | |
3 month BA | | Canadian Bankers Acceptances | | | 0.56 | |
3 month CD_KSDA | | Certificates of Deposit by the Korean Securities Dealers Association | | | 0.79 | |
3 month JIBAR | | Johannesburg Interbank Average Rate | | | 3.91 | |
3 month LIBOR | | London Interbank Offered Rate | | | 0.30 | |
3 month STIBOR | | Stockholm Interbank Offered Rate | | | 0.06 | |
3 month TWCPBA | | Taiwan Secondary Markets Bills Rate | | | 0.63 | |
6 month BBR | | Australian Bank Bill Rate | | | 0.21 | |
6 month EURIBOR | | Euro Interbank Offered Rate | | | (0.31 | ) |
6 month GBP LIBOR | | London Interbank Offered Rate | | | 0.29 | |
| | |
SCHEDULE OF INVESTMENTS | | 19 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
OTC Total Return Swaps (continued)
| | | | | | |
| Reference Index | | | | Reference Rate | |
6 month SOR | | Singapore Interbank Offered Rate | | | 0.23 | % |
6 month THBFIX | | Thai Baht Interest Rate Fixing | | | 0.44 | |
6 month WIBOR | | Warsaw Interbank Offered Rate | | | 0.08 | |
Balances Reported in the Statement 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) | | $ | 57,578 | | | $ | (29,149 | ) | | $ | 4,082,935 | | | $ | (1,498,039 | ) |
OTC Swaps | | | — | | | | — | | | | 1,536,916 | | | | (293,266 | ) |
| | (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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 1,604,252 | | | $ | — | | | $ | 492,075 | | | $ | — | | | $ | 2,096,327 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 93,426 | | | | — | | | | — | | | | 93,426 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 4,082,935 | | | | — | | | | 4,082,935 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | — | | | | 190,495 | | | | — | | | | 1,346,421 | | | | — | | | | 1,536,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 1,794,747 | | | $ | 93,426 | | | $ | 5,921,431 | | | $ | — | | | $ | 7,809,604 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | | — | | | | — | | | | 5,244,663 | | | | — | | | | 2,250,686 | | | | — | | | | 7,495,349 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 428,185 | | | | — | | | | — | | | | 428,185 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a). | | | — | | | | — | | | | — | | | | — | | | | 1,498,039 | | | | — | | | | 1,498,039 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | — | | | | 285,693 | | | | — | | | | 7,573 | | | | — | | | | 293,266 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 5,530,356 | | | $ | 428,185 | | | $ | 3,756,298 | | | $ | — | | | $ | 9,714,839 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (3,727,350 | ) | | $ | — | | | $ | (382,631 | ) | | $ | — | | | $ | (4,109,981 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (1,556,362 | ) | | | — | | | | — | | | | (1,556,362 | ) |
Swaps | | | — | | | | — | | | | 4,628,830 | | | | — | | | | 4,911,284 | | | | — | | | | 9,540,114 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 901,480 | | | $ | (1,556,362 | ) | | $ | 4,528,653 | | | $ | — | | | $ | 3,873,771 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 2,462,787 | | | $ | — | | | $ | (900,067 | ) | | $ | — | | | $ | 1,562,720 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (419,750 | ) | | | — | | | | — | | | | (419,750 | ) |
Swaps | | | — | | | | — | | | | 124,700 | | | | — | | | | 2,682,335 | | | | — | | | | 2,807,035 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 2,587,487 | | | $ | (419,750 | ) | | $ | 1,782,268 | | | $ | — | | | $ | 3,950,005 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 248,860,971 | |
Average notional value of contracts — short | | $ | 320,178,757 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 55,147,696 | |
Average amounts sold — in USD | | $ | 71,306,389 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | $ | 326,631,387 | |
Average notional value — receives fixed rate | | $ | 248,801,696 | |
Total return swaps: | | | | |
Average notional value | | $ | 25,828,602 | |
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 | | $ | 982,511 | | | $ | 2,082,389 | |
Forward foreign currency exchange contracts | | | 93,426 | | | | 428,185 | |
Swaps — Centrally cleared | | | — | | | | 6,992 | |
Swaps — OTC(a) | | | 1,536,916 | | | | 293,266 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | $ | 2,612,853 | | | $ | 2,810,832 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (982,511 | ) | | | (2,089,381 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 1,630,342 | | | $ | 721,451 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities. | |
| | |
SCHEDULE OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
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 | | $ | 155,335 | | | $ | (7,573 | ) | | $ | — | | | $ | — | | | $ | 147,762 | |
Barclays Bank plc | | | 21,850 | | | | — | | | | — | | | | — | | | | 21,850 | |
BNP Paribas SA | | | 191,619 | | | | (85,732 | ) | | | — | | | | — | | | | 105,887 | |
Citibank NA | | | 556,587 | | | | (6,456 | ) | | | — | | | | (550,000 | ) | | | 131 | |
Goldman Sachs International | | | 82,583 | | | | — | | | | — | | | | — | | | | 82,583 | |
HSBC Bank plc | | | 177,140 | | | | (114,499 | ) | | | — | | | | — | | | | 62,641 | |
JPMorgan Chase Bank NA | | | 279,997 | | | | — | | | | — | | | | (260,000 | ) | | | 19,997 | |
Merrill Lynch International & Co. | | | 90,041 | | | | (90,041 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc | | | 75,190 | | | | (75,190 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,630,342 | | | $ | (379,491 | ) | | $ | — | | | $ | (810,000 | ) | | $ | 440,851 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | 7,573 | | | $ | (7,573 | ) | | $ | — | | | $ | — | | | $ | — | |
BNP Paribas SA | | | 85,732 | | | | (85,732 | ) | | | — | | | | — | | | | — | |
Citibank NA | | | 6,456 | | | | (6,456 | ) | | | — | | | | — | | | | — | |
HSBC Bank plc | | | 114,499 | | | | (114,499 | ) | | | — | | | | — | | | | — | |
Merrill Lynch International & Co. | | | 166,326 | | | | (90,041 | ) | | | — | | | | — | | | | 76,285 | |
Morgan Stanley & Co. International plc | | | 108,885 | | | | (75,190 | ) | | | — | | | | — | | | | 33,695 | |
UBS AG | | | 231,980 | | | | — | | | | — | | | | — | | | | 231,980 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 721,451 | | | $ | (379,491 | ) | | $ | — | | | $ | — | | | $ | 341,960 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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. | |
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: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Aerospace & Defense | | $ | 288,048 | | | $ | 56,505 | | | $ | — | | | $ | 344,553 | |
Air Freight & Logistics | | | 399,605 | | | | 93,283 | | | | — | | | | 492,888 | |
Airlines | | | 498,222 | | | | 58,827 | | | | — | | | | 557,049 | |
Auto Components | | | — | | | | 31,374 | | | | — | | | | 31,374 | |
Automobiles | | | 520,123 | | | | 832,558 | | | | — | | | | 1,352,681 | |
Banks | | | 3,158,625 | | | | 2,761,136 | | | | — | | | | 5,919,761 | |
Beverages | | | 3,547,341 | | | | 904,210 | | | | — | | | | 4,451,551 | |
Biotechnology | | | 2,455,757 | | | | 281,227 | | | | — | | | | 2,736,984 | |
Building Products | | | 380,886 | | | | 396,033 | | | | — | | | | 776,919 | |
Capital Markets | | | 2,755,691 | | | | 1,021,758 | | | | — | | | | 3,777,449 | |
Chemicals | | | 1,915,709 | | | | 766,227 | | | | — | | | | 2,681,936 | |
Commercial Services & Supplies | | | 409,009 | | | | 99,387 | | | | — | | | | 508,396 | |
Communications Equipment | | | 689,633 | | | | 117,892 | | | | — | | | | 807,525 | |
Construction & Engineering | | | — | | | | 672,790 | | | | — | | | | 672,790 | |
Construction Materials | | | 274,258 | | | | 33,232 | | | | — | | | | 307,490 | |
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Consumer Finance | | $ | 546,465 | | | $ | — | | | $ | — | | | $ | 546,465 | |
Containers & Packaging | | | 18,832 | | | | 5,638 | | | | — | | | | 24,470 | |
Distributors | | | 60,443 | | | | — | | | | — | | | | 60,443 | |
Diversified Financial Services | | | 57,743 | | | | 341,459 | | | | — | | | | 399,202 | |
Diversified Telecommunication Services | | | 2,008,445 | | | | 945,017 | | | | — | | | | 2,953,462 | |
Electric Utilities | | | 959,651 | | | | 563,122 | | | | — | | | | 1,522,773 | |
Electrical Equipment | | | 94,376 | | | | 500,747 | | | | — | | | | 595,123 | |
Electronic Equipment, Instruments & Components | | | 434,725 | | | | 565,597 | | | | — | | | | 1,000,322 | |
Entertainment | | | 1,575,287 | | | | 162,898 | | | | — | | | | 1,738,185 | |
Equity Real Estate Investment Trusts (REITs) | | | 2,574,660 | | | | 304,338 | | | | — | | | | 2,878,998 | |
Food & Staples Retailing | | | 2,030,284 | | | | 1,215,717 | | | | — | | | | 3,246,001 | |
Food Products | | | 1,558,977 | | | | 1,726,544 | | | | — | | | | 3,285,521 | |
Gas Utilities | | | — | | | | 302,671 | | | | — | | | | 302,671 | |
Health Care Equipment & Supplies | | | 3,597,717 | | | | 597,606 | | | | — | | | | 4,195,323 | |
Health Care Providers & Services | | | 3,326,968 | | | | 180,843 | | | | — | | | | 3,507,811 | |
Health Care Technology | | | 227,864 | | | | 33,985 | | | | — | | | | 261,849 | |
Hotels, Restaurants & Leisure | | | 916,997 | | | | 435,643 | | | | — | | | | 1,352,640 | |
Household Durables | | | 540,909 | | | | 442,386 | | | | — | | | | 983,295 | |
Household Products | | | 1,444,496 | | | | 349,090 | | | | — | | | | 1,793,586 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 140,460 | | | | — | | | | 140,460 | |
Industrial Conglomerates | | | 201,201 | | | | 524,730 | | | | — | | | | 725,931 | |
Insurance | | | 824,984 | | | | 1,511,343 | | | | — | | | | 2,336,327 | |
Interactive Media & Services | | | 5,069,636 | | | | 81,095 | | | | — | | | | 5,150,731 | |
Internet & Direct Marketing Retail | | | 5,219,063 | | | | 114,778 | | | | — | | | | 5,333,841 | |
IT Services | | | 5,487,458 | | | | 380,951 | | | | — | | | | 5,868,409 | |
Leisure Products | | | 21,680 | | | | — | | | | — | | | | 21,680 | |
Life Sciences Tools & Services | | | 1,103,045 | | | | 117,781 | | | | — | | | | 1,220,826 | |
Machinery | | | 915,792 | | | | 783,146 | | | | — | | | | 1,698,938 | |
Marine | | | — | | | | 3,165 | | | | — | | | | 3,165 | |
Media | | | 849,528 | | | | 198,601 | | | | — | | | | 1,048,129 | |
Metals & Mining | | | 326,521 | | | | 700,416 | | | | — | | | | 1,026,937 | |
Mortgage Real Estate Investment Trusts (REITs) | | | 61,044 | | | | — | | | | — | | | | 61,044 | |
Multiline Retail | | | 885,076 | | | | 292,091 | | | | — | | | | 1,177,167 | |
Multi-Utilities | | | 265,130 | | | | 375,241 | | | | — | | | | 640,371 | |
Oil, Gas & Consumable Fuels | | | 2,305,771 | | | | 685,234 | | | | — | | | | 2,991,005 | |
Paper & Forest Products | | | — | | | | 55,039 | | | | — | | | | 55,039 | |
Personal Products | | | 155,661 | | | | 1,004,586 | | | | — | | | | 1,160,247 | |
Pharmaceuticals | | | 4,122,180 | | | | 2,710,404 | | | | — | | | | 6,832,584 | |
Professional Services | | | 272,158 | | | | 248,983 | | | | — | | | | 521,141 | |
Real Estate Management & Development | | | 68,768 | | | | 346,821 | | | | — | | | | 415,589 | |
Road & Rail | | | 1,838,795 | | | | 535,837 | | | | — | | | | 2,374,632 | |
Semiconductors & Semiconductor Equipment | | | 3,340,235 | | | | 552,098 | | | | — | | | | 3,892,333 | |
Software | | | 9,315,801 | | | | 627,453 | | | | — | | | | 9,943,254 | |
Specialty Retail | | | 2,810,173 | | | | 304,430 | | | | — | | | | 3,114,603 | |
Technology Hardware, Storage & Peripherals | | | 5,773,775 | | | | 80,121 | | | | — | | | | 5,853,896 | |
Textiles, Apparel & Luxury Goods | | | 522,062 | | | | 695,351 | | | | — | | | | 1,217,413 | |
Trading Companies & Distributors | | | 242,233 | | | | 310,856 | | | | — | | | | 553,089 | |
Transportation Infrastructure | | | — | | | | 407,173 | | | | — | | | | 407,173 | |
Water Utilities | | | 188,524 | | | | 60,729 | | | | — | | | | 249,253 | |
Wireless Telecommunication Services | | | 848,186 | | | | 676,703 | | | | — | | | | 1,524,889 | |
Corporate Bonds | | | — | | | | 32,014 | | | | — | | | | 32,014 | |
Preferred Stocks | | | — | | | | 166,384 | | | | — | | | | 166,384 | |
Rights | | | 14,239 | | | | — | | | | — | | | | 14,239 | |
U.S. Treasury Obligations | | | — | | | | 26,497,656 | | | | — | | | | 26,497,656 | |
Short-Term Securities | | | 11,529,281 | | | | — | | | | — | | | | 11,529,281 | |
| | | | | | | | | | | | | | | | |
| | $ | 103,845,746 | | | $ | 58,021,410 | | | $ | — | | | $ | 161,867,156 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 1,604,252 | | | $ | 190,495 | | | $ | — | | | $ | 1,794,747 | |
Foreign currency exchange contracts | | | — | | | | 93,426 | | | | — | | | | 93,426 | |
Interest rate contracts | | | 492,075 | | | | 5,429,356 | | | | — | | | | 5,921,431 | |
Liabilities: | | | | | | | | | | | | | | | | |
Equity contracts | | | (5,244,663 | ) | | | (285,693 | ) | | | — | | | | (5,530,356 | ) |
Foreign currency exchange contracts | | | — | | | | (428,185 | ) | | | — | | | | (428,185 | ) |
| | |
SCHEDULE OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Managed Volatility V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Interest rate contracts | | $ | (2,250,686 | ) | | $ | (1,505,612 | ) | | $ | — | | | $ | (3,756,298 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (5,399,022 | ) | | $ | 3,493,787 | | | $ | — | | | $ | (1,905,235 | ) |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| | (a) | 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. | |
See notes to financial statements.
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Managed
Volatility V.I.
Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (cost — $137,237,672) | | $ | 150,337,875 | |
Investments at value — affiliated (cost — $11,529,281) | | | 11,529,281 | |
Cash pledged: | | | | |
Futures contracts | | | 37,697,000 | |
Centrally cleared swaps | | | 6,584,000 | |
Foreign currency at value (cost — $3,840,512) | | | 3,837,111 | |
Receivables: | | | | |
Investments sold | | | 7,289 | |
Dividends — affiliated | | | 709 | |
Dividends — unaffiliated | | | 173,304 | |
Interest — unaffiliated | | | 176,471 | |
From affiliate(s) | | | 905 | |
Variation margin on futures contracts | | | 982,511 | |
Unrealized appreciation on: | | | | |
Forward foreign currency exchange contracts | | | 93,426 | |
OTC swaps | | | 1,536,916 | |
Prepaid expenses | | | 1,965 | |
| | | | |
Total assets | | | 212,958,763 | |
| | | | |
| |
LIABILITIES | | | | |
Cash received as collateral for OTC derivatives | | | 810,000 | |
Payables: | | | | |
Swaps | | | 100,264 | |
Capital shares redeemed | | | 12,403 | |
Distribution fees | | | 35,765 | |
Investment advisory fees | | | 55,314 | |
Other affiliates | | | 919 | |
Variation margin on futures contracts | | | 2,082,389 | |
Variation margin on centrally cleared swaps | | | 6,992 | |
Other accrued expenses | | | 358,544 | |
Unrealized depreciation on: | | | | |
Forward foreign currency exchange contracts | | | 428,185 | |
OTC swaps | | | 293,266 | |
| | | | |
Total liabilities | | | 4,184,041 | |
| | | | |
| |
NET ASSETS | | $ | 208,774,722 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 342,692,095 | |
Accumulated loss | | | (133,917,373 | ) |
| | | | |
NET ASSETS | | $ | 208,774,722 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $10,020,848 and 756,776 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 13.24 | |
| | | | |
Class III — Based on net assets of $198,753,874 and 15,030,151 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 13.22 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Managed
Volatility V.I.
Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 35,741 | |
Dividends — unaffiliated | | | 1,545,878 | |
Interest — unaffiliated | | | 205,303 | |
Securities lending income — affiliated — net | | | 54 | |
Foreign taxes withheld | | | (48,741 | ) |
| | | | |
Total investment income | | | 1,738,235 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 591,686 | |
Distribution — class specific | | | 256,160 | |
Transfer agent — class specific | | | 219,726 | |
Custodian | | | 98,220 | |
Professional | | | 57,953 | |
Accounting services | | | 52,929 | |
Printing | | | 13,295 | |
Directors and Officer | | | 3,774 | |
Transfer agent | | | 2,488 | |
Miscellaneous | | | 26,237 | |
| | | | |
Total expenses | | | 1,322,468 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (211,983 | ) |
Transfer agent fees waived and/or reimbursed — class specific | | | (219,726 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 890,759 | |
| | | | |
Net investment income | | | 847,476 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | 52 | |
Investments — unaffiliated | | | (11,606,410 | ) |
Forward foreign currency exchange contracts | | | (1,556,362 | ) |
Foreign currency transactions | | | (1,475,309 | ) |
Futures contracts | | | (4,109,981 | ) |
Swaps | | | 9,540,114 | |
| | | | |
| | | (9,207,896 | ) |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — unaffiliated | | | 3,580,303 | |
Forward foreign currency exchange contracts | | | (419,750 | ) |
Foreign currency translations | | | (33,918 | ) |
Futures contracts | | | 1,562,720 | |
Swaps | | | 2,807,035 | |
| | | | |
| | | 7,496,390 | |
| | | | |
Net realized and unrealized loss | | | (1,711,506 | ) |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (864,030 | ) |
| | | | |
See notes to financial statements.
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Managed Volatility V.I. Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 847,476 | | | $ | 3,403,424 | |
Net realized loss | | | (9,207,896 | ) | | | (11,219,350 | ) |
Net change in unrealized appreciation (depreciation) | | | 7,496,390 | | | | 12,029,655 | |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (864,030 | ) | | | 4,213,729 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | |
Class I | | | — | | | | (366,689 | ) |
Class III | | | — | | | | (7,093,025 | ) |
| | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (7,459,714 | ) |
| | | | | | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (26,592,442 | ) | | | (8,672,745 | ) |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total decrease in net assets | | | (27,456,472 | ) | | | (11,918,730 | ) |
Beginning of period | | | 236,231,194 | | | | 248,149,924 | |
| | | | | | | | |
End of period | | $ | 208,774,722 | | | $ | 236,231,194 | |
| | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Managed Volatility V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 13.27 | | | | | | | $ | 13.45 | | | $ | 13.71 | | | $ | 13.19 | | | $ | 13.08 | | | $ | 13.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a) | | | 0.07 | | | | | | | | 0.22 | | | | 0.15 | | | | 0.04 | | | | 0.02 | (b) | | | (0.06 | ) |
Net realized and unrealized gain (loss) | | | (0.10 | ) | | | | | | | 0.06 | | | | (0.01 | ) | | | 0.62 | | | | 0.20 | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.03 | ) | | | | | | | 0.28 | | | | 0.14 | | | | 0.66 | | | | 0.22 | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.46 | ) | | | (0.25 | ) | | | (0.05 | ) | | | (0.11 | ) | | | — | |
From net realized gain | | | — | | | | | | | | (0.00 | )(d) | | | (0.15 | ) | | | (0.09 | ) | | | — | | | | (0.55 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | — | | | | | | | | (0.46 | ) | | | (0.40 | ) | | | (0.14 | ) | | | (0.11 | ) | | | (0.55 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 13.24 | | | | | | | $ | 13.27 | | | $ | 13.45 | | | $ | 13.71 | | | $ | 13.19 | | | $ | 13.08 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (0.23 | )%(f) | | | | | | | 2.11 | % | | | 1.02 | % | | | 4.98 | % | | | 1.71 | %(g) | | | (0.57 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets(h) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.99 | %(i) | | | | | | | 0.93 | % | | | 1.21 | % | | | 1.48 | % | | | 1.39 | % | | | 1.47 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.59 | %(i) | | | | | | | 0.59 | % | | | 0.71 | % | | | 0.89 | % | | | 0.94 | % | | | 1.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 1.02 | %(i) | | | | | | | 1.62 | % | | | 1.09 | % | | | 0.29 | % | | | 0.18 | %(b) | | | (0.46 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 10,021 | | | | | | | $ | 10,808 | | | $ | 12,571 | | | $ | 14,536 | | | $ | 15,895 | | | $ | 18,180 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 114 | % | | | | | | | 314 | % | | | 319 | % | | | 0 | % | | | 1 | % | | | 13 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.02 per share and 0.19%, respectively, resulting from a one time payment from a third party administrator. |
| (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) | Includes reimbursements of out of pocket expenses from a third party administrator. Excluding this amount, the Fund’s total return is 1.48%. |
| (h) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01 | % | | | 0.01 | % | | | 0.03 | % | | | 0.23 | % | | | 0.25 | % | | | 0.23 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 28 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | |
| | | BlackRock Managed Volatility V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended 12/31/2019 | | | Period from
02/14/18 (a)
to 12/31/18 | |
| | | | |
Net asset value, beginning of period | | $ | 13.27 | | | $ | 13.45 | | | $ | 13.70 | |
| | | | | | | | | | | | |
Net investment income(b) | | | 0.05 | | | | 0.19 | | | | 0.15 | |
Net realized and unrealized gain (loss) | | | (0.10 | ) | | | 0.06 | | | | (0.02 | ) |
| | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.05 | ) | | | 0.25 | | | | 0.13 | |
| | | | | | | | | | | | |
| | | |
Distributions(c) | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.43 | ) | | | (0.23 | ) |
From net realized gain | | | — | | | | (0.00 | )(d) | | | (0.15 | ) |
| | | | | | | | | | | | |
Total distributions | | | — | | | | (0.43 | ) | | | (0.38 | ) |
| | | | | | | | | | | | |
| | | |
Net asset value, end of period | | $ | 13.22 | | | $ | 13.27 | | | $ | 13.45 | |
| | | | | | | | | | | | |
| | | |
Total Return(e) | | | | | | | | | | | | |
Based on net asset value | | | (0.38 | )%(f) | | | 1.85 | % | | | 0.90 | %(f) |
| | | | | | | | | | | | |
| | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | |
Total expenses | | | 1.24 | %(h) | | | 1.36 | % | | | 0.99 | %(h) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.84 | %(h) | | | 0.84 | % | | | 0.84 | %(h) |
| | | | | | | | | | | | |
Net investment income | | | 0.78 | %(h) | | | 1.39 | % | | | 1.22 | %(h) |
| | | | | | | | | | | | |
| | | |
Supplemental Data | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 198,754 | | | $ | 225,423 | | | $ | 235,579 | |
| | | | | | | | | | | | |
Portfolio turnover rate | | | 114 | % | | | 314 | % | | | 319 | %(i) |
| | | | | | | | | | | | |
| (a) | Recommencement of operations. |
| (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
06/30/20
(unaudited) | | | | | | Year Ended
12/31/2019 | | | | | | Period from
02/14/18 (a)
to 12/31/18 | |
Investments in underlying funds | | | 0.01 | % | | | | | | | 0.01 | % | | | | | | | 0.03 | % |
| | | | | | | | | | | | | | | | | | | | |
| (i) | Portfolio turnover rate is representative of the Fund for the entire year. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Managed Volatility V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The 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.
The 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 Statement 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. The 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 the Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and swaps) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| | |
| 30 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | • | | 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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
| | • | | 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 based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
| | • | | Swap agreements are valued utilizing quotes received daily by the Fund’s 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. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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
| | |
NOTESTO FINANCIAL STATEMENTS | | 31 |
Notes to Financial Statements (unaudited) (continued)
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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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. 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 investment companies in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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.
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Fund could incur a loss if the value of an investment purchased
| | |
| 32 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, 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 Fund 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 Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement 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, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker a variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statement of Operations.
| | • | | 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 security or market (e.g., fixed-income) with another security or 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 of 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 Fund receives payment from or makes a payment to the counterparty.
| | |
NOTESTO FINANCIAL STATEMENTS | | 33 |
Notes to Financial Statements (unaudited) (continued)
| | • | | 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.
| | • | | Forward swaps — The Fund enters into forward interest rate swaps and forward total return swaps. In a forward swap, the 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 of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the 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, the 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 Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it bears the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fees | |
First $1 Billion | | | 0.55 | % |
$1 Billion — $3 Billion | | | 0.52 | |
$3 Billion — $5 Billion | | | 0.50 | |
$5 Billion — $10 Billion | | | 0.48 | |
Greater than $10 Billion | | | 0.47 | |
The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), BlackRock Asset Management North Asia Limited (“BAMNA”) and BlackRock (Singapore) Limited (“BRS”), (collectively, the “Sub-Advisers’), each an affiliate of the Manager. The Manager pays BIL, BAMNA and BRS for services they provide for that portion of the Fund for which BIL, BAMNA and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets attributable to Class III.
| | |
| 34 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
For the six months ended June 30, 2020, the class specific distribution fees borne directly by Class III were $256,160.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent — class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 10,245 | |
Class III | | | 209,481 | |
| | | $ | 219,726 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $4,110.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,411 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse all transfer agent fees for Class I Shares and Class III Shares. The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees
Waived and/or Reimbursed | |
Class I | | | $ 10,245 | |
Class III | | | 209,481 | |
| | | | $ 219,726 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | | | |
Class I | | | 0.59 | % |
Class III | | | 0.84 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $207,873, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to
| | |
NOTESTO FINANCIAL STATEMENTS | | 35 |
Notes to Financial Statements (unaudited) (continued)
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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $18 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
For the six months ended June 30, 2020, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Non-U.S. Government Securities | | $ | 159,868,203 | | | $ | 189,694,998 | |
U.S. Government Securities | | | 30,196,417 | | | | 36,065,923 | |
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of December 31, 2019, the Fund had non-expiring capital loss carryforward available to offset future realized capital gains of $131,776,215.
| | |
| 36 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 151,402,029 | |
| | | | |
Gross unrealized appreciation | | $ | 21,244,426 | |
Gross unrealized depreciation | | | (12,684,534 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 8,559,892 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
| | |
NOTESTO FINANCIAL STATEMENTS | | 37 |
Notes to Financial Statements (unaudited) (continued)
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.
The 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 the Fund.
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | | Year Ended
12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 6,592 | | | $ | 88,294 | | | | 15,992 | | | $ | 216,378 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 27,540 | | | | 366,689 | |
Shares redeemed | | | (64,508 | ) | | | (859,950 | ) | | | (163,533 | ) | | | (2,209,996 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | (57,916 | ) | | $ | (771,656 | ) | | | (120,001 | ) | | $ | (1,626,929 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 932,153 | | | $ | 12,253,495 | | | | 2,448,987 | | | $ | 33,265,000 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 532,709 | | | | 7,092,711 | |
Shares redeemed | | | (2,894,973 | ) | | | (38,074,281 | ) | | | (3,507,917 | ) | | | (47,403,527 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | (1,962,820 | ) | | $ | (25,820,786 | ) | | | (526,221 | ) | | $ | (7,045,816 | ) |
| | | | | | | | | | | | | | | | |
Total Net Decrease | | | (2,020,736 | ) | | $ | (26,592,442 | ) | | | (646,222 | ) | | $ | (8,672,745 | ) |
| | | | | | | | | | | | | | | | |
As of June 30, 2020, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 730 Class III Shares of the Fund.
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
| 38 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency |
| |
| AUD | | Australian Dollar |
| |
| BRL | | Brazilian Real |
| |
| CAD | | Canadian Dollar |
| |
| CHF | | Swiss Franc |
| |
| CLP | | Chilean Peso |
| |
| CNY | | Chinese Yuan |
| |
| EUR | | Euro |
| |
| GBP | | British Pound |
| |
| INR | | Indian Rupee |
| |
| JPY | | Japanese Yen |
| |
| KRW | | South Korean Won |
| |
| MXN | | Mexican Peso |
| |
| NOK | | Norwegian Krone |
| |
| NZD | | New Zealand Dollar |
| |
| PLN | | Polish Zloty |
| |
| SEK | | Swedish Krona |
| |
| SGD | | Singapore Dollar |
| |
| THB | | Thai Baht |
| |
| TWD | | Taiwan New Dollar |
| |
| USD | | United States Dollar |
| |
| ZAR | | South African Rand |
| | |
| Portfolio Abbreviations |
| |
| ADR | | American Depositary Receipts |
| |
| BA | | Canadian Bankers Acceptances |
| |
| BBR | | Australian Bank Bill Rate |
| |
| BZDIOVER | | Overnight Brazil CETIP — Interbank Rate |
| |
| CD_KSDA | | Certificates of Deposit by the Korean Securities Dealers Association |
| |
| CNREPOFI | | Day China Fixing Repo Rates |
| |
| EURIBOR | | Euro Interbank Offered Rate |
| |
| JIBAR | | Johannesburg Interbank Average Rate |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| MIBOR | | Mumbai Interbank Offered Rate |
| |
| MSCI | | Morgan Stanley Capital International |
| |
| OTC | | Over-the-counter |
| |
| REIT | | Real Estate Investment Trust |
| |
| S&P | | Standard & Poor’s |
| |
| SCA | | Svenska Cellulosa Aktiebolaget |
| |
| SDR | | Swedish Depositary Receipts |
| |
| SOR | | Singapore Interbank Offered Rate |
| |
| STIBOR | | Stockholm Interbank Offered Rate |
| |
| THBFIX | | Thai Baht Interest Rate Fixing |
| |
| TWCPBA | | Taiwan Secondary Markets Bills Rate |
| |
| WIBOR | | Warsaw Interbank Offered Rate |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 39 |
| | |
 | | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock S&P 500 Index V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund |
Investment Objective
BlackRock S&P 500 Index V.I. Fund’s (the “Fund”) investment objective is to seek investment results that, before expenses, correspond to the aggregate price and yield performance of the Standard and Poor’s (“S&P”) 500® Index.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund’s Class I, Class II and Class III Shares returned (3.17)%, (3.28)% and (3.28)%, respectively. The benchmark S&P 500® Index returned (3.08)% for the same period.
Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses.
Describe the market environment.
U.S. equities, as represented by the S&P 500® Index, experienced the largest quarterly loss in 12 years, posting a (19.60)% loss in the first quarter of 2020.
All eleven of the Global Industry Classification Standard (“GICS”) sectors declined but with wide variation in the first quarter of 2020. Technology (11.9%) and health care (12.7%) outperformed with losses in the low teens, as rising demand for medical resources and consumer behavioral change caused by the “work from home” trend likely benefited those exposures. In contrast, the energy sector (50.5%) lost more than half its value in the three months as crude oil prices hit decade lows. The financial sector accounted for 4% of the loss in the broader index as the sector lost 31.9%.
Fears of the coronavirus pandemic and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Volatility Index, which measures near-term stock market volatility, surged to its highest level since the 2008 financial crisis and the S&P 500® Index experienced its quickest bear market contraction on record. Economic activity fell to a standstill with the Purchasing Managers Index (an index of the prevailing direction of economic trends in the manufacturing and service sectors) across the globe registering the lowest levels on record while jobless claims surged. In late March, the United States saw a record number of initial unemployment claims as 3.3 million people filed for unemployment benefits while the consensus estimate had been around 1.4 million.
On the policy front, global governments unleashed large stimulus packages to combat the shock on the worldwide economy. The United States passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Fed cut the policy rate to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. Furthermore, the Fed announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history.
U.S. equities, as represented by the S&P 500® Index, registered a strong recovery of 20.54% in second quarter of 2020, the largest quarterly gain since 1998.
U.S. stocks outperformed other regions in second quarter of 2020, with a sharper recovery from the troughs of late March. This was largely supported by the historic U.S. policy response. The United States delivered coordinated fiscal and monetary support sufficient to offset the estimated initial shock from the coronavirus pandemic and spillovers to the full economy. Toward the end of the second quarter, government measures to contain the coronavirus had been gradually lifted in many states, boosting economic activity and employment.
All eleven of the GICS sectors saw strong gains in the second quarter of 2020, although large dispersion still existed. The consumer discretionary (32.9%) and information technology (30.5%) sectors led the market higher as companies in those two sectors experienced little revenue impact from coronavirus-related measurements. The energy (30.5%) and materials (26%) sectors had sharp recoveries during the second quarter, after suffering from massive selloffs in March. Meanwhile, the utilities (2.7%), consumer staples (8.1%) and financial (12.2%) sectors lagged.
Describe recent portfolio activity.
During the period, as changes were made to the composition of the S&P 500® Index, the Fund purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.
Describe portfolio positioning at period end.
The Fund remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock S&P 500 Index V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
Class I (b)(c) | | | (3.17 | )% | | | 7.29 | % | | | 10.46 | % | | | 13.64 | % |
Class II (b)(c) | | | (3.28 | ) | | | 7.15 | | | | 10.30 | | | | 13.48 | |
Class III (b)(c) | | | (3.28 | ) | | | 7.03 | | | | 10.19 | (d) | | | 13.36 | (d) |
S&P 500® Index(e) | | | (3.08 | ) | | | 7.51 | | | | 10.73 | | | | 13.99 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (c) | Under normal circumstances, the Fund invests at least 80% of its assets in the common stocks represented in the S&P 500® Index and in derivative instruments linked to the S&P 500® Index. |
| (d) | The returns for Class III Shares prior to February 14, 2018, the recommencement of operations of Class III Shares, are based upon the performance of the Fund’s Class I Shares, as adjusted to reflect the distribution (12b-1) fees applicable to Class III Shares. |
| (e) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
| | 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. |
Portfolio Information
| | | | |
SECTOR ALLOCATION | |
Sector | |
| Percent of
Net Assets |
|
Information Technology | | | 27 | % |
Health Care | | | 15 | |
Consumer Discretionary | | | 11 | |
Communication Services | | | 11 | |
Financials | | | 10 | |
Industrials | | | 8 | |
Consumer Staples | | | 7 | |
Utilities | | | 3 | |
Real Estate | | | 3 | |
Energy | | | 3 | |
Materials | | | 2 | |
Short-Term Securities | | | 2 | |
Liabilities in Excess of Other Assets | | | (2 | ) |
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 such sector sub-classifications for reporting ease.
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning Account Value
(01/01/20) | | | Ending Account Value
(06/30/20) | | | Expenses Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
Class I | | $ | 1,000.00 | | | $ | 968.30 | | | $ | 0.73 | | | | | | | $ | 1,000.00 | | | $ | 1,024.12 | | | $ | 0.75 | | | | 0.15 | % |
Class II | | | 1,000.00 | | | | 967.20 | | | | 1.47 | | | | | | | | 1,000.00 | | | | 1,023.37 | | | | 1.51 | | | | 0.30 | |
Class III | | | 1,000.00 | | | | 967.20 | | | | 1.96 | | | | | | | | 1,000.00 | | | | 1,022.87 | | | | 2.01 | | | | 0.40 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown) |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 99.2% | | | | | | | | |
| | |
Aerospace & Defense — 1.7% | | | | | | | | |
Boeing Co. (The)(a) | | | 38,151 | | | $ | 6,993,078 | |
General Dynamics Corp. | | | 16,565 | | | | 2,475,805 | |
Howmet Aerospace, Inc.(b) | | | 28,532 | | | | 452,232 | |
Huntington Ingalls Industries, Inc. | | | 2,931 | | | | 511,430 | |
L3Harris Technologies, Inc. | | | 15,324 | | | | 2,600,023 | |
Lockheed Martin Corp. | | | 17,568 | | | | 6,410,915 | |
Northrop Grumman Corp. | | | 11,090 | | | | 3,409,510 | |
Raytheon Technologies Corp. | | | 104,578 | | | | 6,444,096 | |
Teledyne Technologies, Inc.(b) | | | 2,502 | | | | 777,997 | |
Textron, Inc. | | | 16,648 | | | | 547,886 | |
TransDigm Group, Inc.(a) | | | 3,583 | | | | 1,583,865 | |
| | | | | | | | |
| | | | | | | 32,206,837 | |
| | |
| Air Freight & Logistics — 0.5% | | | | | | |
CH Robinson Worldwide, Inc. | | | 9,791 | | | | 774,076 | |
Expeditors International of Washington, Inc. | | | 11,700 | | | | 889,668 | |
FedEx Corp. | | | 16,922 | | | | 2,372,803 | |
United Parcel Service, Inc., Class B | | | 50,166 | | | | 5,577,456 | |
| | | | | | | | |
| | | | | | | 9,614,003 | |
| | |
| Airlines — 0.2% | | | | | | |
Alaska Air Group, Inc. | | | 9,179 | | | | 332,830 | |
American Airlines Group, Inc. | | | 25,752 | | | | 336,579 | |
Delta Air Lines, Inc. | | | 39,815 | | | | 1,116,811 | |
Southwest Airlines Co.(a) | | | 38,388 | | | | 1,312,102 | |
United Airlines Holdings, Inc.(b) | | | 17,955 | | | | 621,422 | |
| | | | | | | | |
| | | | | | | 3,719,744 | |
| | |
| Auto Components — 0.1% | | | | | | |
Aptiv plc | | | 18,310 | | | | 1,426,715 | |
BorgWarner, Inc. | | | 15,068 | | | | 531,901 | |
| | | | | | | | |
| | | | | | | 1,958,616 | |
| | |
| Automobiles — 0.2% | | | | | | |
Ford Motor Co. | | | 273,927 | | | | 1,665,476 | |
General Motors Co. | | | 88,788 | | | | 2,246,337 | |
| | | | | | | | |
| | | | | | | 3,911,813 | |
| | |
| Banks — 3.6% | | | | | | |
Bank of America Corp. | | | 555,538 | | | | 13,194,028 | |
Citigroup, Inc. | | | 147,925 | | | | 7,558,968 | |
Citizens Financial Group, Inc. | | | 30,012 | | | | 757,503 | |
Comerica, Inc. | | | 9,489 | | | | 361,531 | |
Fifth Third Bancorp | | | 51,160 | | | | 986,365 | |
First Republic Bank | | | 12,081 | | | | 1,280,465 | |
Huntington Bancshares, Inc. | | | 73,836 | | | | 667,108 | |
JPMorgan Chase & Co. | | | 216,848 | | | | 20,396,723 | |
KeyCorp | | | 68,196 | | | | 830,627 | |
M&T Bank Corp. | | | 9,054 | | | | 941,344 | |
People’s United Financial, Inc. | | | 32,243 | | | | 373,052 | |
PNC Financial Services Group, Inc. (The)(a) | | | 30,064 | | | | 3,163,033 | |
Regions Financial Corp. | | | 66,480 | | | | 739,258 | |
SVB Financial Group(b) | | | 3,712 | | | | 800,047 | |
Truist Financial Corp. | | | 95,909 | | | | 3,601,383 | |
US Bancorp | | | 97,637 | | | | 3,594,994 | |
Wells Fargo & Co. | | | 265,180 | | | | 6,788,608 | |
Zions Bancorp NA | | | 12,349 | | | | 419,866 | |
| | | | | | | | |
| | | | | | | 66,454,903 | |
| | |
| Beverages — 1.7% | | | | | | |
Brown-Forman Corp., Class B | | | 13,175 | | | | 838,721 | |
Coca-Cola Co. (The) | | | 274,925 | | | | 12,283,649 | |
Constellation Brands, Inc., Class A | | | 12,012 | | | | 2,101,499 | |
Molson Coors Beverage Co., Class B(a) | | | 13,703 | | | | 470,835 | |
Monster Beverage Corp.(b) | | | 26,624 | | | | 1,845,576 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Beverages (continued) | | | | | | |
PepsiCo, Inc. | | | 98,655 | | | $ | 13,048,110 | |
| | | | | | | | |
| | | | | | | 30,588,390 | |
| | |
| Biotechnology — 2.4% | | | | | | |
AbbVie, Inc. | | | 125,465 | | | | 12,318,154 | |
Alexion Pharmaceuticals, Inc.(b) | | | 15,460 | | | | 1,735,230 | |
Amgen, Inc. | | | 41,824 | | | | 9,864,609 | |
Biogen, Inc.(b) | | | 11,617 | | | | 3,108,128 | |
Gilead Sciences, Inc. | | | 89,470 | | | | 6,883,822 | |
Incyte Corp.(b) | | | 12,850 | | | | 1,336,014 | |
Regeneron Pharmaceuticals, Inc.(b) | | | 7,212 | | | | 4,497,764 | |
Vertex Pharmaceuticals, Inc.(b) | | | 18,475 | | | | 5,363,477 | |
| | | | | | | | |
| | | | | | | 45,107,198 | |
| | |
| Building Products — 0.4% | | | | | | |
Allegion plc | | | 6,324 | | | | 646,439 | |
AO Smith Corp. | | | 9,825 | | | | 462,954 | |
Carrier Global Corp. | | | 58,362 | | | | 1,296,804 | |
Fortune Brands Home & Security, Inc. | | | 9,936 | | | | 635,208 | |
Johnson Controls International plc | | | 53,045 | | | | 1,810,956 | |
Masco Corp. | | | 18,619 | | | | 934,860 | |
Trane Technologies plc | | | 16,812 | | | | 1,495,932 | |
| | | | | | | | |
| | | | | | | 7,283,153 | |
| | |
| Capital Markets — 2.7% | | | | | | |
Ameriprise Financial, Inc. | | | 8,834 | | | | 1,325,453 | |
Bank of New York Mellon Corp. (The) | | | 57,132 | | | | 2,208,152 | |
BlackRock, Inc.* | | | 10,961 | | | | 5,963,770 | |
Cboe Global Markets, Inc. | | | 7,940 | | | | 740,643 | |
Charles Schwab Corp. (The) | | | 80,856 | | | | 2,728,081 | |
CME Group, Inc. | | | 25,601 | | | | 4,161,187 | |
E*TRADE Financial Corp. | | | 15,435 | | | | 767,583 | |
Franklin Resources, Inc.(a) | | | 20,182 | | | | 423,217 | |
Goldman Sachs Group, Inc. (The) | | | 21,971 | | | | 4,341,909 | |
Intercontinental Exchange, Inc. | | | 38,855 | | | | 3,559,118 | |
Invesco Ltd.(a) | | | 26,850 | | | | 288,906 | |
MarketAxess Holdings, Inc. | | | 2,727 | | | | 1,366,009 | |
Moody’s Corp. | | | 11,498 | | | | 3,158,846 | |
Morgan Stanley | | | 84,948 | | | | 4,102,988 | |
MSCI, Inc. | | | 6,077 | | | | 2,028,624 | |
Nasdaq, Inc. | | | 8,273 | | | | 988,375 | |
Northern Trust Corp. | | | 14,722 | | | | 1,168,043 | |
Raymond James Financial, Inc. | | | 8,772 | | | | 603,777 | |
S&P Global, Inc. | | | 17,168 | | | | 5,656,513 | |
State Street Corp. | | | 24,878 | | | | 1,580,997 | |
T. Rowe Price Group, Inc. | | | 16,387 | | | | 2,023,794 | |
| | | | | | | | |
| | | | | | | 49,185,985 | |
| | |
| Chemicals — 1.8% | | | | | | |
Air Products & Chemicals, Inc. | | | 15,559 | | | | 3,756,876 | |
Albemarle Corp. | | | 7,598 | | | | 586,642 | |
Celanese Corp. | | | 8,758 | | | | 756,166 | |
CF Industries Holdings, Inc. | | | 15,898 | | | | 447,370 | |
Corteva, Inc. | | | 52,478 | | | | 1,405,886 | |
Dow, Inc. | | | 52,106 | | | | 2,123,841 | |
DuPont de Nemours, Inc. | | | 52,315 | | | | 2,779,496 | |
Eastman Chemical Co. | | | 9,231 | | | | 642,847 | |
Ecolab, Inc. | | | 17,474 | | | | 3,476,452 | |
FMC Corp. | | | 9,253 | | | | 921,784 | |
International Flavors & Fragrances, Inc.(a) | | | 7,677 | | | | 940,125 | |
Linde plc | | | 37,514 | | | | 7,957,094 | |
LyondellBasell Industries NV, Class A | | | 18,475 | | | | 1,214,177 | |
Mosaic Co. (The) | | | 25,303 | | | | 316,540 | |
PPG Industries, Inc. | | | 16,630 | | | | 1,763,778 | |
Sherwin-Williams Co. (The) | | | 5,726 | | | | 3,308,769 | |
| | | | | | | | |
| | | | | | | 32,397,843 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Commercial Services & Supplies — 0.4% | | | | | | |
Cintas Corp.(a) | | | 6,013 | | | $ | 1,601,623 | |
Copart, Inc.(b) | | | 14,817 | | | | 1,233,812 | |
Republic Services, Inc. | | | 14,602 | | | | 1,198,094 | |
Rollins, Inc. | | | 10,180 | | | | 431,530 | |
Waste Management, Inc. | | | 27,655 | | | | 2,928,941 | |
| | | | | | | | |
| | | | | | | 7,394,000 | |
| | |
| Communications Equipment — 1.0% | | | | | | |
Arista Networks, Inc.(b) | | | 3,922 | | | | 823,738 | |
Cisco Systems, Inc. | | | 301,644 | | | | 14,068,676 | |
F5 Networks, Inc.(b) | | | 4,354 | | | | 607,296 | |
Juniper Networks, Inc. | | | 24,438 | | | | 558,653 | |
Motorola Solutions, Inc. | | | 11,964 | | | | 1,676,515 | |
| | | | | | | | |
| | | | | | | 17,734,878 | |
| | |
| Construction & Engineering — 0.1% | | | | | | |
Jacobs Engineering Group, Inc. | | | 9,321 | | | | 790,421 | |
Quanta Services, Inc. | | | 10,442 | | | | 409,639 | |
| | | | | | | | |
| | | | | | | 1,200,060 | |
| | |
| Construction Materials — 0.1% | | | | | | |
Martin Marietta Materials, Inc. | | | 4,303 | | | | 888,871 | |
Vulcan Materials Co. | | | 9,474 | | | | 1,097,563 | |
| | | | | | | | |
| | | | | | | 1,986,434 | |
| | |
| Consumer Finance — 0.5% | | | | | | |
American Express Co. | | | 46,987 | | | | 4,473,162 | |
Capital One Financial Corp. | | | 32,232 | | | | 2,017,401 | |
Discover Financial Services | | | 21,629 | | | | 1,083,397 | |
Synchrony Financial | | | 38,129 | | | | 844,939 | |
| | | | | | | | |
| | | | | | | 8,418,899 | |
| | |
| Containers & Packaging — 0.3% | | | | | | |
Amcor plc | | | 111,966 | | | | 1,143,173 | |
Avery Dennison Corp. | | | 6,071 | | | | 692,640 | |
Ball Corp.(a) | | | 23,401 | | | | 1,626,136 | |
International Paper Co. | | | 27,020 | | | | 951,374 | |
Packaging Corp. of America | | | 6,790 | | | | 677,642 | |
Sealed Air Corp. | | | 10,914 | | | | 358,525 | |
WestRock Co. | | | 18,270 | | | | 516,310 | |
| | | | | | | | |
| | | | | | | 5,965,800 | |
| | |
| Distributors — 0.1% | | | | | | |
Genuine Parts Co. | | | 10,448 | | | | 908,558 | |
LKQ Corp.(b) | | | 21,928 | | | | 574,514 | |
| | | | | | | | |
| | | | | | | 1,483,072 | |
| | |
| Diversified Consumer Services — 0.0% | | | | | | |
H&R Block, Inc. | | | 14,315 | | | | 204,418 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 1.3% | | | | | | |
Berkshire Hathaway, Inc., Class B(b) | | | 138,493 | | | | 24,722,385 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 1.8% | |
AT&T, Inc. | | | 507,190 | | | | 15,332,354 | |
CenturyLink, Inc. | | | 70,745 | | | | 709,572 | |
Verizon Communications, Inc. | | | 294,394 | | | | 16,229,941 | |
| | | | | | | | |
| | | | | | | 32,271,867 | |
| | |
| Electric Utilities — 1.9% | | | | | | |
Alliant Energy Corp. | | | 17,390 | | | | 831,938 | |
American Electric Power Co., Inc. | | | 34,972 | | | | 2,785,170 | |
Duke Energy Corp. | | | 52,376 | | | | 4,184,319 | |
Edison International | | | 26,840 | | | | 1,457,680 | |
Entergy Corp. | | | 14,278 | | | | 1,339,419 | |
Evergy, Inc. | | | 15,755 | | | | 934,114 | |
Eversource Energy | | | 24,028 | | | | 2,000,812 | |
Exelon Corp. | | | 68,751 | | | | 2,494,974 | |
FirstEnergy Corp. | | | 37,962 | | | | 1,472,166 | |
NextEra Energy, Inc. | | | 34,892 | | | | 8,380,012 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Electric Utilities (continued) | | | | | | |
NRG Energy, Inc. | | | 17,081 | | | $ | 556,157 | |
Pinnacle West Capital Corp. | | | 8,039 | | | | 589,178 | |
PPL Corp. | | | 55,115 | | | | 1,424,172 | |
Southern Co. (The) | | | 75,252 | | | | 3,901,816 | |
Xcel Energy, Inc. | | | 37,010 | | | | 2,313,125 | |
| | | | | | | | |
| | | | | | | 34,665,052 | |
| | |
| Electrical Equipment — 0.5% | | | | | | |
AMETEK, Inc. | | | 16,506 | | | | 1,475,141 | |
Eaton Corp. plc | | | 28,633 | | | | 2,504,815 | |
Emerson Electric Co. | | | 42,368 | | | | 2,628,087 | |
Rockwell Automation, Inc. | | | 8,135 | | | | 1,732,755 | |
| | | | | | | | |
| | | | | | | 8,340,798 | |
|
| Electronic Equipment, Instruments & Components — 0.5% | |
Amphenol Corp., Class A | | | 20,811 | | | | 1,993,902 | |
CDW Corp. | | | 9,926 | | | | 1,153,203 | |
Corning, Inc. | | | 53,736 | | | | 1,391,762 | |
FLIR Systems, Inc. | | | 9,763 | | | | 396,085 | |
IPG Photonics Corp.(b) | | | 2,533 | | | | 406,268 | |
Keysight Technologies, Inc.(b) | | | 13,028 | | | | 1,312,962 | |
TE Connectivity Ltd. | | | 23,535 | | | | 1,919,279 | |
Zebra Technologies Corp., Class A(b) | | | 3,734 | | | | 955,717 | |
| | | | | | | | |
| | | | | | | 9,529,178 | |
| | |
| Energy Equipment & Services — 0.2% | | | | | | |
Baker Hughes Co. | | | 47,232 | | | | 726,900 | |
Halliburton Co. | | | 62,448 | | | | 810,575 | |
National Oilwell Varco, Inc. | | | 28,051 | | | | 343,625 | |
Schlumberger Ltd. | | | 98,786 | | | | 1,816,675 | |
TechnipFMC plc | | | 29,057 | | | | 198,750 | |
| | | | | | | | |
| | | | | | | 3,896,525 | |
| | |
| Entertainment — 2.0% | | | | | | |
Activision Blizzard, Inc. | | | 54,944 | | | | 4,170,250 | |
Electronic Arts, Inc.(b) | | | 20,608 | | | | 2,721,286 | |
Live Nation Entertainment, Inc.(b) | | | 9,972 | | | | 442,059 | |
Netflix, Inc.(b) | | | 31,286 | | | | 14,236,381 | |
Take-Two Interactive Software, Inc.(b) | | | 8,163 | | | | 1,139,310 | |
Walt Disney Co. (The) | | | 128,548 | | | | 14,334,388 | |
| | | | | | | | |
| | | | | | | 37,043,674 | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.8% | |
Alexandria Real Estate Equities, Inc. | | | 8,939 | | | | 1,450,353 | |
American Tower Corp. | | | 31,557 | | | | 8,158,747 | |
Apartment Investment & Management Co., Class A | | | 10,875 | | | | 409,335 | |
AvalonBay Communities, Inc. | | | 10,075 | | | | 1,557,998 | |
Boston Properties, Inc. | | | 10,008 | | | | 904,523 | |
Crown Castle International Corp. | | | 29,726 | | | | 4,974,646 | |
Digital Realty Trust, Inc. | | | 19,076 | | | | 2,710,890 | |
Duke Realty Corp. | | | 26,665 | | | | 943,674 | |
Equinix, Inc. | | | 6,296 | | | | 4,421,681 | |
Equity Residential | | | 24,476 | | | | 1,439,678 | |
Essex Property Trust, Inc. | | | 4,601 | | | | 1,054,411 | |
Extra Space Storage, Inc. | | | 9,318 | | | | 860,704 | |
Federal Realty Investment Trust | | | 5,200 | | | | 443,092 | |
Healthpeak Properties, Inc. | | | 37,981 | | | | 1,046,756 | |
Host Hotels & Resorts, Inc. | | | 49,064 | | | | 529,401 | |
Iron Mountain, Inc.(a) | | | 21,012 | | | | 548,413 | |
Kimco Realty Corp. | | | 31,273 | | | | 401,545 | |
Mid-America Apartment Communities, Inc. | | | 8,211 | | | | 941,555 | |
Prologis, Inc. | | | 52,746 | | | | 4,922,784 | |
Public Storage | | | 10,655 | | | | 2,044,588 | |
Realty Income Corp. | | | 24,741 | | | | 1,472,090 | |
Regency Centers Corp. | | | 12,325 | | | | 565,594 | |
SBA Communications Corp. | | | 7,946 | | | | 2,367,272 | |
Simon Property Group, Inc. | | | 21,458 | | | | 1,467,298 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
SL Green Realty Corp.(a) | | | 5,089 | | | $ | 250,837 | |
UDR, Inc. | | | 21,082 | | | | 788,045 | |
Ventas, Inc. | | | 26,012 | | | | 952,560 | |
Vornado Realty Trust | | | 11,559 | | | | 441,670 | |
Welltower, Inc. | | | 29,712 | | | | 1,537,596 | |
Weyerhaeuser Co. | | | 52,311 | | | | 1,174,905 | |
| | | | | | | | |
| | | | | | | 50,782,641 | |
| | |
| Food & Staples Retailing — 1.5% | | | | | | |
Costco Wholesale Corp. | | | 31,432 | | | | 9,530,497 | |
Kroger Co. (The) | | | 56,063 | | | | 1,897,732 | |
Sysco Corp. | | | 35,907 | | | | 1,962,677 | |
Walgreens Boots Alliance, Inc. | | | 52,880 | | | | 2,241,583 | |
Walmart, Inc. | | | 100,822 | | | | 12,076,459 | |
| | | | | | | | |
| | | | | | | 27,708,948 | |
| | |
| Food Products — 1.1% | | | | | | |
Archer-Daniels-Midland Co. | | | 39,920 | | | | 1,592,808 | |
Campbell Soup Co.(a) | | | 12,267 | | | | 608,811 | |
Conagra Brands, Inc. | | | 35,149 | | | | 1,236,190 | |
General Mills, Inc. | | | 42,719 | | | | 2,633,626 | |
Hershey Co. (The) | | | 10,357 | | | | 1,342,474 | |
Hormel Foods Corp.(a) | | | 20,135 | | | | 971,916 | |
JM Smucker Co. (The) | | | 8,176 | | | | 865,103 | |
Kellogg Co. | | | 17,801 | | | | 1,175,934 | |
Kraft Heinz Co. (The) | | | 44,692 | | | | 1,425,228 | |
Lamb Weston Holdings, Inc. | | | 10,362 | | | | 662,443 | |
McCormick & Co., Inc. (Non-Voting) | | | 8,877 | | | | 1,592,623 | |
Mondelez International, Inc., Class A | | | 101,820 | | | | 5,206,057 | |
Tyson Foods, Inc., Class A | | | 21,198 | | | | 1,265,733 | |
| | | | | | | | |
| | | | | | | 20,578,946 | |
| | |
| Gas Utilities — 0.0% | | | | | | |
Atmos Energy Corp. | | | 8,545 | | | | 850,911 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 3.8% | |
Abbott Laboratories | | | 125,740 | | | | 11,496,408 | |
ABIOMED, Inc.(b) | | | 3,233 | | | | 780,963 | |
Align Technology, Inc.(b) | | | 5,150 | | | | 1,413,366 | |
Baxter International, Inc. | | | 36,075 | | | | 3,106,058 | |
Becton Dickinson and Co. | | | 21,036 | | | | 5,033,284 | |
Boston Scientific Corp.(b) | | | 101,306 | | | | 3,556,854 | |
Cooper Cos., Inc. (The) | | | 3,427 | | | | 972,034 | |
Danaher Corp. | | | 44,781 | | | | 7,918,624 | |
Dentsply Sirona, Inc. | | | 16,197 | | | | 713,640 | |
DexCom, Inc.(b) | | | 6,557 | | | | 2,658,208 | |
Edwards Lifesciences Corp.(b) | | | 44,205 | | | | 3,055,008 | |
Hologic, Inc.(b) | | | 18,272 | | | | 1,041,504 | |
IDEXX Laboratories, Inc.(b) | | | 6,043 | | | | 1,995,157 | |
Intuitive Surgical, Inc.(b) | | | 8,301 | | | | 4,730,159 | |
Medtronic plc | | | 95,249 | | | | 8,734,333 | |
ResMed, Inc. | | | 10,274 | | | | 1,972,608 | |
STERIS plc | | | 6,137 | | | | 941,661 | |
Stryker Corp. | | | 23,001 | | | | 4,144,550 | |
Teleflex, Inc. | | | 3,310 | | | | 1,204,774 | |
Varian Medical Systems, Inc.(b) | | | 6,219 | | | | 761,952 | |
West Pharmaceutical Services, Inc. | | | 5,326 | | | | 1,209,907 | |
Zimmer Biomet Holdings, Inc. | | | 14,834 | | | | 1,770,586 | |
| | | | | | | | |
| | | | | | | 69,211,638 | |
| | |
| Health Care Providers & Services — 2.8% | | | | | | |
AmerisourceBergen Corp. | | | 10,814 | | | | 1,089,727 | |
Anthem, Inc. | | | 17,930 | | | | 4,715,231 | |
Cardinal Health, Inc. | | | 20,285 | | | | 1,058,674 | |
Centene Corp.(b) | | | 41,278 | | | | 2,623,217 | |
Cigna Corp. | | | 26,417 | | | | 4,957,150 | |
CVS Health Corp. | | | 92,922 | | | | 6,037,142 | |
DaVita, Inc.(b) | | | 5,976 | | | | 472,941 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Health Care Providers & Services (continued) | |
HCA Healthcare, Inc. | | | 18,571 | | | $ | 1,802,501 | |
Henry Schein, Inc.(b) | | | 10,508 | | | | 613,562 | |
Humana, Inc. | | | 9,362 | | | | 3,630,116 | |
Laboratory Corp. of America Holdings(b) | | | 6,960 | | | | 1,156,126 | |
McKesson Corp. | | | 11,572 | | | | 1,775,376 | |
Quest Diagnostics, Inc. | | | 9,685 | | | | 1,103,703 | |
UnitedHealth Group, Inc. | | | 67,461 | | | | 19,897,622 | |
Universal Health Services, Inc., Class B | | | 5,381 | | | | 499,841 | |
| | | | | | | | |
| | | | | | | 51,432,929 | |
| | |
| Health Care Technology — 0.1% | | | | | | |
Cerner Corp. | | | 21,629 | | | | 1,482,668 | |
| | | | | | | | |
| | |
| Hotels, Restaurants & Leisure — 1.5% | | | | | | |
Carnival Corp.(a) | | | 33,236 | | | | 545,735 | |
Chipotle Mexican Grill, Inc.(b) | | | 1,839 | | | | 1,935,290 | |
Darden Restaurants, Inc.(a) | | | 9,017 | | | | 683,218 | |
Domino’s Pizza, Inc. | | | 2,805 | | | | 1,036,279 | |
Hilton Worldwide Holdings, Inc. | | | 19,669 | | | | 1,444,688 | |
Las Vegas Sands Corp. | | | 24,340 | | | | 1,108,444 | |
Marriott International, Inc., Class A | | | 19,122 | | | | 1,639,329 | |
McDonald’s Corp. | | | 52,851 | | | | 9,749,424 | |
MGM Resorts International | | | 34,729 | | | | 583,447 | |
Norwegian Cruise Line Holdings Ltd.(b) | | | 18,089 | | | | 297,202 | |
Royal Caribbean Cruises Ltd. | | | 12,272 | | | | 617,282 | |
Starbucks Corp. | | | 82,990 | | | | 6,107,234 | |
Wynn Resorts Ltd. | | | 6,910 | | | | 514,726 | |
Yum! Brands, Inc. | | | 21,265 | | | | 1,848,141 | |
| | | | | | | | |
| | | | | | | 28,110,439 | |
| | |
| Household Durables — 0.4% | | | | | | |
DR Horton, Inc. | | | 23,190 | | | | 1,285,885 | |
Garmin Ltd. | | | 10,356 | | | | 1,009,710 | |
Leggett & Platt, Inc. | | | 9,772 | | | | 343,486 | |
Lennar Corp., Class A(a) | | | 19,350 | | | | 1,192,347 | |
Mohawk Industries, Inc.(b) | | | 4,322 | | | | 439,807 | |
Newell Brands, Inc. | | | 28,110 | | | | 446,387 | |
NVR, Inc.(b) | | | 249 | | | | 811,429 | |
PulteGroup, Inc. | | | 18,583 | | | | 632,379 | |
Whirlpool Corp. | | | 4,285 | | | | 555,036 | |
| | | | | | | | |
| | | | | | | 6,716,466 | |
| | |
| Household Products — 1.7% | | | | | | |
Church & Dwight Co., Inc. | | | 17,090 | | | | 1,321,057 | |
Clorox Co. (The)(a) | | | 8,833 | | | | 1,937,695 | |
Colgate-Palmolive Co. | | | 60,613 | | | | 4,440,508 | |
Kimberly-Clark Corp. | | | 24,223 | | | | 3,423,921 | |
Procter & Gamble Co. (The) | | | 176,447 | | | | 21,097,768 | |
| | | | | | | | |
| | | | | | | 32,220,949 | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
AES Corp. (The)(a) | | | 47,982 | | | | 695,259 | |
| | | | | | | | |
| | |
| Industrial Conglomerates — 1.1% | | | | | | |
3M Co. | | | 40,968 | | | | 6,390,598 | |
General Electric Co. | | | 623,968 | | | | 4,261,701 | |
Honeywell International, Inc. | | | 50,084 | | | | 7,241,646 | |
Roper Technologies, Inc. | | | 7,360 | | | | 2,857,594 | |
| | | | | | | | |
| | | | | | | 20,751,539 | |
| | |
| Insurance — 1.9% | | | | | | |
Aflac, Inc. | | | 51,473 | | | | 1,854,572 | |
Allstate Corp. (The) | | | 22,199 | | | | 2,153,081 | |
American International Group, Inc. | | | 61,525 | | | | 1,918,350 | |
Aon plc, Class A | | | 16,584 | | | | 3,194,078 | |
Arthur J Gallagher & Co. | | | 13,403 | | | | 1,306,658 | |
Assurant, Inc. | | | 4,441 | | | | 458,711 | |
Chubb Ltd. | | | 32,098 | | | | 4,064,249 | |
Cincinnati Financial Corp. | | | 10,997 | | | | 704,138 | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Insurance (continued) | | | | | | |
Everest Re Group Ltd. | | | 2,916 | | | $ | 601,279 | |
Globe Life, Inc. | | | 7,265 | | | | 539,281 | |
Hartford Financial Services Group, Inc. (The) | | | 24,913 | | | | 960,396 | |
Lincoln National Corp. | | | 13,381 | | | | 492,287 | |
Loews Corp. | | | 16,800 | | | | 576,072 | |
Marsh & McLennan Cos., Inc. | | | 36,230 | | | | 3,890,015 | |
MetLife, Inc. | | | 54,903 | | | | 2,005,058 | |
Principal Financial Group, Inc. | | | 18,460 | | | | 766,828 | |
Progressive Corp. (The) | | | 41,398 | | | | 3,316,394 | |
Prudential Financial, Inc. | | | 28,355 | | | | 1,726,820 | |
Travelers Cos., Inc. (The) | | | 18,113 | | | | 2,065,788 | |
Unum Group | | | 15,055 | | | | 249,762 | |
Willis Towers Watson plc | | | 8,980 | | | | 1,768,611 | |
WR Berkley Corp. | | | 10,334 | | | | 592,035 | |
| | | | | | | | |
| | | | | | | 35,204,463 | |
| | |
| Interactive Media & Services — 5.4%(b) | | | | | | |
Alphabet, Inc., Class A | | | 21,314 | | | | 30,224,318 | |
Alphabet, Inc., Class C | | | 20,851 | | | | 29,475,182 | |
Facebook, Inc., Class A | | | 171,137 | | | | 38,860,078 | |
Twitter, Inc. | | | 56,077 | | | | 1,670,534 | |
| | | | | | | | |
| | | | | | | 100,230,112 | |
| | |
| Internet & Direct Marketing Retail — 4.9% | | | | | | |
Amazon.com, Inc.(b) | | | 29,818 | | | | 82,262,495 | |
Booking Holdings, Inc.(b) | | | 2,916 | | | | 4,643,263 | |
eBay, Inc. | | | 47,035 | | | | 2,466,986 | |
Expedia Group, Inc. | | | 9,626 | | | | 791,257 | |
| | | | | | | | |
| | | | | | | 90,164,001 | |
| | |
| IT Services — 5.7% | | | | | | |
Accenture plc, Class A | | | 45,408 | | | | 9,750,006 | |
Akamai Technologies, Inc.(b) | | | 11,582 | | | | 1,240,316 | |
Automatic Data Processing, Inc. | | | 30,582 | | | | 4,553,354 | |
Broadridge Financial Solutions, Inc. | | | 8,288 | | | | 1,045,863 | |
Cognizant Technology Solutions Corp., Class A | | | 38,528 | | | | 2,189,161 | |
DXC Technology Co. | | | 18,042 | | | | 297,693 | |
Fidelity National Information Services, Inc. | | | 43,903 | | | | 5,886,953 | |
Fiserv, Inc.(b) | | | 40,372 | | | | 3,941,115 | |
FleetCor Technologies, Inc.(b) | | | 5,900 | | | | 1,484,027 | |
Gartner, Inc.(b) | | | 6,415 | | | | 778,332 | |
Global Payments, Inc. | | | 21,253 | | | | 3,604,934 | |
International Business Machines Corp. | | | 63,118 | | | | 7,622,761 | |
Jack Henry & Associates, Inc. | | | 5,512 | | | | 1,014,373 | |
Leidos Holdings, Inc. | | | 9,621 | | | | 901,199 | |
Mastercard, Inc., Class A | | | 62,826 | | | | 18,577,648 | |
Paychex, Inc. | | | 22,355 | | | | 1,693,391 | |
PayPal Holdings, Inc.(b) | | | 83,552 | | | | 14,557,265 | |
VeriSign, Inc.(b) | | | 7,185 | | | | 1,486,073 | |
Visa, Inc., Class A | | | 120,186 | | | | 23,216,330 | |
Western Union Co. (The) | | | 28,495 | | | | 616,062 | |
| | | | | | | | |
| | | | | | | 104,456,856 | |
| | |
| Leisure Products — 0.0% | | | | | | |
Hasbro, Inc. | | | 9,184 | | | | 688,341 | |
| | | | | | | | |
| | |
| Life Sciences Tools & Services — 1.2% | | | | | | |
Agilent Technologies, Inc. | | | 21,748 | | | | 1,921,871 | |
Bio-Rad Laboratories, Inc., Class A(b) | | | 1,478 | | | | 667,302 | |
Illumina, Inc.(b) | | | 10,395 | | | | 3,849,788 | |
IQVIA Holdings, Inc.(b) | | | 12,671 | | | | 1,797,762 | |
Mettler-Toledo International, Inc.(b) | | | 1,699 | | | | 1,368,630 | |
PerkinElmer, Inc. | | | 7,982 | | | | 782,954 | |
Thermo Fisher Scientific, Inc. | | | 28,113 | | | | 10,186,464 | |
Waters Corp.(b) | | | 4,441 | | | | 801,156 | |
| | | | | | | | |
| | | | | | | 21,375,927 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Machinery — 1.5% | | | | | | |
Caterpillar, Inc. | | | 38,555 | | | $ | 4,877,207 | |
Cummins, Inc. | | | 10,523 | | | | 1,823,215 | |
Deere & Co.(a) | | | 22,279 | | | | 3,501,145 | |
Dover Corp. | | | 10,022 | | | | 967,724 | |
Flowserve Corp. | | | 9,587 | | | | 273,421 | |
Fortive Corp. | | | 20,724 | | | | 1,402,186 | |
IDEX Corp. | | | 5,442 | | | | 860,054 | |
Illinois Tool Works, Inc. | | | 20,423 | | | | 3,570,962 | |
Ingersoll Rand, Inc.(b) | | | 23,709 | | | | 666,697 | |
Otis Worldwide Corp. | | | 28,435 | | | | 1,616,814 | |
PACCAR, Inc. | | | 24,259 | | | | 1,815,786 | |
Parker-Hannifin Corp. | | | 9,002 | | | | 1,649,797 | |
Pentair plc | | | 12,248 | | | | 465,301 | |
Snap-on, Inc.(a) | | | 3,924 | | | | 543,513 | |
Stanley Black & Decker, Inc. | | | 10,920 | | | | 1,522,030 | |
Westinghouse Air Brake Technologies Corp. | | | 13,019 | | | | 749,504 | |
Xylem, Inc. | | | 12,883 | | | | 836,880 | |
| | | | | | | | |
| | | | | | | 27,142,236 | |
| | |
| Media — 1.2% | | | | | | |
Charter Communications, Inc., Class A(b) | | | 10,713 | | | | 5,464,059 | |
Comcast Corp., Class A(a) | | | 323,970 | | | | 12,628,351 | |
Discovery, Inc., Class A(b) | | | 11,085 | | | | 233,894 | |
Discovery, Inc., Class C(b) | | | 23,731 | | | | 457,059 | |
DISH Network Corp., Class A(b) | | | 18,206 | | | | 628,289 | |
Fox Corp., Class A | | | 24,222 | | | | 649,634 | |
Fox Corp., Class B | | | 11,637 | | | | 312,337 | |
Interpublic Group of Cos., Inc. (The) | | | 28,177 | | | | 483,517 | |
News Corp., Class A | | | 27,808 | | | | 329,803 | |
News Corp., Class B | | | 8,848 | | | | 105,733 | |
Omnicom Group, Inc. | | | 15,624 | | | | 853,070 | |
ViacomCBS, Inc.(a) | | | 37,241 | | | | 868,460 | |
| | | | | | | | |
| | | | | | | 23,014,206 | |
| | |
| Metals & Mining — 0.3% | | | | | | |
Freeport-McMoRan, Inc. | | | 104,724 | | | | 1,211,657 | |
Newmont Corp. | | | 56,868 | | | | 3,511,030 | |
Nucor Corp. | | | 20,862 | | | | 863,895 | |
| | | | | | | | |
| | | | | | | 5,586,582 | |
| | |
| Multiline Retail — 0.5% | | | | | | |
Dollar General Corp. | | | 18,004 | | | | 3,429,942 | |
Dollar Tree, Inc.(b) | | | 16,968 | | | | 1,572,594 | |
Kohl’s Corp. | | | 11,394 | | | | 236,654 | |
Target Corp. | | | 35,454 | | | | 4,251,998 | |
| | | | | | | | |
| | | | | | | 9,491,188 | |
| | |
| Multi-Utilities — 1.0% | | | | | | |
Ameren Corp. | | | 17,721 | | | | 1,246,850 | |
CenterPoint Energy, Inc. | | | 39,310 | | | | 733,918 | |
CMS Energy Corp. | | | 20,546 | | | | 1,200,297 | |
Consolidated Edison, Inc. | | | 23,836 | | | | 1,714,523 | |
Dominion Energy, Inc. | | | 59,931 | | | | 4,865,199 | |
DTE Energy Co. | | | 13,837 | | | | 1,487,477 | |
NiSource, Inc. | | | 26,741 | | | | 608,090 | |
Public Service Enterprise Group, Inc. | | | 36,380 | | | | 1,788,441 | |
Sempra Energy | | | 20,766 | | | | 2,434,398 | |
WEC Energy Group, Inc. | | | 22,670 | | | | 1,987,026 | |
| | | | | | | | |
| | | | | | | 18,066,219 | |
| | |
| Oil, Gas & Consumable Fuels — 2.6% | | | | | | |
Apache Corp. | | | 27,698 | | | | 373,923 | |
Cabot Oil & Gas Corp. | | | 27,445 | | | | 471,505 | |
Chevron Corp. | | | 132,735 | | | | 11,843,944 | |
Concho Resources, Inc. | | | 13,667 | | | | 703,851 | |
ConocoPhillips | | | 76,103 | | | | 3,197,848 | |
Devon Energy Corp. | | | 28,362 | | | | 321,625 | |
Diamondback Energy, Inc. | | | 11,670 | | | | 488,039 | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
EOG Resources, Inc.(a) | | | 40,788 | | | $ | 2,066,320 | |
Exxon Mobil Corp. | | | 300,632 | | | | 13,444,263 | |
Hess Corp. | | | 18,699 | | | | 968,795 | |
HollyFrontier Corp. | | | 10,883 | | | | 317,784 | |
Kinder Morgan, Inc. | | | 137,169 | | | | 2,080,854 | |
Marathon Oil Corp.(a) | | | 57,800 | | | | 353,736 | |
Marathon Petroleum Corp. | | | 46,742 | | | | 1,747,216 | |
Noble Energy, Inc. | | | 34,989 | | | | 313,501 | |
Occidental Petroleum Corp. | | | 64,198 | | | | 1,174,823 | |
ONEOK, Inc. | | | 29,653 | | | | 985,073 | |
Phillips 66 | | | 31,381 | | | | 2,256,294 | |
Pioneer Natural Resources Co. | | | 11,897 | | | | 1,162,337 | |
Valero Energy Corp. | | | 28,744 | | | | 1,690,722 | |
Williams Cos., Inc. (The) | | | 84,915 | | | | 1,615,083 | |
| | | | | | | | |
| | | | | | | 47,577,536 | |
| | |
| Personal Products — 0.2% | | | | | | |
Coty, Inc., Class A | | | 21,879 | | | | 97,799 | |
Estee Lauder Cos., Inc. (The), Class A | | | 16,023 | | | | 3,023,220 | |
| | | | | | | | |
| | | | | | | 3,121,019 | |
| | |
| Pharmaceuticals — 4.3% | | | | | | |
Bristol-Myers Squibb Co. | | | 161,015 | | | | 9,467,682 | |
Eli Lilly & Co. | | | 59,753 | | | | 9,810,247 | |
Johnson & Johnson | | | 187,645 | | | | 26,388,516 | |
Merck & Co., Inc. | | | 180,049 | | | | 13,923,189 | |
Mylan NV(b) | | | 36,861 | | | | 592,725 | |
Perrigo Co. plc | | | 9,928 | | | | 548,721 | |
Pfizer, Inc. | | | 395,000 | | | | 12,916,500 | |
Zoetis, Inc. | | | 33,674 | | | | 4,614,685 | |
| | | | | | | | |
| | | | | | | 78,262,265 | |
| | |
| Professional Services — 0.3% | | | | | | |
Equifax, Inc. | | | 8,692 | | | | 1,493,981 | |
IHS Markit Ltd. | | | 28,134 | | | | 2,124,117 | |
Nielsen Holdings plc(a) | | | 25,660 | | | | 381,308 | |
Robert Half International, Inc. | | | 8,484 | | | | 448,210 | |
Verisk Analytics, Inc. | | | 11,576 | | | | 1,970,235 | |
| | | | | | | | |
| | | | | | | 6,417,851 | |
|
| Real Estate Management & Development — 0.1% | |
CBRE Group, Inc., Class A(b) | | | 23,516 | | | | 1,063,394 | |
| | | | | | | | |
| | |
| Road & Rail — 1.0% | | | | | | |
CSX Corp. | | | 54,385 | | | | 3,792,810 | |
JB Hunt Transport Services, Inc. | | | 5,816 | | | | 699,897 | |
Kansas City Southern | | | 6,834 | | | | 1,020,248 | |
Norfolk Southern Corp. | | | 18,188 | | | | 3,193,267 | |
Old Dominion Freight Line, Inc. | | | 6,678 | | | | 1,132,522 | |
Union Pacific Corp. | | | 48,453 | | | | 8,191,949 | |
| | | | | | | | |
| | | | | | | 18,030,693 | |
|
| Semiconductors & Semiconductor Equipment — 4.8% | |
Advanced Micro Devices, Inc.(b) | | | 83,542 | | | | 4,395,145 | |
Analog Devices, Inc. | | | 26,016 | | | | 3,190,602 | |
Applied Materials, Inc. | | | 65,332 | | | | 3,949,319 | |
Broadcom, Inc. | | | 28,429 | | | | 8,972,477 | |
Intel Corp. | | | 301,299 | | | | 18,026,719 | |
KLA Corp. | | | 11,100 | | | | 2,158,728 | |
Lam Research Corp. | | | 10,259 | | | | 3,318,376 | |
Maxim Integrated Products, Inc. | | | 19,408 | | | | 1,176,319 | |
Microchip Technology, Inc. | | | 17,382 | | | | 1,830,498 | |
Micron Technology, Inc.(b) | | | 79,185 | | | | 4,079,611 | |
NVIDIA Corp. | | | 43,776 | | | | 16,630,940 | |
Qorvo, Inc.(b) | | | 8,352 | | | | 923,147 | |
QUALCOMM, Inc. | | | 80,063 | | | | 7,302,546 | |
Skyworks Solutions, Inc. | | | 11,873 | | | | 1,518,082 | |
Texas Instruments, Inc. | | | 65,405 | | | | 8,304,473 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Semiconductors & Semiconductor Equipment (continued) | |
Xilinx, Inc. | | | 17,582 | | | $ | 1,729,893 | |
| | | | | | | | |
| | | | | | | 87,506,875 | |
| | |
| Software — 9.3% | | | | | | |
Adobe, Inc.(b) | | | 34,249 | | | | 14,908,932 | |
ANSYS, Inc.(b) | | | 6,147 | | | | 1,793,264 | |
Autodesk, Inc.(b) | | | 15,558 | | | | 3,721,318 | |
Cadence Design Systems, Inc.(b) | | | 19,745 | | | | 1,894,730 | |
Citrix Systems, Inc. | | | 8,300 | | | | 1,227,653 | |
Fortinet, Inc.(b) | | | 9,533 | | | | 1,308,595 | |
Intuit, Inc. | | | 18,575 | | | | 5,501,729 | |
Microsoft Corp. | | | 539,655 | | | | 109,825,189 | |
NortonLifeLock, Inc. | | | 38,634 | | | | 766,112 | |
Oracle Corp. | | | 148,178 | | | | 8,189,798 | |
Paycom Software, Inc.(b) | | | 3,377 | | | | 1,045,958 | |
salesforce.com, Inc.(b) | | | 64,087 | | | | 12,005,418 | |
ServiceNow, Inc.(b) | | | 13,573 | | | | 5,497,880 | |
Synopsys, Inc.(b) | | | 10,775 | | | | 2,101,125 | |
Tyler Technologies, Inc.(b) | | | 2,803 | | | | 972,305 | |
| | | | | | | | |
| | | | | | | 170,760,006 | |
| | |
| Specialty Retail — 2.4% | | | | | | |
Advance Auto Parts, Inc. | | | 4,966 | | | | 707,407 | |
AutoZone, Inc.(b) | | | 1,682 | | | | 1,897,498 | |
Best Buy Co., Inc. | | | 15,874 | | | | 1,385,324 | |
CarMax, Inc.(a)(b) | | | 11,450 | | | | 1,025,347 | |
Gap, Inc. (The) | | | 15,285 | | | | 192,897 | |
Home Depot, Inc. (The) | | | 76,536 | | | | 19,173,033 | |
L Brands, Inc. | | | 17,174 | | | | 257,095 | |
Lowe’s Cos., Inc. | | | 53,683 | | | | 7,253,647 | |
O’Reilly Automotive, Inc.(b) | | | 5,328 | | | | 2,246,658 | |
Ross Stores, Inc. | | | 25,085 | | | | 2,138,245 | |
Tiffany & Co. | | | 7,811 | | | | 952,473 | |
TJX Cos., Inc. (The) | | | 84,941 | | | | 4,294,617 | |
Tractor Supply Co. | | | 8,121 | | | | 1,070,267 | |
Ulta Beauty, Inc.(a)(b) | | | 3,966 | | | | 806,764 | |
| | | | | | | | |
| | | | | | | 43,401,272 | |
|
| Technology Hardware, Storage & Peripherals — 6.0% | |
Apple, Inc.(a) | | | 290,030 | | | | 105,802,944 | |
Hewlett Packard Enterprise Co. | | | 93,311 | | | | 907,916 | |
HP, Inc. | | | 100,533 | | | | 1,752,290 | |
NetApp, Inc. | | | 15,466 | | | | 686,226 | |
Seagate Technology plc | | | 15,789 | | | | 764,346 | |
Western Digital Corp. | | | 21,301 | | | | 940,439 | |
Xerox Holdings Corp. | | | 13,567 | | | | 207,440 | |
| | | | | | | | |
| | | | | | | 111,061,601 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.6% | | | | | | |
Hanesbrands, Inc.(a) | | | 26,438 | | | | 298,485 | |
NIKE, Inc., Class B | | | 88,062 | | | | 8,634,479 | |
PVH Corp. | | | 5,342 | | | | 256,683 | |
Ralph Lauren Corp.(a) | | | 3,548 | | | | 257,301 | |
Tapestry, Inc. | | | 20,084 | | | | 266,716 | |
Under Armour, Inc., Class A(b) | | | 14,210 | | | | 138,406 | |
Under Armour, Inc., Class C(b) | | | 14,754 | | | | 130,425 | |
VF Corp. | | | 22,782 | | | | 1,388,335 | |
| | | | | | | | |
| | | | | | | 11,370,830 | |
| | |
| Tobacco — 0.7% | | | | | | |
Altria Group, Inc. | | | 132,026 | | | | 5,182,020 | |
Philip Morris International, Inc. | | | 110,793 | | | | 7,762,158 | |
| | | | | | | | |
| | | | | | | 12,944,178 | |
|
| Trading Companies & Distributors — 0.2% | |
Fastenal Co. | | | 41,102 | | | | 1,760,809 | |
United Rentals, Inc.(b) | | | 5,099 | | | | 759,955 | |
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Trading Companies & Distributors (continued) | |
WW Grainger, Inc. | | | 3,149 | | | $ | 989,290 | |
| | | | | | | | |
| | | | | | | 3,510,054 | |
| | |
| Water Utilities — 0.1% | | | | | | |
American Water Works Co., Inc. | | | 12,714 | | | | 1,635,783 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.2% | |
T-Mobile US, Inc.(b) | | | 39,153 | | | | 4,077,785 | |
| | | | | | | | |
| | |
Total Common Stocks — 99.2%
(Cost: $851,138,174) | | | | | | | 1,823,990,131 | |
| | | | | | | | |
| | |
Rights — 0.0% | | | | | | | | |
|
| Wireless Telecommunication Services — 0.0%(b) | |
T-Mobile US, Inc. | | | 27,352 | | | | 4,595 | |
| | | | | | | | |
| | |
Total Rights — 0.0%
(Cost: $8,794) | | | | | | | 4,595 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 99.2%
(Cost: $851,146,968) | | | | | | | 1,823,994,726 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Short-Term Securities — 2.4%(c)* | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 25,186,285 | | | $ | 25,186,285 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(d) | | | 19,103,104 | | | | 19,118,387 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.4%
(Cost: $44,304,843) | | | | 44,304,672 | |
| | | | | | | | |
| |
Total Investments — 101.6%
(Cost: $895,451,811) | | | | 1,868,299,398 | |
| |
Liabilities in Excess of Other Assets — (1.6)% | | | | (28,981,940 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 1,839,317,458 | |
| | | | | | | | |
| (a) | All or a portion of this security is on loan. |
| (b) | Non-income producing security. |
| (c) | Annualized 7-day yield as of period end. |
| (d) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 5,870,713 | | | | 19,315,572 | | | | — | | | | 25,186,285 | | | $ | 25,186,285 | | | $ | 38,504 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 13,801,434 | | | | 5,301,670 | | | | — | | | | 19,103,104 | | | | 19,118,387 | | | | 111,699 | (c) | | | (103,672 | ) | | | (171 | ) |
BlackRock, Inc. | | | 8,899 | | | | 2,675 | | | | (613 | ) | | | 10,961 | | | | 5,963,770 | | | | 71,188 | | | | 192,640 | | | | 271,477 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 50,268,442 | | | $ | 221,391 | | | $ | 88,968 | | | $ | 271,306 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund |
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 | | | 185 | | | | 09/18/20 | | | $ | 28,584 | | | $ | 376,287 | |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 376,287 | | | $ | — | | | $ | — | | | $ | — | | | $ | 376,287 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (2,101,846 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (2,101,846 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Net Change in Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 245,224 | | | | — | | | | — | | | | — | | | | 245,224 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | | | | | | | | | |
Futures contracts: | | | | | | | | | |
Average notional value of contracts — long | | | | | | | | | | $ | 23,157,640 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
SCHEDULE OF INVESTMENTS | | 11 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock S&P 500 Index V.I. Fund |
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 | | $ | 1,823,994,726 | | | $ | — | | | $ | — | | | $ | 1,823,994,726 | |
Short-Term Securities | | | 25,186,285 | | | | — | | | | — | | | | 25,186,285 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 1,849,181,011 | | | $ | — | | | $ | — | | | $ | 1,849,181,011 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 19,118,387 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 1,868,299,398 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 376,287 | | | $ | — | | | $ | — | | | $ | 376,287 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock S&P 500 Index V.I. Fund | |
|
ASSETS | |
Investments at value — unaffiliated (including securities loaned at value of $18,822,827) (cost — $848,041,406) | | $ | 1,818,030,956 | |
Investments at value — affiliated (cost — $47,410,405) | | | 50,268,442 | |
Cash | | | 712 | |
Cash pledged for futures contracts | | | 2,364,000 | |
Receivables: | | | | |
Securities lending income — affiliated | | | 18,050 | |
Capital shares sold | | | 536,415 | |
Dividends — affiliated | | | 2,110 | |
Dividends — unaffiliated | | | 1,434,448 | |
Variation margin on futures contracts | | | 401,109 | |
Prepaid expenses | | | 24,668 | |
| | | | |
Total assets | | | 1,873,080,910 | |
| | | | |
|
LIABILITIES | |
Cash collateral on securities loaned at value | | | 19,209,400 | |
Payables: | | | | |
Capital shares redeemed | | | 13,860,309 | |
Distribution fees | | | 47,910 | |
Investment advisory fees | | | 105,123 | |
Directors’ and Officer’s fees | | | 3,155 | |
Other affiliates | | | 6,276 | |
Other accrued expenses | | | 531,279 | |
| | | | |
Total liabilities | | | 33,763,452 | |
| | | | |
| |
NET ASSETS | | $ | 1,839,317,458 | |
| | | | |
|
NET ASSETS CONSIST OF | |
Paid-in capital | | $ | 794,067,797 | |
Accumulated earnings | | | 1,045,249,661 | |
| | | | |
NET ASSETS | | $ | 1,839,317,458 | |
| | | | |
|
NET ASSET VALUE | |
Class I — Based on net assets of $1,584,549,305 and 65,611,591 shares outstanding, 300 million shares authorized, $0.10 par value | | $ | 24.15 | |
| | | | |
Class II — Based on net assets of $7,063,400 and 295,628 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 23.89 | |
| | | | |
Class III — Based on net assets of $247,704,753 and 10,368,410 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 23.89 | |
| | | | |
See notes to financial statements.
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock S&P
500 Index V.I.
Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 109,692 | |
Dividends — unaffiliated | | | 18,573,413 | |
Securities lending income — affiliated — net | | | 111,699 | |
| | | | |
Total investment income | | | 18,794,804 | |
| | | | |
| |
EXPENSES | | | | |
Investment advisory | | | 637,666 | |
Transfer agent — class specific | | | 469,598 | |
Distribution — class specific | | | 334,553 | |
Printing | | | 112,137 | |
Accounting services | | | 81,914 | |
Professional | | | 70,621 | |
Custodian | | | 25,442 | |
Directors and Officer | | | 11,631 | |
Transfer agent | | | 2,504 | |
Miscellaneous | | | 35,635 | |
| | | | |
Total expenses | | | 1,781,701 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (4,663 | ) |
Transfer agent fees waived and/or reimbursed — class specific | | | (76,932 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 1,700,106 | |
| | | | |
Net investment income | | | 17,094,698 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | 88,968 | |
Investments — unaffiliated | | | 66,860,650 | |
Futures contracts | | | (2,101,846 | ) |
| | | | |
| | | 64,847,772 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | 271,306 | |
Investments — unaffiliated | | | (149,234,486 | ) |
Futures contracts | | | 245,224 | |
| | | | |
| | | (148,717,956 | ) |
| | | | |
Net realized and unrealized loss | | | (83,870,184 | ) |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (66,775,486) | |
| | | | |
See notes to financial statements.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock S&P 500 Index V.I. Fund | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 17,094,698 | | | $ | 35,672,041 | |
Net realized gain | | | 64,847,772 | | | | 116,347,335 | |
Net change in unrealized appreciation (depreciation) | | | (148,717,956 | ) | | | 364,246,647 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (66,775,486 | ) | | | 516,266,023 | |
| | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Class I | | | — | | | | (125,146,552 | ) |
Class II | | | — | | | | (560,971 | ) |
Class III | | | — | | | | (22,916,318 | ) |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (148,623,841 | ) |
| | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (110,301,057 | ) | | | (87,585,794 | ) |
| | | | |
| | |
NET ASSETS | | | | | | | | |
| | |
Total increase (decrease) in net assets | | | (177,076,543 | ) | | | 280,056,388 | |
Beginning of period | | | 2,016,394,001 | | | | 1,736,337,613 | |
| | | | |
End of period | | $ | 1,839,317,458 | | | $ | 2,016,394,001 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock S&P 500 Index V.I. Fund | |
| |
| | | Class I | |
| | | Six Months Ended 06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 24.94 | | | $ | 20.50 | | | $ | 22.82 | | | $ | 19.90 | | | $ | 19.08 | | | $ | 20.63 | |
Net investment income (a) | | | 0.22 | | | | 0.45 | | | | 0.44 | | | | 0.37 | | | | 0.37 | | | | 0.37 | |
Net realized and unrealized gain (loss) | | | (1.01 | ) | | | 5.94 | | | | (1.51 | ) | | | 3.91 | | | | 1.85 | | | | (0.14 | ) |
Net increase (decrease) from investment operations | | | (0.79 | ) | | | 6.39 | | | | (1.07 | ) | | | 4.28 | | | | 2.22 | | | | 0.23 | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.54 | ) | | | (0.25 | ) | | | (0.39 | ) | | | (0.38 | ) | | | (0.42 | ) |
From net realized gain | | | — | | | | (1.41 | ) | | | (1.00 | ) | | | (0.97 | ) | | | (1.02 | ) | | | (1.36 | ) |
Total distributions | | | — | | | | (1.95 | ) | | | (1.25 | ) | | | (1.36 | ) | | | (1.40 | ) | | | (1.78 | ) |
| | | | | | |
Net asset value, end of period | | $ | 24.15 | | | $ | 24.94 | | | $ | 20.50 | | | $ | 22.82 | | | $ | 19.90 | | | $ | 19.08 | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.17)%(d) | | | | 31.34% | | | | (4.61)% | | | | 21.50% | | | | 11.60% | | | | 1.05% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.16%(e) | | | | 0.15% | | | | 0.19%(f) | | | | 0.46% | | | | 0.46% | | | | 0.46% | |
Total expenses after fees waived and/or reimbursed | | | 0.15%(e) | | | | 0.14% | | | | 0.16%(f) | | | | 0.30% | | | | 0.31% | | | | 0.31% | |
Net investment income | | | 1.91%(e) | | | | 1.90% | | | | 1.88% | | | | 1.68% | | | | 1.87% | | | | 1.76% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,584,549 | | | $ | 1,709,703 | | | $ | 1,412,400 | | | $ | 216,251 | | | $ | 195,261 | | | $ | 187,048 | |
Portfolio turnover rate | | | 1% | | | | 3% | | | | 5% | | | | 3% | | | | 4% | | | | 4% | |
| (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. |
| (f) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.18% and 0.15%, respectively. |
See notes to financial statements.
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock S&P 500 Index V.I. Fund | |
| |
| | | Class II | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended December 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 24.70 | | | $ | 20.32 | | | $ | 22.63 | | | $ | 19.75 | | | $ | 18.94 | | | $ | 20.49 | |
Net investment income (a) | | | 0.20 | | | | 0.41 | | | | 0.38 | | | | 0.34 | | | | 0.33 | | | | 0.33 | |
Net realized and unrealized gain (loss) | | | (1.01 | ) | | | 5.89 | | | | (1.47 | ) | | | 3.87 | | | | 1.85 | | | | (0.13 | ) |
Net increase (decrease) from investment operations | | | (0.81 | ) | | | 6.30 | | | | (1.09 | ) | | | 4.21 | | | | 2.18 | | | | 0.20 | |
| | | | | | |
Distributions (b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.51 | ) | | | (0.22 | ) | | | (0.36 | ) | | | (0.35 | ) | | | (0.39 | ) |
From net realized gain | | | — | | | | (1.41 | ) | | | (1.00 | ) | | | (0.97 | ) | | | (1.02 | ) | | | (1.36 | ) |
Total distributions | | | — | | | | (1.92 | ) | | | (1.22 | ) | | | (1.33 | ) | | | (1.37 | ) | | | (1.75 | ) |
| | | | | | |
Net asset value, end of period | | $ | 23.89 | | | $ | 24.70 | | | $ | 20.32 | | | $ | 22.63 | | | $ | 19.75 | | | $ | 18.94 | |
| | | | | | |
Total Return (c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.28)%(d) | | | | 31.17% | | | | (4.74)% | | | | 21.31% | | | | 11.47% | | | | 0.89% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.31%(e) | | | | 0.31% | | | | 0.40%(f) | | | | 0.60% | | | | 0.62% | | | | 0.61% | |
Total expenses after fees waived and/or reimbursed | | | 0.30%(e) | | | | 0.30% | | | | 0.33%(f) | | | | 0.45% | | | | 0.46% | | | | 0.46% | |
Net investment income | | | 1.77%(e) | | | | 1.74% | | | | 1.64% | | | | 1.54% | | | | 1.71% | | | | 1.61% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 7,063 | | | $ | 7,979 | | | $ | 4,485 | | | $ | 3,340 | | | $ | 2,298 | | | $ | 1,780 | |
Portfolio turnover rate | | | 1% | | | | 3% | | | | 5% | | | | 3% | | | | 4% | | | | 4% | |
| (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. |
| (f) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.39% and 0.33%, respectively. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | BlackRock S&P 500 Index V.I. Fund | |
| |
| | | Class III | |
| | | Six Months Ended
06/30/20
(unaudited) | | | | �� | | Year Ended
12/31/2019 | | | Period from
02/14/18 (a) to 12/31/18 | |
| | | | | |
Net asset value, beginning of period | | $ | 24.70 | | | | | | | $ | 20.32 | | | $ | 22.88 | |
Net investment income (b) | | | 0.19 | | | | | | | | 0.39 | | | | 0.34 | |
Net realized and unrealized gain (loss) | | | (1.00 | ) | | | | | | | 5.87 | | | | (1.69 | ) |
Net increase (decrease) from investment operations | | | (0.81 | ) | | | | | | | 6.26 | | | | (1.35 | ) |
| | | | |
Distributions (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | | | | | (0.47 | ) | | | (0.21 | ) |
From net realized gain | | | — | | | | | | | | (1.41 | ) | | | (1.00 | ) |
Total distributions | | | — | | | | | | | | (1.88 | ) | | | (1.21 | ) |
| | | | |
Net asset value, end of period | | $ | 23.89 | | | | | | | $ | 24.70 | | | $ | 20.32 | |
| | | | |
Total Return (d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.28)%(e) | | | | | | | | 30.97% | | | | (5.82)%(e) | |
| | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
Total expenses | | | 0.41%(f) | | | | | | | | 0.44% | | | | 0.38%(f)(g) | |
Total expenses after fees waived and/or reimbursed | | | 0.40%(f) | | | | | | | | 0.40% | | | | 0.36%(f)(g) | |
Net investment income | | | 1.66%(f) | | | | | | | | 1.65% | | | | 1.64%(f) | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 247,705 | | | | | | | $ | 298,712 | | | $ | 319,453 | |
Portfolio turnover rate | | | 1% | | | | | | | | 3% | | | | 5%(h) | |
| (a) | Recommencement of operations. |
| (b) | Based on average shares outstanding. |
| (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. |
| (g) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.37% and 0.35%, respectively. |
| (h) | Portfolio turnover rate is representative of the Portfolio for the entire year. |
See notes to financial statements.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock S&P 500 Index V.I. Fund (the “Fund”). The Fund is classified as diversified. Class I, Class II and Class III Shares have equal voting, dividend, liquidation and other rights, except that only shares of the respective classes are entitled to vote on matters concerning only that class. In addition, Class II and Class III Shares bear certain expenses related to the distribution of such shares.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
| | |
NOTESTO FINANCIAL STATEMENTS | | 19 |
Notes to Financial Statements (unaudited) (continued)
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for 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, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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.
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | | Cash Collateral
Received (a) | | | Net Amount | |
Citigroup Global Markets, Inc. | | $ | 4,342,942 | | | $ | (4,342,942 | ) | | $ | — | |
Credit Suisse Securities (USA) LLC | | | 8,684,701 | | | | (8,684,701 | ) | | | — | |
Deutsche Bank Securities, Inc. | | | 95,236 | | | | (95,236 | ) | | | — | |
JP Morgan Securities LLC | | | 4,459,123 | | | | (4,459,123 | ) | | | — | |
National Financial Services LLC | | | 100,421 | | | | (100,421 | ) | | | — | |
State Street Bank & Trust Co. | | | 1,140,404 | | | | (1,140,404 | ) | | | — | |
| | | | |
| | $ | 18,822,827 | | | $ | (18,822,827 | ) | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter.
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 Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to 0.07% of the average daily value of the Fund’s net assets.
Distribution Fees: The Company, on behalf of the Fund, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| | | | |
| | | Distribution Fees | |
Class II | | | 0.15 | % |
Class III | | | 0.25 | |
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder distribution services to the Fund. The ongoing distribution fee compensates BRIL and each broker-dealer for providing shareholder distribution related services to shareholders.
| | |
NOTESTO FINANCIAL STATEMENTS | | 21 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, the following table shows the class specific distribution fees borne directly by each share class of the Fund:
| | | | |
| | | Distribution
Fees | |
Class II | | $ | 5,718 | |
Class III | | | 328,835 | |
| | | $ | 334,553 | |
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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 which is shown as transfer agent — class specific. For the six months ended June 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.
In addition, the Fund pays the transfer agent, which is not an affiliate, a fee for the issuance, transfer and redemption of shares and the opening and maintenance of shareholder accounts, which is included in transfer agent in the Statement of Operations.
For the six months ended June 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Class I | | $ | 403,824 | |
Class II | | | 1,962 | |
Class III | | | 63,812 | |
| | | $ | 469,598 | |
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $4,663.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $11,651 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | | | |
Class I | | | 0.05% | |
Class II | | | 0.05 | |
Class III | | | 0.05 | |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursements were as follows:
| | | | |
| | | Transfer Agent Fees Waived and/or Reimbursed | |
Class I | | | $ 69,191 | |
Class II | | | 323 | |
Class III | | | 7,418 | |
| | | | $ 76,932 | |
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets were as follows:
| | | | |
Class I | | | 0.15% | |
Class II | | | 0.30 | |
Class III | | | 0.40 | |
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/ or reimbursed by the Manager.
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $35,342 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
Other Transactions: The Fund 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, 2020, 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 | | $ | 9,578,267 | |
Sales | | | 2,784,830 | |
Net Realized Loss | | | (3,331,931 | ) |
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $25,608,847 and $139,238,840, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
| | |
NOTESTO FINANCIAL STATEMENTS | | 23 |
Notes to Financial Statements (unaudited) (continued)
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 928,902,263 | |
| | | | |
Gross unrealized appreciation | | $ | 1,013,451,870 | |
Gross unrealized depreciation | | | (73,678,448 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 939,773,422 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures 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
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: As of period end, the Fund invested a significant portion of its assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | Year Ended 12/31/19 |
| | | Shares | | Amount | | Shares | | Amount |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 1,332,196 | | | $ | 29,272,121 | | | | 1,571,214 | | | $ | 37,804,049 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 5,083,222 | | | | 125,146,552 | |
Shares redeemed | | | (4,266,156 | ) | | | (98,073,650 | ) | | | (7,000,707 | ) | | | (166,873,004 | ) |
| | | | |
Net decrease | | | (2,933,960 | ) | | $ | (68,801,529 | ) | | | (346,271 | ) | | $ | (3,922,403 | ) |
| | | | |
Class II | | | | | | | | | | | | | | | | |
Shares sold | | | 52,281 | | | $ | 1,081,421 | | | | 120,266 | | | $ | 2,879,041 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 23,010 | | | | 560,971 | |
Shares redeemed | | | (79,756 | ) | | | (1,847,941 | ) | | | (40,875 | ) | | | (974,894 | ) |
| | | | |
Net increase (decrease) | | | (27,475 | ) | | $ | (766,520 | ) | | | 102,401 | | | $ | 2,465,118 | |
| | | | |
Class III | | | | | | | | | | | | | | | | |
Shares sold | | | 798,535 | | | $ | 16,939,173 | | | | 623,581 | | | $ | 14,636,589 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 939,775 | | | | 22,915,074 | |
Shares redeemed | | | (2,521,434 | ) | | | (57,672,181 | ) | | | (5,195,235 | ) | | | (123,680,172 | ) |
| | | | |
Net decrease | | | (1,722,899 | ) | | $ | (40,733,008 | ) | | | (3,631,879 | ) | | $ | (86,128,509 | ) |
| | | | |
Total Net Decrease | | | (4,684,334 | ) | | $ | (110,301,057 | ) | | | (3,875,749 | ) | | $ | (87,585,794 | ) |
| | | | |
As of June 30, 2020, BlackRock Financial Management, Inc, an affiliate of the Fund, owned 437 Class III Shares of the Fund.
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| | |
NOTESTO FINANCIAL STATEMENTS | | 25 |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| MSCI | | Morgan Stanley Capital International |
| |
| S&P | | Standard & Poor’s |
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
| | |
| | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Variable Series Funds, Inc.
| · | | BlackRock Small Cap Index V.I. Fund |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Small Cap Index V.I. Fund |
Investment Objective
BlackRock Small Cap Index V.I. Fund’s (the “Fund”) investment objective is to seek to match the performance of the Russell 2000® Index (the “Russell 2000” or the “Underlying Index”) as closely as possible before the deduction of Fund expenses.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund’s Class I Shares returned (13.05)%. The Russell 2000® Index returned (12.98)% for the same period. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
Describe the market environment.
U.S. equities experienced significant losses in the first quarter of 2020. Fears of the coronavirus pandemic and its economic toll continued to drive unprecedented levels of financial market volatility. The Chicago Board Options Exchange Volatility Index, which measures near-term stock market volatility, surged to its highest level since the 2008 financial crisis, and the S&P 500® Index experienced its quickest bear market contraction on record. Economic activity fell to a standstill with the Purchasing Managers Index (an index of the prevailing direction of economic trends in the manufacturing and service sectors) across the globe registering the lowest levels on record while jobless claims surged. In late March, the United States saw a record number of initial unemployment claims as 3.3 million people filed for unemployment benefits while the consensus estimate had been around 1.4 million.
On the policy front, global governments unleashed large stimulus packages to combat the shock on the worldwide economy. The United States passed several fiscal stimulus measures, including a $2 trillion relief bill to send money directly to Americans. Separately, monetary policy moved toward accommodation as the Fed cut the policy rate to 0% and pledged to buy as much government-backed debt as needed to bolster the markets for housing and Treasury bonds. Furthermore, the Fed announced it would buy corporate bonds, including the riskiest investment-grade debt, for the first time in its history.
U.S. equities registered a strong recovery in second quarter of 2020. U.S. stocks outperformed other regions in second quarter of 2020, with a sharper recovery from the troughs of late March. This was largely supported by the historic U.S. policy response. The United States delivered coordinated fiscal and monetary support sufficient to offset the estimated initial shock from the coronavirus pandemic and spillovers to the full economy. Toward the end of the second quarter, government measures to contain the coronavirus had been gradually lifted in many states, boosting economic activity and employment.
Describe recent portfolio activity.
During the six-month period, as changes were made to the composition of the Russell 2000® Index, the Fund purchased and sold securities to maintain its objective of matching the risks and return of the benchmark index.
Describe portfolio positioning at period end.
The Fund remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.
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.
| | |
| 2 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Small Cap Index V.I. Fund |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month Total
Returns (a) | | | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | |
Class I (b)(c) | | | (13.05 | )% | | | | | | | (6.79 | )% | | | | | | | 4.06 | % | | | | | | | 10.14 | % |
Russell 2000® Index (d) | | | (12.98 | ) | | | | | | | (6.63 | ) | | | | | | | 4.29 | | | | | | | | 10.50 | |
| (a) | For a portion of the period, the Fund’s investment adviser waived a portion of its fee. Without such waiver, the Fund’s performance would have been lower. | |
| (b) | Average annual and cumulative total returns are based on changes in net asset value (“NAV”) for the periods shown, and assume reinvestment of all distributions at NAV on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. | |
| (c) | Under normal circumstances, the Fund will invest at least 90% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2000. On October 29, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the Small Cap Equity Index Fund (the “Predecessor Fund”), a series of State Farm Variable Product Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly, the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization. | |
| (d) | An unmanaged index that is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. | |
| | 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. | |
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Net Assets | |
Health Care | | | 20 | % |
Financials | | | 16 | |
Industrials | | | 14 | |
Information Technology | | | 14 | |
Consumer Discretionary | | | 12 | |
Real Estate | | | 7 | |
Materials | | | 4 | |
Utilities | | | 4 | |
Consumer Staples | | | 3 | |
Communication Services | | | 3 | |
Energy | | | 2 | |
Short-Term Securities | | | 13 | |
Liabilities in Excess of Other Assets | | | (12 | ) |
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 such sector sub-classifications for reporting ease.
Disclosure of Expenses
Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio |
Class I | | $ | 1,000.00 | | | $ | 869.50 | | | $ | 1.02 | | | | | | | $ | 1,000.00 | | | $ | 1,023.77 | | | $ | 1.11 | | | 0.22% |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. | |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). | |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Common Stocks — 98.9% | |
|
| Aerospace & Defense — 0.8% | |
AAR Corp. | | | 4,588 | | | $ | 94,834 | |
Aerojet Rocketdyne Holdings, Inc.(a) | | | 9,860 | | | | 390,850 | |
AeroVironment, Inc.(a) | | | 2,905 | | | | 231,325 | |
Astronics Corp.(a) | | | 3,269 | | | | 34,521 | |
Cubic Corp. | | | 4,263 | | | | 204,752 | |
Ducommun, Inc.(a) | | | 1,464 | | | | 51,050 | |
Kratos Defense & Security Solutions, Inc.(a) | | | 14,239 | | | | 222,556 | |
Maxar Technologies, Inc.(b) | | | 8,160 | | | | 146,554 | |
Moog, Inc., Class A | | | 4,100 | | | | 217,218 | |
National Presto Industries, Inc. | | | 689 | | | | 60,212 | |
PAE, Inc.(a) | | | 7,997 | | | | 76,451 | |
Park Aerospace Corp. | | | 2,399 | | | | 26,725 | |
Parsons Corp.(a) | | | 2,994 | | | | 108,502 | |
Triumph Group, Inc. | | | 6,744 | | | | 60,763 | |
Vectrus, Inc.(a) | | | 1,529 | | | | 75,120 | |
| | | | | | | | |
| | | | | | | 2,001,433 | |
|
| Air Freight & Logistics — 0.3% | |
Air Transport Services Group, Inc.(a) | | | 7,879 | | | | 175,465 | |
Atlas Air Worldwide Holdings, Inc.(a) | | | 3,456 | | | | 148,712 | |
Echo Global Logistics, Inc.(a) | | | 3,520 | | | | 76,102 | |
Forward Air Corp. | | | 3,753 | | | | 186,975 | |
Hub Group, Inc., Class A(a) | | | 4,416 | | | | 211,350 | |
Radiant Logistics, Inc.(a) | | | 5,513 | | | | 21,666 | |
| | | | | | | | |
| | | | | | | 820,270 | |
|
| Airlines — 0.3% | |
Allegiant Travel Co.(b) | | | 1,784 | | | | 194,830 | |
Hawaiian Holdings, Inc.(b) | | | 6,406 | | | | 89,940 | |
Mesa Air Group, Inc.(a) | | | 3,911 | | | | 13,454 | |
SkyWest, Inc.(b) | | | 6,753 | | | | 220,283 | |
Spirit Airlines, Inc.(a) | | | 11,741 | | | | 208,990 | |
| | | | | | | | |
| | | | | | | 727,497 | |
|
| Auto Components — 1.3% | |
Adient plc(a) | | | 11,866 | | | | 194,840 | |
American Axle & Manufacturing Holdings,
Inc.(a) | | | 15,245 | | | | 115,862 | |
Cooper Tire & Rubber Co.(b) | | | 6,848 | | | | 189,073 | |
Cooper-Standard Holdings, Inc.(a) | | | 2,270 | | | | 30,078 | |
Dana, Inc. | | | 19,696 | | | | 240,094 | |
Dorman Products, Inc.(a) | | | 3,587 | | | | 240,580 | |
Fox Factory Holding Corp.(a) | | | 5,189 | | | | 428,663 | |
Gentherm, Inc.(a) | | | 4,329 | | | | 168,398 | |
Goodyear Tire & Rubber Co. (The) | | | 31,540 | | | | 282,125 | |
LCI Industries | | | 3,348 | | | | 384,953 | |
Modine Manufacturing Co.(a) | | | 7,017 | | | | 38,734 | |
Motorcar Parts of America, Inc.(a)(b) | | | 2,527 | | | | 44,652 | |
Standard Motor Products, Inc. | | | 2,820 | | | | 116,184 | |
Stoneridge, Inc.(a) | | | 3,476 | | | | 71,814 | |
Tenneco, Inc., Class A(a)(b) | | | 6,755 | | | | 51,068 | |
Visteon Corp.(a)(b) | | | 3,717 | | | | 254,615 | |
Workhorse Group, Inc.(a) | | | 8,485 | | | | 147,554 | |
XPEL, Inc.(a) | | | 2,154 | | | | 33,689 | |
| | | | | | | | |
| | | | | | | 3,032,976 | |
|
| Automobiles — 0.1% | |
Winnebago Industries, Inc.(b) | | | 4,220 | | | | 281,136 | |
| | | | | | | | |
|
| Banks — 8.4% | |
1st Constitution Bancorp | | | 1,123 | | | | 13,925 | |
1st Source Corp.(b) | | | 2,229 | | | | 79,308 | |
ACNB Corp.(b) | | | 1,165 | | | | 30,500 | |
Allegiance Bancshares, Inc. | | | 2,392 | | | | 60,733 | |
Amalgamated Bank, Class A | | | 1,859 | | | | 23,498 | |
Amerant Bancorp, Inc.(a) | | | 3,010 | | | | 45,270 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Banks (continued) | |
American National Bankshares, Inc. | | | 1,431 | | | $ | 35,832 | |
Ameris Bancorp(b) | | | 8,942 | | | | 210,942 | |
Ames National Corp. | | | 1,235 | | | | 24,379 | |
Arrow Financial Corp. | | | 1,669 | | | | 49,619 | |
Atlantic Capital Bancshares, Inc.(a) | | | 2,850 | | | | 34,656 | |
Atlantic Union Bankshares Corp. | | | 10,739 | | | | 248,715 | |
Auburn National BanCorp, Inc. | | | 297 | | | | 16,956 | |
Banc of California, Inc.(b) | | | 6,043 | | | | 65,446 | |
BancFirst Corp. | | | 2,720 | | | | 110,350 | |
Bancorp, Inc. (The)(a) | | | 7,039 | | | | 68,982 | |
BancorpSouth Bank(b) | | | 13,555 | | | | 308,241 | |
Bank First Corp. | | | 821 | | | | 52,626 | |
Bank of Commerce Holdings | | | 2,460 | | | | 18,647 | |
Bank of Marin Bancorp | | | 1,806 | | | | 60,194 | |
Bank of NT Butterfield & Son Ltd. (The) | | | 7,054 | | | | 172,047 | |
Bank of Princeton (The) | | | 734 | | | | 14,739 | |
Bank7 Corp. | | | 476 | | | | 5,167 | |
BankFinancial Corp. | | | 1,966 | | | | 16,514 | |
BankUnited, Inc. | | | 12,559 | | | | 254,320 | |
Bankwell Financial Group, Inc. | | | 917 | | | | 14,580 | |
Banner Corp. | | | 4,489 | | | | 170,582 | |
Bar Harbor Bankshares | | | 2,025 | | | | 45,340 | |
Baycom Corp.(a) | | | 1,448 | | | | 18,694 | |
BCB Bancorp, Inc. | | | 1,943 | | | | 18,031 | |
Berkshire Hills Bancorp, Inc. | | | 6,218 | | | | 68,522 | |
Boston Private Financial Holdings, Inc. | | | 11,065 | | | | 76,127 | |
Bridge Bancorp, Inc. | | | 2,336 | | | | 53,354 | |
Brookline Bancorp, Inc. | | | 10,494 | | | | 105,779 | |
Bryn Mawr Bank Corp. | | | 2,648 | | | | 73,244 | |
Business First Bancshares, Inc. | | | 1,726 | | | | 26,494 | |
Byline Bancorp, Inc.(b) | | | 3,297 | | | | 43,191 | |
C&F Financial Corp. | | | 476 | | | | 15,827 | |
Cadence BanCorp | | | 16,231 | | | | 143,807 | |
California Bancorp, Inc.(a) | | | 854 | | | | 12,725 | |
Cambridge Bancorp(b) | | | 824 | | | | 48,814 | |
Camden National Corp.(b) | | | 2,044 | | | | 70,600 | |
Capital Bancorp, Inc.(a) | | | 1,075 | | | | 11,502 | |
Capital City Bank Group, Inc. | | | 1,796 | | | | 37,626 | |
Capstar Financial Holdings, Inc. | | | 1,928 | | | | 23,136 | |
Carter Bank & Trust | | | 3,017 | | | | 24,347 | |
Cathay General Bancorp | | | 10,725 | | | | 282,067 | |
CB Financial Services, Inc. | | | 531 | | | | 11,586 | |
CBTX, Inc. | | | 2,475 | | | | 51,975 | |
Central Pacific Financial Corp. | | | 3,650 | | | | 58,509 | |
Central Valley Community Bancorp | | | 1,626 | | | | 25,024 | |
Century Bancorp, Inc., Class A | | | 369 | | | | 28,679 | |
Chemung Financial Corp. | | | 478 | | | | 13,049 | |
ChoiceOne Financial Services, Inc. | | | 866 | | | | 25,599 | |
CIT Group, Inc. | | | 13,440 | | | | 278,611 | |
Citizens & Northern Corp. | | | 1,785 | | | | 36,860 | |
Citizens Holding Co. | | | 526 | | | | 13,150 | |
City Holding Co.(b) | | | 2,120 | | | | 138,160 | |
Civista Bancshares, Inc.(b) | | | 2,041 | | | | 31,431 | |
CNB Financial Corp. | | | 2,069 | | | | 37,097 | |
Coastal Financial Corp.(a) | | | 1,119 | | | | 16,248 | |
Codorus Valley Bancorp, Inc. | | | 1,282 | | | | 17,730 | |
Colony Bankcorp, Inc. | | | 918 | | | | 10,805 | |
Columbia Banking System, Inc.(b) | | | 9,596 | | | | 271,999 | |
Community Bank System, Inc.(b) | | | 6,757 | | | | 385,284 | |
Community Bankers Trust Corp. | | | 2,934 | | | | 16,137 | |
Community Financial Corp. (The) | | | 631 | | | | 15,396 | |
Community Trust Bancorp, Inc. | | | 2,133 | | | | 69,877 | |
ConnectOne Bancorp, Inc. | | | 5,043 | | | | 81,293 | |
County Bancorp, Inc. | | | 532 | | | | 11,135 | |
CrossFirst Bankshares, Inc.(a)(b) | | | 6,338 | | | | 61,986 | |
| | |
SCHEDULE OF INVESTMENTS | | 5 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Banks (continued) | |
Customers Bancorp, Inc.(a) | | | 3,896 | | | $ | 46,830 | |
CVB Financial Corp. | | | 17,513 | | | | 328,194 | |
Delmar Bancorp | | | 828 | | | | 5,440 | |
Dime Community Bancshares, Inc. | | | 4,045 | | | | 55,538 | |
Eagle Bancorp Montana, Inc. | | | 568 | | | | 9,872 | |
Eagle Bancorp, Inc. | | | 4,196 | | | | 137,419 | |
Enterprise Bancorp, Inc. | | | 1,148 | | | | 27,345 | |
Enterprise Financial Services Corp. | | | 3,270 | | | | 101,762 | |
Equity Bancshares, Inc., Class A(a)(b) | | | 2,044 | | | | 35,647 | |
Esquire Financial Holdings, Inc.(a) | | | 828 | | | | 13,993 | |
Evans Bancorp, Inc. | | | 678 | | | | 15,770 | |
Farmers & Merchants Bancorp, Inc. | | | 1,355 | | | | 28,780 | |
Farmers National Banc Corp. | | | 3,365 | | | | 39,909 | |
FB Financial Corp. | | | 2,440 | | | | 60,439 | |
Fidelity D&D Bancorp, Inc. | | | 528 | | | | 25,391 | |
Financial Institutions, Inc. | | | 2,373 | | | | 44,162 | |
First Bancorp | | | 3,843 | | | | 96,382 | |
First BanCorp | | | 27,587 | | | | 154,211 | |
First Bancorp, Inc. (The) | | | 1,388 | | | | 30,120 | |
First Bancshares, Inc. (The) | | | 2,726 | | | | 61,335 | |
First Bank | | | 2,179 | | | | 14,207 | |
First Busey Corp.(b) | | | 7,211 | | | | 134,485 | |
First Business Financial Services, Inc. | | | 1,115 | | | | 18,342 | |
First Capital, Inc.(b) | | | 423 | | | | 29,386 | |
First Choice Bancorp | | | 1,540 | | | | 25,225 | |
First Commonwealth Financial Corp. | | | 13,259 | | | | 109,784 | |
First Community Bankshares, Inc. | | | 2,334 | | | | 52,398 | |
First Community Corp. | | | 721 | | | | 10,923 | |
First Financial Bancorp | | | 12,566 | | | | 174,542 | |
First Financial Bankshares, Inc.(b) | | | 17,428 | | | | 503,495 | |
First Financial Corp. | | | 1,758 | | | | 64,765 | |
First Foundation, Inc. | | | 5,211 | | | | 85,148 | |
First Guaranty Bancshares, Inc. | | | 738 | | | | 9,026 | |
First Internet Bancorp | | | 1,295 | | | | 21,523 | |
First Interstate BancSystem, Inc., Class A | | | 5,764 | | | | 178,453 | |
First Merchants Corp. | | | 7,449 | | | | 205,369 | |
First Mid Bancshares, Inc. | | | 1,948 | | | | 51,096 | |
First Midwest Bancorp, Inc. | | | 14,651 | | | | 195,591 | |
First Northwest Bancorp | | | 1,103 | | | | 13,699 | |
First of Long Island Corp. (The) | | | 3,134 | | | | 51,210 | |
First Savings Financial Group, Inc. | | | 220 | | | | 9,533 | |
First United Corp. | | | 779 | | | | 10,392 | |
First Western Financial, Inc.(a) | | | 637 | | | | 9,077 | |
Flushing Financial Corp. | | | 3,861 | | | | 44,479 | |
FNCB Bancorp, Inc.(b) | | | 2,251 | | | | 12,943 | |
Franklin Financial Network, Inc. | | | 1,859 | | | | 47,869 | |
Franklin Financial Services Corp. | | | 541 | | | | 14,012 | |
Fulton Financial Corp. | | | 21,943 | | | | 231,060 | |
FVCBankcorp, Inc.(a) | | | 1,570 | | | | 16,893 | |
German American Bancorp, Inc. | | | 3,281 | | | | 102,039 | |
Glacier Bancorp, Inc.(b) | | | 12,890 | | | | 454,888 | |
Great Southern Bancorp, Inc. | | | 1,527 | | | | 61,630 | |
Great Western Bancorp, Inc. | | | 7,393 | | | | 101,728 | |
Guaranty Bancshares, Inc. | | | 1,103 | | | | 28,535 | |
Hancock Whitney Corp. | | | 12,062 | | | | 255,714 | |
Hanmi Financial Corp. | | | 4,133 | | | | 40,131 | |
HarborOne Bancorp, Inc.(a) | | | 6,008 | | | | 51,308 | |
Hawthorn Bancshares, Inc. | | | 751 | | | | 14,785 | |
HBT Financial, Inc. | | | 1,397 | | | | 18,622 | |
Heartland Financial USA, Inc. | | | 4,758 | | | | 159,108 | |
Heritage Commerce Corp. | | | 8,009 | | | | 60,108 | |
Heritage Financial Corp. | | | 4,855 | | | | 97,100 | |
Hilltop Holdings, Inc.(b) | | | 9,780 | | | | 180,441 | |
Home BancShares, Inc.(b) | | | 21,247 | | | | 326,779 | |
HomeTrust Bancshares, Inc. | | | 2,143 | | | | 34,288 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Banks (continued) | |
Hope Bancorp, Inc. | | | 16,056 | | | $ | 148,036 | |
Horizon Bancorp, Inc. | | | 5,754 | | | | 61,510 | |
Howard Bancorp, Inc.(a) | | | 1,869 | | | | 19,849 | |
IBERIABANK Corp. | | | 7,475 | | | | 340,411 | |
Independent Bank Corp. | | | 7,543 | | | | 341,870 | |
Independent Bank Group, Inc. | | | 5,066 | | | | 205,274 | |
International Bancshares Corp.(b) | | | 7,405 | | | | 237,108 | |
Investar Holding Corp. | | | 1,325 | | | | 19,212 | |
Investors Bancorp, Inc. | | | 31,268 | | | | 265,778 | |
Lakeland Bancorp, Inc. | | | 6,849 | | | | 78,284 | |
Lakeland Financial Corp.(b) | | | 3,301 | | | | 153,794 | |
Landmark Bancorp, Inc. | | | 380 | | | | 9,390 | |
LCNB Corp. | | | 1,678 | | | | 26,781 | |
Level One Bancorp, Inc. | | | 774 | | | | 12,957 | |
Limestone Bancorp, Inc.(a) | | | 577 | | | | 7,588 | |
Live Oak Bancshares, Inc. | | | 3,727 | | | | 54,079 | |
Macatawa Bank Corp. | | | 3,277 | | | | 25,626 | |
Mackinac Financial Corp. | | | 1,132 | | | | 11,739 | |
MainStreet Bancshares, Inc.(a) | | | 915 | | | | 12,078 | |
Mercantile Bank Corp. | | | 2,155 | | | | 48,703 | |
Meridian Corp.(a) | | | 551 | | | | 8,733 | |
Metrocity Bankshares, Inc.(b) | | | 2,420 | | | | 34,679 | |
Metropolitan Bank Holding Corp.(a) | | | 951 | | | | 30,508 | |
Mid Penn Bancorp, Inc. | | | 927 | | | | 17,085 | |
Middlefield Banc Corp. | | | 717 | | | | 14,878 | |
Midland States Bancorp, Inc. | | | 3,166 | | | | 47,332 | |
MidWestOne Financial Group, Inc. | | | 1,929 | | | | 38,580 | |
MVB Financial Corp. | | | 1,269 | | | | 16,878 | |
National Bank Holdings Corp., Class A | | | 3,858 | | | | 104,166 | |
National Bankshares, Inc. | | | 887 | | | | 25,368 | |
NBT Bancorp, Inc.(b) | | | 5,660 | | | | 174,102 | |
Nicolet Bankshares, Inc.(a)(b) | | | 1,245 | | | | 68,226 | |
Northeast Bank | | | 860 | | | | 15,093 | |
Northrim BanCorp, Inc. | | | 927 | | | | 23,305 | |
Norwood Financial Corp. | | | 821 | | | | 20,353 | |
Oak Valley Bancorp | | | 869 | | | | 11,019 | |
OceanFirst Financial Corp. | | | 7,830 | | | | 138,043 | |
OFG Bancorp | | | 6,834 | | | | 91,371 | |
Ohio Valley Banc Corp. | | | 517 | | | | 11,658 | |
Old National Bancorp(b) | | | 22,103 | | | | 304,137 | |
Old Second Bancorp, Inc. | | | 3,856 | | | | 30,000 | |
Origin Bancorp, Inc. | | | 2,812 | | | | 61,864 | |
Orrstown Financial Services, Inc. | | | 1,383 | | | | 20,399 | |
Pacific Premier Bancorp, Inc. | | | 11,779 | | | | 255,369 | |
Park National Corp. | | | 1,946 | | | | 136,959 | |
Parke Bancorp, Inc. | | | 1,531 | | | | 20,745 | |
PCB Bancorp(b) | | | 1,660 | | | | 17,098 | |
Peapack-Gladstone Financial Corp. | | | 2,527 | | | | 47,331 | |
Penns Woods Bancorp, Inc.(b) | | | 859 | | | | 19,508 | |
Peoples Bancorp of North Carolina, Inc.(b) | | | 599 | | | | 10,584 | |
Peoples Bancorp, Inc. | | | 2,566 | | | | 54,604 | |
Peoples Financial Services Corp. | | | 912 | | | | 34,829 | |
People’s Utah Bancorp | | | 2,152 | | | | 48,355 | |
Plumas Bancorp | | | 557 | | | | 12,321 | |
Preferred Bank | | | 1,945 | | | | 83,343 | |
Premier Financial Bancorp, Inc. | | | 1,798 | | | | 23,050 | |
Professional Holding Corp., Class A(a) | | | 601 | | | | 8,342 | |
QCR Holdings, Inc. | | | 2,000 | | | | 62,360 | |
RBB Bancorp(b) | | | 2,205 | | | | 30,098 | |
Red River Bancshares, Inc. | | | 654 | | | | 28,704 | |
Reliant Bancorp, Inc. | | | 2,049 | | | | 33,378 | |
Renasant Corp.(b) | | | 7,531 | | | | 187,522 | |
Republic Bancorp, Inc., Class A | | | 1,275 | | | | 41,705 | |
Republic First Bancorp, Inc.(a) | | | 5,329 | | | | 13,003 | |
Richmond Mutual BanCorp, Inc. | | | 1,765 | | | | 19,839 | |
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Banks (continued) | |
S&T Bancorp, Inc. | | | 5,209 | | | $ | 122,151 | |
Salisbury Bancorp, Inc. | | | 317 | | | | 12,994 | |
Sandy Spring Bancorp, Inc. | | | 6,438 | | | | 159,534 | |
SB Financial Group, Inc. | | | 817 | | | | 13,579 | |
SB One Bancorp | | | 1,132 | | | | 22,300 | |
Seacoast Banking Corp. of Florida(a) | | | 6,874 | | | | 140,230 | |
Select Bancorp, Inc.(a) | | | 2,076 | | | | 16,899 | |
ServisFirst Bancshares, Inc.(b) | | | 6,552 | | | | 234,300 | |
Shore Bancshares, Inc. | | | 1,707 | | | | 18,931 | |
Sierra Bancorp | | | 1,873 | | | | 35,362 | |
Silvergate Capital Corp., Class A(a) | | | 2,032 | | | | 28,448 | |
Simmons First National Corp., Class A | | | 13,649 | | | | 233,534 | |
SmartFinancial, Inc. | | | 1,683 | | | | 27,231 | |
South Plains Financial, Inc. | | | 1,349 | | | | 19,210 | |
South State Corp. | | | 9,469 | | | | 451,293 | |
Southern First Bancshares, Inc.(a) | | | 986 | | | | 27,322 | |
Southern National Bancorp of Virginia, Inc. | | | 2,595 | | | | 25,146 | |
Southside Bancshares, Inc. | | | 4,288 | | | | 118,863 | |
Spirit of Texas Bancshares, Inc.(a) | | | 1,910 | | | | 23,512 | |
Stock Yards Bancorp, Inc. | | | 2,801 | | | | 112,600 | |
Summit Financial Group, Inc. | | | 1,524 | | | | 25,116 | |
Texas Capital Bancshares, Inc.(a) | | | 6,840 | | | | 211,151 | |
Tompkins Financial Corp. | | | 1,914 | | | | 123,970 | |
Towne Bank(b) | | | 9,168 | | | | 172,725 | |
TriCo Bancshares | | | 3,618 | | | | 110,168 | |
TriState Capital Holdings, Inc.(a) | | | 3,730 | | | | 58,598 | |
Triumph Bancorp, Inc.(a) | | | 2,903 | | | | 70,456 | |
Trustmark Corp. | | | 8,527 | | | | 209,082 | |
UMB Financial Corp. | | | 5,984 | | | | 308,475 | |
United Bankshares, Inc.(b) | | | 16,818 | | | | 465,186 | |
United Community Banks, Inc. | | | 10,495 | | | | 211,159 | |
United Security Bancshares | | | 2,059 | | | | 13,775 | |
Unity Bancorp, Inc. | | | 966 | | | | 13,814 | |
Univest Financial Corp. | | | 3,985 | | | | 64,318 | |
Valley National Bancorp(b) | | | 54,505 | | | | 426,229 | |
Veritex Holdings, Inc. | | | 6,696 | | | | 118,519 | |
Washington Trust Bancorp, Inc. | | | 2,423 | | | | 79,353 | |
WesBanco, Inc. | | | 8,999 | | | | 182,770 | |
West BanCorp, Inc. | | | 2,109 | | | | 36,886 | |
Westamerica BanCorp(b) | | | 3,508 | | | | 201,429 | |
| | | | | | | | |
| | | | | | | 20,287,792 | |
|
| Beverages — 0.3% | |
Celsius Holdings, Inc.(a) | | | 4,589 | | | | 54,012 | |
Coca-Cola Consolidated, Inc. | | | 631 | | | | 144,619 | |
Craft Brew Alliance, Inc.(a) | | | 1,547 | | | | 23,808 | |
MGP Ingredients, Inc.(b) | | | 1,756 | | | | 64,454 | |
National Beverage Corp.(a) | | | 1,599 | | | | 97,571 | |
New Age Beverages Corp.(a) | | | 12,030 | | | | 18,406 | |
Primo Water Corp. | | | 21,081 | | | | 289,864 | |
| | | | | | | | |
| | | | | | | 692,734 | |
|
| Biotechnology — 10.7%(a) | |
89bio, Inc. | | | 377 | | | | 7,514 | |
Abeona Therapeutics, Inc.(b) | | | 8,145 | | | | 23,743 | |
ADMA Biologics, Inc.(b) | | | 8,758 | | | | 25,661 | |
Aduro Biotech, Inc. | | | 8,518 | | | | 19,677 | |
Adverum Biotechnologies, Inc.(b) | | | 9,883 | | | | 206,357 | |
Aeglea BioTherapeutics, Inc. | | | 5,672 | | | | 52,466 | |
Affimed NV | | | 10,323 | | | | 47,641 | |
Agenus, Inc. | | | 18,770 | | | | 73,766 | |
Aimmune Therapeutics, Inc. | | | 6,303 | | | | 105,323 | |
Akcea Therapeutics, Inc. | | | 2,211 | | | | 30,291 | |
Akebia Therapeutics, Inc.(b) | | | 17,574 | | | | 238,655 | |
Akero Therapeutics, Inc. | | | 1,512 | | | | 37,679 | |
Albireo Pharma, Inc.(b) | | | 1,798 | | | | 47,629 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Alector, Inc.(b) | | | 6,245 | | | $ | 152,628 | |
Allakos, Inc. | | | 3,290 | | | | 236,419 | |
Allogene Therapeutics, Inc. | | | 6,546 | | | | 280,300 | |
Amicus Therapeutics, Inc.(b) | | | 34,282 | | | | 516,973 | |
AnaptysBio, Inc.(b) | | | 2,946 | | | | 65,814 | |
Anavex Life Sciences Corp. | | | 7,223 | | | | 35,537 | |
Anika Therapeutics, Inc. | | | 1,903 | | | | 71,800 | |
Apellis Pharmaceuticals, Inc. | | | 8,095 | | | | 264,383 | |
Applied Genetic Technologies Corp. | | | 3,184 | | | | 17,639 | |
Applied Therapeutics, Inc. | | | 1,799 | | | | 65,034 | |
Aprea Therapeutics, Inc. | | | 969 | | | | 37,578 | |
Aptinyx, Inc. | | | 3,192 | | | | 13,311 | |
Aravive, Inc. | | | 1,621 | | | | 18,868 | |
Arcturus Therapeutics Holdings, Inc. | | | 1,743 | | | | 81,468 | |
Arcus Biosciences, Inc. | | | 4,422 | | | | 109,400 | |
Arcutis Biotherapeutics, Inc. | | | 1,278 | | | | 38,647 | |
Ardelyx, Inc. | | | 9,806 | | | | 67,858 | |
Arena Pharmaceuticals, Inc. | | | 7,623 | | | | 479,868 | |
Arrowhead Pharmaceuticals, Inc.(b) | | | 13,531 | | | | 584,404 | |
Assembly Biosciences, Inc. | | | 4,131 | | | | 96,335 | |
Atara Biotherapeutics, Inc. | | | 7,782 | | | | 113,384 | |
Athenex, Inc.(b) | | | 9,974 | | | | 137,242 | |
Athersys, Inc.(b) | | | 23,206 | | | | 64,049 | |
Atreca, Inc., Class A | | | 2,864 | | | | 60,946 | |
AVEO Pharmaceuticals, Inc. | | | 1,726 | | | | 8,889 | |
Avid Bioservices, Inc. | | | 7,570 | | | | 49,697 | |
Avrobio, Inc. | | | 4,197 | | | | 73,238 | |
Axcella Health, Inc. | | | 1,539 | | | | 8,511 | |
Beam Therapeutics, Inc. | | | 1,690 | | | | 47,320 | |
Beyondspring, Inc. | | | 1,753 | | | | 26,435 | |
BioCryst Pharmaceuticals, Inc. | | | 20,743 | | | | 98,840 | |
Biohaven Pharmaceutical Holding Co. Ltd. | | | 6,367 | | | | 465,491 | |
BioSpecifics Technologies Corp. | | | 781 | | | | 47,860 | |
Bioxcel Therapeutics, Inc. | | | 1,427 | | | | 75,645 | |
Black Diamond Therapeutics, Inc.(b) | | | 1,657 | | | | 69,859 | |
Blueprint Medicines Corp. | | | 7,324 | | | | 571,272 | |
BrainStorm Cell Therapeutics, Inc. | | | 3,565 | | | | 39,964 | |
Bridgebio Pharma, Inc. | | | 9,816 | | | | 320,100 | |
Cabaletta Bio, Inc. | | | 1,654 | | | | 18,426 | |
Calithera Biosciences, Inc. | | | 8,808 | | | | 46,506 | |
Calyxt, Inc. | | | 1,679 | | | | 8,277 | |
CareDx, Inc. | | | 5,791 | | | | 205,175 | |
CASI Pharmaceuticals, Inc. | | | 7,215 | | | | 18,037 | |
Castle Biosciences, Inc. | | | 1,376 | | | | 51,861 | |
Catabasis Pharmaceuticals, Inc. | | | 2,397 | | | | 15,413 | |
Catalyst Biosciences, Inc. | | | 2,406 | | | | 14,123 | |
Catalyst Pharmaceuticals, Inc. | | | 12,807 | | | | 59,168 | |
Cellular Biomedicine Group, Inc. | | | 1,644 | | | | 24,611 | |
CEL-SCI Corp.(b) | | | 4,295 | | | | 64,081 | |
Centogene NV | | | 520 | | | | 11,898 | |
Checkpoint Therapeutics, Inc. | | | 5,816 | | | | 11,516 | |
ChemoCentryx, Inc. | | | 6,013 | | | | 345,988 | |
Chimerix, Inc.(b) | | | 6,499 | | | | 20,147 | |
Cidara Therapeutics, Inc. | | | 4,335 | | | | 15,996 | |
Clovis Oncology, Inc.(b) | | | 9,667 | | | | 65,252 | |
Cohbar, Inc. | | | 2,690 | | | | 4,169 | |
Coherus Biosciences, Inc. | | | 7,839 | | | | 140,005 | |
Concert Pharmaceuticals, Inc. | | | 3,852 | | | | 38,327 | |
Constellation Pharmaceuticals, Inc. | | | 3,643 | | | | 109,472 | |
ContraFect Corp. | | | 1,848 | | | | 11,809 | |
Corbus Pharmaceuticals Holdings, Inc. | | | 8,897 | | | | 74,646 | |
Cortexyme, Inc. | | | 2,117 | | | | 98,017 | |
Crinetics Pharmaceuticals, Inc. | | | 3,606 | | | | 63,177 | |
Cue Biopharma, Inc. | | | 3,737 | | | | 91,594 | |
Cyclerion Therapeutics, Inc. | | | 3,184 | | | | 18,817 | |
| | |
SCHEDULE OF INVESTMENTS | | 7 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Cytokinetics, Inc. | | | 7,560 | | | $ | 178,189 | |
CytomX Therapeutics, Inc. | | | 6,184 | | | | 51,513 | |
Deciphera Pharmaceuticals, Inc. | | | 5,047 | | | | 301,407 | |
Denali Therapeutics, Inc. | | | 8,478 | | | | 204,998 | |
DermTech, Inc. | | | 1,066 | | | | 14,103 | |
Dicerna Pharmaceuticals, Inc. | | | 8,738 | | | | 221,945 | |
Dyadic International, Inc. | | | 2,603 | | | | 22,542 | |
Dynavax Technologies Corp. | | | 12,065 | | | | 107,017 | |
Eagle Pharmaceuticals, Inc. | | | 1,433 | | | | 68,755 | |
Editas Medicine, Inc. | | | 7,503 | | | | 221,939 | |
Eidos Therapeutics, Inc. | | | 1,505 | | | | 71,743 | |
Eiger BioPharmaceuticals, Inc. | | | 3,155 | | | | 30,288 | |
Emergent BioSolutions, Inc.(b) | | | 6,003 | | | | 474,717 | |
Enanta Pharmaceuticals, Inc. | | | 2,562 | | | | 128,638 | |
Enochian Biosciences, Inc.(b) | | | 1,565 | | | | 6,589 | |
Epizyme, Inc. | | | 12,040 | | | | 193,362 | |
Esperion Therapeutics, Inc.(b) | | | 3,509 | | | | 180,047 | |
Evelo Biosciences, Inc. | | | 1,646 | | | | 8,065 | |
Exicure, Inc. | | | 7,628 | | | | 18,612 | |
Fate Therapeutics, Inc.(b) | | | 8,457 | | | | 290,160 | |
Fennec Pharmaceuticals, Inc. | | | 2,850 | | | | 23,797 | |
FibroGen, Inc. | | | 11,228 | | | | 455,071 | |
Five Prime Therapeutics, Inc. | | | 3,984 | | | | 24,302 | |
Flexion Therapeutics, Inc. | | | 4,668 | | | | 61,384 | |
Fortress Biotech, Inc. | | | 7,433 | | | | 19,920 | |
Frequency Therapeutics, Inc. | | | 3,784 | | | | 87,978 | |
G1 Therapeutics, Inc. | | | 4,679 | | | | 113,513 | |
Galectin Therapeutics, Inc. | | | 5,213 | | | | 15,952 | |
Galera Therapeutics, Inc. | | | 1,042 | | | | 7,440 | |
Genprex, Inc. | | | 3,756 | | | | 11,794 | |
Geron Corp. | | | 25,078 | | | | 54,670 | |
GlycoMimetics, Inc.(b) | | | 4,523 | | | | 17,006 | |
Gossamer Bio, Inc. | | | 6,654 | | | | 86,502 | |
Gritstone Oncology, Inc.(b) | | | 3,986 | | | | 26,467 | |
Halozyme Therapeutics, Inc. | | | 18,233 | | | | 488,827 | |
Harpoon Therapeutics, Inc. | | | 1,407 | | | | 23,356 | |
Heron Therapeutics, Inc. | | | 11,892 | | | | 174,931 | |
Homology Medicines, Inc. | | | 4,578 | | | | 69,540 | |
Hookipa Pharma, Inc.(b) | | | 1,622 | | | | 18,848 | |
iBio, Inc. | | | 5,941 | | | | 13,189 | |
Ideaya Biosciences, Inc. | | | 1,663 | | | | 23,631 | |
IGM Biosciences, Inc | | | 957 | | | | 69,861 | |
Immunic, Inc. | | | 512 | | | | 6,205 | |
ImmunoGen, Inc. | | | 23,206 | | | | 106,748 | |
Immunovant, Inc. | | | 2,576 | | | | 62,726 | |
Inovio Pharmaceuticals, Inc.(b) | | | 19,389 | | | | 522,534 | |
Insmed, Inc.(b) | | | 13,651 | | | | 375,949 | |
Intellia Therapeutics, Inc. | | | 5,921 | | | | 124,459 | |
Intercept Pharmaceuticals, Inc. | | | 3,492 | | | | 167,302 | |
Invitae Corp. | | | 15,574 | | | | 471,736 | |
Ironwood Pharmaceuticals, Inc.(b) | | | 21,287 | | | | 219,682 | |
IVERIC bio, Inc. | | | 6,081 | | | | 31,013 | |
Jounce Therapeutics, Inc. | | | 2,248 | | | | 15,511 | |
Kadmon Holdings, Inc. | | | 21,746 | | | | 111,340 | |
KalVista Pharmaceuticals, Inc. | | | 1,829 | | | | 22,131 | |
Karuna Therapeutics, Inc. | | | 2,091 | | | | 233,063 | |
Karyopharm Therapeutics, Inc. | | | 9,440 | | | | 178,794 | |
Keros Therapeutics, Inc. | | | 939 | | | | 35,222 | |
Kezar Life Sciences, Inc. | | | 3,709 | | | | 19,213 | |
Kindred Biosciences, Inc. | | | 4,771 | | | | 21,422 | |
Kiniksa Pharmaceuticals Ltd., Class A(b) | | | 2,585 | | | | 65,866 | |
Kodiak Sciences, Inc. | | | 3,903 | | | | 211,230 | |
Krystal Biotech, Inc. | | | 1,600 | | | | 66,272 | |
Kura Oncology, Inc. | | | 7,166 | | | | 116,806 | |
La Jolla Pharmaceutical Co. | | | 2,847 | | | | 12,128 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Lexicon Pharmaceuticals, Inc. | | | 5,737 | | | $ | 11,445 | |
Ligand Pharmaceuticals, Inc.(b) | | | 1,964 | | | | 219,673 | |
LogicBio Therapeutics, Inc. | | | 1,634 | | | | 13,824 | |
MacroGenics, Inc. | | | 6,448 | | | | 180,028 | |
Madrigal Pharmaceuticals, Inc. | | | 1,178 | | | | 133,408 | |
Magenta Therapeutics, Inc. | | | 2,396 | | | | 17,994 | |
MannKind Corp.(b) | | | 28,912 | | | | 50,596 | |
Marker Therapeutics, Inc. | | | 3,653 | | | | 7,562 | |
MediciNova, Inc. | | | 5,798 | | | | 31,425 | |
MEI Pharma, Inc. | | | 14,148 | | | | 58,431 | |
MeiraGTx Holdings plc | | | 2,740 | | | | 34,305 | |
Mersana Therapeutics, Inc. | | | 6,183 | | | | 144,682 | |
Minerva Neurosciences, Inc. | | | 4,064 | | | | 14,671 | |
Mirati Therapeutics, Inc. | | | 4,956 | | | | 565,827 | |
Mirum Pharmaceuticals, Inc. | | | 738 | | | | 14,361 | |
Molecular Templates, Inc.(b) | | | 3,266 | | | | 45,038 | |
Momenta Pharmaceuticals, Inc. | | | 15,921 | | | | 529,692 | |
Morphic Holding, Inc.(b) | | | 1,848 | | | | 49,988 | |
Mustang Bio, Inc. | | | 3,972 | | | | 12,631 | |
Myriad Genetics, Inc. | | | 9,688 | | | | 109,862 | |
NantKwest, Inc. | | | 3,876 | | | | 47,597 | |
Natera, Inc. | | | 9,414 | | | | 469,382 | |
Neoleukin Therapeutics, Inc. | | | 3,963 | | | | 65,786 | |
Neubase Therapeutics, Inc. | | | 2,327 | | | | 20,431 | |
NeuroBo Pharmaceuticals, Inc. | | | 499 | | | | 4,017 | |
NextCure, Inc. | | | 2,202 | | | | 47,211 | |
Novavax, Inc. | | | 7,857 | | | | 654,881 | |
Nymox Pharmaceutical Corp.(b) | | | 5,105 | | | | 18,123 | |
Oncocyte Corp. | | | 5,541 | | | | 10,583 | |
Oncternal Therapeutics, Inc., CVR(c) | | | 105 | | | | 215 | |
OPKO Health, Inc. | | | 53,593 | | | | 182,752 | |
Organogenesis Holdings, Inc. | | | 2,604 | | | | 9,999 | |
Orgenesis, Inc. | | | 2,226 | | | | 13,534 | |
ORIC Pharmaceuticals, Inc. | | | 1,174 | | | | 39,599 | |
Ovid therapeutics, Inc. | | | 5,771 | | | | 42,532 | |
Oyster Point Pharma, Inc. | | | 674 | | | | 19,465 | |
Passage Bio, Inc. | | | 1,838 | | | | 50,233 | |
PDL BioPharma, Inc. | | | 15,191 | | | | 44,206 | |
Pfenex, Inc. | | | 4,674 | | | | 39,028 | |
PhaseBio Pharmaceuticals, Inc.(b) | | | 2,316 | | | | 10,654 | |
Pieris Pharmaceuticals, Inc. | | | 6,594 | | | | 20,441 | |
Portola Pharmaceuticals, Inc. | | | 10,602 | | | | 190,730 | |
Precigen, Inc.(b) | | | 9,289 | | | | 46,352 | |
Precision BioSciences, Inc. | | | 6,168 | | | | 51,379 | |
Prevail Therapeutics, Inc.(b) | | | 1,946 | | | | 28,995 | |
Principia Biopharma, Inc. | | | 3,962 | | | | 236,888 | |
Protagonist Therapeutics, Inc. | | | 3,042 | | | | 53,722 | |
Protara Therapeutics, Inc. | | | 261 | | | | 7,653 | |
Prothena Corp. plc | | | 4,337 | | | | 45,365 | |
PTC Therapeutics, Inc.(b) | | | 8,336 | | | | 422,969 | |
Puma Biotechnology, Inc.(b) | | | 4,071 | | | | 42,461 | |
Radius Health, Inc.(b) | | | 6,103 | | | | 83,184 | |
RAPT Therapeutics, Inc. | | | 1,480 | | | | 42,950 | |
REGENXBIO, Inc. | | | 4,611 | | | | 169,823 | |
Replimune Group, Inc. | | | 2,296 | | | | 57,056 | |
Retrophin, Inc. | | | 5,634 | | | | 114,990 | |
REVOLUTION Medicines, Inc. | | | 1,976 | | | | 62,382 | |
Rhythm Pharmaceuticals, Inc. | | | 4,526 | | | | 100,930 | |
Rigel Pharmaceuticals, Inc. | | | 22,292 | | | | 40,794 | |
Rocket Pharmaceuticals, Inc. | | | 4,632 | | | | 96,948 | |
Rubius Therapeutics, Inc.(b) | | | 4,870 | | | | 29,123 | |
Sangamo Therapeutics, Inc. | | | 15,538 | | | | 139,220 | |
Savara, Inc. | | | 6,299 | | | | 15,685 | |
Scholar Rock Holding Corp. | | | 3,034 | | | | 55,249 | |
Selecta Biosciences, Inc. | | | 9,045 | | | | 25,688 | |
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Biotechnology (continued) | |
Seres Therapeutics, Inc. | | | 5,802 | | | $ | 27,618 | |
Soleno Therapeutics, Inc. | | | 4,331 | | | | 9,615 | |
Solid Biosciences, Inc. | | | 3,427 | | | | 10,041 | |
Sorrento Therapeutics, Inc.(b) | | | 23,569 | | | | 148,013 | |
Spectrum Pharmaceuticals, Inc. | | | 15,845 | | | | 53,556 | |
Spero Therapeutics, Inc. | | | 1,923 | | | | 26,018 | |
SpringWorks Therapeutics, Inc. | | | 2,865 | | | | 120,330 | |
Stoke Therapeutics, Inc. | | | 1,683 | | | | 40,106 | |
Sutro Biopharma, Inc. | | | 2,212 | | | | 17,165 | |
Syndax Pharmaceuticals, Inc. | | | 3,618 | | | | 53,619 | |
Syros Pharmaceuticals, Inc. | | | 5,543 | | | | 59,088 | |
TCR2 Therapeutics, Inc. | | | 2,237 | | | | 34,360 | |
TG Therapeutics, Inc. | | | 13,033 | | | | 253,883 | |
Translate Bio, Inc. | | | 6,779 | | | | 121,480 | |
Turning Point Therapeutics, Inc. | | | 3,760 | | | | 242,858 | |
Twist Bioscience Corp. | | | 4,024 | | | | 182,287 | |
Tyme Technologies, Inc.(b) | | | 8,098 | | | | 10,770 | |
Ultragenyx Pharmaceutical, Inc. | | | 7,651 | | | | 598,461 | |
UNITY Biotechnology, Inc. | | | 4,476 | | | | 38,852 | |
UroGen Pharma Ltd. | | | 2,634 | | | | 68,800 | |
Vanda Pharmaceuticals, Inc.(b) | | | 7,189 | | | | 82,242 | |
Vaxart, Inc. | | | 5,814 | | | | 51,454 | |
VBI Vaccines, Inc. | | | 23,351 | | | | 72,388 | |
Veracyte, Inc. | | | 6,735 | | | | 174,436 | |
Verastem, Inc. | | | 21,621 | | | | 37,188 | |
Vericel Corp. | | | 6,003 | | | | 82,961 | |
Viela Bio, Inc. | | | 2,690 | | | | 116,531 | |
Viking Therapeutics, Inc. | | | 9,074 | | | | 65,424 | |
Vir Biotechnology, Inc. | | | 6,232 | | | | 255,325 | |
Voyager Therapeutics, Inc.(b) | | | 3,525 | | | | 44,485 | |
vTv Therapeutics, Inc., Class A | | | 1,176 | | | | 2,646 | |
X4 Pharmaceuticals, Inc. | | | 2,090 | | | | 19,479 | |
XBiotech, Inc. | | | 1,847 | | | | 25,322 | |
Xencor, Inc. | | | 7,463 | | | | 241,727 | |
XOMA Corp. | | | 779 | | | | 15,393 | |
Y-mAbs Therapeutics, Inc. | | | 4,051 | | | | 175,003 | |
Zentalis Pharmaceuticals, Inc. | | | 1,394 | | | | 66,940 | |
ZIOPHARM Oncology, Inc. | | | 28,912 | | | | 94,831 | |
| | | | | | | | |
| | | | | | | 25,913,219 | |
|
| Building Products — 1.5% | |
AAON, Inc.(b) | | | 5,518 | | | | 299,572 | |
Advanced Drainage Systems, Inc. | | | 6,671 | | | | 329,547 | |
Alpha Pro Tech Ltd.(a) | | | 1,623 | | | | 28,727 | |
American Woodmark Corp.(a) | | | 2,319 | | | | 175,432 | |
Apogee Enterprises, Inc. | | | 3,645 | | | | 83,981 | |
Builders FirstSource, Inc.(a) | | | 15,705 | | | | 325,094 | |
Caesarstone Ltd. | | | 3,044 | | | | 36,071 | |
Cornerstone Building Brands, Inc.(a)(b) | | | 6,120 | | | | 37,087 | |
CSW Industrials, Inc. | | | 1,883 | | | | 130,134 | |
Gibraltar Industries, Inc.(a) | | | 4,422 | | | | 212,300 | |
Griffon Corp. | | | 5,058 | | | | 93,674 | |
Insteel Industries, Inc. | | | 2,420 | | | | 46,150 | |
JELD-WEN Holding, Inc.(a) | | | 9,296 | | | | 149,759 | |
Masonite International Corp.(a) | | | 3,313 | | | | 257,685 | |
Patrick Industries, Inc. | | | 3,046 | | | | 186,568 | |
PGT Innovations, Inc.(a) | | | 7,843 | | | | 122,978 | |
Quanex Building Products Corp. | | | 4,574 | | | | 63,487 | |
Resideo Technologies, Inc.(a) | | | 16,763 | | | | 196,462 | |
Simpson Manufacturing Co., Inc. | | | 5,904 | | | | 498,062 | |
UFP Industries, Inc.(b) | | | 8,109 | | | | 401,477 | |
| | | | | | | | |
| | | | | | | 3,674,247 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Capital Markets — 1.5% | |
Artisan Partners Asset Management, Inc., Class A | | | 7,417 | | | $ | 241,053 | |
Assetmark Financial Holdings, Inc.(a) | | | 2,168 | | | | 59,165 | |
Associated Capital Group, Inc., Class A(b) | | | 300 | | | | 11,007 | |
B. Riley Financial, Inc. | | | 2,716 | | | | 59,100 | |
BGC Partners, Inc., Class A | | | 20,742 | | | | 56,833 | |
Blucora, Inc.(a) | | | 6,509 | | | | 74,333 | |
Brightsphere Investment Group, Inc. | | | 8,750 | | | | 109,025 | |
Cohen & Steers, Inc. | | | 3,296 | | | | 224,293 | |
Cowen, Inc., Class A | | | 3,723 | | | | 60,350 | |
Diamond Hill Investment Group, Inc. | | | 411 | | | | 46,718 | |
Donnelley Financial Solutions, Inc.(a) | | | 4,471 | | | | 37,556 | |
Federated Hermes, Inc., Class B | | | 13,169 | | | | 312,105 | |
Focus Financial Partners, Inc., Class A(a) | | | 4,249 | | | | 140,430 | |
GAIN Capital Holdings, Inc.(b) | | | 2,657 | | | | 15,995 | |
GAMCO Investors, Inc., Class A | | | 630 | | | | 8,385 | |
Greenhill & Co., Inc. | | | 1,834 | | | | 18,322 | |
Hamilton Lane, Inc., Class A | | | 2,941 | | | | 198,135 | |
Houlihan Lokey, Inc. | | | 5,910 | | | | 328,832 | |
INTL. FCStone, Inc.(a) | | | 2,198 | | | | 120,890 | |
Moelis & Co., Class A(b) | | | 7,187 | | | | 223,947 | |
Oppenheimer Holdings, Inc., Class A | | | 1,284 | | | | 27,978 | |
Piper Sandler Cos | | | 2,385 | | | | 141,097 | |
PJT Partners, Inc., Class A | | | 3,164 | | | | 162,440 | |
Pzena Investment Management, Inc., Class A | | | 3,054 | | | | 16,614 | |
Safeguard Scientifics, Inc.(b) | | | 2,757 | | | | 19,299 | |
Sculptor Capital Management, Inc., Class A | | | 2,581 | | | | 33,372 | |
Siebert Financial Corp.(a) | | | 1,073 | | | | 5,429 | |
Silvercrest Asset Management Group, Inc., Class A | | | 1,176 | | | | 14,947 | |
Stifel Financial Corp.(b) | | | 9,061 | | | | 429,763 | |
Value Line, Inc. | | | 109 | | | | 2,942 | |
Virtus Investment Partners, Inc. | | | 990 | | | | 115,127 | |
Waddell & Reed Financial, Inc., Class A | | | 8,931 | | | | 138,520 | |
Westwood Holdings Group, Inc. | | | 1,082 | | | | 17,042 | |
WisdomTree Investments, Inc. | | | 19,956 | | | | 69,247 | |
| | | | | | | | |
| | | | | | | 3,540,291 | |
|
| Chemicals — 1.7% | |
Advanced Emissions Solutions, Inc.(b) | | | 2,446 | | | | 11,863 | |
AdvanSix, Inc.(a) | | | 3,712 | | | | 43,579 | |
AgroFresh Solutions, Inc.(a) | | | 3,650 | | | | 11,059 | |
American Vanguard Corp.(b) | | | 3,869 | | | | 53,237 | |
Amyris, Inc.(a) | | | 9,428 | | | | 40,258 | |
Balchem Corp. | | | 4,327 | | | | 410,459 | |
Chase Corp. | | | 988 | | | | 101,270 | |
Ferro Corp.(a) | | | 10,879 | | | | 129,895 | |
FutureFuel Corp. | | | 3,429 | | | | 40,977 | |
GCP Applied Technologies, Inc.(a) | | | 6,651 | | | | 123,576 | |
Hawkins, Inc. | | | 1,286 | | | | 54,758 | |
HB Fuller Co. | | | 6,980 | | | | 311,308 | |
Ingevity Corp.(a) | | | 5,597 | | | | 294,234 | |
Innospec, Inc. | | | 3,309 | | | | 255,620 | |
Intrepid Potash, Inc.(a)(b) | | | 12,511 | | | | 12,386 | |
Koppers Holdings, Inc.(a) | | | 2,821 | | | | 53,148 | |
Kraton Corp.(a) | | | 4,302 | | | | 74,339 | |
Kronos Worldwide, Inc.(b) | | | 3,436 | | | | 35,769 | |
Livent Corp.(a) | | | 19,676 | | | | 121,204 | |
Marrone Bio Innovations, Inc.(a) | | | 8,606 | | | | 10,069 | |
Minerals Technologies, Inc. | | | 4,584 | | | | 215,127 | |
Orion Engineered Carbons SA | | | 8,368 | | | | 88,617 | |
PolyOne Corp. | | | 12,489 | | | | 327,586 | |
PQ Group Holdings, Inc.(a) | | | 5,187 | | | | 68,676 | |
Quaker Chemical Corp. | | | 1,783 | | | | 331,014 | |
Rayonier Advanced Materials, Inc.(a) | | | 8,800 | | | | 24,728 | |
Sensient Technologies Corp.(b) | | | 5,756 | | | | 300,233 | |
| | |
SCHEDULE OF INVESTMENTS | | 9 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Chemicals (continued) | |
Stepan Co. | | | 2,898 | | | $ | 281,396 | |
Trecora Resources(a) | | | 3,003 | | | | 18,829 | |
Tredegar Corp. | | | 3,437 | | | | 52,930 | |
Trinseo SA(b) | | | 5,229 | | | | 115,875 | |
Tronox Holdings plc, Class A | | | 12,361 | | | | 89,246 | |
| | | | | | | | |
| | | | | | | 4,103,265 | |
|
| Commercial Services & Supplies — 2.3% | |
ABM Industries, Inc. | | | 9,036 | | | | 328,007 | |
ACCO Brands Corp. | | | 12,785 | | | | 90,773 | |
Advanced Disposal Services, Inc.(a) | | | 9,834 | | | | 296,692 | |
Brady Corp., Class A | | | 6,523 | | | | 305,407 | |
BrightView Holdings, Inc.(a) | | | 4,249 | | | | 47,589 | |
Brink’s Co. (The) | | | 6,788 | | | | 308,922 | |
Casella Waste Systems, Inc., Class A(a) | | | 6,091 | | | | 317,463 | |
CECO Environmental Corp.(a) | | | 4,493 | | | | 29,609 | |
Cimpress plc(a) | | | 2,402 | | | | 183,369 | |
CompX International, Inc. | | | 284 | | | | 3,925 | |
Covanta Holding Corp.(b) | | | 16,120 | | | | 154,591 | |
Deluxe Corp. | | | 5,722 | | | | 134,696 | |
Ennis, Inc. | | | 3,378 | | | | 61,277 | |
Harsco Corp.(a)(b) | | | 10,664 | | | | 144,071 | |
Healthcare Services Group, Inc.(b) | | | 10,086 | | | | 246,704 | |
Heritage-Crystal Clean, Inc.(a) | | | 2,118 | | | | 36,980 | |
Herman Miller, Inc.(b) | | | 8,060 | | | | 190,297 | |
HNI Corp. | | | 5,940 | | | | 181,586 | |
Interface, Inc. | | | 7,817 | | | | 63,630 | |
KAR Auction Services, Inc.(b) | | | 17,607 | | | | 242,272 | |
Kimball International, Inc., Class B | | | 4,802 | | | | 55,511 | |
Knoll, Inc. | | | 6,990 | | | | 85,208 | |
Matthews International Corp., Class A | | | 4,035 | | | | 77,068 | |
McGrath RentCorp | | | 3,269 | | | | 176,559 | |
Mobile Mini, Inc. | | | 5,987 | | | | 176,616 | |
NL Industries, Inc. | | | 1,105 | | | | 3,768 | |
PICO Holdings, Inc.(a) | | | 2,314 | | | | 19,507 | |
Pitney Bowes, Inc.(b) | | | 23,361 | | | | 60,739 | |
Quad/Graphics, Inc.(b) | | | 5,029 | | | | 16,344 | |
SP Plus Corp.(a) | | | 3,123 | | | | 64,677 | |
Steelcase, Inc., Class A | | | 11,951 | | | | 144,129 | |
Team, Inc.(a)(b) | | | 3,929 | | | | 21,885 | |
Tetra Tech, Inc. | | | 7,248 | | | | 573,462 | |
UniFirst Corp. | | | 2,015 | | | | 360,584 | |
US Ecology, Inc.(b) | | | 4,164 | | | | 141,076 | |
Viad Corp. | | | 2,825 | | | | 53,731 | |
VSE Corp. | | | 1,237 | | | | 38,829 | |
| | | | | | | | |
| | | | | | | 5,437,553 | |
|
| Communications Equipment — 0.9% | |
Acacia Communications, Inc.(a)(b) | | | 5,237 | | | | 351,874 | |
ADTRAN, Inc. | | | 6,580 | | | | 71,919 | |
Applied Optoelectronics, Inc.(a) | | | 2,737 | | | | 29,751 | |
CalAmp Corp.(a) | | | 4,560 | | | | 36,526 | |
Calix, Inc.(a) | | | 6,569 | | | | 97,878 | |
Cambium Networks Corp.(a) | | | 925 | | | | 6,808 | |
Casa Systems, Inc.(a) | | | 4,450 | | | | 18,512 | |
Clearfield, Inc.(a) | | | 1,604 | | | | 22,392 | |
Comtech Telecommunications Corp. | | | 3,244 | | | | 54,791 | |
DASAN Zhone Solutions, Inc.(a) | | | 1,635 | | | | 14,601 | |
Digi International, Inc.(a) | | | 3,731 | | | | 43,466 | |
Extreme Networks, Inc.(a) | | | 16,157 | | | | 70,121 | |
Genasys, Inc.(a) | | | 4,232 | | | | 20,568 | |
Harmonic, Inc.(a) | | | 12,495 | | | | 59,351 | |
Infinera Corp.(a) | | | 21,272 | | | | 125,930 | |
Inseego Corp.(a)(b) | | | 7,416 | | | | 86,026 | |
InterDigital, Inc. | | | 4,196 | | | | 237,620 | |
KVH Industries, Inc.(a) | | | 2,325 | | | | 20,762 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Communications Equipment (continued) | |
NETGEAR, Inc.(a) | | | 3,966 | | | $ | 102,680 | |
NetScout Systems, Inc.(a) | | | 9,522 | | | | 243,382 | |
PCTEL, Inc.(a) | | | 2,269 | | | | 15,157 | |
Plantronics, Inc.(b) | | | 4,553 | | | | 66,838 | |
Resonant, Inc.(a) | | | 6,536 | | | | 15,229 | |
Ribbon Communications, Inc.(a) | | | 9,108 | | | | 35,794 | |
Viavi Solutions, Inc.(a) | | | 30,910 | | | | 393,793 | |
| | | | | | | | |
| | | | | | | 2,241,769 | |
|
| Construction & Engineering — 1.2% | |
Aegion Corp.(a) | | | 4,067 | | | | 64,543 | |
Ameresco, Inc., Class A(a) | | | 3,220 | | | | 89,452 | |
API Group Corp.(a)(d) | | | 18,975 | | | | 230,546 | |
Arcosa, Inc. | | | 6,588 | | | | 278,014 | |
Argan, Inc. | | | 2,005 | | | | 94,997 | |
Comfort Systems USA, Inc. | | | 4,903 | | | | 199,797 | |
Concrete Pumping Holdings, Inc.(a) | | | 3,764 | | | | 13,099 | |
Construction Partners, Inc., Class A(a) | | | 2,524 | | | | 44,826 | |
Dycom Industries, Inc.(a)(b) | | | 4,171 | | | | 170,552 | |
EMCOR Group, Inc. | | | 7,411 | | | | 490,164 | |
Fluor Corp. | | | 4,424 | | | | 53,442 | |
Granite Construction, Inc.(b) | | | 6,468 | | | | 123,797 | |
Great Lakes Dredge & Dock Corp.(a) | | | 8,481 | | | | 78,534 | |
HC2 Holdings, Inc.(a) | | | 5,799 | | | | 19,369 | |
IES Holdings, Inc.(a) | | | 1,029 | | | | 23,842 | |
MasTec, Inc.(a) | | | 7,766 | | | | 348,460 | |
MYR Group, Inc.(a) | | | 2,219 | | | | 70,808 | |
Northwest Pipe Co.(a) | | | 1,280 | | | | 32,090 | |
NV5 Global, Inc.(a)(b) | | | 1,429 | | | | 72,636 | |
Primoris Services Corp.(b) | | | 6,550 | | | | 116,328 | |
Sterling Construction Co., Inc.(a) | | | 3,755 | | | | 39,315 | |
Tutor Perini Corp.(a) | | | 5,593 | | | | 68,123 | |
WillScot Corp.(a) | | | 7,286 | | | | 89,545 | |
| | | | | | | | |
| | | | | | | 2,812,279 | |
|
| Construction Materials — 0.2% | |
Forterra, Inc.(a) | | | 2,711 | | | | 30,255 | |
Summit Materials, Inc., Class A(a) | | | 15,895 | | | | 255,592 | |
United States Lime & Minerals, Inc. | | | 275 | | | | 23,221 | |
US Concrete, Inc.(a) | | | 2,227 | | | | 55,229 | |
| | | | | | | | |
| | | | | | | 364,297 | |
|
| Consumer Finance — 0.7% | |
Atlanticus Holdings Corp.(a) | | | 496 | | | | 5,129 | |
Curo Group Holdings Corp. | | | 2,633 | | | | 21,512 | |
Encore Capital Group, Inc.(a) | | | 4,206 | | | | 143,761 | |
Enova International, Inc.(a) | | | 4,153 | | | | 61,755 | |
EZCORP, Inc., Class A(a)(b) | | | 6,650 | | | | 41,895 | |
FirstCash, Inc. | | | 5,478 | | | | 369,655 | |
Green Dot Corp., Class A(a) | | | 6,865 | | | | 336,934 | |
LendingClub Corp.(a) | | | 9,410 | | | | 42,816 | |
Navient Corp. | | | 26,344 | | | | 185,198 | |
Nelnet, Inc., Class A | | | 2,325 | | | | 110,995 | |
Oportun Financial Corp.(a) | | | 2,532 | | | | 34,030 | |
PRA Group, Inc.(a)(b) | | | 6,067 | | | | 234,550 | |
Regional Management Corp.(a) | | | 1,205 | | | | 21,341 | |
World Acceptance Corp.(a)(b) | | | 694 | | | | 45,471 | |
| | | | | | | | |
| | | | | | | 1,655,042 | |
|
| Containers & Packaging — 0.2% | |
Greif, Inc., Class A | | | 3,516 | | | | 120,985 | |
Greif, Inc., Class B | | | 766 | | | | 32,042 | |
Myers Industries, Inc. | | | 4,849 | | | | 70,553 | |
O-I Glass, Inc. | | | 21,027 | | | | 188,822 | |
Ranpak Holdings Corp.(a) | | | 3,525 | | | | 26,226 | |
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Containers & Packaging (continued) | |
UFP Technologies, Inc.(a) | | | 876 | | | $ | 38,597 | |
| | | | | | | | |
| | | | | | | 477,225 | |
|
| Distributors — 0.1% | |
Core-Mark Holding Co., Inc. | | | 6,062 | | | | 151,277 | |
Funko, Inc., Class A(a)(b) | | | 3,501 | | | | 20,306 | |
Greenlane Holdings, Inc., Class A(a) | | | 1,731 | | | | 6,889 | |
Weyco Group, Inc. | | | 783 | | | | 16,905 | |
| | | | | | | | |
| | | | | | | 195,377 | |
|
| Diversified Consumer Services — 0.7% | |
Adtalem Global Education, Inc.(a) | | | 7,015 | | | | 218,517 | |
American Public Education, Inc.(a) | | | 1,938 | | | | 57,365 | |
Aspen Group, Inc.(a) | | | 2,388 | | | | 21,611 | |
Carriage Services, Inc. | | | 2,185 | | | | 39,592 | |
Collectors Universe, Inc. | | | 1,268 | | | | 43,467 | |
Franchise Group, Inc. | | | 2,577 | | | | 56,385 | |
Houghton Mifflin Harcourt Co.(a) | | | 14,878 | | | | 26,929 | |
K12, Inc.(a) | | | 5,372 | | | | 146,333 | |
Laureate Education, Inc., Class A(a) | | | 14,716 | | | | 146,645 | |
OneSpaWorld Holdings Ltd. | | | 6,105 | | | | 29,121 | |
Perdoceo Education Corp.(a) | | | 9,329 | | | | 148,611 | |
Regis Corp.(a) | | | 3,106 | | | | 25,407 | |
Strategic Education, Inc. | | | 2,947 | | | | 452,807 | |
Universal Technical Institute, Inc.(a) | | | 3,615 | | | | 25,124 | |
Vivint Smart Home, Inc.(a) | | | 9,449 | | | | 163,751 | |
WW International, Inc.(a)(b) | | | 6,420 | | | | 162,940 | |
| | | | | | | | |
| | | | | | | 1,764,605 | |
|
| Diversified Financial Services — 0.2% | |
Alerus Financial Corp. | | | 1,846 | | | | 36,477 | |
A-Mark Precious Metals, Inc.(a) | | | 575 | | | | 10,954 | |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | 4,064 | | | | 46,736 | |
Cannae Holdings, Inc.(a) | | | 11,403 | | | | 468,663 | |
GWG Holdings, Inc.(a) | | | 366 | | | | 2,807 | |
Marlin Business Services Corp. | | | 1,178 | | | | 9,966 | |
SWK Holdings Corp.(a) | | | 359 | | | | 4,301 | |
| | | | | | | | |
| | | | | | | 579,904 | |
|
| Diversified Telecommunication Services — 0.9% | |
Alaska Communications Systems Group, Inc. | | | 5,766 | | | | 16,087 | |
Anterix, Inc.(a) | | | 1,779 | | | | 80,660 | |
ATN International, Inc.(b) | | | 1,508 | | | | 91,340 | |
Bandwidth, Inc., Class A(a)(b) | | | 2,588 | | | | 328,676 | |
Cincinnati Bell, Inc.(a) | | | 6,625 | | | | 98,381 | |
Cogent Communications Holdings, Inc. | | | 5,723 | | | | 442,731 | |
Consolidated Communications Holdings, Inc.(a) | | | 9,837 | | | | 66,596 | |
IDT Corp., Class B(a) | | | 2,243 | | | | 14,647 | |
Iridium Communications, Inc.(a)(b) | | | 15,847 | | | | 403,148 | |
Liberty Latin America Ltd., Class A(a) | | | 6,060 | | | | 58,903 | |
Liberty Latin America Ltd., Class C(a) | | | 15,394 | | | | 145,320 | |
Ooma, Inc.(a) | | | 2,831 | | | | 46,655 | |
ORBCOMM, Inc.(a) | | | 10,338 | | | | 39,801 | |
Vonage Holdings Corp.(a) | | | 31,315 | | | | 315,029 | |
| | | | | | | | |
| | | | | | | 2,147,974 | |
|
| Electric Utilities — 0.9% | |
ALLETE, Inc. | | | 7,130 | | | | 389,369 | |
El Paso Electric Co. | | | 5,474 | | | | 366,758 | |
Genie Energy Ltd., Class B | | | 1,936 | | | | 14,249 | |
MGE Energy, Inc. | | | 4,696 | | | | 302,939 | |
Otter Tail Corp. | | | 5,362 | | | | 207,992 | |
PNM Resources, Inc.(b) | | | 10,737 | | | | 412,730 | |
Portland General Electric Co. | | | 12,191 | | | | 509,706 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Electric Utilities (continued) | |
Spark Energy, Inc., Class A | | | 1,964 | | | $ | 13,886 | |
| | | | | | | | |
| | | | | | | 2,217,629 | |
|
| Electrical Equipment — 0.9% | |
Allied Motion Technologies, Inc. | | | 998 | | | | 35,229 | |
American Superconductor Corp.(a) | | | 3,117 | | | | 25,341 | |
Atkore International Group, Inc.(a) | | | 6,407 | | | | 175,231 | |
AZZ, Inc. | | | 3,541 | | | | 121,527 | |
Bloom Energy Corp., Class A(a) | | | 11,455 | | | | 124,630 | |
Encore Wire Corp. | | | 2,704 | | | | 132,009 | |
EnerSys | | | 5,775 | | | | 371,795 | |
FuelCell Energy, Inc.(a) | | | 28,618 | | | | 64,677 | |
LSI Industries, Inc. | | | 3,336 | | | | 21,584 | |
Orion Energy Systems, Inc.(a) | | | 3,152 | | | | 10,906 | |
Plug Power, Inc.(a) | | | 43,708 | | | | 358,843 | |
Powell Industries, Inc. | | | 1,258 | | | | 34,457 | |
Preformed Line Products Co. | | | 421 | | | | 21,054 | |
Sunrun, Inc.(a) | | | 15,700 | | | | 309,604 | |
Thermon Group Holdings, Inc.(a) | | | 4,303 | | | | 62,695 | |
TPI Composites, Inc.(a) | | | 4,100 | | | | 95,817 | |
Ultralife Corp.(a) | | | 837 | | | | 5,867 | |
Vicor Corp.(a) | | | 2,407 | | | | 173,184 | |
Vivint Solar, Inc.(a)(b) | | | 6,660 | | | | 65,934 | |
| | | | | | | | |
| | | | | | | 2,210,384 | |
|
| Electronic Equipment, Instruments & Components — 2.3% | |
Akoustis Technologies, Inc.(a) | | | 4,135 | | | | 34,279 | |
Arlo Technologies, Inc.(a) | | | 11,015 | | | | 28,419 | |
Badger Meter, Inc.(b) | | | 3,911 | | | | 246,080 | |
Bel Fuse, Inc., Class B(b) | | | 1,475 | | | | 15,827 | |
Belden, Inc. | | | 5,981 | | | | 194,682 | |
Benchmark Electronics, Inc.(b) | | | 4,914 | | | | 106,142 | |
CTS Corp. | | | 4,344 | | | | 87,054 | |
Daktronics, Inc.(b) | | | 5,343 | | | | 23,242 | |
ePlus, Inc.(a) | | | 1,777 | | | | 125,598 | |
Fabrinet(a) | | | 4,959 | | | | 309,541 | |
FARO Technologies, Inc.(a)(b) | | | 2,357 | | | | 126,335 | |
Fitbit, Inc., Class A(a) | | | 32,233 | | | | 208,225 | |
II-VI, Inc.(a)(b) | | | 12,153 | | | | 573,865 | |
Insight Enterprises, Inc.(a) | | | 4,700 | | | | 231,240 | |
Intellicheck, Inc.(a) | | | 2,103 | | | | 15,878 | |
Iteris, Inc.(a) | | | 5,349 | | | | 25,434 | |
Itron, Inc.(a)(b) | | | 5,416 | | | | 358,810 | |
Kimball Electronics, Inc.(a) | | | 3,167 | | | | 42,881 | |
Knowles Corp.(a) | | | 11,965 | | | | 182,586 | |
Luna Innovations, Inc.(a) | | | 3,683 | | | | 21,509 | |
Methode Electronics, Inc. | | | 4,928 | | | | 154,049 | |
MTS Systems Corp.(b) | | | 2,672 | | | | 47,000 | |
Napco Security Technologies, Inc.(a)(b) | | | 1,561 | | | | 36,512 | |
nLight, Inc.(a)(b) | | | 4,646 | | | | 103,420 | |
Novanta, Inc.(a) | | | 4,600 | | | | 491,142 | |
OSI Systems, Inc.(a) | | | 2,290 | | | | 170,926 | |
PAR Technology Corp.(a) | | | 2,174 | | | | 65,068 | |
PC Connection, Inc. | | | 1,480 | | | | 68,613 | |
Plexus Corp.(a) | | | 3,886 | | | | 274,196 | |
Powerfleet, Inc.(a) | | | 3,425 | | | | 15,823 | |
Research Frontiers, Inc.(a) | | | 3,381 | | | | 13,727 | |
Rogers Corp.(a)(b) | | | 2,516 | | | | 313,494 | |
Sanmina Corp.(a) | | | 9,001 | | | | 225,385 | |
ScanSource, Inc.(a) | | | 3,376 | | | | 81,328 | |
TTM Technologies, Inc.(a) | | | 13,349 | | | | 158,319 | |
Vishay Intertechnology, Inc. | | | 18,176 | | | | 277,547 | |
Vishay Precision Group, Inc.(a) | | | 1,691 | | | | 41,565 | |
Wrap Technologies, Inc.(a) | | | 1,625 | | | | 17,030 | |
| | | | | | | | |
| | | | | | | 5,512,771 | |
| | |
SCHEDULE OF INVESTMENTS | | 11 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Energy Equipment & Services — 0.7% | |
Archrock, Inc.(b) | | | 18,027 | | | $ | 116,995 | |
Aspen Aerogels, Inc.(a) | | | 2,540 | | | | 16,713 | |
Bristow Group, Inc.(a) | | | 815 | | | | 11,353 | |
Cactus, Inc., Class A | | | 6,546 | | | | 135,044 | |
ChampionX Corp.(a) | | | 25,161 | | | | 245,571 | |
DMC Global, Inc.(b) | | | 1,961 | | | | 54,124 | |
Dril-Quip, Inc.(a)(b) | | | 4,738 | | | | 141,145 | |
Exterran Corp.(a) | | | 3,860 | | | | 20,805 | |
Frank’s International NV(a) | | | 20,810 | | | | 46,406 | |
Helix Energy Solutions Group, Inc.(a) | | | 19,762 | | | | 68,574 | |
Liberty Oilfield Services, Inc.,
Class A(b) | | | 8,961 | | | | 49,106 | |
Matrix Service Co.(a) | | | 3,515 | | | | 34,166 | |
Nabors Industries Ltd.(b) | | | 955 | | | | 35,354 | |
National Energy Services Reunited Corp.(a) | | | 3,128 | | | | 21,521 | |
Newpark Resources, Inc.(a) | | | 11,838 | | | | 26,399 | |
NexTier Oilfield Solutions, Inc.(a) | | | 22,530 | | | | 55,199 | |
Oceaneering International, Inc.(a) | | | 13,541 | | | | 86,527 | |
Oil States International, Inc.(a) | | | 8,444 | | | | 40,109 | |
Patterson-UTI Energy, Inc. | | | 10,662 | | | | 36,997 | |
ProPetro Holding Corp.(a) | | | 11,230 | | | | 57,722 | |
RPC, Inc.(a)(b) | | | 8,656 | | | | 26,661 | |
SEACOR Holdings, Inc.(a) | | | 2,586 | | | | 73,236 | |
Select Energy Services, Inc.,
Class A(a) | | | 8,472 | | | | 41,513 | |
Solaris Oilfield Infrastructure, Inc., Class A | | | 4,503 | | | | 33,412 | |
Tidewater, Inc.(a)(b) | | | 5,115 | | | | 28,593 | |
Transocean Ltd.(a) | | | 79,358 | | | | 145,225 | |
US Silica Holdings, Inc.(b) | | | 10,589 | | | | 38,226 | |
| | | | | | | | |
| | | | | | | 1,686,696 | |
|
| Entertainment — 0.3% | |
AMC Entertainment Holdings, Inc., Class A(b) . | | | 7,421 | | | | 31,836 | |
Cinemark Holdings, Inc. | | | 14,635 | | | | 169,034 | |
Eros International plc(a) | | | 9,757 | | | | 30,832 | |
Gaia, Inc.(a) | | | 1,503 | | | | 12,595 | |
Glu Mobile, Inc.(a) | | | 17,468 | | | | 161,929 | |
IMAX Corp.(a) | | | 7,122 | | | | 79,838 | |
Liberty Media Corp.-Liberty Braves, Class A(a) | | | 1,450 | | | | 29,116 | |
Liberty Media Corp-Liberty Braves, Class C(a) . | | | 5,041 | | | | 99,509 | |
LiveXLive Media, Inc.(a) | | | 4,318 | | | | 15,631 | |
Marcus Corp. (The) | | | 3,203 | | | | 42,504 | |
| | | | | | | | |
| | | | | | | 672,824 | |
|
| Equity Real Estate Investment Trusts (REITs) — 6.2% | |
Acadia Realty Trust | | | 11,683 | | | | 151,645 | |
Agree Realty Corp.(b) | | | 7,100 | | | | 466,541 | |
Alexander & Baldwin, Inc. | | | 9,839 | | | | 119,937 | |
Alexander’s, Inc. | | | 292 | | | | 70,343 | |
Alpine Income Property Trust, Inc. | | | 890 | | | | 14,471 | |
American Assets Trust, Inc. | | | 6,843 | | | | 190,509 | |
American Finance Trust, Inc. | | | 15,201 | | | | 120,620 | |
Armada Hoffler Properties, Inc. | | | 7,806 | | | | 77,670 | |
Bluerock Residential Growth REIT, Inc. | | | 3,167 | | | | 25,589 | |
BRT Apartments Corp. | | | 1,572 | | | | 17,009 | |
CareTrust REIT, Inc. | | | 12,881 | | | | 221,038 | |
CatchMark Timber Trust, Inc., Class A | | | 6,522 | | | | 57,720 | |
Chatham Lodging Trust | | | 6,741 | | | | 41,255 | |
CIM Commercial Trust Corp.(b) | | | 1,473 | | | | 15,879 | |
City Office REIT, Inc. | | | 6,824 | | | | 68,649 | |
Clipper Realty, Inc.(b) | | | 2,104 | | | | 17,042 | |
Colony Capital, Inc. | | | 65,972 | | | | 158,333 | |
Columbia Property Trust, Inc. | | | 15,461 | | | | 203,158 | |
Community Healthcare Trust, Inc. | | | 2,851 | | | | 116,606 | |
CoreCivic, Inc. | | | 16,319 | | | | 152,746 | |
CorEnergy Infrastructure Trust, Inc | | | 2,048 | | | | 18,739 | |
CorePoint Lodging, Inc. | | | 6,096 | | | | 25,664 | |
DiamondRock Hospitality Co. | | | 26,809 | | | | 148,254 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Diversified Healthcare Trust | | | 32,026 | | | $ | 141,715 | |
Easterly Government Properties, Inc. | | | 10,092 | | | | 233,327 | |
EastGroup Properties, Inc. | | | 5,195 | | | | 616,179 | |
Essential Properties Realty Trust, Inc. | | | 12,441 | | | | 184,624 | |
Farmland Partners, Inc. | | | 3,525 | | | | 24,146 | |
Four Corners Property Trust, Inc. | | | 9,592 | | | | 234,045 | |
Franklin Street Properties Corp. | | | 13,847 | | | | 70,481 | |
Front Yard Residential Corp. | | | 6,828 | | | | 59,404 | |
GEO Group, Inc. (The) | | | 16,046 | | | | 189,824 | |
Getty Realty Corp. | | | 4,613 | | | | 136,914 | |
Gladstone Commercial Corp. | | | 4,658 | | | | 87,338 | |
Gladstone Land Corp. | | | 2,499 | | | | 39,634 | |
Global Medical REIT, Inc. | | | 5,502 | | | | 62,338 | |
Global Net Lease, Inc. | | | 12,751 | | | | 213,324 | |
Healthcare Realty Trust, Inc. | | | 18,080 | | | | 529,563 | |
Hersha Hospitality Trust(b) | | | 4,729 | | | | 27,239 | |
Independence Realty Trust, Inc. | | | 12,842 | | | | 147,555 | |
Industrial Logistics Properties Trust | | | 8,753 | | | | 179,874 | |
Innovative Industrial Properties, Inc.(b) | | | 2,261 | | | | 199,013 | |
Investors Real Estate Trust | | | 1,631 | | | | 114,969 | |
iStar, Inc. | | | 10,060 | | | | 123,939 | |
Jernigan Capital, Inc. | | | 3,197 | | | | 43,735 | |
Kite Realty Group Trust | | | 11,414 | | | | 131,718 | |
Lexington Realty Trust | | | 34,471 | | | | 363,669 | |
LTC Properties, Inc. | | | 5,343 | | | | 201,271 | |
Macerich Co. (The) | | | 19,327 | | | | 173,363 | |
Mack-Cali Realty Corp. | | | 12,375 | | | | 189,214 | |
Monmouth Real Estate Investment Corp. | | | 12,742 | | | | 184,632 | |
National Health Investors, Inc. | | | 5,865 | | | | 356,123 | |
National Storage Affiliates Trust | | | 8,313 | | | | 238,251 | |
New Senior Investment Group, Inc. | | | 11,974 | | | | 43,346 | |
NexPoint Residential Trust, Inc. | | | 2,888 | | | | 102,091 | |
Office Properties Income Trust(b) | | | 6,449 | | | | 167,486 | |
One Liberty Properties, Inc. | | | 2,352 | | | | 41,442 | |
Pebblebrook Hotel Trust | | | 17,973 | | | | 245,511 | |
Physicians Realty Trust(b) | | | 27,441 | | | | 480,766 | |
Piedmont Office Realty Trust, Inc., Class A | | | 17,226 | | | | 286,124 | |
Plymouth Industrial REIT, Inc. | | | 1,748 | | | | 22,374 | |
PotlatchDeltic Corp.(b) | | | 8,877 | | | | 337,592 | |
Preferred Apartment Communities, Inc., Class A | | | 6,414 | | | | 48,746 | |
PS Business Parks, Inc. | | | 2,704 | | | | 358,010 | |
QTS Realty Trust, Inc., Class A | | | 8,055 | | | | 516,245 | |
Retail Opportunity Investments Corp. | | | 15,706 | | | | 177,949 | |
Retail Properties of America, Inc., Class A | | | 29,247 | | | | 214,088 | |
Retail Value, Inc. | | | 2,387 | | | | 29,503 | |
RLJ Lodging Trust | | | 22,508 | | | | 212,476 | |
RPT Realty | | | 11,220 | | | | 78,091 | |
Ryman Hospitality Properties, Inc. | | | 6,864 | | | | 237,494 | |
Sabra Health Care REIT, Inc. | | | 27,966 | | | | 403,549 | |
Safehold, Inc.(b) | | | 2,314 | | | | 133,032 | |
Saul Centers, Inc. | | | 1,646 | | | | 53,116 | |
Seritage Growth Properties,
Class A(a)(b) | | | 4,797 | | | | 54,686 | |
Service Properties Trust | | | 7,452 | | | | 52,835 | |
SITE Centers Corp. | | | 20,965 | | | | 169,817 | |
STAG Industrial, Inc. | | | 20,264 | | | | 594,140 | |
Summit Hotel Properties, Inc. | | | 13,781 | | | | 81,721 | |
Sunstone Hotel Investors, Inc. | | | 29,885 | | | | 243,563 | |
Tanger Factory Outlet Centers, Inc. | | | 12,577 | | | | 89,674 | |
Terreno Realty Corp.(b) | | | 8,948 | | | | 471,023 | |
UMH Properties, Inc. | | | 4,828 | | | | 62,426 | |
Uniti Group, Inc. | | | 26,085 | | | | 243,895 | |
Universal Health Realty Income Trust | | | 1,740 | | | | 138,313 | |
Urban Edge Properties | | | 15,860 | | | | 188,258 | |
Urstadt Biddle Properties, Inc., Class A | | | 4,144 | | | | 49,231 | |
Washington REIT | | | 11,120 | | | | 246,864 | |
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Whitestone REIT | | | 5,642 | | | $ | 41,017 | |
Xenia Hotels & Resorts, Inc. | | | 15,808 | | | | 147,489 | |
| | | | | | | | |
| | | | | | | 15,060,821 | |
|
| Food & Staples Retailing — 0.9% | |
Andersons, Inc. (The) | | | 4,260 | | | | 58,618 | |
BJ’s Wholesale Club Holdings, Inc.(a) | | | 18,477 | | | | 688,638 | |
Chefs’ Warehouse, Inc. (The)(a) | | | 3,436 | | | | 46,661 | |
HF Foods Group, Inc.(a) | | | 4,816 | | | | 43,585 | |
Ingles Markets, Inc., Class A | | | 1,932 | | | | 83,211 | |
Natural Grocers by Vitamin Cottage, Inc.(b) | | | 1,090 | | | | 16,219 | |
Performance Food Group Co.(a) | | | 17,713 | | | | 516,157 | |
PriceSmart, Inc. | | | 3,099 | | | | 186,963 | |
Rite Aid Corp.(a) | | | 7,432 | | | | 126,790 | |
SpartanNash Co. | | | 4,858 | | | | 103,232 | |
United Natural Foods, Inc.(a) | | | 7,202 | | | | 131,148 | |
Village Super Market, Inc., Class A | | | 1,150 | | | | 31,878 | |
Weis Markets, Inc. | | | 1,268 | | | | 63,552 | |
| | | | | | | | |
| | | | | | | 2,096,652 | |
|
| Food Products — 1.4% | |
Alico, Inc. | | | 686 | | | | 21,376 | |
B&G Foods, Inc.(b) | | | 8,630 | | | | 210,399 | |
Bridgford Foods Corp.(a) | | | 221 | | | | 3,660 | |
Calavo Growers, Inc. | | | 2,228 | | | | 140,163 | |
Cal-Maine Foods, Inc.(a) | | | 4,277 | | | | 190,241 | |
Darling Ingredients, Inc.(a) | | | 21,765 | | | | 535,854 | |
Farmer Bros Co.(a) | | | 2,106 | | | | 15,458 | |
Fresh Del Monte Produce, Inc.(b) | | | 4,190 | | | | 103,158 | |
Freshpet, Inc.(a) | | | 5,224 | | | | 437,040 | |
Hostess Brands, Inc.(a) | | | 16,010 | | | | 195,642 | |
J&J Snack Foods Corp.(b) | | | 2,030 | | | | 258,074 | |
John B Sanfilippo & Son, Inc. | | | 1,182 | | | | 100,860 | |
Lancaster Colony Corp.(b) | | | 2,549 | | | | 395,070 | |
Landec Corp.(a) | | | 3,600 | | | | 28,656 | |
Limoneira Co.(b) | | | 2,145 | | | | 31,081 | |
Sanderson Farms, Inc. | | | 2,716 | | | | 314,757 | |
Seneca Foods Corp., Class A(a) | | | 860 | | | | 29,077 | |
Simply Good Foods Co. (The)(a)(b) | | | 11,406 | | | | 211,923 | |
Tootsie Roll Industries, Inc. | | | 2,200 | | | | 75,394 | |
| | | | | | | | |
| | | | | | | 3,297,883 | |
|
| Gas Utilities — 1.2% | |
Brookfield Infrastructure Corp., Class A | | | 4,366 | | | | 198,828 | |
Chesapeake Utilities Corp.(b) | | | 2,129 | | | | 178,836 | |
New Jersey Resources Corp. | | | 12,931 | | | | 422,197 | |
Northwest Natural Holding Co. | | | 4,047 | | | | 225,782 | |
ONE Gas, Inc. | | | 7,015 | | | | 540,506 | |
RGC Resources, Inc. | | | 1,035 | | | | 25,016 | |
South Jersey Industries, Inc. | | | 12,456 | | | | 311,275 | |
Southwest Gas Holdings, Inc. | | | 7,440 | | | | 513,732 | |
Spire, Inc. | | | 6,741 | | | | 442,951 | |
| | | | | | | | |
| | | | | | | 2,859,123 | |
|
| Health Care Equipment & Supplies — 3.6% | |
Accelerate Diagnostics, Inc.(a)(b) | | | 4,149 | | | | 62,899 | |
Accuray, Inc.(a) | | | 11,846 | | | | 24,047 | |
Alphatec Holdings, Inc.(a)(b) | | | 6,065 | | | | 28,506 | |
AngioDynamics, Inc.(a) | | | 4,838 | | | | 49,202 | |
Antares Pharma, Inc.(a) | | | 21,843 | | | | 60,068 | |
Apyx Medical Corp.(a) | | | 4,436 | | | | 24,620 | |
Aspira Women’s Health, Inc.(a) | | | 6,350 | | | | 24,384 | |
AtriCure, Inc.(a) | | | 5,251 | | | | 236,032 | |
Atrion Corp. | | | 190 | | | | 121,032 | |
Avanos Medical, Inc.(a)(b) | | | 6,435 | | | | 189,125 | |
AxoGen, Inc.(a) | | | 4,938 | | | | 45,627 | |
Axonics Modulation Technologies,
Inc.(a) | | | 4,108 | | | | 144,232 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Health Care Equipment & Supplies (continued) | |
Bellerophon Therapeutics, Inc.(a) | | | 491 | | | $ | 6,162 | |
Beyond Air, Inc.(a) | | | 1,627 | | | | 11,796 | |
BioLife Solutions, Inc.(a) | | | 886 | | | | 14,486 | |
BioSig Technologies, Inc.(a) | | | 2,841 | | | | 20,455 | |
Cantel Medical Corp.(b) | | | 5,126 | | | | 226,723 | |
Cardiovascular Systems, Inc.(a) | | | 4,619 | | | | 145,729 | |
Cerus Corp.(a) | | | 21,842 | | | | 144,157 | |
Chembio Diagnostics, Inc.(a) | | | 2,402 | | | | 7,807 | |
Co-Diagnostics, Inc.(a)(b) | | | 3,482 | | | | 67,377 | |
CONMED Corp. | | | 3,678 | | | | 264,779 | |
CryoLife, Inc.(a) | | | 4,885 | | | | 93,645 | |
CryoPort, Inc.(a)(b) | | | 4,504 | | | | 136,246 | |
Cutera, Inc.(a) | | | 2,287 | | | | 27,833 | |
CytoSorbents Corp.(a)(b) | | | 4,537 | | | | 44,916 | |
Electromed, Inc.(a) | | | 911 | | | | 14,020 | |
FONAR Corp.(a) | | | 794 | | | | 16,968 | |
GenMark Diagnostics, Inc.(a) | | | 9,119 | | | | 134,141 | |
Glaukos Corp.(a)(b) | | | 5,722 | | | | 219,839 | |
Heska Corp.(a) | | | 948 | | | | 88,325 | |
Inogen, Inc.(a) | | | 2,478 | | | | 88,019 | |
Integer Holdings Corp.(a) | | | 4,417 | | | | 322,662 | |
IntriCon Corp.(a)(b) | | | 1,189 | | | | 16,075 | |
Invacare Corp. | | | 4,375 | | | | 27,869 | |
iRadimed Corp.(a) | | | 729 | | | | 16,920 | |
iRhythm Technologies, Inc.(a)(b) | | | 3,649 | | | | 422,883 | |
Lantheus Holdings, Inc.(a) | | | 7,134 | | | | 102,017 | |
LeMaitre Vascular, Inc.(b) | | | 2,226 | | | | 58,766 | |
LivaNova plc(a) | | | 6,596 | | | | 317,466 | |
Meridian Bioscience, Inc.(a)(b) | | | 5,714 | | | | 133,079 | |
Merit Medical Systems, Inc.(a)(b) | | | 7,313 | | | | 333,838 | |
Mesa Laboratories, Inc. | | | 537 | | | | 116,422 | |
Milestone Scientific, Inc.(a) | | | 4,912 | | | | 9,578 | |
Misonix, Inc.(a) | | | 1,916 | | | | 26,000 | |
Natus Medical, Inc.(a) | | | 4,511 | | | | 98,430 | |
Nemaura Medical, Inc.(a) | | | 943 | | | | 8,723 | |
Neogen Corp.(a) | | | 7,095 | | | | 550,572 | |
Nevro Corp.(a) | | | 4,531 | | | | 541,319 | |
NuVasive, Inc.(a) | | | 6,957 | | | | 387,227 | |
OraSure Technologies, Inc.(a) | | | 8,320 | | | | 96,762 | |
Orthofix Medical, Inc.(a)(b) | | | 2,521 | | | | 80,672 | |
OrthoPediatrics Corp.(a) | | | 1,591 | | | | 69,622 | |
PAVmed, Inc.(a) | | | 4,473 | | | | 9,438 | |
Pulse Biosciences, Inc.(a) | | | 1,861 | | | | 19,466 | |
Quotient Ltd.(a) | | | 8,083 | | | | 59,814 | |
Repro-Med Systems, Inc.(a) | | | 3,224 | | | | 28,952 | |
Retractable Technologies, Inc.(a) | | | 1,830 | | | | 12,847 | |
Rockwell Medical, Inc.(a) | | | 9,266 | | | | 18,069 | |
RTI Surgical Holdings, Inc.(a)(b) | | | 7,485 | | | | 23,802 | |
SeaSpine Holdings Corp.(a) | | | 3,501 | | | | 36,655 | |
Shockwave Medical, Inc.(a)(b) | | | 3,618 | | | | 171,385 | |
SI-BONE, Inc.(a) | | | 3,402 | | | | 54,228 | |
Sientra, Inc.(a)(b) | | | 6,453 | | | | 24,973 | |
Silk Road Medical, Inc.(a) | | | 4,288 | | | | 179,624 | |
Soliton, Inc.(a) | | | 773 | | | | 6,014 | |
STAAR Surgical Co.(a) | | | 6,088 | | | | 374,656 | |
Stereotaxis, Inc.(a) | | | 5,928 | | | | 26,439 | |
Surmodics, Inc.(a) | | | 1,793 | | | | 77,529 | |
Tactile Systems Technology, Inc.(a) | | | 2,456 | | | | 101,752 | |
Tela Bio, Inc.(a) | | | 710 | | | | 9,202 | |
TransMedics Group, Inc.(a) | | | 2,634 | | | | 47,201 | |
Utah Medical Products, Inc.(b) | | | 456 | | | | 40,411 | |
Vapotherm, Inc.(a) | | | 2,586 | | | | 106,000 | |
Varex Imaging Corp.(a) | | | 5,069 | | | | 76,795 | |
Venus Concept, Inc.(a) | | | 2,262 | | | | 7,894 | |
ViewRay, Inc.(a)(b) | | | 15,213 | | | | 34,077 | |
| | |
SCHEDULE OF INVESTMENTS | | 13 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Health Care Equipment & Supplies (continued) | |
VolitionRX Ltd.(a) | | | 2,925 | | | $ | 11,378 | |
Wright Medical Group NV(a) | | | 17,335 | | | | 515,196 | |
Zynex, Inc.(a) | | | 2,221 | | | | 55,236 | |
| | | | | | | | |
| | | | | | | 8,649,132 | |
|
| Health Care Providers & Services — 2.3% | |
1Life Healthcare, Inc.(a) | | | 2,867 | | | | 104,129 | |
AdaptHealth Corp.(a) | | | 982 | | | | 15,810 | |
Addus HomeCare Corp.(a) | | | 1,856 | | | | 171,791 | |
American Renal Associates Holdings, Inc.(a)(b) | | | 1,987 | | | | 12,955 | |
AMN Healthcare Services, Inc.(a)(b) | | | 6,288 | | | | 284,469 | |
Apollo Medical Holdings, Inc.(a) | | | 1,338 | | | | 22,077 | |
Avalon GloboCare Corp.(a) | | | 2,720 | | | | 5,168 | |
BioTelemetry, Inc.(a)(b) | | | 4,513 | | | | 203,943 | |
Brookdale Senior Living, Inc.(a) | | | 24,828 | | | | 73,243 | |
Catasys, Inc.(a)(b) | | | 1,057 | | | | 26,150 | |
Community Health Systems, Inc.(a) | | | 11,694 | | | | 35,199 | |
CorVel Corp.(a) | | | 1,201 | | | | 85,139 | |
Covetrus, Inc.(a) | | | 13,260 | | | | 237,221 | |
Cross Country Healthcare, Inc.(a) | | | 4,593 | | | | 28,293 | |
Ensign Group, Inc. (The)(b) | | | 6,916 | | | | 289,435 | |
Enzo Biochem, Inc.(a)(b) | | | 6,578 | | | | 14,735 | |
Exagen, Inc.(a) | | | 611 | | | | 7,583 | |
Five Star Senior Living, Inc.(a) | | | 2,338 | | | | 9,118 | |
Fulgent Genetics, Inc.(a) | | | 1,293 | | | | 20,688 | |
Hanger, Inc.(a) | | | 4,879 | | | | 80,796 | |
HealthEquity, Inc.(a) | | | 9,418 | | | | 552,554 | |
InfuSystem Holdings, Inc.(a) | | | 1,823 | | | | 21,037 | |
Joint Corp. (The)(a) | | | 1,756 | | | | 26,814 | |
LHC Group, Inc.(a) | | | 4,086 | | | | 712,272 | |
Magellan Health, Inc.(a) | | | 3,154 | | | | 230,179 | |
MEDNAX, Inc.(a)(b) | | | 11,178 | | | | 191,144 | |
National HealthCare Corp. | | | 1,683 | | | | 106,770 | |
National Research Corp. | | | 1,752 | | | | 101,984 | |
Option Care Health, Inc.(a) | | | 4,595 | | | | 63,779 | |
Owens & Minor, Inc. | | | 8,439 | | | | 64,305 | |
Patterson Cos., Inc.(b) | | | 11,527 | | | | 253,594 | |
Pennant Group, Inc. (The)(a) | | | 3,526 | | | | 79,688 | |
PetIQ, Inc.(a) | | | 2,779 | | | | 96,820 | |
Progyny, Inc.(a)(b) | | | 3,507 | | | | 90,516 | |
Providence Service Corp. (The)(a)(b) | | | 1,622 | | | | 127,992 | |
R1 RCM, Inc.(a) | | | 14,318 | | | | 159,646 | |
RadNet, Inc.(a) | | | 5,814 | | | | 92,268 | |
Select Medical Holdings Corp.(a) | | | 14,643 | | | | 215,691 | |
Sharps Compliance Corp.(a) | | | 1,721 | | | | 12,099 | |
Surgery Partners, Inc.(a) | | | 3,102 | | | | 35,890 | |
Tenet Healthcare Corp.(a) | | | 14,136 | | | | 256,003 | |
Tivity Health, Inc.(a) | | | 5,974 | | | | 67,685 | |
Triple-S Management Corp., Class B(a) | | | 3,082 | | | | 58,620 | |
US Physical Therapy, Inc.(b) | | | 1,717 | | | | 139,111 | |
Viemed Healthcare, Inc.(a) | | | 4,574 | | | | 43,910 | |
| | | | | | | | |
| | | | | | | 5,528,313 | |
|
| Health Care Technology — 1.1% | |
Allscripts Healthcare Solutions, Inc.(a) | | | 21,873 | | | | 148,080 | |
Computer Programs & Systems, Inc. | | | 1,726 | | | | 39,335 | |
Evolent Health, Inc., Class A(a) | | | 10,164 | | | | 72,368 | |
Health Catalyst, Inc.(a) | | | 4,348 | | | | 126,831 | |
HealthStream, Inc.(a) | | | 3,440 | | | | 76,127 | |
HMS Holdings Corp.(a) | | | 11,881 | | | | 384,826 | |
iCAD, Inc.(a) | | | 2,620 | | | | 26,174 | |
Inovalon Holdings, Inc., Class A(a) | | | 9,897 | | | | 190,616 | |
Inspire Medical Systems, Inc.(a) | | | 3,531 | | | | 307,268 | |
NantHealth, Inc.(a)(b) | | | 3,558 | | | | 16,296 | |
NextGen Healthcare, Inc.(a)(b) | | | 7,555 | | | | 82,954 | |
Omnicell, Inc.(a)(b) | | | 5,730 | | | | 404,653 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Health Care Technology (continued) | |
OptimizeRx Corp.(a) | | | 2,011 | | | $ | 26,203 | |
Phreesia, Inc.(a)(b) | | | 3,866 | | | | 109,330 | |
Schrodinger, Inc.(a) | | | 1,881 | | | | 172,243 | |
Simulations Plus, Inc. | | | 1,689 | | | | 101,036 | |
Tabula Rasa HealthCare, Inc.(a)(b) | | | 2,751 | | | | 150,562 | |
Vocera Communications, Inc.(a)(b) | | | 4,275 | | | | 90,630 | |
| | | | | | | | |
| | | | | | | 2,525,532 | |
|
| Hotels, Restaurants & Leisure — 2.7% | |
Accel Entertainment, Inc.(a) | | | 5,051 | | | | 48,641 | |
BBX Capital Corp. | | | 8,715 | | | | 22,136 | |
Biglari Holdings, Inc., Class A(a) | | | 8 | | | | 2,680 | |
Biglari Holdings, Inc., Class B(a) | | | 133 | | | | 9,174 | |
BJ’s Restaurants, Inc.(b) | | | 2,546 | | | | 53,313 | |
Bloomin’ Brands, Inc. | | | 11,874 | | | | 126,577 | |
Bluegreen Vacations Corp.(b) | | | 972 | | | | 5,268 | |
Boyd Gaming Corp.(b) | | | 11,101 | | | | 232,011 | |
Brinker International, Inc. | | | 5,960 | | | | 143,040 | |
Carrols Restaurant Group, Inc.(a) | | | 4,613 | | | | 22,327 | |
Century Casinos, Inc.(a) | | | 3,588 | | | | 14,890 | |
Cheesecake Factory, Inc. (The) | | | 5,850 | | | | 134,082 | |
Churchill Downs, Inc. | | | 5,118 | | | | 681,462 | |
Chuy’s Holdings, Inc.(a) | | | 2,223 | | | | 33,078 | |
Cracker Barrel Old Country Store, Inc. | | | 3,267 | | | | 362,343 | |
Dave & Buster’s Entertainment, Inc. | | | 6,363 | | | | 84,819 | |
Del Taco Restaurants, Inc.(a) | | | 3,868 | | | | 22,937 | |
Denny’s Corp.(a) | | | 7,495 | | | | 75,699 | |
Dine Brands Global, Inc. | | | 2,126 | | | | 89,505 | |
El Pollo Loco Holdings, Inc.(a) | | | 2,603 | | | | 38,420 | |
Eldorado Resorts, Inc.(a)(b) | | | 11,413 | | | | 457,205 | |
Everi Holdings, Inc.(a) | | | 11,090 | | | | 57,224 | |
Fiesta Restaurant Group, Inc.(a) | | | 2,626 | | | | 16,754 | |
GAN Ltd.(a) | | | 1,029 | | | | 26,188 | |
Golden Entertainment, Inc.(a) | | | 2,413 | | | | 21,524 | |
Hilton Grand Vacations, Inc.(a) | | | 11,319 | | | | 221,286 | |
International Game Technology plc | | | 13,624 | | | | 121,254 | |
Jack in the Box, Inc. | | | 3,063 | | | | 226,938 | |
Kura Sushi USA, Inc., Class A(a) | | | 452 | | | | 6,455 | |
Lindblad Expeditions Holdings, Inc.(a) | | | 3,437 | | | | 26,534 | |
Marriott Vacations Worldwide Corp.(b) | | | 5,468 | | | | 449,524 | |
Monarch Casino & Resort, Inc.(a)(b) | | | 1,689 | | | | 57,561 | |
Nathan’s Famous, Inc. | | | 366 | | | | 20,584 | |
Noodles & Co.(a) | | | 4,265 | | | | 25,803 | |
Papa John’s International, Inc.(b) | | | 4,341 | | | | 344,719 | |
Penn National Gaming, Inc.(a) | | | 18,072 | | | | 551,919 | |
PlayAGS, Inc.(a) | | | 3,591 | | | | 12,138 | |
RCI Hospitality Holdings, Inc. | | | 1,258 | | | | 17,436 | |
Red Robin Gourmet Burgers, Inc.(a) | | | 1,725 | | | | 17,595 | |
Red Rock Resorts, Inc., Class A | | | 9,100 | | | | 99,281 | |
Ruth’s Hospitality Group, Inc. | | | 3,835 | | | | 31,294 | |
Scientific Games Corp., Class A(a) | | | 7,765 | | | | 120,047 | |
SeaWorld Entertainment, Inc.(a)(b) | | | 6,854 | | | | 101,508 | |
Shake Shack, Inc., Class A(a) | | | 4,726 | | | | 250,383 | |
Target Hospitality Corp.(a) | | | 4,408 | | | | 7,449 | |
Texas Roadhouse, Inc.(b) | | | 8,872 | | | | 466,401 | |
Twin River Worldwide Holdings, Inc. | | | 2,473 | | | | 55,123 | |
Wingstop, Inc.(b) | | | 3,969 | | | | 551,572 | |
| | | | | | | | |
| | | | | | | 6,564,101 | |
|
| Household Durables — 2.1% | |
Beazer Homes USA, Inc.(a) | | | 3,883 | | | | 39,102 | |
Casper Sleep, Inc.(a)(b) | | | 1,273 | | | | 11,419 | |
Cavco Industries, Inc.(a) | | | 1,161 | | | | 223,899 | |
Century Communities, Inc.(a) | | | 3,907 | | | | 119,789 | |
Ethan Allen Interiors, Inc. | | | 3,176 | | | | 37,572 | |
GoPro, Inc., Class A(a) | | | 17,643 | | | | 83,981 | |
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Household Durables (continued) | |
Green Brick Partners, Inc.(a) | | | 2,967 | | | $ | 35,159 | |
Hamilton Beach Brands Holding Co., Class A | | | 1,018 | | | | 12,114 | |
Helen of Troy Ltd.(a)(b) | | | 3,409 | | | | 642,801 | |
Hooker Furniture Corp. | | | 1,663 | | | | 32,345 | |
Installed Building Products, Inc.(a)(b) | | | 3,112 | | | | 214,043 | |
iRobot Corp.(a) | | | 3,741 | | | | 313,870 | |
KB Home | | | 11,896 | | | | 364,969 | |
La-Z-Boy, Inc. | | | 6,137 | | | | 166,067 | |
Legacy Housing Corp.(a)(b) | | | 963 | | | | 13,694 | |
LGI Homes, Inc.(a) | | | 2,984 | | | | 262,682 | |
Lifetime Brands, Inc. | | | 1,738 | | | | 11,679 | |
Lovesac Co. (The)(a) | | | 1,244 | | | | 32,630 | |
M/I Homes, Inc.(a) | | | 3,748 | | | | 129,081 | |
MDC Holdings, Inc. | | | 6,920 | | | | 247,044 | |
Meritage Homes Corp.(a) | | | 4,973 | | | | 378,545 | |
Purple Innovation, Inc.(a) | | | 1,982 | | | | 35,676 | |
Skyline Champion Corp.(a) | | | 7,256 | | | | 176,611 | |
Sonos, Inc.(a)(b) | | | 10,834 | | | | 158,501 | |
Taylor Morrison Home Corp., Class A(a)(b) | | | 17,180 | | | | 331,402 | |
TopBuild Corp.(a) | | | 4,485 | | | | 510,259 | |
TRI Pointe Group, Inc.(a) | | | 17,772 | | | | 261,071 | |
Tupperware Brands Corp. | | | 7,160 | | | | 34,010 | |
Turtle Beach Corp.(a) | | | 1,864 | | | | 27,438 | |
Universal Electronics, Inc.(a) | | | 1,789 | | | | 83,761 | |
VOXX International Corp.(a) | | | 2,582 | | | | 14,924 | |
| | | | | | | | |
| | | | | | | 5,006,138 | |
|
| Household Products — 0.3% | |
Central Garden & Pet Co.(a) | | | 1,288 | | | | 46,355 | |
Central Garden & Pet Co., Class A(a)(b) | | | 5,375 | | | | 181,621 | |
Oil-Dri Corp. of America(b) | | | 656 | | | | 22,763 | |
WD-40 Co.(b) | | | 1,836 | | | | 364,079 | |
| | | | | | | | |
| | | | | | | 614,818 | |
|
| Independent Power and Renewable Electricity Producers — 0.4% | |
Atlantic Power Corp.(a) | | | 12,184 | | | | 24,368 | |
Clearway Energy, Inc.(b) | | | 4,626 | | | | 97,007 | |
Clearway Energy, Inc., Class C | | | 10,832 | | | | 249,786 | |
Ormat Technologies, Inc.(b) | | | 5,378 | | | | 341,450 | |
Sunnova Energy International, Inc.(a)(b) | | | 4,345 | | | | 74,169 | |
TerraForm Power, Inc., Class A | | | 11,780 | | | | 217,223 | |
| | | | | | | | |
| | | | | | | 1,004,003 | |
|
| Industrial Conglomerates — 0.0% | |
Raven Industries, Inc. | | | 4,888 | | | | 105,141 | |
| | | | | | | | |
|
| Insurance — 2.3% | |
Ambac Financial Group, Inc.(a) | | | 6,015 | | | | 86,135 | |
American Equity Investment Life Holding Co. | | | 11,761 | | | | 290,614 | |
AMERISAFE, Inc. | | | 2,537 | | | | 155,163 | |
Argo Group International Holdings Ltd. | | | 4,489 | | | | 156,352 | |
Benefytt Technologies, Inc., Class A(a) | | | 1,333 | | | | 27,273 | |
BRP Group, Inc., Class A(a) | | | 2,719 | | | | 46,957 | |
Citizens, Inc.(a) | | | 6,570 | | | | 39,354 | |
CNO Financial Group, Inc.(b) | | | 19,700 | | | | 306,729 | |
Crawford & Co., Class A | | | 2,073 | | | | 16,356 | |
Donegal Group, Inc., Class A | | | 1,325 | | | | 18,841 | |
eHealth, Inc.(a)(b) | | | 3,430 | | | | 336,963 | |
Employers Holdings, Inc.(b) | | | 4,051 | | | | 122,138 | |
Enstar Group Ltd.(a) | | | 1,638 | | | | 250,237 | |
FBL Financial Group, Inc., Class A | | | 1,381 | | | | 49,564 | |
FedNat Holding Co. | | | 1,616 | | | | 17,889 | |
Fidelity National Financial, Inc. | | | 1 | | | | 32 | |
Genworth Financial, Inc., Class A(a) | | | 68,201 | | | | 157,544 | |
Global Indemnity Ltd. | | | 1,088 | | | | 26,047 | |
Goosehead Insurance, Inc., Class A(a)(b) | | | 1,729 | | | | 129,952 | |
Greenlight Capital Re Ltd., Class A(a)(b) | | | 3,963 | | | | 25,839 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Insurance (continued) | |
HCI Group, Inc.(b) | | | 784 | | | $ | 36,205 | |
Heritage Insurance Holdings, Inc. | | | 3,616 | | | | 47,333 | |
Horace Mann Educators Corp. | | | 5,465 | | | | 200,729 | |
Independence Holding Co. | | | 675 | | | | 20,648 | |
Investors Title Co. | | | 172 | | | | 20,867 | |
James River Group Holdings Ltd.(b) | | | 4,027 | | | | 181,215 | |
Kinsale Capital Group, Inc.(b) | | | 2,792 | | | | 433,346 | |
MBIA, Inc.(a) | | | 9,574 | | | | 69,412 | |
National General Holdings Corp.(b) | | | 9,290 | | | | 200,757 | |
National Western Life Group, Inc., Class A(b) | | | 345 | | | | 70,101 | |
NI Holdings, Inc.(a) | | | 1,375 | | | | 20,309 | |
Palomar Holdings, Inc.(a) | | | 2,456 | | | | 210,627 | |
ProAssurance Corp. | | | 7,051 | | | | 102,028 | |
ProSight Global, Inc.(a) | | | 1,224 | | | | 10,894 | |
Protective Insurance Corp., Class B | | | 1,163 | | | | 17,526 | |
RLI Corp. | | | 5,337 | | | | 438,168 | |
Safety Insurance Group, Inc. | | | 1,980 | | | | 150,995 | |
Selective Insurance Group, Inc. | | | 7,983 | | | | 421,023 | |
State Auto Financial Corp. | | | 2,372 | | | | 42,340 | |
Stewart Information Services Corp. | | | 3,161 | | | | 102,764 | |
Third Point Reinsurance Ltd.(a) | | | 10,623 | | | | 79,779 | |
Tiptree, Inc. | | | 3,208 | | | | 20,692 | |
Trupanion, Inc.(a)(b) | | | 4,017 | | | | 171,486 | |
United Fire Group, Inc. | | | 2,867 | | | | 79,445 | |
United Insurance Holdings Corp. | | | 2,729 | | | | 21,341 | |
Universal Insurance Holdings, Inc. | | | 3,968 | | | | 70,432 | |
Vericity, Inc. | | | 223 | | | | 2,370 | |
Watford Holdings Ltd.(a) | | | 2,332 | | | | 38,921 | |
| | | | | | | | |
| | | | | | | 5,541,732 | |
|
| Interactive Media & Services — 0.4%(a) | |
Cargurus, Inc. | | | 11,640 | | | | 295,074 | |
Cars.com, Inc. | | | 8,957 | | | | 51,592 | |
DHI Group, Inc. | | | 6,873 | | | | 14,433 | |
Eventbrite, Inc., Class A | | | 8,607 | | | | 73,762 | |
EverQuote, Inc., Class A | | | 1,901 | | | | 110,562 | |
Liberty TripAdvisor Holdings, Inc., Class A | | | 9,645 | | | | 20,544 | |
Meet Group, Inc. (The)(b) | | | 9,223 | | | | 57,552 | |
QuinStreet, Inc. | | | 6,437 | | | | 67,331 | |
TrueCar, Inc. | | | 14,047 | | | | 36,241 | |
Yelp, Inc. | | | 9,529 | | | | 220,406 | |
| | | | | | | | |
| | | | | | | 947,497 | |
|
| Internet & Direct Marketing Retail — 0.6% | |
1-800-Flowers.com, Inc., Class A(a) | | | 3,415 | | | | 68,368 | |
Duluth Holdings, Inc., Class B(a) | | | 1,789 | | | | 13,185 | |
Groupon, Inc.(a) | | | 3,062 | | | | 55,483 | |
Lands’ End, Inc.(a)(b) | | | 1,796 | | | | 14,440 | |
Liquidity Services, Inc.(a) | | | 3,724 | | | | 22,195 | |
Overstock.com, Inc.(a) | | | 5,472 | | | | 155,569 | |
PetMed Express, Inc.(b) | | | 2,650 | | | | 94,446 | |
Quotient Technology, Inc.(a)(b) | | | 11,693 | | | | 85,593 | |
RealReal, Inc. (The)(a) | | | 8,463 | | | | 108,242 | |
Rubicon Project, Inc. (The)(a) | | | 13,965 | | | | 93,146 | |
Shutterstock, Inc.(b) | | | 2,599 | | | | 90,887 | |
Stamps.com, Inc.(a) | | | 2,227 | | | | 409,078 | |
Stitch Fix, Inc., Class A(a) | | | 7,620 | | | | 190,043 | |
US Auto Parts Network, Inc.(a) | | | 2,960 | | | | 25,634 | |
Waitr Holdings, Inc.(a) | | | 9,891 | | | | 26,013 | |
| | | | | | | | |
| | | | | | | 1,452,322 | |
|
| IT Services — 2.0% | |
Brightcove, Inc.(a) | | | 5,103 | | | | 40,212 | |
Cardtronics plc, Class A(a) | | | 4,895 | | | | 117,382 | |
Cass Information Systems, Inc. | | | 1,904 | | | | 74,313 | |
Conduent, Inc.(a) | | | 23,405 | | | | 55,938 | |
| | |
SCHEDULE OF INVESTMENTS | | 15 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| IT Services (continued) | | | | | | |
CSG Systems International, Inc. | | | 4,380 | | | $ | 181,288 | |
Endurance International Group Holdings, Inc.(a) | | | 9,321 | | | | 37,564 | |
EVERTEC, Inc. | | | 8,019 | | | | 225,334 | |
Evo Payments, Inc., Class A(a) | | | 5,521 | | | | 126,044 | |
ExlService Holdings, Inc.(a) | | | 4,518 | | | | 286,441 | |
GreenSky, Inc., Class A(a) | | | 8,321 | | | | 40,773 | |
Grid Dynamics Holdings, Inc.(a) | | | 2,741 | | | | 18,913 | |
GTT Communications, Inc.(a) | | | 4,219 | | | | 34,427 | |
Hackett Group, Inc. (The)(b) | | | 3,361 | | | | 45,508 | |
I3 Verticals, Inc., Class A(a) | | | 1,969 | | | | 59,562 | |
Information Services Group, Inc.(a) | | | 5,071 | | | | 10,497 | |
International Money Express, Inc.(a) | | | 1,901 | | | | 23,686 | |
KBR, Inc. | | | 19,404 | | | | 437,560 | |
Limelight Networks, Inc.(a) | | | 15,715 | | | | 115,662 | |
LiveRamp Holdings, Inc.(a) | | | 8,884 | | | | 377,304 | |
ManTech International Corp., Class A | | | 3,642 | | | | 249,441 | |
MAXIMUS, Inc.(b) | | | 8,248 | | | | 581,072 | |
MoneyGram International, Inc.(a) | | | 8,436 | | | | 27,080 | |
NIC, Inc. | | | 8,843 | | | | 203,035 | |
Paysign, Inc.(a) | | | 4,001 | | | | 38,850 | |
Perficient, Inc.(a) | | | 4,385 | | | | 156,895 | |
Perspecta, Inc. | | | 18,741 | | | | 435,353 | |
PFSweb, Inc.(a) | | | 1,827 | | | | 12,204 | |
Priority Technology Holdings, Inc.(a) | | | 801 | | | | 2,075 | |
Repay Holdings Corp.(a) | | | 4,856 | | | | 119,603 | |
ServiceSource International, Inc.(a) | | | 10,912 | | | | 17,241 | |
StarTek, Inc.(a)(b) | | | 2,147 | | | | 10,907 | |
Sykes Enterprises, Inc.(a) | | | 5,219 | | | | 144,358 | |
TTEC Holdings, Inc.(b) | | | 2,439 | | | | 113,560 | |
Tucows, Inc., Class A(a)(b) | | | 1,263 | | | | 72,395 | |
Unisys Corp.(a) | | | 8,319 | | | | 90,760 | |
Verra Mobility Corp.(a) | | | 18,042 | | | | 185,472 | |
Virtusa Corp.(a) | | | 3,873 | | | | 125,756 | |
| | | | | | | | |
| | | | | | | 4,894,465 | |
| | |
| Leisure Products — 0.7% | | | | | | |
Acushnet Holdings Corp.(b) | | | 4,608 | | | | 160,312 | |
Callaway Golf Co.(b) | | | 12,705 | | | | 222,464 | |
Clarus Corp.(b) | | | 2,882 | | | | 33,373 | |
Escalade, Inc.(b) | | | 1,657 | | | | 23,132 | |
Johnson Outdoors, Inc., Class A | | | 710 | | | | 64,624 | |
Malibu Boats, Inc., Class A(a) | | | 2,766 | | | | 143,694 | |
Marine Products Corp.(b) | | | 1,102 | | | | 15,263 | |
MasterCraft Boat Holdings, Inc.(a) | | | 2,572 | | | | 48,997 | |
Nautilus, Inc.(a) | | | 3,988 | | | | 36,969 | |
Smith & Wesson Brands, Inc.(a)(b) | | | 7,371 | | | | 158,624 | |
Sturm Ruger & Co., Inc.(b) | | | 2,274 | | | | 172,824 | |
Vista Outdoor, Inc.(a)(b) | | | 7,867 | | | | 113,678 | |
YETI Holdings, Inc.(a) | | | 10,012 | | | | 427,813 | |
| | | | | | | | |
| | | | | | | 1,621,767 | |
| | |
| Life Sciences Tools & Services — 0.6% | | | | | | |
Champions Oncology, Inc.(a) | | | 870 | | | | 8,317 | |
ChromaDex Corp.(a)(b) | | | 5,926 | | | | 27,200 | |
Codexis, Inc.(a) | | | 7,145 | | | | 81,453 | |
Fluidigm Corp.(a) | | | 9,326 | | | | 37,397 | |
Harvard Bioscience, Inc.(a) | | | 4,783 | | | | 14,827 | |
Luminex Corp.(b) | | | 5,718 | | | | 186,007 | |
Medpace Holdings, Inc.(a) | | | 3,684 | | | | 342,686 | |
NanoString Technologies, Inc.(a)(b) | | | 5,101 | | | | 149,715 | |
NeoGenomics, Inc.(a) | | | 13,941 | | | | 431,892 | |
Pacific Biosciences of California, Inc.(a)(b) | | | 19,900 | | | | 68,655 | |
Personalis, Inc.(a) | | | 2,667 | | | | 34,591 | |
Quanterix Corp.(a) | | | 2,551 | | | | 69,872 | |
| | | | | | | | |
| | | | | | | 1,452,612 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Machinery — 3.6% | | | | | | |
Alamo Group, Inc. | | | 1,331 | | | $ | 136,614 | |
Albany International Corp., Class A(b) | | | 4,191 | | | | 246,054 | |
Altra Industrial Motion Corp.(b) | | | 8,771 | | | | 279,444 | |
Astec Industries, Inc. | | | 3,052 | | | | 141,338 | |
Barnes Group, Inc | | | 6,440 | | | | 254,766 | |
Blue Bird Corp.(a) | | | 2,100 | | | | 31,479 | |
Chart Industries, Inc.(a)(b) | | | 4,897 | | | | 237,456 | |
CIRCOR International, Inc.(a) | | | 2,748 | | | | 70,019 | |
Columbus McKinnon Corp. | | | 3,254 | | | | 108,846 | |
Douglas Dynamics, Inc.(b) | | | 3,089 | | | | 108,486 | |
Eastern Co. (The) | | | 730 | | | | 13,045 | |
Energy Recovery, Inc.(a) | | | 5,077 | | | | 38,560 | |
Enerpac Tool Group Corp. | | | 7,451 | | | | 131,138 | |
EnPro Industries, Inc. | | | 2,845 | | | | 140,230 | |
ESCO Technologies, Inc. | | | 3,438 | | | | 290,614 | |
Evoqua Water Technologies Corp.(a) | | | 11,566 | | | | 215,128 | |
ExOne Co. (The)(a) | | | 1,467 | | | | 12,543 | |
Federal Signal Corp. | | | 8,051 | | | | 239,356 | |
Franklin Electric Co., Inc. | | | 6,223 | | | | 326,832 | |
Gencor Industries, Inc.(a) | | | 1,255 | | | | 15,863 | |
Gorman-Rupp Co. (The)(b) | | | 2,343 | | | | 72,820 | |
Graham Corp. | | | 1,423 | | | | 18,129 | |
Greenbrier Cos., Inc. (The)(b) | | | 4,484 | | | | 102,011 | |
Helios Technologies, Inc.(b) | | | 3,962 | | | | 147,584 | |
Hillenbrand, Inc. | | | 10,148 | | | | 274,706 | |
Hurco Cos., Inc.(b) | | | 896 | | | | 25,061 | |
Hyster-Yale Materials Handling, Inc.(b) | | | 1,377 | | | | 53,235 | |
John Bean Technologies Corp. | | | 4,242 | | | | 364,897 | |
Kadant, Inc. | | | 1,551 | | | | 154,573 | |
Kennametal, Inc.(b) | | | 11,385 | | | | 326,863 | |
L B Foster Co., Class A(a) | | | 1,509 | | | | 19,270 | |
Lindsay Corp. | | | 1,452 | | | | 133,889 | |
Luxfer Holdings plc(b) | | | 3,830 | | | | 54,194 | |
Lydall, Inc.(a) | | | 2,247 | | | | 30,469 | |
Manitowoc Co., Inc. (The)(a) | | | 4,691 | | | | 51,038 | |
Mayville Engineering Co., Inc.(a) | | | 877 | | | | 6,928 | |
Meritor, Inc.(a) | | | 9,343 | | | | 184,991 | |
Miller Industries, Inc. | | | 1,464 | | | | 43,583 | |
Mueller Industries, Inc. | | | 7,593 | | | | 201,822 | |
Mueller Water Products, Inc., Class A(b) | | | 21,302 | | | | 200,878 | |
Navistar International Corp.(a) | | | 6,763 | | | | 190,717 | |
NN, Inc.(b) | | | 6,196 | | | | 29,369 | |
Omega Flex, Inc.(b) | | | 393 | | | | 41,579 | |
Park-Ohio Holdings Corp. | | | 1,303 | | | | 21,617 | |
Proto Labs, Inc.(a)(b) | | | 3,612 | | | | 406,242 | |
RBC Bearings, Inc.(a) | | | 3,336 | | | | 447,157 | |
REV Group, Inc. | | | 3,966 | | | | 24,193 | |
Rexnord Corp. | | | 14,339 | | | | 417,982 | |
Shyft Group, Inc. (The) | | | 4,530 | | | | 76,285 | |
SPX Corp.(a) | | | 5,831 | | | | 239,946 | |
SPX FLOW, Inc.(a) | | | 5,781 | | | | 216,441 | |
Standex International Corp. | | | 1,729 | | | | 99,504 | |
Tennant Co. | | | 2,478 | | | | 161,095 | |
Terex Corp. | | | 9,409 | | | | 176,607 | |
TriMas Corp.(a) | | | 5,908 | | | | 141,497 | |
Wabash National Corp.(b) | | | 7,362 | | | | 78,184 | |
Watts Water Technologies, Inc., Class A | | | 3,712 | | | | 300,672 | |
Welbilt, Inc.(a) | | | 17,886 | | | | 108,926 | |
| | | | | | | | |
| | | | | | | 8,682,765 | |
| | |
| Marine — 0.1% | | | | | | |
Costamare, Inc.(b) | | | 7,116 | | | | 39,565 | |
Eagle Bulk Shipping, Inc.(a)(b) | | | 6,596 | | | | 14,445 | |
Genco Shipping & Trading Ltd. | | | 2,370 | | | | 14,884 | |
Matson, Inc. | | | 5,787 | | | | 168,402 | |
Pangaea Logistics Solutions Ltd. | | | 967 | | | | 2,427 | |
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Marine (continued) | | | | | | |
Safe Bulkers, Inc.(a) | | | 7,634 | | | $ | 9,313 | |
Scorpio Bulkers, Inc. | | | 772 | | | | 11,812 | |
| | | | | | | | |
| | | | | | | 260,848 | |
| | |
| Media — 0.8% | | | | | | |
AMC Networks, Inc., Class A(a) | | | 5,218 | | | | 122,049 | |
Boston Omaha Corp., Class A(a) | | | 1,497 | | | | 23,952 | |
Cardlytics, Inc.(a)(b) | | | 3,502 | | | | 245,070 | |
Central European Media Enterprises Ltd., Class A(a) | | | 11,908 | | | | 42,154 | |
comScore, Inc.(a) | | | 8,078 | | | | 25,042 | |
Daily Journal Corp.(a) | | | 153 | | | | 41,310 | |
Emerald Holding, Inc. | | | 4,059 | | | | 12,502 | |
Entercom Communications Corp., Class A | | | 17,245 | | | | 23,798 | |
Entravision Communications Corp., Class A | | | 8,032 | | | | 11,486 | |
EW Scripps Co. (The), Class A(b) | | | 7,672 | | | | 67,130 | |
Fluent, Inc.(a) | | | 6,226 | | | | 11,082 | |
Gannett Co., Inc.(b) | | | 15,730 | | | | 21,708 | |
Gray Television, Inc.(a) | | | 12,117 | | | | 169,032 | |
Hemisphere Media Group, Inc.(a) | | | 2,141 | | | | 21,046 | |
iHeartMedia, Inc., Class A(a) | | | 3,972 | | | | 33,166 | |
Loral Space & Communications, Inc. | | | 1,829 | | | | 35,702 | |
Meredith Corp.(b) | | | 5,482 | | | | 79,763 | |
MSG Networks, Inc., Class A(a) | | | 5,491 | | | | 54,636 | |
National CineMedia, Inc. | | | 9,365 | | | | 27,814 | |
Saga Communications, Inc., Class A | | | 482 | | | | 12,339 | |
Scholastic Corp. | | | 4,013 | | | | 120,149 | |
Sinclair Broadcast Group, Inc., Class A(b) | | | 7,155 | | | | 132,081 | |
TechTarget, Inc.(a) | | | 3,072 | | | | 92,252 | |
TEGNA, Inc. | | | 29,636 | | | | 330,145 | |
Tribune Publishing Co. | | | 2,401 | | | | 23,986 | |
WideOpenWest, Inc.(a) | | | 7,019 | | | | 36,990 | |
| | | | | | | | |
| | | | | | | 1,816,384 | |
| | |
| Metals & Mining — 1.4% | | | | | | |
Alcoa Corp.(a) | | | 25,313 | | | | 284,518 | |
Allegheny Technologies, Inc.(a) | | | 17,204 | | | | 175,309 | |
Arconic Corp.(a) | | | 13,448 | | | | 187,331 | |
Caledonia Mining Corp. plc | | | 1,367 | | | | 23,676 | |
Carpenter Technology Corp. | | | 6,483 | | | | 157,407 | |
Century Aluminum Co.(a) | | | 6,962 | | | | 49,639 | |
Cleveland-Cliffs, Inc.(b) | | | 53,979 | | | | 297,964 | |
Coeur Mining, Inc.(a)(b) | | | 32,517 | | | | 165,186 | |
Commercial Metals Co. | | | 16,117 | | | | 328,787 | |
Compass Minerals International, Inc. | | | 4,618 | | | | 225,128 | |
Gold Resource Corp. | | | 8,439 | | | | 34,684 | |
Haynes International, Inc. | | | 1,648 | | | | 38,497 | |
Hecla Mining Co.(b) | | | 70,210 | | | | 229,587 | |
Kaiser Aluminum Corp. | | | 2,128 | | | | 156,663 | |
Materion Corp. | | | 2,742 | | | | 168,606 | |
Novagold Resources, Inc.(a) | | | 31,920 | | | | 293,026 | |
Olympic Steel, Inc. | | | 1,268 | | | | 14,899 | |
Ryerson Holding Corp.(a) | | | 2,354 | | | | 13,253 | |
Schnitzer Steel Industries, Inc., Class A(b) | | | 3,615 | | | | 63,769 | |
SunCoke Energy, Inc. | | | 10,873 | | | | 32,184 | |
TimkenSteel Corp.(a) | | | 5,979 | | | | 23,258 | |
United States Steel Corp. | | | 29,730 | | | | 214,651 | |
Warrior Met Coal, Inc. | | | 6,931 | | | | 106,668 | |
Worthington Industries, Inc. | | | 5,148 | | | | 192,020 | |
| | | | | | | | |
| | | | | | | 3,476,710 | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 1.4% | |
Anworth Mortgage Asset Corp.(b) | | | 14,265 | | | | 24,250 | |
Apollo Commercial Real Estate Finance, Inc. | | | 20,943 | | | | 205,451 | |
Arbor Realty Trust, Inc. | | | 14,003 | | | | 129,388 | |
Ares Commercial Real Estate Corp. | | | 4,365 | | | | 39,809 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Mortgage Real Estate Investment Trusts (REITs) (continued) | |
Arlington Asset Investment Corp., Class A | | | 5,849 | | | $ | 17,372 | |
ARMOUR Residential REIT, Inc. | | | 8,636 | | | | 81,092 | |
Blackstone Mortgage Trust, Inc., Class A(b) | | | 18,485 | | | | 445,304 | |
Broadmark Realty Capital, Inc. | | | 17,224 | | | | 163,111 | |
Capstead Mortgage Corp. | | | 12,646 | | | | 69,427 | |
Cherry Hill Mortgage Investment Corp. | | | 2,234 | | | | 20,151 | |
Chimera Investment Corp. | | | 26,006 | | | | 249,918 | |
Colony Credit Real Estate, Inc. | | | 11,363 | | | | 79,768 | |
Dynex Capital, Inc.(b) | | | 2,862 | | | | 40,927 | |
Ellington Financial, Inc. | | | 5,586 | | | | 65,803 | |
Ellington Residential Mortgage REIT | | | 1,164 | | | | 11,989 | |
Granite Point Mortgage Trust, Inc.(b) | | | 7,463 | | | | 53,584 | |
Great Ajax Corp. | | | 2,702 | | | | 24,858 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 9,513 | | | | 270,740 | |
Invesco Mortgage Capital, Inc.(b) | | | 21,177 | | | | 79,202 | |
KKR Real Estate Finance Trust, Inc.(b) | | | 3,798 | | | | 62,971 | |
Ladder Capital Corp. | | | 14,291 | | | | 115,757 | |
MFA Financial, Inc.(b) | | | 61,660 | | | | 153,533 | |
New York Mortgage Trust, Inc.(b) | | | 51,553 | | | | 134,553 | |
Orchid Island Capital, Inc.(b) | | | 9,097 | | | | 42,847 | |
PennyMac Mortgage Investment Trust(b) | | | 13,367 | | | | 234,323 | |
Ready Capital Corp.(b) | | | 5,184 | | | | 45,049 | |
Redwood Trust, Inc.(b) | | | 15,626 | | | | 109,382 | |
TPG RE Finance Trust, Inc. | | | 8,154 | | | | 70,124 | |
Two Harbors Investment Corp.(b) | | | 37,117 | | | | 187,070 | |
Western Asset Mortgage Capital Corp.(b) | | | 7,668 | | | | 21,010 | |
| | | | | | | | |
| | | | | | | 3,248,763 | |
| | |
| Multiline Retail — 0.1% | | | | | | |
Big Lots, Inc. | | | 5,360 | | | | 225,120 | |
Dillard’s, Inc., Class A(b) | | | 1,135 | | | | 29,272 | |
Macy’s, Inc. | | | 12,638 | | | | 86,949 | |
| | | | | | | | |
| | | | | | | 341,341 | |
| | |
| Multi-Utilities — 0.5% | | | | | | |
Avista Corp. | | | 9,083 | | | | 330,530 | |
Black Hills Corp. | | | 8,509 | | | | 482,120 | |
NorthWestern Corp. | | | 6,909 | | | | 376,679 | |
Unitil Corp. | | | 1,933 | | | | 86,637 | |
| | | | | | | | |
| | | | | | | 1,275,966 | |
| | |
| Oil, Gas & Consumable Fuels — 1.5% | | | | | | |
Adams Resources & Energy, Inc. | | | 243 | | | | 6,505 | |
Antero Resources Corp.(a)(b) | | | 32,591 | | | | 82,781 | |
Arch Resources, Inc.(a) | | | 2,007 | | | | 57,019 | |
Ardmore Shipping Corp. | | | 4,444 | | | | 19,287 | |
Berry Corp. | | | 9,503 | | | | 45,900 | |
Bonanza Creek Energy, Inc.(a) | | | 2,503 | | | | 37,094 | |
Brigham Minerals, Inc., Class A | | | 4,074 | | | | 50,314 | |
California Resources Corp.(a)(b) | | | 6,549 | | | | 7,990 | |
Clean Energy Fuels Corp.(a)(b) | | | 18,219 | | | | 40,446 | |
CNX Resources Corp.(a) | | | 25,077 | | | | 216,916 | |
Comstock Resources, Inc.(a) | | | 2,578 | | | | 11,292 | |
CONSOL Energy, Inc.(a) | | | 3,650 | | | | 18,506 | |
Contango Oil & Gas Co.(a) | | | 11,723 | | | | 26,846 | |
CVR Energy, Inc.(b) | | | 4,318 | | | | 86,835 | |
Delek US Holdings, Inc.(b) | | | 8,580 | | | | 149,378 | |
DHT Holdings, Inc.(b) | | | 14,560 | | | | 74,693 | |
Diamond S Shipping, Inc.(a) | | | 3,463 | | | | 27,669 | |
Dorian LPG Ltd.(a) | | | 4,501 | | | | 34,838 | |
Earthstone Energy, Inc., Class A(a) | | | 2,843 | | | | 8,074 | |
Energy Fuels, Inc.(a) | | | 15,380 | | | | 23,224 | |
Evolution Petroleum Corp. | | | 4,274 | | | | 11,967 | |
Falcon Minerals Corp. | | | 5,944 | | | | 19,021 | |
Frontline Ltd. | | | 15,809 | | | | 110,347 | |
| | |
SCHEDULE OF INVESTMENTS | | 17 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
Golar LNG Ltd.(a)(b) | | | 12,303 | | | $ | 89,074 | |
Goodrich Petroleum Corp.(a) | | | 1,356 | | | | 9,763 | |
Green Plains, Inc.(a) | | | 4,822 | | | | 49,257 | |
Gulfport Energy Corp.(a)(b) | | | 21,910 | | | | 23,882 | |
International Seaways, Inc.(b) | | | 3,260 | | | | 53,268 | |
Kosmos Energy Ltd. | | | 54,795 | | | | 90,960 | |
Magnolia Oil & Gas Corp., Class A(a) | | | 16,852 | | | | 102,123 | |
Matador Resources Co.(a) | | | 15,018 | | | | 127,653 | |
Montage Resources Corp.(a)(b) | | | 2,916 | | | | 11,518 | |
NACCO Industries, Inc., Class A | | | 496 | | | | 11,557 | |
NextDecade Corp.(a)(b) | | | 2,703 | | | | 5,839 | |
Nordic American Tankers Ltd. | | | 18,951 | | | | 76,941 | |
Overseas Shipholding Group, Inc., Class A(a) | | | 9,123 | | | | 16,969 | |
Ovintiv, Inc. | | | 35,455 | | | | 338,595 | |
Par Pacific Holdings, Inc.(a) | | | 5,308 | | | | 47,719 | |
PBF Energy, Inc., Class A | | | 13,181 | | | | 134,973 | |
PDC Energy, Inc.(a) | | | 13,487 | | | | 167,778 | |
Peabody Energy Corp. | | | 9,289 | | | | 26,752 | |
Penn Virginia Corp.(a)(b) | | | 1,845 | | | | 17,583 | |
PrimeEnergy Resources Corp.(a) | | | 68 | | | | 4,834 | |
Range Resources Corp. | | | 28,748 | | | | 161,851 | |
Renewable Energy Group, Inc.(a) | | | 5,148 | | | | 127,567 | |
REX American Resources Corp.(a) | | | 756 | | | | 52,444 | |
Scorpio Tankers, Inc. | | | 6,814 | | | | 87,287 | |
SFL Corp. Ltd.(b) | | | 12,515 | | | | 116,264 | |
SM Energy Co. | | | 15,199 | | | | 56,996 | |
Southwestern Energy Co.(a) | | | 73,294 | | | | 187,633 | |
Talos Energy, Inc.(a) | | | 1,656 | | | | 15,235 | |
Tellurian, Inc.(a)(b) | | | 20,145 | | | | 23,167 | |
Uranium Energy Corp.(a)(b) | | | 24,505 | | | | 21,508 | |
W&T Offshore, Inc.(a)(b) | | | 12,348 | | | | 28,153 | |
Whiting Petroleum Corp.(a)(b) | | | 12,356 | | | | 13,962 | |
World Fuel Services Corp.(b) | | | 8,467 | | | | 218,110 | |
| | | | | | | | |
| | | | | | | 3,684,157 | |
| | |
| Paper & Forest Products — 0.5% | | | | | | |
Boise Cascade Co. | | | 5,296 | | | | 199,182 | |
Clearwater Paper Corp.(a)(b) | | | 2,145 | | | | 77,499 | |
Domtar Corp. | | | 7,544 | | | | 159,254 | |
Louisiana-Pacific Corp. | | | 15,278 | | | | 391,881 | |
Neenah, Inc. | | | 2,280 | | | | 112,769 | |
PH Glatfelter Co.(b) | | | 5,929 | | | | 95,160 | |
Schweitzer-Mauduit International, Inc. | | | 4,231 | | | | 141,358 | |
Verso Corp., Class A(b) | | | 4,782 | | | | 57,193 | |
| | | | | | | | |
| | | | | | | 1,234,296 | |
| | |
| Personal Products — 0.4% | | | | | | |
BellRing Brands, Inc., Class A(a) | | | 5,294 | | | | 105,562 | |
Edgewell Personal Care Co.(a) | | | 7,335 | | | | 228,559 | |
elf Beauty, Inc.(a) | | | 3,695 | | | | 70,464 | |
Inter Parfums, Inc. | | | 2,460 | | | | 118,449 | |
Lifevantage Corp.(a) | | | 1,846 | | | | 24,958 | |
Medifast, Inc.(b) | | | 1,535 | | | | 213,012 | |
Nature’s Sunshine Products, Inc.(a) | | | 1,254 | | | | 11,299 | |
Revlon, Inc., Class A(a) | | | 1,015 | | | | 10,048 | |
USANA Health Sciences, Inc.(a) | | | 1,574 | | | | 115,579 | |
Veru, Inc.(a) | | | 6,201 | | | | 20,711 | |
| | | | | | | | |
| | | | | | | 918,641 | |
| | |
| Pharmaceuticals — 2.1% | | | | | | |
AcelRx Pharmaceuticals, Inc.(a) | | | 10,527 | | | | 12,738 | |
Aerie Pharmaceuticals, Inc.(a) | | | 5,017 | | | | 74,051 | |
Agile Therapeutics, Inc.(a)(b) | | | 8,972 | | | | 24,942 | |
AMAG Pharmaceuticals, Inc.(a)(b) | | | 4,252 | | | | 32,528 | |
Amneal Pharmaceuticals, Inc.(a)(b) | | | 13,652 | | | | 64,984 | |
Amphastar Pharmaceuticals, Inc.(a) | | | 4,678 | | | | 105,068 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Pharmaceuticals (continued) | | | | | | |
ANI Pharmaceuticals, Inc.(a) | | | 1,233 | | | $ | 39,875 | |
Aquestive Therapeutics, Inc.(a) | | | 2,541 | | | | 12,349 | |
Arvinas, Inc.(a)(b) | | | 3,926 | | | | 131,678 | |
Avenue Therapeutics, Inc.(a) | | | 806 | | | | 8,681 | |
Axsome Therapeutics, Inc.(a) | | | 3,741 | | | | 307,809 | |
Aytu BioScience, Inc.(a) | | | 3,026 | | | | 4,297 | |
BioDelivery Sciences International, Inc.(a) | | | 11,503 | | | | 50,153 | |
Cara Therapeutics, Inc.(a)(b) | | | 5,596 | | | | 95,692 | |
Cassava Sciences, Inc.(a) | | | 3,124 | | | | 9,622 | |
Cerecor, Inc.(a) | | | 4,088 | | | | 10,629 | |
Chiasma, Inc.(a) | | | 5,015 | | | | 26,981 | |
Collegium Pharmaceutical, Inc.(a)(b) | | | 4,589 | | | | 80,308 | |
Corcept Therapeutics, Inc.(a)(b) | | | 12,906 | | | | 217,079 | |
CorMedix, Inc.(a) | | | 3,633 | | | | 22,888 | |
Cymabay Therapeutics, Inc.(a) | | | 9,305 | | | | 32,474 | |
Durect Corp.(a) | | | 26,082 | | | | 60,510 | |
Eloxx Pharmaceuticals, Inc.(a) | | | 3,641 | | | | 11,032 | |
Endo International plc(a) | | | 30,525 | | | | 104,701 | |
Eton Pharmaceuticals, Inc.(a) | | | 1,911 | | | | 10,415 | |
Evofem Biosciences, Inc.(a) | | | 6,107 | | | | 17,283 | |
Evolus, Inc.(a)(b) | | | 2,879 | | | | 15,259 | |
Fulcrum Therapeutics, Inc.(a) | | | 1,735 | | | | 31,733 | |
Harrow Health, Inc.(a) | | | 2,973 | | | | 15,489 | |
IMARA, Inc.(a) | | | 667 | | | | 18,429 | |
Innoviva, Inc.(a) | | | 8,462 | | | | 118,299 | |
Intersect ENT, Inc.(a) | | | 4,435 | | | | 60,050 | |
Intra-Cellular Therapies, Inc.(a) | | | 7,430 | | | | 190,728 | |
Kala Pharmaceuticals, Inc.(a) | | | 5,270 | | | | 55,388 | |
Kaleido Biosciences, Inc.(a) | | | 1,552 | | | | 11,531 | |
Lannett Co., Inc.(a)(b) | | | 4,271 | | | | 31,007 | |
Liquidia Technologies, Inc.(a) | | | 2,719 | | | | 22,894 | |
Lyra Therapeutics, Inc.(a) | | | 594 | | | | 6,736 | |
Mallinckrodt plc(a) | | | 11,555 | | | | 30,967 | |
Marinus Pharmaceuticals, Inc.(a) | | | 11,573 | | | | 29,395 | |
Menlo Therapeutics, Inc.(a) | | | 14,781 | | | | 25,571 | |
MyoKardia, Inc.(a) | | | 6,704 | | | | 647,740 | |
NGM Biopharmaceuticals, Inc.(a) | | | 3,250 | | | | 64,155 | |
Ocular Therapeutix, Inc.(a) | | | 6,951 | | | | 57,902 | |
Odonate Therapeutics, Inc.(a) | | | 1,770 | | | | 74,942 | |
Omeros Corp.(a)(b) | | | 7,053 | | | | 103,820 | |
Optinose, Inc.(a) | | | 4,175 | | | | 31,062 | |
Osmotica Pharmaceuticals plc(a) | | | 1,621 | | | | 10,909 | |
Pacira BioSciences, Inc.(a) | | | 5,575 | | | | 292,520 | |
Paratek Pharmaceuticals, Inc.(a) | | | 5,304 | | | | 27,687 | |
Phathom Pharmaceuticals, Inc.(a) | | | 1,432 | | | | 47,127 | |
Phibro Animal Health Corp., Class A | | | 2,748 | | | | 72,190 | |
Prestige Consumer Healthcare, Inc.(a) | | | 6,731 | | | | 252,816 | |
Provention Bio, Inc.(a) | | | 5,713 | | | | 80,610 | |
Recro Pharma, Inc.(a) | | | 2,701 | | | | 12,290 | |
Relmada Therapeutics, Inc.(a) | | | 1,894 | | | | 84,757 | |
Revance Therapeutics, Inc.(a) | | | 7,659 | | | | 187,033 | |
Satsuma Pharmaceuticals, Inc.(a) | | | 1,227 | | | | 35,289 | |
scPharmaceuticals, Inc.(a) | | | 616 | | | | 4,534 | |
SIGA Technologies, Inc.(a) | | | 7,071 | | | | 41,790 | |
Strongbridge Biopharma plc(a)(b) | | | 4,835 | | | | 18,276 | |
Supernus Pharmaceuticals, Inc.(a) | | | 6,595 | | | | 156,631 | |
TherapeuticsMD, Inc.(a)(b) | | | 31,896 | | | | 39,870 | |
Theravance Biopharma, Inc.(a) | | | 6,200 | | | | 130,138 | |
Tricida, Inc.(a) | | | 3,799 | | | | 104,397 | |
Verrica Pharmaceuticals, Inc.(a) | | | 1,714 | | | | 18,871 | |
WaVe Life Sciences Ltd.(a)(b) | | | 2,833 | | | | 29,492 | |
Xeris Pharmaceuticals, Inc.(a) | | | 5,231 | | | | 13,914 | |
Zogenix, Inc.(a) | | | 7,517 | | | | 203,034 | |
| | | | | | | | |
| | | | | | | 5,076,039 | |
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Professional Services — 1.3% | | | | | | |
Acacia Research Corp.(a) | | | 5,266 | | | $ | 21,538 | |
Akerna Corp.(a) | | | 1,218 | | | | 10,718 | |
ASGN, Inc.(a) | | | 6,868 | | | | 457,958 | |
Barrett Business Services, Inc. | | | 1,047 | | | | 55,627 | |
BG Staffing, Inc. | | | 1,420 | | | | 16,074 | |
CBIZ, Inc.(a) | | | 6,852 | | | | 164,243 | |
CRA International, Inc. | | | 1,043 | | | | 41,199 | |
Exponent, Inc. | | | 6,912 | | | | 559,388 | |
Forrester Research, Inc.(a)(b) | | | 1,475 | | | | 47,259 | |
Franklin Covey Co.(a) | | | 1,676 | | | | 35,866 | |
GP Strategies Corp.(a) | | | 1,846 | | | | 15,839 | |
Heidrick & Struggles International, Inc. | | | 2,596 | | | | 56,126 | |
Huron Consulting Group, Inc.(a) | | | 3,039 | | | | 134,476 | |
ICF International, Inc. | | | 2,453 | | | | 159,028 | |
Insperity, Inc. | | | 4,914 | | | | 318,083 | |
Kelly Services, Inc., Class A | | | 4,629 | | | | 73,208 | |
Kforce, Inc. | | | 2,692 | | | | 78,741 | |
Korn Ferry(b) | | | 7,448 | | | | 228,877 | |
Mastech Digital, Inc.(a) | | | 525 | | | | 13,613 | |
Mistras Group, Inc.(a) | | | 2,325 | | | | 9,184 | |
Red Violet, Inc.(a) | | | 813 | | | | 14,341 | |
Resources Connection, Inc. | | | 4,164 | | | | 49,843 | |
TriNet Group, Inc.(a)(b) | | | 5,592 | | | | 340,777 | |
TrueBlue, Inc.(a) | | | 4,860 | | | | 74,212 | |
Upwork, Inc.(a) | | | 12,496 | | | | 180,442 | |
Willdan Group, Inc.(a) | | | 1,339 | | | | 33,488 | |
| | | | | | | | |
| | | | | | | 3,190,148 | |
|
| Real Estate Management & Development — 0.7% | |
Altisource Portfolio Solutions SA(a) | | | 708 | | | | 10,436 | |
American Realty Investors, Inc.(a) | | | 393 | | | | 3,533 | |
CTO Realty Growth, Inc. | | | 677 | | | | 26,741 | |
Cushman & Wakefield plc(a)(b) | | | 15,028 | | | | 187,249 | |
eXp World Holdings, Inc.(a)(b) | | | 3,180 | | | | 54,219 | |
Forestar Group, Inc.(a) | | | 2,201 | | | | 33,191 | |
FRP Holdings, Inc.(a) | | | 908 | | | | 36,847 | |
Griffin Industrial Realty, Inc. | | | 293 | | | | 15,872 | |
Kennedy-Wilson Holdings, Inc. | | | 16,742 | | | | 254,813 | |
Marcus & Millichap, Inc.(a) | | | 3,098 | | | | 89,408 | |
Maui Land & Pineapple Co., Inc.(a) | | | 1,072 | | | | 11,899 | |
Newmark Group, Inc., Class A | | | 19,888 | | | | 96,656 | |
Rafael Holdings, Inc., Class B(a)(b) | | | 1,408 | | | | 20,233 | |
RE/MAX Holdings, Inc., Class A | | | 2,444 | | | | 76,815 | |
Realogy Holdings Corp.(b) | | | 15,743 | | | | 116,656 | |
Redfin Corp.(a)(b) | | | 12,955 | | | | 542,944 | |
RMR Group, Inc. (The), Class A(b) | | | 2,143 | | | | 63,154 | |
St. Joe Co. (The)(a) | | | 4,319 | | | | 83,875 | |
Stratus Properties, Inc.(a) | | | 832 | | | | 16,482 | |
Tejon Ranch Co.(a) | | | 2,793 | | | | 40,219 | |
Transcontinental Realty Investors, Inc.(a) | | | 162 | | | | 4,863 | |
| | | | | | | | |
| | | | | | | 1,786,105 | |
| | |
| Road & Rail — 0.6% | | | | | | |
ArcBest Corp. | | | 3,409 | | | | 90,373 | |
Avis Budget Group, Inc.(a) | | | 7,194 | | | | 164,671 | |
Covenant Transportation Group, Inc.,
Class A(a)(b) | | | 1,821 | | | | 26,277 | |
Daseke, Inc.(a) | | | 6,707 | | | | 26,358 | |
Heartland Express, Inc. | | | 6,002 | | | | 124,962 | |
Hertz Global Holdings, Inc.(a)(b) | | | 11,780 | | | | 16,610 | |
Marten Transport Ltd.(b) | | | 5,289 | | | | 133,071 | |
PAM Transportation Services, Inc.(a) | | | 250 | | | | 7,687 | |
Saia, Inc.(a) | | | 3,542 | | | | 393,799 | |
Universal Logistics Holdings, Inc. | | | 1,108 | | | | 19,257 | |
US Xpress Enterprises, Inc., Class A(a)(b) | | | 2,996 | | | | 17,976 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Road & Rail (continued) | | | | | | |
Werner Enterprises, Inc. | | | 8,188 | | | $ | 356,424 | |
| | | | | | | | |
| | | | | | | 1,377,465 | |
|
| Semiconductors & Semiconductor Equipment — 2.8% | |
Advanced Energy Industries, Inc.(a) | | | 5,117 | | | | 346,881 | |
Alpha & Omega Semiconductor Ltd.(a)(b) | | | 2,706 | | | | 29,441 | |
Ambarella, Inc.(a) | | | 4,458 | | | | 204,176 | |
Amkor Technology, Inc.(a) | | | 13,606 | | | | 167,490 | |
Atomera, Inc.(a) | | | 1,931 | | | | 17,379 | |
Axcelis Technologies, Inc.(a) | | | 4,410 | | | | 122,819 | |
AXT, Inc.(a) | | | 5,162 | | | | 24,571 | |
Brooks Automation, Inc. | | | 9,823 | | | | 434,570 | |
Cabot Microelectronics Corp.(b) | | | 3,911 | | | | 545,741 | |
CEVA, Inc.(a) | | | 2,930 | | | | 109,641 | |
Cohu, Inc. | | | 5,557 | | | | 96,358 | |
CyberOptics Corp.(a) | | | 942 | | | | 30,342 | |
Diodes, Inc.(a)(b) | | | 5,724 | | | | 290,207 | |
DSP Group, Inc.(a) | | | 2,886 | | | | 45,830 | |
FormFactor, Inc.(a) | | | 10,326 | | | | 302,862 | |
GSI Technology, Inc.(a) | | | 2,022 | | | | 14,518 | |
Ichor Holdings Ltd.(a) | | | 2,949 | | | | 78,384 | |
Impinj, Inc.(a)(b) | | | 2,324 | | | | 63,840 | |
Lattice Semiconductor Corp.(a) | | | 18,103 | | | | 513,944 | |
MACOM Technology Solutions Holdings, Inc.(a) | | | 6,333 | | | | 217,539 | |
MaxLinear, Inc.(a) | | | 9,071 | | | | 194,664 | |
NeoPhotonics Corp.(a) | | | 6,505 | | | | 57,764 | |
NVE Corp. | | | 672 | | | | 41,550 | |
Onto Innovation, Inc.(a) | | | 6,358 | | | | 216,426 | |
PDF Solutions, Inc.(a) | | | 3,884 | | | | 75,971 | |
Photronics, Inc.(a) | | | 8,314 | | | | 92,535 | |
Pixelworks, Inc.(a) | | | 4,865 | | | | 15,714 | |
Power Integrations, Inc. | | | 3,957 | | | | 467,440 | |
Rambus, Inc.(a) | | | 15,124 | | | | 229,885 | |
Semtech Corp.(a) | | | 8,726 | | | | 455,672 | |
Silicon Laboratories, Inc.(a) | | | 5,825 | | | | 584,073 | |
SiTime Corp.(a) | | | 691 | | | | 32,760 | |
SMART Global Holdings, Inc.(a) | | | 1,895 | | | | 51,506 | |
SunPower Corp.(a) | | | 10,338 | | | | 79,189 | |
Synaptics, Inc.(a) | | | 4,602 | | | | 276,672 | |
Ultra Clean Holdings, Inc.(a) | | | 5,335 | | | | 120,731 | |
Veeco Instruments, Inc.(a) | | | 6,603 | | | | 89,074 | |
| | | | | | | | |
| | | | | | | 6,738,159 | |
| | |
| Software — 5.5% | | | | | | |
8x8, Inc.(a) | | | 13,673 | | | | 218,768 | |
A10 Networks, Inc.(a) | | | 8,303 | | | | 56,543 | |
ACI Worldwide, Inc.(a) | | | 15,361 | | | | 414,593 | |
Agilysys, Inc.(a) | | | 2,539 | | | | 45,550 | |
Alarm.com Holdings, Inc.(a) | | | 6,112 | | | | 396,119 | |
Altair Engineering, Inc., Class A(a) | | | 5,633 | | | | 223,912 | |
American Software, Inc., Class A | | | 4,029 | | | | 63,497 | |
Appfolio, Inc., Class A(a) | | | 2,152 | | | | 350,152 | |
Appian Corp.(a) | | | 4,448 | | | | 227,960 | |
Asure Software, Inc.(a) | | | 1,314 | | | | 8,449 | |
Avaya Holdings Corp.(a)(b) | | | 12,503 | | | | 154,537 | |
Benefitfocus, Inc.(a) | | | 4,013 | | | | 43,180 | |
Blackbaud, Inc.(b) | | | 6,707 | | | | 382,836 | |
Blackline, Inc.(a)(b) | | | 6,765 | | | | 560,886 | |
Bottomline Technologies DE, Inc.(a) | | | 5,861 | | | | 297,563 | |
Box, Inc., Class A(a) | | | 19,915 | | | | 413,435 | |
Cerence, Inc.(a) | | | 4,966 | | | | 202,811 | |
ChannelAdvisor Corp.(a) | | | 3,719 | | | | 58,909 | |
Cloudera, Inc.(a) | | | 27,767 | | | | 353,196 | |
CommVault Systems, Inc.(a) | | | 5,651 | | | | 218,694 | |
Cornerstone OnDemand, Inc.(a) | | | 8,196 | | | | 316,038 | |
Digimarc Corp.(a)(b) | | | 1,659 | | | | 26,527 | |
| | |
SCHEDULE OF INVESTMENTS | | 19 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Software (continued) | | | | | | |
Digital Turbine, Inc.(a) | | | 11,124 | | | $ | 139,829 | |
Domo, Inc., Class B(a) | | | 3,457 | | | | 111,212 | |
Ebix, Inc.(b) | | | 3,652 | | | | 81,659 | |
eGain Corp.(a) | | | 2,825 | | | | 31,386 | |
Envestnet, Inc.(a)(b) | | | 7,158 | | | | 526,399 | |
ForeScout Technologies, Inc.(a) | | | 6,468 | | | | 137,122 | |
GlobalSCAPE, Inc. | | | 1,813 | | | | 17,677 | |
GTY Technology Holdings, Inc.(a) | | | 5,830 | | | | 24,282 | |
Intelligent Systems Corp.(a)(b) | | | 978 | | | | 33,330 | |
j2 Global, Inc.(a)(b) | | | 6,241 | | | | 394,494 | |
LivePerson, Inc.(a) | | | 8,230 | | | | 340,969 | |
Majesco(a) | | | 1,107 | | | | 8,701 | |
MicroStrategy, Inc., Class A(a) | | | 1,063 | | | | 125,742 | |
Mimecast Ltd.(a) | | | 7,576 | | | | 315,616 | |
Mitek Systems, Inc.(a) | | | 4,222 | | | | 40,573 | |
MobileIron, Inc.(a) | | | 12,914 | | | | 63,666 | |
Model N, Inc.(a) | | | 4,595 | | | | 159,722 | |
OneSpan, Inc.(a) | | | 4,500 | | | | 125,685 | |
Park City Group, Inc.(a) | | | 1,277 | | | | 5,402 | |
Ping Identity Holding Corp.(a) | | | 2,169 | | | | 69,603 | |
Progress Software Corp. | | | 6,016 | | | | 233,120 | |
PROS Holdings, Inc.(a)(b) | | | 5,331 | | | | 236,856 | |
Q2 Holdings, Inc.(a)(b) | | | 6,659 | | | | 571,276 | |
QAD, Inc., Class A | | | 1,558 | | | | 64,314 | |
Qualys, Inc.(a)(b) | | | 4,577 | | | | 476,100 | |
Rapid7, Inc.(a)(b) | | | 6,794 | | | | 346,630 | |
Rimini Street, Inc.(a) | | | 2,641 | | | | 13,601 | |
Rosetta Stone, Inc.(a) | | | 3,133 | | | | 52,822 | |
Sailpoint Technologies Holdings, Inc.(a) | | | 11,905 | | | | 315,125 | |
Sapiens International Corp. NV | | | 3,411 | | | | 95,440 | |
SeaChange International, Inc.(a) | | | 3,077 | | | | 4,646 | |
SecureWorks Corp., Class A(a) | | | 1,136 | | | | 12,984 | |
ShotSpotter, Inc.(a) | | | 1,098 | | | | 27,670 | |
Smith Micro Software, Inc.(a) | | | 4,237 | | | | 18,897 | |
Sprout Social, Inc., Class A(a) | | | 1,109 | | | | 29,943 | |
SPS Commerce, Inc.(a) | | | 4,750 | | | | 356,820 | |
SVMK, Inc.(a) | | | 16,070 | | | | 378,288 | |
Synchronoss Technologies, Inc.(a)(b) | | | 5,752 | | | | 20,305 | |
Telenav, Inc.(a) | | | 4,426 | | | | 24,299 | |
Tenable Holdings, Inc.(a)(b) | | | 8,224 | | | | 245,157 | |
Upland Software, Inc.(a) | | | 3,027 | | | | 105,219 | |
Varonis Systems, Inc.(a)(b) | | | 4,221 | | | | 373,474 | |
Verint Systems, Inc.(a) | | | 8,655 | | | | 391,033 | |
Veritone, Inc.(a)(b) | | | 3,160 | | | | 46,958 | |
VirnetX Holding Corp. | | | 8,291 | | | | 53,891 | |
Workiva, Inc.(a)(b) | | | 5,188 | | | | 277,506 | |
Xperi Holding Corp. | | | 14,501 | | | | 214,035 | |
Yext, Inc.(a) | | | 13,682 | | | | 227,258 | |
Zix Corp.(a) | | | 7,316 | | | | 50,480 | |
Zuora, Inc., Class A(a)(b) | | | 13,284 | | | | 169,371 | |
| | | | | | | | |
| | | | | | | 13,220,742 | |
| | |
| Specialty Retail — 2.4% | | | | | | |
Aaron’s, Inc. | | | 9,176 | | | | 416,591 | |
Abercrombie & Fitch Co., Class A(b) | | | 8,579 | | | | 91,281 | |
American Eagle Outfitters, Inc. | | | 20,795 | | | | 226,665 | |
America’s Car-Mart, Inc.(a) | | | 830 | | | | 72,932 | |
Asbury Automotive Group, Inc.(a) | | | 2,668 | | | | 206,316 | |
At Home Group, Inc.(a) | | | 6,665 | | | | 43,256 | |
Bed Bath & Beyond, Inc.(b) | | | 17,436 | | | | 184,822 | |
Boot Barn Holdings, Inc.(a) | | | 3,882 | | | | 83,696 | |
Buckle, Inc. (The)(b) | | | 4,122 | | | | 64,633 | |
Caleres, Inc. | | | 5,530 | | | | 46,120 | |
Camping World Holdings, Inc., Class A(b) | | | 4,504 | | | | 122,329 | |
Cato Corp. (The), Class A | | | 2,996 | | | | 24,507 | |
Chico’s FAS, Inc. | | | 18,259 | | | | 25,197 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Specialty Retail (continued) | | | | | | |
Children’s Place, Inc. (The)(b) | | | 1,964 | | | $ | 73,493 | |
Citi Trends, Inc.(b) | | | 1,623 | | | | 32,817 | |
Conn’s, Inc.(a)(b) | | | 2,609 | | | | 26,325 | |
Container Store Group, Inc. (The)(a) | | | 2,426 | | | | 7,860 | |
Designer Brands, Inc., Class A(b) | | | 9,020 | | | | 61,065 | |
Envela Corp.(a) | | | 1,027 | | | | 6,265 | |
Express, Inc.(a) | | | 8,759 | | | | 13,489 | |
GameStop Corp., Class A(a) | | | 8,443 | | | | 36,643 | |
Genesco, Inc.(a) | | | 2,041 | | | | 44,208 | |
Group 1 Automotive, Inc.(b) | | | 2,450 | | | | 161,626 | |
GrowGeneration Corp.(a) | | | 3,790 | | | | 25,924 | |
Guess?, Inc. | | | 6,122 | | | | 59,200 | |
Haverty Furniture Cos., Inc. | | | 2,442 | | | | 39,072 | |
Hibbett Sports, Inc.(a) | | | 2,336 | | | | 48,916 | |
Hudson Ltd., Class A(a) | | | 5,754 | | | | 28,022 | |
Lithia Motors, Inc., Class A | | | 3,009 | | | | 455,352 | |
Lumber Liquidators Holdings, Inc.(a) | | | 3,989 | | | | 55,288 | |
MarineMax, Inc.(a) | | | 2,806 | | | | 62,826 | |
Michaels Cos., Inc. (The)(a) | | | 10,413 | | | | 73,620 | |
Monro, Inc.(b) | | | 4,496 | | | | 247,010 | |
Murphy USA, Inc.(a) | | | 3,731 | | | | 420,073 | |
National Vision Holdings, Inc.(a)(b) | | | 10,860 | | | | 331,447 | |
Office Depot, Inc. | | | 72,349 | | | | 170,020 | |
OneWater Marine, Inc., Class A(a) | | | 702 | | | | 17,045 | |
Rent-A-Center, Inc. | | | 6,676 | | | | 185,726 | |
RH(a)(b) | | | 2,265 | | | | 563,759 | |
Sally Beauty Holdings, Inc.(a) | | | 15,312 | | | | 191,859 | |
Shoe Carnival, Inc. | | | 1,333 | | | | 39,017 | |
Signet Jewelers Ltd.(b) | | | 7,279 | | | | 74,755 | |
Sleep Number Corp.(a) | | | 3,659 | | | | 152,361 | |
Sonic Automotive, Inc., Class A(b) | | | 3,321 | | | | 105,973 | |
Sportsman’s Warehouse Holdings, Inc.(a) | | | 5,899 | | | | 84,061 | |
Tilly’s, Inc., Class A(b) | | | 3,587 | | | | 20,338 | |
Urban Outfitters, Inc.(a) | | | 9,370 | | | | 142,611 | |
Winmark Corp. | | | 395 | | | | 67,640 | |
Zumiez, Inc.(a) | | | 2,912 | | | | 79,731 | |
| | | | | | | | |
| | | | | | | 5,813,782 | |
| |
| Technology Hardware, Storage & Peripherals — 0.2%(a) | | | | |
3D Systems Corp. | | | 15,733 | | | | 109,974 | |
Avid Technology, Inc.(b) | | | 4,169 | | | | 30,308 | |
Diebold Nixdorf, Inc. | | | 9,746 | | | | 59,061 | |
Eastman Kodak Co. | | | 2,191 | | | | 4,886 | |
Immersion Corp. | | | 2,909 | | | | 18,123 | |
Intevac, Inc. | | | 2,670 | | | | 14,578 | |
Quantum Corp. | | | 3,907 | | | | 15,081 | |
Super Micro Computer, Inc. | | | 6,015 | | | | 170,766 | |
| | | | | | | | |
| | | | | | | 422,777 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.9% | | | | | | |
Crocs, Inc.(a) | | | 9,063 | | | | 333,700 | |
Deckers Outdoor Corp.(a) | | | 3,787 | | | | 743,729 | |
Fossil Group, Inc.(a) | | | 6,532 | | | | 30,374 | |
G-III Apparel Group Ltd.(a) | | | 6,065 | | | | 80,604 | |
Kontoor Brands, Inc.(b) | | | 7,022 | | | | 125,062 | |
Lakeland Industries, Inc.(a) | | | 1,003 | | | | 22,497 | |
Movado Group, Inc. | | | 2,288 | | | | 24,802 | |
Oxford Industries, Inc.(b) | | | 2,307 | | | | 101,531 | |
Rocky Brands, Inc. | | | 943 | | | | 19,388 | |
Steven Madden Ltd.(b) | | | 11,216 | | | | 276,923 | |
Superior Group of Cos., Inc. | | | 1,519 | | | | 20,355 | |
Unifi, Inc.(a) | | | 1,745 | | | | 22,475 | |
Vera Bradley, Inc.(a) | | | 3,000 | | | | 13,320 | |
Wolverine World Wide, Inc.(b) | | | 10,856 | | | | 258,481 | |
| | | | | | | | |
| | | | | | | 2,073,241 | |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Thrifts & Mortgage Finance — 1.7% | | | | | | |
Axos Financial, Inc.(a)(b) | | | 7,696 | | | $ | 169,928 | |
Bogota Financial Corp.(a) | | | 813 | | | | 7,106 | |
Bridgewater Bancshares, Inc.(a) | | | 3,082 | | | | 31,591 | |
Capitol Federal Financial, Inc. | | | 17,595 | | | | 193,721 | |
Columbia Financial, Inc.(a) | | | 6,632 | | | | 92,550 | |
ESSA Bancorp, Inc. | | | 1,222 | | | | 17,010 | |
Essent Group Ltd. | | | 13,712 | | | | 497,334 | |
Federal Agricultural Mortgage Corp., Class C | | | 1,229 | | | | 78,668 | |
Flagstar Bancorp, Inc. | | | 4,827 | | | | 142,059 | |
FS Bancorp, Inc. | | | 493 | | | | 19,015 | |
Greene County Bancorp, Inc | | | 388 | | | | 8,652 | |
Hingham Institution For Savings (The) | | | 187 | | | | 31,375 | |
Home Bancorp, Inc.(b) | | | 1,018 | | | | 27,232 | |
HomeStreet, Inc. | | | 2,666 | | | | 65,610 | |
Kearny Financial Corp. | | | 10,162 | | | | 83,125 | |
Luther Burbank Corp. | | | 2,629 | | | | 26,290 | |
Merchants Bancorp | | | 1,064 | | | | 19,673 | |
Meridian Bancorp, Inc. | | | 6,383 | | | | 74,043 | |
Meta Financial Group, Inc.(b) | | | 4,423 | | | | 80,366 | |
MMA Capital Holdings, Inc.(a) | | | 637 | | | | 14,727 | |
Mr Cooper Group, Inc.(a) | | | 10,364 | | | | 128,928 | |
NMI Holdings, Inc., Class A(a) | | | 9,068 | | | | 145,813 | |
Northfield Bancorp, Inc.(b) | | | 5,768 | | | | 66,447 | |
Northwest Bancshares, Inc. | | | 15,804 | | | | 161,596 | |
Oconee Federal Financial Corp. | | | 98 | | | | 2,526 | |
OP Bancorp | | | 1,864 | | | | 12,862 | |
PCSB Financial Corp | | | 2,088 | | | | 26,476 | |
PDL Community Bancorp(a) | | | 1,335 | | | | 13,590 | |
PennyMac Financial Services, Inc.(b) | | | 6,164 | | | | 257,594 | |
Pioneer Bancorp, Inc.(a) | | | 1,483 | | | | 13,569 | |
Premier Financial Corp. | | | 5,078 | | | | 89,728 | |
Provident Bancorp, Inc | | | 1,329 | | | | 10,446 | |
Provident Financial Holdings, Inc. | | | 732 | | | | 9,816 | |
Provident Financial Services, Inc. | | | 8,238 | | | | 119,039 | |
Prudential Bancorp, Inc.(b) | | | 1,270 | | | | 15,291 | |
Radian Group, Inc.(b) | | | 26,095 | | | | 404,733 | |
Riverview Bancorp, Inc. | | | 3,056 | | | | 17,266 | |
Security National Financial Corp., Class A(a) | | | 820 | | | | 5,531 | |
Southern Missouri Bancorp, Inc | | | 1,047 | | | | 25,442 | |
Standard AVB Financial Corp. | | | 404 | | | | 9,373 | |
Sterling Bancorp, Inc. | | | 2,419 | | | | 8,660 | |
Territorial Bancorp, Inc. | | | 1,110 | | | | 26,407 | |
Timberland Bancorp, Inc. | | | 982 | | | | 17,882 | |
TrustCo Bank Corp. | | | 12,433 | | | | 78,701 | |
Walker & Dunlop, Inc. | | | 3,843 | | | | 195,263 | |
Washington Federal, Inc | | | 10,345 | | | | 277,660 | |
Waterstone Financial, Inc.(b) | | | 3,092 | | | | 45,854 | |
Western New England Bancorp, Inc. | | | 2,982 | | | | 17,266 | |
WSFS Financial Corp.(b) | | | 6,867 | | | | 197,083 | |
| | | | | | | | |
| | | | | | | 4,080,917 | |
| | |
| Tobacco — 0.1% | | | | | | |
Turning Point Brands, Inc. | | | 1,111 | | | | 27,675 | |
Universal Corp. | | | 3,333 | | | | 141,686 | |
Vector Group Ltd. | | | 18,190 | | | | 182,991 | |
| | | | | | | | |
| | | | | | | 352,352 | |
| | |
| Trading Companies & Distributors — 1.4% | | | | | | |
Alta Equipment Group, Inc.(a) | | | 2,288 | | | | 17,778 | |
Applied Industrial Technologies, Inc. | | | 5,269 | | | | 328,733 | |
Beacon Roofing Supply, Inc.(a)(b) | | | 7,408 | | | | 195,349 | |
BMC Stock Holdings, Inc.(a) | | | 9,103 | | | | 228,849 | |
CAI International, Inc.(a) | | | 2,260 | | | | 37,652 | |
DXP Enterprises, Inc.(a) | | | 2,306 | | | | 45,912 | |
EVI Industries, Inc.(a) | | | 654 | | | | 14,198 | |
Foundation Building Materials, Inc.(a) | | | 2,718 | | | | 42,428 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Trading Companies & Distributors (continued) | | | | | | |
GATX Corp.(b) | | | 4,701 | | | $ | 286,667 | |
General Finance Corp.(a) | | | 1,474 | | | | 9,891 | |
GMS, Inc.(a) | | | 5,618 | | | | 138,147 | |
H&E Equipment Services, Inc.(b) | | | 4,590 | | | | 84,823 | |
Herc Holdings, Inc.(a) | | | 3,339 | | | | 102,607 | |
Kaman Corp. | | | 3,863 | | | | 160,701 | |
Lawson Products, Inc.(a) | | | 584 | | | | 18,840 | |
MRC Global, Inc.(a) | | | 10,874 | | | | 64,265 | |
Nesco Holdings, Inc.(a) | | | 1,542 | | | | 6,199 | |
NOW, Inc.(a) | | | 14,994 | | | | 129,398 | |
Rush Enterprises, Inc., Class A(b) | | | 3,719 | | | | 154,190 | |
Rush Enterprises, Inc., Class B | | | 569 | | | | 20,290 | |
SiteOne Landscape Supply, Inc.(a) | | | 5,639 | | | | 642,677 | |
Systemax, Inc. | | | 1,743 | | | | 35,801 | |
Textainer Group Holdings Ltd.(a)(b) | | | 6,927 | | | | 56,663 | |
Titan Machinery, Inc.(a)(b) | | | 2,475 | | | | 26,879 | |
Transcat, Inc.(a) | | | 853 | | | | 22,059 | |
Triton International Ltd. | | | 7,030 | | | | 212,587 | |
Veritiv Corp.(a) | | | 1,816 | | | | 30,799 | |
WESCO International, Inc.(a)(b) | | | 6,724 | | | | 236,096 | |
Willis Lease Finance Corp.(a) | | | 394 | | | | 9,566 | |
| | | | | | | | |
| | | | | | | 3,360,044 | |
| | |
| Water Utilities — 0.5% | | | | | | |
American States Water Co.(b) | | | 4,949 | | | | 389,140 | |
Artesian Resources Corp., Class A | | | 1,099 | | | | 39,883 | |
Cadiz, Inc.(a)(b) | | | 2,492 | | | | 25,319 | |
California Water Service Group | | | 6,541 | | | | 312,006 | |
Consolidated Water Co. Ltd. | | | 1,787 | | | | 25,786 | |
Global Water Resources, Inc | | | 1,617 | | | | 17,043 | |
Middlesex Water Co. | | | 2,283 | | | | 153,372 | |
Pure Cycle Corp.(a)(b) | | | 2,648 | | | | 24,335 | |
SJW Group(b) | | | 3,507 | | | | 217,820 | |
York Water Co. (The) | | | 1,710 | | | | 82,011 | |
| | | | | | | | |
| | | | | | | 1,286,715 | |
| | |
| Wireless Telecommunication Services — 0.2% | | | | | | |
Boingo Wireless, Inc.(a) | | | 5,878 | | | | 78,295 | |
Gogo, Inc.(a) | | | 8,330 | | | | 26,323 | |
Shenandoah Telecommunications Co | | | 6,492 | | | | 319,991 | |
Spok Holdings, Inc. | | | 2,466 | | | | 23,057 | |
| | | | | | | | |
| | | | | | | 447,666 | |
| | | | | | | | |
| | |
Total Common Stocks — 98.9%
(Cost: $224,780,114) | | | | | | | 238,439,264 | |
| | | | | | | | |
| | |
Investment Companies — 0.0% | | | | | | | | |
Ferroglobe Representation & Warranty Insurance Trust — Beneficial Interest Units(c) | | | 10,979 | | | | — | |
| | | | | | | | |
| | |
Total Investment Companies — 0.0%
(Cost: $—) | | | | | | | — | |
| | | | | | | | |
| | |
Preferred Stocks — 0.0% | | | | | | | | |
| | |
Trading Companies & Distributors — 0.0%(b) | | | | | | | | |
WESCO International, Inc., Series A, 10.63%(e)(f) | | | 2,579 | | | | 68,385 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 0.0%
(Cost: $68,463) | | | | | | | 68,385 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 98.9%
(Cost: $224,848,577) | | | | | | | 238,507,649 | |
| | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Short-Term Securities — 13.4%(g) | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | 2,146,701 | | | $ | 2,146,701 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | 309,326 | | | | 309,326 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| |
| Short-Term Securities (continued) | | | | |
SL Liquidity Series, LLC, Money Market
Series, 0.50%(h)* | | | 29,811,015 | | | $ | 29,834,864 | |
| | | | | | | | |
| |
Total Short-Term Securities — 13.4%
(Cost: $32,293,801) | | | | 32,290,891 | |
| | | | | | | | |
| |
Total Investments — 112.3%
(Cost: $257,142,378) | | | | 270,798,540 | |
| |
Liabilities in Excess of Other Assets — (12.3)% | | | | (29,611,678 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 241,186,862 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (d) | 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. |
| (e) | Variable rate security. Rate shown is the rate in effect as of period end. (f) Perpetual security with no stated maturity date. |
| (g) | Annualized 7-day yield as of period end. |
| (h) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Shares
Held at
12/31/19 | | | Shares
Purchased | | | Shares
Sold | | | Shares
Held at
06/30/20 | | | Value at
06/30/20 | | | Income | | | Net Realized
Gain (Loss)(a) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 3,005,083 | | | | — | | | | (858,382 | ) | | | 2,146,701 | | | $ | 2,146,701 | | | $ | 9,513 | | | $ | — $ | | | | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 41,590,570 | | | | — | | | | (11,779,555 | ) | | | 29,811,015 | | | | 29,834,864 | | | | 131,482 | (c) | | | (2,757 | ) | | | (3,135 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 31,981,565 | | | $ | 140,995 | | | $ | (2,757 | ) | | $ | (3,135 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes net capital gain distributions, if applicable. | |
| | (b) | Represents net shares purchased (sold). | |
| | (c) | All or a portion 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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund |
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 | | | | | | | | | | | | | | | | |
Russell 2000 E-Mini Index | | | 36 | | | | 09/18/20 | | | $ | 2,588 | | | $ | 68,558 | |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 68,558 | | | $ | — | | | $ | — | | | $ | — | | | $ | 68,558 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (268,763 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (268,763 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 45,525 | | | | — | | | | — | | | | — | | | | 45,525 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 2,211,920 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Aerospace & Defense | | $ | 2,001,433 | | | $ | — | | | $ | — | | | $ | 2,001,433 | |
Air Freight & Logistics | | | 820,270 | | | | — | | | | — | | | | 820,270 | |
Airlines | | | 727,497 | | | | — | | | | — | | | | 727,497 | |
Auto Components | | | 3,032,976 | | | | — | | | | — | | | | 3,032,976 | |
Automobiles | | | 281,136 | | | | — | | | | — | | | | 281,136 | |
Banks | | | 20,287,792 | | | | — | | | | — | | | | 20,287,792 | |
| | |
SCHEDULE OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Beverages | | $ | 692,734 | | | $ | — | | | $ | — | | | $ | 692,734 | |
Biotechnology | | | 25,913,004 | | | | — | | | | 215 | | | | 25,913,219 | |
Building Products | | | 3,674,247 | | | | — | | | | — | | | | 3,674,247 | |
Capital Markets | | | 3,540,291 | | | | — | | | | — | | | | 3,540,291 | |
Chemicals | | | 4,103,265 | | | | — | | | | — | | | | 4,103,265 | |
Commercial Services & Supplies | | | 5,437,553 | | | | — | | | | — | | | | 5,437,553 | |
Communications Equipment | | | 2,241,769 | | | | — | | | | — | | | | 2,241,769 | |
Construction & Engineering | | | 2,812,279 | | | | — | | | | — | | | | 2,812,279 | |
Construction Materials | | | 364,297 | | | | — | | | | — | | | | 364,297 | |
Consumer Finance | | | 1,655,042 | | | | — | | | | — | | | | 1,655,042 | |
Containers & Packaging | | | 477,225 | | | | — | | | | — | | | | 477,225 | |
Distributors | | | 195,377 | | | | — | | | | — | | | | 195,377 | |
Diversified Consumer Services | | | 1,764,605 | | | | — | | | | — | | | | 1,764,605 | |
Diversified Financial Services | | | 579,904 | | | | — | | | | — | | | | 579,904 | |
Diversified Telecommunication Services | | | 2,147,974 | | | | — | | | | — | | | | 2,147,974 | |
Electric Utilities | | | 2,217,629 | | | | — | | | | — | | | | 2,217,629 | |
Electrical Equipment | | | 2,210,384 | | | | — | | | | — | | | | 2,210,384 | |
Electronic Equipment, Instruments & Components | | | 5,512,771 | | | | — | | | | — | | | | 5,512,771 | |
Energy Equipment & Services | | | 1,686,696 | | | | — | | | | — | | | | 1,686,696 | |
Entertainment | | | 672,824 | | | | — | | | | — | | | | 672,824 | |
Equity Real Estate Investment Trusts (REITs) | | | 15,060,821 | | | | — | | | | — | | | | 15,060,821 | |
Food & Staples Retailing | | | 2,096,652 | | | | — | | | | — | | | | 2,096,652 | |
Food Products | | | 3,297,883 | | | | — | | | | — | | | | 3,297,883 | |
Gas Utilities | | | 2,859,123 | | | | — | | | | — | | | | 2,859,123 | |
Health Care Equipment & Supplies | | | 8,649,132 | | | | — | | | | — | | | | 8,649,132 | |
Health Care Providers & Services | | | 5,528,313 | | | | — | | | | — | | | | 5,528,313 | |
Health Care Technology | | | 2,525,532 | | | | — | | | | — | | | | 2,525,532 | |
Hotels, Restaurants & Leisure | | | 6,564,101 | | | | — | | | | — | | | | 6,564,101 | |
Household Durables | | | 5,006,138 | | | | — | | | | — | | | | 5,006,138 | |
Household Products | | | 614,818 | | | | — | | | | — | | | | 614,818 | |
Independent Power and Renewable Electricity Producers | | | 1,004,003 | | | | — | | | | — | | | | 1,004,003 | |
Industrial Conglomerates | | | 105,141 | | | | — | | | | — | | | | 105,141 | |
Insurance | | | 5,541,732 | | | | — | | | | — | | | | 5,541,732 | |
Interactive Media & Services | | | 947,497 | | | | — | | | | — | | | | 947,497 | |
Internet & Direct Marketing Retail | | | 1,452,322 | | | | — | | | | — | | | | 1,452,322 | |
IT Services | | | 4,894,465 | | | | — | | | | — | | | | 4,894,465 | |
Leisure Products | | | 1,621,767 | | | | — | | | | — | | | | 1,621,767 | |
Life Sciences Tools & Services | | | 1,452,612 | | | | — | | | | — | | | | 1,452,612 | |
Machinery | | | 8,682,765 | | | | — | | | | — | | | | 8,682,765 | |
Marine | | | 260,848 | | | | — | | | | — | | | | 260,848 | |
Media | | | 1,816,384 | | | | — | | | | — | | | | 1,816,384 | |
Metals & Mining | | | 3,476,710 | | | | — | | | | — | | | | 3,476,710 | |
Mortgage Real Estate Investment Trusts (REITs) | | | 3,248,763 | | | | — | | | | — | | | | 3,248,763 | |
Multiline Retail | | | 341,341 | | | | — | | | | — | | | | 341,341 | |
Multi-Utilities | | | 1,275,966 | | | | — | | | | — | | | | 1,275,966 | |
Oil, Gas & Consumable Fuels | | | 3,684,157 | | | | — | | | | — | | | | 3,684,157 | |
Paper & Forest Products | | | 1,234,296 | | | | — | | | | — | | | | 1,234,296 | |
Personal Products | | | 918,641 | | | | — | | | | — | | | | 918,641 | |
Pharmaceuticals | | | 5,076,039 | | | | — | | | | — | | | | 5,076,039 | |
Professional Services | | | 3,190,148 | | | | — | | | | — | | | | 3,190,148 | |
Real Estate Management & Development | | | 1,786,105 | | | | — | | | | — | | | | 1,786,105 | |
Road & Rail | | | 1,377,465 | | | | — | | | | — | | | | 1,377,465 | |
Semiconductors & Semiconductor Equipment | | | 6,738,159 | | | | — | | | | — | | | | 6,738,159 | |
Software | | | 13,220,742 | | | | — | | | | — | | | | 13,220,742 | |
Specialty Retail | | | 5,813,782 | | | | — | | | | — | | | | 5,813,782 | |
Technology Hardware, Storage & Peripherals | | | 422,777 | | | | — | | | | — | | | | 422,777 | |
Textiles, Apparel & Luxury Goods | | | 2,073,241 | | | | — | | | | — | | | | 2,073,241 | |
Thrifts & Mortgage Finance | | | 4,080,917 | | | | — | | | | — | | | | 4,080,917 | |
Tobacco | | | 352,352 | | | | — | | | | — | | | | 352,352 | |
Trading Companies & Distributors | | | 3,360,044 | | | | — | | | | — | | | | 3,360,044 | |
Water Utilities | | | 1,286,715 | | | | — | | | | — | | | | 1,286,715 | |
Wireless Telecommunication Services | | | 447,666 | | | | — | | | | — | | | | 447,666 | |
Preferred Stocks | | | 68,385 | | | | — | | | | — | | | | 68,385 | |
Short-Term Securities | | | 2,456,027 | | | | — | | | | — | | | | 2,456,027 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 240,963,461 | | | $ | — | | | $ | 215 | | | $ | 240,963,676 | |
| | | | | | | | | | | | | | | | |
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Small Cap Index V.I. Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments valued at NAV(a) | | | | | | | | | | | | | | | 29,834,864 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 270,798,540 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 68,558 | | | $ | — | | | $ | — | | | $ | 68,558 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | 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 futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 25 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
| | | | |
| | | BlackRock
Small Cap
Index V.I. Fund | |
| |
ASSETS | | | | |
Investments at value — unaffiliated (including securities loaned at value of $29,164,873) (cost — $225,157,903) | | $ | 238,816,975 | |
Investments at value — affiliated (cost — $31,984,475) | | | 31,981,565 | |
Cash | | | 9,146 | |
Cash pledged for futures contracts | | | 240,000 | |
Receivables: | | | — | |
Investments sold | | | 229,307 | |
Securities lending income — affiliated | | | 26,383 | |
Capital shares sold | | | 221,290 | |
Dividends — affiliated | | | 128 | |
Dividends — unaffiliated | | | 211,461 | |
From affiliate(s) | | | 999 | |
Variation margin on futures contracts | | | 25,843 | |
Prepaid expenses | | | 2,095 | |
| | | | |
Total assets | | | 271,765,192 | |
| | | | |
| |
LIABILITIES | | | | |
Cash collateral on securities loaned at value | | | 29,838,792 | |
Payables: | | | — | |
Investments purchased | | | 537,559 | |
Capital shares redeemed | | | 36,319 | |
Investment advisory fees | | | 10,661 | |
Other affiliates | | | 973 | |
Printing fees | | | 38,950 | |
Professional fees | | | 41,131 | |
Other accrued expenses | | | 73,945 | |
| | | | |
Total liabilities | | | 30,578,330 | |
| | | | |
| |
NET ASSETS | | $ | 241,186,862 | |
| | | | |
| |
NET ASSETS CONSIST OF | | | | |
Paid-in capital | | $ | 218,519,055 | |
Accumulated earnings | | | 22,667,807 | |
| | | | |
NET ASSETS | | $ | 241,186,862 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Class I — Based on net assets of $241,186,862 and 24,462,754 shares outstanding, 100 million shares authorized, $0.10 par value | | $ | 9.86 | |
| | | | |
See notes to financial statements.
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Operations (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock
Small Cap
Index V.I. Fund | |
| |
INVESTMENT INCOME | | | | |
Dividends — affiliated | | $ | 9,513 | |
Dividends — unaffiliated | | | 1,740,047 | |
Securities lending income — affiliated — net | | | 131,482 | |
Foreign taxes withheld | | | (1,300 | ) |
| | | | |
Total investment income | | | 1,879,742 | |
| | | | |
| |
EXPENSES | | | | |
Printing | | | 109,189 | |
Investment advisory | | | 94,863 | |
Transfer agent | | | 67,589 | |
Professional | | | 36,428 | |
Accounting services | | | 30,961 | |
Directors and Officer | | | 4,150 | |
Custodian | | | 2,048 | |
Miscellaneous | | | 13,226 | |
| | | | |
Total expenses | | | 358,454 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (34,118 | ) |
Transfer agent fees waived and/or reimbursed | | | (63,405 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 260,931 | |
| | | | |
Net investment income | | | 1,618,811 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from: | | | | |
Investments — affiliated | | | (2,757 | ) |
Investments — unaffiliated | | | 6,209,188 | |
Futures contracts | | | (268,763 | ) |
| | | | |
| | | 5,937,668 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments — affiliated | | | (3,135 | ) |
Investments — unaffiliated | | | (44,656,845 | ) |
Futures contracts | | | 45,525 | |
| | | | |
| | | (44,614,455 | ) |
| | | | |
Net realized and unrealized loss | | | (38,676,787 | ) |
| | | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (37,057,976 | ) |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | |
| | | BlackRock Small Cap Index V.I. Fund | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 1,618,811 | | | $ | 3,699,259 | |
Net realized gain | | | 5,937,668 | | | | 13,674,355 | |
Net change in unrealized appreciation (depreciation) | | | (44,614,455 | ) | | | 42,575,588 | |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (37,057,976 | ) | | | 59,949,202 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (16,463,952 | ) |
| | | | | | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (6,721,876 | ) | | | (818,241 | ) |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (43,779,852 | ) | | | 42,667,009 | |
Beginning of period | | | 284,966,714 | | | | 242,299,705 | |
| | | | | | | | |
End of period | | $ | 241,186,862 | | | $ | 284,966,714 | |
| | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 28 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Small Cap Index V.I. Fund(a) | |
| |
| | | Class I | |
| | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended December 31, | |
| | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 11.34 | | | | | | | $ | 9.60 | | | $ | 14.57 | | | $ | 13.63 | | | $ | 11.78 | | | $ | 13.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.07 | | | | | | | | 0.15 | | | | 0.18 | | | | 0.16 | | | | 0.15 | | | | 0.11 | |
Net realized and unrealized gain (loss) | | | (1.55 | ) | | | | | | | 2.29 | | | | (1.86 | ) | | | 1.83 | | | | 2.33 | | | | (0.74 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (1.48 | ) | | | | | | | 2.44 | | | | (1.68 | ) | | | 1.99 | | | | 2.48 | | | | (0.63 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Distributions(c) | | — | | | | | | — | | | — | | | — | | | — | | | — | |
From net investment income | | | — | | | | | | | | (0.15 | ) | | | (0.19 | ) | | | (0.16 | ) | | | (0.16 | ) | | | (0.12 | ) |
From net realized gain | | | — | | | | | | | | (0.55 | ) | | | (3.10 | ) | | | (0.89 | ) | | | (0.47 | ) | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | — | | | | | | | | (0.70 | ) | | | (3.29 | ) | | | (1.05 | ) | | | (0.63 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 9.86 | | | | | | | $ | 11.34 | | | $ | 9.60 | | | $ | 14.57 | | | $ | 13.63 | | | $ | 11.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (13.05 | )%(e) | | | | | | | 25.40 | % | | | (11.25 | )% | | | 14.55 | % | | | 20.96 | % | | | (4.86 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.30 | %(f) | | | | | | | 0.27 | % | | | 0.30 | %(g) | | | 0.23 | % | | | 0.31 | % | | | 0.50 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.22 | %(f) | | | | | | | 0.22 | % | | | 0.23 | %(g) | | | 0.22 | % | | | 0.30 | % | | | 0.49 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 1.37 | %(f) | | | | | | | 1.37 | % | | | 1.17 | % | | | 1.11 | % | | | 1.23 | % | | | 0.84 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 241,187 | | | | | | | $ | 284,967 | | | $ | 242,300 | | | $ | 340,353 | | | $ | 315,275 | | | $ | 276,199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 12 | % | | | | | | | 13 | % | | | 17 | % | | | 12 | % | | | 15 | % | | | 14 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | On October 29, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the Small Cap Equity Index Fund (the “Predecessor Fund”), a series of State Farm Variable Product Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. |
| (b) | Based on average shares outstanding. |
| (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. |
| (g) | Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.27% and 0.23%, respectively. |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Variable Series Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is organized as a Maryland corporation that is comprised of 15 separate funds. The funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts. The financial statements presented are for BlackRock Small Cap Index V.I. Fund (the “Fund”). The Fund is classified as diversified.
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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.
Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the 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. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund are charged to the 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 Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the 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. |
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 Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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.
| | • | | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata |
| | |
| 30 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | 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 contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
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 the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of 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 the Fund has the ability to access |
| | • | | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s 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. 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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 31 |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2020, 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.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund 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 the 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 Fund is entitled to all distributions made on or in respect of the loaned securities, but does 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 in the Fund’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement 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 Schedule of Investments.
Securities lending transactions are entered into by the Fund 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 collateral. In the event that a borrower defaults, the Fund, 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 the 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 table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities
Loaned at Value | | | Cash
Collateral
Received (a) | | | Net
Amount (b) | |
Barclays Capital, Inc. | | $ | 374,417 | | | $ | (374,417 | ) | | $ | — | |
BNP Paribas Securities Corp. | | | 54,370 | | | | (53,960 | ) | | | 410 | |
BofA Securities, Inc. | | | 107,928 | | | | (107,928 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 5,274,347 | | | | (5,274,347 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 3,875,998 | | | | (3,875,998 | ) | | | — | |
JP Morgan Securities LLC | | | 11,253,738 | | | | (11,253,738 | ) | | | — | |
National Financial Services LLC | | | 4,572,363 | | | | (4,572,363 | ) | | | — | |
State Street Bank & Trust Co. | | | 3,601,816 | | | | (3,601,816 | ) | | | — | |
TD Prime Services LLC | | | 49,896 | | | | (49,896 | ) | | | — | |
| | | | | | | | | | | | |
| | $ | 29,164,873 | | | $ | (29,164,463 | ) | | $ | 410 | |
| | | | | | | | | | | | |
| | (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. | |
| | (b) | The market value of the loaned securities is determined as of June 30, 2020. Additional collateral is delivered to the Fund on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty. | |
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 Fund benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The 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. Such losses are borne entirely by the Fund.
| | |
| 32 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Company, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to 0.08% of the average daily value of the Fund’s net assets.
Transfer Agent: On behalf of the Fund, 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 Fund with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. 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, 2020, the Fund did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers, Reimbursements and Recoupments: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, the amount waived was $823.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended June 30, 2020, the Fund reimbursed the Manager $1,618 for certain accounting services, which is included in accounting services in the Statement of Operations.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitation as a percentage of average daily net assets is 0.22%.
The Manager has agreed not to reduce or discontinue this contractual expense limitation through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2020, the Manager waived and/or reimbursed $33,295 and $57,576, which is included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed, respectively, in the Statement of Operations.
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses at 0.05% of average daily net assets. The Manager has agreed not to reduce or discontinue the contractual expense limitations through April 30, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts are included in transfer agent fees waived and/or reimbursed in the Statement of Operations. For the six months ended June 30, 2020, pursuant to this arrangement, class specific expense waivers and/or reimbursements were $5,829.
| | |
NOTESTO FINANCIAL STATEMENTS | | 33 |
Notes to Financial Statements (unaudited) (continued)
With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
(1) the Fund of which the share class is a part has more than $50 million in assets for the fiscal year, and
(2) the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator.
This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective October 26, 2025, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses will be terminated.
As of June 30, 2020, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:
| | | | | | | | | | | | |
| | | Expiring December 31, | |
| | | 2020 | | | 2021 | | | 2022 | |
Fund Level | | $ | 23,988 | | | $ | 94,540 | | | $ | 33,295 | |
Class I | | | 23,136 | | | | 59,192 | | | | 63,405 | |
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 Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Fund is 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 Fund. 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. The 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 the current securities lending agreement, the Fund retains 75% 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 BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 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.
The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2020, the Fund paid BIM $42,553 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2020, the Fund 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 Fund reimburses 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 Statement of Operations.
| | |
| 34 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Other Transactions: The Fund 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, 2020, 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 | | $ | 3,999,686 | |
Sales | | | 14,452,372 | |
Net Realized Gain | | | 8,448,502 | |
For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were $29,045,164 and $33,492,299, respectively.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax cost | | $ | 257,415,334 | |
| | | | |
Gross unrealized appreciation | | $ | 64,393,661 | |
Gross unrealized depreciation | | | (50,941,898 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 13,451,763 | |
| | | | |
The Company, on behalf of the Fund, 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 Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2020, the Fund did not borrow under the credit agreement.
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund 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, 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. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the 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 the 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 the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
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NOTESTO FINANCIAL STATEMENTS | | 35 |
Notes to Financial Statements (unaudited) (continued)
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 06/30/20 | | | Year Ended 12/31/19 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Class I | | | | | | | | | | | | | | | | |
Shares sold | | | 213,315 | | | $ | 1,918,291 | | | | 212,162 | | | $ | 2,346,973 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 1,462,487 | | | | 16,461,340 | |
Shares redeemed | | | (879,386 | ) | | | (8,640,167 | ) | | | (1,776,621 | ) | | | (19,626,554 | ) |
| | | | | | | | | | | | | | | | |
Net decrease | | | (666,071 | ) | | $ | (6,721,876 | ) | | | (101,972 | ) | | $ | (818,241 | ) |
| | | | | | | | | | | | | | | | |
As of June 30, 2020, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 710 Class I Shares of the Fund.
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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| 36 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Portfolio Abbreviations |
| |
| CVR | | Contingent Value Rights |
| |
| REIT | | Real Estate Investment Trust |
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GLOSSARYOF TERMS USEDINTHIS REPORT | | 37 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Variable Series Funds, Inc. (the “Corporation”) met on April 7, 2020 (the “April Meeting”) and May 11-13, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Corporation, on behalf of BlackRock Advantage Large Cap Core V.I. Fund (the “Large Cap Core V.I. Fund”), BlackRock Advantage Large Cap Value V.I. Fund (the “Large Cap Value V.I. Fund”), BlackRock Advantage U.S. Total Market V.I. Fund (the “U.S. Total Market V.I. Fund”), BlackRock Basic Value V.I. Fund (the “Basic Value V.I. Fund”), BlackRock Capital Appreciation V.I. Fund (the “Capital Appreciation V.I. Fund”), BlackRock Equity Dividend V.I. Fund (the “Equity Dividend V.I. Fund”), BlackRock Global Allocation V.I. Fund (the “Global Allocation V.I. Fund”), BlackRock Government Money Market V.I. Fund (the “Government Money Market V.I. Fund”), BlackRock International V.I. Fund (the “International V.I. Fund”), BlackRock International Index V.I. Fund (the “International Index V.I. Fund”), BlackRock 60/40 Target Allocation ETF V.I. Fund (the “60/40 Target Allocation ETF V.I. Fund”), BlackRock Large Cap Focus Growth V.I. Fund (the “Large Cap Focus Growth V.I. Fund”), BlackRock Managed Volatility V.I. Fund (the “Managed Volatility V.I. Fund”), BlackRock Small Cap Index V.I. Fund (the “Small Cap Index V.I. Fund”) and BlackRock S&P 500 Index V.I. Fund (the “S&P 500 Index V.I. Fund”) (each, a “Fund,” and collectively the “Funds”), each a series of the Corporation, and BlackRock Advisors, LLC (the “Manager”), the Corporation’s investment advisor. The Board also considered the approval of the sub-advisory agreements between the Manager and (a) BlackRock International Limited (“BIL”) with respect to International V.I. Fund and Managed Volatility V.I. Fund (the “BIL Sub-Advisory Agreements”); (b) BlackRock Asset Management North Asia Limited (“BNA”) with respect to Managed Volatility V.I. Fund (the “BNA Sub-Advisory Agreement”); and (c) BlackRock (Singapore) Limited (“BSL” and together with BIL and BNA, the “Sub-Advisors”) with respect to Managed Volatility V.I. Fund (the “BSL Sub-Advisory Agreement” and together with the BIL Sub-Advisory Agreements and the BNA Sub-Advisory Agreement, the “Sub-Advisory Agreements”). The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of fourteen individuals, twelve 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 Corporation 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 Ad Hoc Topics Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Ad Hoc Topics Committee, which also has one interested Board Member).
The Agreements
Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements 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. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to the Funds. In particular, 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 services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, 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 in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) with respect to each Fund, investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, an applicable benchmark, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance 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, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Corporation’s adherence to applicable 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 the Corporation’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 Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board 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”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (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 Agreements 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,
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DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS | | |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
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) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Funds; (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 Agreements. 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 questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to 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 the Funds; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Funds; 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 relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of each Fund’s portfolio holdings. 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 each Fund’s performance to the performance of a comparable group of mutual funds, 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 the Fund’s performance, investment 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; 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 nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide the Funds with certain administrative, shareholder and other services (in addition to any such services provided to the Funds by third-parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds 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 third-party 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 or managing 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 the Funds 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 an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. 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, with respect to 60/40 Target Allocation ETF V.I. Fund, Large Cap Focus Growth V.I. Fund, Capital Appreciation V.I. Fund, Large Cap Core V.I. Fund, Large Cap Value V.I. Fund, Global Allocation V.I. Fund, Basic Value V.I. Fund, U.S. Total Market V.I. Fund and International V.I. Fund, the respective Morningstar open-end fund category (“Morningstar Open-End Category”); with respect to Managed Volatility V.I. Fund, in light of the Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome-Oriented Performance Metrics”); with respect to International Index V.I. Fund, Small Cap Index V.I. Fund and S&P 500 Index V.I. Fund, the performance of the Fund as compared with its benchmark; and, with respect to Government Money Market V.I. Fund, a weighted average benchmark of similar funds, as defined by BlackRock (“Benchmark Weighted Average”). The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, 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. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, Equity Dividend V.I. Fund ranked in the first quartile against its Performance Peers.
The Board noted that for the one-, three-, and five-year periods reported, 60/40 Target Allocation ETF V.I. Fund ranked in the first, first and second quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, International V.I. Fund ranked in the first, first and second quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, Large Cap Focus Growth V.I. Fund ranked in the second, first and first quartile, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for each of the one-, three- and five-year periods reported, Global Allocation V.I. Fund ranked in the second quartile against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board noted significant changes to the Fund’s portfolio management team under the senior leadership of BlackRock’s Global Fixed Income Chief Investment Officer and an expansion of resources.
The Board noted that for the one-, three- and five-year periods reported, Capital Appreciation V.I. Fund ranked in the third, first and first quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
The Board noted that for the one-, three- and five-year periods reported, Large Cap Core V.I. Fund ranked in the third, second and second quartiles, respectively against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
The Board noted that for the one-, three- and five-year periods reported, Large Cap Value V.I. Fund ranked in the third, second and second quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
The Board noted that for the one-, three- and five-year periods reported, U.S. Total Market V.I. Fund ranked in the third, fourth and third quartiles, respectively against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
The Board noted that for the one-, three- and five-year periods reported, Basic Value V.I. Fund ranked in the third, fourth and fourth quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods. The Board was informed that, among other things, longer-term performance was impacted by the investment team’s focus on value and related positioning in more volatile areas of the market.
The Board and BlackRock discussed BlackRock’s strategy for improving the Fund’s investment performance. Discussions covered topics such as performance attribution, the Fund’s investment personnel, and the resources appropriate to support the Fund’s investment processes.
The Board noted that for each of the one-and three-year periods reported, Government Money Market V.I. Fund outperformed its Benchmark Weighted Average. The Board noted that BlackRock believes that the Benchmark Weighted Average is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board reviewed and considered the Fund’s performance relative to Managed Volatility V.I. Fund’s Outcome-Oriented Performance Metrics including a total return target. The Board noted that for each of the one-, three- and five-year periods reported, the Fund underperformed its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its total return target during the applicable periods.
The Board noted that for the one-year period reported, S&P 500 Index V.I. Fund’s net performance was within the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-year period reported, International Index V.I. Fund’s net performance above the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s above tolerance performance relative to its benchmark over the period.
The Board noted that for the one-year period reported, Small Cap Index V.I. Fund’s net performance was above the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s above tolerance performance relative to its benchmark over the 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 the Funds: 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
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DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS | | |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. 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, 2019 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 BlackRock 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 BlackRock, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level 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.
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 Agreements 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 the Funds, including 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 Large Cap Core V.I. Fund’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 Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Small Cap Index V.I. Fund’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 Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that S&P 500 Index V.I. Fund’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 Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that International Index V.I. Fund’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 Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Basic Value V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the first and second quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
BlackRock has reviewed with the Board that the varying fee structure for fund of funds can limit the value of management fee comparisons. The Board noted that 60/40 Target Allocation ETF V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the first and second quartiles, respectively, relative to the Fund’s Expense Peers. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Capital Appreciation V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the first and second quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Equity Dividend V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the first and second quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that International V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the second and fourth quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis. In addition, the Board noted that BlackRock and the Board agreed to a lower contractual expense cap, on a class-by-class basis. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the contractual cap.
The Board noted that Managed Volatility V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Global Allocation V.I. Fund’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board noted that Large Cap Focus Growth V.I. Fund’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio ranked in the second and fourth quartiles, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that Government Money Market V.I. Fund’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that U.S. Total Market V.I. Fund’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board noted that the Large Cap Value V.I. Fund’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. Additionally, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by the Fund. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
With respect to Large Cap Core V.I. Fund, Large Cap Value V.I. Fund, U.S. Total Market V.I. Fund, Basic Value V.I. Fund, Capital Appreciation V.I. Fund, Equity Dividend V.I. Fund, Global Allocation V.I. Fund, Government Money Market V.I. Fund, International V.I. Fund, 60/40 Target Allocation ETF V.I. Fund, Large Cap Focus Growth V.I. Fund and Managed Volatility V.I. Fund, the Board noted that each Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the pertinent Fund increases above certain contractually specified levels. The Board noted that if the size of the pertinent Fund were to decrease, the Fund could lose the benefit of one or more breakpoints.
With respect to Large Cap Core V.I. Fund, Large Cap Value V.I. Fund, U.S. Total Market V.I. Fund, Basic Value V.I. Fund, Capital Appreciation V.I. Fund, Equity Dividend V.I. Fund, Global Allocation V.I. Fund, International V.I. Fund, International Index V.I. Fund, Large Cap Focus Growth V.I. Fund, Managed Volatility V.I. Fund, Small Cap Index V.I. Fund and S&P 500 Index V.I. Fund, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for each Fund on a class-by-class basis.
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 the Funds increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The
Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Funds 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.
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 the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its 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 the Funds, 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 Agreements, 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 the pertinent Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of (i) the Advisory Agreement between the Manager and the Corporation, on behalf of each Fund, (ii) the BIL Sub-Advisory Agreements between the Manager and BIL with respect to International V.I. Fund and Managed Volatility V.I. Fund, (iii) the BNA Sub-Advisory Agreement between the Manager and BNA with respect to Managed Volatility V.I. Fund and (iv) BSL Sub-Advisory Agreement between the Manager and BSL with respect to Managed Volatility V.I. Fund, each for a one-year term ending June 30, 2021. 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 Agreements were fair and reasonable and in the best interest of each Fund, as pertinent, and its shareholders. In arriving at its decision to approve the Agreements, 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.
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DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS | | |
Disclosure of Investment Advisory Agreement
The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Variable Series Funds II, Inc. (the “Company”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement” or the “Agreement”) between the Company, on behalf of BlackRock High Yield V.I. Fund (the “High Yield V.I. Fund”), BlackRock Total Return V.I. Fund (the “Total Return V.I. Fund”) and BlackRock U.S. Government Bond V.I. Fund (the “U.S. Government Bond V.I. Fund” and together with the High Yield V.I. Fund and the Total Return V.I. Fund, the “Funds” and each, a “Fund”), 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 ten individuals, eight of whom were not “interested persons” of the
Company 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 each Fund 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 Co-Chairs of the Board are Independent Board Members. 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 Executive Committee, which also has one interested Board Member).
The Agreement
Consistent with the requirements of the 1940 Act, the Board considers 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. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreement, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, 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 services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is 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 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, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance 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, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and each Fund’s adherence to applicable 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) 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 Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board 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”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (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) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, 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 questions and requests with additional written information in advance of the May Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) economies of scale; (c) fund expenses and potential fee waivers; and (d) differences in services provided and management fees between open-end funds and other product channels.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement (continued)
estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any 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 relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s 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, relevant benchmarks, 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, investment 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; 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 nature and 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 third-party 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 or managing 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 an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. 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 the respective Morningstar open-end fund category (“Morningstar Open-End Category”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, 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. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, the High Yield V.I. Fund ranked in the first quartile against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the High Yield V.I. Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, the Total Return V.I. Fund ranked in the second, second, and third quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Total Return V.I. Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Total Return V.I. Fund’s underperformance relative to its Morningstar Open-End Category during the applicable period.
The Board noted that for the one-, three- and five-year periods reported, the U.S. Government Bond V.I. Fund ranked in the second, third and third quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the U.S. Government Bond V.I. Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the U.S. Government Bond V.I. Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
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, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services
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DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT | | |
Disclosure of Investment Advisory Agreement (continued)
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, 2019 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. The Board thus recognized that calculating and comparing profitability at the individual fund level 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.
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, including 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 High Yield V.I. Fund’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 V.I. Fund’s Expense Peers. The Board also noted that the High Yield V.I. Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the High Yield V.I. Fund, combined with the assets of the Total Return V.I. Fund, increase above certain contractually specified levels. The Board noted that if the size of the High Yield V.I. Fund or the Total Return V.I. Fund were to decrease, the High Yield V.I. Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the High Yield V.I. Fund’s total expenses as a percentage of the High Yield V.I. Fund’s average daily net assets on a class-by-class basis. 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 V.I. Fund on a class-by-class basis.
The Board noted that the Total Return V.I. Fund’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Total Return V.I. Fund’s Expense Peers. The Board also noted that the Total Return V.I. Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Total Return V.I. Fund, combined with the assets of the High Yield V.I. Fund, increase above certain contractually specified levels. The Board noted that if the size of the Total Return V.I. Fund or the High Yield V.I Fund were to decrease, the Total Return V.I. Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Total Return V.I. Fund’s total expenses as a percentage of the Total Return V.I. Fund’s average daily net assets on a class-by-class basis. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Total Return V.I. Fund on a class-by-class basis.
The Board noted that the U.S. Government Bond V.I. Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the first and third quartiles, respectively, relative to the U.S. Government Bond V.I. Fund’s Expense Peers. The Board also noted that the U.S. Government Bond V.I. Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the U.S. Government Bond V.I. Fund increases above certain contractually specified levels. The Board noted that if the size of the U.S. Government Bond V.I. Fund were to decrease, the U.S. Government Bond V.I. Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the U.S. Government Bond V.I. Fund’s total expenses as a percentage of the U.S. Government Bond V.I. Fund’s average daily net assets on a class-by-class basis. 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 V.I. Fund on a class-by-class basis. In addition, the Board noted that BlackRock has voluntarily agreed to waive a portion of the advisory fee payable by the U.S. Government Bond V.I. Fund. An advisory fee waiver has been in effect since 2016, that amount of which may have varied from time to time. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 26 basis point voluntary advisory fee waiver.
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 contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which each Fund benefits from such economies of scale 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.
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 its 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
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement (continued)
and expenses are too high or if they are dissatisfied with the performance of each Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Company, on behalf of each Fund, for a one-year term ending June 30, 2021. 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.
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DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT | | |
Disclosure of Sub-Advisory Agreements
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Variable Series Funds II, Inc. (the “Company”), on behalf of its series BlackRock High Yield V.I. Fund (the “Fund”), met in person on February 19, 2020 (the “February Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the February Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Company as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.
At the February Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s semi-annual shareholder report for the reporting period ended June 30, 2019. The factors considered by the Board at the February Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the February Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory 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.
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Sub-Advisory Agreements (continued)
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Variable Series Funds II, Inc. (the “Company”), on behalf of its series BlackRock U.S. Government Bond V.I. Fund (the “Fund”), met on April 16, 2020 (the “April Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the April Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Company as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.
At the April Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s semi-annual shareholder report for the reporting period ended June 30, 2019. The factors considered by the Board at the April Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the April Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund for a two-year term beginning on the effective date of the Sub-Advisory Agreement.
Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory 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.
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DISCLOSURE OF SUB-ADVISORY AGREEMENTS | | |
Director and Officer Information
BlackRock Variable Series Funds, Inc.
Mark Stalnecker, Chair of the Board and Director
Bruce R. Bond, Director
Susan J. Carter, Director
Collette Chilton, Director
Neil A. Cotty, Director
Lena G. Goldberg, Director
Henry R. Keizer, Director
Cynthia A. Montgomery, Director
Donald C. Opatrny, Director
Joseph P. Platt, Director
Kenneth L. Urish, Director
Claire A. Walton, 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
Lisa Belle, Anti-Money Laundering Compliance Officer
Janey Ahn, Secretary
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisers
BlackRock International Limited (a)
Edinburgh, EH3 8BL
United Kingdom
BlackRock Asset Management
North Asia Limited (b)
Hong Kong
BlackRock (Singapore) Limited (b)
079912 Singapore
Accounting Agent
JPMorgan Chase Bank, N.A.
New York, NY 10179
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodians
JPMorgan Chase Bank, N.A. (c)
New York, NY 10179
Brown Brothers Harriman & Co. (d)
Boston, MA 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
| (a) | For BlackRock International V.I. Fund and BlackRock Managed Volatility V.I. Fund. |
| (b) | For BlackRock Managed Volatility V.I. Fund. |
| (c) | For BlackRock 60/40 Target Allocation ETF V.I. Fund, BlackRock Advantage Large Cap Core V.I. Fund, BlackRock Advantage Large Cap Value V.I. Fund, BlackRock Advantage U.S. Total Market V.I. Fund, BlackRock Basic Value V.I. Fund, BlackRock Capital Appreciation V.I. Fund, BlackRock Equity Dividend V.I. Fund, BlackRock Government Money Market V.I. Fund, BlackRock International Index V.I. Fund, BlackRock Managed Volatility V.I. Fund, BlackRock S&P 500 Index V.I. Fund and BlackRock Small Cap Index V.I. Fund. |
| (d) | For BlackRock Global Allocation V.I. Fund, BlackRock International V.I. Fund and BlackRock Large Cap Focus Growth V.I. Fund. |
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information
BlackRock Variable Series Funds II, Inc.
Richard E. Cavanagh, Co-Chair of the Board and Director
Karen P. Robards, Co-Chair of the Board and Director
Michael J. Castellano, Director
Cynthia L. Egan, Director
Frank J. Fabozzi, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director
Catherine A. Lynch, 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 Lisa Belle, Anti-Money Laundering Compliance Officer
Janey Ahn, Secretary
Effective February 19, 2020, Henry Gabbay resigned as a Director of the Company.
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisers
BlackRock International Limited (a)
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited (b)
079912 Singapore
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.
New York, NY 10179
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 Funds
100 Bellevue Parkway
Wilmington, DE 19809
| (a) | For BlackRock High Yield V.I. Fund, BlackRock Total Return V.I. Fund and BlackRock U.S. Government Bond V.I. Fund. |
| (b) | For BlackRock Total Return V.I. Fund. |
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DIRECTORAND OFFICER INFORMATION | | |
Additional Information
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 (except BlackRock Government Money Market V.I. Fund) file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov.
The BlackRock Government Money Market V.I. Fund files its complete schedule of portfolio holdings with the SEC each month on Form N-MFP. The Fund’s reports on Form N-MFP are available on the SEC’s website at sec.gov. The Fund makes portfolio holdings available to shareholders on its website at blackrock.com.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds 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 blackrock.com/prospectus/insurance; and (3) on the SEC’s website at 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 blackrock.com/prospectus/insurance; or by calling (800) 441-7762 and (2) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
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.
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| | | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Want to know more?
blackrock.com | 800-441-7762
This report is only for distribution to shareholders of the Funds of BlackRock Variable Series Funds, Inc. and BlackRock Variable Series Funds II, Inc. Past performance results shown in this report should not be considered a representation of future performance. Investment return and principal value of non-money market fund shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. You could lose money by investing in the Funds. Although BlackRock Government Money Market V.I. Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in BlackRock Government Money Market V.I. Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. BlackRock Government Money Market V.I. Fund’s sponsor has no legal obligation to provide financial support to the Fund at any time. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call (800) 626-1960. BlackRock Government Money Market V.I. Fund’s current 7-day yield more closely reflects the current earnings of the Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.
VS-6/20-SAR
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Item 2 – | | Code of Ethics – Not Applicable to this semi-annual report |
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Item 3 – | | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
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Item 4 – | | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
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Item 5 – | | Audit Committee of Listed Registrant – Not Applicable |
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Item 6 – | | Investments |
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| | (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. |
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| | (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
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Item 7 – | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
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Item 8 – | | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
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Item 9 – | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
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Item 10 – | | Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures. |
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Item 11 – | | Controls and Procedures |
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| | (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. |
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| | (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 12 – | | Disclosure of Securities Lending Activities for Closed-End Management Investment |
| | Companies – Not Applicable |
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Item 13 – | | Exhibits attached hereto |
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| | (a)(1) – Code of Ethics – Not Applicable to this semi-annual report |
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| | (a)(2) – Section 302 Certifications are attached |
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| | (a)(3) – Not Applicable |
2
3
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 Variable Series Funds, Inc.
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By: | | /s/ John M. Perlowski | | |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Variable Series Funds, Inc. |
Date: August 28, 2020
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.
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By: | | /s/ John M. Perlowski | | |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Variable Series Funds, Inc. |
Date: August 28, 2020
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By: | | /s/ Neal J. Andrews | | |
| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Variable Series Funds, Inc. |
Date: August 28, 2020
4
