UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-03091
Name of Fund: BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
BlackRock Bond Portfolio
BlackRock Fundamental Growth Portfolio
BlackRock Global Allocation Portfolio
BlackRock High Income Portfolio
BlackRock Government Income Portfolio
BlackRock Large Cap Core Portfolio
BlackRock Money Market Portfolio
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Series Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ,
08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/06
Date of reporting period: 01/01/06 - 12/31/06
Item 1 - Report to Stockholders
BlackRock Series Fund, Inc.
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o BlackRock Balanced Capital Portfolio
o BlackRock Bond Portfolio
o BlackRock Fundamental Growth Portfolio
o BlackRock Global Allocation Portfolio
o BlackRock Government Income Portfolio
o BlackRock High Income Portfolio
o BlackRock Large Cap Core Portfolio
o BlackRock Money Market Portfolio
Annual Report
December 31, 2006
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BlackRock Series Fund, Inc.
Annual Report -- December 31, 2006
A Letter to Shareholders
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Dear Shareholder
As 2007 begins, we are able to look back on 2006 as a volatile, but ultimately,
a positive year for most major markets. Returns for the annual and semi-annual
periods ended December 31, 2006 were as follows:
Total Returns as of December 31, 2006
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6-month 12-month
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U.S. equities (Standard & Poor's 500 Index)............................................ +12.74% +15.79%
Small cap U.S. equities (Russell 2000 Index)........................................... + 9.38 +18.37
International equities (MSCI Europe, Australasia, Far East Index)...................... +14.69 +26.34
Fixed income (Lehman Brothers Aggregate Bond Index).................................... + 5.09 + 4.33
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index)......................... + 4.55 + 4.84
High yield bonds (Credit Suisse High Yield Index)...................................... + 8.14 +11.92
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After raising the target short-term interest rate 17 times between June 2004 and
June 2006, the Federal Reserve Board (the Fed) finally opted to pause on August
8, 2006. This left the federal funds rate at 5.25%, where it remained through
year-end. In interrupting its two-year interest rate-hiking campaign, the Fed
acknowledged that economic growth is slowing, led by a downturn in the housing
market, but has maintained a cautionary view on inflation.
Overall, it was a good 12 months for U.S. equities, despite a significant
correction in the middle of the year that was largely triggered by rising
interest rates, inflation fears, elevated oil prices and geopolitical
uncertainties. Nevertheless, strong corporate earnings, abundant liquidity and
record merger-and-acquisition activity provided a solid backdrop for stocks.
Many international equity markets (with the notable exception of Japan)
performed even better, outpacing U.S. stocks for the fifth consecutive year.
Strength was especially notable in European equities and select emerging
markets.
Bonds experienced a more modest annual return than stocks. Interest rates and
bond yields moved higher for much of the year as bond prices, which move
opposite of yields, declined. Prices began to improve (yields fell) in the
summer as the economy showed signs of weakening and the Fed paused. Notably, the
Treasury curve inverted early in the year and remained inverted for much of
2006. The 10-year Treasury yield remained in the 4.5%-5% range most of the year
and ended December at 4.71%, well below the federal funds rate.
As we begin a new year, investors are left with a few key questions: Will the
U.S. economy achieve a soft landing, will the Fed reverse its prior policy and
cut interest rates, and how might these outcomes impact the investment climate.
As you navigate the uncertainties inherent in the financial markets, we
encourage you to start the year by reviewing your investment goals with your
financial professional and making portfolio changes, as needed. For more
reflection on 2006 and our thoughts on the year ahead, including our 10
predictions for 2007, please ask your financial professional for a copy of
"What's Ahead in 2007: An Investment Perspective," or view it online at
www.blackrock.com/funds. We thank you for trusting BlackRock with your
investment assets, and we look forward to continuing to serve you in the new
year and beyond.
Sincerely,
/s/ Robert C. Doll, Jr.
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Robert C. Doll, Jr.
President and Director
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BlackRock Series Fund, Inc.
Annual Report -- December 31, 2006
A Discussion With Your Funds' Portfolio Managers
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BlackRock Balanced Capital Portfolio
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How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Balanced Capital
Portfolio (formerly Mercury Balanced Capital Strategy Portfolio) returned
+14.09%. For the same period, the benchmark Standard & Poor's 500 (S&P 500)
Index returned +15.79%, the benchmark Lehman Brothers Aggregate Bond Index
returned +4.33% and the Lipper Mixed-Asset Target Allocation Growth Funds
(Variable Products) category had an average return of +10.41%. (Funds in this
Lipper category maintain a mix of between 60%-80% equity securities, with the
remainder invested in bonds, cash and cash equivalents.)
Despite substantial uncertainty and volatility, stock prices posted handsome
gains for the 12 months ended December 31, 2006. Changing investor perceptions
over the pace of economic growth, intensity of inflationary pressures, direction
of Federal Reserve Board (the Fed) monetary policy, appropriate level of
commodity prices and outlook for corporate profits were the primary market
drivers during the year. Ultimately, investors concluded that the expected
cessation of interest rate increases by the Fed and the significant decline in
energy prices would foster a more hospitable environment for equities. The value
style of investing continued to outpace the growth style of investing and
smaller-capitalization companies outperformed their larger brethren, though all
major style and capitalization categories produced positive returns for the
year. Gains in the fixed income market were more muted, with most of the
positive performance realized in the September quarter when bond investors began
to react favorably to the expected slowdown in economic growth and change in Fed
policy.
What factors most influenced Portfolio performance?
Asset allocation was favorable and equities substantially exceeded their
benchmark return while bonds slightly underperformed their benchmark. Within the
equity portfolio, good stock selection in the information technology sector was
the primary driver of the outperformance, led by better than 30% returns from
positions in Commscope, Inc., Cisco Systems, Inc. and Accenture Ltd. and by
having only a small position in Intel Corp., which declined more than 10% for
the year. Good stock selection in the consumer discretionary sector further
aided performance, led by solid gains from positions in McDonald's Corp.,
Limited Brands, Inc. and Comcast Corp. Our underweight position and good stock
selection in health care, the market's weakest-performing sector for the year,
also contributed to results, led by a near 25% gain in our holding in Baxter
International, Inc. and our avoidance of Amgen, Inc. and United Healthcare
Group, Inc., each of which declined more than 13% for the year. These areas of
outperformance more than offset relative weakness in the energy sector, where
poor stock selection detracted from Portfolio results. This was largely due to
our owning only a small position in Exxon Mobil Corp., which rose almost 40%,
and not owning any shares of Chevron Corp., which rose 34%. Our underweight
position in telecommunications, the market's strongest-performing sector for the
year, also impaired performance. In particular, we missed an 80% advance in
shares of BellSouth Corp.
The performance of the fixed income portfolio was influenced by our duration
profile, yield curve strategy and sector allocation decisions. We actively
adjusted the portfolio's duration profile throughout the year based on our
assessment of interest rate direction, with mixed results. In terms of specific
fixed income sectors, our underweight position in corporate bonds and mortgages,
coupled with an overweight in structured products for much of the year,
benefited performance.
What changes were made to the Portfolio during the period?
We continued to adjust our holdings over the year in response to ongoing market
volatility. Within the equity portfolio, we further repositioned our technology
holdings, reducing positions in Cisco Systems, Applied Materials, Inc. and
Microsoft Corp., eliminating Commscope, Citrix Systems, Inc. and Intel, adding
to existing positions in Hewlett-Packard Co., Electronic Arts, Inc. and Symantec
Corp., and introducing
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Juniper Networks, Inc., Sun Microsystems, Inc. and Yahoo! Inc. to the Portfolio.
We reduced the size of our Cisco holding after a 60% gain in 2006 and sold our
position in CommScope after a near-doubling in the stock price over the past 24
months. We trimmed our holding in Applied Materials based on our expectation for
a near-term peak in the company's pace of order activity. We sold Intel due to
its weakening competitive position and deteriorating profit margins. At
Hewlett-Packard, fundamentals continue to improve while valuation remains very
attractive. Juniper declined 20% on the day of the company's fourth-quarter
earnings announcement, affording us an attractive buying opportunity. Sun has
spent the better part of five years reengineering its core product line and is
now poised to regain market share and reverse a multiyear profit drought. At
video game manufacturer Electronic Arts, we are attracted by the company's No. 1
market share position and the recent video game console upgrade cycle as
Microsoft, Sony and Nintendo have all launched next-generation platforms.
Finally, we believe Yahoo! represents an attractive value after a 35% stock
price decline, as it affords us a reasonably priced way to invest in the rapid
growth of Internet advertising.
In other sectors, we established more substantial positions in two reinsurance
companies, Endurance Specialty Holdings Ltd. and RenaissanceRe Holdings Ltd., as
the market outlook for property and casualty insurers improved dramatically over
the past year. We trimmed exposure to the media sector, reducing our position in
Walt Disney Co. while eliminating Interpublic Group of Cos., Inc. and Viacom,
Inc. from the Portfolio. The long-awaited turnaround for global advertising
agency Interpublic Group continues to be reduced in magnitude and delayed in
timing, suggesting that significant progress is unlikely to occur within a
reasonable investment time horizon. At Viacom, the sudden firing of the CEO
prompted us to revaluate our investment position. We reduced our position in
Raytheon Co. and eliminated Northrop Grumman Corp. from the Portfolio on concern
about a slowing pace of defense budget growth and increasing pressures on
program pricing. We sold our position in Sara Lee Corp. and reinvested the
proceeds to expand existing positions in Unilever NV and Cadbury Schweppes Plc,
where we believe fundamental trends are more robust. We added to selected
industrial holdings like Textron, Inc. and 3M Co. on weakness, as we believe
their stock prices fail to capture these companies' favorable prospects.
A new management team assumed responsibility for the fixed income portfolio in
the fourth quarter and, at that time, shifted the portfolio's duration from long
to short versus the benchmark. This is consistent with the team's view that the
Fed is likely to remain on hold rather than cut interest rates as markets had
been anticipating. Also in the fixed income portfolio, exposure to spread
sectors was refined throughout the year in an effort to enhance portfolio yield
without incurring excessive risk. For the most part, high-quality spread
sectors, particularly commercial mortgage-backed securities and asset-backed
securities, were favored.
How would you characterize the Portfolio's position at the close of the period?
At year-end, 61.6% of the Portfolio's net assets was invested in equities, 31.5%
in fixed income securities and 6.9% in cash equivalents. While we continue to
anticipate a constructive environment for equities, we are increasingly
concerned that the recent sharp gain in the market has more than amply
discounted expectations for slower economic growth, declining inflation, stable
interest rates and continued strong corporate earnings. Should any of these
conditions fail to be met, however, much of the recent advance could be unwound.
With this in mind, we continue to tread cautiously, concentrating on limiting
our downside risks while being opportunistic on stocks that meet our fundamental
and valuation criteria. Meanwhile, as we have seen interest rates decline, the
yield curve invert and spreads compress, bonds have become a relatively less
attractive investment alternative. As always, we will continue to take full
advantage of the Portfolio's flexibility as market conditions evolve.
Kurt Schansinger
Vice President and Senior Portfolio Manager
Keith Anderson
Fixed Income Portfolio Manager
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Effective October 2, 2006, Portfolio Managers Keith Anderson, Scott Amero,
Matthew Marra and Andrew Phillips assumed responsibility for the day-to-day
management of the fixed income portfolio. Mr. Anderson is a Vice Chairman of
BlackRock, Inc., Chief Investment Officer for Fixed Income, a member of the
firm's Executive and Management Committees and Chairman of the Investment
Strategy Group. Mr. Anderson is a founding partner of BlackRock, which was
established in 1988. Mr. Amero is a Managing Director of BlackRock, co-head of
the fixed income portfolio management team and a member of the Management
Committee and the Investment Strategy Group. He joined BlackRock in 1990. Mr.
Marra, a Managing Director of BlackRock and portfolio manager, is a member of
the Investment Strategy Group. He joined BlackRock in 1995. Mr. Phillips, a
Managing Director of BlackRock and portfolio manager, also is a member of the
Investment Strategy Group. He joined BlackRock in 1991.
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BlackRock Bond Portfolio
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How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Bond Portfolio
(formerly Mercury Core Bond Strategy Portfolio) had a total return of +4.37%.
For the same period, the benchmark Lehman Brothers Aggregate Bond Index returned
+4.33%.
The yield curve was inverted for most of 2006. At the beginning of the year, the
10-year U.S. Treasury note yield stood at 4.39%, two basis points (.02%) below
the 4.41% yield on the two-year Treasury note. At the end of December, the 10-
and two-year Treasuries yielded 4.71% and 4.82%, respectively. Short-term
interest rates were volatile during the period, rising rather steadily between
January and June 2006 before declining through most of the remainder of the
year. The yield on the two-year note peaked at 5.29% in late June 2006, and then
dipped to a low of 4.52% in early December. The 10-year Treasury yield reached a
high of 5.25% late in the second quarter of 2006 before falling to a low of
4.43% in early December.
The Federal Reserve Board (the Fed) raised the target federal funds rate in five
increments of .25% during the year, bringing the target rate from 4.00% to
5.25%. However, the Fed held the rate steady at its meetings in August,
September, October and December. Gross domestic product (GDP) in the U.S. grew
at a rate of 2.0% in the third quarter of 2006. This represented a downturn from
the 2.6% growth rate for the second quarter of the year, and was considerably
lower than the 5.6% rate for the first quarter.
The Portfolio's performance was influenced by our duration profile, yield curve
strategy and sector allocation decisions. In the first quarter of the year, we
had positioned the Portfolio for a flattening yield curve, expressed largely
through an underexposure to the two- to five-year part of the curve and an
above-average position in the 30-year area. Because bond prices move in the
opposite direction of yields, our strategy paid off as short-term yields rose
more than long-term yields. That effect reversed in March as the yield curve
began to resteepen, and we took the opportunity to begin moving away from our
flattening bias.
Similarly, we began the fiscal year with a relatively short duration but started
to minimize that bias somewhat as the Fed approached its desired "neutral"
federal funds target. By mid-year, the Portfolio was positioned with a slightly
long duration, a posture we assumed as the 10-year Treasury yield approached
5.25%. Our increasing duration hurt performance at times when interest rates
rose (as a shorter duration means less sensitivity to interest rate risk, and
vice versa). However, our longer relative duration was a positive in the third
quarter as yields began to move lower. The Portfolio's new management team
shifted to a shorter duration in the fourth quarter, and this had a modest
positive effect on performance as rates moved marginally higher, reversing a
portion of the significant rally experienced in the third quarter.
In terms of specific fixed income sectors, we maintained a neutral to slightly
underweight position in corporate bonds and mortgages for much of the year, a
strategy that benefited performance when credit spreads widened but detracted
when spreads tightened. Conversely, we overweighted high-quality short-duration
assets, including asset-backed securities (ABS), commercial mortgage-backed
securities
4
(CMBS), adjustable rate mortgages (ARMs) and collateralized mortgage obligations
(CMOs). This enhanced performance during the year, as these sectors offered an
incremental yield advantage over Treasury issues.
What changes were made to the Portfolio during the period?
We actively adjusted the Portfolio's duration profile based on our assessment of
interest rate direction. We began the year with a relatively short duration. In
March, the Treasury curve steepened by 20 basis points between the two- and
30-year sectors. This was a dramatic one-month move considering the flatness of
the curve, and served to support the short end as the long end normalized. This
prompted us to remove some of our curve flattening bias and to move from a short
duration bias toward a more neutral duration profile. By the second quarter of
2006, as long-term interest rates continued to rise, the Portfolio's duration
was slightly longer than that of the benchmark index. In our view, the 10-year
U.S. Treasury began to represent value as its yield approached 5.25%.
A new management team assumed responsibility for the Portfolio in the fourth
quarter and, at that time, shifted the Portfolio's duration from long to short
versus the benchmark. This was consistent with the team's view that the Fed is
likely to remain on hold, not cut interest rates as markets have priced in.
Turning to sectors, the Portfolio was underweight in corporate bonds for much of
the year as credit spreads remained tight, meaning there was little additional
yield to be gained in exchange for the risk involved. The new management team
reduced exposure to corporate bonds in the fourth quarter based on the belief
that event risk remains high, valuations are unattractive and fundamentals
appear to have peaked. In addition, a small currency position in the Japanese
yen was established in the final three months of the fiscal year.
For the most part, we continued to favor high-quality spread sectors throughout
the year for their yield-enhancement potential.
How would you characterize the Portfolio's position at the close of the period?
At December 31, 2006, the Portfolio was underweight in U.S. Treasury issues,
U.S. agency securities and corporate securities. The Portfolio held notable
overweights in high-quality, short-duration spread product, including CMBS and
ABS issues. The Portfolio also ended the fiscal year with an above-average
exposure to mortgages, specifically in the 15-year and non-index sectors,
including ARMs and CMOs.
The Portfolio is positioned with a short duration versus the benchmark, as we
continue to believe that both a modest rebound in economic growth during the
fourth quarter and core inflation remaining outside of the Fed's comfort zone
will keep the central bank on hold.
Keith Anderson
Portfolio Manager
Scott Amero
Portfolio Manager
Matthew Marra
Portfolio Manager
Andrew Phillips
Portfolio Manager
5
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Effective October 2, 2006, Portfolio Managers Keith Anderson, Scott Amero,
Matthew Marra and Andrew Phillips assumed responsibility for the day-to-day
management of the Portfolio. Mr. Anderson is a Vice Chairman of BlackRock,
Inc., Chief Investment Officer for Fixed Income and a member of the firm's
Executive and Management Committees. He is Chairman of the Investment Strategy
Group and is responsible for global fixed income strategy, asset allocation
and the overall management of client portfolios. Mr. Anderson is a founding
partner of BlackRock, which was established in 1988. Mr. Amero is a Managing
Director of BlackRock, co-head of the fixed income portfolio management team
and a member of the Management Committee and the Investment Strategy Group. He
joined BlackRock in 1990. Mr. Marra, a Managing Director of BlackRock and
portfolio manager, is a member of the Investment Strategy Group. He joined
BlackRock in 1995. Mr. Phillips, a Managing Director of BlackRock and
portfolio manager, also is a member of the Investment Strategy Group. He
joined BlackRock in 1991.
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BlackRock Fundamental Growth Portfolio
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How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Fundamental Growth
Portfolio (formerly Mercury Fundamental Growth Strategy Portfolio) posted a
total return of +4.78%. For the same period, the benchmark S&P 500 Citigroup
Growth Index returned +11.00% and the Lipper Large-Cap Growth Funds (Variable
Products) category had an average return of +4.68%. (Funds in this Lipper
category invest at least 75% of their equity assets in companies with market
capitalizations -- on a three-year weighted basis -- greater than 300% of the
dollar-weighted median market capitalization of the middle 1,000 securities of
the S&P SuperComposite 1500 Index. Large-cap growth funds typically have an
above-average price-to-earnings ratio, price-to-book ratio, and three-year
sales-per-share growth value, compared to the S&P 500 Index.) The broad U.S.
equity market, as measured by the S&P 500 Index, returned +15.79% over the
12-month period.
During 2006, equity markets experienced varied returns that were significantly
influenced by shifting investor preferences. Market leadership at the end of
December was distinctly different from that seen in January and mid-year. A
widely anticipated market correction during the May to July timeframe (which
amounted to a nearly 8% retrenchment for the S&P 500 Index) segmented the year
in terms of both style and sector performance considerations. Small and
mid-sized companies dominated performance during the first five months of the
year before giving way to larger companies after the market correction took
place. The value style of investing continued to outperform the growth style for
the majority of the 12-month period. Larger-capitalization growth companies only
started to outperform late in the year, but lagged the broader market for all of
2006.
In general, actively managed funds struggled, especially in the second half of
the year, as reflected in the underperformance of the Lipper Large-Cap Growth
Funds category versus the largely market-weighted S&P 500 Citigroup Growth
Index. From a sector perspective, a cyclical bias favored energy, materials and
industrials-related sectors in the early portion of the year, whereas a clearly
more defensive posture prevailed later in the period. Much of this transition in
the market could be attributed to concerns over the rate of slowdown in U.S.
economic growth and the Federal Reserve Board's (the Fed's) intentions with
regard to monetary policy.
The Portfolio's performance for the year was negatively impacted by these market
transitions. Favorable performance in the first half of the year proved more
difficult to repeat in the second half. Our overweight position in the energy
sector and underweight position in information technology (IT), which
contributed to performance in the first half, remained positive contributors
until the third quarter. Offsetting this was poor stock selection in the second
half of the year in the health care, energy and information technology sectors.
Specialty pharmaceutical company Alcon, Inc. and health care services providers
Medco Health Solutions, Inc., WellPoint Inc. and UnitedHealth Group, Inc.
detracted from performance. Within the IT sector, Yahoo!, Inc., Corning, Inc.
and Oracle Corp. all detracted from performance, as did the absence of a
position in Cisco Systems, Inc. for most of the year and our avoidance of
Microsoft Corp. and
6
International Business Machines Corp. At the same time, Portfolio holdings in IT
outsourcing companies Infosys Technologies Ltd. and Cognizent Technology
Solutions Corp., as well as oil service companies Schlumberger Ltd. and Baker
Hughes, Inc., contributed positively to performance.
What changes were made to the Portfolio during the period?
In the second half of 2006, we repositioned the Portfolio to adjust to a more
moderate rate of economic growth in the United States. To that end, we reduced
our energy overweight to a slight underweight and increased IT from a
significant underweight to a modest overweight position. We also trimmed our
overweighting in industrials. We exited the managed-care industry, thereby
reducing our overall sector exposure to the health care sector. Meanwhile, we
increased the Portfolio's exposure to the consumer discretionary and financials
sectors, particularly in retail and capital markets-related companies,
respectively.
Notable additions to the Portfolio during the year included Cisco Systems, Inc.,
American International Group, Inc. Genentech, Inc., The Charles Schwab Corp.,
Corning, Inc., QUALCOMM, Inc., Target Corp., Novartis AG, Emerson Electric Co.
and Thermo Fisher Scientific, Inc. Noteworthy sales included Exxon Mobil Corp,
3M Co., Wellpoint, Inc., UnitedHealth Group, Inc., The Dow Chemical Co.,
Medtronic Inc., eBay Inc. and Boeing Co. In addition, our positions in The
Procter & Gamble Co. and Alcon, Inc. were considerably reduced, but not
eliminated from the Portfolio.
How would you characterize the Portfolio's position at the close of the period?
U.S. economic growth (that is, gross domestic product growth) has slowed to a
slightly below-trend rate of expansion (in the area of 2%-3%). We view this as a
typical mid-cycle slowdown. At the same time, most other global economies,
particularly those in Europe and Asia, continue to experience strong rates of
growth. This provides a rather balanced demand backdrop worldwide, which is an
important consideration given that many of the Portfolio's investments are
multinational companies that depend upon the health of the global economy. We do
not expect a recession to unfold in the United States and, in fact, suspect
there is upside risk to accelerating economic growth by year-end 2007. It
appears as if inflationary expectations have been well contained via adequate
Fed policy initiatives. Although this mid-cycle slowdown may challenge broader
market earnings growth over the near term, it should provide an attractive
investment environment for growth stocks going forward.
The Portfolio ended the period overweight in the consumer discretionary,
information technology, financials and industrials sectors and underweight in
consumer staples, health care and energy.
Thomas E. Burke, CFA
Portfolio Manager
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BlackRock Global Allocation Portfolio
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How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Global Allocation
Portfolio (formerly Mercury Global Allocation Strategy Portfolio) had a total
return of +16.89%. Portfolio results exceeded the +13.74% return of its
Reference Portfolio for the 12-month period, but trailed the +21.46% return of
its broad-based, all-equity benchmark, the Financial Times Stock Exchange (FTSE)
World Index.
The Portfolio invests in a combination of equities and bonds; therefore, the
Reference Portfolio provides both a truer representation of the Portfolio's
composition and a more comparable means for measurement. Returns for each
component of the Reference Portfolio for the 12 months ended December 31, 2006,
were as follows: the Standard & Poor's 500 (S&P 500) Index returned +15.79%; the
FTSE World Index (ex-U.S.) returned +26.98%; the Merrill Lynch Treasury Index
GA05 returned +2.81%; and the Citigroup World Government Bond Index (ex-U.S.)
returned +6.94%. (A full description of the Reference Portfolio can be found on
page 22 of this report to shareholders.)
7
The Portfolio outperformed its comparable Lipper category of Global Flexible
Portfolio Portfolios (Variable Products), which posted an average return of
+15.56% for the 12-month period. (As defined by Lipper, funds in this Lipper
category allocate their investments across various asset classes, including both
domestic and foreign stocks, bonds and money market instruments, and focus on
total return.)
While U.S. stocks, as measured by the S&P 500 Index, returned +15.79% for the
year, the MSCI Europe Index and the MSCI Pacific Index gained 33.72% and 12.20%,
respectively, in U.S. dollar terms. The Federal Reserve Board's (the Fed)
decision to pause its monetary tightening campaign, along with double-digit
corporate earnings growth that largely surprised investors, helped push U.S.
stocks higher during the period. European equities rose even more dramatically,
propelled by stronger-than-expected company fundamentals, improved business and
consumer sentiment (particularly in Germany and France), as well as a record
pace of merger-and-acquisition activity. This helped ratchet up various country
indexes, such as Spain's IBEX 35, which surged 51.72% for the year. Notably, the
euro strengthened 11.40% versus the U.S. dollar during the 12-month period,
further improving the returns for European assets.
In the Pacific region, strong earnings growth and benign regional central bank
policy proved a favorable combination for equities. India's Sensex Index
remained one of the world's leading equity markets, advancing 49.30% for the
12-month period. Other strong performers were Indonesia (+73.68%), Singapore
(+47.95%) and Australia (+35.18%). Nearly all major Pacific Basin currencies
appreciated against the U.S. dollar during the period, with the exception of the
Japanese yen (down 1.1%). Importantly, Japan's Nikkei, which posted a +6.91%
annual return, was a laggard relative to most other Asia/Pacific equity markets.
Although the Japanese equity market benefited from positive investor sentiment
that was characteristic of the period, some concerns have arisen about the
Japanese manufacturing sector and the country's export prospects have weighed on
returns recently.
On the fixed income side, five-year U.S. Treasury issues gained 2.81% and
10-year U.S. Treasury issues were up 1.36% over the 12-month period. Although
somewhat concerned about inflationary U.S. labor costs, which could depress
corporate profits, most fixed income investors were encouraged by the Fed's
pause in interest rate hikes and the increasing prospects of a slowing U.S.
economy as we neared 2007. International bond prices generally declined in local
currency terms. In Europe, yields on German bunds and U.K. gilts increased 64
basis points (.64%) and 70 basis points, respectively, as concern about rising
interest rates from both the European Central Bank and the Bank of England
weighed on the minds of bond investors. In Japan, 10-year government bonds fell
modestly as yields increased from 1.48% to 1.69%. The Bank of Japan ended its
long-standing "quantitative easing" policy during the year and signaled that if
deflationary pressures remain at bay, higher overnight lending rates could be in
store for 2007.
What factors most influenced Portfolio performance during the period?
The Portfolio was able to capitalize on favorable equity performance in most
developed markets around the world. At the start of the period, the Portfolio's
asset allocation strategy included a relatively slight overweight in equities
and a significant underweight in fixed income securities, particularly
high-quality, long-term U.S. government bonds. The Portfolio benefited from a
significant overweight exposure to Asian equities, notably in India and
Singapore, and favorable stock selection in the United States. Effective
security selection in the energy, industrials and information technology sectors
also boosted performance as oil prices continued their ascent (26%) to a high
near $78 per barrel in July before receding to roughly $61 per barrel by the end
of December, remaining relatively unchanged year over year. In addition, growth
in Asia, notably in China, continued to fuel demand for raw materials,
particularly energy resources, and capital investment in energy-related
production. Detracting from the Portfolio's relative results was its underweight
position in European equities, particularly in Spain, as these markets
appreciated significantly during the year.
Although considerably underweight in fixed income, the Portfolio continued to
benefit from the makeup of its fixed income component. This included a modest
exposure to high yield issues, including U.S. corporate bonds and convertible
securities, and emerging markets debt. The Portfolio maintained its underweight
position in non-U.S.-dollar sovereign debt (notably in Japan), as yields
remained unattractive.
8
What changes were made to the Portfolio during the period?
The Reference Portfolio comprises 60% equities and 40% fixed income securities.
Within our Portfolio, we reduced the total equity allocation from 61% of net
assets to 55%, primarily by decreasing exposure to U.S. and Japanese equities.
This was partially offset by an increase in European and Brazilian equities. We
believe corporate earnings growth rates in the United States will slow and the
sustainability of consumer spending will abate. Our strategy included reducing
the cyclicality of the equity portfolio and taking profits in stocks that had
significantly appreciated, notably in the strong-performing materials and energy
sectors.
Whereas the Portfolio was significantly underweight in fixed income securities
throughout the fiscal year, we did boost our exposure from 22% of net assets to
approximately 32% by period-end with a greater allocation to U.S. Treasury
Inflation Protected Securities (TIPS). (We note that the Portfolio's U.S. fixed
income exposure includes bonds of non-U.S. issuers denominated in U.S. dollars.)
Approximately 3.2% of the Portfolio's net assets was invested in convertible
securities as of December 31, 2006. These securities are reported as a portion
of the Portfolio's fixed income allocation, although some of these securities
may tend to perform similar to equities. Given the aforementioned changes, the
Portfolio's position in cash equivalent securities decreased from 17% of net
assets to 13% over the 12-month period. Cash is actively managed and, as such,
allocations to cash are an integral part of the Portfolio's investment strategy.
Currently, cash is considered zero-duration fixed income and includes short-term
U.S. dollar and non-U.S. dollar fixed income securities and other money
market-type instruments.
How would you characterize the Portfolio's position at the close of the period?
Broadly speaking, compared to its Reference Portfolio, the Portfolio closed the
fiscal year underweight in equities and non-U.S. fixed income securities, and
overweight in cash reserves.
Within the equity segment, the Portfolio was significantly underweight in the
United States, overweight in Asia, and relatively neutral in Europe. From a
sector perspective, the Portfolio was overweight in telecommunications,
industrials, energy and materials; underweight in consumer discretionary,
technology, health care, consumer staples and financials; and relatively neutral
in utilities. The Portfolio's underweight fixed income exposure reflects the
assessment that available yields are insufficiently attractive relative to the
risks of higher inflation and higher interest rates, especially outside the
United States. With respect to currency, we ended the annual period with
underweight positions in the U.S. dollar, Japanese yen and British pound
sterling, a relatively neutral position in the euro, and slightly overweight
positions in the Brazilian real and several Asian currencies.
The Portfolio's equity allocation at year-end -- although underweight relative
to our Reference Portfolio -- was still higher than during most of the
Portfolio's history. Accordingly, we expect that the Portfolio may exhibit a
somewhat higher beta versus the S&P 500 Index and higher volatility in net asset
value than historically has been the case. Nevertheless, given the Portfolio's
current posture, we believe both of these measures should remain below those
typical of most all-equity funds in most market conditions.
Dennis Stattman
Vice President and Senior Portfolio Manager
Dan Chamby
Vice President and Associate Portfolio Manager
================================================================================
BlackRock Government Income Portfolio
================================================================================
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Government Income
Portfolio (formerly Mercury Intermediate Government Bond Portfolio) had a total
return of +4.10%. For the same period, the benchmark Citigroup
Government/Mortgage Index returned +4.26%.
9
Short-term interest rates, which rose steadily between January and June,
declined for most of the remainder of 2006 before backing up sharply in
December. Bond prices move in the opposite direction of yields and, as such,
this meant that the latter half of the fiscal year was generally characterized
by a return to strength for fixed income assets. The improvement in bond prices
came amid a slowdown in U.S. economic growth and the Federal Reserve Board's
(the Fed's) decision at its August 8 meeting to refrain from raising its target
rate after 17 consecutive increases since June 2004. Bond prices found
additional support in moderating oil prices. Between June 30 and November 30,
10-year Treasury yields declined 69 basis points (.69%) from 5.15% to 4.46%.
However, stronger-than-expected economic releases and year-end profit taking
pushed yields higher during December.
For the 12-month period overall, 10-year Treasury note yields rose 32 basis
points to 4.71% and two-year Treasury yields rose 34 basis points to 4.82%.
These yields reflect the inverted shape of the yield curve at year-end. In fact,
for much of 2006, short-term issues had higher yields than longer-term bonds.
In terms of Portfolio performance, our emphasis on the Government National
Mortgage Association (GNMA) project loan sector was a positive contributor.
Given limited issuance, along with a growing investor base and strong demand,
yield spreads on these securities (versus Treasury issues of comparable
maturity) narrowed to their all-time tightest level. This allowed the project
loan sector to generate excess return compared to Treasury securities. Also
contributing positively to performance was our use of total return swaps on the
mortgage-backed securities (MBS) and Treasury indexes. We used this strategy in
conjunction with floating rate London Interbank Offered Rate (LIBOR)
investments, which resulted in total return advantages above those indexes
alone. In a total rate of return swap, we agree to receive the total return of a
particular index while paying the total return of one-month LIBOR. At the same
time, we purchase conservative floating rate LIBOR investments at a spread over
LIBOR. By doing this, we are able to generate a total return profile above and
beyond the index return.
The Portfolio's relatively long duration stance detracted from performance in
the first half of the year as interest rates rose, but provided advantageous in
the third quarter as the market rallied and yields fell. A new management team
assumed responsibility for the portfolio in the fourth quarter and, at that
time, shifted the Portfolio's duration from long to short versus the benchmark.
This was consistent with the team's view that the Fed is likely to remain on
hold, not cut interest rates as markets have priced in, and contributed to
performance as rates moved marginally higher toward year-end.
Finally, our underweighting in MBS hindered relative results as robust demand
from banks caused MBS yield spreads to narrow. This allowed MBS to generate
strong relative performance versus U.S. Treasury securities during the period.
Mortgages were one of the strongest-performing sectors of the fixed income
market for the year.
What changes were made to the Portfolio during the period?
As we continued to benefit from the strong performance of the GNMA project loan
sector, we trimmed our holdings to capture gains. In addition, we increased the
Portfolio's holdings of MBS given the attractive yields available and our belief
that the sector would perform well on a relative basis once the Fed ended its
interest rate-hiking campaign. We felt a break in monetary tightening would
create a more range-bound interest rate environment. Such an environment means
reduced prepayment volatility, lessening MBS duration extension and contraction
risk and thereby creating a positive backdrop for the MBS market. We also added
some exposure to 10-year agency debentures when the sector had become
inexpensive.
As mentioned previously, the new management team reduced duration in the fourth
quarter and also increased the Portfolio's allocation to mortgage issues over
agency issues. Within mortgages, the Portfolio favored 15-year maturities over
30-year maturities and maintained a bias toward higher-coupon mortgage issues.
How would you characterize the Portfolio's position at the close of the period?
At year-end, the Portfolio remained underweight in U.S. agency securities, in
favor of Treasury issues, mortgages and high-quality, short-duration spread
product, including commercial mortgage-backed
10
securities (CMBS), adjustable-rate mortgages and collateralized mortgage
obligations (CMOs). We maintained our preference for high-coupon and 15-year
mortgages over lower-coupon and 30-year mortgages.
At period-end, the Portfolio's primary sector exposures were broken out at
follows: 26% U.S. Treasury securities, 38% pass-through mortgages, 28% CMOs and
4% CMBS. This compared to the Citigroup Government/Mortgage Index's composition
of 37% U.S. Treasury securities, 13% U.S. agency securities and 50% MBS.
Andrew J. Phillips
Portfolio Manager
Eric Pellicciaro
Portfolio Manager
- --------------------------------------------------------------------------------
Effective October 2, 2006, Portfolio Managers Andrew Phillips and Eric
Pellicciaro assumed responsibility for the day-to-day management of the
Portfolio. Mr. Phillips is a Managing Director of and portfolio manager with
BlackRock, Inc. and a member of the firm's Investment Strategy Group. He
joined BlackRock in 1991. Mr. Pellicciaro is a Managing Director of and
portfolio manager with BlackRock and a member of the Investment Strategy
Group. He joined BlackRock in 1996 and joined the Fixed Income Portfolio
Management Group in 1999.
- --------------------------------------------------------------------------------
================================================================================
BlackRock High Income Portfolio
================================================================================
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock High Income Portfolio
(formerly Mercury High Yield Portfolio) had a total return of +8.98%. For the
same period, the benchmark Credit Suisse High Yield Index returned +11.92% and
the Lipper High Current Yield Funds (Variable Products) category had an average
return of +9.09%. (Funds in this Lipper category seek high relative current
yield from fixed income securities, have no quality or maturity restrictions,
and tend to invest in lower-grade debt issues.)
The yield curve was inverted for most of 2006. At the beginning of the year, the
10-year U.S. Treasury note yield stood at 4.39%, two basis points (.02%) below
the 4.41% yield on the two-year Treasury note. At the end of December, the 10-
and two-year Treasuries yielded 4.71% and 4.82%, respectively. Short-term
interest rates were volatile during the period, rising rather steadily between
January and June 2006 before declining through most of the remainder of the
year. The yield on the two-year note peaked at 5.29% in late June 2006, and then
dipped to a low of 4.52% in early December. The 10-year Treasury yield reached a
high of 5.25% late in the second quarter of 2006 before falling to a low of
4.43% in early December.
The Federal Reserve Board (the Fed) raised the target federal funds rate in five
increments of .25% during the year, bringing the target rate from 4.00% to
5.25%. However, the Fed held the rate steady at its meetings in August,
September, October and December.
The high yield market's nearly 12% return for the year was well ahead of the
+4.33% return of the U.S. investment-grade bond market, as measured by the
Lehman Brothers Aggregate Bond Index. The high yield market generally moved
upward, although it did encounter weakness in June. The extent of the market's
decline, however, was not as intense as that experienced by other asset classes
in the middle of 2006. Global equities and emerging markets securities fell
markedly in May. However, the high yield market found support in benign default
rates and lower sensitivity to rising interest rates and, therefore, experienced
less volatility than other equity and fixed income asset classes.
What factors most influenced Portfolio performance?
The Portfolio's relatively conservative positioning hindered performance
somewhat, as lower-quality, longer-duration securities outperformed the broader
market during the year. Other detractors included an
11
overweight in the housing sector, which has been plagued by weakening
fundamentals, and an underweight in autos as General Motors Corp.'s bonds, a
large complex of securities, rallied strongly. On the positive side of the
ledger, we saw good results from our holdings in the manufacturing, media --
non-cable, paper and chemicals sectors.
What changes were made to the Portfolio during the period?
We sold some of our holdings in packaging, which resulted in a reduction in that
sector from an overweight to a market weight. We were concerned about the high
cost of resin, a key factor affecting the profitability of plastic packaging
manufacturers. Meanwhile, we increased exposure to the chemicals sector, moving
from a market weight to an overweight in the third quarter. In a contrarian
move, we bought several bonds in the out-of-favor homebuilder and building
products manufacturer sectors, mostly in the secondary market.
In the final quarter of the year, the Portfolio's new management team increased
allocations to certain lower-quality credit tiers, establishing overweight
positions in B-rated and CCC-rated credits. This was done in an effort to
capitalize on positive returns being generated by these segments of the high
yield market. The Portfolio's position in the automobile sector also was
increased, bringing the allocation from an underweight to a modest overweight
relative to the benchmark.
How would you characterize the Portfolio's position at the close of the period?
At December 31, 2006, the Portfolio had overweight positions in the wireless,
paper, technology and independent energy sectors. Conversely, it had noticeable
underweight positions in the electric, media -- cable, supermarkets and lodging
sectors.
We believe the Portfolio is well positioned to take advantage of opportunities
in the high yield market in 2007. The Portfolio had an average credit rating of
B+ at year-end, and we believe our disciplined yet flexible approach positions
the Portfolio to benefit from the potential outperformance of lower-quality
names while limiting credit and default risk.
Jeffrey Gary
Portfolio Manager
Scott Amero
Portfolio Manager
- --------------------------------------------------------------------------------
Effective October 2, 2006, Portfolio Managers Jeffrey Gary and Scott Amero
assumed responsibility for the day-to-day management of the Portfolio. Mr.
Gary is a Managing Director and portfolio manager with BlackRock, Inc., where
he is head of the high yield team and a member of the firm's Investment
Strategy Group. Prior to joining BlackRock in 2003, Mr. Gary most recently had
been a Managing Director and portfolio manager with AIG (American General)
Investment Group. Mr. Amero is a Managing Director of BlackRock, co-head of
the fixed income portfolio management team and a member of the Management
Committee and the Investment Strategy Group. He is a senior strategist and
portfolio manager with responsibility for overseeing all fixed income sector
strategy and the overall management of client portfolios. Mr. Amero joined
BlackRock in 1990.
- --------------------------------------------------------------------------------
================================================================================
BlackRock Large Cap Core Portfolio
================================================================================
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Large Cap Core
Portfolio (formerly Mercury Large Cap Core Strategy Portfolio) returned +15.06%,
slightly behind the +15.46% return of the benchmark Russell 1000 Index.
Portfolio results exceeded the +11.78% average return of the Lipper Multi-Cap
Core Funds (Variable Products) category for the same period. (Funds in this
Lipper category invest in a variety of market-capitalization ranges without
concentrating 75% of their equity assets in any one
12
market-capitalization range over an extended period of time. Multi-Cap Core
funds typically have an average price-to-earnings ratio, price-to-book ratio and
three-year sales-per-share growth value compared to the S&P SuperComposite 1500
Index.)
The Portfolio invests primarily in a diversified portfolio of large cap
companies selected from securities found in the Russell 1000 Index. Successful
stock selection contributed positively to returns within the materials sector,
led by shares of metals and mining holdings NuCor and Phelps Dodge Corp. In the
industrials sector, strong performance came from aerospace/defense company
Lockheed Martin Corp., and in the consumer discretionary sector, cable
television provider The DirectTV Group, Inc. and retailer JCPenney Co., Inc.
were both significant contributors to performance. The Portfolio benefited from
an overweight position in the energy sector and also from our avoidance of
Sprint Nextel Corp., a benchmark holding that fared poorly during the period. In
other sectors, individual holdings that contributed positively included
semiconductor company Nvidia Corp., networking giant Cisco Systems, Inc. and
computer equipment company Hewlett-Packard Co., all in information technology,
and Kerr-McGee Corp. and Marathon Oil Corp., both in the energy sector.
Positive results from successful stock selection in the financials and
information technology sectors were partially offset by the negative impact of
the Portfolio's overall allocations to these sectors (i.e., underweighting
financial and telecommunication service holdings and overweighting information
technology holdings). Stock selection and allocation decisions in health care
(overweight) and consumer staples (underweight) also hindered performance.
Individual stocks that detracted from performance during the fiscal period
included agricultural company Archer Daniels Midland Co., energy companies
Sunoco, Inc. and Frontier Oil Corp., and technology companies Advanced Micro
Devices, Inc., Dell, Inc., National Semiconductor Corp. and Apple Computer, Inc.
Because the Portfolio invests in large-capitalization stocks that represent a
significant part of the U.S. stock market, it was influenced by the same
economic and market events that affected the broader stock market during the
period. The year featured a slowdown in economic growth, a Federal Reserve Board
(the Fed) that finally paused in its rate-hiking campaign, renewed threats of
inflation and surprisingly strong corporate earnings. Amid these crosscurrents,
U.S. stock markets started 2006 on a good note, experienced their first
significant correction since 2002 and then recovered to end the year solidly in
the black. The market correction that began in May proved to be difficult for
the Portfolio. The market environment was challenging for cyclical stocks, and
the Portfolio lost ground due to its procyclical positioning. We made modest
adjustments to the Portfolio as a result, and relative performance did improve.
What changes were made to the Portfolio during the period?
Overall, we continued our efforts to identify companies with favorable growth
characteristics and earnings developments, selling at attractive relative
valuations. As a result of our bottom-up stock-selection process, we increased
the Fund's position in the consumer discretionary sector and reduced exposure to
the information technology, energy, health care, industrials, materials and
utilities sectors.
The largest purchases during the period, based on capital expended, included
JPMorgan Chase & Co., Johnson & Johnson, International Business Machines Corp.,
Citigroup, Inc. and Merck & Co, Inc. The largest sales, based on capital raised,
included ConocoPhillips, Intel Corp., Amgen, Inc., Boeing Co. and The Coca-Cola
Co. These transactions reflect our ongoing refinement of the Portfolio, as we
continue to look for stocks that best meet our investment criteria while pruning
those that have deteriorated versus our original assessment.
How would you characterize the Portfolio's position at the close of the period?
We believe the U.S. economy remains on track for a soft landing, while growth
outside the United States remains reasonably strong. The housing-related growth
slowdown, coupled with a continued easing of inflation pressures, should permit
the Fed to lower interest rates some time around mid-year. Corporate profits
should move up thanks in part to non-U.S. economic strength, but the rate of
gain is expected to slow noticeably, as record-high profit margins will be
difficult to sustain.
13
In our opinion, equities should enjoy another year of good returns in 2007.
Assuming a soft landing, investors may be willing to extend time horizons,
permitting some upward valuation of mildly rising earnings. The key will be for
inflation expectations to remain well behaved. The environment should provide a
constructive liquidity backdrop, encouraging continued dividend increases, stock
buy-backs and merger-and-acquisition activity. As U.S. growth slows and interest
rate differentials work against the U.S. (that is, the Fed contemplates cutting
rates while foreign central banks raise rates), the path of least resistance for
the dollar is down, hopefully in a gradual way.
2007 will likely feature continued rotation away from domestic growth and the
consumer toward business fixed investments, exports and other sources of
non-U.S. growth. Therefore, in another year where security selection will be
critical, we prefer companies with exposure to foreign sales, those that have
the ability to increase dividends, and those that are generally larger and of
higher quality. We have a particularly constructive view of the energy, health
care and information technology sectors. As of December 31, 2006, the
Portfolio's largest overweights relative to the benchmark were in information
technology, energy, health care and consumer discretionary, and the largest
underweights were in financials, industrials, utilities, consumer staples and
telecommunication services.
Robert C. Doll, Jr.
President, Director and Portfolio Manager
14
BlackRock Series Fund, Inc.
Performance Information
As of December 31, 2006
==========================================================================================================================
Recent Performance Results*
- --------------------------------------------------------------------------------------------------------------------------
6-Month 12-Month
Total Total Standardized
Return Return 30-Day Yield
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio +10.21% +14.09% --
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Bond Portfolio + 5.10 + 4.37 4.86%
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio + 3.64 + 4.78 --
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio + 9.13 +16.89 --
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio + 4.79 + 4.10 5.00
- --------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio + 6.06 + 8.98 7.59
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio +11.67 +15.06 --
- --------------------------------------------------------------------------------------------------------------------------
==========================================================================================================================
Average Annual Total Returns*
- --------------------------------------------------------------------------------------------------------------------------
One Five Years Ten Years
Year Ended Ended Ended
12/31/06 12/31/06 12/31/06
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio +14.09% + 6.46% +6.77%
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Bond Portfolio + 4.37 + 5.11 +5.73
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio + 4.78 + 2.32 +8.15
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio +16.89 +13.07 +8.57
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio + 4.10 + 4.71 +5.76
- --------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio + 8.98 + 8.40 +4.84
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio +15.06 +10.50 +9.55
- --------------------------------------------------------------------------------------------------------------------------
* Cumulative and average annual total investment returns are based on
changes in net asset value for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend/payable date. Insurance-related fees and expenses are not
reflected in these returns.
Past results shown should not be considered a representation of future
performance.
15
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment
================================================================================
BlackRock Balanced Capital Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock Lehman
Balanced Brothers
Capital Aggregate S&P 500(R)
Date Portfolio+ Bond Index+++ Index++
- ---- --------- ------------- ----------
12/96 $10000 $ 10000 $10000
12/97 11917 10965 13336
12/98 13207 11918 17148
12/99 15875 11820 20756
12/00 15095 13194 18866
12/01 14075 14308 16624
12/02 12260 15776 12950
12/03 14870 16423 16664
12/04 16155 17136 18478
12/05 16875 17552 19385
12/06 $19252 $ 18313 $22447
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Balanced Capital Portfolio invests in U.S. and foreign
equity and fixed income securities.
++ This unmanaged Index covers 500 industrial, utility, transportation and
financial companies of the U.S. markets (mostly NYSE issues), representing
about 75% of NYSE market capitalization and 30% of NYSE issues.
+++ This unmanaged market-weighted Index is comprised of U.S. government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and investment
grade (rated BBB or better) corporate bonds.
S&P 500 is a registered trademark of the McGraw-Hill Companies.
Past performance is not indicative of future results.
16
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Continued)
================================================================================
BlackRock Bond Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock Lehman Brothers
Bond Aggregate
Date Portfolio+ Bond Index++
- ---- ---------- ---------------
12/96 $10000 $10000
12/97 10876 10965
12/98 11793 11918
12/99 11517 11820
12/00 12618 13194
12/01 13603 14308
12/02 14954 15776
12/03 15691 16423
12/04 16392 17136
12/05 16721 17552
12/06 $17451 $18313
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Bond Portfolio normally invests at least 80% of its
net assets in fixed income securities of any kind.
++ This unmanaged market-weighted Index is comprised of U.S. Government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and investment
grade (rated BBB or better) corporate bonds.
Past performance is not indicative of future results.
BlackRock Fundamental Growth Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Fundamental
Growth S&P 500
Date Portfolio+ Index++
- ---- ----------- --------
12/96 $10000 $10000
12/97 13375 13336
12/98 18482 17148
12/99 25688 20756
12/00 24049 18866
12/01 19525 16624
12/02 13965 12950
12/03 17985 16664
12/04 19335 18478
12/05 20893 19385
12/06 $21893 $22447
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Fundamental Growth Portfolio invests in equity
securities of U.S. companies of any size, but emphasizes equity securities
of companies with the potential to achieve above-average earnings growth.
++ This unmanaged Index covers 500 industrial, utility, transportation and
financial companies of the U.S. markets (mostly NYSE issues), representing
about 75% of NYSE market capitalization and 30% of NYSE issues.
Past performance is not indicative of future results.
17
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Continued)
================================================================================
BlackRock Global Allocation Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Global FTSE
Allocation World Reference
Date Portfolio+ Index++ Portfolio+++
- ---- ---------- ------- ------------
12/96 $10000 $10000 $10000
12/97 11172 11539 11293
12/98 12233 14197 13538
12/99 14846 17889 15334
12/00 13447 15907 14669
12/01 12314 13340 13526
12/02 11327 10796 12745
12/03 15319 14457 15706
12/04 17569 16779 17524
12/05 19473 18678 18251
12/06 $22762 $22687 $20760
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Global Allocation Portfolio invests in a portfolio of
equity, debt and money market securities.
++ This unmanaged market capitalization-weighted Index is comprised of nearly
2,000 equities from 24 countries in 12 regions, including the United
States.
+++ This unmanaged Reference Portfolio is a weighted Index comprised of 36% of
the unmanaged Standard & Poor's 500 Index, 24% of the FTSE World Index
(Ex-U.S.) Equities, 24% of the Merrill Lynch Treasury Index GA05, and 16%
of the Citigroup World Government Bond Index (Ex-U.S.).
Past performance is not indicative of future results.
BlackRock Government Income Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Government Citigroup
Income Government/Mortgage
Date Portfolio+ Index++
- ---- ---------- -------------------
12/96 $10000 $10000
12/97 10839 10950
12/98 11806 11909
12/99 11659 11838
12/00 13013 13299
12/01 13914 14321
12/02 15276 15781
12/03 15619 16216
12/04 16265 16887
12/05 16826 17344
12/06 $17515 $18083
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Government Income Portfolio invests at least 80% of
its net assets in bonds and other debt securities that are issued or
guaranteed by the U.S. government or U.S. government agencies or
government-sponsored enterprises.
++ This unmanaged Index is comprised of 30-year and 15-year GNMA, FNMA and
FHLMC securities, and FNMA and FHLMC debentures and treasury securities.
Past performance is not indicative of future results.
18
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Concluded)
================================================================================
BlackRock High Income Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock Credit Suisse
High Income High Yield
Date Portfolio+ Index++
- ---- ---------- -------------
12/96 $10000 $10000
12/97 11068 11263
12/98 10498 11328
12/99 11114 11700
12/00 10541 11090
12/01 10720 11734
12/02 10353 12098
12/03 12866 15477
12/04 14418 17327
12/05 14727 17719
12/06 $16049 $19831
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock High Income Portfolio invests under normal
circumstances at least 80% of its net assets in fixed income securities
with lower credit, which means credit quality equivalent to or below the
fourth highest rating level of recognized rating agencies.
++ This unmanaged market-weighted Index is comprised of high-yield debt
securities rated BBB or lower.
Past performance is not indicative of future results.
BlackRock Large Cap Core Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Large Cap Core Russell 1000(R)
Date Portfolio+ Index++
- ---- -------------- ---------------
12/96 $10000 $10000
12/97 12247 13285
12/98 14152 16875
12/99 18628 20404
12/00 16791 18815
12/01 15117 16473
12/02 12283 12906
12/03 16278 16763
12/04 19069 18675
12/05 21641 19845
12/06 $24900 $22914
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Large Cap Core Portfolio generally invests at least
80% of its net assets in a diversified portfolio of equity securities,
primarily common stocks, of large cap companies included at the time of
purchase in the Russell 1000 Index.
++ This unmanaged Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of
the total market capitalization of the Russell 3000 Index. The Portfolio
is managed to this broad-based Index, which provides for a better
comparison relative to the S&P 500 Index.
Russell 1000 is a registered trademark of the Frank Russell Company.
Past performance is not indicative of future results.
19
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Disclosure of Expenses
================================================================================
Shareholders of each Portfolio may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees and other Portfolio
expenses. The following example (which is based on a hypothetical investment of
$1,000 invested on July 1, 2006 and held through December 31, 2006) is intended
to assist shareholders both in calculating expenses based on an investment in
each Portfolio and in comparing these expenses with similar costs of investing
in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders' can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on each Portfolio's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders' ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the second table 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.
==============================================================================================================================
Expenses Paid
Beginning Ending Account During the Period* Annualized
Account Value Value July 1, 2006 to Expense
Actual July 1, 2006 December 31, 2006 December 31, 2006 Ratio
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio $1,000 $1,102.10 $2.15 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Bond Portfolio $1,000 $1,050.90 $2.57 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio $1,000 $1,036.40 $2.23 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio $1,000 $1,091.30 $2.55 .49%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio $1,000 $1,047.90 $2.26 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio $1,000 $1,060.60 $2.58 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio $1,000 $1,116.70 $2.27 .43%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Money Market Portfolio $1,000 $1,024.50 $2.08 .41%
- ------------------------------------------------------------------------------------------------------------------------------
==============================================================================================================================
Hypothetical (5% annual return before expenses)**
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio $1,000 $1,022.86 $2.07 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Bond Portfolio $1,000 $1,022.59 $2.54 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio $1,000 $1,022.74 $2.21 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio $1,000 $1,022.46 $2.47 .49%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio $1,000 $1,022.89 $2.23 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio $1,000 $1,022.59 $2.54 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio $1,000 $1,022.76 $2.17 .43%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Money Market Portfolio $1,000 $1,023.04 $2.08 .41%
- ------------------------------------------------------------------------------------------------------------------------------
* Expenses for each Portfolio are equal to the annualized expense ratio,
multiplied by the average account value over the period, multiplied by
182/365 for BlackRock Balanced Capital Portfolio, BlackRock Fundamental
Growth Portfolio, BlackRock Global Allocation Portfolio and BlackRock
Large Cap Core Portfolio, and 183/365 for BlackRock Bond Portfolio,
BlackRock Government Income Portfolio, BlackRock High Income Portfolio and
BlackRock Money Market Portfolio (to reflect the one-half year period
shown).
** Hypothetical 5% annual return before expenses is calculated by pro-rating
the number of days in the most recent fiscal half year divided by 365.
20
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2006
================================================================================
Percent of
Total
Asset Mix for BlackRock Balanced Capital Portfolio Investments
- ---------------------------------------------------------------------------------------------------------------------------
Common Stocks........................................................................................... 61.5%
U.S. Government Agency Mortgage-Backed Securities....................................................... 8.4
Asset-Backed Securities................................................................................. 7.0
Non-Government Agency Mortgage-Backed Securities........................................................ 6.0
U.S. Government & Agency Obligations.................................................................... 4.8
Corporate Bonds......................................................................................... 3.9
U.S. Government Agency Mortgage-Backed Securities--Collateralized Mortgage Obligations.................. 1.4
Preferred Securities.................................................................................... 0.2
Foreign Government Obligations.......................................................................... 0.1
Other*.................................................................................................. 6.7
- ---------------------------------------------------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments and options.
- ---------------------------------------------------------------------------------------------------------------------------
Percent of
Total
Asset Mix for BlackRock Bond Portfolio Investments
- ---------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities................................................................................. 29.0%
U.S. Government Agency Mortgage-Backed Securities....................................................... 25.5
Non-Government Agency Mortgage-Backed Securities........................................................ 16.5
Corporate Bonds......................................................................................... 10.7
U.S. Government & Agency Obligations.................................................................... 8.9
U.S. Government Agency Mortgage-Backed Securities--Collateralized Mortgage Obligations.................. 6.4
Preferred Securities.................................................................................... 0.7
Foreign Government Obligations.......................................................................... 0.2
Other*.................................................................................................. 2.1
- ---------------------------------------------------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments and options.
- ---------------------------------------------------------------------------------------------------------------------------
Percent of
Total
Sector Representation for BlackRock Fundamental Growth Portfolio Investments
- ---------------------------------------------------------------------------------------------------------------------------
Information Technology.................................................................................. 25.0%
Consumer Discretionary.................................................................................. 16.1
Financials.............................................................................................. 14.8
Health Care............................................................................................. 13.2
Industrials............................................................................................. 10.9
Energy.................................................................................................. 7.3
Materials............................................................................................... 4.8
Consumer Staples........................................................................................ 3.0
Other*.................................................................................................. 4.9
- ---------------------------------------------------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
For Portfolio compliance purposes, the Portfolio's sector classifications refer
to any one or more of the sector sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by
Portfolio management. This definition may not apply for purposes of this report,
which may combine sector sub-classifications for reporting ease.
21
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2006 (Continued)
================================================================================
Percent of Reference
Total Portfolio+
Asset Allocation for BlackRock Global Allocation Portfolio Investments Percentages
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Equities........................................................................... 19.1%* 36.0%
European Equities....................................................................... 13.7 14.4
Pacific Basin Equities.................................................................. 18.4 7.4
Other Equities.......................................................................... 3.8 2.2
Total Equities.......................................................................... 55.0 60.0
U.S. Dollar Denominated Fixed Income Securities......................................... 23.1 24.0
U.S. Issuer........................................................................... 19.7 --
Non-U.S. Issuer....................................................................... 3.4 --
Non-U.S. Dollar Denominated Fixed Income Securities..................................... 8.4 16.0
Total Fixed Income Securities........................................................... 31.5 40.0
Cash & Cash Equivalents................................................................. 13.5** --
- ----------------------------------------------------------------------------------------------------------------------------
* Includes value of financial futures contracts.
** Cash & Cash Equivalents are reduced by the market (or nominal) value of
long financial futures contracts.
+ The unmanaged Reference Portfolio is an unmanaged weighted index comprised
as follows: 36% of the Standard & Poor's 500 Index; 24% FTSE World Index
(Ex-U.S.) Equities; 24% Merrill Lynch Treasury Index GA05; and 16%
Citigroup World Government Bond Index (Ex-U.S.).
- ----------------------------------------------------------------------------------------------------------------------------
Percent of
Total
Asset Mix for BlackRock Government Income Portfolio Investments
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities....................................................... 39.4%
U.S. Government Agency Mortgage-Backed Securities -- Collateralized Mortgage Obligations................ 23.5
U.S. Government Obligations............................................................................. 22.0
Non-Government Agency Mortgage-Backed Securities........................................................ 11.9
Asset-Backed Securities................................................................................. 3.2
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Percent of
Total
Quality Ratings by S&P Rating/Moody's Rating for BlackRock High Income Portfolio Investments
- ----------------------------------------------------------------------------------------------------------------------------
BBB/Baa................................................................................................. 2.6%
BB/Ba................................................................................................... 25.2
B/B..................................................................................................... 55.7
CCC/Caa................................................................................................. 11.2
NR (Not Rated).......................................................................................... 0.6
Other*.................................................................................................. 4.7
- ----------------------------------------------------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments, common stocks and
preferred stocks.
22
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2006 (Concluded)
================================================================================
Percent of
Total
Sector Representation for BlackRock Large Cap Core Portfolio Investments
- ---------------------------------------------------------------------------------------------------------------------------
Information Technology............................................................................ 24.1%
Financials........................................................................................ 15.3
Health Care....................................................................................... 15.1
Energy............................................................................................ 14.2
Consumer Discretionary............................................................................ 12.9
Industrials....................................................................................... 6.4
Consumer Staples.................................................................................. 4.8
Materials......................................................................................... 3.0
Other*............................................................................................ 4.2
- ---------------------------------------------------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
For Portfolio compliance purposes, the Portfolio's sector classifications refer
to any one or more of the sector sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by
Portfolio management. This definition may not apply for purposes of this report,
which may combine sector sub-classifications for reporting ease.
- --------------------------------------------------------------------------------------------------------------------------
As of As of
Portfolio Composition* for BlackRock Money Market Portfolio 12/31/06 12/31/05
- --------------------------------------------------------------------------------------------------------------------------
Bank Notes.............................................................................. 1.7% 3.9%
Certificates of Deposit................................................................. 5.0 --
Certificate of Deposit -- Euro.......................................................... -- 2.3
Certificate of Deposit -- Yankee........................................................ 3.0 3.0
Commercial Paper........................................................................ 63.6 54.3
Corporate Bonds......................................................................... -- 1.3
Funding Agreements...................................................................... 7.4 8.4
Master Notes............................................................................ -- 0.9
Medium-Term Notes....................................................................... 9.6 8.5
Repurchase Agreements................................................................... 2.5 4.4
U.S. Government, Agency and Instrumentality Obligations -- Non-Discount.................. 7.1 12.6
Other Assets Less Liabilities........................................................... 0.1 0.4
----- -----
Total................................................................................... 100.0% 100.0%
===== =====
- --------------------------------------------------------------------------------------------------------------------------
* As a percent of net assets.
23
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & 150,000 Honeywell International, Inc................................. $ 6,786,000
Defense--2.7% 130,000 Raytheon Co.................................................. 6,864,000
150,000 United Technologies Corp..................................... 9,378,000
-----------
23,028,000
- ---------------------------------------------------------------------------------------------------------------------------
Automobiles--0.6% 70,000 Harley-Davidson, Inc......................................... 4,932,900
- ---------------------------------------------------------------------------------------------------------------------------
Beverages--1.6% 135,000 Anheuser-Busch Cos., Inc..................................... 6,642,000
335,000 Coca-Cola Enterprises, Inc................................... 6,840,700
-----------
13,482,700
- ---------------------------------------------------------------------------------------------------------------------------
Building Products--1.0% 300,000 Masco Corp................................................... 8,961,000
- ---------------------------------------------------------------------------------------------------------------------------
Capital Markets--3.5% 67,500 Legg Mason, Inc.............................................. 6,415,875
265,000 Mellon Financial Corp........................................ 11,169,750
150,000 Morgan Stanley............................................... 12,214,500
-----------
29,800,125
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals--1.1% 200,000 E.I. du Pont de Nemours & Co................................. 9,742,000
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--1.2% 300,000 Wells Fargo & Co............................................. 10,668,000
- ---------------------------------------------------------------------------------------------------------------------------
Communications 425,000 Cisco Systems, Inc. (a)...................................... 11,615,250
Equipment--2.2% 375,000 Juniper Networks, Inc. (a)................................... 7,102,500
-----------
18,717,750
- ---------------------------------------------------------------------------------------------------------------------------
Computers & 245,000 Hewlett-Packard Co........................................... 10,091,550
Peripherals--2.9% 100,000 International Business Machines Corp......................... 9,715,000
1,000,000 Sun Microsystems, Inc. (a)................................... 5,420,000
-----------
25,226,550
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial 235,000 Citigroup, Inc............................................... 13,089,500
Services--2.7% 205,000 JPMorgan Chase & Co.......................................... 9,901,500
-----------
22,991,000
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 200,000 AT&T, Inc.................................................... 7,150,000
Services--1.8% 225,000 Verizon Communications, Inc.................................. 8,379,000
-----------
15,529,000
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment & 100,000 GlobalSantaFe Corp........................................... 5,878,000
Services--2.0% 65,000 Schlumberger Ltd............................................. 4,105,400
170,000 Weatherford International Ltd. (a)........................... 7,104,300
-----------
17,087,700
- ---------------------------------------------------------------------------------------------------------------------------
Food Products--4.1% 200,000 Cadbury Schweppes Plc (b).................................... 8,586,000
100,000 General Mills, Inc........................................... 5,760,000
35,000 Nestle SA Registered Shares.................................. 12,437,423
300,000 Unilever NV (b).............................................. 8,175,000
-----------
34,958,423
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 275,000 Baxter International, Inc.................................... 12,757,250
Supplies--1.5%
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 100,000 AmerisourceBergen Corp....................................... 4,496,000
Services--0.5%
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 300,000 McDonald's Corp.............................................. 13,299,000
Leisure--1.6%
- ---------------------------------------------------------------------------------------------------------------------------
Household Durables--0.3% 65,000 Sony Corp. (b)............................................... 2,783,950
- ---------------------------------------------------------------------------------------------------------------------------
Household Products--1.5% 195,000 Kimberly-Clark Corp.......................................... 13,250,250
- ---------------------------------------------------------------------------------------------------------------------------
IT Services--1.1% 250,000 Accenture Ltd. Class A....................................... 9,232,500
- ---------------------------------------------------------------------------------------------------------------------------
Industrial 85,000 3M Co........................................................ 6,624,050
Conglomerates--4.7% 335,000 General Electric Co.......................................... 12,465,350
135,000 Textron, Inc................................................. 12,658,950
300,000 Tyco International Ltd....................................... 9,120,000
-----------
40,868,350
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--6.1% 215,000 ACE Ltd...................................................... 13,022,550
180,000 American International Group, Inc............................ 12,898,800
165,000 Endurance Specialty Holdings Ltd............................. 6,035,700
24
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Insurance (concluded) 200,000 Genworth Financial, Inc. Class A ............................ $ 6,842,000
100,000 Prudential Financial, Inc. .................................. 8,586,000
90,000 RenaissanceRe Holdings Ltd. ................................. 5,400,000
------------
52,785,050
- ---------------------------------------------------------------------------------------------------------------------------
Internet Software 250,000 Yahoo! Inc. (a) ............................................. 6,385,000
& Services--0.8%
- ---------------------------------------------------------------------------------------------------------------------------
Machinery--0.9% 165,000 Dover Corp................................................... 8,088,300
- ---------------------------------------------------------------------------------------------------------------------------
Media--1.8% 100,000 CBS Corp. Class B............................................ 3,118,000
165,000 Comcast Corp. Special Class A (a)............................ 6,910,200
13,750 Idearc, Inc. (a)............................................. 393,938
150,000 Walt Disney Co............................................... 5,140,500
------------
15,562,638
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.7% 205,000 Alcoa, Inc................................................... 6,152,050
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 120,000 Devon Energy Corp............................................ 8,049,600
Fuels--3.8% 80,000 EnCana Corp.................................................. 3,676,000
80,000 Exxon Mobil Corp............................................. 6,130,400
200,000 Murphy Oil Corp.............................................. 10,170,000
70,000 Total SA (b)................................................. 5,034,400
------------
33,060,400
- ---------------------------------------------------------------------------------------------------------------------------
Paper & Forest 100,000 International Paper Co....................................... 3,410,000
Products--1.2% 150,000 MeadWestvaco Corp............................................ 4,509,000
35,000 Weyerhaeuser Co.............................................. 2,472,750
------------
10,391,750
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--3.2% 100,000 GlaxoSmithKline Plc (b)...................................... 5,276,000
100,000 Pfizer, Inc.................................................. 2,590,000
305,000 Schering-Plough Corp......................................... 7,210,200
250,000 Wyeth........................................................ 12,730,000
------------
27,806,200
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & 210,000 Applied Materials, Inc....................................... 3,874,500
Semiconductor 200,000 Intersil Corp. Class A....................................... 4,784,000
------------
Equipment--1.0% 8,658,500
- ---------------------------------------------------------------------------------------------------------------------------
Software--2.0% 85,000 Electronic Arts, Inc. (a).................................... 4,280,600
165,000 Microsoft Corp............................................... 4,926,900
365,000 Symantec Corp. (a)(m)........................................ 7,610,250
------------
16,817,750
- ---------------------------------------------------------------------------------------------------------------------------
Specialty Retail--1.3% 325,000 Limited Brands............................................... 9,405,500
50,000 Office Depot, Inc. (a)....................................... 1,908,500
------------
11,314,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$408,075,863)--61.4% 528,834,086
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Securities
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Capital Trusts
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.0% $ 335,000 BAC Capital Trust VI, 5.625% due 3/08/2035................... 317,119
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 340,000 Pemex Project Funding Master Trust,
Fuels--0.1% 7.375% due 12/15/2014..................................... 374,340
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Trusts
(Cost--$687,849)--0.1% 691,459
- ---------------------------------------------------------------------------------------------------------------------------
Shares
Held Preferred Stocks
- ---------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.1% 20,800 Fannie Mae, Series O, 7%..................................... 1,108,900
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$1,157,000)--0.1% 1,108,900
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Securities
(Cost--$1,844,849)--0.2% 1,800,359
- ---------------------------------------------------------------------------------------------------------------------------
25
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Fixed Income Securities
- ---------------------------------------------------------------------------------------------------------------------------
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & $ 375,000 Honeywell International, Inc., 5.70% due 3/15/2036........... $ 372,851
Defense--0.0% 10,000 Raytheon Co., 8.30% due 3/01/2010............................ 10,857
----------
383,708
- ---------------------------------------------------------------------------------------------------------------------------
Airlines--0.0% 231,547 American Airlines, Inc. Series 2003-1,
3.857% due 1/09/2012....................................... 224,716
- ---------------------------------------------------------------------------------------------------------------------------
Building Products--0.0% 130,000 Momentive Performance Materials, Inc.,
10.125% due 12/01/2014 (d)................................. 130,650
- ---------------------------------------------------------------------------------------------------------------------------
Capital Markets--0.0% 255,000 Mellon Funding Corp., 4.875% due 6/15/2007................... 254,545
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 620,000 Barclays Bank Plc, 8.55% (d)(k).............................. 693,809
435,000 Corporacion Andina de Fomento, 6.875% due 3/15/2012.......... 462,589
2,850,000 Eksportfinans A/S, 5.125% due 10/26/2011..................... 2,853,508
----------
4,009,906
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Finance--0.2% 1,575,000 HSBC Finance Corp., 6.50% due 11/15/2008..................... 1,610,025
305,000 MBNA Corp., 4.625% due 9/15/2008............................. 301,366
----------
1,911,391
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial 590,000 Bank of America Corp., 4.875% due 9/15/2012.................. 578,209
Services--0.6% 990,000 Citigroup, Inc., 5.625% due 8/27/2012........................ 1,004,324
280,000 JPMorgan Chase & Co., 4.891% due 9/01/2015 (c)............... 274,366
Sigma Finance Corp. (c)(h):
2,300,000 7.374% due 8/15/2011....................................... 2,300,000
1,100,000 7.364% due 3/31/2014....................................... 1,103,675
----------
5,260,574
- ---------------------------------------------------------------------------------------------------------------------------
Diversified 520,000 AT&T, Inc., 6.45% due 6/15/2034.............................. 527,710
Telecommunication 330,000 BellSouth Corp., 6% due 11/15/2034........................... 316,837
Services--0.3% 280,000 Deutsche Telekom International Finance BV,
8.25% due 6/15/2030........................................ 344,215
250,000 GTE Corp., 6.84% due 4/15/2018............................... 265,777
515,000 TELUS Corp., 7.50% due 6/01/2007............................. 518,812
405,000 Telecom Italia Capital SA, 6% due 9/30/2034.................. 367,321
----------
2,340,672
- ---------------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 175,000 Jersey Central Power & Light Co., 6.40% due 5/15/2036........ 181,748
335,000 Nevada Power Co., 6.65% due 4/01/2036........................ 348,011
350,000 Progress Energy, Inc., 5.625% due 1/15/2016.................. 349,185
405,000 Public Service Co. of New Mexico, 4.40% due 9/15/2008........ 397,580
460,000 Sierra Pacific Power Co., 6% due 5/15/2016................... 461,004
423,000 Southern California Edison Co., 5.625% due 2/01/2036......... 409,466
----------
2,146,994
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment & 300,000 Weatherford International Ltd., 5.50% due 2/15/2016.......... 291,407
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.0% 450,000 Panhandle Eastern Pipe Line Series B, 2.75% due 3/15/2007.... 447,341
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 315,000 UnitedHealth Group, Inc., 5.80% due 3/15/2036................ 309,745
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--0.1% 450,000 Hutchison Whampoa International (03/33) Ltd.,
7.45% due 11/24/2033 (d)................................... 518,863
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--0.2% 470,000 American International Group, Inc., 6.25% due 5/01/2036...... 499,365
620,000 Metlife, Inc., 6.40% due 12/15/2036 (c)...................... 622,856
235,000 Principal Life Global Funding I, 3.625% due 4/30/2008 (d).... 229,283
----------
1,351,504
- ---------------------------------------------------------------------------------------------------------------------------
Media--0.5% Comcast Corp.:
505,000 5.85% due 1/15/2010........................................ 512,047
625,000 6.50% due 1/15/2017........................................ 652,201
365,000 Cox Communications, Inc., 7.125% due 10/01/2012.............. 389,114
145,000 Idearc, Inc., 8% due 11/15/2016 (d).......................... 147,175
News America, Inc.:
470,000 6.40% due 12/15/2035....................................... 466,914
830,000 6.75% due 1/09/2038........................................ 882,656
910,000 Time Warner Companies, Inc., 9.125% due 1/15/2013............ 1,060,141
----------
4,110,248
- ---------------------------------------------------------------------------------------------------------------------------
26
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
- ---------------------------------------------------------------------------------------------------------------------------
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Multi-Utilities--0.0% $ 80,000 Ameren Corp., 4.263% due 5/15/2007........................... $ 79,584
215,000 Xcel Energy, Inc., 6.50% due 7/01/2036....................... 227,157
-----------
306,741
- ---------------------------------------------------------------------------------------------------------------------------
Office Electronics--0.1% 540,000 Xerox Corp., 6.40% due 3/15/2016............................. 551,475
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 295,000 Colonial Pipeline Co., 7.63% due 4/15/2032 (d)............... 366,330
Fuels--0.6% 320,000 Consolidated Natural Gas Co., 5% due 12/01/2014.............. 307,695
420,000 Kern River Funding Corp., 4.893% due 4/30/2018 (d)........... 407,736
215,000 Motiva Enterprises LLC, 5.20% due 9/15/2012 (d).............. 212,306
585,000 Northwest Pipeline Corp., 7% due 6/15/2016................... 611,325
1,750,000 Pemex Project Funding Master Trust,
6.66% due 6/15/2010 (c)(d)................................. 1,796,375
440,000 Petro-Canada, 5.95% due 5/15/2035............................ 417,226
240,000 Sabine Pass LNG LP, 7.50% due 11/30/2016 (d)................. 239,100
765,000 Ultramar Diamond Shamrock Corp., 6.75% due 10/15/2037........ 821,192
-----------
5,179,285
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.1% 450,000 Bristol-Myers Squibb Co., 5.875% due 11/15/2036.............. 442,813
10,000 Eli Lilly & Co., 7.125% due 6/01/2025........................ 11,665
450,000 Wyeth, 6% due 2/15/2036...................................... 460,625
-----------
915,103
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Developers Diversified Realty Corp.:
Trusts (REITs)--0.1% 170,000 6.625% due 1/15/2008....................................... 171,849
290,000 5.375% due 10/15/2012...................................... 287,217
-----------
459,066
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & Freescale Semiconductor, Inc. (d):
Semiconductor 235,000 9.125% due 12/15/2014 (p).................................. 233,531
Equipment--0.3% 95,000 9.244% due 12/15/2014 (c).................................. 94,169
1,986,000 International Rectifier Corp., 4.25% due 7/15/2007 (e)....... 1,971,105
-----------
2,298,805
- ---------------------------------------------------------------------------------------------------------------------------
Wireless 110,000 AT&T Wireless Services, Inc., 8.75% due 3/01/2031............ 142,952
Telecommunication 350,000 Sprint Capital Corp., 8.75% due 3/15/2032.................... 421,264
Services--0.1% -----------
564,216
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$33,970,131)--3.9% 33,966,955
- ---------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations
- ---------------------------------------------------------------------------------------------------------------------------
Mexico Government International Bond:
157,000 6.375% due 1/16/2013....................................... 165,086
265,000 5.875% due 1/15/2014....................................... 271,890
- ---------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$414,859)--0.1% 436,976
- ---------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities**
- ---------------------------------------------------------------------------------------------------------------------------
ACE Securities Corp. (c):
950,000 Series 2005-ASP1 Class M1, 6.03% due 9/25/2035............. 957,071
2,500,000 Series 2005-HE6 Class A2B, 5.55% due 10/25/2035............ 2,500,932
1,050,000 Ameriquest Mortgage Securities, Inc. Series 2003-7
Class M1, 6.20% due 8/25/2033 (c).......................... 1,058,596
53 Argent Securities, Inc. Series 2004-W11 Class A3,
5.71% due 11/25/2034 (c)................................... 53
Bank One Issuance Trust:
2,475,000 Series 2002-A6 Class A, 5.54% due 6/15/2012 (c)............ 2,489,564
2,785,000 Series 2004-A1 Class A1, 3.45% due 10/17/2011.............. 2,694,868
Bear Stearns Asset Backed Securities, Inc. (c):
12,381 Series 2004-HE9 Class 1A2, 5.72% due 3/25/2032............. 12,381
951,682 Series 2005-4 Class A, 5.68% due 1/25/2036................. 952,105
2,550,000 Series 2005-HE10 Class A2, 5.64% due 8/25/2035............. 2,556,271
1,000,000 Series 2005-SD1 Class 1A2, 5.65% due 7/25/2027............. 1,002,558
2,350,000 Carrington Mortgage Loan Trust Series 2006-NC5
Class A1, 5.40% due 1/25/2037 (c).......................... 2,350,965
27
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Asset-Backed Securities** Value
- ---------------------------------------------------------------------------------------------------------------------------
$ 3,125,000 Citibank Credit Card Issuance Trust Series 2003-A8
Class A8, 3.50% due 8/16/2010 $ 3,044,437
Countrywide Asset Backed Certificates Series 2004-13 (c):
750,000 Class AF4, 4.583% due 1/25/2033............................ 739,645
750,000 Class MF1, 5.071% due 12/25/2034........................... 733,834
392,023 Credit-Based Asset Servicing and Securitization
Series 2005-CB2 Class AV2, 5.55% due 4/25/2036 (c)......... 392,115
2,540,000 Daimler Chrysler Auto Trust Series 2004-B Class A4,
3.71% due 10/08/2009 ...................................... 2,505,291
1,350,000 Equifirst Mortgage Loan Trust Series 2004-2 Class M1,
5.90% due 7/25/2034 (c).................................... 1,356,676
First Franklin Mortgage Loan Asset Backed Certificates (c):
1,512,377 Series 2004-FF10 Class A2, 5.75% due 12/25/2032............ 1,514,794
1,882,059 Series 2005-FF10 Class A6, 5.70% due 11/25/2035............ 1,883,709
1,500,000 Ford Credit Auto Owner Trust Series 2005-C
Class A3, 4.30% due 8/15/2009.............................. 1,486,795
Home Equity Asset Trust (c):
807,887 Series 2005-1 Class A2, 5.63% due 5/25/2035................ 809,473
482,107 Series 2005-3 Class 1A2, 5.60% due 8/25/2035............... 482,319
Honda Auto Receivables Owner Trust:
3,780,000 Series 2005-4 Class A3, 4.46% due 5/21/2009................ 3,755,802
2,350,000 Series 2006-3 Class A3, 5.12% due 10/15/2010............... 2,347,106
2,400,000 Indymac Residential Asset Backed Trust Series 2006-E
Class 2A1, 5.38% due 4/25/2037 (c)......................... 2,399,250
633,991 Irwin Home Equity Series 2005-C Class 1A1,
5.61% due 4/25/2030 (c).................................... 634,201
1,875,000 Long Beach Mortgage Loan Trust Series 2006-11
Class 2A1, 5.41% due 12/25/2036 (c)........................ 1,875,000
Morgan Stanley ABS Capital I, Inc. (c):
615,364 Series 2005-HE1 Class A2MZ, 5.65% due 12/25/2034........... 616,595
273,746 Series 2005-NC2 Class A1MZ, 5.60% due 3/25/2035............ 273,888
283,772 Series 2005-NC2 Class A2MZ, 5.60% due 3/25/2035............ 283,923
New Century Home Equity Loan Trust (c):
90,439 Series 2004-3 Class A3, 5.74% due 11/25/2034............... 90,463
926,284 Series 2005-2 Class A2MZ, 5.61% due 6/25/2035.............. 927,637
2,000,000 Nissan Auto Receivables Owner Trust Series 2006-A
Class A4, 4.77% due 7/15/2011.............................. 1,984,290
2,100,000 PECO Energy Transition Trust Series 2000-A Class A3,
7.625% due 3/01/2010....................................... 2,202,987
Park Place Securities, Inc. Series 2005-WCH1(c):
358,537 Class A1B, 5.65% due 1/25/2035............................. 359,089
302,915 Class A3D, 5.69% due 1/25/2035............................. 303,420
400,000 Popular ABS Mortgage Pass-Through Trust Series 2005-1
Class M2, 5.507% due 5/25/2035............................. 392,345
1,649,410 RAAC Series 2005-SP2 Class 2A, 5.65% due 6/25/2044 (c)....... 1,651,100
Residential Asset Mortgage Products, Inc. (c):
856,489 Series 2004-RS11 Class A2, 5.62% due 12/25/2033............ 858,981
1,272,535 Series 2005-RS3 Class AI2, 5.52% due 3/25/2035............. 1,275,105
2,150,000 Soundview Home Equity Loan Trust Series 2005-OPT3
Class A4, 5.65% due 11/25/2035 (c)......................... 2,154,849
Structured Asset Investment Loan Trust (c):
1,500,000 Series 2003-BC6 Class M1, 6.10% due 7/25/2033.............. 1,504,186
1,500,000 Series 2003-BC7 Class M1, 6.10% due 7/25/2033.............. 1,504,279
550,000 Series 2004-8 Class M4, 6.35% due 9/25/2034................ 552,559
484,448 Structured Asset Securities Corp. Series 2004-23XS
Class 2A1, 4.55% due 1/25/2035 (c)......................... 485,504
635,433 Wells Fargo Home Equity Trust Series 2004-2
Class A32, 5.69% due 2/25/2032 (c)......................... 635,905
58,125 Whole Auto Loan Trust Series 2004-1 Class D,
5.60% due 3/15/2011........................................ 58,031
- ---------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$60,628,567)--7.0% 60,650,947
- ---------------------------------------------------------------------------------------------------------------------------
28
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Non-Government Agency Mortgage-Backed Securities** Value
- ---------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage $ 615,681 Impac Secured Assets CMN Owner Trust Series 2004-3
Obligations--0.8% Class 1A4, 5.75% due 11/25/2034 (c)....................... $ 617,037
1,488,434 JPMorgan Mortgage Trust Series 2005-A2
Class 4A1, 5.21% due 4/25/2035 (c)......................... 1,459,606
1,313,231 Morgan Stanley Mortgage Loan Trust Series 2006-3AR
Class 2A3, 5.92% due 3/25/2036 (c)......................... 1,324,397
1,943,970 Residential Accredit Loans, Inc. Series 2005-QS12
Class A8, 5.66% due 8/25/2035 (c).......................... 1,945,027
Structured Asset Securities Corp. (c):
376,676 Series 2005-GEL2 Class A, 5.63% due 4/25/2035.............. 376,888
862,577 Series 2005-OPT1 Class A4M, 5.70% due 11/25/2035........... 863,022
-----------
6,585,977
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage- 1,890,000 Banc of America Commercial Mortgage, Inc. Series 2003-2
Backed Securities--5.2% Class A3, 4.873% due 3/11/2041............................. 1,858,172
Bear Stearns Commercial Mortgage Securities:
650,000 Series 2002-FL1A Class D, 5.77% due 8/03/2014 (c)(d)....... 650,000
1,850,000 Series 2006-PW14 Class A4, 5.201% due 12/01/2038........... 1,827,236
2,083,190 CS First Boston Mortgage Securities Corp. Series 2002-CP5
Class A1, 4.11% due 12/15/2035............................. 2,033,096
2,280,000 Capco America Securitization Corp. Series 1998-D7
Class A1B, 6.26% due 10/15/2030............................ 2,306,639
1,650,000 Chase Commercial Mortgage Securities Corp.
Series 1999-2 Class A2, 7.198% due 1/15/2032............... 1,721,787
1,866,000 First Union National Bank Commercial Mortgage
Series 1999-C4 Class D, 7.936% due 12/15/2031 (d).......... 1,993,272
GMAC Commercial Mortgage Securities, Inc.:
2,095,936 Series 1998-C2 Class A2, 6.42% due 5/15/2035............... 2,121,321
5,500,000 Series 2004-C3 Class AAB, 4.702% due 12/10/2041............ 5,332,383
1,700,000 GS Mortgage Securities Corp. II Series 2006-GG6
Class A2, 5.506% due 4/10/2038 (c)......................... 1,716,142
Greenwich Capital Commercial Funding Corp. Series 2004-GG1:
1,350,000 Class A4, 4.755% due 6/10/2036............................. 1,331,869
1,840,000 Class A5, 4.883% due 6/10/2036............................. 1,816,101
JPMorgan Chase Commercial Mortgage Securities Corp.:
1,845,000 Series 2001-CIB2 Class A3, 6.429% due 4/15/2035............ 1,927,048
1,550,000 Series 2006-CB17 Class A4, 5.429% due 12/12/2043........... 1,557,861
LB-UBS Commercial Mortgage Trust:
1,790,000 Series 2000-C3 Class A2, 7.95% due 5/15/2025............... 1,913,698
1,510,000 Series 2003-C8 Class A4, 5.124% due 11/15/2032 (c)......... 1,497,678
1,953,503 Series 2004-C7 Class A1A, 4.475% due 10/15/2029............ 1,889,987
1,400,000 Series 2005-C3 Class A5, 4.739% due 7/15/2030.............. 1,345,843
1,580,000 Morgan Stanley Capital I Series 2006-IQ12 Class A4,
5.319% due 12/15/2043 (c).................................. 1,575,124
Mortgage Capital Funding, Inc.:
3,510,000 Series 1998-MC1 Class E, 7.06% due 3/18/2030............... 3,557,754
1,870,000 Series 1998-MC2 Class B, 6.549% due 6/18/2030.............. 1,893,925
Wachovia Bank Commercial Mortgage Trust:
1,675,000 Series 2005-C20 Class A6A, 5.11% due 7/15/2042 (c)......... 1,658,972
1,520,000 Series 2006-C28 Class A4, 5.572% due 10/15/2048............ 1,542,199
-----------
45,068,107
- ---------------------------------------------------------------------------------------------------------------------------
Total Non-Government Agency Mortgage-Backed Securities
(Cost--$52,003,322)--6.0% 51,654,084
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities**
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates:
938,258 4.00% due 8/01/2020--11/01/2020 ........................... 883,403
3,880,971 4.50% due 9/01/2020--9/01/2021............................. 3,744,557
12,940,717 5.00% due 4/01/2020--11/01/2035............................ 12,685,837
1,875,000 5.475% due 12/01/2036 (c).................................. 1,873,030
20,812,385 5.50% due 6/01/2021--7/01/2034 (o)......................... 20,805,468
2,357,418 5.975% due 10/01/2036 (c).................................. 2,374,797
29
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount U.S. Government Agency Mortgage-Backed Securities** Value
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates (concluded):
$ 13,723,988 6.00% due 12/01/2008--12/01/2036 .......................... $ 13,854,449
1,209,455 6.50% due 8/01/2032--9/01/2036 (o)......................... 1,238,735
Freddie Mac Mortgage Participation Certificates:
7,139,354 5.00% due 6/01/2036--10/01/2036............................ 6,890,173
1,280,870 5.50% due 12/01/2019--9/01/2034 (o)........................ 1,273,715
2,110,540 6.00% due 1/01/2034--6/01/2035............................. 2,127,299
2,096,788 6.017% due 11/01/2036 (c).................................. 2,118,365
2,325,000 6.045% due 12/01/2036 (c).................................. 2,333,347
402,467 7.00% due 7/01/2031--6/01/2032............................. 413,962
Ginnie Mae MBS Certificates
21,871 7.50% due 3/15/2032........................................ 22,826
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities
(Cost--$72,401,895)--8.4% 72,639,963
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations**
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Trust Series 2005-69 Class LE
3,467,188 5.50% due 11/25/2033....................................... 3,468,788
Fannie Mae Trust Series 2006-65 Class TA
1,011,843 5.50% due 1/25/2030........................................ 1,013,031
Fannie Mae Trust Strip Series 378 Class 5
3,374,968 5.00% due 7/01/2036 (n).................................... 774,132
Freddie Mac Multiclass Certificates:
943,688 5.50% Series 3068 Class VA due 10/15/2016.................. 943,983
2,733,576 5.50% Series 3087 Class VA due 3/15/2015................... 2,737,492
1,620,001 6.00% Series 3137 Class XP due 4/15/2036................... 1,649,902
1,373,411 6.00% Series 3162 Class XP due 10/15/2026.................. 1,386,561
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations
(Cost--$11,973,286)--1.4% 11,973,889
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government & Agency Obligations
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae:
2,510,000 4% due 2/28/2007........................................... 2,505,339
2,220,000 7.125% due 1/15/2030....................................... 2,786,553
U.S. Treasury Bonds:
200,000 8.125% due 8/15/2019....................................... 261,297
700,000 7.25% due 8/15/2022 (l).................................... 877,899
10,290,000 6.25% due 8/15/2023........................................ 11,843,955
140,000 6.625% due 2/15/2027....................................... 170,625
2,065,000 5.375% due 2/15/2031....................................... 2,211,970
4,540,000 4.50% due 2/15/2036........................................ 4,317,259
U.S. Treasury Inflation Indexed Bonds:
1,612,793 3.875% due 1/15/2009....................................... 1,657,145
1,401,377 3.50% due 1/15/2011........................................ 1,458,856
3,436,582 1.625% due 1/15/2015....................................... 3,234,683
3,424,247 2.50% due 7/15/2016........................................ 3,450,195
890,120 2% due 1/15/2026........................................... 837,130
U.S. Treasury Notes:
2,885,000 4.875% due 8/15/2016....................................... 2,919,484
2,400,000 4.625% due 11/15/2016...................................... 2,384,251
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$40,874,754)--4.7% 40,916,641
- ---------------------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities
(Cost--$272,266,814)--31.5% 272,239,455
- ---------------------------------------------------------------------------------------------------------------------------
30
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Beneficial
Interest Short-Term Securities Value
- ----------------------------------------------------------------------------------------------------------------------------
$ 53,038,400 BlackRock Liquidity Series, LLC Cash Sweep Series,
5.26% (f)(g)............................................... $ 53,038,400
5,099,600 BlackRock Liquidity Series, LLC Money Market Series,
5.29% (f)(g)(j)............................................ 5,099,600
- ----------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$58,138,000)--6.7% 58,138,000
- ----------------------------------------------------------------------------------------------------------------------------
Number of
Contracts+ Options Purchased
- ----------------------------------------------------------------------------------------------------------------------------
Call Options Purchased 4 Receive a fixed rate of 4.9% and pay a floating rate
based on 3-month LIBOR, expiring March 2007
Broker Deutsche Bank AG (i)................................ 9,211
- ----------------------------------------------------------------------------------------------------------------------------
Put Options Purchased 4 Pay a fixed rate of 5.277% and receive a floating rate
based on 3-month LIBOR, expiring March 2007
Broker Deutsche Bank AG (i)................................ 26,212
- ----------------------------------------------------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$95,620)--0.0% 35,423
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$740,421,146)--99.8% 861,047,323
- ----------------------------------------------------------------------------------------------------------------------------
Options Written
- ----------------------------------------------------------------------------------------------------------------------------
Call Options Written 8 Pay a fixed rate of 5.29% and receive a floating rate
based on 3-month LIBOR, expiring October 2007
Broker Deutsche Bank AG (i)................................ (196,486)
- ----------------------------------------------------------------------------------------------------------------------------
Put Options Written 8 Receive a fixed rate of 5.29% and pay a floating rate
based on 3-month LIBOR, expiring October 2007
Broker Deutsche Bank AG (i)................................ (122,159)
- ----------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$365,200)--(0.0%) (318,645)
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments, Net of Options Written
(Cost--$740,055,946*)--99.8%................................. 860,728,678
Other Assets Less Liabilities--0.2%.......................... 1,480,860
------------
Net Assets--100.0%........................................... $862,209,538
============
- ----------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments, net of options written, as of
December 31, 2006, as computed for federal income tax purposes, were as follows:
Aggregate cost............................................................................................ $746,741,325
============
Gross unrealized appreciation............................................................................. $126,828,502
Gross unrealized depreciation............................................................................. (12,841,149)
------------
Net unrealized appreciation............................................................................... $113,987,353
============
** Asset-Backed and Mortgage-Backed Securities are subject to principal paydowns. As a result of
prepayments or refinancing of the underlying instruments, the average life may be substantially
less than the original maturity.
+ One contract represents a notional amount of $1,000,000.
(a) Non-income producing security.
(b) Depositary receipts.
(c) Floating rate security.
(d) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(e) Convertible security.
(f) Represents the current yield as of December 31, 2006.
31
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
(g) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
===========================================================================================================================
Affiliate Net Activity Interest Income
- ---------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series.................................... $(24,430,154) $5,176,950
BlackRock Liquidity Series, LLC Money Market Series.................................. $ (8,175,400) $ 28,147
- ---------------------------------------------------------------------------------------------------------------------------
(h) Restricted securities as to resale, representing approximately 0.4% of net
assets were as follows:
===========================================================================================================================
Acquisition
Issue Date Cost Value
- ---------------------------------------------------------------------------------------------------------------------------
Sigma Finance Corp., 7.374% due 8/15/2011 2/13/2004 $2,300,000 $2,300,000
Sigma Finance Corp., 7.364% due 3/31/2014 3/26/2004 1,100,000 1,103,675
- ---------------------------------------------------------------------------------------------------------------------------
Total $3,400,000 $3,403,675
========== ==========
- ---------------------------------------------------------------------------------------------------------------------------
(i) This European style swaption, which can be exercised only on the
expiration date, represents a standby commitment whereby the writer of the
option is obligated to enter into a predetermined interest rate swap
contract upon exercise of swaption.
(j) Security was purchased with the cash proceeds from securities loans.
(k) The security is a perpetual bond and has no stated maturity date.
(l) All or a portion of security held as collateral in connection with open
financial futures contracts.
(m) Security, or a portion of security, is on loan.
(n) Represents the interest-only portion of a mortgage-backed security and has
either a nominal or notional amount of principal.
(o) Represents or includes a "to-be-announced" transaction. The Portfolio has
committed to selling securities for which all specific information is not
available at this time.
(p) Represents a pay-in-kind security, which may pay interest/dividends in
additional face/shares.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
=============================================================================================================================
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
- -----------------------------------------------------------------------------------------------------------------------------
42 10-Year U.S. Treasury Bond March 2007 $4,586,624 $(72,936)
- -----------------------------------------------------------------------------------------------------------------------------
o Financial futures contracts sold as of December 31, 2006 were as follows:
=============================================================================================================================
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
- -----------------------------------------------------------------------------------------------------------------------------
64 2-Year U.S. Treasury Bond March 2007 $13,111,800 $ 53,800
307 5-Year U.S. Treasury Bond March 2007 $32,613,668 359,480
42 30-Year U.S. Treasury Bond March 2007 $ 4,789,185 108,810
124 EuroDollar June 2007 $29,504,268 125,568
147 EuroDollar September 2007 $34,971,144 89,881
- -----------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation........................................................ $ 737,539
=========
- -----------------------------------------------------------------------------------------------------------------------------
o Swap contracts outstanding as of December 31, 2006 were as follows:
- -----------------------------------------------------------------------------------------------------------------------------
Notional Unrealized
Amount Depreciation
- -----------------------------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the since inception
return of the Lehman Brothers U.S. Treasury Index and pay a floating rate
based on 1-month LIBOR minus 0.13%
Broker, Lehman Brothers Special Finance
Expires January 2007 $ 9,200,000 --
Receive (pay) a variable return based on the change in the since
inception return of the Lehman Brothers MBS Fixed Rate Index and
pay a floating rate based on 1-month LIBOR minus 0.06%
Broker, UBS Warburg
Expires July 2007 $39,450,000 --
Receive a fixed rate of 3.401% and pay 3.875% on Treasury Inflation
Protected Securities (TIPS) adjusted principal
Broker, JPMorgan Chase
Expires January 2009 $ 1,694,000 $ (13,615)
32
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
o Swap contracts outstanding as of December 31, 2006 were as follows
(concluded):
- -----------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------
Receive a fixed rate of 5.2725% and pay a floating rate based on 3-month LIBOR
Broker, Citibank, N.A.
Expires October 2009 $ 8,100,000 $ 33,241
Receive a fixed rate of 5.215% and pay a floating rate based on 3-month LIBOR
Broker, Lehman Brothers Special Finance
Expires October 2010 $12,000,000 48,703
Bought credit default protection on Sara Lee Corp. and pay 0.57%
Broker, Lehman Brothers Special Finance
Expires December 2010 $ 670,000 (3,337)
Bought credit default protection on RadioShack Corp. and pay 1.16%
Broker, UBS Warburg
Expires December 2010 $ 665,000 9,413
Bought credit default protection on Limited Brands, Inc. and pay 1.065%
Broker, UBS Warburg
Expires December 2010 $ 665,000 (18,127)
Receive a fixed rate of 4.17% and pay 3.50% on Treasury Inflation
Protected Securities (TIPS) adjusted principal
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 $ 1,450,000 (45,616)
Bought credit default protection on Sara Lee Corp. and pay 0.604%
Broker, JPMorgan Chase
Expires March 2011 $ 700,000 (3,835)
Bought credit default protection on Limited Brands, Inc. and pay 0.73%
Broker, Lehman Brothers Special Finance
Expires March 2011 $ 700,000 (10,397)
Bought credit default protection on Computer Sciences Corp. and pay 0.88%
Broker, Morgan Stanley Capital Services Inc.
Expires June 2011 $ 695,000 (15,268)
Receive a fixed rate of 5.035% and pay a floating rate based on 3-month LIBOR
Broker, Morgan Stanley Capital Services Inc.
Expires November 2011 $ 6,900,000 (20,023)
Receive a fixed rate of 4.897% and pay a floating rate based on 3-month LIBOR
Broker, JPMorgan Chase
Expires December 2011 $12,300,000 (108,385)
Bought credit default protection on Eastman Chemical Co. and pay 0.68%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2013 $ 690,000 (4,541)
Receive a fixed rate of 5.085% and pay a floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires November 2016 $ 1,600,000 (16,076)
- -----------------------------------------------------------------------------------------------------------------------
Total................................................................................ $(167,863)
=========
- -----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
33
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Face
Amount Asset-Backed Securities+ Value
- ---------------------------------------------------------------------------------------------------------------------------
ACE Securities Corp. (b):
$ 22,599 Series 2003-OP1 Class A2, 5.71% due 12/25/2033 ............ $ 22,650
450,000 Series 2005-ASP1 Class M1, 6.03% due 9/25/2035............. 453,350
1,150,000 Series 2005-HE6 Class A2B, 5.55% due 10/25/2035............ 1,150,429
932,905 Series 2006-NC3 Class A2A, 5.37% due 12/25/2036............ 932,920
876,464 Aegis Asset Backed Securities Trust Series 2006-1
Class A1, 5.43% due 1/25/2037 (b).......................... 876,402
Ameriquest Mortgage Securities, Inc. (b):
450,000 Series 2003-7 Class M1, 6.20% due 8/25/2033................ 453,684
350,000 Series 2004-R1Class M2, 5.93% due 2/25/2034................ 350,963
24 Argent Securities, Inc. Series 2004-W11 Class A3,
5.71% due 11/25/2034 (b)................................... 24
711,125 Asset Backed Funding Certificates Series 2006-OPT3
Class A3A, 5.38% due 11/25/2036 (b)........................ 711,200
1,100,000 Bank One Issuance Trust Series 2004-A1 Class A1,
3.45% due 10/17/2011....................................... 1,064,400
Bear Stearns Asset Backed Securities, Inc. (b):
5,675 Series 2004-HE9 Class 1A2, 5.72% due 3/25/2032............. 5,675
417,812 Series 2005-4 Class A, 5.68% due 1/25/2036................. 417,997
1,150,000 Series 2005-HE10 Class A2, 5.64% due 8/25/2035............. 1,152,828
450,000 Series 2005-SD1 Class 1A2, 5.65% due 7/25/2027............. 451,151
982,930 Series 2006-HE8 Class 1A1, 5.42% due 10/25/2036............ 982,976
Carrington Mortgage Loan Trust Series, Class A1 (b):
950,000 Series 2006-NC5, 5.40% due 1/25/2037....................... 950,390
751,491 Series 2006-Opt1, 5.415% due 2/25/2036..................... 751,653
1,250,000 Citibank Credit Card Issuance Trust Series 2003 Class A8,
3.50% due 8/16/2010........................................ 1,217,775
Countrywide Asset Backed Certificates (b):
236,880 Series 2003-2 Class M1, 6.05% due 6/26/2033................ 239,221
36,710 Series 2003-BC3 Class A2, 5.66% due 9/25/2033.............. 36,711
155,347 Series 2004-5 Class A, 5.80% due 10/25/2034................ 156,978
400,000 Series 2004-5 Class M2, 6.02% due 7/25/2034................ 402,953
550,000 Series 2004-13 Class AF4, 4.583% due 1/25/2033............. 542,406
550,000 Series 2004-13 Class MF1, 5.071% due 12/25/2034............ 538,145
1,057,868 Series 2006-20 Class 2A1, 4.77% due 4/25/2028.............. 1,057,885
746,565 Series 2006-22 Class 2A1, 5.40% due 12/25/2036............. 746,543
176,410 Credit-Based Asset Servicing and Securitization
Series 2005-CB2 Class AV2, 5.55% due 4/25/2036 (b)......... 176,452
Daimler Chrysler Auto Trust, Class A:
1,125,000 Series 2006-B, 5.33% due 8/08/2010......................... 1,127,283
900,000 Series 2006-D, 4.98% due 2/08/2011......................... 897,701
600,000 Equifirst Mortgage Loan Trust Series 2004-2 Class M1,
5.90% due 7/25/2034 (b).................................... 602,967
First Franklin Mortgage Loan Asset-Backed Certificates (b):
271,755 Series 2004-FF10 Class A2, 5.75% due 12/25/2032............ 272,189
848,772 Series 2005-FF10 Class A6, 5.70% due 11/25/2035............ 849,516
Ford Credit Auto Owner Trust:
925,000 Series 2005-A Class A4, 3.72% due 10/15/2009............... 909,879
1,100,000 Series 2006-C Class A3, 5.16% due 11/15/2010............... 1,099,953
850,000 Fremont Home Loan Trust Series 2005-E Class 2A2,
5.52% due 1/25/2036 (b).................................... 850,275
650,000 GE Dealer Floorplan Master Note Trust Series 2004-2
Class B, 5.61% due 7/20/2009 (b)........................... 650,598
Home Equity Asset Trust (b):
259,680 Series 2005-1 Class A2, 5.63% due 5/25/2035................ 260,190
203,968 Series 2005-3 Class 1A2, 5.60% due 8/25/2035............... 204,058
950,000 Honda Auto Receivables Owner Trust Series 2006-3
Class A3, 5.12% due 10/15/2010............................. 948,830
975,000 Indymac Residential Asset Backed Trust Series 2006-E
Class 2A1, 5.38% due 4/25/2037 (b)......................... 974,695
279,702 Irwin Home Equity Series 2005-C Class 1A1,
5.61% due 4/25/2030 (b).................................... 279,795
34
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Asset-Backed Securities+ Value
- ---------------------------------------------------------------------------------------------------------------------------
$ 690,798 JPMorgan Mortgage Acquisition Corp. Series 2006-HE3
Class A2, 5.42% due 11/25/2036 (b)......................... $ 690,809
Long Beach Mortgage Loan Trust (b):
50,154 Series 2002-4 Class 2A, 5.81% due 11/26/2032............... 50,178
750,000 Series 2006-11 Class 2A1, 5.41% due 12/25/2036............. 750,000
Morgan Stanley ABS Capital I, Inc. (b):
272,581 Series 2005-HE1 Class A2MZ, 5.65% due 12/25/2034........... 273,126
123,186 Series 2005-NC2 Class A1MZ, 5.60% due 3/25/2035............ 123,250
127,695 Series 2005-NC2 Class A2MZ, 5.60% due 3/25/2035............ 127,763
820,346 Series 2006-HE8 Class A2A, 5.40% due 10/25/2035............ 820,584
New Century Home Equity Loan Trust (b):
30,831 Series 2004-3 Class A3, 5.74% due 11/25/2034............... 30,840
411,682 Series 2005-2 Class A2MZ, 5.61% due 6/25/2035.............. 412,283
712,331 Series 2005-3 Class A2B, 5.53% due 7/25/2035............... 712,479
120,069 Option One Mortgage Loan Trust Series 2003-4 Class A2,
5.67% due 7/25/2033 (b).................................... 120,312
850,000 PECO Energy Transition Trust Series 2000-A Class A3,
7.625% due 3/01/2010....................................... 891,685
Park Place Securities, Inc., Series 2005-WCH1 (b):
159,350 Class A1B, 5.65% due 1/25/2035............................. 159,595
131,702 Class A3D, 5.69% due 1/25/2035............................. 131,922
200,000 Popular ABS Mortgage Pass-Through Trust Series 2005-1
Class M2, 5.507% due 5/25/2035............................. 196,172
743,851 RAAC Series 2005-SP2 Class 2A, 5.65% due 6/25/2044 (b)....... 744,614
Residential Asset Mortgage Products, Inc. (b):
360,627 Series 2004-RS11 Class A2, 5.62% due 12/25/2033............ 361,676
565,571 Series 2005-RS3 Class AI2, 5.52% due 3/25/2035............. 566,713
868,041 Series 2006-EFC2 Class A1, 5.41% due 12/25/2036............ 868,134
134,524 Residential Asset Securities Corp. Series 2003-KS5
Class AIIB, 5.64% due 7/25/2033 (b)........................ 134,555
922,353 SLM Student Loan Trust Series 2002-1 Class A2,
5.49% due 4/25/2017 (b).................................... 924,529
950,000 Soundview Home Equity Loan Trust Series 2005-OPT3
Class A4, 5.65% due 11/25/2035 (b)......................... 952,142
Structured Asset Investment Loan Trust (b):
650,000 Series 2003-BC6 Class M1, 6.10% due 7/25/2033.............. 651,814
600,000 Series 2003-BC7 Class M1, 6.10% due 7/25/2033.............. 601,712
250,000 Series 2004-8 Class M4, 6.35% due 9/25/2034................ 251,163
Structured Asset Securities Corp. (b):
218,002 Series 2004-23XS Class 2A1, 4.55% due 1/25/2035............ 218,477
1,066,952 Series 2006-BC3 Class A2, 5.37% due 10/25/2036............. 1,067,048
USAA Auto Owner Trust, Series 2006-4:
825,000 Class A3, 5.01% due 6/15/2011.............................. 823,214
775,000 Class A4, 4.98% due 10/15/2012............................. 772,590
575,000 Wachovia Auto Owner Trust Series 2005-B Class A3,
4.79% due 4/20/2010........................................ 572,300
148,930 Wells Fargo Home Equity Trust Series 2004-2 Class A32,
5.69% due 2/25/2032 (b).................................... 149,040
24,911 Whole Auto Loan Trust Series 2004-1 Class D,
5.60% due 3/15/2011........................................ 24,871
- ---------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$40,951,466)--35.3% 40,947,280
- ---------------------------------------------------------------------------------------------------------------------------
35
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount U.S. Government & Agency Obligations Value
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae:
$ 2,340,000 4% due 2/28/2007 .......................................... $ 2,335,655
1,070,000 7.125% due 1/15/2030....................................... 1,343,068
U.S. Treasury Bonds:
80,000 8.125% due 8/15/2019....................................... 104,519
290,000 7.25% due 8/15/2022 (c).................................... 363,701
410,000 6.25% due 8/15/2023........................................ 471,917
60,000 6.625% due 2/15/2027....................................... 73,125
1,194,000 5.375% due 2/15/2031....................................... 1,278,979
1,915,000 4.50% due 2/15/2036........................................ 1,821,046
U.S. Treasury Inflation Indexed Bonds:
837,175 3.875% due 1/15/2009....................................... 860,198
725,050 3.50% due 1/15/2011........................................ 754,789
1,480,374 1.625% due 1/15/2015....................................... 1,393,402
1,379,696 2.50% due 7/15/2016........................................ 1,390,152
361,134 2% due 1/15/2026........................................... 339,636
80,000 U.S. Treasury Notes, 5.125% due 5/15/2016.................... 82,403
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$12,487,105)--10.9% 12,612,590
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations+
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Trust:
2,984,980 Series 360 Class 2, 5% due 8/01/2035 (i)................... 716,060
1,375,000 Series 378 Class 4, 5% due 7/01/2036 (i)................... 314,316
977,229 Series 2003-9 Class DA, 4.50% due 12/25/2016............... 957,652
720,723 Series 2004-25 Class PA, 5.50% due 10/25/2030.............. 719,570
820,425 Series 2005-57 Class PA, 5.50% due 5/25/2027............... 820,956
1,411,789 Series 2005-69 Class LE, 5.50% due 11/25/2033.............. 1,412,441
Freddie Mac Multiclass Certificates:
1,191,335 Series 3020 Class MA, 5.50% due 4/15/2027.................. 1,196,044
787,274 Series 3067 Class PG, 5.50% due 6/15/2025.................. 788,480
379,326 Series 3068 Class VA, 5.50% due 10/15/2016................. 379,444
1,106,230 Series 3087 Class VA, 5.50% due 3/15/2015.................. 1,107,814
655,715 Series 3137 Class XP, 6% due 4/15/2036..................... 667,817
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations
(Cost--$9,103,597)--7.8% 9,080,594
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities+
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates:
1,000,000 4.00% due 12/01/2011 (d)................................... 940,938
2,000,000 4.50% due 1/15/2022 (d).................................... 1,928,750
6,486,270 5.00% due 1/15/2022--1/25/2037 (d)......................... 6,348,882
9,283,565 5.50% due 1/15/2022--5/01/2036 (d)......................... 9,280,104
613,002 5.992% due 11/01/2036 (b).................................. 619,932
5,771,934 6.00% due 2/01/2017--1/15/2037 (d)......................... 5,825,797
3,390,970 6.50% due 8/01/2032--1/15/2037 (d)......................... 3,456,224
64,233 7.00% due 2/01/2016........................................ 66,055
Freddie Mac Mortgage Participation Certificates:
1,874,471 5.00% due 12/01/2035--10/01/2036........................... 1,809,272
76,101 5.50% due 2/01/2035........................................ 75,276
3,565,987 6.00% due 6/01/2035--1/15/2037 (d)......................... 3,591,864
843,535 6.017% due 11/01/2036 (b).................................. 852,216
925,000 6.045% due 12/01/2036 (b).................................. 928,321
197,198 7.00% due 1/01/2032--9/01/2032............................. 202,840
70,951 Ginnie Mae MBS Certificates, 6.50% due 6/15/2031............. 72,915
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities
(Cost--$36,126,407)--31.0% 35,999,386
- ---------------------------------------------------------------------------------------------------------------------------
36
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Non-Government Agency Mortgage-Backed Securities+ Value
- ---------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage $ 636,281 Countrywide Alternative Loan Trust Series 2006-OC10
Obligations--4.5% Class 2A1, 5.44% due 11/25/2036 (b)....................... $ 636,059
Impac Secured Assets CMN Owner Trust, Series 2004-3 (b):
275,995 Class 1A4, 5.75% due 11/25/2034............................ 276,603
500,000 Class M1, 5.95% due 11/25/2034............................. 501,552
637,900 JPMorgan Mortgage Trust Series 2005-A2 Class 4A1,
5.21% due 4/25/2035 (b).................................... 625,546
950,000 Luminent Mortgage Trust Series 2006-7 Class 1A1,
5.53% due 5/25/2036 (b).................................... 949,993
525,293 Morgan Stanley Mortgage Loan Trust Series 2006-3AR
Class 2A3, 5.92% due 3/25/2036 (b)......................... 529,759
295,033 RMAC Plc Series 2003-NS2A Class A2C, 5.76%
due 9/12/2035 (b).......................................... 295,494
843,610 Residential Accredit Loans, Inc. Series 2005-QS12
Class A8, 5.66% due 8/25/2035 (b).......................... 844,069
Structured Asset Securities Corp. (b):
158,601 Series 2005-GEL2 Class A, 5.63% due 4/25/2035.............. 158,690
375,034 Series 2005-OPT1 Class A4M, 5.70% due 11/25/2035........... 375,227
-----------
5,192,992
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage-Backed Banc of America Commercial Mortgage, Inc.:
Securities--15.6% 840,000 Series 2001-1 Class B, 6.674% due 4/15/2036............... 884,942
755,000 Series 2003-2 Class A3, 4.873% due 3/11/2041............... 742,286
Bear Stearns Commercial Mortgage Securities:
890,000 Series 1998-C1 Class A2, 6.44% due 6/16/2030............... 900,314
300,000 Series 2002-FL1A Class D, 5.77% due 8/03/2014 (b).......... 300,000
732,974 CS First Boston Mortgage Securities Corp. Series 2002-CP5
Class A1, 4.11% due 12/15/2035............................. 715,349
660,000 CWCapital Cobalt Series 2006-C1 Class A4,
5.223% due 8/15/2048....................................... 652,601
815,000 Capco America Securitization Corp. Series 1998-D7
Class A1B, 6.26% due 10/15/2030............................ 824,522
680,000 Chase Commercial Mortgage Securities Corp. Series 1999-2
Class A2, 7.198% due 1/15/2032............................. 709,585
745,000 First Union National Bank Commercial Mortgage
Series 1999-C4 Class E, 8.15% due 12/15/2031 (a)(b)........ 797,240
GMAC Commercial Mortgage Securities, Inc.:
846,297 Series 1998-C2 Class A2, 6.42% due 5/15/2035............... 856,547
820,000 Series 2000-C3 Class A2, 6.957% due 9/15/2035.............. 865,924
690,000 Series 2001-C1 Class B, 6.67% due 4/15/2034................ 726,183
850,000 Series 2003-C3 Class A3, 4.646% due 4/10/2040.............. 831,564
700,000 GS Mortgage Securities Corp. II Series 2006-GG6
Class A2, 5.506% due 4/10/2038 (b)......................... 706,647
900,000 Greenwich Capital Commercial Funding Corp.
Series 2004-GG1 Class A4, 4.755% due 6/10/2036............. 887,913
JPMorgan Chase Commercial Mortgage Securities Corp.:
735,000 Series 2001-CIB2 Class A3, 6.429% due 4/15/2035............ 767,686
625,000 Series 2006-CB17 Class A4, 5.429% due 12/12/2043........... 628,170
612,243 LB Commercial Conduit Mortgage Trust Series 1998-C4
Class A1B, 6.21% due 10/15/2035............................ 619,024
LB-UBS Commercial Mortgage Trust:
720,000 Series 2000-C3 Class A2, 7.95% due 5/15/2025............... 769,756
600,000 Series 2005-C3 Class A5, 4.739% due 7/15/2030.............. 576,790
640,000 Morgan Stanley Capital I Series 2006-IQ12 Class A4,
5.332% due 12/15/2043 (b).................................. 638,025
Mortgage Capital Funding, Inc.:
700,000 Series 1998-MC1 Class E, 7.06% due 3/18/2030............... 709,524
760,000 Series 1998-MC2 Class B, 6.549% due 6/18/2030.............. 769,724
Wachovia Bank Commercial Mortgage Trust:
680,000 Series 2005-C20 Class A6A, 5.11% due 7/15/2042 (b)......... 673,493
610,000 Series 2006-C28 Class A4, 5.572% due 10/15/2048............ 618,909
-----------
18,172,718
- ---------------------------------------------------------------------------------------------------------------------------
Total Non-Government Agency Mortgage-Backed Securities
(Cost--$23,419,581)--20.1% 23,365,710
- ---------------------------------------------------------------------------------------------------------------------------
37
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & $ 155,000 Honeywell International, Inc., 5.70% due 3/15/2036........... $ 154,112
Defense--0.5% 370,000 Raytheon Co., 8.30% due 3/01/2010............................ 401,700
-----------
555,812
- ---------------------------------------------------------------------------------------------------------------------------
Airlines--0.4% 113,936 American Airlines, Inc. Series 2003-1, 3.85% due 1/09/2012... 110,575
140,000 Continental Airlines, Inc. Series 2002-1, 6.563%
due 8/15/2013 ............................................. 144,772
190,000 Southwest Airlines Co., 7.875% due 9/01/2007................. 192,772
-----------
448,119
- ---------------------------------------------------------------------------------------------------------------------------
Building Products--0.0% 55,000 Momentive Performance Materials, Inc., 10.125%
due 12/01/2014 (a)......................................... 55,275
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--1.5% 290,000 Barclays Bank Plc, 8.55% (a)(g).............................. 324,524
220,000 Corporacion Andina de Fomento, 6.875% due 3/15/2012.......... 233,953
1,125,000 Eksportfinans A/S, 5.125% due 10/26/2011..................... 1,126,385
-----------
1,684,862
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Finance--0.3% HSBC Finance Corp.:
200,000 6.50% due 11/15/2008........................................ 204,448
180,000 5.875% due 2/01/2009........................................ 182,582
-----------
387,030
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial 225,000 Bank of America Corp., 4.875% due 9/15/2012.................. 220,503
Services--2.8% 430,000 Citigroup, Inc., 5.625% due 8/27/2012........................ 436,222
125,000 JPMorgan Chase & Co., 4.891% due 9/01/2015 (b)............... 122,485
1,000,000 Links Finance Corp. Series 55, 5.61% due 9/15/2010 (b)....... 999,417
Sigma Finance Corp. (b)(f):
1,000,000 7.374% due 8/15/2011....................................... 1,000,000
500,000 7.364% due 3/31/2014....................................... 501,670
-----------
3,280,297
- ---------------------------------------------------------------------------------------------------------------------------
Diversified 230,000 AT&T, Inc., 6.45% due 6/15/2034.............................. 233,410
Telecommunication 140,000 BellSouth Corp., 6% due 11/15/2034........................... 134,416
Services--1.0% 125,000 Deutsche Telekom International Finance BV,
8.25% due 6/15/2030........................................ 153,667
270,000 GTE Corp., 6.84% due 4/15/2018............................... 287,039
235,000 TELUS Corp., 7.50% due 6/01/2007............................. 236,739
170,000 Telecom Italia Capital SA, 6% due 9/30/2034.................. 154,184
-----------
1,199,455
- ---------------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.6% 70,000 Jersey Central Power & Light, 6.40% due 5/15/2036............ 72,699
140,000 Nevada Power Co., 6.65% due 4/01/2036........................ 145,437
148,000 Progress Energy, Inc., 5.625% due 1/15/2016.................. 147,655
190,000 Sierra Pacific Power Co., 6% due 5/15/2016................... 190,415
180,000 Southern California Edison Co., 5.625% due 2/01/2036......... 174,241
-----------
730,447
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment & 125,000 Weatherford International Ltd., 5.50% due 2/15/2016.......... 121,419
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 130,000 UnitedHealth Group, Inc., 5.80% due 3/15/2036................ 127,831
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--0.2% 195,000 Hutchison Whampoa International (03/33) Ltd.,
7.45% due 11/24/2033 (a)................................... 224,841
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--0.4% 195,000 American International Group, Inc., 6.25% due 5/01/2036...... 207,183
250,000 Metlife, Inc., 6.40% due 12/15/2066 (b)...................... 251,152
-----------
458,335
- ---------------------------------------------------------------------------------------------------------------------------
Media--1.1% 255,000 Comcast Corp., 6.50% due 1/15/2017........................... 266,098
135,000 Cox Communications, Inc., 7.125% due 10/01/2012.............. 143,919
60,000 Idearc, Inc., 8% due 11/15/2016 (a).......................... 60,900
News America, Inc.:
200,000 6.40% due 12/15/2035....................................... 198,687
120,000 6.75% due 1/09/2038........................................ 127,613
405,000 Time Warner Companies, Inc., 9.125% due 1/15/2013............ 471,821
-----------
1,269,038
- ---------------------------------------------------------------------------------------------------------------------------
38
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Multi-Utilities--0.1% $ 90,000 Xcel Energy, Inc., 6.50% due 7/01/2036....................... $ 95,089
- ---------------------------------------------------------------------------------------------------------------------------
Office Electronics--0.2% 230,000 Xerox Corp., 6.40% due 3/15/2016............................. 234,888
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 145,000 Consolidated Natural Gas Co., 5% due 12/01/2014.............. 139,424
Fuels--1.9% 209,000 Kern River Funding Corp., 4.893% due 4/30/2018 (a)(k)........ 202,897
135,000 Motiva Enterprises LLC, 5.20% due 9/15/2012 (a).............. 133,308
240,000 Northwest Pipeline Corp., 7% due 6/15/2016................... 250,800
750,000 Pemex Project Funding Master Trust,
6.66% due 6/15/2010 (a)(b)................................. 769,875
185,000 Petro-Canada, 5.95% due 5/15/2035............................ 175,425
95,000 Sabine Pass LNG LP, 7.50% due 11/30/2016 (a)................. 94,644
460,000 Ultramar Diamond Shamrock Corp., 6.75% due 10/15/2037........ 493,788
-----------
2,260,161
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.3% 175,000 Bristol-Myers Squibb Co., 5.875% due 11/15/2036.............. 172,205
190,000 Wyeth, 6% due 2/15/2036...................................... 194,486
-----------
366,691
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Investment 120,000 Developers Diversified Realty Corp., 5.375% due 10/15/2012... 118,848
Trusts (REITs)--0.3% 165,000 Nationwide Health Properties, Inc., 6.59% due 7/07/2038...... 165,767
-----------
284,615
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & Freescale Semiconductor, Inc. (a):
Semiconductor 95,000 9.125% due 12/15/2014 (j).................................. 94,406
Equipment--0.8% 40,000 9.244% due 12/15/2014 (b).................................. 39,650
800,000 International Rectifier Corp., 4.25% due 7/15/2007 (e)....... 794,000
-----------
928,056
- ---------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 137,000 AT&T Wireless Services, Inc., 8.75% due 3/01/2031............ 178,040
Services--0.3% 125,000 Sprint Capital Corp., 8.75% due 3/15/2032.................... 150,451
-----------
328,491
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$15,023,094)--12.9% 15,040,752
- ---------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations
- ---------------------------------------------------------------------------------------------------------------------------
Mexico Government International Bond:
130,000 6.375% due 1/16/2013....................................... 136,695
115,000 5.875% due 1/15/2014....................................... 117,990
- ---------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$239,824)--0.2% 254,685
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Securities
- ---------------------------------------------------------------------------------------------------------------------------
Capital Trusts
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.1% 150,000 BAC Capital Trust VI, 5.625% due 3/08/2035................... 141,993
- ---------------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1% 125,000 Alabama Power Capital Trust V, 5.50% due 10/01/2042 (b)...... 124,985
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 150,000 Pemex Project Funding Master Trust, 7.375% due 12/15/2014.... 165,150
Fuels--0.2%
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Trusts
(Cost--$430,368)--0.4% 432,128
- ---------------------------------------------------------------------------------------------------------------------------
Shares
Held Preferred Stocks
- ---------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 9,000 Fannie Mae, Series O, 7%..................................... 479,813
Finance--0.4%
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$500,625)--0.4% 479,813
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Securities
(Cost--$930,993)--0.8% 911,941
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency $ 3,100,000 Federal Home Loan Bank System, 6.40% due 1/02/2007........... 3,100,000
Obligations**--2.7%
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$3,100,000)--2.7% 3,100,000
- ---------------------------------------------------------------------------------------------------------------------------
39
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Number of
Contracts++ Options Purchased Value
- ----------------------------------------------------------------------------------------------------------------------------
Call Options Purchased--0.0% 2 Receive a fixed rate of 4.9% and pay a floating rate
based on the 3-month LIBOR, expiring March 2007,
Broker Deutsche Bank (h)................................... $ 3,728
- ----------------------------------------------------------------------------------------------------------------------------
Put Options Purchased--0.0% 2 Pay a fixed rate of 5.2775% and receive a floating rate
based on the 3-month LIBOR, expiring March 2007,
Broker Deutsche Bank (h)................................... 10,610
- ----------------------------------------------------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$38,703)--0.0% 14,338
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$141,420,770)--121.7% 141,327,276
- ----------------------------------------------------------------------------------------------------------------------------
Options Written
- ----------------------------------------------------------------------------------------------------------------------------
Call Options Written--(0.1%) 3 Pay fixed rate of 5.29% and receive a floating rate based
on the 3-month LIBOR, expiring October 2007,
Broker Deutsche Bank (h)................................... (78,121)
- ----------------------------------------------------------------------------------------------------------------------------
Put Options Written--(0.0%) 3 Receive a fixed rate of 5.29% and pay a floating rate
based on the 3-month LIBOR, expiring October 2007,
Broker Deutsche Bank (h)................................... (48,569)
- ----------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$145,200)--(0.1%) (126,690)
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments, Net of Options Written
(Cost--$141,275,570*)--121.6%................................ 141,200,586
Liabilities in Excess of Other Assets--(21.6%)............... (25,049,639)
------------
Net Assets--100.0%........................................... $116,150,947
============
- ----------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments, net of
options written, as of December 31, 2006, as computed for federal income
tax purposes, were as follows:
Aggregate cost............................................ $141,481,870
============
Gross unrealized appreciation............................. $ 510,950
Gross unrealized depreciation............................. (792,234)
------------
Net unrealized depreciation............................... $ (281,284)
============
** Certain U.S. Government Agency Obligations are traded on a discount basis;
the interest rate shown reflects the discount rate paid at the time of
purchase.
+ Asset-Backed & Mortgage-Backed Securities are subject to principal
paydowns. As a result of the prepayments or refinancings of the underlying
instruments, the average life may be substantially less than the original
maturity.
++ One contract represents a notional amount of $1,000,000.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Floating rate security.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) Represents or includes a "to-be-announced" transaction. The Portfolio has
committed to purchasing and/or selling securities for which all specific
information is not available at this time.
(e) Convertible security.
(f) Restricted securities as to resale, representing approximately 1.3% of net
assets were as follows:
- -------------------------------------------------------------------------------------------------------------------------
Acquisition
Issue Date Cost Value
- -------------------------------------------------------------------------------------------------------------------------
Sigma Finance Corp., 7.374% due 8/15/2011 2/13/2004 $1,000,000 $1,000,000
Sigma Finance Corp., 7.364% due 3/31/2014 3/26/2004 500,000 501,670
- -------------------------------------------------------------------------------------------------------------------------
Total $1,500,000 $1,501,670
========== ==========
- -------------------------------------------------------------------------------------------------------------------------
(g) The security is a perpetual bond and has no stated maturity date.
(h) This European style swaption, which can be exercised only on the
expiration date, represents a standby commitment whereby the writer of the
option is obligated to enter into a predetermined interest rate swap
contract upon exercise of swaption.
(i) Represents the interest-only portion of a mortgage-backed security and has
either a nominal or notional amount of principal.
(j) Represents a pay-in-kind security, which may pay interest/dividends in
additional face/shares.
(k) Subject to principal paydowns.
40
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
o Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
======================================================================================================================
Net Interest
Affiliate Activity Income
- ----------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Money Market Series $(5,137,500) $5,272
- ----------------------------------------------------------------------------------------------------------------------
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
======================================================================================================================
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
- ----------------------------------------------------------------------------------------------------------------------
71 10-Year U.S. Treasury Bond March 2007 $7,734,434 $(104,153)
23 30-Year U.S. Treasury Bond March 2007 $2,636,624 (73,561)
- ----------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation........................................................ $(177,714)
=========
- ----------------------------------------------------------------------------------------------------------------------
o Financial futures contracts sold as of December 31, 2006 were as follows:
- ----------------------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
- ----------------------------------------------------------------------------------------------------------------------
114 EuroDollar Futures June 2007 $27,124,891 $115,441
34 EuroDollar Futures September 2007 $ 8,088,564 20,789
26 2-Year U.S. Treasury Bond March 2007 $ 5,326,669 21,856
321 5-Year U.S. Treasury Bond March 2007 $34,090,625 365,563
- ----------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation........................................................ $523,649
========
- ----------------------------------------------------------------------------------------------------------------------
o Swap contracts outstanding as of December 31, 2006 were as follows:
- ----------------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- ----------------------------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the since inception
return of the Lehman Brothers U.S. Treasury Index and pay a floating rate
based on 1-month LIBOR minus 0.13%
Broker, Lehman Brothers Special Finance
Expires January 2007 $ 3,600,000 --
Receive (pay) a variable return based on the change in the since
inception return of the Lehman Brothers MBS Fixed Rate Index and
pay a floating rate based on 1-month LIBOR minus 0.06%
Broker, UBS Warburg
Expires July 2007 $19,250,000 --
Sold credit default protection on Comcast Cable Communications, Inc.
and receive 1.15%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008 $ 430,000 $ 7,814
Receive a fixed rate of 3.401% and pay 3.875% on Treasury Inflation
Protected Securities (TIPS) adjusted principal
Broker, JPMorgan Chase
Expires January 2009 $ 879,000 (7,035)
Receive a fixed rate of 5.2725% and pay a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires October 2009 $ 2,900,000 12,350
Receive a fixed rate of 5.215% and pay a floating rate based on
3-month LIBOR
Broker, Lehman Brothers Special Finance
Expires October 2010 $ 3,200,000 13,494
Receive a fixed rate of 5.157% and pay a floating rate based on
3-month LIBOR
Broker, Deutsche Bank AG London
Expires November 2010 $12,500,000 25,552
41
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Bond Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
o Swap contracts outstanding as of December 31, 2006 were as follows
(concluded):
- ----------------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- ----------------------------------------------------------------------------------------------------------------------------
Bought credit default protection on Sara Lee Corp. and pay 0.57%
Broker, Lehman Brothers Special Finance
Expires December 2010 $ 295,000 $ (1,469)
Bought credit default protection on RadioShack Corp. and pay 1.16%
Broker, UBS Warburg
Expires December 2010 $ 295,000 4,175
Bought credit default protection on Limited Brands, Inc. and pay
1.065%
Broker, UBS Warburg
Expires December 2010 $ 295,000 (8,041)
Receive a fixed rate of 4.17% and pay 3.50% on Treasury Inflation
Protected Securities (TIPS) adjusted principal
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 $ 750,000 (23,626)
Bought credit default protection on Sara Lee Corp. and pay 0.604%
Broker, JPMorgan Chase
Expires March 2011 $ 295,000 (1,616)
Bought credit default protection on Limited Brands, Inc. and pay
0.73%
Broker, Lehman Brothers Special Finance
Expires March 2011 $ 295,000 (4,381)
Bought credit default protection on Computer Sciences Corp. and pay
0.88%
Broker, Morgan Stanley Capital Services Inc.
Expires June 2011 $ 290,000 (6,371)
Receive a fixed rate of 5.229% and pay a floating rate based on
3-month LIBOR
Broker, Morgan Stanley Capital Services Inc.
Expires October 2011 $ 7,200,000 40,032
Receive a fixed rate of 5.035% and pay a floating rate based on
3-month LIBOR
Broker, Morgan Stanley Capital Services Inc.
Expires November 2011 $ 2,900,000 (7,929)
Bought credit default protection on Eastman Chemical Co. and pay
0.68%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2013 $ 285,000 (1,875)
Receive a fixed rate of 5.085% and pay a floating rate based on
3-month LIBOR
Broker, Deutsche Bank AG London
Expires November 2016 $ 600,000 (6,037)
- ----------------------------------------------------------------------------------------------------------------------------
Total................................................................................ $ 35,037
========
- ----------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
42
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Fundamental Growth Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & 28,200 Lockheed Martin Corp........................................... $ 2,596,374
Defense--2.3% 43,000 United Technologies Corp....................................... 2,688,360
------------
5,284,734
- ---------------------------------------------------------------------------------------------------------------------------
Beverages--1.4% 49,300 PepsiCo, Inc................................................... 3,083,715
- ---------------------------------------------------------------------------------------------------------------------------
Biotechnology--3.6% 44,400 Amgen, Inc. (c)................................................ 3,032,964
64,000 Genentech, Inc. (c)............................................ 5,192,320
------------
8,225,284
- ---------------------------------------------------------------------------------------------------------------------------
Capital Markets--6.7% 246,700 The Charles Schwab Corp........................................ 4,771,178
29,400 Franklin Resources, Inc........................................ 3,238,998
18,700 Goldman Sachs Group, Inc....................................... 3,727,845
53,000 State Street Corp.............................................. 3,574,320
------------
15,312,341
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals--4.5% 40,300 Air Products & Chemicals, Inc.................................. 2,832,284
100,600 Nalco Holding Co. (c).......................................... 2,058,276
89,900 Praxair, Inc................................................... 5,333,767
------------
10,224,327
- ---------------------------------------------------------------------------------------------------------------------------
Communications 277,200 Cisco Systems, Inc. (c)........................................ 7,575,876
Equipment--8.1% 233,800 Corning, Inc. (c).............................................. 4,374,398
110,600 Motorola, Inc.................................................. 2,273,936
116,300 QUALCOMM, Inc.................................................. 4,394,977
------------
18,619,187
- ---------------------------------------------------------------------------------------------------------------------------
Computers & 45,600 Seagate Technology............................................. 1,208,400
Peripherals--1.0% 56,700 Western Digital Corp. (c)...................................... 1,160,082
------------
2,368,482
- ---------------------------------------------------------------------------------------------------------------------------
Construction & 16,700 Fluor Corp..................................................... 1,363,555
Engineering--1.1% 13,600 Jacobs Engineering Group, Inc. (c)............................. 1,108,944
------------
2,472,499
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial 90,500 Bank of America Corp........................................... 4,831,795
Services--6.2% 5,100 Chicago Mercantile Exchange Holdings, Inc...................... 2,599,725
49,500 Citigroup, Inc................................................. 2,757,150
79,700 JPMorgan Chase & Co............................................ 3,849,510
800 Nymex Holdings, Inc. (c)....................................... 99,208
------------
14,137,388
- ---------------------------------------------------------------------------------------------------------------------------
Electrical Equipment--1.7% 87,600 Emerson Electric Co............................................ 3,860,532
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment 33,300 Baker Hughes, Inc. (d)......................................... 2,486,178
& Services--7.6% 21,100 Cameron International Corp. (c)................................ 1,119,355
19,500 FMC Technologies, Inc. (c)..................................... 1,201,785
48,100 Grant Prideco, Inc. (c)(d)..................................... 1,912,937
77,800 Halliburton Co. (d)............................................ 2,415,690
31,400 National Oilwell Varco, Inc. (c)(d)............................ 1,921,052
44,900 Schlumberger Ltd. (d).......................................... 2,835,884
36,500 Transocean, Inc. (c)(d)........................................ 2,952,485
10,900 Weatherford International Ltd. (c)............................. 455,511
------------
17,300,877
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Equipment 31,900 Alcon, Inc..................................................... 3,565,463
& Supplies--2.6% 11,900 Intuitive Surgical, Inc. (c)................................... 1,141,210
24,200 Varian Medical Systems, Inc. (c)............................... 1,151,194
------------
5,857,867
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers 17,700 Laboratory Corp. of America Holdings (c)....................... 1,300,419
& Services--1.0% 18,800 Quest Diagnostics, Inc......................................... 996,400
------------
2,296,819
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 45,900 International Game Technology.................................. 2,120,580
& Leisure--5.0% 17,900 Melco PBL Entertainment Macau Ltd. (a)(c)...................... 380,554
150,200 Starbucks Corp. (c)(d)......................................... 5,320,084
63,000 Yum! Brands, Inc............................................... 3,704,400
------------
11,525,618
- ---------------------------------------------------------------------------------------------------------------------------
Household Products--1.8% 62,300 The Procter & Gamble Co........................................ 4,004,021
- ---------------------------------------------------------------------------------------------------------------------------
43
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Fundamental Growth Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
IT Services--6.3% 35,900 Cognizant Technology Solutions Corp. (c)....................... $ 2,770,044
75,700 Infosys Technologies Ltd....................................... 3,834,258
60,200 Paychex, Inc................................................... 2,380,308
332,500 Satyam Computer Services Ltd................................... 3,631,507
68,300 Tata Consultancy Services Ltd.................................. 1,885,734
------------
14,501,851
- ---------------------------------------------------------------------------------------------------------------------------
Industrial 261,300 General Electric Co............................................ 9,722,973
Conglomerates--5.0% 18,300 Textron, Inc................................................... 1,715,991
------------
11,438,964
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--2.5% 80,000 American International Group, Inc.............................. 5,732,800
- ---------------------------------------------------------------------------------------------------------------------------
Internet Software 53,100 Akamai Technologies, Inc. (c).................................. 2,820,672
& Services--4.8% 12,300 Google, Inc. Class A (c)....................................... 5,663,904
100,000 Yahoo!, Inc. (c)............................................... 2,554,000
------------
11,038,576
- ---------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools 20,900 Covance, Inc. (c).............................................. 1,231,219
& Services--2.2% 85,200 Thermo Electron Corp. (c)...................................... 3,858,708
------------
5,089,927
- ---------------------------------------------------------------------------------------------------------------------------
Machinery--1.3% 83,200 Pall Corp...................................................... 2,874,560
- ---------------------------------------------------------------------------------------------------------------------------
Media--1.9% 125,500 Walt Disney Co................................................. 4,300,885
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.5% 12,500 Allegheny Technologies, Inc.................................... 1,133,500
- ---------------------------------------------------------------------------------------------------------------------------
Multiline Retail--4.3% 54,800 Kohl's Corp. (c)............................................... 3,749,964
38,400 Nordstrom, Inc................................................. 1,894,656
73,500 Target Corp.................................................... 4,193,175
------------
9,837,795
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--4.3% 44,100 GlaxoSmithKline Plc (a)........................................ 2,326,716
20,900 Novartis AG (a)................................................ 1,200,496
70,200 Novartis AG Registered Shares.................................. 4,047,230
13,100 Roche Holding AG............................................... 2,349,077
------------
9,923,519
- ---------------------------------------------------------------------------------------------------------------------------
Software--5.6% 70,900 Activision, Inc. (c)........................................... 1,222,316
60,300 Adobe Systems, Inc. (c)........................................ 2,479,536
40,300 Electronic Arts, Inc. (c)...................................... 2,029,508
215,000 Oracle Corp. (c)............................................... 3,685,100
65,000 SAP AG (a)..................................................... 3,451,500
------------
12,867,960
- ---------------------------------------------------------------------------------------------------------------------------
Specialty Retail--4.1% 60,900 American Eagle Outfitters, Inc................................. 1,900,689
54,400 Best Buy Co., Inc.............................................. 2,675,936
182,250 Staples, Inc................................................... 4,866,075
------------
9,442,700
- ---------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 32,500 Nike, Inc. Class B............................................. 3,218,475
Luxury Goods--1.4%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$202,426,655)--98.8% 225,975,203
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------------------
$ 11,729 BlackRock Liquidity Series, LLC Cash Sweep Series,
5.26% (b)(f).................................................. 11,729
11,857,750 BlackRock Liquidity Series, LLC Money Market Series,
5.29% (b)(e)(f)............................................... 11,857,750
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$11,869,479)--5.2% 11,869,479
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$214,296,134*)--104.0%................ 237,844,682
Liabilities in Excess of Other Assets--(4.0%).................. (9,103,669)
------------
Net Assets--100.0%............................................. $228,741,013
============
- ---------------------------------------------------------------------------------------------------------------------------
44
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Fundamental Growth Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost.......................................... $214,495,296
============
Gross unrealized appreciation........................... $ 27,343,795
Gross unrealized depreciation........................... (3,994,409)
------------
Net unrealized appreciation............................. $ 23,349,386
============
(a) Depositary receipts.
(b) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
======================================================================================================================
Net Interest
Affiliate Activity Income
- ----------------------------------------------------------------------------------------------------------------------
Blackrock Liquidity Series, LLC Cash Sweep Series................................... $ (9,518,184) $ 301,800
Blackrock Liquidity Series, LLC Money Market Series................................. $(19,572,900) $ 27,104
- ----------------------------------------------------------------------------------------------------------------------
(c) Non-income producing security.
(d) Security, or a portion of security, is on loan.
(e) Security was purchased with the cash proceeds from securities loans.
(f) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
See Notes to Financial Statements.
45
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Australia--0.9% Beverages--0.0% 21,200 Coca-Cola Amatil Ltd............................ $ 129,857
------------------------------------------------------------------------------------------------------
Capital Markets--0.2% 8,400 Macquarie Bank Ltd.............................. 523,347
------------------------------------------------------------------------------------------------------
Metals & Mining--0.4% 18,900 BHP Billiton Ltd................................ 377,442
8,400 Newcrest Mining Ltd............................. 174,714
5,900 Rio Tinto Ltd................................... 346,026
20,200 Zinifex Ltd..................................... 299,603
----------
1,197,785
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 4,000 Woodside Petroleum Ltd.......................... 120,328
Fuels--0.0%
------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.0% 30,800 Great Southern Plantations Ltd.................. 68,560
------------------------------------------------------------------------------------------------------
Transportation 44,000 Macquarie Airports.............................. 125,033
Infrastructure--0.3% 144,900 Macquarie Infrastructure Group.................. 395,742
108,964 Sydney Roads Group.............................. 113,534
30,500 Transurban Group................................ 183,452
----------
817,761
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 2,857,638
- ---------------------------------------------------------------------------------------------------------------------------
Austria--0.0% Diversified 2,400 Telekom Austria AG.............................. 64,313
Telecommunication
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 64,313
- ---------------------------------------------------------------------------------------------------------------------------
Belgium--0.1% Leisure Equipment & 11,808 AGFA-Gevaert NV................................. 301,766
Products--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 301,766
- ---------------------------------------------------------------------------------------------------------------------------
Brazil--1.5% Commercial Banks--0.0% 1,600 Uniao de Bancos Brasileiros SA (a).............. 148,736
------------------------------------------------------------------------------------------------------
Construction & 11,600 Obrascon Huarte Lain Brasil SA (f).............. 186,773
Engineering--0.1%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 2,800 Companhia Energetica de Minas Gerais (a)........ 134,960
------------------------------------------------------------------------------------------------------
Food & Staples 2,698,300 Cia Brasileira de Distribuicao Grupo Pao
Retailing--0.0% de Acucar.................................... 94,684
------------------------------------------------------------------------------------------------------
Food Products--0.1% 8,700 Cosan SA Industria e Comercio (f)............... 182,022
------------------------------------------------------------------------------------------------------
IT Services--0.1% 16,700 Datasul (f)..................................... 153,985
------------------------------------------------------------------------------------------------------
Leisure Equipment & 4,900 Localiza Rent A Car SA.......................... 147,355
Products--0.0%
------------------------------------------------------------------------------------------------------
Metals & Mining--0.2% 14,800 Companhia Vale do Rio Doce
(Preference `A' Shares) (a)................... 388,500
5,400 Usinas Siderurgicas de Minas Gerais SA
(Preference `A' Shares)....................... 203,464
----------
591,964
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 24,900 Petroleo Brasileiro SA (a)...................... 2,466,243
Fuels--0.8%
------------------------------------------------------------------------------------------------------
Road & Rail--0.1% 26,000 All America Latina Logistica SA................. 269,796
------------------------------------------------------------------------------------------------------
Software--0.0% 200 Totvs SA (f).................................... 4,427
------------------------------------------------------------------------------------------------------
Water Utilities--0.0% 12,200 Cia de Saneamento de Minas Gerais............... 143,042
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 48,500 Vivo Participacoes SA (a)....................... 198,850
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Brazil 4,722,837
- ---------------------------------------------------------------------------------------------------------------------------
Canada--1.2% Communications 13,400 Nortel Networks Corp. (f)....................... 358,182
Equipment--0.1%
------------------------------------------------------------------------------------------------------
Diversified 300 BCE, Inc........................................ 8,100
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------
Insurance--0.0% 200 Sun Life Financial, Inc......................... 8,470
------------------------------------------------------------------------------------------------------
Metals & Mining--0.5% 40,400 Alamos Gold, Inc. (f)........................... 334,660
7,594 Barrick Gold Corp............................... 233,136
138,500 Bema Gold Corp. (f)............................. 724,478
25,200 Kinross Gold Corp. (f).......................... 299,376
----------
1,591,650
------------------------------------------------------------------------------------------------------
46
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Canada Oil, Gas & Consumable 6,800 Petro-Canada.................................... $ 278,438
(concluded) Fuels--0.3% 6,300 Suncor Energy, Inc. (a)......................... 497,133
5,400 Talisman Energy, Inc............................ 91,686
----------
867,257
------------------------------------------------------------------------------------------------------
Road & Rail--0.3% 12,000 Canadian Pacific Railway Ltd.................... 631,823
5,300 Canadian Pacific Railway Ltd. (US).............. 279,628
----------
911,451
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Canada 3,745,110
- ---------------------------------------------------------------------------------------------------------------------------
Chile--0.1% Commercial Banks--0.1% 6,200 Banco Santander Chile SA (a).................... 298,592
------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 7,900 Enersis SA (a).................................. 126,400
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Chile 424,992
- ---------------------------------------------------------------------------------------------------------------------------
China--1.3% Automobiles--0.0% 200,000 Denway Motors Ltd............................... 80,995
------------------------------------------------------------------------------------------------------
Electrical 540,000 Shanghai Electric Group Corp.................... 227,016
Food Products--0.1% 212,200 Chaoda Modern Agriculture Holdings Ltd.......... 136,678
------------------------------------------------------------------------------------------------------
Industrial 338,800 Beijing Enterprises Holdings Ltd................ 723,919
Conglomerates--0.3% 55,200 Shanghai Industrial Holdings Ltd................ 117,521
247,100 Tianjin Development Holdings Ltd................ 175,359
----------
1,016,799
------------------------------------------------------------------------------------------------------
Insurance--0.2% 7,733 China Life Insurance Co. Ltd. (a)............... 390,601
33,000 Ping An Insurance Group Co. of China Ltd........ 182,643
----------
573,244
------------------------------------------------------------------------------------------------------
Marine--0.0% 393,200 Xiamen International Port Co. Ltd. (f).......... 99,080
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 256,600 China Shenhua Energy Co. Ltd. Class H........... 617,558
Fuels--0.4% 663,100 Yanzhou Coal Mining Co. Ltd..................... 535,370
----------
1,152,928
------------------------------------------------------------------------------------------------------
Road & Rail--0.2% 916,300 Guangshen Railway Co. Ltd....................... 624,351
------------------------------------------------------------------------------------------------------
Transportation 98,300 Hainan Meilan International Airport Co., Ltd. (f) 56,996
Infrastructure--0.0% 88,000 Jiangsu Express................................. 58,717
----------
115,713
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 6,700 China Communications Services Corp. Ltd. (f).... 3,824
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in China 4,030,628
- ---------------------------------------------------------------------------------------------------------------------------
Denmark--0.2% Commercial Banks--0.2% 11,177 Danske Bank A/S................................. 496,641
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 496,641
- ---------------------------------------------------------------------------------------------------------------------------
Finland--0.2% Communications 6,600 Nokia Oyj (a)................................... 134,112
- ---------------------------------------------------------------------------------------------------------------------------
Equipment--0.0%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 21,231 Fortum Oyj...................................... 604,238
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 738,350
- ---------------------------------------------------------------------------------------------------------------------------
France--2.4% Aerospace & Defense--0.1% 12,000 European Aeronautic Defense and Space Co........ 413,438
- ---------------------------------------------------------------------------------------------------------------------------
Automobiles--0.4% 7,064 Peugeot SA...................................... 468,105
6,013 Renault SA...................................... 722,306
----------
1,190,411
------------------------------------------------------------------------------------------------------
Chemicals--0.0% 175 Arkema (a)(f)................................... 8,984
------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 8,306 BNP Paribas..................................... 906,199
14,122 Credit Agricole SA.............................. 593,924
----------
1,500,123
------------------------------------------------------------------------------------------------------
Construction & 4,661 Vinci SA........................................ 595,584
Engineering--0.2%
------------------------------------------------------------------------------------------------------
Diversified 17,500 France Telecom SA............................... 483,961
Telecommunication
Services--0.2%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 7,680 Electricite de France........................... 559,615
------------------------------------------------------------------------------------------------------
Insurance--0.1% 2,940 Assurances Generales de France (AGF)............ 458,338
------------------------------------------------------------------------------------------------------
Machinery--0.2% 1,681 Vallourec....................................... 488,845
------------------------------------------------------------------------------------------------------
47
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
France Oil, Gas & Consumable 7,000 Total SA (a).................................... $ 503,440
(concluded) Fuels--0.5% 14,405 Total SA........................................ 1,039,183
----------
1,542,623
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 7,241,922
- ---------------------------------------------------------------------------------------------------------------------------
Germany--1.8% Air Freight & 17,709 Deutsche Post AG................................ 533,923
------------------------------------------------------------------------------------------------------
Logistics--0.2%
------------------------------------------------------------------------------------------------------
Automobiles--0.1% 8,130 Bayerische Motoren Werke AG..................... 466,948
------------------------------------------------------------------------------------------------------
Chemicals--0.4% 7,199 BASF AG......................................... 701,797
10,616 Bayer AG........................................ 569,793
----------
1,271,590
------------------------------------------------------------------------------------------------------
Construction & 7,031 Hochtief AG..................................... 512,324
Engineering--0.2%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.3% 6,103 E.ON AG......................................... 828,423
------------------------------------------------------------------------------------------------------
Insurance--0.4% 3,839 Allianz AG Registered Shares.................... 784,270
2,556 Muenchener Rueckversicherungs AG
Registered Shares............................... 440,042
----------
1,224,312
------------------------------------------------------------------------------------------------------
Multi-Utilities--0.2% 5,218 RWE AG.......................................... 575,148
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 5,412,668
- ---------------------------------------------------------------------------------------------------------------------------
Hong Kong--0.8% Commercial Banks--0.1% 17,500 HSBC Holdings Plc............................... 320,828
------------------------------------------------------------------------------------------------------
Computers & 150,000 Lenovo Group Ltd................................ 60,939
Peripherals--0.0%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.1% 84,500 Cheung Kong Infrastructure Holdings Ltd......... 262,355
------------------------------------------------------------------------------------------------------
Industrial 65,000 Hutchison Whampoa Ltd........................... 660,588
Conglomerates--0.2%
------------------------------------------------------------------------------------------------------
Real Estate Management 30,000 Cheung Kong Holdings Ltd........................ 369,297
& Development--0.4% 40,300 Sun Hung Kai Properties Ltd..................... 462,930
70,000 Wharf Holdings Ltd.............................. 258,733
----------
1,090,960
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 2,395,670
- ---------------------------------------------------------------------------------------------------------------------------
Hungary--0.1% Oil, Gas & Consumable 3,345 Mol Magyar Olaj- es Gazipari Rt................. 379,380
Fuels--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hungary 379,380
- ---------------------------------------------------------------------------------------------------------------------------
India--2.4% Automobiles--0.3% 3,300 Bajaj Auto Ltd.................................. 195,282
31,018 Tata Motors Ltd................................. 631,153
----------
826,435
------------------------------------------------------------------------------------------------------
Commercial Banks--0.1% 19,300 Karnataka Bank Ltd.............................. 65,780
11,700 State Bank of India Ltd......................... 329,271
----------
395,051
------------------------------------------------------------------------------------------------------
Construction Materials--0.1% 122,425 Gujarat Ambuja Cements Ltd...................... 390,150
------------------------------------------------------------------------------------------------------
Diversified Financial 3,990 Reliance Capital Ltd............................ 54,725
Services--0.0%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 5,557 Reliance Energy Ltd............................. 65,294
------------------------------------------------------------------------------------------------------
Gas Utilities--0.0% 98,500 Reliance Natural Resources Ltd. (f)............. 49,406
------------------------------------------------------------------------------------------------------
IT Services--0.2% 10,000 Infosys Technologies Ltd........................ 506,507
------------------------------------------------------------------------------------------------------
Media--0.4% 63,405 Wire and Wireless India Ltd..................... 122,804
57,331 Zee News Ltd.................................... 55,408
126,811 Zee Telefilms Ltd............................... 841,061
----------
1,019,273
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 5,700 Hindustan Petroleum Corp........................ 35,866
Fuels--0.8% 84,000 Reliance Industries Ltd......................... 2,410,587
----------
2,446,453
------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.0% 4,300 Wockhardt Ltd................................... 34,013
------------------------------------------------------------------------------------------------------
Road & Rail--0.1% 7,500 Container Corp. of India........................ 358,165
------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 15,100 Housing Development Finance Corp................ 555,043
Finance--0.2%
------------------------------------------------------------------------------------------------------
48
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
India Wireless Telecommunication 68,000 Reliance Communication Ventures Ltd. (f)........ $ 724,632
(concluded) Services--0.2%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in India 7,425,147
- ---------------------------------------------------------------------------------------------------------------------------
Ireland--0.2% Commercial Banks--0.2% 23,721 Allied Irish Banks Plc.......................... 704,538
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 704,538
- ---------------------------------------------------------------------------------------------------------------------------
Israel--0.3% Communications 76,300 ECI Telecom Ltd. (a)(f)......................... 660,758
Equipment--0.2%
------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.1% 3,734 Teva Pharmaceutical Industries Ltd. (a)......... 116,053
------------------------------------------------------------------------------------------------------
Software--0.0% 4,906 Ectel Ltd. (a)(f)............................... 23,990
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Israel 800,801
- ---------------------------------------------------------------------------------------------------------------------------
Italy--1.4% Commercial Banks--0.6% 88,664 Banca Intesa SpA................................ 684,687
48,229 Capitalia SpA................................... 456,474
83,257 UniCredito Italiano SpA......................... 729,756
----------
1,870,917
------------------------------------------------------------------------------------------------------
Diversified 128,135 Telecom Italia SpA.............................. 387,340
Telecommunication 212,824 Telecom Italia SpA (RNC)........................ 539,961
Services--0.3% ----------
927,301
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 2,750 ENI SpA (a)..................................... 185,020
Fuels--0.5% 35,121 ENI SpA......................................... 1,181,286
----------
1,366,306
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 4,164,524
- ---------------------------------------------------------------------------------------------------------------------------
Japan--7.3% Auto Components--0.1% 9,500 Toyota Industries Corp.......................... 436,662
------------------------------------------------------------------------------------------------------
Automobiles--0.4% 5,400 Honda Motor Co., Ltd............................ 213,268
35,000 Suzuki Motor Corp............................... 988,194
----------
1,201,462
------------------------------------------------------------------------------------------------------
Beverages--0.3% 29,018 Coca-Cola West Holdings Co. Ltd................. 671,775
7,000 Hokkaido Coca-Cola Bottling Co., Ltd............ 42,234
23,000 Mikuni Coca-Cola Bottling Co., Ltd.............. 222,453
----------
936,462
------------------------------------------------------------------------------------------------------
Building Products--0.1% 23,000 Asahi Glass Co., Ltd............................ 276,375
------------------------------------------------------------------------------------------------------
Capital Markets--0.1% 17,500 Nomura Holdings, Inc............................ 330,133
------------------------------------------------------------------------------------------------------
Chemicals--0.4% 9,300 Shin-Etsu Chemical Co., Ltd..................... 622,839
65,000 Sumitomo Chemical Co., Ltd...................... 504,138
----------
1,126,977
------------------------------------------------------------------------------------------------------
Commercial Banks--0.6% 48,997 The Bank of Fukuoka Ltd......................... 357,375
31,833 The Bank of Yokohama Ltd........................ 249,303
25 Mitsubishi UFJ Financial Group, Inc............. 308,811
53,900 Shinsei Bank Ltd................................ 317,046
60 Sumitomo Mitsui Financial Group, Inc............ 615,100
----------
1,847,635
------------------------------------------------------------------------------------------------------
Construction & 25,500 JGC Corp........................................ 438,196
Engineering--0.2% 68,000 Okumura Corp.................................... 336,557
----------
774,753
------------------------------------------------------------------------------------------------------
Consumer Finance--0.1% 9,600 Credit Saison Co., Ltd.......................... 330,742
------------------------------------------------------------------------------------------------------
Diversified Financial 860 NCB Holdings Ltd. (f)........................... 81,700
Services--0.5% 47,100 RHJ International (f)........................... 1,007,221
18,600 RHJ International (a)(e)(f)..................... 397,756
----------
1,486,677
------------------------------------------------------------------------------------------------------
Electronic Equipment & 8,000 Murata Manufacturing Co., Ltd................... 541,154
Instruments--0.2%
------------------------------------------------------------------------------------------------------
Food & Staples 4,500 Ministop Co., Ltd............................... 76,951
Retailing--0.2% 18,500 Seven & I Holdings Co. Ltd...................... 575,186
----------
652,137
------------------------------------------------------------------------------------------------------
Food Products--0.2% 28,000 Ajinomoto Co., Inc.............................. 370,102
6,000 House Foods Corp................................ 98,920
----------
469,022
- ---------------------------------------------------------------------------------------------------------------------------
49
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Japan Gas Utilities--0.2% 116,000 Tokyo Gas Co., Ltd.............................. $ 617,016
(concluded) ------------------------------------------------------------------------------------------------------
Household Durables--0.0% 3,800 Rinnai Corp..................................... 113,676
------------------------------------------------------------------------------------------------------
Household Products--0.0% 10,200 Rohto Pharmaceutical Co., Ltd................... 108,424
------------------------------------------------------------------------------------------------------
Insurance--1.6% 130,000 Aioi Insurance Co., Ltd......................... 917,609
47,500 Millea Holdings, Inc............................ 1,676,400
128,000 Mitsui Sumitomo Insurance Co., Ltd.............. 1,400,412
116,700 Nipponkoa Insurance Co., Ltd.................... 946,309
----------
4,940,730
------------------------------------------------------------------------------------------------------
Machinery--0.2% 1,400 Fanuc Ltd....................................... 137,877
49,000 Kubota Corp..................................... 453,746
----------
591,623
------------------------------------------------------------------------------------------------------
Media--0.1% 23,700 Toho Co., Ltd................................... 428,175
------------------------------------------------------------------------------------------------------
Office Electronics--0.3% 14,250 Canon, Inc...................................... 802,277
------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.5% 16,000 Takeda Pharmaceutical Co., Ltd.................. 1,098,441
21,000 Tanabe Seiyaku Co., Ltd......................... 274,400
----------
1,372,841
------------------------------------------------------------------------------------------------------
Real Estate Management 101 Marco Polo Investment Holdings Ltd. (f)......... 103,790
& Development--0.2% 240 NTT Urban Development Co........................ 463,846
----------
567,636
------------------------------------------------------------------------------------------------------
Road & Rail--0.1% 53 East Japan Railway Co........................... 354,061
------------------------------------------------------------------------------------------------------
Tobacco--0.2% 95 Japan Tobacco, Inc.............................. 459,014
------------------------------------------------------------------------------------------------------
Trading Companies & 30,000 Mitsubishi Corp................................. 564,682
Distributors--0.2%
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 515 NTT DoCoMo, Inc................................. 813,579
Services--0.3%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 22,143,925
- ---------------------------------------------------------------------------------------------------------------------------
Malaysia--0.6% Diversified 55,000 Telekom Malaysia Bhd............................ 151,998
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 223,487 Tenaga Nasional Bhd............................. 690,479
------------------------------------------------------------------------------------------------------
Food Products--0.2% 94,300 IOI Corp. Bhd................................... 491,814
------------------------------------------------------------------------------------------------------
Independent Power Producers 19,000 Malakoff Bhd.................................... 54,393
& Energy Traders--0.0%
------------------------------------------------------------------------------------------------------
Tobacco--0.1% 20,000 British American Tobacco Malaysia Bhd........... 245,181
------------------------------------------------------------------------------------------------------
Transportation 76,400 PLUS Expressways Bhd............................ 60,851
Infrastructure--0.0%
------------------------------------------------------------------------------------------------------
Wireless 95,000 Maxis Communications Bhd........................ 274,660
Telecommunication
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Malaysia 1,969,376
- ---------------------------------------------------------------------------------------------------------------------------
Mexico--0.4% Beverages--0.1% 3,900 Fomento Economico Mexicano, SA de CV (a)........ 451,464
------------------------------------------------------------------------------------------------------
Media--0.3% 29,200 Grupo Televisa, SA (a).......................... 788,692
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Mexico 1,240,156
- ---------------------------------------------------------------------------------------------------------------------------
Netherlands--0.4% Diversified Financial 16,614 ING Groep NV CVA................................ 736,670
Services--0.2%
------------------------------------------------------------------------------------------------------
Metals & Mining--0.2% 10,389 Mittal Steel Co. NV............................. 438,435
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 1,175,105
- ---------------------------------------------------------------------------------------------------------------------------
New Zealand--0.1% Diversified 46,000 Telecom Corp. of New Zealand Ltd................ 157,509
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 22,700 Contact Energy Ltd.............................. 133,064
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 290,573
- ---------------------------------------------------------------------------------------------------------------------------
Norway--0.2% Diversified 6,700 Telenor ASA..................................... 125,990
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------
50
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Norway Oil, Gas & Consumable 19,854 Statoil ASA..................................... $ 526,186
(concluded) Fuels--0.2%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 652,176
- ---------------------------------------------------------------------------------------------------------------------------
Peru--0.0% Metals & Mining--0.0% 2,000 Southern Copper Corp............................ 107,780
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Peru 107,780
- ---------------------------------------------------------------------------------------------------------------------------
Singapore--1.4% Commercial Banks--0.1% 54,400 Oversea-Chinese Banking Corp.................... 273,108
------------------------------------------------------------------------------------------------------
Diversified 450,200 Singapore Telecommunications Ltd................ 962,775
Telecommunication
Services--0.3%
------------------------------------------------------------------------------------------------------
Health Care Providers 157,500 Parkway Holdings Ltd............................ 322,445
& Services--0.1%
------------------------------------------------------------------------------------------------------
Industrial 147,500 Fraser and Neave Ltd............................ 432,763
Conglomerates--0.4% 64,000 Keppel Corp. Ltd................................ 734,409
------------
1,167,172
------------------------------------------------------------------------------------------------------
Real Estate Management 167,400 CapitaLand Ltd.................................. 676,694
& Development--0.4% 91,000 Keppel Land Ltd................................. 409,389
------------
1,086,083
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 216,000 MobileOne Ltd................................... 302,787
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 4,114,370
- ---------------------------------------------------------------------------------------------------------------------------
South Africa--0.1% Metals & Mining--0.1% 10,600 Gold Fields Ltd. (a)............................ 200,128
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 2,900 Sasol Ltd....................................... 107,010
Fuels--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in South Africa 307,138
- ---------------------------------------------------------------------------------------------------------------------------
South Korea--2.3% Chemicals--0.1% 11,900 Samsung Fine Chemicals Co., Ltd................. 298,140
------------------------------------------------------------------------------------------------------
Commercial Banks--0.3% 8,600 Daegu Bank...................................... 147,032
3,300 Hana Financial Group, Inc....................... 173,516
4,000 Kookmin Bank.................................... 322,151
11,200 Pusan Bank...................................... 139,699
------------
782,398
------------------------------------------------------------------------------------------------------
Diversified 42,000 KT Corp. (a).................................... 1,064,700
Telecommunication
Services--0.4%
------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 13,500 Korea Electric Power Corp. (f).................. 615,484
------------------------------------------------------------------------------------------------------
Electrical Equipment--0.1% 6,400 LS Cable Ltd.................................... 264,258
------------------------------------------------------------------------------------------------------
Electronic Equipment & 9,000 Fine DNC Co., Ltd............................... 44,806
Instruments--0.0% 7,304 Interflex Co., Ltd.............................. 61,652
------------
106,458
------------------------------------------------------------------------------------------------------
Food Products--0.2% 3,900 CJ Corp......................................... 469,677
400 Nong Shim Co., Ltd.............................. 122,581
------------
592,258
------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 15,832 Paradise Co. Ltd................................ 67,243
Leisure--0.0%
------------------------------------------------------------------------------------------------------
Insurance--0.2% 6,300 Dongbu Insurance Co., Ltd....................... 167,661
24,300 Korean Reinsurance Co........................... 331,839
24,900 Meritz Fire & Marine Insurance Co. Ltd.......... 170,016
------------
669,516
------------------------------------------------------------------------------------------------------
Metals & Mining--0.4% 16,000 POSCO (a)....................................... 1,322,720
------------------------------------------------------------------------------------------------------
Multiline Retail--0.0% 3,500 Lotte Shopping Co. (a)(e)(f).................... 72,634
------------------------------------------------------------------------------------------------------
Textiles, Apparel & 4,500 Cheil Industries, Inc........................... 189,919
Luxury Goods--0.1%
------------------------------------------------------------------------------------------------------
Tobacco--0.2% 10,800 KT&G Corp....................................... 656,129
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 1,300 SK Telecom Co., Ltd............................. 311,022
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in South Korea 7,012,879
- ---------------------------------------------------------------------------------------------------------------------------
51
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Spain--0.3% Commercial Banks--0.2% 26,164 Banco Bilbao Vizcaya Argentaria SA.............. $ 629,967
------------------------------------------------------------------------------------------------------
Transportation 8,925 Cintra Concesiones de Infraestructuras de
Infrastructure--0.1% Transporte SA................................. 149,624
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 779,591
- ---------------------------------------------------------------------------------------------------------------------------
Sweden--0.4% Diversified Financial 32,926 Investor AB..................................... 808,006
Services--0.3%
------------------------------------------------------------------------------------------------------
Diversified 51,441 TeliaSonera AB.................................. 422,667
Telecommunication
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 1,230,673
- ---------------------------------------------------------------------------------------------------------------------------
Switzerland--0.9% Capital Markets--0.5% 12,025 Credit Suisse Group............................. 841,306
11,326 UBS AG.......................................... 688,297
------------
1,529,603
------------------------------------------------------------------------------------------------------
Food Products--0.2% 1,930 Nestle SA Registered Shares..................... 685,835
------------------------------------------------------------------------------------------------------
Insurance--0.2% 7,629 Swiss Reinsurance Registered Shares............. 648,637
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 2,864,075
- ---------------------------------------------------------------------------------------------------------------------------
Taiwan--0.8% Commercial Banks--0.2% 264,300 Chinatrust Financial Holding Co................. 221,027
289,730 SinoPac Financial Holdings Co., Ltd............. 155,157
228,908 Taishin Financial Holdings Co., Ltd............. 134,177
------------
510,361
------------------------------------------------------------------------------------------------------
Diversified Financial 199,000 Fubon Financial Holding Co. Ltd................. 186,267
Services--0.1%
------------------------------------------------------------------------------------------------------
Diversified 71,220 Chunghwa Telecom Co Ltd......................... 132,452
Telecommunication 36,270 Chunghwa Telecom Co. Ltd. (a)................... 715,607
Services--0.3%
------------
848,059
------------------------------------------------------------------------------------------------------
Electronic Equipment & 147,332 Delta Electronics, Inc.......................... 474,754
Instruments--0.1%
------------------------------------------------------------------------------------------------------
Insurance--0.1% 150,413 Cathay Financial Holding Co., Ltd............... 341,585
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Taiwan 2,361,026
- ---------------------------------------------------------------------------------------------------------------------------
Thailand--0.6% Commercial Banks--0.1% 244,000 Siam Commercial Bank PCL Foreign Shares......... 399,210
------------------------------------------------------------------------------------------------------
Construction Materials--0.1% 41,200 Siam Cement PCL Foreign Shares.................. 295,199
3,700 Siam City Cement PCL Foreign Shares............. 26,511
------------
321,710
------------------------------------------------------------------------------------------------------
Electronic Equipment & 223,000 Hana Microelectronics PCL....................... 176,135
Instruments--0.1%
------------------------------------------------------------------------------------------------------
Food Products--0.0% 87,000 Thai Union Frozen Products PCL Foreign Shares... 66,876
------------------------------------------------------------------------------------------------------
Household Durables--0.0% 258,000 Land and Houses PCL Foreign Shares.............. 50,217
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 108,000 PTT Exploration & Production PCL................ 293,992
Fuels--0.2% 73,000 PTT PCL......................................... 432,440
------------
726,432
------------------------------------------------------------------------------------------------------
Transportation 22,500 Airports of Thailand PCL........................ 37,130
Infrastructure--0.1% 99,000 Bangkok Expressway PCL Foreign Shares........... 67,303
------------
104,433
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Thailand 1,845,013
- ---------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense--0.2% 76,715 BAE Systems Plc................................. 639,504
Kingdom--3.8%
------------------------------------------------------------------------------------------------------
Beverages--0.2% 6,200 Diageo Plc (a).................................. 491,722
------------------------------------------------------------------------------------------------------
Commercial Banks--0.8% 81,160 Barclays Plc.................................... 1,160,042
57,782 HBOS Plc........................................ 1,280,701
------------
2,440,743
------------------------------------------------------------------------------------------------------
Diversified Financial 84,040 Guinness Peat Group Plc......................... 144,473
Services--0.0%
------------------------------------------------------------------------------------------------------
Food Products--0.2% 14,600 Cadbury Schweppes Plc (a)....................... 626,778
16,300 RHM Plc......................................... 120,719
------------
747,497
------------------------------------------------------------------------------------------------------
52
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
United Kingdom Insurance--0.5% 54,888 Aviva Plc....................................... $ 883,401
(concluded) 42,890 Prudential Plc.................................. 587,425
------------
1,470,826
------------------------------------------------------------------------------------------------------
Media--0.1% 7,632 NTL, Inc........................................ 192,632
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 2,000 BP Plc (a)...................................... 134,200
Fuels--0.6% 5,300 Royal Dutch Shell Plc (a)....................... 375,187
35,388 Royal Dutch Shell Plc Class B................... 1,240,274
------------
1,749,661
------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.4% 41,925 GlaxoSmithKline Plc............................. 1,103,268
------------------------------------------------------------------------------------------------------
Specialty Retail--0.1% 56,019 Kesa Electricals Plc............................ 372,104
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 593,698 Vodafone Group Plc.............................. 1,644,867
Services--0.7% 17,622 Vodafone Group Plc (a).......................... 489,539
------------
2,134,406
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United Kingdom 11,486,836
- ---------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense--0.1% 100 Boeing Co....................................... 8,884
States--21.9% 1,800 General Dynamics Corp........................... 133,830
100 Lockheed Martin Corp............................ 9,207
100 Northrop Grumman Corp........................... 6,770
200 Raytheon Co..................................... 10,560
2,300 Spirit Aerosystems Holdings, Inc. Class A (f)... 76,981
------------
246,232
------------------------------------------------------------------------------------------------------
Air Freight & Logistics--0.0% 800 FedEx Corp...................................... 86,896
------------------------------------------------------------------------------------------------------
Airlines--0.0% 200 AMR Corp. (f)................................... 6,046
200 Continental Airlines, Inc. Class B (f).......... 8,250
------------
14,296
------------------------------------------------------------------------------------------------------
Beverages--0.3% 8,400 The Coca-Cola Co................................ 405,300
6,100 Constellation Brands, Inc. Class A (f).......... 177,022
2,900 Molson Coors Brewing Co. Class B................ 221,676
300 Pepsi Bottling Group, Inc....................... 9,273
2,900 PepsiAmericas, Inc.............................. 60,842
------------
874,113
------------------------------------------------------------------------------------------------------
Biotechnology--0.0% 900 Amgen, Inc. (f)................................. 61,479
------------------------------------------------------------------------------------------------------
Capital Markets--0.4% 200 Ameriprise Financial, Inc....................... 10,900
10,800 The Bank of New York Co., Inc................... 425,196
100 The Bear Stearns Cos., Inc...................... 16,278
100 Goldman Sachs Group, Inc........................ 19,935
18,500 Knight Capital Group, Inc. Class A (f).......... 354,645
800 Lehman Brothers Holdings, Inc................... 62,496
700 Mellon Financial Corp........................... 29,505
100 Morgan Stanley.................................. 8,143
2,500 Northern Trust Corp............................. 151,725
------------
1,078,823
------------------------------------------------------------------------------------------------------
Chemicals--0.1% 3,850 E.I. du Pont de Nemours & Co.................... 187,533
1,310 Tronox, Inc. Class B............................ 20,685
------------
208,218
------------------------------------------------------------------------------------------------------
Commercial Banks--0.3% 4,550 Fifth Third Bancorp............................. 186,231
300 National City Corp.............................. 10,968
4,700 Wachovia Corp................................... 267,665
15,300 Wells Fargo & Co................................ 544,068
------------
1,008,932
------------------------------------------------------------------------------------------------------
Commercial Services 300 Waste Management, Inc........................... 11,031
& Supplies--0.0%
------------------------------------------------------------------------------------------------------
Communications 100,300 3Com Corp. (f).................................. 412,233
Equipment--1.6% 700 Avaya, Inc. (f)................................. 9,786
65,500 Cisco Systems, Inc. (f)......................... 1,790,115
44,600 Comverse Technology, Inc. (f)................... 941,506
14,300 Extreme Networks, Inc. (f)...................... 59,917
4,737 JDS Uniphase Corp. (f).......................... 78,918
------------------------------------------------------------------------------------------------------
53
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
United States Communications 40,500 Motorola, Inc................................... $ 832,680
(continued) Equipment 16,500 QUALCOMM, Inc................................... 623,535
(concluded) 5,100 Tellabs, Inc. (f)............................... 52,326
------------
4,801,016
------------------------------------------------------------------------------------------------------
Computers & 8,971 Hewlett-Packard Co.............................. 369,515
Peripherals--0.7% 9,000 International Business Machines Corp............ 874,350
9,500 Lexmark International, Inc. Class A (f)......... 695,400
56,450 Sun Microsystems, Inc. (f)...................... 305,959
------------
2,245,224
------------------------------------------------------------------------------------------------------
Construction & 2,600 Chicago Bridge & Iron Co. NV.................... 71,084
Engineering--0.9% 42,006 Foster Wheeler Ltd. (f)......................... 2,316,211
11,000 Quanta Services, Inc. (f)....................... 216,370
------------
2,603,665
------------------------------------------------------------------------------------------------------
Containers & 10,600 Crown Holdings, Inc. (f)........................ 221,752
Packaging--0.1% 9,800 Smurfit-Stone Container Corp. (f)............... 103,488
------------
325,240
------------------------------------------------------------------------------------------------------
Diversified Consumer 13,200 Career Education Corp. (f)...................... 327,096
Services--0.1%
------------------------------------------------------------------------------------------------------
Diversified Financial 12,719 Bank of America Corp............................ 679,067
Services--0.7% 200 CIT Group, Inc.................................. 11,154
23,200 Citigroup, Inc.................................. 1,292,240
3,100 JPMorgan Chase & Co............................. 149,730
------------
2,132,191
------------------------------------------------------------------------------------------------------
Diversified 16,200 AT&T, Inc....................................... 579,150
Telecommunication 5,300 BellSouth Corp.................................. 249,683
Services--0.7% 5,900 Cincinnati Bell, Inc. (f)....................... 26,963
1,212 Embarq Corp..................................... 63,703
1,100 Qwest Communications International Inc. (f)..... 9,207
27,000 Verizon Communications, Inc..................... 1,005,480
5,571 Windstream Corp................................. 79,220
------------
2,013,406
------------------------------------------------------------------------------------------------------
Electric Utilities--0.2% 9,800 Mirant Corp. (f)................................ 309,386
10,700 PPL Corp........................................ 383,488
------------
692,874
------------------------------------------------------------------------------------------------------
Energy Equipment & 1,400 Baker Hughes, Inc............................... 104,524
Services--0.8% 4,600 ENSCO International, Inc........................ 230,276
7,914 GlobalSantaFe Corp.............................. 465,185
6,200 Halliburton Co.................................. 192,510
13,700 Key Energy Services, Inc. (f)................... 214,405
2,600 National Oilwell Varco, Inc. (f)................ 159,068
900 Noble Corp...................................... 68,535
8,550 Schlumberger Ltd................................ 540,018
2,250 Transocean, Inc. (f)............................ 182,002
3,600 Weatherford International Ltd. (f).............. 150,444
------------
2,306,967
------------------------------------------------------------------------------------------------------
Food & Staples 6,900 CVS Corp........................................ 213,279
Retailing--0.2% 400 The Kroger Co................................... 9,228
3,172 SUPERVALU Inc................................... 113,399
300 Safeway, Inc.................................... 10,368
7,300 Senomyx, Inc. (f)............................... 94,827
2,900 Wal-Mart Stores, Inc............................ 133,922
3,500 Walgreen Co..................................... 160,615
------------
735,638
------------------------------------------------------------------------------------------------------
Food Products--0.1% 8,200 ConAgra Foods, Inc.............................. 221,400
200 General Mills, Inc.............................. 11,520
300 Kraft Foods, Inc................................ 10,710
6,100 Sara Lee Corp................................... 103,883
------------
347,513
------------------------------------------------------------------------------------------------------
Health Care Equipment 4,300 Bausch & Lomb, Inc.............................. 223,858
& Supplies--0.2% 4,500 Baxter International, Inc....................... 208,755
4,700 Boston Scientific Corp. (f)..................... 80,746
------------
513,359
------------------------------------------------------------------------------------------------------
54
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
United States Health Care Providers 5,600 Aetna, Inc...................................... $ 241,808
(continued) & Services--0.7% 2,300 AmerisourceBergen Corp.......................... 103,408
3,700 Caremark Rx, Inc................................ 211,307
1,200 Cigna Corp...................................... 157,884
1,600 Health Management Associates, Inc. Class A...... 33,776
3,820 HealthSouth Corp. (f)........................... 86,523
1,800 Humana, Inc. (f)................................ 99,558
3,800 Manor Care, Inc................................. 178,296
200 McKesson Corp................................... 10,140
3,100 Medco Health Solutions, Inc. (f)................ 165,664
16,100 Tenet Healthcare Corp. (f)...................... 112,217
2,750 Triad Hospitals, Inc. (f)....................... 115,033
5,600 UnitedHealth Group, Inc......................... 300,888
3,100 WellPoint, Inc. (f)............................. 243,939
------------
2,060,441
------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 20,800 Panera Bread Co. Class A (f).................... 1,162,928
Leisure--0.5% 4,469 Tim Hortons, Inc................................ 129,422
3,300 Wendy's International, Inc...................... 109,197
------------
1,401,547
------------------------------------------------------------------------------------------------------
Household Products--0.1% 3,200 The Procter & Gamble Co......................... 205,664
------------------------------------------------------------------------------------------------------
IT Services--0.0% 300 Accenture Ltd. Class A.......................... 11,079
400 Total System Services, Inc...................... 10,556
------------
21,635
------------------------------------------------------------------------------------------------------
Independent Power Producers 9,800 The AES Corp. (f)............................... 215,992
& Energy Traders--0.2% 16,832 Dynegy, Inc. Class A (f)........................ 121,864
6,300 TXU Corp........................................ 341,523
------------
679,379
------------------------------------------------------------------------------------------------------
Industrial 79,400 General Electric Co............................. 2,954,474
Conglomerates--1.5% 13,950 McDermott International, Inc. (f)............... 709,497
28,832 Tyco International Ltd.......................... 876,493
------------
4,540,464
------------------------------------------------------------------------------------------------------
Insurance--2.7% 11,900 ACE Ltd......................................... 720,783
6,200 The Allstate Corp............................... 403,682
33,700 American International Group, Inc............... 2,414,942
3,900 Assurant, Inc................................... 215,475
2,400 Bristol West Holdings, Inc...................... 37,992
200 Chubb Corp...................................... 10,582
2,100 Darwin Professional Underwriters, Inc. (f)...... 49,245
16,600 Endurance Specialty Holdings Ltd................ 607,228
1,400 Everest Re Group Ltd............................ 137,354
300 Genworth Financial, Inc. Class A................ 10,263
3,300 Hartford Financial Services Group, Inc.......... 307,923
10,900 IPC Holdings, Ltd............................... 342,805
200 Lincoln National Corp........................... 13,280
300 Loews Corp...................................... 12,441
4,200 Marsh & McLennan Cos., Inc...................... 128,772
11,900 Platinum Underwriters Holdings Ltd.............. 368,186
2,000 Prudential Financial, Inc....................... 171,720
6,400 RenaissanceRe Holdings Ltd...................... 384,000
13,722 The St. Paul Travelers Cos., Inc................ 736,734
15,700 XL Capital Ltd. Class A......................... 1,130,714
------------
8,204,121
------------------------------------------------------------------------------------------------------
Internet & Catalog 300 IAC/InterActiveCorp (f)......................... 11,148
Retail--0.0% 2,800 Liberty Media Holding Corp.--Interactive (f).... 60,396
------------
71,544
------------------------------------------------------------------------------------------------------
Internet Software & 9,400 eBay, Inc. (f).................................. 282,658
Services--0.1%
------------------------------------------------------------------------------------------------------
Life Sciences Tools & 2,700 Waters Corp. (f)................................ 132,219
Services--0.0%
------------------------------------------------------------------------------------------------------
Machinery--0.0% 100 Cummins, Inc.................................... 11,818
100 Eaton Corp...................................... 7,514
200 SPX Corp........................................ 12,232
200 Terex Corp. (f)................................. 12,916
------------
44,480
------------------------------------------------------------------------------------------------------
55
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
United States Media--0.4% 3,300 CBS Corp. Class B............................... $ 102,894
(continued) 14,945 Comcast Corp. Class A (f)....................... 632,622
1,080 Discovery Holding Co. (f)....................... 17,377
1,384 Idearc, Inc. (f)................................ 39,652
1,558 Liberty Global, Inc. (f)........................ 45,416
1,586 Liberty Global, Inc. Series C (f)............... 44,408
600 Liberty Media Holding Corp.--Capital (f)........ 58,788
200 The McGraw-Hill Cos., Inc....................... 13,604
100 Omnicom Group................................... 10,454
8,800 Time Warner, Inc................................ 191,664
3,727 Viacom, Inc. Class B (f)........................ 152,919
------------
1,309,798
------------------------------------------------------------------------------------------------------
Metals & Mining--0.4% 21,900 Alcoa, Inc...................................... 657,219
4,700 Freeport-McMoRan Copper & Gold, Inc. Class B.... 261,931
4,700 Newmont Mining Corp............................. 212,205
200 Nucor Corp...................................... 10,932
100 United States Steel Corp........................ 7,314
------------
1,149,601
------------------------------------------------------------------------------------------------------
Multi-Utilities--0.1% 8,500 CMS Energy Corp. (f)............................ 141,950
200 PG&E Corp....................................... 9,466
200 Sempra Energy................................... 11,208
------------
162,624
------------------------------------------------------------------------------------------------------
Multiline Retail--0.0% 500 Big Lots, Inc. (f).............................. 11,460
300 Family Dollar Stores, Inc....................... 8,799
100 JC Penney Co., Inc.............................. 7,736
100 Kohl's Corp. (f)................................ 6,843
200 Nordstrom, Inc.................................. 9,868
100 Sears Holdings Corp. (f)........................ 16,793
------------
61,499
------------------------------------------------------------------------------------------------------
Office Electronics--0.0% 600 Xerox Corp. (f)................................. 10,170
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 11,126 Chevron Corp.................................... 818,095
Fuels--2.4% 9,358 ConocoPhillips.................................. 673,308
2,600 Consol Energy, Inc.............................. 83,538
2,374 Devon Energy Corp............................... 159,248
98,100 El Paso Corp.................................... 1,498,968
27,443 Exxon Mobil Corp................................ 2,102,957
4,500 Foundation Coal Holdings, Inc................... 142,920
4,100 Hess Corp....................................... 203,237
3,400 Marathon Oil Corp............................... 314,500
4,800 Murphy Oil Corp................................. 244,080
2,650 Noble Energy, Inc............................... 130,035
9,300 Occidental Petroleum Corp....................... 454,119
2,300 Pogo Producing Co............................... 111,412
9,600 Rosetta Resources, Inc. (e)(f).................. 179,232
3,150 Stone Energy Corp. (f).......................... 111,352
------------
7,227,001
------------------------------------------------------------------------------------------------------
Paper & Forest 7,700 International Paper Co.......................... 262,570
Products--0.1%
------------------------------------------------------------------------------------------------------
Personal Products--0.1% 5,200 Avon Products, Inc.............................. 171,808
------------------------------------------------------------------------------------------------------
Pharmaceuticals--1.4% 7,400 Abbott Laboratories............................. 360,454
7,500 Bristol-Myers Squibb Co......................... 197,400
4,700 Eli Lilly & Co.................................. 244,870
17,800 Johnson & Johnson............................... 1,175,156
11,200 Merck & Co., Inc................................ 488,320
33,750 Pfizer, Inc..................................... 874,125
13,100 Schering-Plough Corp............................ 309,684
13,300 Valeant Pharmaceuticals International........... 229,292
1,900 Watson Pharmaceuticals, Inc. (f)................ 49,457
7,800 Wyeth........................................... 397,176
------------
4,325,934
------------------------------------------------------------------------------------------------------
Real Estate Investment 2,317 Ventas, Inc..................................... 98,055
Trusts (REITs)--0.0%
------------------------------------------------------------------------------------------------------
56
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
United States Road & Rail--1.1% 22,400 CSX Corp........................................ $ 771,232
(concluded) 8,000 Norfolk Southern Corp........................... 402,320
24,400 Union Pacific Corp.............................. 2,245,288
------------
3,418,840
------------------------------------------------------------------------------------------------------
Semiconductors & 1,786 Agere Systems, Inc. (f)......................... 34,238
Semiconductor 7,400 Cirrus Logic, Inc. (f).......................... 50,912
Equipment--0.1% 12,300 Genesis Microchip, Inc. (f)..................... 124,722
13,400 Intel Corp...................................... 271,350
------------
481,222
------------------------------------------------------------------------------------------------------
Software--1.4% 44,735 CA, Inc......................................... 1,013,248
300 McAfee, Inc. (f)................................ 8,514
81,200 Microsoft Corp.................................. 2,424,632
87,800 Novell, Inc. (f)................................ 544,360
500 Symantec Corp. (f).............................. 10,425
22,400 TIBCO Software, Inc. (f)........................ 211,456
------------
4,212,635
------------------------------------------------------------------------------------------------------
Specialty Retail--0.0% 300 American Eagle Outfitters, Inc.................. 9,363
200 Limited Brands.................................. 5,788
200 Office Depot, Inc. (f).......................... 7,634
200 The Sherwin-Williams Co......................... 12,716
300 Staples, Inc.................................... 8,010
300 TJX Cos., Inc................................... 8,556
------------
52,067
------------------------------------------------------------------------------------------------------
Textiles, Apparel & 762 Hanesbrands, Inc. (f)........................... 17,998
Luxury Goods--0.0% 31,800 Unifi, Inc. (f)................................. 77,910
------------
95,908
------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 150 Accredited Home Lenders Holding Co. (f)......... 4,092
Finance--0.1% 300 Countrywide Financial Corp...................... 12,735
5,425 Fannie Mae...................................... 322,191
2,375 Washington Mutual, Inc.......................... 108,039
------------
447,057
------------------------------------------------------------------------------------------------------
Tobacco--0.2% 4,600 Alliance One International, Inc. (f)............ 32,476
6,500 Altria Group, Inc............................... 557,830
200 Loews Corp.--Carolina Group..................... 12,944
------------
603,250
------------------------------------------------------------------------------------------------------
Transportation 29,000 Macquarie Infrastructure Co. Trust.............. 1,028,920
Infrastructure--0.3%
------------------------------------------------------------------------------------------------------
Wireless Telecommunication 8,000 Alltel Corp..................................... 483,840
Services--0.4% 39,950 Sprint Nextel Corp.............................. 754,656
------------
1,238,496
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United States 66,635,816
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$123,277,345)--56.3% 172,123,433
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ---------------------------------------------------------------------------------------------------------------------------
Australia--0.2% Commercial Banks--0.2% 12,200 National Australia Bank Ltd., 7.875% (k)........ 628,300
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in Australia 628,300
- ---------------------------------------------------------------------------------------------------------------------------
United States--0.5% Insurance--0.1% 1,500 IPC Holdings, Ltd., 7.25% (k)................... 44,062
8,100 Metlife, Inc. Series B, 6.375% (k).............. 247,698
8,000 XL Capital Ltd., 6.50% (k)...................... 189,040
------------
480,800
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 190 El Paso Corp., 4.99% (e)(k)..................... 251,750
Fuels--0.1%
------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 9 Fannie Mae Series 2004-1, 5.375% (k)............ 897,882
Finance--0.3%
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in the United States 1,630,432
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$1,892,639)--0.7% 2,258,732
- ---------------------------------------------------------------------------------------------------------------------------
57
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Shares
Country Industry Held Exchange-Traded Funds Value
- ---------------------------------------------------------------------------------------------------------------------------
United States--1.1% 26,400 Consumer Staples Select Sector SPDR Fund........ $ 691,152
26,500 Health Care Select Sector SPDR Fund............. 887,485
10,800 iShares Dow Jones US Telecommunications
Sector Index Fund............................. 320,220
3,200 Telecom HOLDRs Trust............................ 113,344
36,100 Utilities Select Sector SPDR Fund............... 1,325,592
- ---------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$3,081,031)--1.1% 3,337,793
- ---------------------------------------------------------------------------------------------------------------------------
Mutual Funds
- ---------------------------------------------------------------------------------------------------------------------------
Vietnam--0.5% Vietnam Enterprises (f):
376,500 C Shares...................................... 470,625
42,418 R Shares...................................... 186,639
190,000 Vietnam Opportunity Fund Ltd. (f)............... 728,650
- ---------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds
(Cost--$882,465)--0.5% 1,385,914
- ---------------------------------------------------------------------------------------------------------------------------
Industry Warrants (d)
- ---------------------------------------------------------------------------------------------------------------------------
United States--0.0% Communications 6,168 Lucent Technologies, Inc. (expires 12/10/2007).. 1,850
Equipment--0.0%
------------------------------------------------------------------------------------------------------
Diversified AboveNet, Inc.:
Telecommunication 302 expires 9/08/2008............................. 7,852
Services--0.0% 355 expires 9/08/2010............................. 5,680
------------
13,532
------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.0% 475 Mandra Forestry Finance Ltd.
(expires 5/15/2013)........................... 0
- ---------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost--$89,805)--0.0% 15,382
- ---------------------------------------------------------------------------------------------------------------------------
Fixed Income Securities
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Corporate Bonds
- ---------------------------------------------------------------------------------------------------------------------------
Brazil--0.1% Commercial USD 100,000 Banco Nacional de Desenvolvimento Economico
Banks--0.0% e Social, 5.873% due 6/16/2008 (b)............ 99,000
------------------------------------------------------------------------------------------------------
Food Products--0.1% 150,000 Cosan SA Industria e Comercio, 9% due
11/01/2009 (e)................................ 159,375
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Brazil 258,375
- ---------------------------------------------------------------------------------------------------------------------------
Canada--0.1% Metals & Mining--0.0% 30,000 Bema Gold Corp., 3.25% due 2/25/2011 (k)........ 35,533
------------------------------------------------------------------------------------------------------
Wireless Rogers Wireless Communications, Inc.:
Telecommunication 200,000 8.485% due 12/15/2010 (b)..................... 204,000
Services--0.1% CAD 100,000 7.625% due 12/15/2011......................... 94,965
------------
298,965
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Canada 334,498
- ---------------------------------------------------------------------------------------------------------------------------
Chile--0.3% Electric USD 1,023,822 Empresa Electrica del Norte Grande SA,
Utilities--0.3% 6% due 11/05/2017 (n)......................... 972,631
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Chile 972,631
- ---------------------------------------------------------------------------------------------------------------------------
China--0.3% Automobiles--0.0% 100,000 Brilliance China Finance Ltd., 0% due
6/07/2011 (k)(m).............................. 103,500
------------------------------------------------------------------------------------------------------
Chemicals--0.1% SGD 300,000 Bio-Treat Technology Ltd., 0% due
1/18/2013 (k)(m).............................. 202,934
------------------------------------------------------------------------------------------------------
Food Products--0.1% Chaoda Modern Agriculture Holdings Ltd.:
USD 160,000 7.75% due 2/08/2010........................... 160,000
HKD 1,650,000 0% due 5/08/2011 (k)(m)....................... 229,099
------------
389,099
------------------------------------------------------------------------------------------------------
Industrial USD 305,000 Beijing Enterprises Investment Ltd., 0%
Conglomerates--0.1% due 12/21/2010 (k)(m)......................... 369,812
------------------------------------------------------------------------------------------------------
Total Corporate Bonds in China 1,065,345
- ---------------------------------------------------------------------------------------------------------------------------
58
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Face
Country/Region Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Europe--1.1% Commercial European Investment Bank:
Banks--1.1% EUR 1,400,000 4% due 1/15/2007.............................. $ 1,848,118
BRL 500,000 0% due 5/01/2008 (m).......................... 199,876
1,850,425 0% due 9/12/2008 (e)(m)....................... 708,370
2,200,000 0% due 9/21/2010 (e)(m)....................... 663,783
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Europe 3,420,147
- ---------------------------------------------------------------------------------------------------------------------------
France--0.5% Commercial EUR 1,050,000 ERAP, 3.375% due 4/25/2008...................... 1,376,935
Banks--0.5%
------------------------------------------------------------------------------------------------------
Software--0.0% 39,900 Infogrames Entertainment SA Series WW,
4% due 4/01/2009 (k)(p)....................... 56,043
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in France 1,432,978
- ---------------------------------------------------------------------------------------------------------------------------
Germany--0.8% Commercial KfW--Kreditanstalt fuer Wiederaufbau:
Banks--0.8% GBP 250,000 5.375% due 12/07/2007......................... 489,353
250,000 4.50% due 12/07/2008.......................... 481,348
EUR 750,000 4.25% due 7/04/2014........................... 1,003,651
JPY 50,000,000 Norddeutsche Landesbank Girozentrale,
0.45% due 1/19/2009........................... 417,431
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Germany 2,391,783
- ---------------------------------------------------------------------------------------------------------------------------
Hong Kong--0.2% Industrial USD 250,000 Hutchison Whampoa International Ltd.,
Conglomerates--0.1% 5.45% due 11/24/2010.......................... 251,259
------------------------------------------------------------------------------------------------------
Real Estate 200,000 Hongkong Land CB 2005 Ltd., 2.75%
Management & due 12/21/2012 (k)............................ 232,750
Development--0.1%
------------------------------------------------------------------------------------------------------
Trading Companies 60,000 Noble Group Ltd., 0.90% due 4/20/2009 (k)....... 61,050
& Distributors--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Hong Kong 545,059
- ---------------------------------------------------------------------------------------------------------------------------
India--0.2% Automobiles--0.1% 120,000 Tata Motors Ltd., 1% due 4/27/2011 (k).......... 151,644
------------------------------------------------------------------------------------------------------
Metals & Mining--0.0% 100,000 Gujarat NRE Coke Ltd., 0% due
4/12/2011 (k)(m).............................. 84,250
------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 200,000 Housing Development Finance Corp., 0%
Finance--0.1% due 9/27/2010 (k)(m).......................... 237,100
------------------------------------------------------------------------------------------------------
Transportation 100,000 Punj Lloyd Ltd., 0% due 4/08/2011 (k)(m)........ 99,500
Infrastructure--0.0%
------------------------------------------------------------------------------------------------------
Wireless 100,000 Reliance Communication Ltd., 0% due
Telecommunication 5/10/2011 (k)(m).............................. 113,750
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in India 686,244
- ---------------------------------------------------------------------------------------------------------------------------
Japan--0.4% Commercial JPY 32,000,000 The Bank of Kyoto Ltd. Series 1, 1.90%
Banks--0.4% due 9/30/2009 (k)............................. 469,762
75,000,000 International Bank for Reconstruction &
Development Series 670, 2% due 2/18/2008...... 638,839
6,000,000 The Mie Bank Ltd., 1% due 10/31/2011 (k)........ 60,502
------------
1,169,103
------------------------------------------------------------------------------------------------------
Insurance--0.0% 10,000,000 ASIF II, 1.20% due 3/20/2008.................... 84,273
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Japan 1,253,376
- ---------------------------------------------------------------------------------------------------------------------------
Malaysia--0.5% Diversified Financial USD 300,000 Feringghi Capital Ltd., 0% due
Services--0.2% 12/22/2009 (k)(m)............................. 307,125
MYR 825,000 Johor Corp., 1% due 7/31/2009 (n)............... 261,905
------------
569,030
------------------------------------------------------------------------------------------------------
Diversified USD 500,000 Rafflesia Capital Ltd., 1.25%
Telecommunication due 10/04/2011 (k) ........................... 535,625
Services--0.2%
------------------------------------------------------------------------------------------------------
Food Products--0.0% 50,000 IOI Investment Bhd, 0% due 9/18/2009 (k)(m)..... 87,500
------------------------------------------------------------------------------------------------------
Hotels, Restaurants 380,000 Berjaya Land Bhd, 8% due 8/15/2011 (k).......... 112,153
& MYR 230,000 Resorts World Bhd, 0% due 9/19/2008 (k)(m)...... 72,038
Leisure--0.0% ------------
184,191
------------------------------------------------------------------------------------------------------
Multi-Utilities--0.1% USD 200,000 YTL Power Finance Cayman Ltd., 0%
due 5/09/2010 (k)(m).......................... 220,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Malaysia 1,596,346
- ---------------------------------------------------------------------------------------------------------------------------
59
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Face
Country Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Mexico--0.1% Household USD 215,000 Vitro Envases Norteamerica SA de CV, 11.03%
Durables--0.1% due 7/23/2011 (e)............................. $ 235,425
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Mexico 235,425
- ---------------------------------------------------------------------------------------------------------------------------
Netherlands--0.3% Semiconductors & ASM International NV (k):
Semiconductor USD 30,000 4.25% due 12/06/2011.......................... 34,431
Equipment--0.3% 100,000 4.25% due 12/06/2011 (e)...................... 113,750
EUR 550,000 Infineon Technologies Holding BV, 4.25%
due 2/06/2007 (k)............................. 726,751
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in the Netherlands 874,932
- ---------------------------------------------------------------------------------------------------------------------------
South Korea--0.1% Wireless USD 350,000 LG Telecom Ltd., 8.25% due 7/15/2009 (e)........ 368,375
Telecommunication
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in South Korea 368,375
- ---------------------------------------------------------------------------------------------------------------------------
Sweden--0.1% Diversified Financial TRY 503,625 Svensk Exportkredit AB, 10.50% due 9/29/2015.... 270,403
Services--0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Sweden 270,403
- ---------------------------------------------------------------------------------------------------------------------------
Taiwan--0.2% Construction USD 250,000 Taiwan Cement Corp., 0% due
Materials--0.2% 3/03/2009 (k)(m).............................. 435,418
------------------------------------------------------------------------------------------------------
Insurance--0.0% 20,000 Shin Kong Financial Holding Co. Ltd.,
0% due 6/17/2009 (k)(m)....................... 23,650
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in Taiwan 459,068
- ---------------------------------------------------------------------------------------------------------------------------
United Commercial GBP 90,000 International Bank for Reconstruction &
Kingdom--0.1% Banks--0.1% Development, 7.125% due 7/30/2007............. 178,143
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds in the United Kingdom 178,143
- ---------------------------------------------------------------------------------------------------------------------------
United States--1.6% Aerospace & USD 90,000 GenCorp, Inc., 5.75% due 4/15/2007 (k).......... 93,037
Defense--0.0%
------------------------------------------------------------------------------------------------------
Airlines--0.0% 136,210 Northwest Airlines, Inc. Series 1999-3-B,
9.485% due 10/01/2016 (h)(s).................. 29,966
------------------------------------------------------------------------------------------------------
Biotechnology--0.0% 60,000 Cell Genesys, Inc., 3.125% due 11/01/2011 (k)... 44,850
80,000 Nabi Biopharmaceuticals, 2.875%
due 4/15/2025 (k)............................. 72,200
------------
117,050
------------------------------------------------------------------------------------------------------
Commercial Banks--0.1% 150,000 PreTSL XXIV 0% due 3/22/2037(e)(f).............. 147,801
------------------------------------------------------------------------------------------------------
Communications 155,000 Lucent Technologies, Inc., 8% due
Equipment--0.1% 8/01/2031 (k)................................. 155,000
------------------------------------------------------------------------------------------------------
Containers & 150,000 Crown Cork & Seal Co., Inc., 7.50%
Packaging--0.1% due 12/15/2096................................ 123,750
------------------------------------------------------------------------------------------------------
Diversified Financial JPY 119,000,000 General Electric Capital Corp., 0%
Services--0.4% due 1/15/2010 (b)(m).......................... 999,858
USD 85,000 Triad Acquisition Corp. Series B, 11.125%
due 5/01/2013................................. 80,750
------------
1,080,608
------------------------------------------------------------------------------------------------------
Health Care Providers 200,000 Tenet Healthcare Corp., 9.25% due 2/01/2015..... 200,000
& Services--0.1%
------------------------------------------------------------------------------------------------------
Hotels, Restaurants 90,000 Uno Restaurant Corp., 10% due 2/15/2011 (e)..... 74,700
& Leisure--0.0%
------------------------------------------------------------------------------------------------------
Independent Power GBP 84,000 The AES Corp., 8.375% due 3/01/2011............. 171,255
Producers & Energy USD 140,000 Calpine Corp., 8.75% due 7/15/2013 (e)(h)....... 150,150
Traders--0.4% Calpine Generating Co. LLC (b):
490,000 9.076% due 4/01/2009.......................... 502,250
250,000 11.076% due 4/01/2010......................... 263,750
------------
1,087,405
------------------------------------------------------------------------------------------------------
Insurance--0.0% 97,000 Fortis Insurance NV, 7.75%
due 1/26/2008 (e)(k).......................... 138,111
------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable McMoRan Exploration Co. (k):
Fuels--0.1% 125,000 5.25% due 10/06/2011 (e)...................... 135,469
200,000 5.25% due 10/06/2011.......................... 216,750
------------
352,219
------------------------------------------------------------------------------------------------------
Paper & Forest 475,000 Mandra Forestry, 12% due 5/15/2013 (e)(o)....... 380,000
Products--0.1%
------------------------------------------------------------------------------------------------------
60
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Face
Country Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
United States Semiconductors & USD 370,000 Conexant Systems, Inc., 4% due 2/01/2007 (k).... $ 368,612
(concluded) Semiconductor
Equipment--0.1%
------------------------------------------------------------------------------------------------------
Specialty Retail--0.0% 40,000 General Nutrition Centers, Inc., 8.625%
due 1/15/2011................................. 42,100
------------------------------------------------------------------------------------------------------
Wireless 350,000 Nextel Communications, Inc., 5.25%
Telecommunication due 1/15/2010 (k)............................. 344,312
Services--0.1%
------------------------------------------------------------------------------------------------------
Total Corporate Bonds in the United States 4,734,671
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$19,558,217)--7.0% 21,077,799
- ---------------------------------------------------------------------------------------------------------------------------
Floating Rate Loan Interests (l)
- ---------------------------------------------------------------------------------------------------------------------------
Mexico--0.1% Household 183,667 Vitro Envases Norteamerica SA de CV Term Loan,
Durables--0.1% 11.65% due 2/24/2010.......................... 188,717
------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests in Mexico 188,717
- ---------------------------------------------------------------------------------------------------------------------------
United Textiles, Apparel & 206,577 Galey & Lord, Inc. Term Loan,10.17%
States--0.0% Luxury Goods--0.0% due 7/31/2009 (h)............................. 2,066
- ---------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests
in the United States 2,066
- ---------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests
(Cost--$322,097)--0.1% 190,783
- ---------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations
- ---------------------------------------------------------------------------------------------------------------------------
EUR 3,100,000 Bundesrepublik Deutschland, 4% due 7/04/2016.... 4,104,006
375,000 Caisse d'Amortissement de la Dette Sociale,
4% due 10/25/2014............................. 493,060
CAD 895,000 Canadian Government Bond, 4% due 9/01/2010...... 767,813
ISK 27,000,000 Iceland Rikisbref, 7.25% due 5/17/2013.......... 353,537
Malaysia Government Bond:
MYR 3,150,000 3.756% due 4/28/2011.......................... 894,663
3,250,000 Series 386X, 8.60% due 12/01/2007............. 963,385
EUR 475,000 Netherlands Government Bond, 3.75%
due 7/15/2014................................. 618,757
NZD 425,000 New Zealand Government Bond Series 216,
4.50% due 2/14/2016........................... 410,630
PLN 2,250,000 Poland Government Bond, 3% due 8/24/2016........ 774,980
SEK 7,875,000 Sweden Government Bond Series 3101,
4% due 12/01/2008............................. 1,402,694
EUR 1,050,000 Unedic, 3.50% due 9/18/2008..................... 1,376,148
GBP 425,000 United Kingdom Gilt, 4.25% due 3/07/2011........ 807,189
- ---------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$12,493,066)--4.2% 12,966,862
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Goverment & Agency Obligations
- ---------------------------------------------------------------------------------------------------------------------------
USD 28,000 Fannie Mae, 5.40% due 2/01/2008................. 28,056
1,275,000 Freddie Mac, 5.48% due 5/16/2008................ 1,275,048
U.S. Treasury Inflation Indexed Bonds:
3,570,363 0.875% due 4/15/2010.......................... 3,384,872
9,282,224 2.375% due 4/15/2011.......................... 9,245,243
3,716,147 1.875% due 7/15/2015 (c)...................... 3,561,258
10,437,293 2% due 1/15/2016.............................. 10,077,697
5,573,774 2.50% due 7/15/2016........................... 5,616,012
U.S. Treasury Notes:
2,500,000 3.625% due 4/30/2007.......................... 2,488,673
500,000 3.50% due 5/31/2007........................... 496,934
675,000 4.375% due 12/31/2007......................... 670,860
650,000 4.875% due 4/30/2008.......................... 649,390
500,000 4% due 6/15/2009.............................. 491,387
1,500,000 4.75% due 3/31/2011........................... 1,502,520
4,800,000 4.875% due 5/31/2011.......................... 4,833,000
3,300,000 4.25% due 11/15/2014.......................... 3,201,257
2,450,000 4.50% due 11/15/2015.......................... 2,412,292
61
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Face
Amount U.S. Goverment & Agency Obligations Value
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes: (concluded)
USD 2,600,000 5.125% due 5/15/2016.......................... $ 2,678,101
1,800,000 4.875% due 8/15/2016.......................... 1,821,515
1,900,000 4.625% due 11/15/2016......................... 1,887,537
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$56,248,410)--18.5% 56,321,652
- ---------------------------------------------------------------------------------------------------------------------------
Country/Region Structured Notes
- ---------------------------------------------------------------------------------------------------------------------------
Brazil--0.9% JPMorgan Chase Bank Structured Notes
(NTN--B Linked Notes)(q):
BRL 4,989,302 6% due 8/15/2010.............................. 2,193,645
1,108,182 6% due 8/17/2010.............................. 487,366
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in Brazil 2,681,011
- ---------------------------------------------------------------------------------------------------------------------------
Europe--0.8% USD 1,230,000 Goldman Sachs & Co. (Dow Jones EURO
STOXX 50(R) Index Linked Notes),
due 6/20/2008(f)(q)........................... 1,230,331
1,230,000 JPMorgan Chase & Co. (Dow Jones EURO
STOXX 50(R) Index Linked Notes),
due 6/17/2008(f)(q)........................... 1,236,027
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in Europe 2,466,358
- ---------------------------------------------------------------------------------------------------------------------------
Germany--0.4% 1,250,000 Goldman Sachs & Co. (DAX Linked Notes),
due 10/19/2007(f)(q).......................... 1,364,749
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in Germany 1,364,749
- ---------------------------------------------------------------------------------------------------------------------------
Japan--1.6% Goldman Sachs & Co. (TOPIX Linked Notes)(f):
1,081,000 Series B, due 1/31/2007(q).................... 1,201,650
2,800,000 due 1/28/2008(r).............................. 2,586,626
1,000,000 due 2/16/2008(q).............................. 990,333
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in Japan 4,778,609
- ---------------------------------------------------------------------------------------------------------------------------
Taiwan--0.2% 600,000 UBS AG (Total Return TWD Linked Notes),
due 12/01/2010(f)(r).......................... 605,700
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in Taiwan 605,700
- ---------------------------------------------------------------------------------------------------------------------------
United States--2.1% 4,971,000 Morgan Stanley (Bear Market PLUS S&P 500
Index Linked Notes), Series F,
due 7/07/2008(f)(r)........................... 4,957,578
UBS AG (Gold Linked Notes)(f)(q):
280,000 due 4/23/2008................................. 299,292
310,000 due 4/28/2008................................. 336,009
290,000 due 5/27/2008................................. 296,322
300,000 due 6/18/2008................................. 302,010
300,000 due 6/19/2008................................. 302,640
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes in the United States 6,493,851
- ---------------------------------------------------------------------------------------------------------------------------
Total Structured Notes
(Cost--$18,209,257)--6.0% 18,390,278
- ---------------------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities
(Cost--$106,831,047)--35.8% 108,947,374
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Industry Interest Other Interests (i)
- ---------------------------------------------------------------------------------------------------------------------------
United Diversified USD 500,000 AboveNet, Inc. (Litigation Trust Certificates).. 0
States--0.0% Telecommunication
Services--0.0%
- ---------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost--$0)--0.0% 0
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------------------
Iceland--0.0% Time Deposits--0.0% ISK 4,800,000 Iceland Time Deposit,15.35% due 1/12/2007....... 67,582
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities in Iceland 67,582
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest
- ---------------------------------------------------------------------------------------------------------------------------
United States--4.8% USD 14,658,732 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.26% (g)(j).......................... 14,658,732
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities in the
United States .................................. 14,658,732
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$14,725,603)--4.8% 14,726,314
- ---------------------------------------------------------------------------------------------------------------------------
62
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Number of
Contracts Put Options Purchased Value
- ---------------------------------------------------------------------------------------------------------------------------
S&P 500 Index Option:
8 expiring March 2007 at USD 1,390.............. $ 12,800
1 expiring March 2007 at USD 1,400.............. 2,050
1 expiring March 2007 at USD 1,405.............. 2,140
4 expiring March 2007 at USD 1,410.............. 9,360
3 expiring March 2007 at USD 1,415.............. 7,500
- ---------------------------------------------------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$38,043)--0.0% 33,850
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$250,817,978)--99.2% 302,828,792
- ---------------------------------------------------------------------------------------------------------------------------
Call Options Written
- ---------------------------------------------------------------------------------------------------------------------------
3Com Corp.:
104 expiring January 2007 at USD 5................ (520)
555 expiring January 2008 at USD 5................ (24,975)
Bausch & Lomb, Inc.:
29 expiring January 2007 at USD 50............... (7,395)
14 expiring January 2008 at USD 45............... (16,380)
49 CA, Inc., expiring January 2007 at USD 30....... (245)
33 CBS Corp. Class B, expiring January 2007
at USD 27.5................................... (13,530)
Career Education Corp:
40 expiring January 2007 at USD 25............... (3,200)
32 expiring January 2007 at USD 30............... (160)
60 expiring January 2007 at USD 35............... (300)
26 Chicago Bridge & Iron Co. NV, expiring
January 2007 at USD 25........................ (6,396)
74 Cirrus Logic, Inc., expiring January 2007
at USD 5...................................... (15,170)
Cisco Systems, Inc.:
76 expiring January 2007 at USD 17.5............. (76,760)
86 expiring January 2007 at USD 22.5............. (43,000)
Comverse Technology, Inc.:
436 expiring January 2008 at USD 17.5............. (248,520)
10 expiring January 2008 at USD 20............... (4,000)
eBay, Inc.:
46 expiring January 2008 at USD 20............... (54,740)
48 expiring January 2008 at USD 25............... (39,360)
96 El Paso Corp., expiring January 2008 at USD 15.. (18,240)
143 Extreme Networks, Inc., expiring January 2007
at USD 5...................................... (715)
21 Fannie Mae, expiring January 2007 at USD 50..... (19,950)
97 Genesis Microchip, Inc., expiring June 2007
at USD 10..................................... (13,095)
185 Knight Capital Group, Inc. Class A, expiring
January 2007 at USD 7.5....................... (218,300)
95 Lexmark International, Inc. Class A, expiring
January 2007 at USD 50........................ (230,850)
McDermott International, Inc.:
9 expiring January 2007 at USD 15............... (48,600)
42 expiring January 2007 at USD 23.375........... (173,880)
42 expiring January 2007 at USD 26.625........... (153,720)
19 Molson Coors Brewing Co. Class B, expiring
January 2007 at USD 60........................ (31,730)
Motorola, Inc.:
262 expiring January 2007 at USD 22.5............. (4,192)
117 expiring January 2008 at USD 20............... (36,972)
29 Murphy Oil Corp., expiring January 2007
at USD 50..................................... (4,901)
72 Norfolk Southern Corp., expiring January 2007
at USD 40..................................... (75,600)
134 Nortel Networks Corp., expiring January 2008
at USD 22.5................................... (96,480)
63
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
Number of
Contracts Call Options Written Value
- ---------------------------------------------------------------------------------------------------------------------------
Novell, Inc.:
97 expiring January 2007 at USD 5................ $ (11,640)
781 expiring January 2007 at USD 7.5.............. (3,905)
Panera Bread Co. Class A:
52 expiring January 2008 at USD 50............... (62,920)
91 expiring January 2008 at USD 55............... (83,720)
65 expiring January 2008 at USD 60............... (44,200)
104 Pfizer, Inc., expiring January 2007 at USD 25... (12,480)
165 QUALCOMM, Inc., expiring January 2008
at USD 40..................................... (80,850)
Quanta Services, Inc.:
48 expiring January 2007 at USD 10............... (47,040)
62 expiring January 2007 at USD 12.5............. (45,260)
147 Sprint Nextel Corp., expiring January 2008
at USD 22.5................................... (13,965)
63 Suncor Energy, Inc., expiring January 2007
at USD 50..................................... (183,960)
224 TIBCO Software, Inc., expiring January 2007
at USD 7.5.................................... (42,560)
51 Tellabs, Inc., expiring January 2007
at USD 12.5 .................................. (255)
104 Tenet Healthcare Corp., expiring January 2007
at USD 7.5.................................... (1,040)
48 Tyco International Ltd., expiring January 2007
at USD 25..................................... (26,880)
133 Valeant Pharmaceuticals International, expiring
January 2007 at USD 15........................ (32,585)
33 Wendy's International, Inc., expiring
January 2007 at USD 45........................ (91,410)
- ---------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$1,601,330)--(0.8%) (2,466,546)
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments, Net of Options Written
(Cost--$249,216,648*)--98.4%.................... 300,362,246
Other Assets Less Liabilities--1.6%............. 4,859,037
------------
Net Assets--100.0%.............................. $305,221,283
============
- ---------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments, net of options written, as of
December 31, 2006, as computed for federal income tax purposes, were as follows:
Aggregate cost......................................................................................... $250,946,139
============
Gross unrealized appreciation.......................................................................... $ 53,950,834
Gross unrealized depreciation.......................................................................... (4,534,727)
------------
Net unrealized appreciation............................................................................ $ 49,416,107
============
(a) Depositary receipts.
(b) Floating rate security.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) Warrants entitle the Portfolio to purchase a predetermined number of
shares of common stock and are non-income producing. The purchase price
and number of shares are subject to adjustment under certain conditions
until the expiration date.
(e) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(f) Non-income producing security.
(g) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
---------------------------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
---------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series.................................. $(15,415,376) $869,986
---------------------------------------------------------------------------------------------------------------------
(h) Non-income producing security. Issuer filed for bankruptcy or is in
default of interest payments.
(i) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
64
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Continued) (in U.S. dollars)
================================================================================
(j) Represents the current yield as of December 31, 2006.
(k) Convertible security.
(l) Floating rate loan interests in which the Portfolio invests generally pay
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more European banks, such as LIBOR
(London InterBank Offered Rate), (ii) the prime rate offered by one or
more U.S. banks or (iii) the certificate of deposit rate.
(m) Represents a zero coupon bond.
(n) Represents a step bond.
(o) Issued with warrants.
(p) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(q) Security represents an index linked note. Value of the instrument is
derived from the price fluctuations in the underlying index.
(r) Security represents an index linked note. Value of the instrument is
inversely derived from the price fluctuations in the underlying index.
(s) Subject to principal paydowns.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Forward foreign exchange contracts purchased as of December 31, 2006 were
as follows:
---------------------------------------------------------------------------------------------------------------------
Unrealized
Foreign Settlement Appreciation
Currency Purchased Date (Depreciation)
---------------------------------------------------------------------------------------------------------------------
CHF 2,668,399............................................................... January 2007 $ 33,686
EUR 5,877,401............................................................... January 2007 10,122
JPY 426,252,375............................................................... January 2007 (72,779)
IDR 3,610,000,000............................................................... August 2007 17,867
---------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$13,962,486)...................................................................... $(11,104)
========
---------------------------------------------------------------------------------------------------------------------
o Forward foreign exchange contracts sold as of December 31, 2006 were as
follows:
---------------------------------------------------------------------------------------------------------------------
Foreign Settlement Unrealized
Currency Sold Date Depreciation
---------------------------------------------------------------------------------------------------------------------
BRL 9,063............................................................... January 2007 $ (6)
IDR 2,369,100,000............................................................... August 2007 (7,506)
---------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts
(USD Commitment--$257,409).......................................................................... $(7,512)
=======
---------------------------------------------------------------------------------------------------------------------
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
---------------------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Exchange Date Value (Depreciation)
---------------------------------------------------------------------------------------------------------------------
2 DAX Index 25 Euro Eurex Deutschland March 2007 $ 436,522 $2,558
3 DJ Euro Stoxx Eurex Deutschland March 2007 $ 164,324 299
4 S&P TSE 60 Index Montreal March 2007 $ 512,318 --
1 EuroDollar Future Chicago September 2008 $ 237,901 (26)
---------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation--Net.................................................................. $2,831
======
---------------------------------------------------------------------------------------------------------------------
o Financial futures contracts sold as of December 31, 2006 were as follows:
---------------------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Exchange Date Value (Depreciation)
---------------------------------------------------------------------------------------------------------------------
2 FTSE 100 Index LIFFE March 2007 $ 242,225 $ (1,191)
5 Japan 10-year Government Bond Tokyo March 2007 $5,661,092 28,976
18 S&P 500 Index Chicago March 2007 $6,418,229 (9,571)
13 Topix Index Tokyo March 2007 $1,756,768 (81,180)
1 EuroDollar Future Chicago September 2009 $ 237,549 (151)
---------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation--Net.................................................................. $(63,117)
========
---------------------------------------------------------------------------------------------------------------------
65
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2006 (Concluded) (in U.S. dollars)
================================================================================
o Swap contracts outstanding as of December 31, 2006 were as follows:
---------------------------------------------------------------------------------------------------------------------
Notional Unrealized
Amount Depreciation
---------------------------------------------------------------------------------------------------------------------
Bought credit default protection on United Mexican States and pay 1.12%
Broker, Credit Suisse International
Expires May 2010 $140,000 $(3,497)
Bought credit default protection on DaimlerChrysler NA Holding
Corp. and pay 0.53%
Broker, JPMorgan Chase
Expires June 2011 EUR 95,000 (334)
Bought credit default protection on Carnival Corp. and pay 0.25%
Broker, JPMorgan Chase
Expires September 2011 $185,000 (725)
Bought credit default protection on Whirlpool Corp. and pay 0.48%
Broker, JPMorgan Chase
Expires September 2011 $ 50,000 (178)
Bought credit default protection on McDonald's Corp. and pay 0.16%
Broker, JPMorgan Chase
Expires September 2011 $ 50,000 (46)
Bought credit default protection on JC Penney Corp., Inc. and pay 0.53%
Broker, JPMorgan Chase
Expires September 2011 $ 50,000 (61)
---------------------------------------------------------------------------------------------------------------------
Total................................................................................ $(4,841)
=======
---------------------------------------------------------------------------------------------------------------------
o Currency Abbreviations:
BRL Brazilian Real MYR Malaysian Ringgit
CAD Canadian Dollar NZD New Zealand Dollar
CHF Swiss Franc PLN Polish Zloty
EUR Euro SEK Swedish Krona
GBP British Pound SGD Singapore Dollar
HKD Hong Kong Dollar TRY Turkish Lira
IDR Indonesian Rupiah USD U.S. Dollar
ISK Icelandic Krona
JPY Japanese Yen
See Notes to Financial Statements.
66
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Face Interest Maturity
Issue Amount Rate Date(s) Value
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Obligations--47.3%
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds..................................... $ 1,100,000 8.125% 8/15/2019(d) $ 1,437,132
1,310,000 6.25 8/15/2023 1,507,831
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Inflation Indexed Bonds................... 2,157,749 3.50 1/15/2011 2,246,251
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes..................................... 1,000,000 3.875 7/31/2007 993,359
5,000,000 2.625 5/15/2008 4,850,780
3,600,000 4.625 9/30/2008 3,586,640
1,000,000 4.375 11/15/2008 991,953
6,600,000 4.875 8/15/2009 6,619,853
4,000,000 4.50 11/15/2010 3,971,564
10,535,000 4.50 9/30/2011 10,442,408
43,500,000 4.50 11/30/2011 43,112,589
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Obligations
(Cost--$79,947,338)--47.3% 79,760,360
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed
Securities+--84.7%
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates......... 1,500,000 4.00 12/1/2011 1,411,407
9,200,000 4.50 1/15/2022--1/15/2037(c) 8,770,499
30,600,000 5.00 1/15/2022--1/15/2037(c) 29,800,323
2,989,437 5.091 11/01/2035(a) 2,983,354
1,711,645 5.147 11/01/2035(a) 1,713,503
1,355,965 5.28 9/01/2035(a) 1,353,833
27,476,565 5.50 1/15/2022--1/15/2037(c) 27,231,016
26,819,155 6.00 1/15/2022--1/15/2037(c) 27,006,363
1,274,829 6.131 10/01/2036(a) 1,291,003
1,721,026 6.50 1/01/2032--11/01/2032 1,760,612
986,646 7.00 3/01/2029--2/01/2032 1,016,365
406,460 7.50 6/01/2030--4/01/2031 423,246
246,728 8.00 4/01/2030--10/01/2032 261,372
- ---------------------------------------------------------------------------------------------------------------------------
Freddie Mac Mortgage Participation Certificates......... 3,900,000 5.00 1/15/2022(c) 3,830,533
10,637,193 5.50 6/01/2017--1/15/2037 10,525,931
1,750,000 5.95 12/01/2036(a) 1,758,043
19,415,424 6.00 4/01/2017--1/15/2037(c) 19,605,800
1,429,844 6.022 9/01/2036(a) 1,447,459
369,255 6.50 3/01/2016 378,062
114,320 7.00 4/01/2032 117,664
64,152 8.00 3/01/2030--6/01/2031 67,417
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities
(Cost--$143,551,358)--84.7% 142,753,805
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Issue
- ---------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities+--6.9%
- ---------------------------------------------------------------------------------------------------------------------------
$ 9,000,000 Carrington Mortgage Loan Trust Series 2006-NC1
Class A2, 5.81% due 1/25/2036 (a).......................... 9,003,847
2,583,422 Ixis Real Estate Capital Trust Series 2006-HE3
Class A1, 5.37% due 1/25/2037 (a).......................... 2,583,289
- ---------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$11,583,422)--6.9% 11,587,136
- ---------------------------------------------------------------------------------------------------------------------------
Non-Government Agency Mortgage-Backed Securities+--25.5%
- ---------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage 2,528,811 ABN AMRO Mortgage Corp. Series 2003-7
Obligations--23.4% Class A1, 4.75% due 7/25/2018.............................. 2,457,042
CS First Boston Mortgage Securities Corp.:
779,180 Series 2003-8 Class 2A1, 5% due 4/25/2018.................. 758,921
1,026,970 Series 2003-10 Class 4A1, 5% due 5/25/2018................. 993,486
Chase Mortgage Finance Corp.:
357,180 Series 2003-S3 Class A1, 5% due 3/25/2018.................. 349,143
1,036,960 Series 2003-S4 Class 2A1, 5% due 4/25/2018................. 1,019,912
2,601,296 Series 2003-S12 2A1, 5% due 12/25/2018..................... 2,550,089
67
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Issue Value
- ---------------------------------------------------------------------------------------------------------------------------
Non-Government Agency Mortgage-Backed Securities (concluded)
- ---------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage Countrywide Alternative Loan Trust:
Obligations (concluded) $ 2,420,478 Series 2006-41CB Class 2A17, 6% due 1/25/2037.............. $ 2,398,227
2,800,000 Series 2006-43CB Class 1A7, 6% due 2/25/2037............... 2,817,937
Countrywide Home Loan Mortgage Pass-Through Trust:
1,773,313 Series 2003-10 Class A6, 5.70% due 5/25/2033 (a)........... 1,777,363
1,194,387 Series 2004-J1 Class 2A1, 4.75% due 1/25/2019.............. 1,166,708
1,276,703 Deutsche Mortgage Securities, Inc. Series 2004-1
Class 2A1, 4.75% due 10/25/2018............................ 1,245,943
4,234,179 GMAC Mortgage Corp. Loan Trust Series 2003-J10
Class A1, 4.75% due 1/25/2019 (d).......................... 4,104,234
Master Asset Securitization Trust:
764,643 Series 2003-4 Class 2A7, 4.75% due 5/25/2018............... 746,013
975,175 Series 2003-5 Class 2A1, 5% due 6/25/2018.................. 956,257
1,343,197 Series 2003-7 Class 2A1, 4.75% due 8/25/2018............... 1,310,962
4,401,441 Residential Accredit Loans, Inc. Series 2005-QS12
Class A8, 5.66% due 8/25/2035 (a).......................... 4,403,836
Residential Asset Securitization Trust:
2,589,282 Series 2003-A8 Class A2, 5.70% due 10/25/2018 (a).......... 2,580,626
1,635,602 Series 2006-A10 Class A4, 6.50% due 9/25/2036.............. 1,662,792
1,417,130 Residential Funding Mortgage Securities I Series 2003-S8
Class A1, 5% due 5/25/2018................................. 1,387,469
Washington Mutual:
359,407 Series 2002-AR19 Class A8, 4.556% due 2/25/2033 (a)........ 356,286
962,706 Series 2003-S3 Class 2A1, 5% due 5/25/2018................. 951,010
1,216,370 Series 2003-S5 Class 2A, 5% due 6/25/2018.................. 1,201,546
1,380,158 Series 2003-S7 Class A1, 4.50% due 8/25/2018............... 1,330,279
869,242 Series 2003-S8 Class A2, 5% due 9/25/2018.................. 852,379
------------
39,378,460
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage- 3,092,728 Greenwich Capital Commercial Funding Corp. Series 2005-FL3A
Backed Securities--2.1% Class A2, 5.52% due 10/05/2020 (a)......................... 3,092,728
580,983 Lehman Brothers Floating Rate Commercial Mortgage Trust
Series 2006-CCL Class A1, 5.52% due 1/15/2021 (a).......... 581,002
------------
3,673,730
- ---------------------------------------------------------------------------------------------------------------------------
Total Non-Government Agency Mortgage-Backed Securities
(Cost--$43,144,966)--25.5% 43,052,190
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities--Collateralized Mortgage Obligations+--50.4%
- ---------------------------------------------------------------------------------------------------------------------------
Fannie Mae Trust:
3,416,541 Series 353 Class 2, 5% due 8/01/2034 (b)................... 817,236
2,361,345 Series 370 Class 2, 6% due 5/25/2036 (b)................... 488,211
126,783 Series 2002-W11 Class AV1, 5.69% due 11/25/2032 (a)........ 126,764
1,312,218 Series 2003-27 Class FP, 5.65% due 6/25/2028 (a)........... 1,317,439
2,038,073 Series 2003-33 Class LF, 5.70% due 7/25/2017 (a)........... 2,045,961
1,796,075 Series 2003-34 Class FS, 5.75% due 1/25/2032 (a)........... 1,800,866
1,620,949 Series 2003-41 Class YF, 5.65% due 6/25/2028 (a)........... 1,624,678
3,555,335 Series 2006-106 Class PA, 5.50% due 6/25/2030.............. 3,562,565
1,725,000 Series 2006-M2 Class A2A, 5.271% due 10/20/2032 (a)........ 1,701,820
Freddie Mac Multiclass Certificates:
7,088,488 Series 239 Class F29, 5.60% due 8/15/2036 (a).............. 7,094,804
7,088,488 Series 239 Class F30, 5.65% due 8/15/2036 (a).............. 7,108,654
8,607,593 Series 240 Class F22, 5.70% due 7/15/2036 (a).............. 8,539,823
3,254,382 Series 2564 Class OF, 5.65% due 2/15/2026 (a).............. 3,259,815
3,026,329 Series 2594 Class DF, 5.65% due 12/15/2027 (a)............. 3,032,304
3,171,425 Series 2614 Class EF, 5.75% due 12/15/2017 (a)............. 3,186,991
900,000 Series 2634 Class TH, 4.50% due 6/15/2018.................. 843,664
830,000 Series 2743 Class HE, 4.50% due 2/15/2019.................. 782,639
730,000 Series 2746 Class EG, 4.50% due 2/15/2019.................. 688,647
990,000 Series 2798 Class JK, 4.50% due 5/15/2019.................. 932,337
1,050,000 Series 2827 Class DG, 4.50% due 7/15/2019.................. 981,971
750,000 Series 2899 Class KT, 4.50% due 12/15/2019................. 698,271
930,000 Series 2924 Class DB, 4.50% due 1/15/2020.................. 868,981
620,000 Series 2948 Class KT, 4.50% due 3/15/2020.................. 575,918
68
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Amount Issue Value
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities--Collateralized Mortgage Obligations+ (concluded)
- ---------------------------------------------------------------------------------------------------------------------------
Freddie Mac Multiclass Certificates: (concluded)
$ 730,000 Series 2987 Class HE, 4.50% due 6/15/2020.................. $ 683,669
570,000 Series 2995 Class JK, 4.50% due 6/15/2020.................. 531,697
1,940,000 Series 3042 Class EA, 4.50% due 9/15/2035.................. 1,761,597
2,003,182 Series 3192 Class GA, 6% due 3/15/2027..................... 2,022,943
900,000 Series 3215 Class QH, 6% due 9/15/2036..................... 896,101
925,000 Series 3218 Class BG, 6% due 9/15/2036..................... 936,827
2,376,514 Series 3242 Class NC, 5.75% due 12/15/2028................. 2,387,702
6,909,676 Series R008 Class FK, 5.75% due 7/15/2023 (a).............. 6,940,538
Ginnie Mae Trust:
26,299,693 Series 2002-83 Class IO, 1.574% due 10/16/2042 (b)......... 1,105,142
14,649,470 Series 2002-94 Class XB, 2.349% due 11/16/2007 (b)......... 112,871
37,815,612 Series 2003-17 Class IO, 1.24% due 3/16/2043 (b)........... 1,815,112
2,067,621 Series 2003-105 Class A, 4.50% due 11/16/2027.............. 2,038,775
20,294,602 Series 2003-109 Class IO, 1.098% due 11/16/2043 (b)........ 912,567
13,641,237 Series 2004-9 Class IO, 1.383% due 3/16/2034 (b)........... 621,907
23,267,096 Series 2004-43 Class IO, 1.121% due 6/16/2044 (b).......... 1,071,910
1,957,964 Series 2004-43 Class Z, 4.50% due 6/16/2044 (a)............ 1,579,338
2,019,732 Series 2004-45 Class Z, 5.748% due 6/16/2045 (a)........... 2,119,072
32,763,576 Series 2004-57 Class IO, 1.13% due 7/16/2044 (b)........... 1,505,860
81,218,110 Series 2004-77 Class IO, 1.065% due 9/16/2044 (b).......... 3,835,290
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Mortgage-Backed Securities--
Collaterized Mortgage Obligations
(Cost--$83,558,480)--50.4% 84,959,277
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$361,785,564*)--214.8%................................ 362,112,768
Liabilities in Excess of Other Assets--(114.8%).............. (193,546,983)
-------------
Net Assets--100.0%........................................... $ 168,565,785
=============
- ---------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost......................................................................................... $ 362,288,102
=============
Gross unrealized appreciation.......................................................................... $ 2,051,214
Gross unrealized depreciation.......................................................................... (2,226,548)
-------------
Net unrealized depreciation............................................................................ $ (175,334)
=============
+ Asset-Backed and Mortgage-Backed Securities are subject to principal
paydowns. As a result of prepayments or refinancing of the underlying
mortgage instruments, the average life may be substantially less than the
original maturity.
(a) Floating rate security.
(b) Represents the interest-only portion of a mortgage-backed security and has
either a nominal or notional amount of principal.
(c) Represents a "to-be-announced" transaction. The Portfolio has committed to
purchasing and/or selling securities for which all specific information is
not available at this time.
(d) All or a portion of security held as collateral in connection with open
financial futures contracts.
o Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
---------------------------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
---------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series.................................... -- $339,721
BlackRock Liquidity Series, LLC Money Market Series.................................. -- $ 621
---------------------------------------------------------------------------------------------------------------------
69
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
o Financial futures contracts sold as of December 31, 2006 were as follows:
---------------------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
---------------------------------------------------------------------------------------------------------------------
130 2-Year U.S. Treasury Bond March 2007 $26,619,217 $ 95,154
344 5-Year U.S. Treasury Bond March 2007 $36,435,126 293,626
70 10-Year U.S. Treasury Bond March 2007 $ 7,614,971 92,158
---------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation........................................................................... $480,938
========
---------------------------------------------------------------------------------------------------------------------
o Swap contracts outstanding as of December 31, 2006 were as follows:
---------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
---------------------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the since
inception return of the Lehman Brothers MBS Index and pay a
floating rate based on 1-month LIBOR minus 0.055%
Broker, Union Bank of Switzerland AG
Expires February 2007 $21,900,000 --
Receive (pay) a variable return based on the change in the spread
return of the Lehman Brothers CMBS Aaa 8.5+ Index and receive a
floating rate based on the spread plus .20%
Broker, Deutsche Bank AG London
Expires April 2007 $ 3,985,000 --
Receive (pay) a variable return based on the change in the spread
return of the Bank of America CMBS Aaa 10 years Index and receive a
floating rate based on the spread plus .20%
Broker, Deutsche Bank AG London
Expires April 2007 $ 3,985,000 --
Receive (pay) a variable return based on the change in the since
inception return of the Lehman Brothers MBS Fixed Rate Index and
pay a floating rate based on 1-month LIBOR
minus 0.06%
Broker, UBS Warburg
Expires July 2007 $ 5,000,000 --
Receive a fixed rate of 5.2625% and pay a floating rate based on
3-month LIBOR
Broker, Lehman Brothers Special Finance
Expires October 2010 $60,000,000 $ 351,542
Receive a fixed rate of 4.17% and pay 3.50% on Treasury Inflation
Protected Securities (TIPS) adjusted principal
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 $ 2,225,000 (69,693)
Receive a fixed rate of 5.234% and pay a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires October 2011 $17,000,000 97,907
Pay a fixed rate of 5.03005% and receive a floating rate based on
3-month LIBOR
Broker, Lehman Brothers Special Finance
Expires November 2011 $40,200,000 113,153
Pay a fixed rate of 5.168% and receive a floating rate based on
3-month LIBOR
Broker, Union Bank of Switzerland AG
Expires November 2011 $20,100,000 (61,071)
Receive a fixed rate of 4.95% and pay a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires December 2011 $10,200,000 (63,713)
Pay a fixed rate of 4.985% and receive a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires December 2011 $62,000,000 294,862
Receive a fixed rate of 4.9125% and pay a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires December 2011 $22,000,000 (173,282)
70
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
o Swap contracts outstanding as of December 31, 2006 were as follows
(concluded):
---------------------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
---------------------------------------------------------------------------------------------------------------------
Pay a fixed rate of 4.9618% and receive a floating rate based
on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires December 2011 $18,300,000 $105,174
Pay a fixed rate of 5.20814% and receive a floating rate based
on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires November 2016 $ 7,300,000 (17,207)
---------------------------------------------------------------------------------------------------------------------
Total............................................................................................. $577,672
========
---------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
71
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & $ 250,000 Alliant Techsystems, Inc., 6.75% due 4/01/2016.................... $ 250,000
Defense--2.2% 130,000 Argo-Tech Corp., 9.25% due 6/01/2011.............................. 140,400
110,000 Bombardier, Inc., 8% due 11/15/2014 (i)........................... 112,750
250,000 DRS Technologies, Inc., 6.625% due 2/01/2016...................... 251,874
250,000 L-3 Communications Corp., 3% due 8/01/2035 (a)(i)................. 262,500
270,000 Standard Aero Holdings, Inc., 8.25% due 9/01/2014................. 272,700
-----------
1,290,224
- ---------------------------------------------------------------------------------------------------------------------------
Airlines--0.7% 426,835 Continental Airlines, Inc. Series 2001-1 Class C, 7.033%
due 12/15/2012 (j).............................................. 425,233
- ---------------------------------------------------------------------------------------------------------------------------
Automotive--4.9% 250,000 Autonation, Inc., 7.36% due 4/15/2013 (b)......................... 251,250
50,000 Cooper-Standard Automotive, Inc., 7% due 12/15/2012............... 44,875
Ford Motor Co.:
360,000 7.45% due 7/16/2031............................................. 282,600
210,000 4.25% due 12/15/2036 (a)........................................ 224,438
Ford Motor Credit Co.:
360,000 5.80% due 1/12/2009............................................. 353,463
60,000 5.70% due 1/15/2010............................................. 57,516
250,000 8.11% due 1/13/2012 (b)......................................... 247,730
60,000 General Motors Acceptance Corp., 6.75% due 12/01/2014............. 61,627
225,000 General Motors Corp., 8.375% due 7/15/2033........................ 208,125
The Goodyear Tire & Rubber Co.:
40,000 9.14% due 12/01/2009 (b)(i)..................................... 40,150
50,000 7.857% due 8/15/2011............................................ 50,250
385,000 8.625% due 12/01/2011 (i)....................................... 397,513
60,000 4% due 6/15/2034 (a)............................................ 108,300
215,000 Lear Corp., 8.75% due 12/01/2016 (i).............................. 207,744
30,000 Metaldyne Corp., 10% due 11/01/2013............................... 32,100
40,000 Titan International, Inc., 8% due 1/15/2012 (i)................... 40,250
250,000 United Auto Group, Inc., 7.75% due 12/15/2016 (i)................. 251,250
-----------
2,859,181
- ---------------------------------------------------------------------------------------------------------------------------
Broadcasting--1.7% 250,000 CMP Susquehanna Corp., 9.875% due 5/15/2014 (i)................... 248,750
250,000 LIN Television Corp., 6.50% due 5/15/2013......................... 238,124
70,000 Nexstar Finance, Inc., 7% due 1/15/2014........................... 65,800
250,000 Radio One, Inc., 6.375% due 2/15/2013............................. 233,750
210,000 Young Broadcasting, Inc., 10% due 3/01/2011....................... 199,500
-----------
985,924
- ---------------------------------------------------------------------------------------------------------------------------
Cable--International--0.5% 250,000 NTL Cable Plc, 9.125% due 8/15/2016............................... 264,062
- ---------------------------------------------------------------------------------------------------------------------------
Cable--U.S.--5.2% 100,000 CCH I LLC, 11% due 10/01/2015..................................... 102,625
500,000 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011................. 509,375
110,000 Cablevision Systems Corp. Series B, 9.87%
due 4/01/2009 (b)............................................... 116,050
635,000 Charter Communications Holdings II LLC, 10.25% due 9/15/2010...... 662,781
70,000 DirecTV Holdings LLC, 8.375% due 3/15/2013........................ 72,800
370,000 Echostar DBS Corp., 7.125% due 2/01/2016.......................... 370,000
40,000 Intelsat Intermediate Holding Co. Ltd., 9.23% due 2/01/2015 (g)... 30,400
Intelsat Subsidiary Holding Co. Ltd.:
290,000 10.252% due 1/15/2012 (b)....................................... 292,538
350,000 8.25% due 1/15/2013............................................. 355,250
210,000 PanAmSat Corp., 9% due 6/15/2016 (i).............................. 222,338
250,000 Quebecor Media, Inc., 7.75% due 3/15/2016......................... 255,312
-----------
2,989,469
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals--4.4% 140,000 Ineos Group Holdings Plc, 8.50% due 2/15/2016 (i)................. 133,700
300,000 Innophos, Inc., 8.875% due 8/15/2014.............................. 304,500
250,000 Lyondell Chemical Co., 8% due 9/15/2014........................... 259,375
280,000 Millennium America, Inc., 9.25% due 6/15/2008..................... 289,100
Momentive Performance Materials, Inc. (i):
325,000 10.125% due 12/01/2014.......................................... 326,625
135,000 11.50% due 12/01/2016........................................... 132,300
90,000 Mosaic Global Holdings, Inc., 7.625% due 12/01/2016 (i)........... 93,262
250,000 Nalco Co., 7.75% due 11/15/2011................................... 255,625
500,000 Omnova Solutions, Inc., 11.25% due 6/01/2010...................... 537,500
250,000 Westlake Chemical Corp., 6.625% due 1/15/2016..................... 241,875
-----------
2,573,862
- ---------------------------------------------------------------------------------------------------------------------------
72
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Consumer-- $ 175,000 American Greetings Corp., 7.375% due 6/01/2016.................... $ 179,812
Non-Durables--2.9% 200,000 Chattem, Inc., 7% due 3/01/2014................................... 197,000
250,000 Church & Dwight Co., Inc., 6% due 12/15/2012...................... 244,375
250,000 Hines Nurseries, Inc.,10.25% due 10/01/2011....................... 217,500
250,000 Levi Strauss & Co., 8.875% due 4/01/2016.......................... 261,250
250,000 North Atlantic Trading Co., 9.25% due 3/01/2012................... 218,125
400,000 Quiksilver, Inc., 6.875% due 4/15/2015............................ 393,000
-----------
1,711,062
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Media--5.5% Affinion Group, Inc.:
50,000 10.125% due 10/15/2013.......................................... 53,000
155,000 11.50% due 10/15/2015........................................... 163,913
70,000 CBD Media Holdings LLC, 9.25% due 7/15/2012....................... 72,888
Dex Media East LLC:
250,000 9.875% due 11/15/2009........................................... 261,875
284,000 12.125% due 11/15/2012.......................................... 312,755
225,000 Dex Media West LLC, 8.50% due 8/15/2010........................... 233,718
330,000 Idearc, Inc., 8% due 11/15/2016 (i)............................... 334,950
80,000 Network Communications, Inc., 10.75% due 12/01/2013............... 80,800
150,000 Nielsen Finance LLC, 11.62% due 8/01/2016 (g)(i).................. 103,313
550,000 Primedia, Inc., 8% due 5/15/2013.................................. 532,125
175,000 Quebecor World Capital Corp., 8.75% due 3/15/2016 (i)............. 167,563
100,000 Quebecor World, Inc., 9.75% due 1/15/2015 (i)..................... 100,625
250,000 RH Donnelley Corp. Series A-2, 6.875% due 1/15/2013............... 239,688
500,000 WDAC Subsidiary Corp., 8.375% due 12/01/2014 (i).................. 514,375
-----------
3,171,588
- ---------------------------------------------------------------------------------------------------------------------------
Energy--Exploration & 135,000 Berry Petroleum Co., 8.25% due 11/01/2016......................... 135,168
Production--3.3% 250,000 Chaparral Energy, Inc., 8.50% due 12/01/2015...................... 248,750
165,000 Compton Petroleum Finance Corp., 7.625% due 12/01/2013............ 159,225
250,000 Encore Acquisition Co., 6.25% due 4/15/2014....................... 234,375
300,000 OPTI Canada, Inc., 8.25% due 12/15/2014 (i)....................... 308,250
250,000 Range Resources Corp., 6.375% due 3/15/2015....................... 243,750
235,000 Sabine Pass LNG LP, 7.50% due 11/30/2016 (i)...................... 234,119
Stone Energy Corp.:
105,000 8.11% due 7/15/2010 (b)(i)...................................... 103,950
250,000 6.75% due 12/15/2014............................................ 238,750
-----------
1,906,337
- ---------------------------------------------------------------------------------------------------------------------------
Energy--Other--3.2% 200,000 Aleris International, Inc., 9% due 12/15/2014 (i)................. 201,000
250,000 Copano Energy LLC, 8.125% due 3/01/2016........................... 258,750
219,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014................... 220,643
40,000 KCS Energy, Inc., 7.125% due 4/01/2012............................ 38,900
120,000 North American Energy Partners, Inc., 8.75% due 12/01/2011........ 120,600
500,000 Pacific Energy Partners, LP, 7.125% due 6/15/2014................. 513,105
350,000 SemGroup LP, 8.75% due 11/15/2015 (i)............................. 351,750
110,000 Tennessee Gas Pipeline Co., 7.625% due 4/01/2037.................. 123,645
-----------
1,828,393
- ---------------------------------------------------------------------------------------------------------------------------
Financial--0.3% 160,000 American Real Estate Partners LP, 7.125% due 2/15/2013............ 160,800
20,000 NCO Group, Inc., 10.244% due 11/15/2013 (b)(i).................... 19,850
-----------
180,650
- ---------------------------------------------------------------------------------------------------------------------------
Food & Tobacco--1.1% 35,912 Archibald Candy Corp.,10% due 11/01/2007 (e)...................... 2,287
250,000 Constellation Brands, Inc., 7.25% due 9/01/2016................... 256,875
250,000 Del Monte Corp., 6.75% due 2/15/2015.............................. 247,500
110,000 Swift & Co., 12.50% due 1/01/2010................................. 112,475
-----------
619,137
- ---------------------------------------------------------------------------------------------------------------------------
Gaming--4.5% 250,000 Boyd Gaming Corp., 7.75% due 12/15/2012........................... 258,438
175,000 CCM Merger, Inc., 8% due 8/01/2013 (i)............................ 171,063
65,000 Caesars Entertainment, Inc., 8.125% due 5/15/2011................. 68,006
180,000 Greektown Holdings, 10.75% due 12/01/2013 (i)..................... 188,100
140,000 Harrah's Operating Co., Inc., 5.75% due 10/01/2017................ 117,293
MGM Mirage:
115,000 6% due 10/01/2009............................................... 114,713
125,000 6.75% due 4/01/2013............................................. 122,188
250,000 Penn National Gaming, Inc., 6.75% due 3/01/2015................... 245,000
35,000 Poster Financial Group, Inc., 8.75% due 12/01/2011................ 36,313
90,000 Seneca Gaming Corp., 7.25% due 5/01/2012.......................... 91,575
73
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Gaming $ 300,000 Station Casinos, Inc., 6.625% due 3/15/2018....................... $ 257,250
(concluded) 190,000 Tropicana Entertainment, 9.625% due 12/15/2014 (i)................ 188,100
250,000 Turning Stone Resort Casino Enterprise, 9.125%
due 9/15/2014 (i)............................................... 255,625
500,000 Wynn Las Vegas LLC, 6.625% due 12/01/2014......................... 496,875
-----------
2,610,539
- ---------------------------------------------------------------------------------------------------------------------------
Health Care--2.7% 155,000 Accellent, Inc., 10.50% due 12/01/2013............................ 160,813
300,000 Angiotech Pharmaceuticals, Inc., 9.103% due 12/01/2013 (b)(i)..... 303,750
250,000 Concentra Operating Corp., 9.125% due 6/01/2012................... 262,500
200,000 Mylan Laboratories, Inc., 6.375% due 8/15/2015.................... 198,000
250,000 Select Medical Corp., 7.625% due 2/01/2015........................ 207,500
Tenet Healthcare Corp.:
50,000 9.875% due 7/01/2014............................................ 50,875
40,000 9.25% due 2/01/2015............................................. 40,000
145,000 6.875% due 11/15/2031........................................... 116,363
250,000 VWR International, Inc., 6.875% due 4/15/2012..................... 251,563
-----------
1,591,364
- ---------------------------------------------------------------------------------------------------------------------------
Housing--4.5% 350,000 Ashton Woods USA LLC, 9.50% due 10/01/2015........................ 318,500
100,000 Building Materials Corp. of America, 8% due 12/01/2008............ 104,500
250,000 CPG International I Inc., 10.50% due 7/01/2013.................... 254,688
100,000 Esco Corp., 8.625% due 12/15/2013 (i)............................. 102,750
500,000 Forest City Enterprises, Inc., 7.625% due 6/01/2015............... 510,000
247,000 Goodman Global Holding Co., Inc., 8.36% due 6/15/2012 (b)......... 250,705
50,000 Nortek, Inc., 8.50% due 9/01/2014................................. 49,000
250,000 Ply Gem Industries, Inc., 9% due 2/15/2012........................ 212,500
250,000 Standard-Pacific Corp., 6.50% due 8/15/2010....................... 244,375
50,000 Stanley-Martin Communities LLC, 9.75% due 8/15/2015............... 39,500
250,000 Technical Olympic USA, Inc., 8.25% due 4/01/2011 (i).............. 243,750
280,000 Texas Industries, Inc., 7.25% due 7/15/2013....................... 284,200
-----------
2,614,468
- ---------------------------------------------------------------------------------------------------------------------------
Information Technology--5.2% 70,000 Amkor Technologies, Inc., 7.75% due 5/15/2013..................... 64,400
150,000 Compagnie Generale de Geophysique SA, 7.50% due 5/15/2015......... 150,750
Freescale Semiconductor, Inc. (i):
90,000 9.244% due 12/15/2014 (b)....................................... 89,212
775,000 9.125% due 12/15/2014 (f)....................................... 770,156
295,000 MagnaChip Semiconductor SA, 8.61% due 12/15/2011 (b).............. 253,700
375,000 Nortel Networks Ltd., 9.61% due 7/15/2011 (b)(i).................. 395,156
SunGard Data Systems, Inc.:
380,000 9.125% due 8/15/2013............................................ 399,000
320,000 9.973% due 8/15/2013 (b)........................................ 332,400
180,000 Telcordia Technologies, Inc., 10% due 3/15/2013 (i)............... 158,400
430,000 Viasystems, Inc., 10.50% due 1/15/2011............................ 431,075
-----------
3,044,249
- ---------------------------------------------------------------------------------------------------------------------------
Leisure--2.6% 492,000 FelCor Lodging LP, 8.50% due 6/01/2011............................ 523,980
250,000 HRP Myrtle Beach Operations LLC, 10.12% due 4/01/2012 (b)(i)...... 250,000
Travelport, Inc. (i):
40,000 9.875% due 9/01/2014............................................ 40,200
65,000 9.994% due 9/01/2014 (b)........................................ 63,374
5,000 11.875% due 9/01/2016........................................... 5,125
750,000 True Temper Sports, Inc., 8.375% due 9/15/2011.................... 652,500
-----------
1,535,179
- ---------------------------------------------------------------------------------------------------------------------------
Manufacturing--3.6% 250,000 CPI Holdco, Inc., 11.298% due 2/01/2015 (b)....................... 256,874
161,000 Invensys Plc, 9.875% due 3/15/2011 (i)............................ 172,673
400,000 NXP B.V., 9.50% due 10/15/2015 (i)................................ 410,000
175,000 RBS Global, Inc., 11.75% due 8/01/2016 (i)........................ 182,875
500,000 Superior Essex Communications LLC, 9% due 4/15/2012............... 520,000
590,000 Trimas Corp., 9.875% due 6/15/2012................................ 570,825
-----------
2,113,247
- ---------------------------------------------------------------------------------------------------------------------------
Metal--Other--1.6% 400,000 Foundation PA Coal Co., 7.25% due 8/01/2014....................... 407,000
250,000 Novelis, Inc., 7.25% due 2/15/2015 (i)............................ 241,874
250,000 Southern Copper Corp., 6.375% due 7/27/2015....................... 254,386
-----------
903,260
- ---------------------------------------------------------------------------------------------------------------------------
74
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Packaging--2.7% $ 385,000 Berry Plastics Holding Corp., 8.875% due 9/15/2014 (i)............ $ 390,775
250,000 Graham Packing Co., Inc., 8.50% due 10/15/2012.................... 252,500
330,000 Impress Holdings B.V., 8.585% due 9/15/2013 (b)(i)................ 330,825
300,000 Owens-Brockway, 8.25% due 5/15/2013............................... 310,125
200,000 Packaging Dynamics Finance Corp., 10% due 5/01/2016 (i)........... 200,000
70,000 Pregis Corp., 12.375% due 10/15/2013 (i).......................... 75,775
-----------
1,560,000
- ---------------------------------------------------------------------------------------------------------------------------
Paper--5.7% Abitibi-Consolidated, Inc.:
90,000 8.55% due 8/01/2010............................................. 85,500
285,000 6% due 6/20/2013................................................ 228,000
250,000 Ainsworth Lumber Co. Ltd., 6.75% due 3/15/2014.................... 186,250
Boise Cascade LLC:
250,000 8.235% due 10/15/2012 (b)....................................... 250,624
250,000 7.125% due 10/15/2014........................................... 241,875
190,000 Bowater Canada Finance, 7.95% due 11/15/2011...................... 186,200
200,000 Bowater, Inc., 6.50% due 6/15/2013................................ 182,500
525,000 Domtar, Inc., 7.125% due 8/15/2015................................ 514,500
400,000 Graphic Packaging International Corp., 8.50% due 8/15/2011........ 414,000
500,000 Norske Skog Canada Ltd. Series D, 8.625% due 6/15/2011............ 506,250
250,000 Smurfit-Stone Container Enterprises, Inc., 9.75% due 2/01/2011.... 257,813
250,000 Verso Paper Holdings LLC, 9.125% due 8/01/2014 (i)................ 260,625
-----------
3,314,137
- ---------------------------------------------------------------------------------------------------------------------------
Retail--1.9% 120,000 Buffets, Inc., 12.50% due 11/01/2014 (i).......................... 120,900
60,000 Burlington Coat Factory Warehouse Corp., 11.125%
due 4/15/2014 (i)............................................... 58,500
Michaels Stores, Inc. (i):
230,000 10% due 11/01/2014.............................................. 239,200
370,000 11.375% due 11/01/2016.......................................... 385,725
250,000 Neiman Marcus Group, Inc., 9% due 10/15/2015 (f).................. 272,812
-----------
1,077,137
- ---------------------------------------------------------------------------------------------------------------------------
Service--6.6% 250,000 ALH Finance LLC, 8.50% due 1/15/2013.............................. 245,625
250,000 Ahern Rentals, Inc., 9.25% due 8/15/2013.......................... 260,625
350,000 Allied Waste North America, Inc. Series B, 7.25% due 3/15/2015.... 350,438
250,000 Ashtead Capital, Inc., 9% due 8/15/2016 (i)....................... 267,500
Avis Budget Car Rental LLC (i):
250,000 7.625% due 5/15/2014............................................ 243,750
225,000 7.874% due 5/15/2014 (b)........................................ 217,125
250,000 Buhrmann US, Inc., 8.25% due 7/01/2014............................ 248,125
250,000 Corrections Corp. of America, 7.50% due 5/01/2011................. 257,500
90,000 DI Finance Series B, 9.50% due 2/15/2013.......................... 95,400
250,000 FTI Consulting, Inc., 7.625% due 6/15/2013........................ 258,125
500,000 The Geo Group, Inc., 8.25% due 7/15/2013.......................... 515,000
250,000 MSW Energy Holdings II LLC, 7.375% due 9/01/2010.................. 255,000
185,000 Mac-Gray Corp., 7.625% due 8/15/2015.............................. 187,775
United Rentals North America, Inc.:
250,000 6.50% due 2/15/2012............................................. 246,875
200,000 7% due 2/15/2014................................................ 196,250
-----------
3,845,113
- ---------------------------------------------------------------------------------------------------------------------------
Steel--0.5% 250,000 Ucar Finance, Inc., 10.25% due 2/15/2012.......................... 263,438
- ---------------------------------------------------------------------------------------------------------------------------
Telecommunications--2.7% 40,000 Citizens Communications Co., 6.25% due 1/15/2013.................. 39,250
154,000 Inmarsat Finance Plc, 7.625% due 6/30/2012........................ 159,005
250,000 Nordic Telephone Co. Holdings ApS, 8.875% due 5/01/2016 (i)....... 267,500
140,000 ProtoStar I Ltd., 12.50% due 10/15/2012 (a)(b)(i)................. 144,200
500,000 Qwest Communications International, Inc., 7.50% due 2/15/2014..... 515,000
250,000 Qwest Corp., 8.61% due 6/15/2013 (b).............................. 270,624
140,000 Tele Norte Leste Participacoes SA Series B, 8% due 12/18/2013..... 148,750
-----------
1,544,329
- ---------------------------------------------------------------------------------------------------------------------------
Transportation--1.7% 65,000 Britannia Bulk Plc, 11% due 12/01/2011 (i)........................ 61,019
145,000 Navios Maritime Holdings, Inc., 9.50% due 12/15/2014 (i).......... 142,723
250,000 OMI Corp., 7.625% due 12/01/2013.................................. 255,625
500,000 Overseas Shipholding Group, 8.25% due 3/15/2013................... 525,625
-----------
984,992
- ---------------------------------------------------------------------------------------------------------------------------
75
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Face
Industry Amount Corporate Bonds Value
- ---------------------------------------------------------------------------------------------------------------------------
Utility--7.2% $ 206,000 The AES Corp., 8.875% due 2/15/2011............................... $ 220,935
100,000 Conexant Systems, Inc., 9.124% due 11/15/2010 (b)(i).............. 101,500
774,000 ESI Tractebel Acquisition Corp. Series B, 7.99% due 12/30/2011.... 794,340
200,000 Edison Mission Energy, 7.50% due 6/15/2013........................ 209,000
227,968 FPL Energy National Wind, 6.125% due 3/25/2019 (i)(j)............. 220,780
400,000 Mirant Americas Generation Inc., 8.30% due 5/01/2011.............. 410,000
250,000 NRG Energy, Inc., 7.25% due 2/01/2014............................. 251,875
250,000 NorthWestern Corp., 5.875% due 11/01/2014......................... 245,635
Reliant Energy, Inc.:
260,000 9.50% due 7/15/2013............................................. 278,850
300,000 6.75% due 12/15/2014............................................ 293,250
500,000 SEMCO Energy, Inc., 7.75% due 5/15/2013........................... 504,707
250,000 Southern Natural Gas Co., 8.875% due 3/15/2010.................... 262,273
240,296 Tenaska Alabama Partners LP, 7% due 6/30/2021 (i)(j).............. 238,651
115,000 Transcontinental Gas Pipe Line Corp. Series B, 8.875%
due 7/15/2012................................................... 129,950
-----------
4,161,746
- ---------------------------------------------------------------------------------------------------------------------------
Wireless 425,000 American Towers, Inc., 7.25% due 12/01/2011....................... 439,875
Communications--4.0% 90,000 Centennial Communications Corp., 8.125% due 2/01/2014............. 92,363
205,000 Cricket Communications, Inc., 9.375% due 11/01/2014 (i)........... 216,275
120,000 FiberTower Corp., 9% due 11/15/2012 (a)(i)........................ 143,250
310,000 MetroPCS Wireless, Inc., 9.25% due 11/01/2014 (i)................. 323,950
250,000 Rogers Wireless Communications, Inc., 8.485% due 12/15/2010 (b)... 255,000
290,000 Rural Cellular Corp., 8.25% due 3/15/2012......................... 301,963
West Corp. (i):
15,000 9.50% due 10/15/2014............................................ 15,000
520,000 11% due 10/15/2016.............................................. 525,200
-----------
2,312,876
- ---------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$53,751,344)--93.6% 54,281,196
- ---------------------------------------------------------------------------------------------------------------------------
Shares
Held Common Stocks
- ---------------------------------------------------------------------------------------------------------------------------
Manufacturing--0.4% 14,935 Medis Technologies Ltd. (d) 260,317
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$305,426)--0.4% 260,317
- ---------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ---------------------------------------------------------------------------------------------------------------------------
Telecommunications--0.0% 8 PTV, Inc. Series A, 10% (d) 34
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost--$664)--0.0% 34
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------------------
$2,434,107 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.26%(c)(h).... 2,434,107
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$2,434,107)--4.2% 2,434,107
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$56,491,541*)--98.2%..................... 56,975,654
Other Assets Less Liabilities--1.8%............................... 1,031,664
-----------
Net Assets--100.0%................................................ $58,007,318
===========
- ---------------------------------------------------------------------------------------------------------------------------
76
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost......................................................................................... $56,510,335
===========
Gross unrealized appreciation.......................................................................... $ 1,085,712
Gross unrealized depreciation.......................................................................... (620,393)
-----------
Net unrealized appreciation............................................................................ $ 465,319
===========
(a) Convertible security.
(b) Floating rate security.
(c) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
---------------------------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
---------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series.................................... $(1,016,573) $167,058
---------------------------------------------------------------------------------------------------------------------
(d) Non-income producing security.
(e) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(f) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(g) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(h) Represents the current yield as of December 31, 2006.
(i) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(j) Subject to principal paydowns.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
See Notes to Financial Statements.
77
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Large Cap Core Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace & 43,000 Lockheed Martin Corp......................................... $ 3,959,010
Defense--2.3% 48,000 Northrop Grumman Corp........................................ 3,249,600
------------
7,208,610
- ---------------------------------------------------------------------------------------------------------------------------
Airlines--2.1% 110,000 AMR Corp. (a)................................................ 3,325,300
79,000 Continental Airlines, Inc. Class B (a)....................... 3,258,750
------------
6,584,050
- ---------------------------------------------------------------------------------------------------------------------------
Automobiles--2.3% 122,000 General Motors Corp. (d)..................................... 3,747,840
51,000 Harley-Davidson, Inc......................................... 3,593,970
------------
7,341,810
- ---------------------------------------------------------------------------------------------------------------------------
Capital Markets--5.7% 23,000 The Bear Stearns Cos., Inc................................... 3,743,940
25,000 Goldman Sachs Group, Inc..................................... 4,983,750
54,000 Lehman Brothers Holdings, Inc................................ 4,218,480
66,000 Morgan Stanley............................................... 5,374,380
------------
18,320,550
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals--0.1% 8,000 E.I. du Pont de Nemours & Co................................. 389,680
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Services & 17,000 Avery Dennison Corp.......................................... 1,154,810
Supplies--0.4%
- ---------------------------------------------------------------------------------------------------------------------------
Communications 256,000 Cisco Systems, Inc. (a)...................................... 6,996,480
Equipment--3.5% 205,000 Motorola, Inc................................................ 4,214,800
------------
11,211,280
- ---------------------------------------------------------------------------------------------------------------------------
Computers & 142,000 Hewlett-Packard Co........................................... 5,848,980
Peripherals--5.7% 71,000 International Business Machines Corp......................... 6,897,650
5,000 Lexmark International, Inc. Class A (a)...................... 366,000
76,000 NCR Corp. (a)................................................ 3,249,760
87,000 QLogic Corp. (a)............................................. 1,907,040
------------
18,269,430
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial 49,000 Bank of America Corp......................................... 2,616,110
Services--6.0% 171,000 Citigroup, Inc............................................... 9,524,700
145,000 JPMorgan Chase & Co.......................................... 7,003,500
------------
19,144,310
- ---------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 96,000 Agilent Technologies, Inc. (a)............................... 3,345,600
Instruments--1.1%
- ---------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing--0.0% 4,000 Safeway, Inc................................................. 138,240
- ---------------------------------------------------------------------------------------------------------------------------
Food Products--2.1% 86,000 Campbell Soup Co............................................. 3,344,540
6,000 HJ Heinz Co.................................................. 270,060
91,000 Kraft Foods, Inc. (d)........................................ 3,248,700
------------
6,863,300
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 49,000 Becton Dickinson & Co........................................ 3,437,350
Supplies--1.1%
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 84,000 Aetna, Inc................................................... 3,627,120
Services--7.4% 76,000 AmerisourceBergen Corp....................................... 3,416,960
63,000 Caremark Rx, Inc............................................. 3,597,930
55,000 Coventry Health Care, Inc. (a)............................... 2,752,750
53,000 Humana, Inc. (a)............................................. 2,931,430
63,000 McKesson Corp................................................ 3,194,100
54,000 WellPoint, Inc. (a)(d)....................................... 4,249,260
------------
23,769,550
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 41,000 Brinker International, Inc................................... 1,236,560
Leisure--0.4%
- ---------------------------------------------------------------------------------------------------------------------------
Household Products--0.5% 27,000 The Procter & Gamble Co...................................... 1,735,290
- ---------------------------------------------------------------------------------------------------------------------------
IT Services--0.9% 74,000 Paychex, Inc. (d)............................................ 2,925,960
- ---------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--1.8% 154,000 General Electric Co.......................................... 5,730,340
- ---------------------------------------------------------------------------------------------------------------------------
Insurance--4.1% 6,000 American International Group, Inc............................ 429,960
9,000 MBIA, Inc.................................................... 657,540
50,000 Prudential Financial, Inc.................................... 4,293,000
78
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Large Cap Core Portfolio
Schedule of Investments as of December 31, 2006 (Continued)
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Insurance 53,000 Safeco Corp.................................................. $ 3,315,150
(concluded) 80,000 The St. Paul Travelers Cos., Inc............................. 4,295,200
------------
12,990,850
- ---------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 120,000 Hasbro, Inc.................................................. 3,270,000
Products--1.0%
- ---------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 28,000 Waters Corp. (a)............................................. 1,371,160
Services--0.4%
- ---------------------------------------------------------------------------------------------------------------------------
Machinery--0.2% 5,000 Cummins, Inc................................................. 590,900
- ---------------------------------------------------------------------------------------------------------------------------
Media--2.7% 151,000 The DIRECTV Group, Inc. (a).................................. 3,765,940
143,000 Walt Disney Co............................................... 4,900,610
------------
8,666,550
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining--3.0% 56,000 Freeport-McMoRan Copper & Gold, Inc. Class B................. 3,120,880
62,000 Nucor Corp................................................... 3,388,920
44,000 United States Steel Corp..................................... 3,218,160
------------
9,727,960
- ---------------------------------------------------------------------------------------------------------------------------
Multiline Retail--3.5% 48,000 JC Penney Co., Inc........................................... 3,713,280
55,000 Kohl's Corp. (a)............................................. 3,763,650
75,000 Nordstrom, Inc............................................... 3,700,500
------------
11,177,430
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 75,000 Anadarko Petroleum Corp...................................... 3,264,000
Fuels--14.9% 95,000 Chevron Corp................................................. 6,985,350
54,000 Devon Energy Corp............................................ 3,622,320
183,000 Exxon Mobil Corp............................................. 14,023,290
88,000 Frontier Oil Corp............................................ 2,529,120
43,000 Marathon Oil Corp............................................ 3,977,500
82,000 Occidental Petroleum Corp.................................... 4,004,060
45,000 Sunoco, Inc.................................................. 2,806,200
42,000 Tesoro Corp.................................................. 2,762,340
72,000 Valero Energy Corp........................................... 3,683,520
------------
47,657,700
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--6.9% 115,000 Johnson & Johnson............................................ 7,592,300
120,000 Merck & Co., Inc............................................. 5,232,000
18,000 Mylan Laboratories........................................... 359,280
294,000 Pfizer, Inc.................................................. 7,614,600
54,000 Schering-Plough Corp......................................... 1,276,560
------------
22,074,740
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & 162,000 Altera Corp. (a)............................................. 3,188,160
Semiconductor 90,000 Analog Devices, Inc.......................................... 2,958,300
Equipment--6.5% 203,000 Applied Materials, Inc....................................... 3,745,350
165,000 Integrated Device Technology, Inc. (a)....................... 2,554,200
115,000 National Semiconductor Corp.................................. 2,610,500
29,000 Novellus Systems, Inc. (a)................................... 998,180
95,000 Nvidia Corp. (a)............................................. 3,515,950
50,000 Xilinx, Inc.................................................. 1,190,500
------------
20,761,140
- ---------------------------------------------------------------------------------------------------------------------------
Software--7.5% 199,000 BEA Systems, Inc. (a)........................................ 2,503,420
130,000 Compuware Corp. (a).......................................... 1,082,900
100,000 Intuit, Inc. (a)............................................. 3,051,000
110,000 McAfee, Inc. (a)............................................. 3,121,800
266,000 Microsoft Corp............................................... 7,942,760
272,000 Oracle Corp. (a)............................................. 4,662,080
62,000 Synopsys, Inc. (a)........................................... 1,657,260
------------
24,021,220
- ---------------------------------------------------------------------------------------------------------------------------
Specialty Retail--3.5% 47,000 Abercrombie & Fitch Co. Class A.............................. 3,272,610
22,500 American Eagle Outfitters, Inc............................... 702,225
69,000 Best Buy Co., Inc. (d)....................................... 3,394,110
6,000 Dick's Sporting Goods, Inc. (a).............................. 293,940
135,000 Staples, Inc................................................. 3,604,500
------------
11,267,385
- ---------------------------------------------------------------------------------------------------------------------------
79
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Large Cap Core Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
Shares
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 13,000 The PMI Group, Inc........................................... $ 613,210
Finance--0.2%
- ---------------------------------------------------------------------------------------------------------------------------
Tobacco--2.3% 12,000 Altria Group, Inc............................................ 1,029,840
51,000 Reynolds American, Inc....................................... 3,338,970
52,000 UST, Inc..................................................... 3,026,400
------------
7,395,210
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$265,054,118)--100.1% 320,392,175
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------------------
$14,197,700 BlackRock Liquidity Series, LLC
Money Market Series, 5.29% (b)(c)(e)......................... 14,197,700
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$14,197,700)--4.4% 14,197,700
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$279,251,818*)--104.5%.............. 334,589,875
Liabilities in Excess of Other Assets--(4.5%)................ (14,402,500)
------------
Net Assets--100.0%........................................... $320,187,375
============
- ---------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost......................................................................................... $280,550,973
============
Gross unrealized appreciation.......................................................................... $ 60,109,388
Gross unrealized depreciation.......................................................................... (6,070,486)
------------
Net unrealized appreciation............................................................................ $ 54,038,902
============
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
---------------------------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
---------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series.................................... $ (2,167) $ 1,057
BlackRock Liquidity Series, LLC Money Market Series.................................. $(13,483,650) $20,040
---------------------------------------------------------------------------------------------------------------------
(c) Represents the current yield as of December 31, 2006.
(d) Security, or a portion of security, is on loan.
(e) Security was purchased with the cash proceeds from securities loans.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
See Notes to Financial Statements.
80
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Money Market Portfolio
Schedule of Investments as of December 31, 2006
================================================================================
Face Interest Maturity
Amount Issue Rate** Date Value
- ---------------------------------------------------------------------------------------------------------------------------
Bank Notes--1.7% $ 5,000,000 Bank of America, NA (b)............. 5.315% 1/16/2007 $ 5,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Bank Notes (Cost--$5,000,000) 5,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Certificates of Deposit--5.0% 8,000,000 Branch Banking & Trust Co........... 5.275 1/12/2007 8,000,000
3,800,000 Citibank, NA........................ 5.295 3/07/2007 3,799,795
3,500,000 Washington Mutual Bank.............. 5.33 2/16/2007 3,500,020
- ---------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(Cost--$15,300,000) 15,299,815
- ---------------------------------------------------------------------------------------------------------------------------
Certificates of Deposit-- 7,000,000 Canadian Imperial Bank of
Yankee--3.0% Commerce (b)...................... 5.43 12/14/2007 7,000,000
2,000,000 Swedbank AB (ForeningsSparbanken)... 5.199 3/30/2007 1,998,402
- ---------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit--Yankee
(Cost--$8,999,995) 8,998,402
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Paper--63.6% 7,800,000 Alliance & Leicester Plc............ 5.23 3/01/2007 7,733,755
3,100,000 Aspen Funding Corp.................. 5.37 2/28/2007 3,074,013
5,000,000 Atlas Capital Funding, Ltd.......... 5.28 3/19/2007 4,944,275
12,000,000 The Bear Stearns Cos., Inc.......... 5.34 1/22/2007 11,966,025
3,000,000 The Bear Stearns Cos., Inc.......... 5.37 2/07/2007 2,984,965
1,000,000 Bryant Park Funding LLC............. 5.44 1/11/2007 998,680
4,000,000 Bryant Park Funding LLC............. 5.38 2/27/2007 3,967,441
8,000,000 CAFCO, LLC.......................... 5.44 2/01/2007 7,965,000
2,000,000 CAFCO, LLC.......................... 5.46 2/08/2007 1,989,188
15,000,000 CHARTA, LLC......................... 5.48 2/23/2007 14,885,383
8,000,000 CRC Funding, LLC.................... 5.42 2/08/2007 7,958,664
5,000,000 Ciesco, LLC......................... 5.33 1/09/2007 4,994,951
10,000,000 Ciesco, LLC......................... 5.36 2/05/2007 9,950,951
6,617,000 Erasmus Capital Corp................ 5.39 2/20/2007 6,570,048
5,000,000 Erasmus Capital Corp................ 5.26 3/15/2007 4,947,080
10,000,000 Greyhawk Funding LLC................ 5.44 1/31/2007 9,959,260
3,000,000 Hudson-Thames Capital, LLC.......... 5.27 3/06/2007 2,972,238
5,000,000 Links Finance LLC................... 5.25 3/16/2007 4,946,455
10,000,000 Nordea North America, Inc........... 5.325 1/29/2007 9,961,123
8,923,000 Park Avenue Receivables Co. LLC..... 5.41 1/05/2007 8,919,089
6,000,000 Park Avenue Receivables Co. LLC..... 5.39 1/17/2007 5,986,850
14,000,000 Prudential Funding LLC.............. 5.34 1/03/2007 13,998,066
2,000,000 Sheffield Receivables Corp.......... 5.36 1/23/2007 1,993,863
13,000,000 Swedbank AB (ForeningsSparbanken)... 5.36 1/04/2007 12,996,385
8,642,000 Tango Finance Corp.................. 5.26 3/20/2007 8,544,415
6,000,000 Thames Asset Global Securitization
No. 1, Inc........................ 5.39 1/05/2007 5,997,471
1,700,000 Victory Receivables Corp............ 5.63 2/01/2007 1,692,492
10,000,000 Yorktown Capital, LLC............... 5.40 1/10/2007 9,988,289
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper
(Cost--$192,880,274) 192,886,415
- ---------------------------------------------------------------------------------------------------------------------------
Funding Agreements--7.4% 3,000,000 Genworth Life Insurance
Co. (a)(b)........................ 5.429 10/01/2007 3,000,000
9,000,000 Jackson National Life Insurance
Co. (a)(b)........................ 5.409 5/01/2007 9,000,000
10,500,000 Monumental Life Insurance Co.
(a)(b)............................ 5.509 2/14/2007 10,500,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Funding Agreements
(Cost--$22,500,000) 22,500,000
- ---------------------------------------------------------------------------------------------------------------------------
Medium-Term Notes--9.6% 1,000,000 Bank of Ireland (b)................. 5.35 12/20/2007 1,000,000
7,000,000 General Electric Capital Corp. (b).. 5.475 10/17/2007 7,000,000
4,100,000 Goldman Sachs Group, Inc. (b)....... 5.40 12/14/2007 4,100,000
3,000,000 HSBC Finance Corp. (b).............. 5.38 12/24/2007 3,000,000
1,300,000 MetLife Global Funding I (b)........ 5.36 12/06/2007 1,300,000
1,750,000 MetLife Global Funding I (b)........ 5.44 12/14/2007 1,750,000
2,000,000 Northern Rock Plc (b)............... 5.423 10/09/2007 2,000,876
81
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Money Market Portfolio
Schedule of Investments as of December 31, 2006 (Concluded)
================================================================================
Face Interest Maturity
Amount Issue Rate** Date Value
- ---------------------------------------------------------------------------------------------------------------------------
Medium-Term Notes $ 1,900,000 Principal Life Income Funding Trust (b) 5.38 % 12/07/2007 $ 1,901,051
(concluded) 7,000,000 Stanfield Victoria Finance Ltd. (b). 5.32 6/04/2007 6,999,566
- ---------------------------------------------------------------------------------------------------------------------------
Total Medium-Term Notes
(Cost--$29,050,617) 29,051,493
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government, Agency & 4,200,000 Fannie Mae.......................... 4.15 7/13/2007 4,175,854
Instrumentality Obligations-- 3,000,000 Fannie Mae.......................... 4.875 1/11/2008 2,989,806
Non-Discount--7.1% 1,000,000 Fannie Mae.......................... 4.96 2/08/2008 997,452
1,000,000 Federal Home Loan Bank System....... 3.45 1/10/2007 999,602
1,000,000 Federal Home Loan Bank System....... 4.00 6/13/2007 994,474
2,000,000 Federal Home Loan Bank System....... 4.00 6/22/2007 1,988,492
2,000,000 Federal Home Loan Bank System....... 5.58 8/14/2007 2,000,474
750,000 Federal Home Loan Bank System....... 4.21 9/14/2007 744,455
1,400,000 Freddie Mac......................... 4.45 9/28/2007 1,391,886
700,000 Freddie Mac......................... 4.595 10/05/2007 696,592
800,000 Freddie Mac......................... 4.625 10/05/2007 796,282
1,000,000 Freddie Mac......................... 4.655 10/11/2007 995,493
700,000 Freddie Mac......................... 4.705 10/11/2007 697,108
1,000,000 Freddie Mac......................... 4.75 10/24/2007 995,446
1,100,000 U.S. Treasury Notes................. 4.375 1/31/2008 1,092,738
- ---------------------------------------------------------------------------------------------------------------------------
Total U.S. Government, Agency &
Instrumentality Obligations--Non-Discount
(Cost--$21,628,776) 21,556,154
- ---------------------------------------------------------------------------------------------------------------------------
Repurchase 7,645,000 Deutsche Bank Securities, Inc.,
Agreement--2.5% purchased on 12/29/2006 to
yield 5.25% to 1/02/2007,
repurchase price of $7,648,299
collateralized by FNMA,
7.25% due 5/15/2030............... 7,645,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost--$7,645,000) 7,645,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$303,004,662*)--99.9%.................................. 302,937,279
Other Assets Less Liabilities--0.1%........................... 242,697
------------
Net Assets--100.0%............................................ $303,179,976
============
- ---------------------------------------------------------------------------------------------------------------------------
* Cost for federal income tax purposes.
** Commercial Paper and certain U.S. Government, Agency & Instrumentality
Obligations are traded on a discount basis; the interest rates shown
reflect the discount rates paid at the time of purchase. Other securities
bear interest at the rates shown, payable at fixed dates or upon maturity.
Interest rates on variable rate securities are adjustable periodically
based upon appropriate indexes. The interest rates shown are the rates in
effect at December 31, 2006.
(a) Restricted securities as to resale, representing approximately 7.4% of net
assets were as follows:
- ---------------------------------------------------------------------------------------------------------------------------------
Issue Acquisition Dates Cost Value
- ---------------------------------------------------------------------------------------------------------------------------------
Genworth Life Insurance Co., 5.429% due 10/01/2007.......................... 10/02/2006 $ 3,000,000 $ 3,000,000
Jackson National Life Insurance Co., 5.409% due 5/01/2007................... 5/01/2006 9,000,000 9,000,000
Monumental Life Insurance Co., 5.509% due 2/14/2007......................... 11/22/2006 10,500,000 10,500,000
- ---------------------------------------------------------------------------------------------------------------------------------
Total....................................................................... $22,500,000 $22,500,000
=========== ===========
- ---------------------------------------------------------------------------------------------------------------------------------
(b) Floating rate security.
See Notes to Financial Statements.
82
(This Page Intentionally Left Blank)
83
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Assets and Liabilities as of December 31, 2006
================================================================================
BlackRock BlackRock
Balanced BlackRock Fundamental
Capital Bond Growth
Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in unaffiliated securities, at value*+++ ......... $ 802,873,900 $ 141,312,938 $ 225,975,203
Investments in affiliated securities, at value++++++ ......... 58,138,000 -- 11,869,479
Options purchased, at value+++++ ............................. 35,423 14,338 --
Unrealized appreciation on swaps ............................. 91,357 103,417 --
Unrealized appreciation on forward foreign
exchange contracts ........................................ -- -- --
Cash ......................................................... 14,329 -- --
Foreign cash++++ ............................................. 6,098,534 2,371,227 713,605
Receivable for securities sold ............................... 15,079,975 8,157,747 4,001,272
Interest receivable .......................................... 2,040,855 819,428 --
Dividends receivable ......................................... 955,225 7,970 255,235
Receivable for capital shares sold ........................... -- 383,070 --
Receivable for variation margin .............................. 33,325 15,613 --
Receivable for paydowns ...................................... 13,444 1,401 --
Receivable for securities lending ............................ 276 -- 1,069
Receivable for swaps ......................................... 9,797 2,993 --
Receivable for options written ............................... -- -- --
Prepaid expenses and other assets ............................ 83,652 1,237 3,664
--------------- --------------- ---------------
Total assets ................................................. 885,468,092 153,191,379 242,819,527
--------------- --------------- ---------------
Liabilities:
Collateral on securities loaned, at value .................... 5,099,600 -- 11,857,750
Unrealized depreciation on swaps ............................. 259,220 68,380 --
Options written, at value++ .................................. 318,645 126,690 --
Unrealized depreciation on forward foreign
exchange contracts ........................................ -- -- --
Payable for securities purchased ............................. 16,395,888 36,057,339 1,994,558
Bank overdraft ............................................... -- 76,942 91,746
Payable for capital shares redeemed .......................... 400,748 517 21,521
Payable for swaps ............................................ 410,511 208,454 --
Payable for dividends and distributions to
shareholders .............................................. -- 423,158 --
Payable to investment adviser--net ........................... 231,520 33,975 62,385
Payable for other affiliates ................................. 9,304 2,366 3,532
Deferred foreign capital gain tax ............................ -- -- --
Accrued expenses and other liabilities ....................... 133,118 42,611 47,022
--------------- --------------- ---------------
Total liabilities ............................................ 23,258,554 37,040,432 14,078,514
--------------- --------------- ---------------
Net Assets ................................................... $ 862,209,538 $ 116,150,947 $ 228,741,013
=============== =============== ===============
Net Assets Consist of:
Undistributed (accumulated distributions
in excess of) investment income--net ...................... $ (11,082) $ (617,042) --
Undistributed (accumulated) realized capital
gains (losses)--net ....................................... (70,974,718) (1,253,379) $ (117,775,787)
Unrealized appreciation (depreciation)--net .................. 121,085,754 274,499 23,554,480
--------------- --------------- ---------------
Total accumulated earnings (losses)--net ..................... 50,099,954 (1,595,922) (94,221,307)
--------------- --------------- ---------------
Common Stock, $.10 par value+ ................................ 5,446,468 1,018,391 971,247
Paid--in capital in excess of par ............................ 806,663,116 116,728,478 321,991,073
--------------- --------------- ---------------
Net Assets ................................................... $ 862,209,538 $ 116,150,947 $ 228,741,013
=============== =============== ===============
Capital shares outstanding ................................... 54,464,675 10,183,913 9,712,465
=============== =============== ===============
Net asset value, offering and redemption
price per share ........................................... $ 15.83 $ 11.41 $ 23.55
=============== =============== ===============
* Identified cost for unaffiliated securities .................. $ 682,187,526 $ 141,382,067 $ 202,426,655
=============== =============== ===============
+ Authorized shares ............................................ 300,000,000 100,000,000 100,000,000
=============== =============== ===============
++ Premiums received ............................................ $ 365,200 $ 145,200 --
=============== =============== ===============
+++ Securities loaned ............................................ $ 4,833,030 -- $ 11,477,646
=============== =============== ===============
++++ Cost ......................................................... $ 6,187,411 $ 2,402,455 $ 707,927
=============== =============== ===============
+++++ Premiums paid ................................................ $ 95,620 $ 38,703 --
=============== =============== ===============
++++++ Identified cost for affiliated securities .................... $ 58,138,000 -- $ 11,869,479
=============== =============== ===============
- --------------------------------------------------------------------------------
================================================================================
BlackRock BlackRock BlackRock
Global Government High
Allocation Income Income
Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in unaffiliated securities, at value*+++ ......... $ 288,136,210 $ 362,112,768 $ 54,541,547
Investments in affiliated securities, at value++++++ ......... 14,658,732 -- 2,434,107
Options purchased, at value+++++ ............................. 33,850 -- --
Unrealized appreciation on swaps ............................. -- 962,638 --
Unrealized appreciation on forward foreign
exchange contracts ........................................ 61,675 -- --
Cash ......................................................... -- -- 277,252
Foreign cash++++ ............................................. 3,531,367 -- --
Receivable for securities sold ............................... 5,211,350 40,553,721 32,000
Interest receivable .......................................... 976,077 1,815,720 1,075,676
Dividends receivable ......................................... 319,816 -- --
Receivable for capital shares sold ........................... 78,622 -- 30,199
Receivable for variation margin .............................. 29,515 40,407 --
Receivable for paydowns ...................................... -- 24,395 2,006
Receivable for securities lending ............................ -- -- --
Receivable for swaps ......................................... -- 129,562 --
Receivable for options written ............................... 83,652 -- --
Prepaid expenses and other assets ............................ 3,409 3,026 607
--------------- --------------- ---------------
Total assets ................................................. 313,124,275 405,642,237 58,393,394
--------------- --------------- ---------------
Liabilities:
Collateral on securities loaned, at value .................... -- -- --
Unrealized depreciation on swaps ............................. 4,841 384,966 --
Options written, at value++ .................................. 2,466,546 -- --
Unrealized depreciation on forward foreign
exchange contracts ........................................ 80,291 -- --
Payable for securities purchased ............................. 5,143,866 235,606,741 --
Bank overdraft ............................................... -- 52,696 --
Payable for capital shares redeemed .......................... -- 4,002 66
Payable for swaps ............................................ 377 256,821 --
Payable for dividends and distributions to
shareholders .............................................. -- 679,979 348,603
Payable to investment adviser--net ........................... 71,119 50,309 16,758
Payable for other affiliates ................................. 4,011 2,913 1,774
Deferred foreign capital gain tax ............................ 4,453 -- --
Accrued expenses and other liabilities ....................... 127,488 38,025 18,875
--------------- --------------- ---------------
Total liabilities ............................................ 7,902,992 237,076,452 386,076
--------------- --------------- ---------------
Net Assets ................................................... $ 305,221,283 $ 168,565,785 $ 58,007,318
=============== =============== ===============
Net Assets Consist of:
Undistributed (accumulated distributions
in excess of) investment income--net ...................... $ (720,823) $ (578,640) $ (101,958)
Undistributed (accumulated) realized capital
gains (losses)--net ....................................... 1,355,964 (2,241,030) (38,649,025)
Unrealized appreciation (depreciation)--net .................. 51,116,038 1,385,814 484,113
--------------- --------------- ---------------
Total accumulated earnings (losses)--net ..................... 51,751,179 (1,433,856) (38,266,870)
--------------- --------------- ---------------
Common Stock, $.10 par value+ ................................ 1,792,131 1,505,595 1,006,282
Paid--in capital in excess of par ............................ 251,677,973 168,494,046 95,267,906
--------------- --------------- ---------------
Net Assets ................................................... $ 305,221,283 $ 168,565,785 $ 58,007,318
=============== =============== ===============
Capital shares outstanding ................................... 17,921,309 15,055,947 10,062,817
=============== =============== ===============
Net asset value, offering and redemption
price per share ........................................... $ 17.03 $ 11.20 $ 5.76
=============== =============== ===============
* Identified cost for unaffiliated securities .................. $ 236,121,203 $ 361,785,564 $ 54,057,434
=============== =============== ===============
+ Authorized shares ............................................ 100,000,000 100,000,000 100,000,000
=============== =============== ===============
++ Premiums received ............................................ $ 1,601,330 -- --
=============== =============== ===============
+++ Securities loaned ............................................ -- -- --
=============== =============== ===============
++++ Cost ......................................................... $ 3,487,410 -- --
=============== =============== ===============
+++++ Premiums paid ................................................ $ 38,043 -- --
=============== =============== ===============
++++++ Identified cost for affiliated securities .................... $ 14,658,732 -- $ 2,434,107
=============== =============== ===============
- --------------------------------------------------------------------------------
================================================================================
BlackRock BlackRock
Large Cap Money
Core Market
Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------
Assets:
Investments in unaffiliated securities, at value*+++ ......... $ 320,392,175 $ 302,937,279
Investments in affiliated securities, at value++++++ ......... 14,197,700 --
Options purchased, at value+++++ ............................. -- --
Unrealized appreciation on swaps ............................. -- --
Unrealized appreciation on forward foreign
exchange contracts ........................................ -- --
Cash ......................................................... -- --
Foreign cash++++ ............................................. -- --
Receivable for securities sold ............................... -- --
Interest receivable .......................................... -- 858,896
Dividends receivable ......................................... 347,205 --
Receivable for capital shares sold ........................... 99,056 77,619
Receivable for variation margin .............................. -- --
Receivable for paydowns ...................................... -- --
Receivable for securities lending ............................ 900 --
Receivable for swaps ......................................... -- --
Receivable for options written ............................... -- --
Prepaid expenses and other assets ............................ 3,529 3,569
--------------- ---------------
Total assets ................................................. 335,040,565 303,877,363
--------------- ---------------
Liabilities:
Collateral on securities loaned, at value .................... 14,197,700 --
Unrealized depreciation on swaps ............................. -- --
Options written, at value++ .................................. -- --
Unrealized depreciation on forward foreign
exchange contracts ........................................ -- --
Payable for securities purchased ............................. -- --
Bank overdraft ............................................... 518,418 135,742
Payable for capital shares redeemed .......................... 1,045 424,367
Payable for swaps ............................................ -- --
Payable for dividends and distributions to
shareholders .............................................. -- --
Payable to investment adviser--net ........................... 86,240 89,812
Payable for other affiliates ................................. 4,174 4,239
Deferred foreign capital gain tax ............................ -- --
Accrued expenses and other liabilities ....................... 45,613 43,227
--------------- ---------------
Total liabilities ............................................ 14,853,190 697,387
--------------- ---------------
Net Assets ................................................... $ 320,187,375 $ 303,179,976
Net Assets Consist of:
Undistributed (accumulated distributions
in excess of) investment income--net ...................... $ 74,144 $ 139
Undistributed (accumulated) realized capital
gains (losses)--net ....................................... 5,647,682 (139)
Unrealized appreciation (depreciation)--net .................. 55,338,057 (67,383)
--------------- ---------------
Total accumulated earnings (losses)--net ..................... 61,059,883 (67,383)
--------------- ---------------
Common Stock, $.10 par value+ ................................ 1,271,726 30,324,736
Paid--in capital in excess of par ............................ 257,855,766 272,922,623
--------------- ---------------
Net Assets ................................................... $ 320,187,375 $ 303,179,976
=============== ===============
Capital shares outstanding ................................... 12,717,256 303,247,359
=============== ===============
Net asset value, offering and redemption
price per share ........................................... $ 25.18 $ 1.00
=============== ===============
* Identified cost for unaffiliated securities .................. $ 265,054,118 $ 303,004,662
=============== ===============
+ Authorized shares ............................................ 100,000,000 2,000,000,000
=============== ===============
++ Premiums received ............................................ -- --
=============== ===============
+++ Securities loaned ............................................ $ 13,759,248 --
=============== ===============
++++ Cost ......................................................... -- --
=============== ===============
+++++ Premiums paid ................................................ -- --
=============== ===============
++++++ Identified cost for affiliated securities .................... $ 14,197,700 --
=============== ===============
See Notes to Financial Statements.
84-85
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Assets and Liabilities as of December 31, 2006
================================================================================
BlackRock BlackRock BlackRock
Balanced BlackRock Fundamental Global
Capital Bond Growth Allocation
Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest**+ .............................................. $ 16,367,202 $ 6,018,157 $ 301,800 $ 4,300,235
Dividends* ............................................... 9,736,221 32,292 2,917,987 4,098,612
Securities lending--net .................................. 28,147 5,272 27,104 --
Other income ............................................. -- -- -- --
------------ ----------- ------------ -----------
Total income ............................................. 26,131,570 6,055,721 3,246,891 8,398,847
------------ ----------- ------------ -----------
Expenses:
Investment advisory fees ................................. 2,841,464 395,990 824,243 957,318
Accounting services ...................................... 348,001 51,954 101,679 117,595
Professional fees ........................................ 55,344 32,509 35,469 55,637
Custodian fees ........................................... 58,444 27,298 46,483 221,272
Printing and shareholder reports ......................... 41,490 6,141 12,792 14,016
Directors' fees and expenses ............................. 42,916 7,091 13,790 14,104
Pricing services ......................................... 43,397 40,252 2,818 24,010
Transfer agent fees ...................................... 5,000 5,000 5,000 5,000
Interest on securities sold short ........................ 10,726 4,500 -- --
Registration fees ........................................ 1,200 1,200 1,200 1,200
Other .................................................... 56,711 39,396 14,716 16,260
------------ ----------- ------------ -----------
Total expenses before waiver ............................. 3,504,693 611,331 1,058,190 1,426,412
Waiver of expenses ....................................... -- (19,887) -- (27,095)
------------ ----------- ------------ -----------
Total expenses after waiver .............................. 3,504,693 591,444 1,058,190 1,399,317
------------ ----------- ------------ -----------
Investment income--net ................................... 22,626,877 5,464,277 2,188,701 6,999,530
------------ ----------- ------------ -----------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net*** ................................... 35,707,821 (482,425) 22,634,642 25,536,661+++
Foreign currency transactions--net .................... (67,704) (37,478) (17,188) (233,175)
Financial futures contracts and swaps--net ............ (1,006,953) (567,914) -- 325,155
Short sales ........................................... 122,841 84,302 -- --
Options written--net .................................. (60,630) (33,777) 98,926 (6,662)
------------ ----------- ------------ -----------
Total realized gain (loss)--net .......................... 34,695,375 (1,037,292) 22,716,380 25,621,979
------------ ----------- ------------ -----------
Change in unrealized
appreciation/depreciation on:
Investments--net ...................................... 53,223,678 (299,429) (13,437,074)++++ 12,136,097++
Foreign currency transactions--net .................... (75,334) (30,862) 5,932 (96,893)
Financial futures contracts and swaps--net ............ 1,310,054 708,565 -- (187,078)
Options written--net .................................. 114,412 48,640 -- (18,301)
------------ ----------- ------------ -----------
Total change in unrealized
appreciation/depreciation--net ......................... 54,572,810 426,914 (13,431,142) 11,833,825
------------ ----------- ------------ -----------
Total realized and unrealized gain (loss)--net ........... 89,268,185 (610,378) 9,285,238 37,455,804
------------ ----------- ------------ -----------
Net Increase in Net Assets Resulting from Operations ..... $111,895,062 $ 4,853,899 $ 11,473,939 $44,455,334
============ =========== ============ ===========
* Net of foreign withholding tax ......................... $ 140,617 -- $ 29,548 $ 200,040
============ =========== ============ ===========
** Interest from affiliates ............................... $ 5,176,950 -- $ 301,800 $ 869,986
============ =========== ============ ===========
*** Net of foreign capital gain tax ........................ -- -- -- $ 78
============ =========== ============ ===========
+ Net of foreign withholding tax ......................... -- -- -- $ 617
============ =========== ============ ===========
++ Net of $16,886 foreign capital gain credit .............
+++ Includes a $45,137 payment from an affiliate
related to a regulatory issue on an investment ........
++++ Net of $11,535 foreign capital gain credit .............
- --------------------------------------------------------------------------------
================================================================================
BlackRock BlackRock BlackRock BlackRock
Government High Large Cap Money
Income Income Core Market
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest**+ .............................................. $ 8,799,791 $4,553,814 $ 1,057 $15,443,882
Dividends* ............................................... -- 9,381 4,383,179 --
Securities lending--net .................................. 621 -- 20,040 --
Other income ............................................. -- 53,809 -- --
----------- ---------- ----------- -----------
Total income ............................................. 8,800,412 4,617,004 4,404,276 15,443,882
----------- ---------- ----------- -----------
Expenses:
Investment advisory fees ................................. 588,346 192,960 1,047,836 1,035,323
Accounting services ...................................... 76,628 26,250 128,822 126,981
Professional fees ........................................ 30,300 31,110 55,624 34,427
Custodian fees ........................................... 25,494 11,904 44,521 19,319
Printing and shareholder reports ......................... 8,991 2,979 15,665 15,081
Directors' fees and expenses ............................. 9,959 3,931 16,281 16,264
Pricing services ......................................... 11,357 18,261 1,085 1,575
Transfer agent fees ...................................... 5,000 5,000 5,000 5,000
Interest on securities sold short ........................ -- -- -- --
Registration fees ........................................ 1,200 1,200 1,200 1,200
Other .................................................... 13,069 9,255 14,094 13,314
----------- ---------- ----------- -----------
Total expenses before waiver ............................. 770,344 302,850 1,330,128 1,268,484
Waiver of expenses ....................................... -- (16,864) -- --
----------- ---------- ----------- -----------
Total expenses after waiver .............................. 770,344 285,986 1,330,128 1,268,484
----------- ---------- ----------- -----------
Investment income--net ................................... 8,030,068 4,331,018 3,074,148 14,175,398
----------- ---------- ----------- -----------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net*** ................................... (350,522) (675,955) 30,808,069 (15)
Foreign currency transactions--net .................... -- -- -- --
Financial futures contracts and swaps--net ............ (967,021) -- -- --
Short sales ........................................... -- -- -- --
Options written--net .................................. 9,450 -- -- --
----------- ---------- ----------- -----------
Total realized gain (loss)--net .......................... (1,308,093) (675,955) 30,808,069 (15)
----------- ---------- ----------- -----------
Change in unrealized
appreciation/depreciation on:
Investments--net ...................................... (885,297) 1,271,236 10,112,316 97,507
Foreign currency transactions--net .................... -- -- -- --
Financial futures contracts and swaps--net ............ 1,020,336 -- -- --
Options written--net .................................. -- -- -- --
----------- ---------- ----------- -----------
Total change in unrealized
appreciation/depreciation--net ......................... 135,039 1,271,236 10,112,316 97,507
----------- ---------- ----------- -----------
Total realized and unrealized gain (loss)--net ........... (1,173,054) 595,281 40,920,385 97,492
----------- ---------- ----------- -----------
Net Increase in Net Assets Resulting from Operations ..... $ 6,857,014 $4,926,299 $43,994,533 $14,272,890
=========== ========== =========== ===========
* Net of foreign withholding tax ......................... -- -- -- --
=========== ========== =========== ===========
** Interest from affiliates ............................... $ 339,721 $ 167,058 $ 1,057 --
=========== ========== =========== ===========
*** Net of foreign capital gain tax ........................ -- -- -- --
=========== ========== =========== ===========
+ Net of foreign withholding tax ......................... -- -- -- --
=========== ========== =========== ===========
++ Net of $16,886 foreign capital gain credit .............
+++ Includes a $45,137 payment from an affiliate
related to a regulatory issue on an investment .........
++++ Net of $11,535 foreign capital gain credit .............
See Notes to Financial Statements.
86-87
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets
================================================================================
BlackRock BlackRock
Balanced Capital Portfolio Bond Portfolio
------------------------- --------------------------
For the Year Ended For the Year Ended
December 31, December 31,
------------------------- --------------------------
Increase (Decrease) in Net Assets: 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ....................................... $ 22,626,877 $ 18,985,012 $ 5,464,277 $ 4,886,920
Realized gain(loss)--net ..................................... 34,695,375 22,991,764 (1,037,292) (210,233)
Change in unrealized appreciation/depreciation--net .......... 54,572,810 (5,088,131) 426,914 (2,008,026)
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations ......... 111,895,062 36,888,645 4,853,899 2,668,661
------------- ------------- ------------- -------------
Dividends & Distributions to Shareholders:
Investment income--net ....................................... (22,161,687) (19,379,720) (5,421,591) (6,522,076)
Realized gain--net ........................................... -- -- -- (569,703)
Tax return of capital ........................................ -- -- (19,907) --
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends and
distributions to shareholders .............................. (22,161,687) (19,379,720) (5,441,498) (7,091,779)
------------- ------------- ------------- -------------
Capital Share Transactions:
Net decrease in net assets derived from capital share
transactions ............................................... (75,044,107) (83,918,442) (6,099,540) (7,975,743)
------------- ------------- ------------- -------------
Net Assets:
Total increase (decrease) in net assets ...................... 14,689,268 (66,409,517) (6,687,139) (12,398,861)
Beginning of year ............................................ 847,520,270 913,929,787 122,838,086 135,236,947
------------- ------------- ------------- -------------
End of year* ................................................. $ 862,209,538 $ 847,520,270 $ 116,150,947 $ 122,838,086
============= ============= ============= =============
* Accumulated distributions in excess of
investment income--net ..................................... $ (11,082) $ (285,419) $ (617,042) $ (219,853)
============= ============= ============= =============
See Notes to Financial Statements.
88
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets (Continued)
================================================================================
BlackRock BlackRock
Fundamental Growth Portfolio Global Allocation Portfolio
---------------------------- ---------------------------
For the Year Ended For the Year Ended
December 31, December 31,
---------------------------- ---------------------------
Increase (Decrease) in Net Assets: 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ....................................... $ 2,188,701 $ 2,365,904 $ 6,999,530 $ 5,796,757
Realized gain--net ........................................... 22,716,380 18,997,116 25,621,979 19,839,095
Change in unrealized appreciation/depreciation--net .......... (13,431,142) (961,810) 11,833,825 186,298
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations ......... 11,473,939 20,401,210 44,455,334 25,822,150
------------- ------------- ------------- -------------
Dividends & Distributions to Shareholders:
Investment income--net ....................................... (2,180,006) (2,360,008) (8,549,991) (8,031,303)
Realized gain--net ........................................... -- -- (24,838,310) (3,182,901)
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends and
distributions to shareholders .............................. (2,180,006) (2,360,008) (33,388,301) (11,214,204)
------------- ------------- ------------- -------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital
share transactions ......................................... (37,612,349) (51,002,839) 31,097,281 9,626,329
------------- ------------- ------------- -------------
Net Assets:
Total increase (decrease) in net assets ...................... (28,318,416) (32,961,637) 42,164,314 24,234,275
Beginning of year ............................................ 257,059,429 290,021,066 263,056,969 238,822,694
------------- ------------- ------------- -------------
End of year* ................................................. $ 228,741,013 $ 257,059,429 $ 305,221,283 $ 263,056,969
============= ============= ============= =============
* Accumulated distributions in excess of
investment income--net ..................................... -- $ (12,839) $ (720,823) $ (1,379,122)
============= ============= ============= =============
See Notes to Financial Statements.
89
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets (Continued)
================================================================================
BlackRock BlackRock
Government Income Portfolio High Income Portfolio
--------------------------- ---------------------
For the Year Ended For the Year Ended
December 31, December 31,
--------------------------- ---------------------
Increase (Decrease) in Net Assets: 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ....................................... $ 8,030,068 $ 6,670,657 $ 4,331,018 $ 5,641,678
Realized loss--net ........................................... (1,308,093) (1,540,508) (675,955) (2,088,013)
Change in unrealized appreciation/depreciation--net .......... 135,039 741,749 1,271,236 (2,270,891)
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations ......... 6,857,014 5,871,898 4,926,299 1,282,774
------------- ------------- ------------- -------------
Dividends to Shareholders:
Investment income--net ....................................... (8,117,609) (8,048,287) (4,331,020) (6,304,565)
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends
to shareholders ............................................ (8,117,609) (8,048,287) (4,331,020) (6,304,565)
------------- ------------- ------------- -------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital
share transactions ......................................... (13,073,293) 9,930,087 (735,314) (21,434,116)
------------- ------------- ------------- -------------
Net Assets:
Total increase (decrease) in net assets ...................... (14,333,888) 7,753,698 (140,035) (26,455,907)
Beginning of year ............................................ 182,899,673 175,145,975 58,147,353 84,603,260
------------- ------------- ------------- -------------
End of year* ................................................. $ 168,565,785 $ 182,899,673 $ 58,007,318 $ 58,147,353
============= ============= ============= =============
* Accumulated distributions in excess of
investment income--net ..................................... $ (578,640) $ (525,150) $ (101,958) $ (93,804)
============= ============= ============= =============
See Notes to Financial Statements.
90
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets (Concluded)
================================================================================
BlackRock BlackRock
Large Cap Core Portfolio Money Market Portfolio
------------------------ ----------------------
For the Year Ended For the Year Ended
December 31, December 31,
------------------------ ----------------------
Increase (Decrease) in Net Assets: 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ....................................... $ 3,074,148 $ 2,008,380 $ 14,175,398 $ 9,350,235
Realized gain (loss)--net .................................... 30,808,069 30,400,552 (15) (42)
Change in unrealized appreciation/depreciation--net .......... 10,112,316 3,315,913 97,507 18,680
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations ......... 43,994,533 35,724,845 14,272,890 9,368,873
------------- ------------- ------------- -------------
Dividends & Distributions to Shareholders:
Investment income--net ....................................... (3,003,378) (2,005,006) (14,175,383) (9,350,193)
Realized gain--net ........................................... (24,996,213) -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends and
distributions to shareholders .............................. (27,999,591) (2,005,006) (14,175,383) (9,350,193)
------------- ------------- ------------- -------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital
share transactions ......................................... (3,753,651) 677,452 (916,804) (40,987,887)
------------- ------------- ------------- -------------
Net Assets:
Total increase (decrease) in net assets ...................... 12,241,291 34,397,291 (819,297) (40,969,207)
Beginning of year ............................................ 307,946,084 273,548,793 303,999,273 344,968,480
------------- ------------- ------------- -------------
End of year* ................................................. $ 320,187,375 $ 307,946,084 $ 303,179,976 $ 303,999,273
============= ============= ============= =============
* Undistributed investment income--net ......................... $ 74,144 $ 3,374 $ 139 $ 124
============= ============= ============= =============
See Notes to Financial Statements.
91
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights
================================================================================
BlackRock Balanced Capital Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ................. $ 14.24 $ 13.95 $ 13.13 $ 11.07 $ 13.14
----------- ----------- ----------- ----------- -----------
Investment income--net* ............................ .40 .31 .27 .27 .35
Realized and unrealized gain (loss)--net ........... 1.61 .31 .86 2.09 (2.05)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................... 2.01 .62 1.13 2.36 (1.70)
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ......... (.42) (.33) (.31) (.30) (.37)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ....................... $ 15.83 $ 14.24 $ 13.95 $ 13.13 $ 11.07
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ................. 14.09% 4.45% 8.64% 21.29% (12.89%)
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ........................................... .42% .42% .40% .40% .40%
=========== =========== =========== =========== ===========
Investment income--net ............................. 2.69% 2.19% 2.00% 2.24% 2.81%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ............. $ 862,210 $ 847,520 $ 913,930 $ 962,519 $ 880,758
=========== =========== =========== =========== ===========
Portfolio turnover ................................. 113.09% 90.20% 86.01% 104.78% 35.46%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
92
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Bond Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............ $ 11.45 $ 11.85 $ 11.86 $ 11.89 $ 11.35
----------- ----------- ----------- ----------- -----------
Investment income--net* ....................... .52 .44 .37 .43 .55
Realized and unrealized gain (loss)--net ...... (.05) (.21) .16 .14 .54
----------- ----------- ----------- ----------- -----------
Total from investment operations .............. .47 .23 .53 .57 1.09
----------- ----------- ----------- ----------- -----------
Less Dividends & Distributions:
Investment income--net ........................ (.51) (.58) (.52) (.45) (.55)
Realized gain--net ............................ -- (.05) (.02) (.15) --
Tax return of capital ......................... --** -- -- -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............. (.51) (.63) (.54) (.60) (.55)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................. $ 11.41 $ 11.45 $ 11.85 $ 11.86 $ 11.89
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ............ 4.37% 2.01% 4.48% 4.95% 9.95%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver ....................... .50% .49% .46% .46% .43%
=========== =========== =========== =========== ===========
Expenses ...................................... .52% .50% .46% .46% .43%
=========== =========== =========== =========== ===========
Investment income--net ........................ 4.65% 3.73% 3.12% 3.62% 4.73%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ........ $ 116,151 $ 122,838 $ 135,237 $ 136,698 $ 145,500
=========== =========== =========== =========== ===========
Portfolio turnover ............................ 312.01% 235.77% 220.17% 272.48% 269.83%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
** Amount is less than $(.01) per share.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
93
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Fundamental Growth Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ................. $ 22.69 $ 21.19 $ 19.92 $ 15.53 $ 21.82
----------- ----------- ----------- ----------- -----------
Investment income--net* ............................ .21 .19 .21 .08 .07
Realized and unrealized gain (loss)--net ........... .88 1.52 1.29 4.39 (6.28)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................... 1.09 1.71 1.50 4.47 (6.21)
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ......... (.23) (.21) (.23) (.08) (.08)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ....................... $ 23.55 $ 22.69 $ 21.19 $ 19.92 $ 15.53
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ................. 4.78% 8.06% 7.51% 28.78% (28.47%)
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ........................................... .43% .43% .40% .41% .41%
=========== =========== =========== =========== ===========
Investment income--net ............................. .90% .88% 1.06% .45% .38%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ............. $ 228,741 $ 257,059 $ 290,021 $ 308,245 $ 263,056
=========== =========== =========== =========== ===========
Portfolio turnover ................................. 75.03% 78.85% 70.73% 103.59% 98.84%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
94
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Global Allocation Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............... $ 16.35 $ 15.41 $ 13.85 $ 10.55 $ 11.97
----------- ----------- ----------- ----------- -----------
Investment income--net* .......................... .43 .37 .32 .29 .34
Realized and unrealized gain (loss)--net ......... 2.32 1.29 1.71 3.42 (1.30)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................. 2.75 1.66 2.03 3.71 (.96)
----------- ----------- ----------- ----------- -----------
Less Dividends & Distributions:
Investment income--net ........................... (.53) (.52) (.47) (.41) (.46)
Realized gain--net ............................... (1.54) (.20) -- -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ................ (2.07) (.72) (.47) (.41) (.46)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ..................... $ 17.03 $ 16.35 $ 15.41 $ 13.85 $ 10.55
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ............... 16.89%++ 10.84% 14.69% 35.24% (8.01%)
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver .......................... .49% .49% .46% .47% .48%
=========== =========== =========== =========== ===========
Expenses ......................................... .50% .51% .46% .47% .48%
=========== =========== =========== =========== ===========
Investment income--net ........................... 2.47% 2.36% 2.18% 2.44% 2.99%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ........... $ 305,221 $ 263,057 $ 238,823 $ 206,939 $ 137,877
=========== =========== =========== =========== ===========
Portfolio turnover ............................... 102.05% 38.44% 43.60% 47.25% 53.57%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
++ In 2006, Merrill Lynch Investment Managers, L.P. reimbursed the Portfolio
related to a regulatory issue on an investment, which had a minimal impact
on total investment return.
See Notes to Financial Statements.
95
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Government Income Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............... $ 11.27 $ 11.41 $ 11.36 $ 11.67 $ 11.12
----------- ----------- ----------- ----------- -----------
Investment income--net* .......................... .51 .44 .34 .39 .51
Realized and unrealized gain (loss)--net ......... (.06) (.05) .13 (.13) .49
----------- ----------- ----------- ----------- -----------
Total from investment operations ................. .45 .39 .47 .26 1.00
----------- ----------- ----------- ----------- -----------
Less Dividends & Distributions:
Investment income--net ........................... (.52) (.53) (.34) (.39) (.45)
Realized gain--net ............................... -- -- (.08) (.18) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ................ (.52) (.53) (.42) (.57) (.45)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ..................... $ 11.20 $ 11.27 $ 11.41 $ 11.36 $ 11.67
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ............... 4.10% 3.44% 4.15% 2.26% 9.81%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, excluding interest expense ............. .44% .44% .43% .43% .42%
=========== =========== =========== =========== ===========
Expenses ......................................... .44% .44% .46% .43% .42%
=========== =========== =========== =========== ===========
Investment income--net ........................... 4.60% 3.85% 2.94% 3.36% 4.49%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ........... $ 168,566 $ 182,900 $ 175,146 $ 203,495 $ 239,808
=========== =========== =========== =========== ===========
Portfolio turnover ............................... 425.23% 78.68% 167.74% 236.86% 219.81%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
96
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock High Income Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............... $ 5.70 $ 6.09 $ 5.88 $ 5.12 $ 5.85
----------- ----------- ----------- ----------- -----------
Investment income--net* .......................... .43 .46 .45 .43 .50
Realized and unrealized gain (loss)--net ......... .06 (.34) .22 .76 (.71)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................. .49 .12 .67 1.19 (.21)
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ....... (.43) (.51) (.46) (.43) (.52)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ..................... $ 5.76 $ 5.70 $ 6.09 $ 5.88 $ 5.12
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ............... 8.98% 2.14% 12.11% 24.40%++ (3.47%)
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver .......................... .50% .50% .48% .44% .47%
=========== =========== =========== =========== ===========
Expenses ......................................... .53% .52% .48% .44% .47%
=========== =========== =========== =========== ===========
Investment income--net ........................... 7.57% 7.78% 7.57% 7.68% 9.33%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ........... $ 58,007 $ 58,147 $ 84,603 $ 105,206 $ 86,188
=========== =========== =========== =========== ===========
Portfolio turnover ............................... 66.48% 32.53% 71.96% 148.84% 90.83%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
++ Merrill Lynch Life Insurance Company (an indirect, wholly owned subsidiary
of Merrill Lynch & Co., Inc.) fully reimbursed the Portfolio for a loss on
a security transaction related to a revised capital share transaction
which had no impact on total return.
See Notes to Financial Statements.
97
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Large Cap Core Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............... $ 23.96 $ 21.25 $ 18.31 $ 13.88 $ 17.25
----------- ----------- ----------- ----------- -----------
Investment income--net* .......................... .25 .16 .19 .08 .13
Realized and unrealized gain (loss)--net ......... 3.36 2.71 2.95 4.43 (3.36)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................. 3.61 2.87 3.14 4.51 (3.23)
----------- ----------- ----------- ----------- -----------
Less Dividends & Distributions:
Investment income--net ........................... (.26) (.16) (.20) (.08) (.14)
Realized gain--net ............................... (2.13) -- -- -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ................ (2.39) (.16) (.20) (.08) (.14)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ..................... $ 25.18 $ 23.96 $ 21.25 $ 18.31 $ 13.88
=========== =========== =========== =========== ===========
Total Investment Return:+
Based on net asset value per share ............... 15.06% 13.49% 17.15% 32.52% (18.74%)
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ......................................... .43% .43% .41% .41% .43%
=========== =========== =========== =========== ===========
Investment income--net ........................... .99% .72% 1.00% .53% .80%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ........... $ 320,187 $ 307,946 $ 273,549 $ 256,925 $ 206,360
=========== =========== =========== =========== ===========
Portfolio turnover ............................... 64.22% 80.25% 126.98% 127.19% 124.16%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
98
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Concluded)
================================================================================
BlackRock Money Market Portfolio
------------------------------------------------------------------------
For the Year Ended December 31,
------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- ----------
Investment income--net ........................... .05 .03 .01 .01 .02
Realized and unrealized gain (loss)--net ......... --++ --++ --+++ --++ --++
----------- ----------- ----------- ----------- ----------
Total from investment operations ................. .05 .03 .01 .01 .02
----------- ----------- ----------- ----------- ----------
Less Dividends & Distributions:
Investment income--net ........................... (.05) (.03) (.01) (.01) (.02)
Realized gain--net ............................... -- -- --+++ --+++ --+++
----------- ----------- ----------- ----------- ----------
Total dividends and distributions ................ (.05) (.03) (.01) (.01) (.02)
----------- ----------- ----------- ----------- ----------
Net asset value, end of year ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ==========
Total Investment Return:+
Based on net asset value per share ............... 4.66% 2.84% 1.10% .89% 1.68%
=========== =========== =========== =========== ==========
Ratios to Average Net Assets:
Expenses ......................................... .41% .42% .40% .40% .39%
=========== =========== =========== =========== ==========
Investment income and realized gain (loss)--net .. 4.62% 2.82% 1.07% .89% 1.67%
=========== =========== =========== =========== ==========
Supplemental Data:
Net assets, end of year (in thousands) ........... $ 303,180 $ 303,999 $ 344,968 $ 401,738 $ 465,986
=========== =========== =========== =========== ==========
+ Total investment returns exclude insurance-related fees and expenses.
++ Amount is less than $.01 per share.
+++ Amount is less than $(.01) per share.
See Notes to Financial Statements.
99
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements
================================================================================
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. was renamed BlackRock Series Fund,
Inc. (the "Fund") and is registered under the Investment Company Act of 1940, as
amended, as an open-ended management investment company, offering fourteen
separate portfolios. This report relates to eight of the Fund's diversified
Portfolios (referred to as the "Portfolios" or individually as a "Portfolio").
On September 29, 2006, Mercury Balanced Capital Strategy Portfolio, Mercury Core
Bond Strategy Portfolio, Mercury Fundamental Growth Strategy Portfolio, Mercury
Global Allocation Strategy Portfolio, Mercury High Yield Portfolio, Mercury
Intermediate Government Bond Portfolio, Mercury Large Cap Core Strategy
Portfolio and Mercury Money Reserve Portfolio were renamed BlackRock Balanced
Capital Portfolio, BlackRock Bond Portfolio, BlackRock Fundamental Growth
Portfolio, BlackRock Global Allocation Portfolio, BlackRock High Income
Portfolio, BlackRock Government Income Portfolio, BlackRock Large Cap Core
Portfolio and BlackRock Money Market Portfolio, respectively. Each Portfolio is
classified as diversified under the Investment Company Act of 1940, as amended.
The Fund's financial statements are prepared in conformity with U.S. generally
accepted accounting principles, which may require the use of management accruals
and estimates. Actual results may differ from these estimates. The Fund offers
its shares to Merrill Lynch Life Insurance Company, ML Life Insurance Company of
New York (indirect, wholly-owned subsidiaries of Merrill Lynch & Co., Inc.
("Merrill Lynch")), and Monarch Life Insurance Company ("Monarch") (an insurance
company not affiliated with Merrill Lynch) for their separate accounts to fund
benefits under certain variable life insurance contracts. The following is a
summary of significant accounting policies followed by the Fund.
(a) Valuation of investments--For the BlackRock Money Market Portfolio,
investments maturing more than 60 days after the valuation date are valued at
market value. When such securities are valued with 60 days or less to maturity,
the difference between the valuation existing on the sixty-first day before
maturity and maturity value is amortized on a straight-line basis to maturity.
Investments maturing within 60 days from their date of acquisition are valued at
amortized cost, which approximates market value. For the purpose of valuation,
the maturity of a variable rate certificate of deposit is deemed to be the next
coupon date on which the interest rate is to be adjusted.
BlackRock Balanced Capital Portfolio, BlackRock Bond Portfolio, BlackRock
Fundamental Growth Portfolio, BlackRock Global Allocation Portfolio, BlackRock
Government Income Portfolio, BlackRock High Income Portfolio and BlackRock Large
Cap Core Portfolio:
Debt securities are traded primarily in the over-the-counter ("OTC") markets and
are valued at the last available bid price in the OTC market or on the basis of
values obtained by a pricing service. Pricing services use valuation matrixes
that incorporate both dealer-supplied valuations and valuation models. The
procedures of the pricing service and its valuations are reviewed by the
officers of the Fund under the general direction of the Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors of the Fund. Financial futures contracts and options thereon, which
are traded on exchanges, are valued at their closing prices as of the close of
such exchanges. Options written or purchased are valued at the last sale price
in the case of exchange-traded options. Options traded in the OTC market are
valued at the last asked price (options written) or the last bid price (options
purchased). Swap agreements and structured notes are valued based upon quoted
fair valuations received daily by the Portfolio from a pricing service or
counterparty. Short-term investments with a remaining maturity of 60 days or
less are valued at amortized cost, which approximates market value, under which
method the investment is valued at cost and any premium or discount is amortized
on a straight line basis to maturity. Valuation of other short-term investment
vehicles is generally based on the net asset value of the underlying investment
vehicle or amortized cost. Repurchase agreements are valued at cost plus accrued
interest. Investments in open-end investment companies are valued at their net
asset value each business day. Securities and other assets for which market
quotations are not readily available are valued at fair value as determined in
good faith by or under the direction of the Board of Directors of the Fund.
100
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
Equity securities held by each Portfolio that are traded on stock exchanges or
the NASDAQ Global Market are valued at the last sale price or official close
price on the exchange, as of the close of business on the day the securities are
being valued or, lacking any sales, at the last available bid price for long
positions, and at the last available asked price for short positions. In cases
where equity securities are traded on more than one exchange, the securities are
valued on the exchange designated as the primary market by or under the
authority of the Board of Directors of the Fund. Long positions traded in the
OTC markets, NASDAQ Capital Market or Bulletin Board are valued at the last
available bid price or yield equivalent obtained from one or more dealers or
pricing services approved by the Board of Directors of the Fund. Short positions
traded in the OTC markets are valued at the last available asked price.
Portfolio securities that are traded both in the OTC markets and on a stock
exchange are valued according to the broadest and most representative market.
Generally, trading in foreign securities, as well as U.S. government securities,
money market instruments and certain fixed income securities, is substantially
completed each day at various times prior to the close of business on the New
York Stock Exchange ("NYSE"). The values of such securities used in computing
the net asset value of the Portfolios' shares are determined as of such times.
Foreign currency exchange rates will generally be determined as of the close of
business on the NYSE. Occasionally, events affecting the values of such
securities and such exchange rates may occur between the times at which they are
determined and the close of business on the NYSE that may not be reflected in
the computation of the Portfolios' net asset value. If events (for example, a
company announcement, market volatility or a natural disaster) occur during such
periods that are expected to materially affect the value of such securities,
those securities will be valued at their fair value as determined in good faith
by the Fund's Board of Directors or by BlackRock Advisors, LLC (the "Manager"),
an indirect, wholly owned subsidiary of BlackRock, Inc., using a pricing service
and/or procedures approved by the Fund's Board of Directors.
(b) Repurchase agreements--Certain Portfolios may invest in U.S. government
securities pursuant to repurchase agreements. Under such agreements, the
counterparty agrees to repurchase the security at a mutually agreed upon time
and price. The Portfolio takes possession of the underlying securities,
marks-to-market such securities and, if necessary, receives additional
securities daily to ensure that the contract is fully collateralized. If the
counterparty defaults and the fair value of the collateral declines, liquidation
of the collateral by the Portfolios may be delayed or limited.
(c) Reverse repurchase agreements--Certain Portfolios may enter into reverse
repurchase agreements. Under reverse repurchase agreements, the Portfolio sells
securities to the counterparty and agrees to repurchase them at a mutually
agreed upon date and price, and may exchange their respective commitments to pay
or receive interest. If the counterparty defaults on its obligation, the
Portfolio's ability to receive interest will be delayed or limited. Furthermore,
if the Portfolio does not have sufficient income to pay its obligation under the
reverse repurchase agreement, the Portfolio would be in default and the
counterparty would be able to terminate the repurchase agreement.
(d) Income taxes--It is the Fund's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(e) Security transactions and investment income--Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolios have determined the ex-dividend date.
Interest income is recognized on the accrual basis. The Fund amortizes all
premiums and discounts on debt securities.
(f) Prepaid registration fees--Prepaid registration fees are charged to expense
as the related shares are issued.
101
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
(g) Derivative financial instruments--Certain Portfolios may engage in various
portfolio investment strategies both to increase the return of the Portfolio and
to hedge, or protect, its exposure to interest rate movements and movements in
securities markets. Losses may arise due to changes in the value of the contract
due to an unfavorable change in the price of the underlying security or index,
or if the counterparty does not perform under the contract.
o Foreign currency options and futures--Certain Portfolios may also purchase or
sell listed or OTC foreign currency options, foreign currency futures and
related options on foreign currency futures as a short or long hedge against
possible variations in foreign exchange rates. Such transactions may be effected
with respect to hedges on non-U.S. dollar-denominated securities owned by the
Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
o Forward foreign exchange contracts--Certain Portfolios may enter into forward
foreign exchange contracts as a hedge against either specific transactions or
portfolio positions. The contract is marked-to-market daily and the change in
market value is recorded by the Portfolio as an unrealized gain or loss. When
the contract is closed, the Portfolio records a realized gain or loss equal to
the difference between the value at the time it was opened and the value at the
time it was closed.
o Options--Certain Portfolios may write and purchase call and put options. When
a Portfolio writes an option, an amount equal to the premium received by the
Portfolio is reflected as an asset and an equivalent liability. The amount of
the liability is subsequently marked-to-market to reflect the current market
value of the option written. When a security is purchased or sold through an
exercise of an option, the related premium paid (or received) is added to (or
deducted from) the basis of the security acquired or deducted from (or added to)
the proceeds of the security sold. When an option expires (or the Portfolio
enters into a closing transaction), the Portfolio realizes a gain or loss on the
option to the extent of the premiums received or paid (or gain or loss to the
extent the cost of the closing transaction exceeds the premium paid or
received).
Written and purchased options are non-income producing investments.
o Financial futures contracts--Certain Portfolios may purchase or sell financial
futures contracts and options on such financial futures contracts. Financial
futures contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a contract, the
Portfolio deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the contract,
the Portfolio agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in the value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Portfolio as
unrealized gains or losses. When the contract is closed, the Portfolio records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
o Swaps--Certain Portfolios may enter into swap agreements, which are OTC
contracts in which the Portfolio and a counterparty agree to make periodic net
payments on a specified notional amount. The net payments can be made for a set
period of time or may be triggered by a predetermined credit event. The net
periodic payments may be based on a fixed or variable interest rate; the change
in market value of a specified security, basket of securities, or index; or the
return generated by a security. These periodic payments received or made by the
Portfolio are recorded in the accompanying Statement of Operations as realized
gains or losses, respectively. Gains or losses are also realized upon
termination of the swap agreements. Swaps are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). Risks include
changes in the returns of the underlying instruments, failure of the
counterparties to perform under the contracts' terms and the possible lack of
liquidity with respect to the swap agreements.
(h) Foreign currency transactions--Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
102
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
The Portfolios may invest in foreign securities, which may involve a number of
risk factors and special considerations not present with investments in
securities of U.S. corporations.
(i) Short sales--When a Portfolio engages in a short sale, an amount equal to
the proceeds received by the Portfolio is reflected as an asset and an
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the market value of the short sale. The Portfolio
maintains a segregated account of securities as collateral for the short sales.
The Portfolio is exposed to market risk based on the amount, if any, that the
market value of the security exceeds the market value of the securities in the
segregated account. The Portfolio is required to repay the counterparty any
dividends or interest received on the security sold short.
(j) Dividends and distributions--BlackRock Money Market Portfolio declares
dividends daily and reinvests daily such dividends (net of non-resident alien
tax and backup withholding tax withheld) in additional fund shares at net asset
value. Dividends are declared from the total of net investment income.
Distribution of realized gain, if any, on investments are paid at least
annually. For BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth
Portfolio, BlackRock Global Allocation Portfolio and BlackRock Large Cap Core
Portfolio, dividends and distributions paid by the Portfolios are recorded on
the ex-dividend dates. For BlackRock Bond Portfolio, BlackRock Government Income
Portfolio and BlackRock High Income Portfolio, dividends from net investment
income are declared daily and paid monthly. Distributions of capital gains are
recorded on the ex-dividend dates. Portions of the dividends paid by BlackRock
Bond Portfolio during the year ended December 31, 2006 were characterized as a
tax return of capital.
(k) Securities lending--Certain Portfolios may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Portfolio and any additional required collateral is delivered to the
Portfolio on the next business day. Where the Portfolio receives securities as
collateral for the loaned securities, it collects a fee from the borrower. The
Portfolio typically receives the income on the loaned securities but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(l) Expenses--Certain expenses have been allocated to the individual Portfolios
in the Fund on a pro rata basis based on the respective aggregate net asset
value of each Portfolio included in the Fund.
(m) Mortgage dollar rolls--Certain Portfolios may sell mortgage-backed
securities for delivery in the current month and simultaneously contract to
repurchase substantially similar (same type, coupon and maturity) securities on
a specific future date.
(n) Bank overdraft--The BlackRock Fundamental Growth Portfolio, BlackRock
Government Income Portfolio, BlackRock Large Cap Core Portfolio and BlackRock
Money Market Portfolio recorded a bank overdraft which resulted from management
estimates of available cash. The BlackRock Bond Portfolio recorded a bank
overdraft resulting from a timing difference of security transaction
settlements.
103
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
(o) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes--an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity including mutual funds before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
the last net asset value calculation in the first required financial statement
reporting period for fiscal years beginning after December 15, 2006. The impact
on each of the Portfolio's financial statements, if any, is currently being
assessed.
In addition, in September 2006, Statement of Financial Accounting Standards No.
157, "Fair Value Measurements" ("FAS 157"), was issued and is effective for
fiscal years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the implications of
FAS 157. At this time, its impact on each of the Portfolio's financial
statements has not been determined.
(p) Reclassifications--U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, the current year's
permanent book/tax differences have been reclassified as follows:
BlackRock Balanced Capital Portfolio
$190,853 has been reclassified between undistributed net investment income and
accumulated net realized capital losses as a result of permanent differences
attributable to swap agreements, amortization methods on fixed income
securities, accounting for paydowns and foreign currency transactions. This
reclassification has no effect on net assets or net asset value per share.
BlackRock Bond Portfolio
$439,875 has been reclassified between accumulated distributions in excess of
net investment income and accumulated net realized capital losses as a result of
permanent differences attributable to foreign currency transactions, accounting
for swap agreements and paydowns and amortization methods of fixed income
securities. This reclassification has no effect on net assets or net asset value
per share.
BlackRock Fundamental Growth Portfolio
$21,332 has been reclassified between paid-in capital in excess of par and
accumulated distributions in excess of net investment income and $17,188 has
been reclassified between accumulated distributions in excess of net investment
income and accumulated net realized capital losses as a result of permanent
differences attributable to distributions paid in excess of taxable income and
foreign currency transactions. These reclassifications have no effect on net
assets or net asset value per share.
BlackRock Global Allocation Portfolio
$2,208,760 has been reclassified between undistributed net realized capital
gains and distributions in excess of net investment income as a result of
permanent differences attributable to foreign currency transactions, gains from
the sale of stock of passive foreign investment companies, amortization methods
on fixed income securities and the characterization of expenses. This
reclassification has no effect on net assets or net asset value per share.
BlackRock Government Income Portfolio
$34,051 has been reclassified between accumulated net realized capital losses
and accumulated distributions in excess of net investment income as a result of
permanent differences attributable to accounting for paydowns and swap
agreements. This reclassification has no effect on net assets or net asset value
per share.
104
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock High Income Portfolio
$1,317,507 has been reclassified between paid-in capital in excess of par and
accumulated net realized capital losses and $8,152 has been reclassified between
accumulated distributions in excess of net investment income and accumulated net
realized capital losses as a result of permanent differences attributable to
expiration of capital loss carryforwards and amortization methods on fixed
income securities. These reclassifications have no effect on net assets or net
asset value per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolios,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Fund has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI")(collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc.
The Manager is responsible for the management of the Fund's Portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Fund. For such services, the Fund
pays a monthly fee based upon the aggregate average daily value of the eight
combined Portfolios' net assets at the following annual rates: .50% of the
Portfolios' average daily net assets not exceeding $250 million, .45% of the
next $50 million, .40% of the next $100 million, .35% of the next $400 million,
and .30% of average daily net assets in excess of $800 million.
For BlackRock Bond Portfolio, BlackRock Government Income Portfolio and
BlackRock High Income Portfolio, the Manager has entered into a sub-advisory
agreement with BlackRock Financial Management, Inc. ("BFM"), an affiliate of the
Manager, under which the Manager pays the Sub-Adviser for services it provides a
monthly fee that is a percentage of the management fee paid by the Fund to the
Manager.
For BlackRock Fundamental Growth Portfolio and BlackRock Large Cap Core
Portfolio, the Manager has entered into a sub-advisory agreement with BlackRock
Investment Management, LLC ("BIM"), an affiliate of the Manager, under which the
Manager pays the Sub-Adviser for services it provides a monthly fee that is a
percentage of the management fee paid by the Fund to the Manager.
For BlackRock Money Market Portfolio, the Manager has entered into a
sub-advisory agreement with BlackRock Institutional Management Corporation, an
affiliate of the Manager, under which the Manager pays the Sub-Adviser for
services it provides a monthly fee that is a percentage of the management fee
paid by the Fund to the Manager.
For BlackRock Balanced Capital Portfolio, the Manager has entered into
sub-advisory agreements with BIM and BFM, under which the Manager pays each
Sub-Adviser for services it provides a monthly fee that is a percentage of the
management fee paid by the Fund to the Manager.
For BlackRock Global Allocation Portfolio, the Manager has entered into
sub-advisory agreements with BIM and BlackRock Asset Management U.K. Limited, an
affiliate of the Manager, under which the Manager pays each Sub-Adviser for
services it provides a monthly fee that is a percentage of the management fee
paid by the Fund to the Manager.
105
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
Prior to September 29, 2006, MLIM had a Sub-Advisory Agreement with Merrill
Lynch Asset Management U.K. Limited ("MLAM U.K."), an affiliate of MLIM.
The Manager, Merrill Lynch Life Agency, Inc. and Monarch entered into an
agreement that provided that Monarch will reimburse the Fund's expenses with
respect to each Portfolio, to the extent that these expenses exceed .50% of the
Portfolio's average daily net assets. The waivers were as follows:
For the Year Ended
December 31, 2006
------------------
Fees Fees
Earned Waived
- --------------------------------------------------------------------------------
BlackRock Bond Portfolio ......................... $395,990 $ 19,887
BlackRock Global Allocation Portfolio ............ $957,318 $ 27,095
BlackRock High Income Portfolio .................. $192,960 $ 16,864
- --------------------------------------------------------------------------------
MLIM reimbursed the BlackRock Global Allocation Portfolio $45,137 related to a
regulatory issue on an investment.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend each Portfolio's securities to Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch,
or its affiliates. Pursuant to that order, the Fund also has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and
Portfolios, invest cash collateral received by the Portfolios for such loans,
among other things, in a private investment company managed by the Manager or in
registered money market funds advised by the Manager or its affiliates.
As of December 31, 2006, the following Portfolios lent securities to MLPF&S:
- --------------------------------------------------------------------------------
Amount of Loaned
Portfolio Securities
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ....................... $4,432,710
BlackRock Large Cap Core Portfolio ......................... $2,992,006
- --------------------------------------------------------------------------------
For the year ended December 31, 2006, BIM received securities lending agent fees
as follows:
- --------------------------------------------------------------------------------
Securities Lending
Agent Fees
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ......................... $11,784
BlackRock Bond Portfolio ..................................... $ 2,118
BlackRock Fundamental Growth Portfolio ....................... $11,557
BlackRock Government Income Portfolio ........................ $ 266
BlackRock Large Cap Core Portfolio ........................... $ 8,555
- --------------------------------------------------------------------------------
MLPF&S earned commissions on the execution of portfolio security transactions
for the year ended December 31, 2006 as follows:
- --------------------------------------------------------------------------------
Commissions
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ......................... $62,670
BlackRock Bond Portfolio ..................................... $ 20
BlackRock Fundamental Growth Portfolio ....................... $48,181
BlackRock Global Allocation Portfolio ........................ $21,917
- --------------------------------------------------------------------------------
106
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
In addition, for the year ended December 31, 2006, the Fund reimbursed the
Manager and/or MLIM for certain accounting services as follows:
- --------------------------------------------------------------------------------------------------------------------------
Reimbursement for Accounting Services
------------------------------------------
For the Period For the Period
Jan. 1, 2006 to Sept. 30, 2006 to
Sept. 29, 2006 Dec. 31, 2006
Reimbursement Reimbursement
to MLIM to the Manager
- --------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ........................................... $14,104 $ 4,017
BlackRock Bond Portfolio ....................................................... $ 1,971 $ 555
BlackRock Fundamental Growth Portfolio ......................................... $ 4,151 $ 1,128
BlackRock Global Allocation Portfolio .......................................... $ 4,741 $ 1,380
BlackRock Government Income Portfolio .......................................... $ 3,010 $ 828
BlackRock High Income Portfolio ................................................ $ 901 $ 261
BlackRock Large Cap Core Portfolio ............................................. $ 5,252 $ 1,455
BlackRock Money Market Portfolio ............................................... $ 5,159 $ 1,476
- --------------------------------------------------------------------------------------------------------------------------
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned subsidiary of
PNC and an affiliate of the Manager, became the Fund's transfer agent. Prior to
September 29, 2006, the Fund's transfer agent was Financial Data Services, Inc.
("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund were
officers and/or directors of MLIM, FDS, PSI, MLAM U.K., FAMD, Merrill Lynch,
and/or MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the Fund are
officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments (including paydowns and payups), excluding
short-term securities, for the year ended December 31, 2006 were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
BlackRock BlackRock BlackRock BlackRock BlackRock BlackRock
Balanced BlackRock Fundamental Global Government High Large Cap
Capital Bond Growth Allocation Income Income Core
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Total Purchases................. $872,373,536 $384,661,573 $179,508,781 $264,211,040 $1,080,105,955 $35,562,961 $200,656,079
============ ============ ============ ============ ============== =========== ============
Total Sales..................... $945,088,186 $357,079,749 $212,774,247 $259,324,803 $ 878,952,605 $35,917,631 $229,492,196
============ ============ ============ ============ ============== =========== ============
- ------------------------------------------------------------------------------------------------------------------------------------
Transactions in options written for the year ended December 31, 2006 for
BlackRock Balanced Capital Portfolio, BlackRock Bond Portfolio, BlackRock
Fundamental Growth Portfolio, BlackRock Global Allocation Portfolio and
BlackRock Government Income Portfolio were as follows:
BlackRock
Balanced BlackRock BlackRock Global
Capital Portfolio Bond Portfolio Allocation Portfolio
----------------------------------------------------------------------------------
Number of Premiums Number of Premiums Number of Premiums
Contracts+ Received Contracts+ Received Contracts Received
- ------------------------------------------------------------------------------------------------------------------------------------
Outstanding put options written,
at beginning of year ...................... 37 $ 202,540 17 $ 92,130 -- --
Options written ............................. 280 307,099 113 122,949 15 $ 15,312
Options expired ............................. (136) (54,798) (55) (22,161) (15) (15,312)
Options closed .............................. (173) (272,241) (72) (120,318) -- --
---- ------- -------- ------- --- -------
Outstanding put options written,
at end of year ............................ 8 $ 182,600 3 $ 72,600 -- --
==== ======= ======== ======= === =======
107
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock BlackRock
Balanced BlackRock Fundamental
Capital Portfolio Bond Portfolio Growth Portfolio
---------------------------------------------------------------------------------
Number of Premiums Number of Premiums Number of Premiums
Contracts+ Received Contracts+ Received Contracts Received
- -------------------------------------------------------------------------------------------------------------------------
Outstanding call options written,
at beginning of year .......... 27 $ 27,000 12 $ 12,000 -- --
Options written ................. 8 182,600 3 72,600 476 $ 98,926
Options expired ................. -- -- -- -- (476) (98,926)
Options closed .................. (27) (27,000) (12) (12,000) -- --
Options exercised ............... -- -- -- -- -- --
--- ------- --- ------ --- ----------
Outstanding call options written,
at end of year ............... 8 $ 182,600 3 $ 72,600 -- --
=== ======= === ====== === ==========
BlackRock
BlackRock Global Government
Allocation Portfolio Income Portfolio
---------------------------------------------------
Number of Premiums Number of Premiums
Contracts Received Contracts+ Received
- --------------------------------------------------------------------------------------------
Outstanding call options written,
at beginning of year .......... 4,986 $1,206,521 11 $ 16,800
Options written ................. 4,635 1,413,193 -- --
Options expired ................. (513) (131,233) -- --
Options closed .................. (892) (295,619) (11) (16,800)
Options exercised ............... (2,867) (591,532) -- --
------ ---------- --- -------
Outstanding call options written,
at end of year ............... 5,349 $1,601,330 -- --
====== ========== === =======
+ Some contracts include a notional amount of $1,000,000
4. Capital Share Transactions:
Transactions in capital shares were as follows:
- --------------------------------------------------------------------------------
BlackRock Balanced BlackRock
Capital Portfolio Bond Portfolio
----------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------
Shares sold ................... 86,393 $ 1,306,943 584,035 $ 6,615,292
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 1,395,839 22,161,687 527,902 5,979,585
---------- ------------ -------- ------------
Total issued .................. 1,482,232 23,468,630 1,111,937 12,594,877
Shares redeemed ............... (6,551,401) (98,512,737) (1,652,935) (18,694,417)
---------- ------------ -------- ------------
Net increase (decrease) ....... (5,069,169) $(75,044,107) (540,998) $ (6,099,540)
========== ============ ======== ============
BlackRock
Fundamental BlackRock Global
Growth Portfolio Allocation Portfolio
---------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------
Shares sold ................... 193,448 $ 4,470,776 1,356,561 $ 23,688,388
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 92,216 2,180,006 1,955,643 33,388,301
---------- ------------ --------- ------------
Total issued .................. 285,664 6,650,782 3,312,204 57,076,689
Shares redeemed ............... (1,903,876) (44,263,131) (1,478,514) (25,979,408)
---------- ------------ --------- ------------
Net increase (decrease) ....... (1,618,212) $(37,612,349) 1,833,690 $ 31,097,281
========== ============ ========= ============
BlackRock
Government BlackRock
Income Portfolio High Income Portfolio
------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------
Shares sold ................... 351,843 $ 3,901,765 1,261,441 $ 7,211,153
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 712,110 7,927,291 765,817 4,374,876
---------- ------------ ----------- ------------
Total issued .................. 1,063,953 11,829,056 2,027,258 11,586,029
Shares redeemed ............... (2,240,090) (24,902,349) (2,157,415) (12,321,343)
---------- ------------ ----------- ------------
Net decrease .................. (1,176,137) $(13,073,293) (130,157) $ (735,314)
========== ============ =========== ============
BlackRock BlackRock
Large Cap Core Portfolio Money Market Portfolio
-------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
Shares sold ................... 389,378 $ 9,681,298 81,789,943 $ 81,789,943
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 1,106,116 27,999,591 14,135,886 14,135,886
---------- ------------ ----------- ------------
Total issued .................. 1,495,494 37,680,889 95,925,829 95,925,829
Shares redeemed ............... (1,632,817) (41,434,540) (96,842,633) (96,842,633)
---------- ------------ ----------- ------------
Net decrease .................. (137,323) $ (3,753,651) (916,804) $ (916,804)
========== ============ =========== ============
BlackRock Balanced BlackRock
Capital Portfolio Bond Portfolio
------------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2005 Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------
Shares sold ................... 243,669 $ 3,409,013 662,541 $ 7,701,684
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 1,357,772 19,379,720 526,099 6,129,976
---------- ------------- ---------- -------------
Total issued .................. 1,601,441 22,788,733 1,188,640 13,831,660
Shares redeemed ............... (7,598,286) (106,707,175) (1,878,143) (21,807,403)
---------- ------------- ---------- -------------
Net increase (decrease) ....... (5,996,845) $ (83,918,442) (689,503) $ (7,975,743)
========== ============= ========== =============
BlackRock
Fundamental BlackRock Global
Growth Portfolio Allocation Portfolio
------------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2005 Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------
Shares sold ................... 184,695 $ 3,942,705 1,475,277 $ 23,294,847
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 103,555 2,360,008 689,171 11,214,204
---------- ------------- ---------- -------------
Total issued .................. 288,250 6,302,713 2,164,448 34,509,051
Shares redeemed ............... (2,645,455) (57,305,552) (1,578,777) (24,882,722)
---------- ------------- ---------- -------------
Net increase (decrease) ....... (2,357,205) $ (51,002,839) 585,671 $ 9,626,329
========== ============= ========== =============
108
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock
Government BlackRock
Income Portfolio High Income Portfolio
--------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2005 Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------
Shares sold ................... 2,422,208 $ 27,318,897 1,541,719 $ 9,061,247
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 667,357 7,558,598 1,016,522 5,912,080
---------- ------------ ---------- ------------
Total issued .................. 3,089,565 34,877,495 2,558,241 14,973,327
Shares redeemed ............... (2,203,075) (24,947,408) (6,268,266) (36,407,443)
---------- ------------ ---------- ------------
Net increase (decrease) ....... 886,490 $ 9,930,087 (3,710,025) $(21,434,116)
========== ============ ========== ============
BlackRock BlackRock
Large Cap Core Portfolio Money Market Portfolio
------------------------------------------------------------
For the Year Ended Dollar Dollar
December 31, 2005 Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------
Shares sold ................... 1,494,151 $ 34,301,549 73,232,176 $ 73,232,176
Shares issued to shareholders
in reinvestment of dividends
and distributions .......... 83,264 2,005,006 9,351,588 9,351,588
---------- ------------ ----------- ------------
Total issued .................. 1,577,415 36,306,555 82,583,764 82,583,764
Shares redeemed ............... (1,598,592) (35,629,103) (123,571,651) (123,571,651)
---------- ------------ ----------- ------------
Net increase (decrease) ....... (21,177) $ 677,452 (40,987,887) $(40,987,887)
========== ============ =========== ============
5. Short-Term Borrowings:
The Fund (excluding the BlackRock Money Market Portfolio), along with certain
other funds managed by the Manager and its affiliates (or MLIM and its
affiliates), is a party to a $500,000,000 credit agreement with a group of
lenders. The Fund may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Fund may
borrow up to the maximum amount allowable under the Fund's current prospectus
and statement of additional information, subject to various other legal,
regulatory or contractual limits. On November 22, 2006, the credit agreement was
renewed for one year under substantially the same terms. The Fund pays a
commitment fee of .06% per annum based on the Fund's pro rata share of the
unused portion of the credit agreement. Amounts borrowed under the credit
agreement bear interest at a rate equal to, at each Fund's election, the federal
funds rate plus .35% or a base rate as defined in the credit agreement. The Fund
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Commitments:
At December 31, 2006, the Fund had entered into foreign exchange contracts, in
addition to the contracts listed on the schedule of investments, under which it
had agreed to purchase and sell various foreign currencies with an approximate
value of $139,000 and $64,000, respectively, for BlackRock Global Allocation
Portfolio.
7. Distributions to Shareholders:
BlackRock Balanced Capital Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income ........................ $22,161,687 $19,379,720
----------- -----------
Total taxable distributions .............. $22,161,687 $19,379,720
=========== ===========
109
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
As of December 31, 2006, the components of accumulated earnings on a tax basis
were as follows:
Undistributed ordinary income - net ..................... $ 243,421
Undistributed long-term capital gains - net ............. --
-------------
Total undistributed earnings - net ...................... 243,421
Capital loss carryforward ............................... (63,879,239)*
Unrealized gains - net .................................. 113,735,772**
-------------
Total accumulated earnings - net ........................ $ 50,099,954
=============
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$63,879,239, of which $40,546,648 expires in 2010 and $23,332,591 expires
in 2011. This amount will be available to offset like amounts of any
future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains/losses on certain futures
contracts, the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other book/tax
temporary differences.
BlackRock Bond Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income .......................... $5,421,591 $6,522,076
Net long-term capital gains .............. -- 569,703
Tax return of capital .................... 19,907 --
---------- ----------
Total taxable distributions ................ $5,441,498 $7,091,779
========== ==========
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
Undistributed ordinary income - net ...................... $ --
Undistributed long-term capital gains - net .............. --
-----------
Total undistributed earnings - net ....................... --
Capital loss carryforward ................................ (878,729)*
Unrealized losses - net .................................. (717,193)**
-----------
Total accumulated losses - net ........................... $(1,595,922)
===========
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$878,729, all of which expires in 2014. This amount will be available to
offset like amounts of any future taxable gains.
** The difference between book-basis and tax-basis net unrealized losses is
attributable primarily to the tax deferral of losses on wash sales, the
tax deferral of losses on straddles, the realization for tax purposes of
unrealized gains/losses on certain futures contracts, the difference
between book and tax amortization methods for premiums and discounts on
fixed income securities and other book/tax temporary differences.
110
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock Fundamental Growth Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income ........................ $2,180,006 $2,360,008
---------- ----------
Total taxable distributions .............. $2,180,006 $2,360,008
========== ==========
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
Undistributed ordinary income - net ... $ --
Undistributed long-term capital
gains - net ......................... --
-------------
Total undistributed earnings - net .... --
Capital loss carryforward ............. (117,576,625)*
Unrealized gains - net ................ 23,355,318**
-------------
Total accumulated losses - net ........ $ (94,221,307)
=============
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$117,576,625, of which $12,166,875 expires in 2009, $69,532,581 expires in
2010 and $35,877,169 expires in 2011. This amount will be available to
offset like amounts of any future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales.
BlackRock Global Allocation Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income .......................... $12,503,114 $ 8,031,303
Net long-term capital gains .............. 20,885,187 3,182,901
----------- -----------
Total taxable distributions ................ $33,388,301 $11,214,204
=========== ===========
As of December 31, 2006, the components of accumulated earnings on a tax basis
were as follows:
Undistributed ordinary income - net ........... $ 1,562,988
Undistributed long-term capital
gains - net ... 928,857
-----------
Total undistributed earnings - net ............ 2,491,845
Capital loss carryforward ..................... --
Unrealized gains - net ........................ 49,259,334*
-----------
Total accumulated earnings - net .............. $51,751,179
===========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
tax deferral of losses on straddles, the realization for tax purposes of
unrealized gains/losses on certain futures and forward foreign currency
contracts, the difference between book and tax amortization methods for
premiums and discounts on fixed income securities, the realization for tax
purposes of unrealized gains on investments in passive foreign investment
companies and other book/tax temporary differences.
111
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock Government Income Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income ........................ $8,117,609 $8,048,287
---------- ----------
Total taxable distributions .............. $8,117,609 $8,048,287
========== ==========
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
Undistributed ordinary income - net ....... $ --
Undistributed long-term capital
gains - net ... --
-----------
Total undistributed earnings - net ........ --
Capital loss carryforward ................. (1,143,029)*
Unrealized losses - net ................... (290,827)**
-----------
Total accumulated losses - net ............ $(1,433,856)
===========
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$1,143,029, of which $669,098 expires in 2013 and $473,931 expires in
2014. This amount will be available to offset like amounts of any future
taxable gains.
** The difference between book-basis and tax-basis net unrealized losses is
attributable primarily to the tax deferral of losses on wash sales, the
tax deferral of losses on straddles, the difference between book and tax
amortization methods for premiums and discounts on fixed income
securities, the deferral of post-October capital losses and the
realization for tax purposes of unrealized gains (losses) on certain
futures contracts.
BlackRock High Income Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income ........................ $4,331,020 $6,304,565
Total taxable distributions .............. $4,331,020 $6,304,565
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
Undistributed ordinary income - net ....... $ --
Undistributed long-term capital
gains - net --
------------
Total undistributed earnings - net ........ --
Capital loss carryforward ................. (38,646,092)*
Unrealized gains - net .................... 379,222**
------------
Total accumulated losses - net ............ $(38,266,870)
============
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$38,646,092, of which $1,824,536 expires in 2007, $6,196,936 expires in
2008, $8,474,548 expires in 2009, $10,420,967 expires in 2010, $9,089,143
expires in 2011, $1,975,092 expires in 2013 and $664,870 expires in 2014.
This amount will be available to offset like amounts of any future taxable
gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
difference between book and tax amortization methods for premiums and
discounts on fixed income securities and other book/tax temporary
differences.
112
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Concluded)
================================================================================
BlackRock Large Cap Core Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income .......................... $ 3,353,061 $ 2,005,006
Net long-term capital gains .............. 24,646,530 --
----------- -----------
Total taxable distributions ................ $27,999,591 $ 2,005,006
=========== ===========
As of December 31, 2006, the components of accumulated earnings on a tax basis
were as follows:
Undistributed ordinary income - net ........... $ 984,824
Undistributed long-term capital gains - net ... 6,036,157
-----------
Total undistributed earnings - net ............ 7,020,981
Capital loss carryforward ..................... --
Unrealized gains - net ........................ 54,038,902*
-----------
Total accumulated earnings - net .............. $61,059,883
===========
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales.
BlackRock Money Market Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
12/31/2006 12/31/2005
---------- ----------
Distributions paid from:
Ordinary income ........................ $14,175,383 $ 9,350,193
----------- -----------
Total taxable distributions .............. $14,175,383 $ 9,350,193
=========== ===========
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
Undistributed ordinary income - net ........... $ 139
Undistributed long-term capital gains - net ... --
--------
Total undistributed earnings - net ............ 139
Capital loss carryforward ..................... (139)*
Unrealized losses - net ....................... (67,383)**
--------
Total accumulated losses - net ................ $(67,383)
========
- --------------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$139, of which $49 expires in 2012, $44 expires in 2013 and $46 expires in
2014. This amount will be available to offset like amounts of any future
taxable gains.
** There were no significant differences between book and tax basis net
unrealized losses.
113
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Report of Independent Registered Public Accounting Firm
================================================================================
To the Shareholders and Board of Directors of
BlackRock Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the BlackRock Balanced Capital Portfolio,
BlackRock Bond Portfolio, BlackRock Fundamental Growth Portfolio, BlackRock
Global Allocation Portfolio, BlackRock Government Income Portfolio, BlackRock
High Income Portfolio, BlackRock Large Cap Core Portfolio and BlackRock Money
Market Portfolio (formerly Mercury Balanced Capital Strategy Portfolio, Mercury
Core Bond Strategy Portfolio, Mercury Fundamental Growth Strategy Portfolio,
Mercury Global Allocation Strategy Portfolio, Mercury Intermediate Government
Bond Portfolio, Mercury High Yield Portfolio, Mercury Large Cap Core Strategy
Portfolio and Mercury Money Reserve Portfolio, respectively), eight of the
portfolios constituting the BlackRock Series Fund, Inc. (the "Fund") (formerly
FAM Series Fund, Inc.), as of December 31, 2006, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, and the financial highlights for
each of the five years in the period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective eight portfolios constituting the BlackRock Series Fund, Inc.
as of December 31, 2006, the results of their operations for the year then
ended, the changes in their net assets for each of the two years in the period
then ended, and their financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 27, 2007
114
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Proxy Results
================================================================================
During the six-month period ended December 31, 2006, BlackRock Series Fund,
Inc.'s shareholders voted on the following proposals, which were approved at a
special shareholders' meeting on August 15, 2006. A description of the proposals
and number of shares voted for each Portfolio are as follows:
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Balanced Capital Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 52,887,650 1,751,746 1,854,498
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 52,540,513 1,927,788 2,025,593
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Bond Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 9,796,346 372,229 309,830
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 9,765,961 387,387 325,059
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Fundamental Growth Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 9,932,187 329,386 370,447
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 9,964,344 340,772 326,904
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Global Allocation Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 15,375,901 246,309 586,298
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 15,367,630 246,049 594,829
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Government Income Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 14,701,804 488,889 633,217
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 14,706,676 510,467 606,767
- --------------------------------------------------------------------------------------------------------------------------
115
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Proxy Results (concluded)
================================================================================
Shares Voted Shares Voted Shares Voted
BlackRock High Income Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 9,409,260 159,043 497,428
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 9,470,864 156,110 438,757
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Large Cap Core Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 11,409,521 474,146 482,554
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 11,508,194 413,623 444,403
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
BlackRock Money Market Portfolio For Against Abstain
- --------------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc............................................. 287,673,125 9,181,866 11,658,359
- --------------------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc............................................. 281,964,167 12,139,042 14,410,141
- --------------------------------------------------------------------------------------------------------------------------
116
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement
================================================================================
BLACKROCK SERIES FUND, INC.
BlackRock Balanced Capital Portfolio
BlackRock Bond Portfolio
BlackRock Fundamental Growth Portfolio
BlackRock Global Allocation Portfolio
BlackRock High Income Portfolio
BlackRock Government Income Portfolio
BlackRock Large Cap Core Portfolio
BlackRock Money Market Portfolio
BlackRock Investment Advisory Agreement -- Matters Considered by the Board
The following disclosure appeared in the June 30, 2006 Semi-Annual Report of the
Portfolios and is the discussion referred to in "New BlackRock Sub-Advisory
Agreements -- Matters Considered by the Board" and "Approvals to Correct Fee
Schedules" below. The term "Investment Adviser as used herein refers to Merrill
Lynch Investment Managers, L.P.
In connection with the Transaction between Merrill Lynch and BlackRock, the
Fund's Board of Directors considered a new investment advisory agreement (the
"New Investment Advisory Agreement") between the Fund, on behalf of the
Portfolios, and BlackRock Advisors, Inc. ("BlackRock Advisors"). If the New
Investment Advisory Agreement is approved by shareholders, it will become
effective upon the closing of the Transaction, which is expected in the third
quarter of 2006.
The Board discussed the New Investment Advisory Agreement at telephonic and
in-person meetings held during April and May 2006. The Board, including the
independent directors, approved the New Investment Advisory Agreement on May 8,
2006.
To assist the Board in its consideration of the New Investment Advisory
Agreement, BlackRock provided materials and information about BlackRock,
including its financial condition and asset management capabilities and
organization, and Merrill Lynch provided materials and information about the
Transaction. The independent directors, through their independent legal counsel,
also requested and received additional information from Merrill Lynch and
BlackRock in connection with their consideration of the New Investment Advisory
Agreement. The additional information was provided in advance of the May 2006
meeting. In addition, the independent directors consulted with their counsel and
Fund counsel on numerous occasions, discussing, among other things, the legal
standards and certain other considerations relevant to the directors'
deliberations.
At the Board meetings, the directors discussed with Merrill Lynch management and
certain BlackRock representatives the Transaction, its strategic rationale and
BlackRock's general plans and intentions regarding the Portfolios. At these
Board meetings, representatives of Merrill Lynch and BlackRock made
presentations to and responded to questions from the Board. The directors also
inquired about the plans for and anticipated roles and responsibilities of
certain employees and officers of the Investment Adviser and certain affiliates
being transferred to BlackRock in connection with the Transaction. The
independent directors of the Board also conferred separately and with their
counsel about the Transaction and other matters related to the Transaction on a
number of occasions, including in connection with the April and May 2006
meetings. After the presentations and after reviewing the written materials
provided, the independent directors met in executive sessions with their counsel
to consider the New Investment Advisory Agreement.
In connection with the Board's review of the New Investment Advisory Agreement,
Merrill Lynch and/or BlackRock advised the directors about a variety of matters.
The advice included the following, among other matters:
o that there is not expected to be any diminution in the nature,
quality and extent of services provided to any Portfolio and its
shareholders by BlackRock Advisors, including compliance services;
117
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Continued)
================================================================================
o that operation of New BlackRock as an independent investment
management firm will enhance its ability to attract and retain
talented professionals;
o that each Portfolio should benefit from having access to BlackRock's
state of the art technology and risk management analytic tools,
including investment tools, provided under the BlackRock
Solutions(R) brand name;
o that BlackRock has no present intention to alter any applicable
expense waivers or reimbursements currently in effect and, while it
reserves the right to do so in the future, it would seek the
approval of the Board before making any changes;
o that in connection with the Transaction, Merrill Lynch and BlackRock
have agreed to conduct, and use reasonable best efforts to cause
their respective affiliates to conduct, their respective businesses
in compliance with the conditions of Section 15(f) of the Investment
Company Act of 1940 (the "1940 Act") in relation to any public funds
advised by BlackRock or the Investment Adviser (or its affiliates),
respectively; and
o that Merrill Lynch and BlackRock would derive benefits from the
Transaction and that, as a result, they have a different financial
interest in the matters that were being considered than do Portfolio
shareholders.
The directors considered the information provided by Merrill Lynch and BlackRock
above, and, among other factors, the following:
o the potential benefits to Portfolio shareholders from being part of
a combined fund family with BlackRock-sponsored funds, including
possible economies of scale and access to investment opportunities;
o the potential for expanding distribution of Portfolio shares through
improved access to third party distribution;
o the reputation, financial strength and resources of BlackRock and
its investment advisory subsidiaries and the anticipated financial
strength and resources of New BlackRock;
o the compliance policies and procedures of BlackRock Advisors;
o the terms and conditions of the New Investment Advisory Agreement,
including the fact that the schedule of each Portfolio's total
advisory fees will not increase by virtue of the New Investment
Advisory Agreement, but will remain the same;
o that in May 2005, the Board had performed a full annual review of
the investment advisory agreement currently in effect for each
Portfolio (the "Current Investment Advisory Agreement") as required
by the 1940 Act and has determined that the Investment Adviser has
the capabilities, resources and personnel necessary to provide the
advisory and administrative services currently provided to each
Portfolio; and that the advisory and/or management fees paid by each
Portfolio, taking into account any applicable agreed-upon fee
waivers and breakpoints, represent reasonable compensation to the
Investment Adviser in light of the services provided, the costs to
the Investment Adviser of providing those services, economies of
scale, the fees and other expenses paid by similar funds (including
information provided by Lipper Inc. ["Lipper"]), and such other
matters as the directors have considered relevant in the exercise of
their reasonable judgment; and
o that Merrill Lynch agreed to pay all expenses of each Portfolio in
connection with the Board's consideration of the New Investment
Advisory Agreement and related agreements and all costs of
shareholder approval of the New Investment Advisory Agreement and as
a result no Portfolio would bear any costs in obtaining shareholder
approval of the New Investment Advisory Agreement.
118
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Continued)
================================================================================
Certain of these considerations are discussed in more detail below.
In its review of the New Investment Advisory Agreement, the Board assessed the
nature, scope and quality of the services to be provided to each Portfolio by
the personnel of BlackRock Advisors and its affiliates, including administrative
services, shareholder services, oversight of fund accounting, marketing services
and assistance in meeting legal and regulatory requirements. In its review of
the New Investment Advisory Agreement, the Board also considered a range of
information in connection with its oversight of the services to be provided by
BlackRock Advisors and its affiliates. Among the matters considered for each
Portfolio were: (a) fees (in addition to management fees) to be paid to
BlackRock Advisors and its affiliates by the Portfolio; (b) operating expenses
paid to third parties; (c) the resources devoted to and compliance reports
relating to the Portfolio's investment objective, policies and restrictions, and
its compliance with its Code of Ethics and BlackRock Advisors' compliance
policies and procedures; and (d) the nature, cost and character of
non-investment management services to be provided by BlackRock Advisors and its
affiliates.
In the period prior to the Board meetings to consider renewal of the Current
Investment Advisory Agreement, the Board had requested and received materials
specifically relating to the Current Investment Advisory Agreement. For each
Portfolio, these materials included (a) information compiled by Lipper on the
fees and expenses and the investment performance of the Portfolio as compared to
a comparable group of funds as classified by Lipper; (b) a discussion by the
portfolio management team for the Portfolio on investment strategies used by the
Portfolio during its most recent fiscal year; (c) information on the
profitability to the Investment Adviser of the Current Investment Advisory
Agreement and other payments received by the Investment Adviser and its
affiliates from the Portfolio; and (d) information provided by the Investment
Adviser concerning services related to the valuation and pricing of portfolio
holdings, allocation of any brokerage fees, portfolio turnover statistics, and
direct and indirect benefits to the Investment Adviser and its affiliates from
their relationship with the Portfolio.
In their deliberations, the directors considered information received in
connection with their most recent continuation of the Current Investment
Advisory Agreement, in addition to information provided by BlackRock and
BlackRock Advisors in connection with their evaluation of the terms and
conditions of the New Investment Advisory Agreement. The directors did not
identify any particular information that was all-important or controlling, and
each director attributed different weights to the various factors. The
directors' determinations were made separately in respect of each Portfolio. The
directors, including a majority of the independent directors, concluded that the
terms of the New Investment Advisory Agreement are appropriate, that the fees to
be paid are reasonable in light of the services to be provided to the Portfolio,
and that the New Investment Advisory Agreement should be approved and
recommended to each Portfolio's shareholders.
Nature, Quality and Extent of Services Provided. The Board reviewed the nature,
extent and quality of services provided by the Investment Adviser, including the
investment advisory services and the resulting performance of each Portfolio, as
well as the nature, quality and extent of services expected to be provided by
BlackRock Advisors. The Board focused primarily on the Investment Adviser's
investment advisory services and each Portfolio's investment performance, but
also considered certain areas in which both the Investment Adviser and the
Portfolio receive services as part of the Merrill Lynch complex. The Board
compared each Portfolio's performance -- both including and excluding the
effects of fees and expenses -- to the performance of a comparable group of
mutual funds, and the performance of a relevant index or combination of indexes.
While the Board reviews performance data at least quarterly, consistent with the
Investment Adviser's investment goals, the Board attaches more importance to
performance over relatively long periods of time, typically three to five years.
In evaluating the nature, quality and extent of the services to be provided by
BlackRock Advisors under the New Investment Advisory Agreement, the directors
considered, among other things, the expected impact of the Transaction on the
operations, facilities, organization and personnel of BlackRock Advisors
119
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BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Continued)
================================================================================
and how it would affect each Portfolio; the ability of BlackRock Advisors to
perform its duties after the Transaction; and any anticipated changes to the
current investment and other practices of each Portfolio. The directors
considered BlackRock's advice as to proposed changes in portfolio management
personnel of certain Portfolios after the closing of the Transaction.
The directors were given information with respect to the potential benefits to
each Portfolio and its shareholders from having access to BlackRock's state of
the art technology and risk management analytic tools, including the investment
tools provided under the BlackRock Solutions brand name.
The directors were advised that, as a result of Merrill Lynch's equity interest
in BlackRock after the Transaction, each Portfolio will continue to be subject
to restrictions concerning certain transactions involving Merrill Lynch
affiliates (for example, transactions with a Merrill Lynch broker-dealer acting
as principal) absent revised or new regulatory relief. The directors were
advised that a revision of existing regulatory relief with respect to these
restrictions was being sought from the Securities and Exchange Commission and
were advised of the possibility of receipt of such revised regulatory relief.
There can be no assurance that such relief will be obtained.
Based on their review of the materials provided and the assurances they had
received from the management of Merrill Lynch and of BlackRock, the directors
determined that the nature and quality of services to be provided to each
Portfolio under the New Investment Advisory Agreement were expected to be as
good or better than that provided under the Current Investment Advisory
Agreement. It was noted, however, that it is expected that there will be changes
in personnel following the Transaction and the combination of the operations of
the Investment Adviser and its affiliates with those of BlackRock. The directors
noted that if current portfolio managers or other personnel cease to be
available, the Board would consider all available options, which could include
seeking the investment advisory or other services of BlackRock affiliates.
Accordingly, the directors concluded that, overall, they were satisfied at the
present time with assurances from BlackRock and BlackRock Advisors as to the
expected nature, extent and quality of the services to be provided to each
Portfolio under the New Investment Advisory Agreement.
Costs of Services Provided and Profitability. It was noted that, in conjunction
with the recent review of the Current Investment Advisory Agreement, the
directors had received, among other things, a report from Lipper comparing each
Portfolio's fees, expenses and performance to those of a peer group selected by
Lipper, and information as to the fees charged by the Investment Adviser or its
affiliates to other registered investment company clients for investment
management services. The Board reviewed each Portfolio's contractual management
fee rate and actual management fee rate as a percentage of total assets at
common asset levels -- the actual rate includes advisory fees and the effects of
any fee waivers -- compared to the other funds in its Lipper category. They also
compared each Portfolio's total expenses to those of other comparable funds. The
information showed that each Portfolio had fees and expenses within the range of
fees and expenses of comparable funds. For each of the Mercury Fundamental
Growth Strategy, Mercury Global Allocation Strategy and Mercury Large Cap Core
Strategy Portfolios, the Board considered the services to be provided by and the
fees to be charged by BlackRock Advisors to other funds with similar investment
mandates and noted that the fees charged by BlackRock Advisors in those cases,
including fee waivers and expense reimbursements, were generally comparable to
those being charged to the Portfolio. The Board concluded that the each
Portfolio's management fee and fee rate and overall expense ratio are reasonable
compared to those of other comparable funds.
In evaluating the costs of the services to be provided by BlackRock Advisors
under the New Investment Advisory Agreement, the directors considered, among
other things, whether advisory fees or other expenses would change as a result
of the Transaction. Based on their review of the materials provided and the fact
that the New Investment Advisory Agreement is substantially similar to the
Current Investment Advisory Agreement in all material respects, including the
rate of compensation, the directors determined that the Transaction should not
increase the total fees payable, including any fee waivers and expense
reimbursements, for advisory and administrative services. The directors noted
that it was not possible to predict with certainty New BlackRock's future
profitability from its relationship with each Portfolio.
120
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BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Continued)
================================================================================
The directors discussed with BlackRock Advisors its general methodology to be
used in determining New BlackRock's profitability with respect to its
relationship with each Portfolio. The directors noted that they expect to
receive profitability information from New BlackRock on at least an annual basis
and thus be in a position to evaluate whether any adjustments in a Portfolio's
fees and/or fee breakpoints would be appropriate.
Fees and Economies of Scale. The Board considered the extent to which economies
of scale might be realized as the assets of each Portfolio increase and whether
there should be changes in the management fee rate or structure in order to
enable the Portfolio to participate in these economies of scale. The Board
determined that changes were not currently necessary and that each Portfolio
appropriately participated in these economies of scale.
In reviewing the Transaction, the directors considered, among other things,
whether advisory fees or other expenses would change as a result of the
Transaction. Based on the fact that the New Investment Advisory Agreement is
substantially similar to the Current Investment Advisory Agreement in all
material respects, including the rate of compensation, the directors determined
that as a result of the Transaction, no Portfolio's total advisory fees would be
higher than the fees under its Current Investment Advisory Agreement. The
directors noted that in conjunction with their most recent deliberations
concerning the Current Investment Advisory Agreement, the directors had
determined that the total fees for advisory and administrative services for each
Portfolio were reasonable in light of the services provided. It was noted that
in conjunction with the recent review of the Current Investment Advisory
Agreement, the directors had received, among other things, a report from Lipper
comparing each Portfolio's fees, expenses and performance to those of a peer
group selected by Lipper, and information as to the fees charged by the
Investment Adviser to other registered investment company clients for investment
management services. The directors concluded that, because the rates for
advisory fees for each Portfolio would be no higher than its current fee rates,
the proposed management fee structure, including any fee waivers, was reasonable
and that no additional changes were currently necessary.
Fall-Out Benefits. In evaluating the fall-out benefits to be received by
BlackRock Advisors under the New Investment Advisory Agreement, the directors
considered whether the Transaction would have an impact on the fall-out benefits
received by the Investment Adviser by virtue of the Current Investment Advisory
Agreement. Based on their review of the materials provided, including materials
received in connection with their most recent continuance of the Current
Investment Advisory Agreement, and their discussions with management of the
Investment Adviser and BlackRock, the directors determined that those benefits
could include increased ability for BlackRock to distribute shares of its funds
and other investment products and, where applicable, to obtain research services
using portfolio transaction brokerage commissions. The directors also considered
possible benefits stemming from the proposal that PFPC Financial Services, an
affiliate of BlackRock, serve as transfer agent for each Portfolio following the
Transaction. The directors noted that any benefits were difficult to quantify
with certainty at this time, and indicated that they would continue to evaluate
them going forward.
Investment Performance. The directors considered investment performance for each
Portfolio. The directors compared each Portfolio's performance -- both including
and excluding the effects of fees and expenses -- to the performance of a
comparable group of mutual funds, and the performance of a relevant index or
combination of indexes. The comparative information received from Lipper showed
each Portfolio's performance at various levels within the range of performance
of comparable funds over different time periods. While the Board reviews
performance data at least quarterly, consistent with the Investment Adviser's
investment goals, the Board attaches more importance over relatively long
periods of time, typically three to five years. The directors believed each
Portfolio's performance was satisfactory. Also, the directors took into account
the investment performance of funds currently advised by BlackRock Advisors. The
Board considered comparative information from Lipper which showed that the
performance of the funds advised by BlackRock Advisors was within the range of
performance of comparable funds over different time periods. The Board noted
BlackRock's considerable investment management experience and capabilities, but
was unable to predict what effect, if any, consummation of the Transaction would
have on the future performance of any Portfolio.
121
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BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Continued)
================================================================================
Conclusion. After the independent directors of the Fund deliberated in executive
session, the entire Board, including the independent directors, approved the New
Investment Advisory Agreement on behalf of each Portfolio, concluding that the
Portfolio's advisory fee rate was reasonable in relation to the services
provided and that the New Investment Advisory Agreement was in the best
interests of the shareholders. In approving the New Investment Advisory
Agreement, the Board noted that it anticipated reviewing the continuance of the
agreement in advance of the expiration of the initial two-year period.
New BlackRock Sub-Advisory Agreements -- Matters Considered by the Board
At an in-person meeting held on August 16-17, 2006, the Board of Directors,
including the independent directors, discussed and approved the sub-advisory
agreements between BlackRock Advisors, LLC (previously organized as BlackRock
Advisors, Inc.) ("BlackRock Advisors") and the following affiliates (the
"Sub-Advisers") (the "BlackRock Sub-Advisory Agreements"):
o BlackRock Investment Management, LLC ("BIM"), with respect to each
of Fundamental Growth Portfolio, Large Cap Portfolio and a portion
of Balanced Capital Portfolio and Global Allocation Portfolio.
Pursuant to the pertinent BlackRock Sub-Advisory Agreement, BIM
receives a monthly fee from BlackRock Advisors at an annual rate
equal to 74% of the advisory fee received by BlackRock Advisors from
each of Fundamental Growth Portfolio, Global Small Cap Portfolio and
Large Cap Portfolio and 37% of the advisory fee received by
BlackRock Advisors from each of Balanced Capital Portfolio and
Global Allocation Portfolio.
o BlackRock Financial Management, Inc. ("BFM"), with respect to each
of Government Income Portfolio and High Income Portfolio and a
portion of Balanced Capital Portfolio. Pursuant to the pertinent
BlackRock Sub-Advisory Agreement, BFM receives a monthly fee from
BlackRock Advisors at an annual rate equal to 59% of the advisory
fee received by BlackRock Advisors from each of Intermediate
Government Portfolio and High Income Portfolio and 37% of the
advisory fee received by BlackRock Advisors from Balanced Capital
Portfolio.
o BlackRock Asset Management U.K. Limited ("BAM UK"), with respect to
Global Allocation Portfolio. Pursuant to the pertinent BlackRock
Sub-Advisory Agreement, BAM UK receives a monthly fee from BlackRock
Advisors at an annual rate equal to 37% of the advisory fee received
by BlackRock Advisors from Global Allocation Portfolio.
o BlackRock Institutional Management Corporation ("BIMC"), with
respect to Money Market Portfolio. Pursuant to the pertinent
BlackRock Sub-Advisory Agreement, BIMC receives a monthly fee from
BlackRock Advisors at an annual rate equal to 59% of the advisory
fee received by BlackRock Advisors from Money Market Portfolio.
The BlackRock Sub-Advisory Agreements became effective on September 29, 2006, at
the same time the New Investment Advisory Agreement with BlackRock Advisors
became effective.
BlackRock Advisors pays the Sub-Advisers out of its own resources, and there is
no increase in the expenses of any Portfolio as a result of the BlackRock
Sub-Advisory Agreements.
In approving the BlackRock Sub-Advisory Agreements at the August 2006 in-person
meeting, the Board reviewed its considerations in connection with its approval
of the New Investment Advisory Agreement in May 2006. The Board relied on the
same information and considered the same factors as those discussed above in
connection with the approval of the New Investment Advisory Agreement. In
reviewing the sub-advisory fee rates provided for in the BlackRock Sub-Advisory
Agreements, the Board noted the fact that both BlackRock Advisors and each
Sub-Adviser have significant responsibilities under their respective advisory
agreements. Under the New Investment Advisory Agreement, BlackRock Advisors
remains responsible for the overall management of each Portfolio and for
oversight of each Portfolio's operations and administration. Under the BlackRock
Sub-Advisory Agreements, each Sub-Adviser provides advisory services to each
pertinent Portfolio and is responsible for the day-to-day management of the
Portfolio's
122
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BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement (Concluded)
================================================================================
portfolio. The Board also took into account the fact that there is no increase
in total advisory fees paid by any Portfolio as a result of the BlackRock
Sub-Advisory Agreements. Based on its considerations, the Board concluded that
it was a reasonable allocation of fees for the pertinent Sub-Adviser to receive
the portion of the advisory fee paid by each Portfolio to BlackRock Advisors, as
noted above.
After the independent directors deliberated in executive session, the entire
Board, including the independent directors, approved each BlackRock Sub-Advisory
Agreement, concluding that the sub-advisory fee was reasonable in relation to
the services provided and that each BlackRock Sub-Advisory Agreement was in the
best interests of each pertinent Portfolio's shareholders.
Approvals to Correct Fee Schedules
As discussed above, at a meeting on May 8, 2006, the Board, including the
independent directors, approved the New Investment Advisory Agreement between
the Fund, on behalf of the Portfolios, and BlackRock Advisors. The New
Investment Advisory Agreement as approved by the Board contained an advisory fee
schedule for each Portfolio that was the same as the fee schedule set forth in
the investment advisory agreement in effect for the Portfolio at that time (the
"Current Investment Advisory Agreement"). At a shareholder meeting on August 15,
2006, the shareholders of each Portfolio approved a new investment advisory
agreement between BlackRock Advisors and the Fund, on behalf of the Portfolios,
but in a form that contained incorrect advisory fee schedules for the
Portfolios. The proxy statement sent to Portfolio shareholders in connection
with the shareholder meeting (the "Proxy Statement") stated in several places
that the advisory fees payable by each Portfolio under the New Investment
Advisory Agreement would be the same as the fees payable under the Current
Investment Advisory Agreement. However, subsequent to the shareholder meeting,
it was discovered that the advisory fee schedules for the Portfolios were
incorrectly presented in an appendix in the Proxy Statement. The advisory fee
schedules for Global Allocation Portfolio and Fundamental Growth Portfolio were
stated at higher levels than the fee schedules then in effect and did not
indicate the breakpoint schedules that would provide for a lower advisory fee at
higher asset levels. The advisory fee schedules for Balanced Capital Portfolio,
Large Cap Core Portfolio, Core Bond Portfolio, High Yield Portfolio,
Intermediate Government Portfolio and Money Reserve Portfolio presented the
correct advisory fee breakpoints but did not state the correct means of applying
the breakpoints.
At a September 22, 2006 meeting, the Board considered ratification and approval
of investment advisory agreements between BlackRock Advisors and the Fund, on
behalf of the Portfolios, in the form approved by shareholders with the higher,
incorrect advisory fee schedules. The Board also considered approval of
amendments to such investment advisory agreements decreasing the advisory fees
to the lower, correct advisory fee schedules (including the calculation of the
fee based on a uniform percentage, as discussed at the September 22, 2006
meeting) previously approved by the Board at the May 2006 meeting. After
discussion, the Directors, and separately the non-interested directors present,
in person, at the meeting, (a) ratified and approved an investment advisory
agreement between BlackRock Advisors and the Fund, on behalf of each Portfolio,
with the higher fee schedule that was approved by shareholders and (b) approved
an amendment to each such investment advisory agreement to reduce the advisory
fee schedule to the lower, correct advisory fee schedule previously approved by
the Board at the May 2006 meeting.
The Board also discussed the BlackRock Sub-Advisory Agreements between BlackRock
Advisors and BIM (with respect to Fundamental Growth Portfolio, Large Cap
Portfolio, Balanced Capital Portfolio and Global Allocation Portfolio), BFM
(with respect to Government Income Portfolio, High Income Portfolio and Balanced
Capital Portfolio), BAM UK (with respect to Global Allocation Portfolio) and
BIMC (with respect to Money Market Portfolio). The Board reviewed and reaffirmed
their considerations in connection with their approval of the BlackRock
Sub-Advisory Agreements at the August 16-17, 2006 meeting. The Directors, and
separately the non-interested directors present, in person, at the meeting, then
ratified and approved each BlackRock Sub-Advisory Agreement as previously
approved at the August 16-17, 2006 meeting.
123
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BlackRock Series Fund, Inc.
Officers and Directors
================================================================================
Interested Director
- --------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Held Length of Time Principal Occupation(s) Overseen Directorships Held
of Director with Fund Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, Jr.* President and 2005 to present Vice Chairman and Director of 122 Funds None
P.O. Box 9011 Director BlackRock, Inc., Global Chief 168 Portfolios
Princeton, NJ 08543-9011 Investment Officer for Equities,
Age: 52 Chairman of the BlackRock Retail
Operating Committee, and member
of the BlackRock Executive
Committee since 2006; President
of the funds advised by Merrill
Lynch Investment Managers, L.P.
("MLIM") and its affiliates
("MLIM/FAM-advised funds") from
2005 to 2006 and Chief
Investment Officer thereof from
2001 to 2006; President of MLIM
and Fund Asset Management, L.P.
("FAM") from 2001 to 2006;
Co-Head (Americas Region)
thereof from 2000 to 2001 and
Senior Vice President from 1999
to 2001; President and Director
of Princeton Services, Inc.
("Princeton Services") and
President of Princeton
Administrators, L.P. ("Princeton
Administrators") from 2001 to
2006; Chief Investment Officer
of OppenheimerFunds, Inc. in
1999 and Executive Vice
President thereof from 1991 to
1999.
- --------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain
other investment companies for which BlackRock Advisors, LLC and its
affiliates acts as investment adviser. Mr. Doll is an "interested person,"
as defined in the Investment Company Act, of the Fund based on his
positions with BlackRock, Inc. and its affiliates. Directors serve until
their resignation, removal or death, or until December 31 of the year in
which they turn 72. As Fund President, Mr. Doll serves at the pleasure of
the Board of Directors.
- --------------------------------------------------------------------------------
Independent Directors
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Held Length of Time Principal Occupation(s) Overseen Directorships Held
of Director with Fund Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Director 2002 to present General Partner of The Burton 21 Funds Knology, Inc.
P.O. Box 9095 Partnership, Limited Partnership 38 Portfolios (telecommunications);
Princeton, NJ 08543-9095 (an investment partnership) Symbion, Inc.
Age: 62 since 1979; Managing General (healthcare); and
Partner of The South Atlantic Capital Southwest
Venture Funds since 1983; Member (financial)
of the Investment Advisory
Council of the Florida State
Board of Administration since
2001.
- ------------------------------------------------------------------------------------------------------------------------------------
124
====================================================================================================================================
Independent Directors (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Held Length of Time Principal Occupation(s) Overseen Directorships Held
of Director with Fund Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
John Francis O'Brien Director 2005 to present President and Chief Executive 21 Funds Cabot Corporation
P.O. Box 9095 Princeton, Officer of Allmerica Financial 38 Portfolios (chemicals); LKQ
NJ 08543-9095 Corporation (financial services Corporation (auto
Age: 63 holding company) from 1995 to parts
2002 and Director from 1995 to manufacturing);
2003; President of Allmerica and TJX
Investment Management Co., Inc. Companies, Inc.
(investment adviser) from 1989 (retailer)
to 2002, Director from 1989 to
2002 and Chairman of the Board
from 1989 to 1990; President,
Chief Executive Officer and
Director of First Allmerica
Financial Life Insurance Company
from 1989 to 2002 and Director
of various other Allmerica
Financial companies until 2002;
Director from 1989 to 2006,
Member of the Governance
Nominating Committee from 2004
to 2006, Member of the
Compensation Committee from 1989
to 2006 and Member of the Audit
Committee from 1990 to 2004 of
ABIOMED; Director, Member of the
Governance and Nomination
Committee and Member of the
Audit Committee of Cabot
Corporation since 1990; Director
and Member of the Audit
Committee and Compensation
Committee of LKQ Corporation
since 2003; Lead Director of TJX
Companies, Inc. since 1996;
Trustee of the Woods Hole
Oceanographic Institute since
2003; Director, Ameresco, Inc.
since 2006; Director, Boston
Lyric Opera since 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. Walsh Director 2003 to present Director, Ruckleshaus Institute 21 Funds None
P.O. Box 9095 and Haub School of Natural 38 Portfolios
Princeton, NJ 08543-9095 Resources at the University of
Age: 65 Wyoming since 2006; Consultant
with Putnam Investments from
1993 to 2003, and employed in
various capacities therewith
from 1973 to 1992; Director,
Massachusetts Audubon Society
from 1990 to 1997; Director, The
National Audubon Society from
1998 to 2005; Director, The
American Museum of Fly Fishing
since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
125
====================================================================================================================================
Independent Directors (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Held Length of Time Principal Occupation(s) Overseen Directorships Held
of Director with Fund Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss** Director 1999 to present Managing Director of FGW 21 Funds Watson
P.O. Box 9095 Associates since 1997; Vice 38 Portfolios Pharmaceuticals,
Princeton, NJ 08543-9095 President, Planning, Investment Inc.
Age: 63 and Development of Warner (pharmaceutical
Lambert Co. from 1979 to 1997; company)
Director of the Michael J. Fox
Foundation for Parkinson's
Research since 2000; Director of
BTG International Plc (a global
technology commercialization
company) since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72.
** Chairman of the Board of Directors and the Audit Committee.
Fund Officers
- --------------------------------------------------------------------------------
Position(s) Held Length of
Name, Address & Age with Fund Time Served* Principal Occupation(s) During Past 5 Years
- -----------------------------------------------------------------------------------------------------------------
Donald C. Burke Vice President 1993 to present and Managing Director of BlackRock,
P.O. Box 9011 and Treasurer 1999 to present Inc. since 2006; Managing
Princeton, NJ 08543-9011 Director of Merrill Lynch
Age: 46 Investment Managers, L.P.
("MLIM") and Fund Asset
Management, L.P. ("FAM")in 2006;
First Vice President of MLIM and
FAM from 1997 to 2005 and
Treasurer thereof from 1999 to
2006; Vice President of MLIM and
FAM from 1990 to 1997.
- -----------------------------------------------------------------------------------------------------------------
Thomas E. Burke Vice President 2006 to present Director of BlackRock, Inc.
P.O. Box 9011 Princeton, NJ since 2006; Director of MLIM
08543-9011 from 1998 to 2006.
Age 48
- -----------------------------------------------------------------------------------------------------------------
Dan Chamby Vice President 2006 to present Director of BlackRock, Inc.
P.O. Box 9011 since 2006; Director of MLIM
Princeton, NJ 08543-9011 from 2000 to 2006; Vice
Age 46 President of MLIM from 1993 to
2000.
- -----------------------------------------------------------------------------------------------------------------
Debra L. Jelilian Vice President 2004 to present Director of BlackRock since
P.O. Box 9011 2006; Director of MLIM from 1999
Princeton, NJ 08543-9011 to 2006.
Age 39
- -----------------------------------------------------------------------------------------------------------------
Kurt Schansinger Vice President 2001 to present Managing Director of BlackRock
P.O. Box 9011 since 2006; Managing Director
Princeton, NJ 08543-9011 (Equities) of MLIM from 2000 to
Age: 46 2006; Director of MLIM from 1997
to 2000.
- -----------------------------------------------------------------------------------------------------------------
Dennis W. Stattman Vice President 2001 to present Managing Director of BlackRock
P.O. Box 9011 since 2006; Managing Director
Princeton, NJ 08543-9011 (Equities) of MLIM from 2000 to
Age: 55 2006; Director of MLIM from 1997
to 2000.
- -----------------------------------------------------------------------------------------------------------------
Jeffrey Hiller Fund Chief 2004 to present Managing Director of BlackRock,
P.O. Box 9011 Compliance Officer Inc. and Fund Chief Compliance
Princeton, NJ 08543-9011 Officer since 2006; Chief
Age: 55 Compliance Officer of the
MLIM/FAM-advised funds and First
Vice President and Chief
Compliance Officer of MLIM
(Americas Region) from 2004 to
2006; Chief Compliance Officer
of the IQ Funds since 2004;
Global Director of Compliance at
Morgan Stanley Investment
Management from 2002 to 2004;
Managing Director and Global
Director of Compliance at
Citigroup Asset Management from
2000 to 2002; Chief Compliance
Officer at Soros Fund Management
in 2000; Chief Compliance
Officer at Prudential Financial
from 1995 to 2000; Senior
Counsel in the Securities and
Exchange Commission's Division
of Enforcement in Washington,
D.C. from 1990 to 1995.
- -----------------------------------------------------------------------------------------------------------------
Alice A. Pellegrino Secretary 2004 to present Director of BlackRock, Inc.
P.O. Box 9011 since 2006; Director (Legal
Princeton, NJ 08543-9011 Advisory) of MLIM from 2002 to
Age: 46 2006; Vice President of MLIM
from 1999 to 2002; Attorney
associated with MLIM from 1997
to 2006; Secretary of MLIM, FAM,
FAM Distributors, Inc. and
Princeton Services from 2004 to
2006.
- -----------------------------------------------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Directors
126
================================================================================
Principal Office of the Fund Custodian
BlackRock Series Fund, Inc. For all Portfolios except
Box 9011 BlackRock Global Allocation Portfolio:
Princeton, NJ 08543-9011
The Bank of New York
100 Church Street
Transfer Agent New York, NY 10286
PFPC Inc.
Wilmington, DE 19809 For BlackRock Global Allocation Portfolio:
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
- --------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the
Fund's Statement of Additional Information, which can be obtained without charge
by calling 1-800-441-7762.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Privacy Principles
================================================================================
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their nonpublic personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal nonpublic information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; (iv) from visits to our Web sites.
BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic
personal information about its Clients, except as permitted by law or as is
necessary to service Client accounts. These nonaffiliated third parties are
required to protect the confidentiality and security of this information and to
use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to nonpublic
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the nonpublic
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Availability of Quarterly Schedule of Investments
================================================================================
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies, which are funded by shares of BlackRock Series
Fund, Inc. This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund or the policies. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or less
than their original cost. Performance information used throughout this report
does not include insurance-related fees and expenses. An investment in BlackRock
Money Market Portfolio is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other Government agency. Although BlackRock Money
Market Portfolio seeks to preserve the value of your investment at $1.00 per
share, it is possible to lose money by investing in the Portfolio. Statements
and other information herein are as dated and are subject to change.
Investment in foreign securities involves special risks including fluctuating
foreign exchange rates, foreign government regulations, differing degrees of
liquidity and the possibility of substantial volatility due to adverse
political, economic or other developments.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-441-7762; (2) on
www.blackrock.ml.com; and (3) on the Securities and Exchange Commission's Web
site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's Portfolios during the most recent
12-month period ended June 30 is available (1) at www.blackrock.ml.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
59828-12/06
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of
the end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
at www.blackrock.com
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) Laurie Simon Hodrick (resigned at of May 1, 2006), (3)
John F. O'Brien, (4) David H. Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick qualifies as a financial expert pursuant to Item 3(c)(4) of
Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in
financial analysts' training programs. Ms. Hodrick has also worked
with several prominent corporations in connection with the analysis of
financial forecasts and projections and analysis of the financial
statements of those companies, serving on the Financial Advisory
Council of one of these major corporations. She has also served as the
Treasurer and Finance Chair of a 501(c)(3) organization. Ms. Hodrick
has published a number of articles in leading economic and financial
journals and is the associate editor of two leading finance journals.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $199,550
Fiscal Year Ending December 31, 2005 - $192,000
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2006 - $74,607
Fiscal Year Ending December 31, 2005 - $66,765
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to the
registrant's affiliated service providers that relate directly to the
operations and the financial reporting of the registrant. Certain of
these non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and recurring
services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a
specific case-by-case basis ("general pre-approval"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or $50,000
for all of the registrants the Committee oversees. Any proposed services
exceeding the pre-approved cost levels will require specific
pre-approval by the Committee, as will any other services not subject to
general pre-approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending December 31, 2006 - $3,071,450
Fiscal Year Ending December 31, 2005 - $5,577,771
(h) The registrant's audit committee has considered and determined that
the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $1,739,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our
evaluation of these controls and procedures as of a date within 90
days prior to the filing date of this report.
11(b) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the
registrant was migrated to BlackRock's trading and
compliance monitoring systems, and various personnel changes occurred.
In conjunction with these business improvements, there were no changes
in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under Act (17 CFR 270.30a-3(d)) that occurred
during the last fiscal half-year of the period covered by this report
that has materially affected, or is reasonably likely to affect, the
registrant's internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto
duly authorized.
BlackRock Series Fund, Inc.
By: /s/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the
capacities and on the dates indicated.
By: /s/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007