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 Fundamental Growth Portfolio
BlackRock Global Allocation Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Portfolio
BlackRock Large Cap Core Portfolio
BlackRock Money Market Portfolio
BlackRock Total Return Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, 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: (800) 456-4587
Date of fiscal year end: 12/31/2007
Date of reporting period: 01/01/2007 - 12/31/2007
Item 1 - Report to Stockholders
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BlackRock Series Fund, Inc.
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o BlackRock Balanced Capital 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
o BlackRock Total Return Portfolio
Annual Report
December 31, 2007
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A Letter to Shareholders
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Dear Shareholder
Financial markets endured heightened volatility during 2007, culminating in
mixed results for some of the major benchmark indexes:
Total Returns as of December 31, 2007
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6-month 12-month
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U.S. equities (S&P 500 Index)....................... -1.37% + 5.49%
Small cap U.S. equities
(Russell 2000 Index)............................ -7.53% - 1.57%
International equities (MSCI Europe,
Australasia, Far East Index).................... +0.39% +11.17%
Fixed income (Lehman Brothers U.S.
Aggregate Bond Index)........................... +5.93% + 6.97%
Tax-exempt fixed income (Lehman
Brothers Municipal Bond Index).................. +3.22% + 3.36%
High yield bonds (Lehman Brothers
U.S. Corporate High Yield 2%
Issuer Cap Index)............................... -0.67% + 2.27%
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Past performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.
Subprime mortgage woes dominated headlines for much of 2007, spawning a
widespread liquidity and credit crisis with ramifications across global markets.
The Federal Reserve Board (the "Fed") stepped in to inject liquidity into the
markets and bolster investor confidence, cutting the federal funds rate by 0.50%
in September, 0.25% in October and 0.25% in December, which brought the target
short-term interest rate to 4.25%. In taking action, the central bankers, who
had long deemed themselves inflation fighters, were seeking to stem the fallout
from the credit crunch and forestall a wider economic unraveling.
Amid the volatility, equity markets displayed surprising resilience. Market
fundamentals generally held firm, dividend payouts and share buybacks continued,
and valuations remained attractive. To some extent, the credit turmoil dampened
corporate merger-and-acquisition (M&A) activity, a key source of strength for
equity markets, but 2007 remained a record year for global M&A nonetheless. As
the returns indicate, the most recent six months were more trying, reflecting
the slowing U.S. economy, a troubled housing market and a more difficult
corporate earnings backdrop. Overall, large cap stocks outperformed small caps
as investors grew increasingly risk averse. International markets fared better
than their U.S. counterparts, benefiting from generally stronger economies.
In fixed income markets, mixed economic signals and subprime fallout resulted in
a flight to quality. Investors shunned bonds associated with the housing and
credit markets in favor of higher-quality Treasury issues. The yield on 10-year
Treasury issues, which touched 5.30% in June (its highest level in five years),
fell to 4.04% by year-end, while prices correspondingly rose. The tax-exempt
bond market waffled amid the economic uncertainty and concerns around the credit
worthiness of bond insurers, but set a new-issuance record in 2007. A drop in
municipal bond prices created buying opportunities, and the heightened supply
was generally well absorbed.
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 2007 and our 10 predictions for 2008, please ask your financial
professional for a copy of "What's Ahead in 2008: An Investment Perspective," or
view it online at www.blackrock.com/funds. As always, we thank you for
entrusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the new year and beyond.
Sincerely,
/s/ Rob Kapito
Rob Kapito
President, BlackRock Advisors, LLC
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BlackRock Series Fund, Inc.
Portfolio Management Commentary
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BlackRock Balanced Capital Portfolio
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How did the Portfolio perform?
o The Portfolio posted a +5.64% return for the year ended December 31, 2007,
while the Portfolio's benchmarks, the S&P 500 Index and the Lehman
Brothers U.S. Aggregate Bond Index, posted returns of +5.49% and +6.79%,
respectively. Asset allocation proved unfavorable, and bonds
underperformed their benchmark while equities outpaced the S&P 500 Index.
What factors influenced performance?
o Within the equity portfolio, our underweight position and good stock
selection in financials was the primary contributor to performance. We
benefited from strong performance in The Bank of New York Mellon Corp. and
Prudential Financial, Inc., and from avoiding many of the troubled bank
and brokerage stocks. Good stock selection in the energy sector also aided
results, led by Murphy Oil Corp. and Weatherford International Ltd. These
areas of strength more than offset poor stock selection in information
technology (IT), with particular weakness in Micron Technology, Inc. and
Sun Microsystems, Inc. and our avoidance of strong-performing Apple Inc.
and Google, Inc. An underweight in utilities also impaired performance, as
this was one of the market's strongest sectors in 2007.
o Within the fixed income portfolio, an overweight to mortgage-related
securities detracted from performance, while an underweighting and good
security selection among corporate bonds proved advantageous.
Describe recent Portfolio activity.
o Within the equity portfolio, we increased our overweight position in IT
and altered several individual positions within the sector. We reduced
holdings in Accenture Ltd., Applied Materials, Inc., Juniper Networks,
Inc. and Sun Microsystems on relative price strength, added to positions
in Hewlett-Packard Co., Intersil Corp., Microsoft Corp. and Yahoo! Inc.,
and established positions in Broadcom Corp., Micron Technology and Texas
Instruments, Inc. We believe these companies' financial strength,
international exposure and promising new product cycles should prove
beneficial amid the current market uncertainty.
o We reduced exposure to financials, concentrating on companies we believe
have sound competitive positions and in whose managements we have high
confidence. We trimmed positions in Citigroup, Inc. and ACE Ltd. and
eliminated Genworth Financial, Inc., Fannie Mae and Wells Fargo & Co.,
while adding to American International Group, Inc., JPMorgan Chase & Co.
and Prudential Financial, Inc.. We increased exposure to health care,
largely by adding to positions in Bristol-Myers Squibb Co., Pfizer, Inc.
and Wyeth.
o Within fixed income, we increased exposure to high-quality bonds in the
residential and commercial mortgage markets as credit spreads widened. We
also reduced our underweighting to the corporate market through selected
additions there.
Describe Portfolio positioning at period-end.
o As a percentage of total investments, the Portfolio ended the year
invested 52.4% in equities, 45.3% in fixed income and 2.3% in cash
equivalents.
o While uncertainty over the pace of economic and corporate earnings growth
is likely to persist in early 2008, we view the associated decline in
share prices opportunistically and will look to increase our exposure to
equities in general and cyclical stocks in particular. As expectations and
valuations continue to fall, we see an attractive opportunity to purchase
shares in above-average companies with strong competitive positions,
favorable financial characteristics and solid managements at or near
record-low valuations. Bonds, meanwhile, look increasingly expensive as
interest rates are low and inflation-adjusted yields are well below
historical averages, limiting their return potential.
2
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BlackRock Fundamental Growth Portfolio
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How did the Portfolio perform?
o The Portfolio significantly outperformed the benchmark S&P 500 Citigroup
Growth Index and the broader S&P 500 Index for the fiscal year ended
December 31, 2007 with a return of +19.83% compared to returns of +9.13%
and +5.49% for the Indexes, respectively.
What factors influenced performance?
o The past year was a volatile one for equities, with the slowdown in U.S.
housing and turmoil in the subprime mortgage market touching off
implications across global markets. An investor flight to quality ensued,
ultimately benefiting larger-cap, growth-oriented stocks, which
outperformed their smaller-cap and value-oriented counterparts.
o The Portfolio's outperformance of its benchmark is attributed primarily to
successful security selection. In addition, market conditions favored the
Portfolio's large-cap growth style positioning, especially in the second
half of the year. Holdings within the materials, health care and financial
sectors were particularly favorable. Names that contributed to performance
included Intuitive Surgical, Inc., Monsanto Co., National Oilwell Varco,
Inc., Google, Inc. and Jacobs Engineering Group, Inc.
o An underweight to consumer staples was marginally negative in the period,
as was certain stock selection in the consumer discretionary sector.
Particular names that detracted from performance included Akamai
Technologies, Inc., Comcast Corp., Starbucks Corp. and Zimmer Holdings,
Inc. An underweight in Exxon Mobil Corp. also detracted.
Describe recent Portfolio activity.
o Most notably, we reduced exposure to the consumer discretionary sector in
2007, while adding to select consumer staples holdings. Portfolio exposure
to the financials sector also was reduced, while health care and
industrials holdings were increased.
Describe Portfolio positioning at period-end.
o In our view, concerns over conditions in the credit and financing markets
are certain to have an ongoing negative impact on the U.S. housing market.
This may, in turn, have an adverse affect on consumer spending, resulting
in an eventual drag on the economy. At the same time, most other global
economies continue to experience strong rates of growth, providing some
balance to the overall global demand picture. Taken together, we are more
cautious in our outlook and continue to monitor market conditions to
determine if they may pose a more serious threat to economic growth in
2008.
o Although this current environment may challenge broader market earnings
growth over time, we believe it should provide a relatively attractive
investment environment for select larger company growth stocks going
forward. At the end of the period, the Portfolio had overweight positions
in the materials, industrials, health care and consumer staples sectors,
while maintaining underweights in the energy and consumer discretionary
sectors.
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BlackRock Global Allocation Portfolio
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How did the Portfolio perform?
o The Portfolio significantly outperformed its Reference Portfolio and the
all-equity benchmark for the fiscal year ended December 31, 2007, as the
Portfolio returned +17.96%, exceeding the +10.30% return of its Reference
Portfolio and +11.32% return of the broad-based, all-equity benchmark, the
Financial Times Stock Exchange (FTSE) World Index. The Portfolio invests
in both equities and bonds; therefore, the Reference Portfolio provides a
truer representation of the Portfolio's composition and a more comparable
means for measurement.
What factors influenced performance?
o The Portfolio's outperformance is largely attributed to its underweight
and stock selection in the U.S., along with favorable overweights in India
and Brazil. Overweights and strong stock selection in Asia (ex-Japan),
notably China, Hong Kong, South Korea and Singapore, also contributed to
returns.
o From a sector perspective, the Portfolio's overweights in energy,
industrials and materials, and underweight in financials, coupled with
favorable stock selection within all of these sectors, enhanced returns.
o Within the fixed income portfolio, performance benefited from investments
in both nominal U.S. Treasury issues and U.S. Treasury Inflation Protected
3
Securities (TIPS), as a flight to quality in the fixed income markets
resulted in the increase of U.S. government bond prices. An underweight to
European and Asian sovereign debt also proved advantageous.
o Detracting moderately from the Portfolio's relative performance was its
overweight position in Japanese equities, as Japan's equity markets
declined, and stock selection in the information technology and
telecommunication services sectors.
Describe recent Portfolio activity.
o During the year, the Portfolio's overall equity allocation increased
modestly from 55% of net assets to 57%. Within equities, increases in
North America (+6.2%) were partially offset by decreases in European
(-3.0%) and Asian (-1.3%) equities.
o On a sector basis, weightings were increased in materials (+3.0%), energy
(+2.3%) and consumer staples (+1.3%), while weightings were decreased in
financials (-3.2%), telecommunication services (-0.8%) and consumer
discretionary (-0.7%).
o The Portfolio's allocation to fixed income increased from 32% of net
assets to 34%, mainly due to increases in Asian (+1.4%) and European
(+1.3%) bonds. Reflecting the above changes, the Portfolio's cash
equivalent holdings decreased from 13% of net assets to 9%.
Describe Portfolio positioning at period-end.
o Compared to its Reference Portfolio, the Portfolio ended the period
moderately underweight equities (-2.6%), underweight fixed income (-5.8%)
and, consequently, overweight cash equivalents (+8.4%).
o Within the equity segment, the Portfolio is significantly underweight U.S.
stocks (-10.8%), overweight Asia (+9.7%), notably Japan, and slightly
underweight Europe (-2.9%). On a sector basis, the Portfolio is overweight
materials (+3.0%), energy (+2.3%), industrials (+1.5%) and
telecommunication services (+0.9%). The Portfolio's largest sector
underweights include consumer discretionary (-2.8%), information
technology (-2.1%), financials (-1.8%) and health care (-0.8%).
o The Portfolio remains underweight in fixed income, as yields appear
unattractive relative to the risks of higher inflation and higher
long-term interest rates. As for currency exposure, the Portfolio is
significantly underweight the U.S. dollar (-15.0%), moderately underweight
the British pound (-3.4%) and the euro (-2.5%), and overweight the
Japanese yen (+4.3%), Brazilian real (+3.3%), Swiss franc (+3.2%) and
several Asian currencies, including the Indian rupee (+2.3%) and the
Singapore dollar (+1.7%).
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BlackRock Government Income Portfolio
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How did the Portfolio perform?
o The Portfolio underperformed its benchmark for the fiscal year ended
December 31, 2007, as the Portfolio returned +5.32% as compared to the
+8.34% return of its composite index (50% Lehman Brothers Mortgage-Backed
Securities Index and 50% Merrill Lynch U.S. Treasury Securities).
What factors influenced performance?
o Financial markets were highly volatile during the year as fears spread
about which investments might have exposure to the troubled subprime
mortgage market. The liquidity of mortgage-backed securities began drying
up, which led to a wider liquidity crisis as banks restricted their
short-term lending. Fundamentally, most spread product remained fairly
sound, but the lack of buyers caused spreads to widen as investors fled to
the safety of Treasury issues.
o The Portfolio focuses its investment on high-quality spread product
(mortgage-backed securities, asset-backed securities and other structured
products that generally have higher yield potential and less correlation
to Treasuries). These overweight positions hurt performance amid the
underlying backdrop. Despite our conservative, high-quality bias, the
underweight to Treasuries resulted in underperformance relative to the
benchmark. As the year progressed, the markets began to acknowledge the
difference in quality among mortgage assets. We expect this decoupling to
continue over the coming months, and believe the Portfolio is positioned
to benefit from its allocations to high-quality spread product.
o The primary driver of positive performance for the Portfolio was our yield
curve steepening bias, a strategy that proved advantageous as short-term
rates fell more than long-term rates, causing the yield curve to steepen.
Describe recent Portfolio activity.
o The main activity in the period was a movement from generic agency
mortgage-backed securities (MBS) into high-quality non-agency MBS. Given
the extreme widening in credit spreads seen across mortgage
4
assets, irrespective of quality, we were able to make purchases at
attractive prices. As the market heals, we believe these securities will
benefit the Portfolio, even in a depressed housing market.
o We also increased the Portfolio's Treasury holdings, given our concerns
about a further downturn in the economy.
Describe Portfolio positioning at period-end.
o At period-end, the Portfolio had a long duration relative to its benchmark
and a yield curve steepening bias. Given our relatively negative view on
the economy, the housing market and the lowest-quality mortgage assets, we
believe aggressive Federal Reserve interest rate cuts will be warranted in
the short term. This should cause a continued fall in interest rates, led
by the short end of the yield curve.
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BlackRock High Income Portfolio
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How did the Portfolio perform?
o The Portfolio's return for the fiscal year ended December 31, 2007
compared favorably to that of its benchmark, as the Portfolio returned
+2.75% compared to the return of +2.65% for the Credit Suisse High Yield
Index and +2.27% for the Lehman Brothers U.S. Corporate High Yield 2%
Issuer Cap Index.
What factors influenced performance?
o Financial markets were highly volatile, particularly in the second half of
the year as fears spread about which investments might have exposure to
the troubled subprime mortgage market. The liquidity of mortgage-backed
securities began drying up, which led to a wider liquidity crisis as banks
restricted their short-term lending. The Federal Reserve Board (the "Fed")
and other countries' central banks stepped in to inject liquidity into the
markets and bolster investor confidence. The Fed cut its target short-term
interest rate from 5.25% to 4.25% between September and year-end in an
effort to offset deteriorating credit conditions in the housing market and
help prevent any negative spillover in the economy.
o After a strong start to the year, the flight to safety that accompanied
the market turmoil hurt the high yield sector, while benefiting Treasury
issues. The Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index
posted a return of +2.27% for the full year, and -0.67% for the latter six
months.
o Good security selection in the media (non-cable) sector and our
underweight position in this sector toward the end of the year was a large
contributor to Portfolio performance. Our underweight position in home
construction contributed as well, and our position in Freeport-McMoRan
Copper & Gold, Inc. helped us to outperform in the metals sector. Finally,
an overweight position in aerospace benefited Portfolio results as this
sector improved toward the end of the year.
o Our timing in underweighting the health care sector near the end of the
year (as its performance improved), combined with poor security-specific
performance, was the largest detractor from Portfolio performance. In
addition, security selection in consumer products, specifically a position
in True Temper Sports, Inc., negatively impacted performance.
Describe recent Portfolio activity.
o Over the year, the Portfolio became slightly more defensive. We reduced
certain higher-risk overweights such as health care, metals and
entertainment. We also increased our underweight position in financials
and added slightly to the Portfolio's cash allocation.
Describe Portfolio positioning at period-end.
o Relative to its benchmark, the Portfolio ended the year underweight in
financials, home construction and consumer-related sectors. The Portfolio
stands ready to take advantage of oversold sectors, while remaining
positioned for the possibility of further market turbulence during 2008.
5
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BlackRock Large Cap Core Portfolio
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How did the Portfolio perform?
o The Portfolio generated strong absolute returns and outperformed its
benchmark, the Russell 1000 Index, for the fiscal year ended December 31,
2007, as the Portfolio had a total return of +8.29% compared to the
benchmark's return of +5.77%.
What factors influenced performance?
o Broadly speaking, strong performance generated by asset allocation
decisions was partially offset by disappointing stock selection results.
The combination of allocation and stock selection in financials, materials
and health care, along with stock selection in consumer discretionary,
contributed to performance. Stock selection in consumer staples and
information technology yielded disappointing returns.
o Within financials, the Portfolio is significantly underweight the
benchmark, notably in banks, thrifts & mortgage finance and real estate
investment trusts (REITs). Within materials, the Portfolio is overweight
in metals, and within health care, overweight in providers & services.
These allocation decisions contributed positively to the Portfolio's
strong relative performance. Stock selection within health care was
positive, as our longstanding preference for service providers over
product companies continued to generate alpha. The biggest individual
contributors to performance were Citigroup, Inc., Southern Copper Corp.,
Monsanto Co., The Mosaic Co., Express Scripts, Inc., Medco Health
Solutions, Inc. and GameStop Corp.
o Within industrials, our underweight position offset favorable results from
stock selection. Similarly, positive results generated by overweighting
energy and information technology were offset by poor stock selection,
most notably in semiconductors and computers & peripherals.
o Stock selection and an underweight position in consumer staples hindered
performance. The largest individual detractors were Continental Airlines,
Inc., Integrated Device Technology, Inc. and Teradyne, Inc. Additionally,
lack of ownership of richly valued Google, Inc. and Apple Inc. in the
early part of the reporting period hindered relative returns. In
retrospect, our valuation discipline hurt results in the back half of the
year when "growth at any price" was a winning strategy.
Describe recent Portfolio activity.
o During the period, we increased the Portfolio's exposure to the
industrials and health care sectors. The largest purchases included
American International Group, Inc. ConocoPhillips, UnitedHealth Group,
Inc., Eli Lilly & Co. and Dell, Inc.
o We reduced exposure to financials, consumer discretionary and consumer
staples. The largest sales included Citigroup, Johnson & Johnson,
Schering-Plough Corp. and United States Steel Corp.
Describe Portfolio positioning at period-end.
o Relative to its benchmark, the Portfolio ended the year overweight in
information technology, health care and energy, and underweight in
financials, consumer staples, utilities and telecommunication services.
o We believe stocks are now more susceptible to economic and earnings
disappointments than during the initial stages of the Federal Reserve
Board's (the "Fed") easing cycle. However, we believe more monetary relief
should be in the pipeline, as economic conditions warrant further
stimulus. Importantly, we do not believe inflation stands in the way of
more Fed interest rate cuts. As the economic data worsens, reflation
should strengthen as the dominant market force, setting the stage for
higher valuations.
6
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BlackRock Total Return Portfolio
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How did the Portfolio perform?
o The Portfolio underperformed the benchmark for the fiscal year ended
December 31, 2007, as the Portfolio had a total return of +4.47% compared
to the +6.97% return for the Lehman Brothers U.S. Aggregate Bond Index.
What factors influenced performance?
o One of largest detractors from performance was our overweight to
high-quality spread assets, particularly AAA-rated commercial
mortgage-backed securities (CMBS), as well as agency mortgage
pass-throughs, asset-backed securities (ABS) and other mortgage-related
product. Despite their high quality, these assets suffered amid fallout
from the subprime mortgage scare. Generalized concerns over the mortgage
market, coupled with lack of liquidity and the liquidation by investors of
all mortgage-related assets, caused the underperformance. Our exposure to
European government bonds and below-investment-grade bonds also hindered
the Portfolio's relative results for the year.
o On the positive side, an underweight exposure to corporate bonds, and
successful security selection within the corporate sector, benefited the
Portfolio's relative performance. In addition, we had positioned the
Portfolio for a steepening yield curve in the second half of the year, a
move that proved advantageous as short-term rates fell more than long-term
rates and the curve steepened. An underweight in agency debentures
benefited the Portfolio as well.
Describe recent Portfolio activity.
o On December 10, 2007, the Portfolio changed its name from BlackRock Bond
Portfolio to BlackRock Total Return Portfolio. As of the same date, with
shareholder approval, the Portfolio changed its investment objective to
the following: to maximize total return, consistent with income generation
and prudent investment management.
o As spread sectors underperformed across the fixed income markets, we used
this as an opportunity to increase exposure to high-quality mortgage
product, moving from an underweight position in mortgages at the start of
2007 to a significant overweight by year-end. In addition, during late
third quarter-early fourth quarter, we started to decrease our underweight
to investment-grade corporate bonds as the valuations of lower-quality
assets began to appear more attractive.
o We maintained the yield curve steepening bias, but kept duration
relatively close to that of the index. We had a small allocation to
below-investment-grade securities and global government bonds.
Specifically, we had a roughly 2% allocation to high yield assets
throughout the year, and maintained positions in European government bonds
and the Japanese yen.
Describe Portfolio positioning at period-end.
o At year-end, the Portfolio was underweight in U.S. Treasury issues, U.S.
agency securities and corporate securities, although we closed the gap in
the corporate sector somewhat. The Portfolio maintained its notable
overweights in high-quality, short-duration spread product, including
mortgage pass-through securities, CMBS and ABS. In general, we find
high-quality spread-related assets to be an attractive investment,
offering yields beyond those provided by Treasury securities alone but
without the risk associated with corporate bonds. Although some areas of
the corporate market are attractive, lingering concerns about the economy
cause us to be less positive on corporate credit overall.
7
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BlackRock Series Fund, Inc.
Performance Information
As of December 31, 2007
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Recent Performance Results*
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6-Month 12-Month
Total Total Standardized
Return Return 30-Day Yield
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BlackRock Balanced Capital Portfolio - 0.51% + 5.64% --
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BlackRock Fundamental Growth Portfolio +11.76 +19.83 --
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BlackRock Global Allocation Portfolio + 8.94 +17.96 --
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BlackRock Government Income Portfolio + 5.56 + 4.66 5.30%
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BlackRock High Income Portfolio - 0.89 + 2.75 9.07
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BlackRock Large Cap Core Portfolio + 1.71 + 8.29 --
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BlackRock Total Return Portfolio + 4.48 + 4.47 4.94
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=========================================================================================================
Average Annual Total Returns*
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One Five Years Ten Years
Year Ended Ended Ended
12/31/07 12/31/07 12/31/07
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BlackRock Balanced Capital Portfolio + 5.64% +10.65% +5.49%
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BlackRock Fundamental Growth Portfolio +19.83 +13.44 +6.97
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BlackRock Global Allocation Portfolio +17.96 +18.84 +9.16
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BlackRock Government Income Portfolio + 4.66 + 3.71 +5.39
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BlackRock High Income Portfolio + 2.75 + 9.76 +4.07
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BlackRock Large Cap Core Portfolio + 8.29 +17.03 +8.21
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BlackRock Total Return Portfolio + 4.47 + 4.04 +5.30
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* 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.
8
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BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment
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BlackRock Balanced Capital Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock Lehman Brothers
Balanced Capital S&P 500(R) U.S. Aggregate
Date Portfolio+ Index++ Bond Index+++
---- ---------------- ------- ---------------
12/97 10,000 10,000 10,000
12/98 11,083 12,858 10,869
12/99 13,322 15,563 10,779
12/00 12,667 14,146 12,033
12/01 11,812 12,465 13,049
12/02 10,289 9,710 14,387
12/03 12,478 12,495 14,977
12/04 13,557 13,855 15,627
12/05 14,161 14,536 16,007
12/06 16,156 16,832 16,700
12/07 17,068 17,756 17,864
+ 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. S&P 500 is
a registered trademark of the McGraw-Hill Companies.
+++ 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.
9
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BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Continued)
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BlackRock Fundamental Growth Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Fundamental S&P 500
Date Growth Portfolio+ Index++
---- ----------------- -------
12/97 10,000 10,000
12/98 13,818 12,858
12/99 19,205 15,563
12/00 17,980 14,146
12/01 14,597 12,465
12/02 10,441 9,710
12/03 13,446 12,495
12/04 14,455 13,855
12/05 15,621 14,536
12/06 16,368 16,832
12/07 19,613 17,756
+ 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.
BlackRock Global Allocation Portfolio
[The following information was depicted as a line chart in the printed material]
BlackRock
Global
Allocation FTSE World Reference
Date Portfolio+ Index++ Portfolio+++
---- ----------- ---------- ------------
12/97 10,000 10,000 10,000
12/98 10,949 12,304 11,988
12/99 13,288 15,503 13,578
12/00 12,036 13,785 12,989
12/01 11,022 11,560 11,977
12/02 10,139 9,356 11,286
12/03 13,712 12,529 13,907
12/04 15,729 14,540 15,517
12/05 17,430 16,187 16,161
12/06 20,374 19,661 18,382
12/07 24,033 21,886 20,275
+ 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.
10
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Continued)
================================================================================
BlackRock Government Income Portfolio
[The following information was depicted as a line chart in the printed material]
50%
Lehman Brothers
Mortgage-Backed
Securities Index Lehman
& 50% Brothers
BlackRock Merrill Lynch Citigroup Mortgage- Merrill Lynch
Government 10-Year U.S. Government/ Backed 10-Year U.S.
Income Treasury Mortgage Securities Treasury
Date Portfolio+ Securities++ Index+++ Index Securities
---- ----------- ---------------- ----------- ---------- -------------
12/97 10,000 10,000 10,000 10,000 10,000
12/98 10,892 10,986 10,696 10,876 11,277
12/99 10,757 10,624 10,894 10,811 10,346
12/00 12,006 12,006 12,110 12,145 11,884
12/01 12,837 12,757 13,106 13,079 12,390
12/02 14,093 14,251 14,252 14,412 14,201
12/03 14,410 14,576 14,690 14,810 14,388
12/04 15,006 15,274 15,380 15,422 15,083
12/05 15,523 15,628 15,782 15,839 15,383
12/06 16,159 16,142 16,607 16,514 15,592
12/07 16,912 17,488 17,753 17,815 17,114
+ 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.
++ The Portfolio now compares its performance to that of a customized
weighted index comprised of the returns of the Lehman Brothers
Mortgage-Backed Securities Index (50%) and the Merrill Lynch 10-Year U.S.
Treasury Index (50%). The Portfolio now uses this index as its benchmark
because it better reflects the Portfolio's investment strategies. The
Lehman Brothers Mortgage-Backed Securities Index is a widely recognized
unmanaged index that includes the mortgage-backed pass through securities
of the Government National Mortgage Association, the Federal National
Mortgage Association and the Federal Home Loan Mortgage Corporation that
meet certain maturity and liquidity criteria. The Merrill Lynch 10-Year
U.S. Treasury Index is a widely recognized unmanaged one security index
that consists of the current "on-the-run" 10-Year Treasury issue.
Performance of the index does not reflect the deduction of fees, expenses
or taxes.
+++ 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.
BlackRock High Income Portfolio
[The following information was depicted as a line chart in the printed material]
Lehman Brothers
U.S. Corporate
BlackRock Credit Suisse High Yield
High Income High Yield 2% Issuer
Date Portfolio+ Index++ Cap Index+++
---- ----------- ------------- ---------------
12/97 10,000 10,000 10,000
12/98 9,485 10,058 10,187
12/99 10,041 10,388 10,430
12/00 9,524 9,847 9,826
12/01 9,685 10,418 10,363
12/02 9,354 10,741 10,338
12/03 11,624 13,742 13,313
12/04 13,026 15,385 14,796
12/05 13,306 15,733 15,204
12/06 14,500 17,608 16,839
12/07 14,899 18,074 17,221
+ 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.
+++ This unmanaged index is comprised of issues that meet the following
criteria: at least $150 million par value outstanding; maximum credit
rating of Ba1; at least one year to maturity; and no issuer represents
more than 2% of the index. The Portfolio now uses this index as its
benchmark because it better reflects the Portfolio's investment
strategies. Performance of the index does not reflect the deduction of
fees, expenses or taxes.
Past performance is not indicative of future results.
11
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Total Investment Return Based on a $10,000 Investment (Concluded)
================================================================================
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++
---- ---------- ---------------
12/97 10,000 10,000
12/98 11,556 12,702
12/99 15,211 15,359
12/00 13,710 14,162
12/01 12,344 12,399
12/02 10,030 9,714
12/03 13,292 12,618
12/04 15,571 14,057
12/05 17,671 14,938
12/06 20,332 17,248
12/07 22,018 18,243
+ 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.
BlackRock Total Return Portfolio
BlackRock Lehman Brothers
Total Return U.S. Aggregate
Date Portfolio+ Bond Index++
---- ------------ ---------------
12/97 10,000 10,000
12/98 10,842 10,869
12/99 10,589 10,779
12/00 11,601 12,033
12/01 12,507 13,049
12/02 13,749 14,387
12/03 14,427 14,977
12/04 15,071 15,627
12/05 15,374 16,007
12/06 16,045 16,700
12/07 16,762 17,864
+ Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses. BlackRock Total Return Portfolio normally invests at least 80%
of its net assets in fixed income securities 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.
12
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Disclosure of Expenses
================================================================================
Shareholders of each Portfolio may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees and other Portfolio
expenses. The expense example below (which is based on a hypothetical investment
of $1,000 invested on July 1, 2007 and held through December 31, 2007) is
intended to assist shareholders both in calculating expenses based on an
investment in each Portfolio and in comparing these expenses with similar costs
of investing in other mutual funds.
The table provides information about actual account values and actual expenses.
In order to estimate the expenses a shareholder paid during the period covered
by this report, shareholders' can divide their account value by $1,000 and then
multiply the result by the number in the first line under the heading entitled
"Expenses Paid During the Period."
The table also provides information about hypothetical account values and
hypothetical expenses based on each Portfolio's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in 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 hypothetical 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, 2007 to Expense
Actual July 1, 2007 December 31, 2007 December 31, 2007 Ratio
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio $1,000 $ 994.90 $2.07 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio $1,000 $1,117.60 $2.25 .42%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio $1,000 $1,089.40 $2.75 .52%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio
(excluding interest expense) $1,000 $1,055.60 $2.59 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio
(including interest expense) $1,000 $1,055.60 $2.80 .54%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio $1,000 $ 991.10 $2.51 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio $1,000 $1,017.10 $2.25 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Money Market Portfolio $1,000 $1,050.40 $2.12 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Total Return Portfolio
(excluding interest expense) $1,000 $1,044.80 $2.47 .48%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Total Return Portfolio
(including interest expense) $1,000 $1,044.80 $2.53 .49%
- ------------------------------------------------------------------------------------------------------------------------------
==============================================================================================================================
Hypothetical (5% annual return
before expenses)**
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio $1,000 $1,023.22 $2.10 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio $1,000 $1,023.17 $2.15 .42%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Global Allocation Portfolio $1,000 $1,022.66 $2.67 .52%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio
(excluding interest expense) $1,000 $1,022.68 $2.55 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Government Income Portfolio
(including interest expense) $1,000 $1,022.48 $2.75 .54%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock High Income Portfolio $1,000 $1,022.68 $2.55 .50%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio $1,000 $1,023.07 $2.26 .44%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Money Market Portfolio $1,000 $1,023.13 $2.09 .41%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Total Return Portfolio
(excluding interest expense) $1,000 $1,022.78 $2.45 .48%
- ------------------------------------------------------------------------------------------------------------------------------
BlackRock Total Return Portfolio
(including interest expense) $1,000 $1,022.73 $2.50 .49%
- ------------------------------------------------------------------------------------------------------------------------------
* Expenses for each Portfolio are equal to the annualized expense ratio,
multiplied by the average account value over the period, multiplied by
185/365 for BlackRock Balanced Capital Portfolio, BlackRock Fundamental
Growth Portfolio, BlackRock Global Allocation Portfolio and BlackRock
Large Cap Core Portfolio, and 184/365 for BlackRock Government Income
Portfolio, BlackRock High Income Portfolio, BlackRock Money Market
Portfolio and BlackRock Total Return 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.
13
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2007
================================================================================
Percent of
Long-Term
Asset Mix for BlackRock Balanced Capital Portfolio Investments
- --------------------------------------------------------------------------------
Common Stocks ..................................................... 52.8%
U.S. Government Agency Mortgage-Backed Securities ................. 23.6
Non-U.S. Government Agency Mortgage-Backed Securities ............. 8.0
Corporate Bonds ................................................... 6.2
U.S. Government Obligations ....................................... 3.5
Asset-Backed Securities ........................................... 3.5
U.S. Government Agency Mortgage-Backed Securities --
Collateralized Mortgage Obligations ............................. 1.3
Preferred Securities .............................................. 0.9
Foreign Government Obligations .................................... 0.2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Long-Term
Sector Representation for BlackRock Fundamental Growth Portfolio Investments
- --------------------------------------------------------------------------------
Information Technology ............................................ 27.2%
Health Care ....................................................... 17.1
Industrials ....................................................... 13.6
Consumer Staples .................................................. 13.4
Energy ............................................................ 7.7
Materials ......................................................... 7.7
Financials ........................................................ 6.5
Consumer Discretionary ............................................ 5.8
Telecommunication Services ........................................ 1.0
- --------------------------------------------------------------------------------
For Portfolio compliance purposes, the Portfolio's sector classifications refer
to any one or more of the sector sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by
Portfolio management. This definition may not apply for purposes of this report,
which may combine sector sub-classifications for reporting ease.
- --------------------------------------------------------------------------------
Reference
Asset Allocation for Percent of Portfolio+
BlackRock Global Allocation Portfolio Net Assets Percentages
- --------------------------------------------------------------------------------
U.S. Equities......................................... 25.0%* 36.0%
European Equities..................................... 10.7* 14.4
Pacific Basin Equities................................ 16.9* 7.4
Other Equities........................................ 4.7 2.2
Total Equities........................................ 57.3 60.0
U.S. Dollar Denominated Fixed Income Securities....... 23.6 24.0
U.S. Issuer......................................... 19.8 --
Non-U.S. Issuer..................................... 3.8 --
Non-U.S. Dollar Denominated Fixed Income Securities... 10.6 16.0
Total Fixed Income Securities......................... 34.2 40.0
Cash & Cash Equivalents............................... 8.5** --
- --------------------------------------------------------------------------------
* 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.).
14
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2007 (Continued)
================================================================================
Percent of
Long-Term
Asset Mix for BlackRock Government Income Portfolio Investments
- --------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities .................. 61.4%
U.S. Government Obligations ........................................ 15.8
U.S. Government Agency Mortgage-Backed Securities --
Collateralized Mortgage Obligations .............................. 13.4
Non-Government Agency Mortgage-Backed Securities ................... 9.4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Quality Ratings by S&P/Moody's Ratings for Long-Term
BlackRock High Income Portfolio Investments
- --------------------------------------------------------------------------------
A/A ................................................................ 0.4%
BBB/Baa ............................................................ 2.2
BB/Ba .............................................................. 24.8
B/B ................................................................ 49.3
CCC/Caa ............................................................ 20.0
NR (Not Rated) ..................................................... 1.9
Other* ............................................................. 1.4
- --------------------------------------------------------------------------------
* Includes portfolio holdings in floating rate loan interests, common stocks
and preferred stocks.
- --------------------------------------------------------------------------------
Percent of
Long-Term
Sector Representation for BlackRock Large Cap Core Portfolio Investments
- --------------------------------------------------------------------------------
Information Technology ............................................. 26.3%
Health Care ........................................................ 20.2
Energy ............................................................. 18.6
Industrials ........................................................ 12.1
Consumer Discretionary ............................................. 8.3
Financials ......................................................... 7.4
Materials .......................................................... 4.8
Consumer Staples ................................................... 1.5
Telecommunication Services ......................................... 0.8
- --------------------------------------------------------------------------------
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.
15
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Portfolio Information as of December 31, 2007 (Concluded)
================================================================================
As of As of
Portfolio Composition* for BlackRock Money Market Portfolio+ 12/31/07 12/31/06
- --------------------------------------------------------------------------------
Bank Notes.................................................. -- 1.7%
Certificates of Deposit..................................... 8.7% 5.0
Certificates of Deposit -- Yankee........................... 22.4 3.0
Commercial Paper............................................ 54.0 63.6
Corporate Bonds............................................. 6.7 --
Funding Agreements.......................................... 3.0 7.4
Medium-Term Notes........................................... -- 9.6
Repurchase Agreements....................................... 5.2 2.5
U.S. Government, Agency and Instrumentality
Obligations -- Non-Discount............................... -- 7.1
* As a percent of net assets.
+ Total may not equal 100%.
- --------------------------------------------------------------------------------
As of
12/31/07
- --------------------------------------------------------------------------------
BlackRock Money Market Portfolio's Current Seven-Day Yield ......... 4.74%
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------------
Percent of
Long-Term
Asset Mix for BlackRock Total Return Portfolio Investments
- --------------------------------------------------------------------------------
U.S. Government Agency Mortgage-Backed Securities .................. 44.1%
Non-U.S. Government Agency Mortgage-Backed Securities .............. 21.5
Corporate Bonds .................................................... 13.1
Asset-Backed Securities ............................................ 12.0
U.S. Government Agency Mortgage-Backed Securities --
Collateralized Mortgage Obligations .............................. 4.3
U.S. Government & Agency Obligations ............................... 2.8
Preferred Securities ............................................... 1.8
Foreign Government Obligations ..................................... 0.4
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Aerospace & Defense--2.7%
Honeywell International, Inc................. 160,000 $ 9,851,200
United Technologies Corp..................... 160,000 12,246,400
------------
22,097,600
- --------------------------------------------------------------------------------
Air Freight & Logistics--0.9%
FedEx Corp................................... 80,000 7,133,600
- --------------------------------------------------------------------------------
Automobiles--0.8%
Harley-Davidson, Inc......................... 145,000 6,772,950
- --------------------------------------------------------------------------------
Beverages--0.9%
Anheuser-Busch Cos., Inc..................... 145,000 7,589,300
- --------------------------------------------------------------------------------
Building Products--0.4%
Masco Corp................................... 160,000 3,457,600
- --------------------------------------------------------------------------------
Capital Markets--3.7%
The Bank of New York Mellon Corp............. 275,000 13,409,000
Legg Mason, Inc.............................. 90,000 6,583,500
Morgan Stanley............................... 180,000 9,559,800
------------
29,552,300
- --------------------------------------------------------------------------------
Chemicals--1.2%
E.I. du Pont de Nemours & Co................. 215,000 9,479,350
- --------------------------------------------------------------------------------
Communications Equipment--2.2%
Cisco Systems, Inc. (a)...................... 425,000 11,504,750
Juniper Networks, Inc. (a)................... 35,000 1,162,000
Motorola, Inc................................ 325,000 5,213,000
------------
17,879,750
- --------------------------------------------------------------------------------
Computers & Peripherals--3.8%
Hewlett-Packard Co........................... 250,000 12,620,000
International Business Machines Corp......... 100,000 10,810,000
Sun Microsystems, Inc. (a)................... 400,000 7,252,000
------------
30,682,000
- --------------------------------------------------------------------------------
Consumer Finance--0.3%
Discover Financial Services.................. 145,000 2,186,600
- --------------------------------------------------------------------------------
Diversified Financial Services--1.9%
Citigroup, Inc............................... 105,000 3,091,200
JPMorgan Chase & Co.......................... 285,000 12,440,250
------------
15,531,450
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--2.4%
AT&T Inc..................................... 215,000 8,935,400
Verizon Communications, Inc.................. 245,000 10,704,050
------------
19,639,450
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.4%
Tyco Electronics Ltd......................... 90,000 3,341,700
- --------------------------------------------------------------------------------
Energy Equipment & Services--2.9%
Schlumberger Ltd............................. 70,000 6,885,900
Transocean, Inc. ............................ 35,000 5,010,250
Weatherford International Ltd. (a)........... 170,000 11,662,000
------------
23,558,150
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.5%
Wal-Mart Stores, Inc......................... 90,000 4,277,700
- --------------------------------------------------------------------------------
Food Products--4.3%
Cadbury Schweppes Plc (b).................... 110,000 5,430,700
General Mills, Inc........................... 85,000 4,845,000
Nestle SA Registered Shares.................. 27,000 12,398,138
Unilever NV (b).............................. 325,000 11,849,500
------------
34,523,338
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--1.6%
Baxter International, Inc.................... 225,000 13,061,250
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.2%
AmerisourceBergen Corp....................... 35,000 1,570,450
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--1.6%
McDonald's Corp.............................. 215,000 12,665,650
- --------------------------------------------------------------------------------
Household Durables--0.7%
Sony Corp. (b)............................... 105,000 5,701,500
- --------------------------------------------------------------------------------
Household Products--1.6%
Kimberly-Clark Corp.......................... 190,000 13,174,600
- --------------------------------------------------------------------------------
IT Services--1.0%
Accenture Ltd. Class A....................... 235,000 8,467,050
- --------------------------------------------------------------------------------
Industrial Conglomerates--4.3%
3M Co........................................ 100,000 8,432,000
General Electric Co.......................... 360,000 13,345,200
Textron, Inc................................. 185,000 13,190,500
------------
34,967,700
- --------------------------------------------------------------------------------
Insurance--5.3%
ACE Ltd...................................... 180,000 11,120,400
American International Group, Inc............ 215,000 12,534,500
Prudential Financial, Inc.................... 125,000 11,630,000
RenaissanceRe Holdings Ltd................... 125,000 7,530,000
------------
42,814,900
- --------------------------------------------------------------------------------
Internet Software & Services--0.9%
Yahoo! Inc. (a).............................. 305,000 7,094,300
- --------------------------------------------------------------------------------
Machinery--1.0%
Dover Corp................................... 180,000 8,296,200
- --------------------------------------------------------------------------------
Media--1.8%
CBS Corp. Class B............................ 270,000 7,357,500
Comcast Corp. Special Class A (a)............ 215,000 3,895,800
Walt Disney Co............................... 90,000 2,905,200
------------
14,158,500
- --------------------------------------------------------------------------------
Metals & Mining--0.7%
Alcoa, Inc................................... 160,000 5,848,000
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--4.6%
Devon Energy Corp............................ 130,000 11,558,300
EnCana Corp.................................. 70,000 4,757,200
Exxon Mobil Corp............................. 75,000 7,026,750
Murphy Oil Corp.............................. 160,000 13,574,400
------------
36,916,650
- --------------------------------------------------------------------------------
Paper & Forest Products--0.9%
International Paper Co....................... 75,000 2,428,500
MeadWestvaco Corp............................ 145,000 4,538,500
------------
6,967,000
- --------------------------------------------------------------------------------
Pharmaceuticals--3.8%
Bristol-Myers Squibb Co...................... 375,000 9,945,000
Pfizer, Inc.................................. 125,000 2,841,250
Schering-Plough Corp......................... 250,000 6,660,000
Wyeth........................................ 260,000 11,489,400
------------
30,935,650
- --------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--2.1%
Applied Materials, Inc....................... 45,000 799,200
Broadcom Corp. Class A (a)................... 125,000 3,267,500
Intersil Corp. Class A....................... 285,000 6,976,800
Micron Technology, Inc. (a).................. 650,000 4,712,500
Texas Instruments, Inc....................... 35,000 1,169,000
------------
16,925,000
- --------------------------------------------------------------------------------
Software--2.6%
Electronic Arts, Inc. (a).................... 125,000 7,301,250
Microsoft Corp............................... 375,000 13,350,000
------------
20,651,250
- --------------------------------------------------------------------------------
Specialty Retail--0.7%
Home Depot, Inc.............................. 180,000 4,849,200
Limited Brands, Inc.......................... 36,000 681,480
------------
5,530,680
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost--$420,882,417)--64.7% 523,449,168
- --------------------------------------------------------------------------------
17
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Preferred Securities
- --------------------------------------------------------------------------------
Face
Capital Trusts Amount Value
- --------------------------------------------------------------------------------
Capital Markets--0.0%
Lehman Brothers Holdings Capital Trust V,
5.857% (c)(h).............................. USD 130,000 $ 115,862
- --------------------------------------------------------------------------------
Commercial Banks--0.1%
BAC Capital Trust VI, 5.625%
due 3/08/2035.............................. 335,000 286,116
Barclays Bank Plc, 5.926% (c)(d)(h).......... 325,000 302,407
USB Capital IX, 6.189% (c)(h)................ 375,000 339,380
-----------
927,903
- --------------------------------------------------------------------------------
Total Capital Trusts
(Cost--$1,131,180)--0.1% 1,043,765
- --------------------------------------------------------------------------------
================================================================================
Shares
Preferred Stocks Held
- --------------------------------------------------------------------------------
Commercial Banks--0.3%
Wachovia Corp. Series J, 8%.................. 100,000 2,530,000
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.6%
Fannie Mae:
8.25%...................................... 80,725 2,078,669
Series O, 7%............................... 20,800 958,751
Freddie Mac Series Z, 8.375%................. 57,900 1,514,085
-----------
4,551,505
- --------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$7,122,625)--0.9% 7,081,505
- --------------------------------------------------------------------------------
================================================================================
Face
Trust Preferreds Amount
- --------------------------------------------------------------------------------
Commercial Banks--0.0%
SunTrust Capital VIII, 6.10%
due 12/15/2036 (c)......................... 350,000 291,277
- --------------------------------------------------------------------------------
Total Trust Preferreds
(Cost--$344,337)--0.0% 291,277
- --------------------------------------------------------------------------------
Total Preferred Securities
(Cost--$8,598,142)--1.0% 8,416,547
- --------------------------------------------------------------------------------
================================================================================
Fixed Income Securities
- --------------------------------------------------------------------------------
Corporate Bonds
- --------------------------------------------------------------------------------
Aerospace & Defense--0.1%
Honeywell International, Inc.,
5.70% due 3/15/2036........................ 375,000 369,276
L-3 Communications Corp.:
5.875% due 1/15/2015....................... 220,000 212,300
Series B, 6.375% due 10/15/2015............ 12,000 11,820
-----------
593,396
- --------------------------------------------------------------------------------
Airlines--0.0%
American Airlines, Inc. Series 2003-1,
3.857% due 1/09/2012 (k)................... 201,602 191,270
- --------------------------------------------------------------------------------
Building Products--0.0%
Momentive Performance Materials, Inc.,
10.125% due 12/01/2014 (d)(i).............. 165,000 150,975
- --------------------------------------------------------------------------------
Capital Markets--1.8%
Bear Stearns Cos., Inc.:
5.599% due 7/19/2010 (c)...................... 350,000 328,927
6.95% due 8/10/2012........................ 950,000 976,790
6.40% due 10/02/2017....................... 475,000 458,926
Credit Suisse Guernsey Ltd., 5.86% (c)(h).... 1,070,000 957,862
Goldman Sachs Capital II, 5.793% (c)(h)...... 415,000 369,485
The Goldman Sachs Group, Inc.,
5.25% due 10/15/2013....................... 1,780,000 1,780,610
Lehman Brothers Holdings, Inc.:
6% due 7/19/2012........................... 740,000 753,493
6.75% due 12/28/2017....................... 775,000 798,792
Series I, 5.25% due 2/06/2012.............. 575,000 568,956
Series MTN, 7% due 9/27/2027............... 650,000 659,719
Morgan Stanley:
4.793% due 1/09/2012 (c)................... 5,250,000 5,073,542
6.25% due 8/28/2017........................ 150,000 152,490
UBS AG Series DPNT, 5.875%
due 12/20/2017............................. 1,290,000 1,299,088
-----------
14,178,680
-------------------------------------------------------------------------------
Commercial Banks--0.4%
Barclays Bank Plc (c)(d)(h):
7.43%...................................... 375,000 389,682
8.55%...................................... 620,000 653,043
Corporacion Andina de Fomento,
6.875% due 3/15/2012....................... 435,000 464,155
Royal Bank of Scotland Plc Series MTN,
7.64% (c)(h)............................... 800,000 822,474
Wachovia Bank NA, 6.60%
due 1/15/2038.............................. 1,000,000 1,005,020
-----------
3,334,374
-------------------------------------------------------------------------------
Computers & Peripherals--0.1%
International Business Machines Corp.,
5.70% due 9/14/2017........................ 545,000 563,400
-------------------------------------------------------------------------------
Consumer Finance--0.4%
HSBC Finance Corp.,
6.50% due 11/15/2008....................... 1,575,000 1,592,292
MBNA Corp.,
4.625% due 9/15/2008....................... 305,000 304,258
SLM Corp.:
5.40% due 10/25/2011....................... 475,000 432,913
5.125% due 8/27/2012....................... 825,000 737,910
-----------
3,067,373
-------------------------------------------------------------------------------
Diversified Financial Services--2.0%
Bank of America Corp.:
4.875% due 9/15/2012....................... 590,000 591,447
6% due 9/01/2017........................... 625,000 638,545
5.75% due 12/01/2017....................... 1,860,000 1,864,267
Citigroup, Inc.:
5.625% due 8/27/2012....................... 990,000 1,002,851
5.50% due 2/15/2017........................ 1,050,000 1,020,441
8.30% due 12/21/2077 (c)................... 850,000 887,562
General Electric Capital Corp.:
5% due 11/15/2011.......................... 2,740,000 2,773,192
6.15% due 8/07/2037........................ 745,000 791,510
6.375% due 11/15/2067 (c).................. 650,000 671,113
Series A, 5% due 12/01/2010................ 3,375,000 3,434,322
JPMorgan Chase Bank NA,
6% due 7/05/2017........................... 1,100,000 1,111,369
JPMorgan Chase Capital XXV,
6.80% due 10/01/2037....................... 1,600,000 1,538,354
-----------
16,324,973
-------------------------------------------------------------------------------
18
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.2%
AT&T, Inc., 6.50% due 9/01/2037.............. USD 1,200,000 $ 1,254,813
GTE Corp., 6.84% due 4/15/2018............... 250,000 271,225
Qwest Communications International, Inc.,
7.50% due 2/15/2014........................ 200,000 199,500
Telecom Italia Capital SA,
6% due 9/30/2034........................... 205,000 199,343
-----------
1,924,881
- --------------------------------------------------------------------------------
Electric Utilities--0.2%
Jersey Central Power & Light Co.,
6.40% due 5/15/2036........................ 175,000 170,258
Nevada Power Co., 6.65% due 4/01/2036........ 335,000 339,155
Public Service Co. of New Mexico,
4.40% due 9/15/2008........................ 405,000 402,347
Sierra Pacific Power Co.,
6% due 5/15/2016........................... 460,000 455,973
Southern California Edison Co.,
5.625% due 2/01/2036....................... 423,000 404,772
-----------
1,772,505
- --------------------------------------------------------------------------------
Energy Equipment & Services--0.0%
Transocean, Inc., 6.80% due 3/15/2038........ 200,000 204,070
- --------------------------------------------------------------------------------
Food Products--0.1%
Kraft Foods, Inc., 6.50% due 8/11/2017....... 810,000 837,982
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.0%
UnitedHealth Group, Inc., 5.80%
due 3/15/2036.............................. 315,000 288,141
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.0%
American Real Estate Partners LP,
7.125% due 2/15/2013....................... 45,000 42,300
- --------------------------------------------------------------------------------
Independent Power Producers & Energy
Traders--0.1%
Texas Competitive Electric Holdings Co. LLC
Series B,10.25% due 11/01/2015 (d)......... 520,000 514,800
- --------------------------------------------------------------------------------
Insurance--0.5%
American International Group, Inc.,
6.25% due 5/01/2036........................ 470,000 472,441
Chubb Corp., 6.375% due 3/29/2067 (c)........ 475,000 463,321
Lincoln National Corp.,
7% due 5/17/2066 (c)....................... 315,000 316,267
Metlife, Inc., 6.40% due 12/15/2066.......... 620,000 568,224
Principal Life Global Funding I,
3.625% due 4/30/2008 (d)................... 235,000 233,519
Progressive Corp.,
6.70% due 6/15/2037 (c).................... 460,000 427,050
Reinsurance Group of America,
6.75% due 12/15/2065 (c)................... 320,000 287,516
The Travelers Cos., Inc.
6.25% due 3/15/2067 (c).................... 910,000 853,386
-----------
3,621,724
- --------------------------------------------------------------------------------
Media--0.7%
CSC Holdings, Inc. Series B,
8.125% due 7/15/2009....................... 60,000 60,975
Comcast Corp.:
5.85% due 1/15/2010........................ 505,000 517,017
6.50% due 1/15/2017........................ 625,000 651,657
6.45% due 3/15/2037........................ 460,000 468,363
6.95% due 8/15/2037........................ 525,000 566,618
Cox Communications, Inc.,
7.125% due 10/01/2012...................... 365,000 389,262
Idearc, Inc., 8% due 11/15/2016.............. 145,000 133,037
News America, Inc.:
6.40% due 12/15/2035....................... 470,000 475,474
6.75% due 1/09/2038........................ 830,000 905,706
Time Warner Cable, Inc.,
5.85% due 5/01/2017........................ 750,000 751,851
Time Warner Cos., Inc.,
9.125% due 1/15/2013....................... 910,000 1,033,831
-----------
5,953,791
- --------------------------------------------------------------------------------
Metals & Mining--0.1%
Freeport-McMoRan Copper & Gold, Inc.:
8.25% due 4/01/2015........................ 215,000 227,900
8.394% due 4/01/2015 (c)................... 155,000 157,325
8.375% due 4/01/2017....................... 430,000 461,175
-----------
846,400
- --------------------------------------------------------------------------------
Multi-Utilities--0.1%
CMS Energy Corp., 6.55% due 7/17/2017....... 380,000 372,514
Xcel Energy, Inc., 6.50% due 7/01/2036....... 215,000 213,289
-----------
585,803
- --------------------------------------------------------------------------------
Office Electronics--0.1%
Xerox Corp., 6.40% due 3/15/2016............. 540,000 552,573
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.6%
Anadarko Petroleum Corp.:
5.95% due 9/15/2016........................ 500,000 509,115
6.45% due 9/15/2036........................ 650,000 661,918
Colonial Pipeline Co.,
7.63% due 4/15/2032 (d).................... 295,000 344,982
Gazprom OAO, 7.288% due 8/16/2037 (d)........ 460,000 464,278
Midamerican Energy Holdings Co.:
5.95% due 5/15/2037........................ 500,000 484,989
6.50% due 9/15/2037........................ 325,000 339,393
Motiva Enterprises LLC,
5.20% due 9/15/2012 (d).................... 215,000 225,594
Northwest Pipeline Corp.,
7% due 6/15/2016........................... 585,000 623,025
Petrobras International Finance Co.,
5.875% due 3/01/2018....................... 220,000 218,790
Sabine Pass LNG LP,
7.50% due 11/30/2016....................... 345,000 329,475
Tennessee Gas Pipeline Co.,
7% due 10/15/2028.......................... 90,000 90,853
XTO Energy, Inc., 6.75% due 8/01/2037........ 425,000 455,868
-----------
4,748,280
- --------------------------------------------------------------------------------
Pharmaceuticals--0.1%
Bristol-Myers Squibb Co.,
5.875% due 11/15/2036...................... 450,000 447,176
Eli Lilly & Co., 7.125% due 6/01/2025........ 10,000 11,660
Wyeth, 6% due 2/15/2036...................... 450,000 449,965
-----------
908,801
- --------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs)--0.0%
Developers Diversified Realty Corp.,
6.625% due 1/15/2008....................... 170,000 170,159
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.0%
Vodafone Group Plc,
6.15% due 2/27/2037........................ 275,000 271,595
- --------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$61,760,406)--7.6% 61,648,246
- --------------------------------------------------------------------------------
19
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Foreign Government Obligations Amount Value
- --------------------------------------------------------------------------------
Argentina Bonos, 5.389%
due 8/03/2012 (c)(k)....................... USD 593,750 $ 524,290
Bundesrepublik Deutschland
Series 07, 4.25% due 7/04/2039............. EUR 584,821 551,659
Colombia Government International Bond,
7.375% due 9/18/2037....................... USD 475,000 528,438
Mexico Government International Bond,
6.375% due 1/16/2013....................... 157,000 166,969
- --------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$1,801,978)--0.2% 1,771,356
- --------------------------------------------------------------------------------
================================================================================
Asset-Backed Securities**
- --------------------------------------------------------------------------------
ACE Securities Corp. (c):
Series 2005-ASP1 Class M1,
5.545% due 9/25/2035..................... 950,000 638,020
Series 2005-HE6 Class A2B,
5.07% due 10/25/2035..................... 863,419 851,910
Ameriquest Mortgage Securities, Inc.
Series 2003-7 Class M1,
5.715% due 8/25/2033 (c)................... 1,050,000 787,500
Bear Stearns Asset Backed Securities Trust (c):
Series 2005-4 Class A,
5.20% due 1/25/2036...................... 462,362 411,502
Series 2005-HE10 Class A2,
5.16% due 8/25/2035...................... 1,783,983 1,677,781
Series 2005-SD1 Class 1A2,
5.165% due 7/25/2027..................... 1,000,000 963,750
Carrington Mortgage Loan Trust
Series 2006-NC5 Class A1,
4.915% due 1/25/2037 (c)................... 1,477,518 1,441,273
Chase Issuance Trust Series 2007-A17
Class A, 5.12% due 10/15/2014.............. 1,700,000 1,741,116
Citibank Credit Card Issuance Trust Series
2003-A8 Class A8,
3.50% due 8/16/2010 (l).................... 3,125,000 3,100,353
Countrywide Asset Backed Certificates
Series 2004-13 (c):
Class AF4, 4.923% due 1/25/2033.......... 750,000 701,803
Class MF1, 5.071% due 12/25/2034......... 750,000 643,236
Daimler Chrysler Auto Trust Series 2004-B
Class A4, 3.71% due 10/08/2009............. 1,344,040 1,342,183
Discover Card Master Trust I Series 2003-2
Class A, 4.366% due 8/15/2010 (c).......... 1,715,000 1,715,476
Equifirst Mortgage Loan Trust Series 2004-2
Class M1, 5.415% due 7/25/2034 (c)......... 1,350,000 1,255,500
First Franklin Mortgage Loan Asset
Backed Certificates (c):
Series 2004-FF10 Class A2,
5.26% due 12/25/2032..................... 99,746 97,093
Series 2005-FF10 Class A6,
5.215% due 11/25/2035.................... 1,264,325 1,193,795
Home Equity Asset Trust (c):
Series 2005-1 Class A2,
5.14% due 5/25/2035...................... 160,628 140,583
Series 2005-3 Class 1A2,
5.115% due 8/25/2035..................... 76,007 67,006
Honda Auto Receivables Owner Trust
Series 2006-3 Class A3,
5.12% due 10/15/2010....................... 2,350,000 2,359,523
Indymac Residential Asset Backed Trust
Series 2006-E Class 2A1,
4.925% due 4/25/2037 (c)................... 1,506,976 1,461,259
Irwin Home Equity Corp. Series 2005-C
Class 1A1, 5.125% due 4/25/2030 (c)........ 301,722 271,549
Long Beach Mortgage Loan Trust
Series 2006-11 Class 2A1,
4.925% due 12/25/2036 (c).................. 1,373,835 1,355,410
Morgan Stanley ABS Capital I (c):
Series 2005-HE1 Class A2MZ,
5.165% due 12/25/2034.................... 104,858 96,149
Series 2005-NC2 Class A1MZ,
5.115% due 3/25/2035..................... 13,312 13,288
Series 2005-NC2 Class A2MZ,
5.115% due 3/25/2035..................... 25,058 24,654
Nationstar Home Equity Loan Trust
Series 2006-B Class AV1,
4.935% due 9/25/2036 (c)................... 554,342 549,579
New Century Home Equity Loan Trust
Series 2005-2 Class A2MZ,
5.125% due 6/25/2035 (c)................... 292,147 271,414
Nissan Auto Receivables Owner Trust
Series 2006-A Class A4,
4.77% due 7/15/2011........................ 2,000,000 2,002,285
Park Place Securities, Inc. Series 2005-WCH1(c):
Class A1B, 5.165% due 1/25/2035............ 89,345 77,413
Class A3D, 5.205% due 1/25/2035............ 73,063 67,524
Popular ABS Mortgage Pass-Through Trust
Series 2005-1 Class M2,
5.507% due 5/25/2035....................... 400,000 272,000
RAAC Series 2005-SP2 Class 2A,
5.165% due 6/25/2044 (c)................... 1,228,109 1,047,343
Residential Asset Mortgage Products, Inc.
Series 2005-RS3 Class AI2,
5.035% due 3/25/2035 (c)................... 411,823 389,752
Soundview Home Equity Loan Trust
Series 2005-OPT3 Class A4,
5.165% due 11/25/2035 (c).................. 2,150,000 1,994,797
Structured Asset Investment Loan Trust (c):
Series 2003-BC6 Class M1,
5.615% due 7/25/2033....................... 1,500,000 1,380,000
Series 2003-BC7 Class M1,
5.615% due 7/25/2033....................... 1,500,000 1,355,628
Series 2004-8 Class M4,
5.873% due 9/25/2034....................... 550,000 412,500
Structured Asset Securities Corp.
Series 2004-23XS Class 2A1,
5.089% due 1/25/2035 (c)................... 375,580 371,580
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$36,661,075)--4.3% 34,543,527
- --------------------------------------------------------------------------------
================================================================================
Non-U.S. Government Agency
Mortgage-Backed Securities**
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations--3.7%
Bear Stearns Adjustable Rate Mortgage Trust (c):
Series 2005-4 Class 3A1,
5.37% due 8/25/2035...................... 6,654,103 6,659,838
Series 2006-2 Class 2A1,
5.65% due 7/25/2036...................... 2,731,168 2,730,749
Citimortgage Alternative Loan Trust Series
2007-A8 Class A1, 6% due 10/25/2037........ 1,766,588 1,758,859
20
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Non-U.S. Government Agency Face
Mortgage-Backed Securities** Amount Value
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations (concluded)
Countrywide Home Loan Mortgage
Pass-Through Trust:
Series 2007-16 Class A1,
6.50% due 10/25/2037..................... USD 1,071,832 $ 1,086,487
Series 2007-J3 Class A10,
6% due 7/25/2037......................... 1,369,162 1,320,975
First Horizon Asset Securities, Inc.
Series 2005-AR3 Class 3A1,
5.50% due 8/25/2035 (c).................... 913,294 912,980
Impac Secured Assets CMN Owner Trust
Series 2004-3 Class 1A4,
5.265% due 11/25/2034 (c).................. 279,038 278,096
Structured Adjustable Rate Mortgage Loan
Trust Series 2007-3 Class 2A1,
5.738% due 4/25/2037 (c)................... 2,082,701 2,081,300
Structured Asset Securities Corp. (c):
Series 2005-GEL2 Class A,
5.145% due 4/25/2035..................... 190,462 184,489
Series 2005-OPT1 Class A4M,
5.215% due 11/25/2035.................... 540,573 510,212
WaMu Mortgage Pass-Through Certificates
Series 2007-HY3 (c):
Class 1A1, 5.67% due 3/25/2037........... 5,583,214 5,606,945
Class 4A1, 5.35% due 3/25/2037........... 2,621,130 2,609,047
Wells Fargo Mortgage Backed Securities Trust (c):
Series 2005-AR15 Class 2A1,
5.115% due 9/25/2035..................... 3,025,807 2,968,784
Series 2006-AR12 Class 2A1,
6.10% due 9/25/2036...................... 633,180 634,073
-----------
29,342,834
- --------------------------------------------------------------------------------
Commercial Mortgage-Backed Securities--6.2%
Banc of America Commercial Mortgage, Inc. (c):
Series 2003-2 Class A3,
4.873% due 3/11/2041..................... 1,890,000 1,893,227
Series 2007-2 Class A4,
5.688% due 4/10/2049..................... 1,700,000 1,744,512
CS First Boston Mortgage Securities Corp.
Series 2002-CP5 Class A1,
4.106% due 12/15/2035...................... 958,213 942,908
Capco America Securitization Corp.
Series 1998-D7 Class A1B,
6.26% due 10/15/2030....................... 1,988,505 1,998,090
Chase Commercial Mortgage Securities Corp.
Series 1999-2 Class A2,
7.198% due 1/15/2032....................... 1,566,267 1,627,788
Citigroup Commercial Mortgage Trust
Series 2007-C6 (c):
Class A4, 5.889% due 12/10/2049.......... 575,000 591,263
Class AM, 5.889% due 12/10/2049.......... 675,000 676,789
Citigroup/Deutsche Bank Commercial
Mortgage Trust Series 2007-CD5 Class A4,
5.886% due 11/15/2044 (c).................. 675,000 699,597
First Union National Bank Commercial
Mortgage Series 1999-C4 Class D,
7.936% due 12/15/2031 (d).................. 1,866,000 1,972,736
GMAC Commercial Mortgage Securities, Inc.:
Series 1998-C2 Class A2,
6.42% due 5/15/2035...................... 1,789,875 1,794,699
Series 2004-C3 Class AAB,
4.702% due 12/10/2041.................... 5,500,000 5,482,460
GS Mortgage Securities Corp. II
Series 2006-GG6 Class A2,
5.506% due 4/10/2038 (c)................... 1,700,000 1,719,012
Greenwich Capital Commercial Funding Corp.
Series 2004-GG1:
Class A4, 4.755% due 6/10/2036........... 1,350,000 1,353,454
Class A5, 4.883% due 6/10/2036........... 1,840,000 1,848,890
JPMorgan Chase Commercial Mortgage
Securities Corp.:
Series 2001-CIB2 Class A3,
6.429% due 4/15/2035..................... 1,845,000 1,938,862
Series 2006-CB17 Class A4,
5.429% due 12/12/2043.................... 250,000 251,388
JPMorgan Chase Commercial Mortgage
Securities Corp. (concluded):
Series 2007-CB20 Class A4,
5.794% due 2/12/2051 (c)................. 1,565,000 1,612,122
Series 2007-LD1 Class A2,
5.992% due 6/15/2049 (c)................. 650,000 664,370
Series 2007-LD12 Class A2,
5.827% due 2/15/2051..................... 530,000 540,735
LB-UBS Commercial Mortgage Trust:
Series 2000-C3 Class A2,
7.95% due 5/15/2025 (c).................. 1,761,911 1,860,574
Series 2003-C8 Class A4,
5.124% due 11/15/2032 (c)................ 1,510,000 1,523,257
Series 2004-C7 Class A1A,
4.475% due 10/15/2029.................... 1,935,040 1,910,348
Series 2005-C3 Class A5,
4.739% due 7/15/2030..................... 1,400,000 1,342,458
Series 2007-C2 Class A3,
5.43% due 2/15/2040...................... 1,225,000 1,230,398
Series 2007-C6 Class A4,
5.858% due 7/15/2040 (c)................. 1,675,000 1,732,367
Series 2007-C7 Class A3,
5.866% due 9/15/2045 (c)................. 1,475,000 1,512,993
Morgan Stanley Capital I:
Series 2006-IQ12 Class A4,
5.332% due 12/15/2043.................... 740,000 738,897
Series 2007-HQ12 Class A2,
5.812% due 4/12/2049 (c)................. 235,000 238,720
Series 2007-IQ16 Class A4,
5.809% due 12/12/2049.................... 895,000 915,272
Series 2007-T27 Class A4,
5.803% due 6/13/2042 (c)................. 1,775,000 1,821,229
Mortgage Capital Funding, Inc.:
Series 1998-MC1 Class E,
7.06% due 3/18/2030 (c).................. 592,227 590,777
Series 1998-MC2 Class B,
6.549% due 6/18/2030..................... 1,870,000 1,868,082
Wachovia Bank Commercial Mortgage Trust:
Series 2005-C20 Class A6A,
5.11% due 7/15/2042 (c).................. 1,675,000 1,660,900
Series 2006-C29 Class A4,
5.308% due 11/15/2048.................... 2,025,000 2,015,870
-----------
50,315,044
- --------------------------------------------------------------------------------
Total Non-U.S. Government Agency
Mortgage-Backed Securities
(Cost--$78,864,396)--9.9% 79,657,878
- --------------------------------------------------------------------------------
21
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
U.S. Government Agency Face
Mortgage-Backed Securities** Amount Value
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through
Certificates:
4.00% due 8/01/2020--11/01/2020.......... USD 837,130 $ 801,652
4.50% due 9/01/2020--1/15/2023 (e)....... 5,600,868 5,509,627
5.00% due 4/01/2020--1/15/2038 (e)....... 36,532,513 35,928,292
5.50% due 7/01/2034--1/15/2038 (e)....... 12,783,294 12,775,254
6.00% due 12/01/2008--1/15/2038 (e)...... 28,771,487 29,248,112
6.50% due 10/01/2022--1/15/2038 (e)...... 26,561,296 27,316,119
Freddie Mac Mortgage Participation
Certificates:
5.00% due 1/15/2023--1/15/2038 (e)....... 4,008,880 3,942,891
5.50% due 12/01/2013--1/15/2038 (e)...... 23,777,575 23,845,122
5.992% due 11/01/2036 (c)................ 1,715,413 1,736,180
6.00% due 1/01/2034--2/15/2038 (e)....... 50,740,260 51,464,262
7.00% due 7/01/2031--6/01/2032........... 309,932 325,122
Ginnie Mae MBS Certificates:
5.50% due 3/20/2036...................... 9,000,000 9,018,797
6.00% due 1/21/2038 (e).................. 11,700,000 11,952,281
6.50% due 1/15/2038 (e).................. 19,700,000 20,308,937
7.50% due 3/15/2032...................... 17,607 18,785
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities
(Cost--$232,936,248)--28.9% 234,191,433
- --------------------------------------------------------------------------------
================================================================================
U.S. Government Agency
Mortgage-Backed Securities**--
Collateralized Mortgage Obligations
- --------------------------------------------------------------------------------
Fannie Mae Trust:
Series 378 Class 5,
5% due 7/01/2036 (j)..................... 3,255,030 696,173
Series 2003-87 Class TJ,
4.50% due 9/25/2018...................... 1,810,000 1,756,119
Series 2005-69 Class LE,
5.50% due 11/25/2033..................... 3,007,692 3,050,865
Series 2006-65 Class TA,
5.50% due 1/25/2030...................... 810,209 820,782
Freddie Mac Multiclass Certificates:
Series 3068 Class VA,
5.50% due 10/15/2016..................... 869,105 882,299
Series 3087 Class VA,
5.50% due 3/15/2015...................... 2,462,688 2,503,437
Series 3137 Class XP, 6%
due 4/15/2036............................ 1,473,633 1,519,119
Series 3162 Class OA,
6% due 10/15/2026........................ 1,136,266 1,152,171
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities--
Collateralized Mortgage Obligations
(Cost--$12,237,294)--1.5% 12,380,965
- --------------------------------------------------------------------------------
================================================================================
U.S. Government Obligations
- --------------------------------------------------------------------------------
U.S. Treasury Inflation Indexed Bonds:
3.875% due 1/15/2009..................... 1,668,822 1,718,104
1.625% due 1/15/2015..................... 3,555,955 3,570,122
U.S. Treasury Notes:
3.875% due 10/31/2012.................... 1,400,000 1,427,453
3.375% due 11/30/2012.................... 25,250,000 25,165,185
4.25% due 11/15/2017..................... 1,450,000 1,475,262
4.875% due 5/15/2037..................... 1,350,000 1,471,395
- --------------------------------------------------------------------------------
Total U.S. Government Obligations
(Cost--$34,321,964)--4.3% 34,827,521
- --------------------------------------------------------------------------------
Total Fixed Income Securities
(Cost--$458,583,361)--56.7% 459,020,926
- --------------------------------------------------------------------------------
================================================================================
Beneficial
Short-Term Securities Interest
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (f)(g)............ 22,830,002 22,830,002
- --------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$22,830,002)--2.8% 22,830,002
- --------------------------------------------------------------------------------
================================================================================
Number of
Options Purchased Contracts+ Value
- --------------------------------------------------------------------------------
Call Options Purchased
Receive a fixed rate of 5.345% and pay a
floating rate based on 3-month USD LIBOR,
expiring November 2009, Broker, Lehman
Brothers Special Financing (m)............. 6 318,194
Receive a fixed rate of 5.78% and pay a
floating rate based on 3-month LIBOR,
expiring August 2010, Broker, Deutsche
Bank AG (m)................................ 8 631,409
Receive a fixed rate of 5.86% and pay a
floating rate based on 3-month LIBOR,
expiring August 2011, Broker,
JPMorgan Chase (m)......................... 5 363,346
------------
1,312,949
- --------------------------------------------------------------------------------
Put Options Purchased
Pay a fixed rate of 5.345% and receive a
floating rate based on 3-month USD LIBOR,
expiring November 2009, Broker, Lehman
Brothers Special Financing (m)............. 6 196,207
Pay a fixed rate of 5.5% and receive a
floating rate based on 3-month LIBOR,
expiring January 2008, Broker, Morgan
Stanley Capital Services Inc. (m).......... 5 162
Pay a fixed rate of 5.78% and receive a
floating rate based on 3-month LIBOR,
expiring August 2010, Broker, Deutsche
Bank AG (m)................................ 8 226,160
Pay a fixed rate of 5.86% and receive a
floating rate based on 3-month LIBOR,
expiring August 2011, Broker, JPMorgan
Chase (m).................................. 5 208,010
------------
630,539
- --------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$1,656,480)--0.2% 1,943,488
- --------------------------------------------------------------------------------
Total Investments Before TBA Sale
Commitments and Options Written
(Cost--$912,550,402*)--125.4% 1,015,660,131
- --------------------------------------------------------------------------------
22
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
TBA Sale Commitments Amount Value
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through
Certificates:
5.00% due 4/01/2020--1/15/2038........... USD (21,800,000) $ (21,269,976)
5.50% due 7/01/2034--1/15/2038........... (12,700,000) (12,684,595)
6.00% due 12/01/2008--1/15/2038.......... (5,300,000) (5,381,975)
Freddie Mac Mortgage Participation
Certificates:
6.00% due 1/01/2034--2/15/2038........... (10,400,000) (10,554,378)
5.50% due 12/01/2013--1/15/2038.......... (7,000,000) (7,083,510)
6.00% due 1/01/2034--2/15/2038........... (10,400,000) (10,377,661)
- --------------------------------------------------------------------------------
Total TBA Sale Commitments
(Proceeds Received--$66,689,760)--(8.3%) (67,352,095)
- --------------------------------------------------------------------------------
================================================================================
Number of
Options Written Contracts
- --------------------------------------------------------------------------------
Call Options Written
U.S. Treasury Bonds, expiring February 2008
at USD 112................................. 26 (11,375)
- --------------------------------------------------------------------------------
Pay a fixed rate of 5.40% and receive a
floating rate based on 3-month USD LIBOR,
expiring December 2010, Broker,
UBS Warburg, A.G. (m)...................... 3+ (194,879)
------------
(206,254)
- --------------------------------------------------------------------------------
Put Options Written
Receive a fixed rate of 5.40% and pay a
floating rate based on 3-month USD
LIBOR, expiring December 2010, Broker,
UBS Warburg, A.G. (m)...................... 3+ (144,212)
- --------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$330,213)--(0.0%) (350,466)
- --------------------------------------------------------------------------------
Total Investments, Net of TBA Sale
Commitments and Options Written
(Cost--$845,530,429)--117.1%................. 947,957,570
Liabilities in Excess of Other
Assets--(17.1%) ............................. (138,597,463)
-------------
Net Assets--100.0%........................... $ 809,360,107
=============
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost............................................... $918,835,938
============
Gross unrealized appreciation................................ $126,819,448
Gross unrealized depreciation................................ (29,995,255)
------------
Net unrealized appreciation.................................. $ 96,824,193
============
** Asset-Backed and Mortgage-Backed Securities are subject to principal
paydowns. As a result of 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) 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) Represents or includes a "to-be-announced" transaction. The Portfolio has
committed to purchasing securities for which all specific information is not
available at this time.
(f) Represents the current yield as of December 31, 2007.
(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............................ $(30,208,398) $815,624
BlackRock Liquidity Series, LLC
Money Market Series.......................... $ (5,099,600) $ 2,874
----------------------------------------------------------------------------
(h) The security is a perpetual bond and has no stated maturity date.
(i) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(j) Represents the interest-only portion of a mortgage-backed security and has
either a nominal or notional amount of principal.
(k) Subject to principal paydowns.
(l) All or a portion of security held as collateral in connection with open
financial futures contracts.
(m) 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.
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 as of December 31, 2007 were as follows:
----------------------------------------------------------------------------
Foreign Unrealized
Foreign Currency Currency Settlement Appreciation
Purchased Sold Date (Depreciation)
----------------------------------------------------------------------------
JPY 138,705,000 USD 1,250,944 1/15/08 $ (7,132)
JPY 156,590,000 USD 1,400,486 1/15/08 3,708
JPY 602,954,210 USD 5,225,903 1/15/08 180,980
USD 2,859,886 JPY 308,799,000 1/15/08 90,786
EUR 484,071 USD 717,763 1/23/08 (9,716)
USD 988,358 EUR 697,500 1/23/08 (31,870)
----------------------------------------------------------------------------
Total Unrealized Appreciation on Forward Foreign
Exchange Contracts--Net $226,756
========
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
----------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
----------------------------------------------------------------------------
17 10-Year U.S. March 2008 $1,927,407 $ 233
Treasury Bond
39 EuroDollar Futures September 2008 $9,406,662 3,064
21 Euribor March 2008 $7,334,964 (6,902)
23 EuroBobl Futures March 2008 $3,680,210 (50,489)
39 EuroBond Futures March 2008 $6,593,451 (143,914)
----------------------------------------------------------------------------
Total Unrealized Depreciation--Net $(198,008)
=========
o Financial futures contracts sold as of December 31, 2007 were as follows:
----------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
----------------------------------------------------------------------------
41 2-Year U.S. March 2008 $ 8,620,288 $ 8
Treasury Bond
377 5-Year U.S. March 2008 $41,599,132 23,101
Treasury Bond
50 30-Year U.S. March 2008 $ 5,849,544 30,793
Treasury Bond
39 EuroDollar Futures September 2009 $ 9,394,085 (40)
----------------------------------------------------------------------------
Total Unrealized Appreciation--Net $53,862
=======
23
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive (pay) a variable return based on the
change in the spread return of the Lehman
Brothers CMBS Aaa 8.5+ Index and pay a floating
rate based on 1.106%
Broker, Deutsche Bank AG London
Expires January 2008 USD 3,270,000 --
Receive (pay) a variable return based on the
change in the spread return of the Lehman
Brothers CMBS Investment Grade Index and
pay a floating rate based 1.328%
Broker, Citibank, NA
Expires January 2008 USD 3,275,000 --
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 USD 1,694,000 $ (30,552)
Pay a fixed rate of 5.0675% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires April 2009 USD 8,200,000 (116,454)
Receive a fixed rate of 5.2725% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank, NA
Expires October 2009 USD 8,100,000 201,318
Receive a fixed rate of 4.034% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires December 2009 USD 10,600,000 35,536
Receive a fixed rate of 4.1% and pay a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires December 2009 USD 8,200,000 37,345
Receive a fixed rate of 4.492% and pay a
floating rate based on 3-month STIBOR
Broker, Deutsche Bank AG London
Expires August 2010 SEK 41,500,000 (36,871)
Pay a fixed rate of 4.981% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2010 USD 6,223,000 (167,917)
Receive a fixed rate of 5.215% and pay a
floating rate based on 3-month LIBOR
Broker, Lehman Brothers Special Financing
Expires October 2010 USD 12,000,000 416,192
Bought credit default protection on
Sara Lee Corp. and pay 0.57%
Broker, Lehman Brothers Special Financing
Expires December 2010 USD 670,000 (6,685)
Bought credit default protection on
RadioShack Corp. and pay 1.16%
Broker, UBS Warburg
Expires December 2010 USD 665,000 5,793
Bought credit default protection on
Limited Brands, Inc. and pay 1.065%
Broker, UBS Warburg
Expires December 2010 USD 665,000 4,545
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 USD 1,450,000 (86,973)
Bought credit default protection on
Sara Lee Corp. and pay 0.604%
Broker, JPMorgan Chase
Expires March 2011 USD 700,000 (7,975)
Bought credit default protection on
Limited Brands, Inc. and pay 0.73%
Broker, Lehman Brothers Special Financing
Expires March 2011 USD 700,000 14,565
Bought credit default protection on
Computer Sciences Corp. and pay 0.88%
Broker, Morgan Stanley Capital Services Inc.
Expires June 2011 USD 695,000 (14,810)
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 USD 6,900,000 241,868
Receive a fixed rate of 4.897% and pay a
floating rate based on 3-month LIBOR
Broker, JPMorgan Chase
Expires December 2011 USD 12,300,000 368,918
Pay a fixed rate of 5.21% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires February 2012 USD 17,000,000 (722,842)
Sold credit default protection on Lehman
Brothers Holdings, Inc. and receive 1.12%
Broker, Deutsche Bank AG London
Expires September 2012 USD 650,000 (1,984)
Sold credit default protection on Lehman
Brothers Holdings, Inc. and receive 0.95%
Broker, Deutsche Bank AG London
Expires September 2012 USD 255,000 (2,577)
Receive a fixed rate of 4.867% and pay a
floating rate based on 3-month USD LIBOR
Broker, UBS Warburg
Expires October 2012 USD 6,800,000 205,523
Pay a fixed rate of 4.90125% and receive a
floating rate based on 3-month USD-LIBOR
Broker, UBS Warburg
Expires October 2012 USD 9,300,000 (288,278)
Receive a fixed rate of 5.023% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2012 USD 9,000,000 333,315
24
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Balanced Capital Portfolio
Schedule of Investments as of December 31, 2007 (Concluded) (in U.S. dollars)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows (concluded):
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Bought credit default protection on 1-week
SIMFA Municipal Swap Index and Pay 3.75%
Broker, Deutsche Bank AG London
Expires December 2012 EUR 2,750,000 $ (14,331)
Bought credit default protection on Eastman
Chemical Co. and pay 0.68%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2013 USD 690,000 (5,998)
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 USD 1,600,000 53,370
Pay a fixed rate of 5.225% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires January 2017 USD 700,000 (32,236)
Receive a fixed rate of 5.16% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires February 2017 USD 2,600,000 115,401
Receive a fixed rate of 5.526% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank, NA
Expires June 2017 USD 2,200,000 150,146
Pay a fixed rate of 5.725% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires June 2017 USD 5,000,000 (418,797)
Pay a fixed rate of 5.722% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires July 2017 USD 4,400,000 (387,822)
Pay a fixed rate of 5.6425% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires July 2017 USD 4,900,000 (380,811)
Pay a fixed rate of 5.775% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires July 2017 USD 9,300,000 (817,889)
Receive a fixed rate of 5.324% and pay a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires August 2017 USD 8,700,000 452,722
Pay a fixed rate of 5.305% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires October 2017 USD 13,600,000 (694,676)
Pay a fixed rate of 5.2875% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2017 USD 5,100,000 (253,653)
Receive a fixed rate of 5.055% and pay a
floating rate based on 3-month USD LIBOR
Broker, UBS Warburg
Expires November 2017 USD 3,900,000 121,938
Pay a fixed rate of 5.01387% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 USD 3,000,000 (84,025)
Receive a fixed rate of 5% and pay a floating
rate based on 3-month USD LIBOR
Broker, Morgan Stanley Capital Services Inc.
Expires November 2017 USD 600,000 16,058
Receive a fixed rate of 5.409% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires April 2027 USD 1,000,000 55,236
- --------------------------------------------------------------------------------
Total $(1,744,367)
===========
o Currency Abbreviations:
EUR Euro
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
See Notes to Financial Statements.
25
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Fundamental Growth Portfolio
Schedule of Investments as of December 31, 2007
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Aerospace & Defense--5.1%
Boeing Co.................................... 37,400 $ 3,271,004
Lockheed Martin Corp......................... 34,700 3,652,522
Precision Castparts Corp..................... 5,000 693,500
Spirit Aerosystems
Holdings, Inc. Class A (a) ................ 36,700 1,266,150
United Technologies Corp..................... 41,000 3,138,140
-----------
12,021,316
- --------------------------------------------------------------------------------
Beverages--5.3%
The Coca-Cola Co............................. 56,600 3,473,542
Diageo Plc................................... 159,400 3,421,561
PepsiCo, Inc................................. 73,900 5,609,010
-----------
12,504,113
- --------------------------------------------------------------------------------
Biotechnology--3.3%
Celgene Corp. (a)............................ 73,400 3,391,814
Gilead Sciences, Inc. (a).................... 96,100 4,421,561
-----------
7,813,375
- --------------------------------------------------------------------------------
Capital Markets--4.0%
Affiliated Managers Group, Inc. (a).......... 8,900 1,045,394
The Charles Schwab Corp...................... 105,900 2,705,745
Franklin Resources, Inc...................... 18,000 2,059,740
State Street Corp............................ 44,500 3,613,400
-----------
9,424,279
- --------------------------------------------------------------------------------
Chemicals--5.7%
Air Products & Chemicals, Inc................ 17,600 1,735,888
Monsanto Co.................................. 50,900 5,685,021
The Mosaic Co. (a)........................... 16,000 1,509,440
Potash Corp. of Saskatchewan, Inc............ 9,400 1,353,224
Praxair, Inc................................. 34,400 3,051,624
-----------
13,335,197
- --------------------------------------------------------------------------------
Communications Equipment--3.4%
Cisco Systems, Inc. (a)...................... 294,400 7,969,408
- --------------------------------------------------------------------------------
Computers & Peripherals--6.6%
Apple Inc. (a)............................... 41,100 8,141,088
EMC Corp. (a)................................ 173,500 3,214,955
Hewlett-Packard Co........................... 79,600 4,018,208
-----------
15,374,251
- --------------------------------------------------------------------------------
Construction & Engineering--1.5%
Fluor Corp. ................................. 13,100 1,908,932
Jacobs Engineering Group, Inc. (a)........... 16,500 1,577,565
-----------
3,486,497
- --------------------------------------------------------------------------------
Diversified Financial Services--2.4%
CME Group, Inc............................... 6,000 4,116,000
IntercontinentalExchange, Inc. (a)........... 7,500 1,443,750
-----------
5,559,750
- --------------------------------------------------------------------------------
Electrical Equipment--1.9%
Emerson Electric Co.......................... 58,400 3,308,944
General Cable Corp. (a)...................... 16,800 1,231,104
-----------
4,540,048
- --------------------------------------------------------------------------------
Energy Equipment & Services--6.4%
Baker Hughes, Inc............................ 28,100 2,278,910
Grant Prideco, Inc. (a)...................... 42,800 2,375,828
National Oilwell Varco, Inc. (a)............. 39,500 2,901,670
Schlumberger Ltd............................. 37,400 3,679,038
Transocean, Inc. ............................ 21,249 3,041,794
Weatherford International Ltd. (a)........... 11,400 782,040
-----------
15,059,280
- --------------------------------------------------------------------------------
Food & Staples Retailing--2.5%
CVS/Caremark Corp............................ 149,400 5,938,650
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--3.8%
Alcon, Inc. ................................. 17,100 2,445,984
Hologic, Inc. (a)............................ 55,132 3,784,261
Intuitive Surgical, Inc. (a)................. 7,900 2,563,550
-----------
8,793,795
- --------------------------------------------------------------------------------
Health Care Providers & Services--1.6%
Aetna, Inc................................... 63,900 3,688,947
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--1.6%
McDonald's Corp.............................. 64,700 3,811,477
- --------------------------------------------------------------------------------
Household Products--3.7%
The Procter & Gamble Co...................... 118,500 8,700,270
- --------------------------------------------------------------------------------
IT Services--2.3%
Cognizant Technology Solutions Corp. (a)..... 35,300 1,198,082
Infosys Technologies Ltd..................... 40,400 1,801,967
MasterCard, Inc. Class A..................... 11,100 2,388,720
-----------
5,388,769
- --------------------------------------------------------------------------------
Industrial Conglomerates--3.4%
General Electric Co.......................... 151,300 5,608,691
Textron, Inc................................. 33,800 2,409,940
-----------
8,018,631
- --------------------------------------------------------------------------------
Internet & Catalog Retail--1.7%
Amazon.com, Inc. (a)......................... 41,800 3,872,352
- --------------------------------------------------------------------------------
Internet Software & Services--6.2%
Akamai Technologies, Inc. (a)................ 71,200 2,463,520
eBay, Inc. (a)............................... 71,700 2,379,723
Google, Inc. Class A (a)..................... 13,800 9,542,424
-----------
14,385,667
- --------------------------------------------------------------------------------
Life Sciences Tools & Services--3.4%
Covance, Inc. (a)............................ 21,500 1,862,330
Thermo Fisher Scientific, Inc. (a)........... 72,800 4,199,104
Waters Corp. (a)............................. 23,700 1,873,959
-----------
7,935,393
- --------------------------------------------------------------------------------
Machinery--1.5%
Deere & Co................................... 18,800 1,750,656
Flowserve Corp............................... 18,400 1,770,080
-----------
3,520,736
- --------------------------------------------------------------------------------
Metals & Mining--2.0%
Barrick Gold Corp............................ 55,000 2,312,750
Freeport-McMoRan Copper & Gold, Inc.
Class B.................................... 21,900 2,243,436
-----------
4,556,186
- --------------------------------------------------------------------------------
Multiline Retail--0.7%
J.C. Penney Co., Inc......................... 19,500 857,805
Target Corp.................................. 16,300 815,000
-----------
1,672,805
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--1.3%
Consol Energy, Inc........................... 40,900 2,925,168
- --------------------------------------------------------------------------------
Pharmaceuticals--4.9%
Abbott Laboratories.......................... 74,000 4,155,100
Merck & Co., Inc............................. 74,900 4,352,439
Teva Pharmaceutical Industries Ltd. (b)...... 62,600 2,909,648
-----------
11,417,187
- --------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--2.5%
Intel Corp................................... 135,800 3,620,428
Nvidia Corp. (a)............................. 66,850 2,274,237
-----------
5,894,665
- --------------------------------------------------------------------------------
26
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Fundamental Growth Portfolio
Schedule of Investments as of December 31, 2007 (Concluded)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Software--6.1%
Adobe Systems, Inc. (a)...................... 78,000 $ 3,332,940
Microsoft Corp............................... 217,800 7,753,680
Oracle Corp. (a)............................. 138,600 3,129,588
------------
14,216,208
- --------------------------------------------------------------------------------
Specialty Retail--1.5%
Abercrombie & Fitch Co. Class A.............. 12,300 983,631
Best Buy Co., Inc............................ 20,300 1,068,795
GameStop Corp. Class A (a)................... 20,800 1,291,888
------------
3,344,314
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.4%
Coach, Inc. (a).............................. 28,100 859,298
- --------------------------------------------------------------------------------
Tobacco--1.7%
Altria Group, Inc............................ 52,800 3,990,624
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--1.0%
China Mobile (Hong Kong) Ltd. (b)............ 26,900 2,336,802
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost--$187,290,342)--99.4% 232,355,458
- --------------------------------------------------------------------------------
================================================================================
Number of
Options Purchased Contracts
- --------------------------------------------------------------------------------
Call Options Purchased
Abercrombie & Fitch Co. Class A, expiring
January 2008 at $75........................ 123 77,490
Best Buy Co., Inc., expiring January 2008
at $47.5................................... 203 107,590
Coach, Inc., expiring January 2008 at $35.... 281 4,918
General Electric Co., expiring January 2008
at $35..................................... 1,323 303,629
J.C. Penney Co., Inc., expiring January 2008
at $47.5................................... 195 13,650
Target Corp., expiring January 2008
at $57.5................................... 163 3,668
Yahoo! Inc., expiring January 2008
at $35..................................... 1,488 2,232
- --------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$1,101,231)--0.2% 513,177
- --------------------------------------------------------------------------------
Total Investments Before Options Written
(Cost--$188,391,573*)--99.6% 232,868,635
- --------------------------------------------------------------------------------
================================================================================
Options Written
- --------------------------------------------------------------------------------
Call Options Written
Abercrombie & Fitch Co. Class A, expiring
January 2008 at $80........................ 246 (73,800)
Apple Computer, Inc., expiring January 2008
at $150.................................... 247 (1,199,803)
Best Buy Co., Inc., expiring January 2008 ...
at $50..................................... 406 (125,860)
Coach, Inc., expiring January 2008
at $37.5................................... 562 (5,620)
General Cable Corp., expiring February 2008
at $70..................................... 92 (72,220)
General Electric Co., expiring January 2008
at $37.5................................... 2,828 (161,196)
J.C. Penney Co., Inc., expiring January 2008
at $50..................................... 390 (10,725)
Target Corp., expiring January 2008
at $60..................................... 326 (4,075)
- --------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$962,965)--(0.7%) (1,653,299)
- --------------------------------------------------------------------------------
Total Investments, Net of Options Written
(Cost--$187,428,608)--98.9%...................................... 231,215,336
Other Assets Less Liabilities--1.1%.............................. 2,564,081
------------
Net Assets--100.0%............................................... $233,779,417
------------
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, computed for federal income tax purposes, were as follows:
Aggregate cost.......................................... $188,795,429
============
Gross unrealized appreciation........................... $ 47,585,578
Gross unrealized depreciation........................... (3,512,372)
------------
Net unrealized appreciation............................. $ 44,073,206
============
(a) Non-income producing security.
(b) Depositary receipts.
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 Investment in companies considered to be 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......................... $ (11,729) $203,313
BlackRock Liquidity Series, LLC
Money Market Series....................... $(11,857,750) $ 8,435
----------------------------------------------------------------------------
See Notes to Financial Statements.
27
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Australia--1.0%
Beverages--0.1%
Coca-Cola Amatil Ltd......................... 17,700 $ 146,362
- --------------------------------------------------------------------------------
Metals & Mining--0.6%
BHP Billiton Ltd............................. 21,000 734,119
Newcrest Mining Ltd.......................... 11,340 326,989
Rio Tinto Ltd................................ 6,000 697,999
Zinifex Ltd.................................. 16,800 180,209
----------
1,939,316
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.1%
Woodside Petroleum Ltd....................... 7,500 328,738
- --------------------------------------------------------------------------------
Paper & Forest Products--0.0%
Great Southern Plantations Ltd............... 27,000 45,291
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.2%
Macquarie Airports Group..................... 44,000 155,408
Macquarie Infrastructure Group............... 120,000 317,387
Transurban Group............................. 49,616 296,273
----------
769,068
- --------------------------------------------------------------------------------
Total Common Stocks in Australia 3,228,775
================================================================================
Austria--0.0%
Diversified Telecommunication Services--0.0%
Telekom Austria AG........................... 2,400 66,278
- --------------------------------------------------------------------------------
Total Common Stocks in Austria 66,278
================================================================================
Belgium--0.2%
Diversified Financial Services--0.2%
Fortis....................................... 22,831 599,420
- --------------------------------------------------------------------------------
Total Common Stocks in Belgium 599,420
================================================================================
Brazil--2.5%
Commercial Banks--0.1%
Banco Bradesco SA............................ 7,000 223,961
Uniao de Bancos Brasileiros SA (d)........... 1,600 223,424
----------
447,385
- --------------------------------------------------------------------------------
Electric Utilities--0.0%
Cia Energetica de Minas Gerais (d)........... 8,400 155,064
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.0%
Cia Brasileira de Distribuicao Grupo Pao
de Acucar (Preference Shares).............. 6,396 122,566
- --------------------------------------------------------------------------------
Food Products--0.2%
Cosan SA Industria e Comercio................ 9,000 105,169
JBS SA (b)................................... 39,000 131,461
SLC Agricola SA (b).......................... 26,000 241,011
----------
477,641
- --------------------------------------------------------------------------------
Household Durables--0.1%
Gafisa SA.................................... 13,000 242,399
- --------------------------------------------------------------------------------
Metals & Mining--0.3%
Companhia Vale do Rio Doce
(Preference 'A' Shares) (d)................ 27,500 769,450
Usinas Siderurgicas de Minas Gerais SA
(Preference 'A' Shares).................... 8,100 370,871
----------
1,140,321
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--1.4%
Petroleo Brasileiro SA (d)................... 45,500 4,786,940
- --------------------------------------------------------------------------------
Road & Rail--0.1%
All America Latina Logistica SA.............. 27,300 353,366
- --------------------------------------------------------------------------------
Software--0.1%
Datasul...................................... 16,700 177,883
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.0%
Obrascon Huarte Lain Brasil SA............... 12,400 156,672
- --------------------------------------------------------------------------------
Water Utilities--0.1%
Companhia de Saneamento de Minas Gerais...... 12,200 212,472
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
Vivo Participacoes SA (d).................... 43,500 237,945
- --------------------------------------------------------------------------------
Total Common Stocks in Brazil 8,510,654
================================================================================
Canada--1.5%
Auto Components--0.0%
Magna International, Inc. (Class A).......... 100 8,043
- --------------------------------------------------------------------------------
Communications Equipment--0.1%
Nortel Networks Corp. (b).................... 13,400 202,206
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.0%
BCE, Inc..................................... 300 11,922
TELUS Corp................................... 1,500 75,141
----------
87,063
- --------------------------------------------------------------------------------
Food Products--0.1%
Saskatchewan Wheat Pool (b).................. 16,800 226,905
- --------------------------------------------------------------------------------
Insurance--0.0%
Sun Life Financial, Inc...................... 200 11,188
- --------------------------------------------------------------------------------
Metals & Mining--0.6%
Alamos Gold, Inc. (b)........................ 40,400 226,366
Barrick Gold Corp............................ 7,594 319,328
Kinross Gold Corp. (b)....................... 72,350 1,339,893
Peak Gold Ltd. (b)(g)........................ 60,000 36,476
----------
1,922,063
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.3%
Canadian Natural Resources Ltd............... 2,900 212,106
EnCana Corp.................................. 200 13,592
Imperial Oil Ltd............................. 300 16,434
Petro-Canada................................. 300 16,086
Petro-Canada Inc............................. 6,800 366,888
Suncor Energy, Inc. (d)...................... 4,300 467,539
Talisman Energy, Inc......................... 5,400 100,619
----------
1,193,264
- --------------------------------------------------------------------------------
Paper & Forest Products--0.1%
Sino-Forest Corp. (b)........................ 9,900 215,063
- --------------------------------------------------------------------------------
Road & Rail--0.3%
Canadian Pacific Railway Ltd................. 12,000 780,830
Canadian Pacific Railway Ltd. (USD).......... 5,300 342,592
----------
1,123,422
- --------------------------------------------------------------------------------
Total Common Stocks in Canada 4,989,217
================================================================================
Chile--0.1%
Commercial Banks--0.1%
Banco Santander Chile SA (d)................. 6,200 316,138
- --------------------------------------------------------------------------------
Electric Utilities--0.0%
Enersis SA (d)............................... 7,900 126,637
- --------------------------------------------------------------------------------
Total Common Stocks in Chile 442,775
================================================================================
China--1.5%
Automobiles--0.0%
Denway Motors Ltd............................ 200,000 126,965
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.0%
China Communications Services Corp. Ltd. (b). 6,700 6,591
- --------------------------------------------------------------------------------
Electrical Equipment--0.1%
Shanghai Electric Group Corp................. 540,000 446,087
- --------------------------------------------------------------------------------
Food Products--0.2%
Chaoda Modern Agriculture Holdings Ltd....... 669,364 598,837
- --------------------------------------------------------------------------------
28
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
China (concluded)
Industrial Conglomerates--0.5%
Beijing Enterprises Holdings Ltd. ........... 224,667 $1,053,723
Tianjin Development Holdings Ltd............. 345,000 406,199
----------
1,459,922
- --------------------------------------------------------------------------------
Insurance--0.2%
China Life Insurance Co. Ltd. (d)............ 4,033 308,525
Ping An Insurance Group Co. of China Ltd..... 33,000 349,360
----------
657,885
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.3%
China Shenhua Energy Co. Ltd. Class H........ 196,100 1,155,181
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.1%
Hainan Meilan International
Airport Co., Ltd. 98,300 123,966
Jiangsu Express.............................. 46,000 49,666
Xiamen International Port Co. Ltd............ 426,000 115,084
----------
288,716
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
China Mobile Ltd............................. 28,000 487,606
- --------------------------------------------------------------------------------
Total Common Stocks in China 5,227,790
================================================================================
Denmark--0.1%
Commercial Banks--0.1%
Danske Bank A/S.............................. 11,252 439,813
- --------------------------------------------------------------------------------
Total Common Stocks in Denmark 439,813
================================================================================
Egypt--0.1%
Diversified Telecommunication Services--0.1%
Telecom Egypt................................ 47,747 180,785
- --------------------------------------------------------------------------------
Total Common Stocks in Egypt 180,785
================================================================================
Finland--0.1%
Communications Equipment--0.1%
Nokia Oyj (d)................................ 400 15,356
- --------------------------------------------------------------------------------
Electric Utilities--0.0%
Fortum Oyj................................... 3,548 159,378
- --------------------------------------------------------------------------------
Total Common Stocks in Finland 174,734
================================================================================
France--1.6%
Aerospace & Defense--0.1%
European Aeronautic Defense and Space Co..... 12,000 382,985
- --------------------------------------------------------------------------------
Automobiles--0.2%
Renault SA................................... 4,178 592,535
- --------------------------------------------------------------------------------
Commercial Banks--0.2%
Societe Generale SA.......................... 3,641 526,595
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.2%
France Telecom SA............................ 17,500 627,739
- --------------------------------------------------------------------------------
Electric Utilities--0.2%
Electricite de France SA..................... 5,780 688,470
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--0.1%
Cie Generale d'Optique Essilor
International SA........................... 5,800 369,969
- --------------------------------------------------------------------------------
Insurance--0.2%
AXA SA....................................... 15,784 629,292
- --------------------------------------------------------------------------------
Machinery--0.1%
Vallourec SA................................. 1,773 479,530
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.3%
Total SA..................................... 12,244 1,013,809
- --------------------------------------------------------------------------------
Software--0.0%
Infogrames Entertainment SA (b).............. 182,400 34,668
- --------------------------------------------------------------------------------
Total Common Stocks in France 5,345,592
================================================================================
Germany--2.0%
Air Freight & Logistics--0.2%
Deutsche Post AG............................. 17,609 604,636
- --------------------------------------------------------------------------------
Automobiles--0.4%
Bayerische Motoren Werke AG.................. 9,637 597,925
DaimlerChrysler AG........................... 6,792 658,281
----------
1,256,206
- --------------------------------------------------------------------------------
Chemicals--0.3%
Bayer AG..................................... 9,457 864,849
Bayer AG (d)................................. 200 18,238
----------
883,087
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.2%
Deutsche Telekom AG.......................... 33,383 734,741
- --------------------------------------------------------------------------------
Electric Utilities--0.2%
E.ON AG...................................... 3,679 782,130
- --------------------------------------------------------------------------------
Industrial Conglomerates--0.3%
Siemens AG................................... 5,800 922,215
- --------------------------------------------------------------------------------
Insurance--0.2%
Allianz AG Registered Shares................. 2,979 641,795
- --------------------------------------------------------------------------------
Multi-Utilities--0.2%
RWE AG....................................... 5,265 738,208
- --------------------------------------------------------------------------------
Total Common Stocks in Germany 6,563,018
================================================================================
Hong Kong--0.8%
Electric Utilities--0.1%
Cheung Kong Infrastructure Holdings Ltd...... 75,500 280,255
- --------------------------------------------------------------------------------
Industrial Conglomerates--0.2%
Hutchison Whampoa Ltd........................ 59,000 664,652
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.5%
Cheung Kong Holdings Ltd..................... 30,000 548,084
Sun Hung Kai Properties Ltd.................. 33,300 699,418
Wharf Holdings Ltd........................... 70,000 362,111
----------
1,609,613
- --------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 2,554,520
================================================================================
India--2.2%
Automobiles--0.1%
Bajaj Auto Ltd............................... 2,700 177,453
Tata Motors Ltd.............................. 14,518 271,947
----------
449,400
- --------------------------------------------------------------------------------
Commercial Banks--0.1%
State Bank of India Ltd...................... 7,700 458,377
- --------------------------------------------------------------------------------
Construction & Engineering--0.1%
Larsen & Toubro Ltd.......................... 3,300 345,449
- --------------------------------------------------------------------------------
Construction Materials--0.1%
Gujarat Ambuja Cements Ltd................... 117,025 433,908
- --------------------------------------------------------------------------------
Diversified Financial Services--0.1%
Reliance Capital Ltd......................... 3,990 259,094
- --------------------------------------------------------------------------------
Electric Utilities--0.1%
Reliance Energy Ltd.......................... 2,857 153,301
- --------------------------------------------------------------------------------
IT Services--0.1%
Infosys Technologies Ltd..................... 7,000 312,222
- --------------------------------------------------------------------------------
Media--0.2%
Wire and Wireless India Ltd. (b)............. 63,405 157,830
Zee News Ltd. (b)............................ 57,331 117,298
Zee Telefilms Ltd............................ 57,611 473,240
----------
748,368
- --------------------------------------------------------------------------------
29
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
India (concluded)
Oil, Gas & Consumable Fuels--0.9%
Hindustan Petroleum Corp..................... 5,700 $ 52,977
Reliance Industries Ltd...................... 38,000 2,764,735
----------
2,817,712
- --------------------------------------------------------------------------------
Pharmaceuticals--0.0%
Wockhardt Ltd................................ 4,300 45,233
- --------------------------------------------------------------------------------
Road & Rail--0.1%
Container Corp. of India..................... 6,000 290,900
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.2%
Housing Development Finance Corp............. 7,000 505,504
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
Reliance Communication Ventures Ltd.......... 25,000 468,989
- --------------------------------------------------------------------------------
Total Common Stocks in India 7,288,457
================================================================================
Ireland--0.2%
Commercial Banks--0.1%
Allied Irish Banks Plc....................... 15,248 349,668
- --------------------------------------------------------------------------------
Construction Materials--0.1%
CRH Plc...................................... 11,557 401,367
- --------------------------------------------------------------------------------
Total Common Stocks in Ireland 751,035
================================================================================
Israel--0.1%
Pharmaceuticals--0.1%
Teva Pharmaceutical Industries Ltd. (d)...... 5,034 233,980
- --------------------------------------------------------------------------------
Software--0.0%
Ectel Ltd. (b)(d)............................ 4,906 14,080
- --------------------------------------------------------------------------------
Total Common Stocks in Israel 248,060
================================================================================
Italy--0.6%
Commercial Banks--0.4%
Banca Intesa SpA............................. 83,849 659,856
UniCredito Italiano SpA...................... 69,678 573,029
----------
1,232,885
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.2%
Eni SpA...................................... 24,149 881,351
- --------------------------------------------------------------------------------
Total Common Stocks in Italy 2,114,236
================================================================================
Japan--6.2%
Auto Components--0.1%
Toyota Industries Corp....................... 10,000 405,438
- --------------------------------------------------------------------------------
Automobiles--0.3%
Honda Motor Co., Ltd......................... 5,400 178,388
Suzuki Motor Corp............................ 27,000 809,466
----------
987,854
- --------------------------------------------------------------------------------
Beverages--0.3%
Coca-Cola West Holdings Co., Ltd............. 24,018 530,251
Hokkaido Coca-Cola Bottling Co., Ltd......... 7,000 41,381
Kirin Holdings Co., Ltd...................... 27,500 403,441
Mikuni Coca-Cola Bottling Co., Ltd........... 23,000 247,961
----------
1,223,034
- --------------------------------------------------------------------------------
Building Products--0.2%
Asahi Glass Co., Ltd......................... 23,000 304,184
Daikin Industries Ltd........................ 5,400 301,191
----------
605,375
- --------------------------------------------------------------------------------
Chemicals--0.5%
Mitsubishi Rayon Co., Ltd.................... 115,000 554,383
Shin-Etsu Chemical Co., Ltd.................. 9,300 578,378
Sumitomo Chemical Co., Ltd................... 68,000 602,183
Ube Industries Ltd........................... 20,000 67,695
----------
1,802,639
- --------------------------------------------------------------------------------
Commercial Banks--0.2%
The Bank of Yokohama Ltd..................... 8,533 59,453
Fukuoka Financial Group, Inc................. 40,497 236,503
Shinsei Bank Ltd............................. 29,000 105,284
Sumitomo Mitsui Financial Group, Inc......... 35 259,010
----------
660,250
- --------------------------------------------------------------------------------
Construction & Engineering--0.3%
JGC Corp..................................... 19,000 325,778
Kinden Corp.................................. 20,000 156,355
Okumura Corp................................. 60,200 292,213
Toda Corp.................................... 29,400 140,946
----------
915,292
- --------------------------------------------------------------------------------
Consumer Finance--0.1%
Credit Saison Co., Ltd....................... 8,100 220,652
- --------------------------------------------------------------------------------
Diversified Financial Services--0.3%
NCB Holdings Ltd. (b)........................ 860 43,000
RHJ International (b)........................ 41,300 677,116
RHJ International (b)(d)(j).................. 18,600 304,575
----------
1,024,691
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.3%
Hoya Corp.................................... 14,500 458,768
Murata Manufacturing Co., Ltd................ 7,200 413,457
----------
872,225
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.2%
Ministop Co., Ltd............................ 4,500 79,951
Seven & I Holdings Co. Ltd................... 18,600 540,375
----------
620,326
- --------------------------------------------------------------------------------
Food Products--0.0%
Ajinomoto Co., Inc........................... 7,600 86,011
House Foods Corp............................. 6,000 100,805
----------
186,816
- --------------------------------------------------------------------------------
Gas Utilities--0.2%
Tokyo Gas Co., Ltd........................... 115,000 537,203
- --------------------------------------------------------------------------------
Household Durables--0.3%
Daiwa House Industry Co., Ltd................ 8,000 102,209
Matsushita Electric Industrial Co., Ltd...... 22,000 450,799
Rinnai Corp.................................. 3,800 123,657
Sekisui House Ltd............................ 40,000 427,535
----------
1,104,200
- --------------------------------------------------------------------------------
Insurance--1.1%
Aioi Insurance Co., Ltd...................... 117,000 552,223
Millea Holdings, Inc......................... 39,500 1,326,112
Mitsui Sumitomo Insurance Co., Ltd........... 100,000 968,215
Nipponkoa Insurance Co., Ltd................. 94,800 860,677
----------
3,707,227
- --------------------------------------------------------------------------------
Machinery--0.1%
Kubota Corp.................................. 34,500 232,169
Tadano Ltd................................... 2,000 20,304
----------
252,473
- --------------------------------------------------------------------------------
Media--0.1%
Toho Co., Ltd................................ 17,000 379,758
- --------------------------------------------------------------------------------
Office Electronics--0.2%
Canon, Inc................................... 12,450 569,794
- --------------------------------------------------------------------------------
Pharmaceuticals--0.6%
Astellas Pharma, Inc......................... 13,500 585,503
Mitsubishi Tanabe Pharma Corp................ 21,000 195,074
Takeda Pharmaceutical Co., Ltd............... 20,500 1,197,627
----------
1,978,204
- --------------------------------------------------------------------------------
30
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Japan (concluded)
Real Estate Management & Development--0.1%
Marco Polo Investment Holdings Ltd. (b)...... 105 $ 59,850
NTT Urban Development Co..................... 240 384,224
----------
444,074
- --------------------------------------------------------------------------------
Road & Rail--0.1%
East Japan Railway Co........................ 55 452,404
- --------------------------------------------------------------------------------
Specialty Retail--0.0%
Shimachu Co., Ltd............................ 800 22,539
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.0%
Asics Corp................................... 6,800 97,418
- --------------------------------------------------------------------------------
Tobacco--0.1%
Japan Tobacco, Inc........................... 75 443,456
- --------------------------------------------------------------------------------
Trading Companies & Distributors--0.2%
Mitsubishi Corp.............................. 26,000 703,682
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.3%
NTT DoCoMo, Inc.............................. 580 954,860
- --------------------------------------------------------------------------------
Total Common Stocks in Japan 21,171,884
================================================================================
Luxembourg--0.2%
Metals & Mining--0.2%
ArcelorMittal................................ 8,848 685,879
- --------------------------------------------------------------------------------
Total Common Stocks in Luxembourg 685,879
================================================================================
Malaysia--0.5%
Diversified Telecommunication Services--0.0%
Telekom Malaysia Bhd......................... 55,000 185,198
- --------------------------------------------------------------------------------
Electric Utilities--0.2%
Tenaga Nasional Bhd.......................... 193,487 558,205
- --------------------------------------------------------------------------------
Food Products--0.2%
IOI Corp. Bhd................................ 300,895 700,113
- --------------------------------------------------------------------------------
Tobacco--0.1%
British American Tobacco Malaysia Bhd........ 16,500 205,337
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.0%
PLUS Expressways Bhd......................... 76,400 75,313
- --------------------------------------------------------------------------------
Total Common Stocks in Malaysia 1,724,166
================================================================================
Mexico--0.3%
Beverages--0.1%
Fomento Economico Mexicano, SA de CV (d)..... 10,200 389,334
- --------------------------------------------------------------------------------
Household Durables--0.0%
Urbi, Desarrollos Urbanos, SA de CV (b)...... 8,800 30,397
- --------------------------------------------------------------------------------
Media--0.2%
Grupo Televisa, SA (d)....................... 23,700 563,349
Megacable Holdings SAB de CV (b)............. 3,000 10,187
----------
573,536
- --------------------------------------------------------------------------------
Total Common Stocks in Mexico 993,267
================================================================================
Netherlands--0.2%
Chemicals--0.2%
Akzo Nobel NV................................ 9,061 729,430
- --------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--0.0%
ASML Holding NV (b)(d)....................... 400 12,516
- --------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 741,946
================================================================================
New Zealand--0.1%
Diversified Telecommunication Services--0.0%
Telecom Corp. of New Zealand Ltd............. 40,889 136,591
- --------------------------------------------------------------------------------
Electric Utilities--0.1%
Contact Energy Ltd........................... 22,700 143,696
- --------------------------------------------------------------------------------
Total Common Stocks in New Zealand 280,287
================================================================================
Norway--0.1%
Diversified Telecommunication Services--0.0%
Telenor ASA.................................. 6,700 158,984
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.1%
Statoilhydro ASA............................. 9,106 280,927
- --------------------------------------------------------------------------------
Total Common Stocks in Norway 439,911
================================================================================
Russia--0.1%
Metals & Mining--0.1%
Polyus Gold Co. ZAO (d)...................... 7,400 334,480
- --------------------------------------------------------------------------------
Total Common Stocks in Russia 334,480
================================================================================
Singapore--1.2%
Commercial Banks--0.1%
Oversea-Chinese Banking Corp................. 40,400 230,260
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.3%
Singapore Telecommunications Ltd............. 401,200 1,103,810
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.1%
Parkway Holdings Ltd......................... 116,500 316,595
- --------------------------------------------------------------------------------
Industrial Conglomerates--0.4%
Fraser and Neave Ltd......................... 106,500 431,454
Keppel Corp. Ltd............................. 110,000 980,174
----------
1,411,628
- --------------------------------------------------------------------------------
Media--0.0%
Singapore Press Holdings Ltd................. 30,000 93,144
- --------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs)--0.0%
Parkway Life Real Estate Investment
Trust (b) ................................. 7,875 6,182
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.2%
CapitaLand Ltd............................... 99,200 426,798
Keppel Land Ltd.............................. 47,700 238,664
----------
665,462
- --------------------------------------------------------------------------------
Trading Companies & Distributors--0.1%
Noble Group Ltd.............................. 77,050 128,187
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
MobileOne Ltd................................ 132,400 174,080
- --------------------------------------------------------------------------------
Total Common Stocks in Singapore 4,129,348
================================================================================
South Africa--0.1%
Metals & Mining--0.1%
Gold Fields Ltd. (d)......................... 10,600 150,520
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.0%
Sasol Ltd.................................... 2,900 143,705
- --------------------------------------------------------------------------------
Total Common Stocks in South Africa 294,225
================================================================================
South Korea--2.1%
Chemicals--0.1%
Samsung Fine Chemicals Co., Ltd.............. 9,900 458,100
- --------------------------------------------------------------------------------
Commercial Banks--0.2%
Daegu Bank................................... 6,100 100,565
Hana Financial Group, Inc.................... 3,300 177,180
Kookmin Bank................................. 4,000 294,856
Pusan Bank................................... 6,700 111,591
----------
684,192
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.2%
KT Corp. (b)(d).............................. 27,600 712,080
- --------------------------------------------------------------------------------
Electric Utilities--0.2%
Korea Electric Power Corp.................... 11,600 487,768
- --------------------------------------------------------------------------------
Electrical Equipment--0.2%
LS Cable Ltd................................. 6,400 609,317
- --------------------------------------------------------------------------------
31
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
South Korea (concluded)
Electronic Equipment & Instruments--0.0%
Fine DNC Co., Ltd............................ 9,000 $ 41,651
Interflex Co., Ltd. (b)...................... 8,100 57,294
----------
98,945
- --------------------------------------------------------------------------------
Food Products--0.2%
CJ Cheil Jedang Corp. (b).................... 1,443 456,309
Nong Shim Co., Ltd........................... 400 82,628
----------
538,937
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.0%
Paradise Co. Ltd............................. 37,132 131,560
- --------------------------------------------------------------------------------
Industrial Conglomerates--0.1%
CJ Corp. (b)................................. 2,457 213,836
- --------------------------------------------------------------------------------
Insurance--0.3%
Dongbu Insurance Co., Ltd.................... 4,300 247,519
Korean Reinsurance Co........................ 21,500 296,991
Meritz Fire & Marine Insurance Co. Ltd....... 24,951 335,275
----------
879,785
- --------------------------------------------------------------------------------
Metals & Mining--0.3%
POSCO (d).................................... 7,000 1,052,870
- --------------------------------------------------------------------------------
Multiline Retail--0.0%
Lotte Shopping Co. (b)(d)(j)................. 3,500 77,213
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.0%
Cheil Industries, Inc........................ 3,000 165,307
- --------------------------------------------------------------------------------
Tobacco--0.2%
KT&G Corp. (b)............................... 8,800 747,064
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
SK Telecom Co., Ltd.......................... 1,300 342,816
- --------------------------------------------------------------------------------
Total Common Stocks in South Korea 7,199,790
================================================================================
Spain--0.3%
Commercial Banks--0.3%
Banco Santander SA........................... 39,307 848,952
- --------------------------------------------------------------------------------
Electric Utilities--0.0%
Iberdrola Renovables (b)..................... 19,200 158,603
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.0%
Cintra Concesiones de Infraestructuras de
Transporte SA.............................. 9,371 140,749
- --------------------------------------------------------------------------------
Total Common Stocks in Spain 1,148,304
================================================================================
Sweden--0.1%
Diversified Financial Services--0.1%
Investor AB.................................. 17,248 390,419
- --------------------------------------------------------------------------------
Total Common Stocks in Sweden 390,419
================================================================================
Switzerland--1.4%
Capital Markets--0.3%
Credit Suisse Group.......................... 8,638 519,969
UBS AG....................................... 10,337 476,615
----------
996,584
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.1%
Swisscom AG.................................. 1,269 495,362
- --------------------------------------------------------------------------------
Food Products--0.5%
Nestle SA Registered Shares.................. 3,501 1,607,625
- --------------------------------------------------------------------------------
Insurance--0.2%
Swiss Reinsurance Co. Registered Shares...... 5,525 390,863
Zurich Financial Services AG................. 1,214 356,293
----------
747,156
- --------------------------------------------------------------------------------
Pharmaceuticals--0.3%
Novartis AG Registered Shares................ 16,175 884,568
- --------------------------------------------------------------------------------
Total Common Stocks in Switzerland 4,731,295
================================================================================
Taiwan--0.7%
Commercial Banks--0.0%
Chinatrust Financial Holding Co. (b)......... 149,300 105,342
- --------------------------------------------------------------------------------
Construction Materials--0.2%
Taiwan Cement Corp........................... 464,044 637,291
- --------------------------------------------------------------------------------
Diversified Financial Services--0.0%
Fubon Financial Holding Co. Ltd.............. 103,000 90,868
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.3%
Chunghwa Telecom Co. Ltd..................... 78,342 144,682
Chunghwa Telecom Co. Ltd. (d)................ 36,270 765,660
----------
910,342
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.2%
Delta Electronics, Inc....................... 126,698 429,017
HON HAI Precision Industry Co., Ltd.......... 28,000 172,577
----------
601,594
- --------------------------------------------------------------------------------
Insurance--0.0%
Cathay Financial Holding Co., Ltd............ 90,413 186,815
- --------------------------------------------------------------------------------
Total Common Stocks in Taiwan 2,532,252
================================================================================
Thailand--0.6%
Commercial Banks--0.1%
Siam Commercial Bank PCL..................... 193,100 495,863
- --------------------------------------------------------------------------------
Construction Materials--0.1%
Siam Cement PCL Foreign Shares............... 33,700 232,600
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.0%
Hana Microelectronics PCL.................... 171,000 109,651
- --------------------------------------------------------------------------------
Food Products--0.0%
Thai Union Frozen Products PCL
Foreign Shares............................. 35,000 23,435
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.3%
PTT Exploration & Production PCL............. 60,600 295,039
PTT Public Company THB10..................... 60,000 669,734
----------
964,773
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.1%
Airports of Thailand PCL..................... 94,700 161,652
Bangkok Expressway PCL Foreign Shares........ 99,000 69,948
----------
231,600
- --------------------------------------------------------------------------------
Total Common Stocks in Thailand 2,057,922
================================================================================
United Kingdom--3.1%
Aerospace & Defense--0.2%
BAE Systems Plc.............................. 65,337 648,398
- --------------------------------------------------------------------------------
Beverages--0.1%
Diageo Plc (d)............................... 5,200 446,316
- --------------------------------------------------------------------------------
Commercial Banks--0.1%
HBOS Plc..................................... 30,117 437,933
- --------------------------------------------------------------------------------
Diversified Financial Services--0.1%
Guinness Peat Group Plc...................... 120,714 161,176
- --------------------------------------------------------------------------------
Food Products--0.5%
Cadbury Schweppes Plc (d).................... 12,300 607,251
Premier Foods Plc............................ 16,300 66,593
Unilever Plc................................. 28,280 1,060,637
----------
1,734,481
- --------------------------------------------------------------------------------
Insurance--0.1%
Prudential Plc............................... 26,919 379,041
- --------------------------------------------------------------------------------
32
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
United Kingdom (concluded)
Metals & Mining--0.2%
Anglo American Plc........................... 12,314 $ 747,477
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.7%
BP Plc....................................... 86,939 1,062,417
Royal Dutch Shell Plc (d).................... 1,300 109,460
Royal Dutch Shell Plc Class B................ 30,140 1,256,408
-----------
2,428,285
- --------------------------------------------------------------------------------
Pharmaceuticals--0.2%
GlaxoSmithKline Plc.......................... 22,951 582,877
- --------------------------------------------------------------------------------
Tobacco--0.3%
British American Tobacco Plc................. 20,459 799,806
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.6%
Vodafone Group Plc........................... 451,663 1,695,507
Vodafone Group Plc (d)....................... 11,322 422,537
-----------
2,118,044
- --------------------------------------------------------------------------------
Total Common Stocks in the United Kingdom 10,483,834
================================================================================
United States--26.0%
Aerospace & Defense--0.2%
Boeing Co.................................... 1,700 148,682
General Dynamics Corp........................ 1,800 160,182
Goodrich Corp................................ 200 14,122
Honeywell International, Inc................. 200 12,314
L-3 Communications Holdings, Inc............. 100 10,594
Lockheed Martin Corp......................... 100 10,526
Northrop Grumman Corp........................ 100 7,864
Raytheon Co.................................. 200 12,140
Spirit Aerosystems Holdings, Inc.
Class A (b)................................ 5,100 175,950
-----------
552,374
- --------------------------------------------------------------------------------
Air Freight & Logistics--0.0%
FedEx Corp................................... 800 71,336
- --------------------------------------------------------------------------------
Airlines--0.0%
Continental Airlines, Inc. Class B (b)....... 200 4,450
- --------------------------------------------------------------------------------
Auto Components--0.0%
Johnson Controls, Inc........................ 300 10,812
WABCO Holdings, Inc.......................... 66 3,306
-----------
14,118
- --------------------------------------------------------------------------------
Automobiles--0.1%
General Motors Corp.......................... 6,800 169,252
- --------------------------------------------------------------------------------
Beverages--0.2%
The Coca-Cola Co............................. 8,400 515,508
Coca-Cola Enterprises, Inc................... 600 15,618
Constellation Brands, Inc. Class A (b)....... 6,100 144,204
Pepsi Bottling Group, Inc.................... 400 15,784
PepsiAmericas, Inc........................... 2,900 96,628
-----------
787,742
- --------------------------------------------------------------------------------
Biotechnology--0.0%
Senomyx, Inc. (b)............................ 7,300 54,677
- --------------------------------------------------------------------------------
Capital Markets--0.7%
The Bank of New York Mellon Corp............. 18,913 922,198
The Goldman Sachs Group, Inc................. 100 21,505
Morgan Stanley............................... 100 5,311
Northern Trust Corp.......................... 13,600 1,041,488
State Street Corp............................ 6,200 503,440
-----------
2,493,942
- --------------------------------------------------------------------------------
Chemicals--0.1%
Albemarle Corp............................... 300 12,375
Celanese Corp. Series A...................... 400 16,928
E.I. du Pont de Nemours & Co................. 3,850 169,747
Lubrizol Corp................................ 200 10,832
-----------
209,882
- --------------------------------------------------------------------------------
Commercial Banks--0.0%
Wells Fargo & Co............................. 2,700 81,513
- --------------------------------------------------------------------------------
Commercial Services & Supplies--0.0%
Dun & Bradstreet Corp........................ 100 8,863
Manpower, Inc................................ 100 5,690
Republic Services, Inc. Class A.............. 400 12,540
-----------
27,093
- --------------------------------------------------------------------------------
Communications Equipment--1.6%
3Com Corp. (b)............................... 118,100 533,812
Ciena Corp. (b).............................. 21,900 747,009
Cisco Systems, Inc. (b)...................... 70,400 1,905,728
Comverse Technology, Inc. (b)................ 44,600 769,350
Extreme Networks, Inc. (b)................... 14,300 50,622
JDS Uniphase Corp. (b)....................... 4,737 63,002
Juniper Networks, Inc. (b)................... 400 13,280
Motorola, Inc................................ 25,100 402,604
Polycom, Inc. (b)............................ 12,700 352,806
QUALCOMM, Inc................................ 16,500 649,275
Tellabs, Inc. (b)............................ 5,100 33,354
-----------
5,520,842
- --------------------------------------------------------------------------------
Computers & Peripherals--1.3%
Apple Inc. (b)............................... 10,800 2,139,264
EMC Corp. (b)................................ 600 11,118
Hewlett-Packard Co........................... 8,971 452,856
International Business Machines Corp......... 12,600 1,362,060
Lexmark International, Inc. Class A (b)...... 2,100 73,206
NCR Corp. (b)................................ 200 5,020
Seagate Technology........................... 500 12,750
Sun Microsystems, Inc. (b)................... 15,287 277,153
Teradata Corp. (b)........................... 200 5,482
Western Digital Corp. (b).................... 500 15,105
-----------
4,354,014
- --------------------------------------------------------------------------------
Construction & Engineering--0.4%
Foster Wheeler Ltd. (b)...................... 6,816 1,056,616
KBR, Inc. (b)................................ 4,526 175,609
-----------
1,232,225
- --------------------------------------------------------------------------------
Consumer Finance--0.0%
Discover Financial Services.................. 50 754
SLM Corp..................................... 2,600 52,364
-----------
53,118
- --------------------------------------------------------------------------------
Containers & Packaging--0.1%
Crown Holdings, Inc. (b)..................... 10,600 271,890
Owens-Illinois, Inc. (b)..................... 300 14,850
Smurfit-Stone Container Corp. (b)............ 9,800 103,488
-----------
390,228
- --------------------------------------------------------------------------------
Distributors--0.0%
Genuine Parts Co............................. 300 13,890
- --------------------------------------------------------------------------------
Diversified Financial Services--0.3%
Citigroup, Inc............................... 23,200 683,008
JPMorgan Chase & Co.......................... 5,000 218,250
-----------
901,258
- --------------------------------------------------------------------------------
33
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
United States (continued)
Diversified Telecommunication Services--0.6%
AT&T Inc..................................... 19,122 $ 794,710
AboveNet, Inc. (b)(g)........................ 65 5,070
CenturyTel, Inc.............................. 200 8,292
Embarq Corp.................................. 1,412 69,936
General Communication, Inc. Class A (b)...... 4,700 41,125
Qwest Communications International Inc. (b).. 1,100 7,711
Verizon Communications, Inc.................. 27,000 1,179,630
Windstream Corp.............................. 6,671 86,856
----------
2,193,330
- --------------------------------------------------------------------------------
Electric Utilities--0.4%
Duke Energy Corp............................. 700 14,119
Edison International......................... 200 10,674
Exelon Corp.................................. 6,300 514,332
Mirant Corp. (b)............................. 9,800 382,004
PPL Corp..................................... 10,700 557,363
----------
1,478,492
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.1%
Avnet, Inc. (b).............................. 300 10,491
Tyco Electronics Ltd......................... 6,008 223,077
----------
233,568
- --------------------------------------------------------------------------------
Energy Equipment & Services--1.3%
Baker Hughes, Inc............................ 1,100 89,210
Complete Production Services, Inc. (b)....... 11,800 212,046
ENSCO International, Inc..................... 4,000 238,480
Grant Prideco, Inc. (b)...................... 11,900 660,569
Halliburton Co............................... 8,554 324,282
Key Energy Services, Inc. (b)................ 7,300 105,047
Nabors Industries Ltd. (b)................... 1,500 41,085
National Oilwell Varco, Inc. (b)............. 5,800 426,068
Noble Corp................................... 4,000 226,040
Schlumberger Ltd............................. 7,450 732,857
Smith International, Inc..................... 7,300 539,105
Transocean, Inc. (b)......................... 4,723 676,097
Weatherford International Ltd. (b)........... 1,500 102,900
----------
4,373,786
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.2%
CVS/Caremark Corp............................ 6,234 247,802
The Kroger Co................................ 400 10,684
SUPERVALU INC................................ 3,172 119,013
Wal-Mart Stores, Inc......................... 2,900 137,837
----------
515,336
- --------------------------------------------------------------------------------
Food Products--0.2%
ConAgra Foods, Inc........................... 8,200 195,078
Kraft Foods, Inc............................. 12,098 394,758
Sara Lee Corp................................ 6,100 97,966
Tyson Foods, Inc. Class A.................... 400 6,132
----------
693,934
- --------------------------------------------------------------------------------
Gas Utilities--0.0%
Oneok, Inc................................... 200 8,954
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--0.3%
Baxter International, Inc.................... 3,100 179,955
Boston Scientific Corp. (b).................. 12,700 147,701
Covidien Ltd................................. 6,008 266,094
Medtronic, Inc............................... 7,800 392,106
----------
985,856
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.8%
Aetna, Inc................................... 6,000 346,380
AmerisourceBergen Corp....................... 3,200 143,584
Cigna Corp................................... 2,900 155,817
Coventry Health Care, Inc. (b)............... 1,300 77,025
DaVita, Inc. (b)............................. 3,000 169,050
Express Scripts, Inc. (b).................... 200 14,600
Health Net, Inc. (b)......................... 200 9,660
HealthSouth Corp. (b)........................ 5,320 111,720
Humana, Inc. (b)............................. 2,200 165,682
McKesson Corp................................ 3,100 203,081
Medco Health Solutions, Inc. (b)............. 3,100 314,340
PharMerica Corp. (b)......................... 266 3,692
Sierra Health Services, Inc. (b)............. 400 16,784
UnitedHealth Group, Inc...................... 7,300 424,860
WellPoint, Inc. (b).......................... 4,400 386,012
----------
2,542,287
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.5%
McDonald's Corp.............................. 10,400 612,664
Panera Bread Co. Class A (b)................. 32,300 1,156,986
----------
1,769,650
- --------------------------------------------------------------------------------
Household Durables--0.0%
Mohawk Industries, Inc. (b).................. 200 14,880
- --------------------------------------------------------------------------------
Household Products--0.6%
Energizer Holdings, Inc. (b)................. 100 11,213
The Procter & Gamble Co...................... 29,300 2,151,206
----------
2,162,419
- --------------------------------------------------------------------------------
IT Services--0.0%
Accenture Ltd. Class A....................... 300 10,809
Computer Sciences Corp. (b).................. 200 9,894
DST Systems, Inc. (b)........................ 200 16,510
Electronic Data Systems Corp................. 400 8,292
----------
45,505
- --------------------------------------------------------------------------------
Independent Power Producers & Energy
Traders--0.1%
The AES Corp. (b)............................ 9,800 209,622
Dynegy, Inc. Class A (b)..................... 16,832 120,180
NRG Energy, Inc. (b)......................... 1,700 73,678
----------
403,480
- --------------------------------------------------------------------------------
Industrial Conglomerates--1.3%
General Electric Co.......................... 107,600 3,988,732
Tyco International Ltd....................... 6,008 238,217
----------
4,226,949
- --------------------------------------------------------------------------------
Insurance--2.3%
ACE Ltd...................................... 11,900 735,182
The Allstate Corp............................ 4,600 240,258
American International Group, Inc............ 38,200 2,227,060
Assurant, Inc................................ 3,900 260,910
Axis Capital Holdings Ltd.................... 300 11,691
CNA Financial Corp........................... 300 10,116
Chubb Corp................................... 200 10,916
Darwin Professional Underwriters, Inc. (b)... 2,100 50,757
Endurance Specialty Holdings Ltd............. 14,000 584,220
Everest Re Group Ltd......................... 1,400 140,560
Fidelity National Title Group, Inc. Class A.. 45,100 658,911
Genworth Financial, Inc. Class A............. 300 7,635
Hartford Financial Services Group, Inc....... 3,900 340,041
34
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
United States (continued)
Insurance (concluded)
IPC Holdings, Ltd............................ 7,700 $ 222,299
Lincoln National Corp........................ 200 11,644
Loews Corp................................... 300 15,102
Marsh & McLennan Cos., Inc................... 4,200 111,174
Platinum Underwriters Holdings Ltd........... 6,000 213,360
Prudential Financial, Inc.................... 2,000 186,080
RenaissanceRe Holdings Ltd................... 3,900 234,936
The Travelers Cos., Inc...................... 11,722 630,644
XL Capital Ltd. Class A...................... 15,018 755,556
-----------
7,659,052
- --------------------------------------------------------------------------------
Internet & Catalog Retail--0.0%
Expedia, Inc. (b)............................ 600 18,972
Liberty Media Holding Corp.--
Interactive (b)............................ 829 15,817
-----------
34,789
- --------------------------------------------------------------------------------
Internet Software & Services--0.4%
eBay, Inc. (b)............................... 9,400 311,986
Google, Inc. Class A (b)..................... 1,300 898,924
-----------
1,210,910
- --------------------------------------------------------------------------------
Leisure Equipment & Products--0.0%
Hasbro, Inc.................................. 400 10,232
- --------------------------------------------------------------------------------
Life Sciences Tools & Services--0.2%
Applera Corp.--Applied Biosystems Group...... 400 13,568
Thermo Fisher Scientific, Inc. (b)........... 2,300 132,664
Waters Corp. (b)............................. 4,550 359,769
-----------
506,001
- --------------------------------------------------------------------------------
Machinery--0.0%
AGCO Corp. (b)............................... 300 20,394
Cummins, Inc................................. 100 12,737
Deere & Co................................... 200 18,624
ITT Corp..................................... 200 13,208
Ingersoll-Rand Co. Class A................... 300 13,941
Parker Hannifin Corp......................... 150 11,297
SPX Corp..................................... 200 20,570
-----------
110,771
- --------------------------------------------------------------------------------
Marine--0.2%
American Commercial Lines, Inc. (b).......... 37,900 615,496
- --------------------------------------------------------------------------------
Media--0.5%
CBS Corp. Class B............................ 400 10,900
Comcast Corp. Class A (b).................... 69,217 1,263,902
Discovery Holding Co. (b).................... 1,080 27,151
Idearc, Inc.................................. 1,384 24,303
Liberty Media Holding Corp.--Capital (b)...... 4 466
Time Warner, Inc............................. 8,800 145,288
Viacom, Inc. Class B (b)..................... 3,727 163,690
Virgin Media, Inc............................ 7,632 130,812
-----------
1,766,512
- --------------------------------------------------------------------------------
Metals & Mining--0.7%
AK Steel Holding Corp. (b)................... 300 13,872
Alcoa, Inc................................... 11,200 409,360
Freeport-McMoRan Copper & Gold, Inc.
Class B.................................... 3,000 307,320
Newmont Mining Corp.......................... 32,600 1,591,858
United States Steel Corp..................... 100 12,091
-----------
2,334,501
- --------------------------------------------------------------------------------
Multi-Utilities--0.0%
CMS Energy Corp.............................. 8,500 147,730
CenterPoint Energy, Inc...................... 600 10,278
Sempra Energy................................ 200 12,376
-----------
170,384
- --------------------------------------------------------------------------------
Multiline Retail--0.0%
Big Lots, Inc. (b)........................... 500 7,995
Family Dollar Stores, Inc.................... 300 5,769
-----------
13,764
- --------------------------------------------------------------------------------
Office Electronics--0.0%
Xerox Corp................................... 9,800 158,662
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--3.5%
Alliance Resource Partners LP................ 5,200 188,604
Anadarko Petroleum Corp...................... 3,000 197,070
Apache Corp.................................. 3,000 322,620
Aventine Renewable Energy Holdings, Inc. (b). 4,800 61,248
CNX Gas Corp. (b)............................ 1,600 51,120
Chevron Corp................................. 9,926 926,394
ConocoPhillips............................... 8,150 719,645
Consol Energy, Inc........................... 24,000 1,716,480
Devon Energy Corp............................ 6,674 593,385
El Paso Corp................................. 98,100 1,691,244
Exxon Mobil Corp............................. 22,743 2,130,792
Foundation Coal Holdings, Inc................ 12,400 651,000
Hess Corp.................................... 3,600 363,096
Marathon Oil Corp............................ 6,000 365,160
Murphy Oil Corp.............................. 4,000 339,360
Noble Energy, Inc............................ 200 15,904
Occidental Petroleum Corp.................... 6,300 485,037
Patriot Coal Corp. (b)....................... 1,160 48,418
Peabody Energy Corp.......................... 11,600 715,024
Rosetta Resources, Inc. (b)(j)............... 9,600 190,368
Stone Energy Corp. (b)....................... 3,150 147,767
Sunoco, Inc.................................. 200 14,488
Valero Energy Corp........................... 200 14,006
-----------
11,948,230
- --------------------------------------------------------------------------------
Paper & Forest Products--0.1%
International Paper Co....................... 7,700 249,326
- --------------------------------------------------------------------------------
Personal Products--0.1%
Avon Products, Inc........................... 5,200 205,556
- --------------------------------------------------------------------------------
Pharmaceuticals--1.9%
Abbott Laboratories.......................... 4,700 263,905
Bristol-Myers Squibb Co...................... 25,600 678,912
Eli Lilly & Co............................... 3,700 197,543
Johnson & Johnson............................ 36,800 2,454,560
Merck & Co., Inc............................. 11,900 691,509
Pfizer, Inc.................................. 58,250 1,324,023
Schering-Plough Corp......................... 14,500 386,280
Valeant Pharmaceuticals International (b).... 11,400 136,458
Wyeth........................................ 6,500 287,235
-----------
6,420,425
- --------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs)--0.0%
Ventas, Inc.................................. 2,317 104,844
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.2%
The St. Joe Co............................... 18,300 649,833
- --------------------------------------------------------------------------------
Road & Rail--1.7%
Burlington Northern Santa Fe Corp............ 32,600 2,713,298
CSX Corp..................................... 300 13,194
Norfolk Southern Corp........................ 12,600 635,544
Union Pacific Corp........................... 20,100 2,524,962
-----------
5,886,998
- --------------------------------------------------------------------------------
35
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
United States (concluded)
Semiconductors & Semiconductor Equipment--0.2%
Applied Materials, Inc....................... 11,900 $ 211,344
Genesis Microchip, Inc. (b).................. 12,300 105,411
Intel Corp................................... 13,400 357,244
Intersil Corp. Class A....................... 400 9,792
LSI Logic Corp. (b).......................... 3,857 20,481
Novellus Systems, Inc. (b)................... 400 11,028
Nvidia Corp. (b)............................. 400 13,608
Texas Instruments, Inc....................... 500 16,700
------------
745,608
- --------------------------------------------------------------------------------
Software--1.7%
BMC Software, Inc. (b)....................... 300 10,692
CA, Inc...................................... 39,335 981,408
Cadence Design Systems, Inc. (b)............. 500 8,505
Microsoft Corp............................... 125,100 4,453,560
Novell, Inc. (b)............................. 8,900 61,143
Oracle Corp. (b)............................. 600 13,548
Synopsys, Inc. (b)........................... 500 12,965
TIBCO Software, Inc. (b)..................... 35,700 288,099
------------
5,829,920
- --------------------------------------------------------------------------------
Specialty Retail--0.0%
Circuit City Stores, Inc..................... 8,000 33,600
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.0%
Hanesbrands, Inc. (b)........................ 762 20,704
Unifi, Inc. (b).............................. 30,700 74,294
------------
94,998
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.2%
Fannie Mae................................... 17,600 703,648
- --------------------------------------------------------------------------------
Tobacco--0.2%
Altria Group, Inc............................ 6,500 491,270
Loews Corp.--Carolina Group................... 200 17,060
------------
508,330
- --------------------------------------------------------------------------------
Trading Companies & Distributors--0.0%
W.W. Grainger, Inc........................... 200 17,504
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.3%
Macquarie Infrastructure Co. LLC............. 22,900 928,137
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.2%
Sprint Nextel Corp........................... 43,250 567,873
Telephone & Data Systems, Inc................ 200 12,520
U.S. Cellular Corp. (b)...................... 100 8,410
------------
588,803
- --------------------------------------------------------------------------------
Total Common Stocks in the United States 88,087,214
================================================================================
Total Common Stocks
(Cost--$142,741,256)--57.9% 196,151,582
- --------------------------------------------------------------------------------
================================================================================
Preferred Stocks
- --------------------------------------------------------------------------------
United States--0.4%
Insurance--0.1%
IPC Holdings, Ltd., 7.25% (c)................ 1,500 39,750
Metlife, Inc. Series B, 6.375% (c)........... 8,100 247,779
------------
287,529
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.1%
El Paso Corp., 4.99% (c)(j).................. 190 267,116
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.2%
Fannie Mae Series 2004-1, 5.375% (c)......... 9 760,941
- --------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$1,327,125)--0.4% 1,315,586
================================================================================
Exchange-Traded Funds
- --------------------------------------------------------------------------------
United States--3.3%
Consumer Staples Select Sector SPDR Fund..... 26,400 760,320
Health Care Select Sector SPDR Fund.......... 26,500 935,715
iShares Dow Jones US Telecommunications
Sector Index Fund.......................... 12,900 380,808
iShares Dow Jones US Utilities Sector
Index Fund................................. 1,000 102,800
iShares Silver Trust (b)..................... 5,500 808,335
streetTRACKS(R) Gold Trust (b)............... 77,100 6,349,956
Telecom HOLDRs Trust......................... 3,300 125,301
Utilities Select Sector SPDR Fund............ 36,600 1,549,278
Vanguard Telecommunication Services ETF...... 400 30,108
- --------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$9,114,327)--3.3% 11,042,621
- --------------------------------------------------------------------------------
================================================================================
Mutual Funds
- --------------------------------------------------------------------------------
Vietnam--0.4%
Vietnam Enterprise Investments Ltd.--
R Shares (b)............................... 137,875 703,163
Vinaland Ltd. (b)............................ 441,100 617,540
- --------------------------------------------------------------------------------
Total Mutual Funds
(Cost--$1,090,727)--0.4% 1,320,703
- --------------------------------------------------------------------------------
================================================================================
Warrants (k)
- --------------------------------------------------------------------------------
Canada--0.0%
Metals & Mining--0.0%
Peak Gold Ltd. (expires 4/03/2012)........... 30,000 5,775
- --------------------------------------------------------------------------------
Total Warrants in Canada 5,775
================================================================================
United States--0.0%
Diversified Telecommunication Services--0.0%
AboveNet, Inc. (expires 9/08/2008)........... 329 18,095
AboveNet, Inc. (expires 9/08/2010)........... 387 19,350
------------
37,445
- --------------------------------------------------------------------------------
Paper & Forest Products--0.0%
Mandra Forestry Finance Ltd.
(expires 5/15/2013)........................ 475 0
- --------------------------------------------------------------------------------
Total Warrants in the United States 37,445
- --------------------------------------------------------------------------------
Total Warrants
(Cost--$88,328)--0.0% 43,220
- --------------------------------------------------------------------------------
================================================================================
Rights
- --------------------------------------------------------------------------------
Hong Kong--0.0%
Real Estate Management & Development--0.0%
Wharf Holdings Ltd. (l)...................... 8,750 12,007
- --------------------------------------------------------------------------------
Total Rights
(Cost--$0)--0.0% 12,007
- --------------------------------------------------------------------------------
================================================================================
Fixed Income Securities
- --------------------------------------------------------------------------------
Face
Corporate Bonds Amount
- --------------------------------------------------------------------------------
Brazil--0.1%
Commercial Banks--0.1%
- --------------------------------------------------------------------------------
Banco Nacional de Desenvolvimento Economico
e Social, 5.33% due 6/16/2008 (a).......... USD 100,000 99,400
- --------------------------------------------------------------------------------
36
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Brazil (concluded)
Food Products--0.0%
Cosan Finance Ltd., 7% due 2/01/2017 (j)..... USD 100,000 $ 93,750
- --------------------------------------------------------------------------------
Total Corporate Bonds in Brazil 193,150
================================================================================
Canada--0.0%
Wireless Telecommunication Services--0.0%
Rogers Wireless Communications, Inc.,
7.625% due 12/15/2011...................... CAD 100,000 109,223
- --------------------------------------------------------------------------------
Total Corporate Bonds in Canada 109,223
================================================================================
Chile--0.3%
Electric Utilities--0.3%
Empresa Electrica del Norte Grande SA,
7% due 11/05/2017 (i)(n)................... USD 1,023,822 1,005,905
- --------------------------------------------------------------------------------
Total Corporate Bonds in Chile 1,005,905
================================================================================
China--0.3%
Automobiles--0.1%
Brilliance China Finance Ltd.,
0% due 6/07/2011 (c)(o).................... 290,000 344,752
- --------------------------------------------------------------------------------
Food Products--0.2%
Chaoda Modern Agriculture Holdings Ltd.:
7.75% due 2/08/2010........................ 260,000 257,400
0% due 5/08/2011 (c)(o).................... HKD 1,650,000 271,124
----------
528,524
- --------------------------------------------------------------------------------
Total Corporate Bonds in China 873,276
================================================================================
Europe--0.6%
Commercial Banks--0.6%
European Investment Bank (o):
0% due 5/01/2008........................... BRL 500,000 271,953
0% due 9/12/2008 (j)....................... 1,850,425 961,984
0% due 9/21/2010 (j)....................... 2,200,000 891,320
- --------------------------------------------------------------------------------
Total Corporate Bonds in Europe 2,125,257
================================================================================
France--0.5%
Commercial Banks--0.5%
ERAP, 3.375% due 4/25/2008................... EUR 1,050,000 1,531,231
- --------------------------------------------------------------------------------
Total Corporate Bonds in France 1,531,231
================================================================================
Germany--0.6%
Commercial Banks--0.6%
KfW--Kreditanstalt fuer Wiederaufbau:
4.50% due 12/07/2008....................... GBP 250,000 494,345
4.25% due 7/04/2014........................ EUR 750,000 1,093,523
Norddeutsche Landesbank Girozentrale,
0.45% due 1/19/2009........................ JPY 50,000,000 445,723
- --------------------------------------------------------------------------------
Total Corporate Bonds in Germany 2,033,591
================================================================================
Hong Kong--0.2%
Industrial Conglomerates--0.1%
Hutchison Whampoa International 03/33 Ltd.,
5.45% due 11/24/2010....................... USD 250,000 254,063
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.1%
Hongkong Land CB 2005 Ltd.,
2.75% due 12/21/2012 (c)................... 200,000 279,000
- --------------------------------------------------------------------------------
Total Corporate Bonds in Hong Kong 533,063
================================================================================
India--0.9%
Automobiles--0.1%
Tata Motors Ltd., 1% due 4/27/2011 (c)....... 270,000 325,345
- --------------------------------------------------------------------------------
Beverages--0.0%
McDowell & Co. Ltd., 2% due 3/30/2011 (c).... 30,000 81,600
- --------------------------------------------------------------------------------
Metals & Mining--0.1%
Gujarat NRE Coke Ltd.,
0% due 4/12/2011 (c)(o).................... 200,000 420,000
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.2%
Housing Development Finance Corp.,
0% due 9/27/2010 (c)(o).................... 200,000 434,000
- --------------------------------------------------------------------------------
Transportation Infrastructure--0.1%
Punj Lloyd Ltd., 0% due 4/08/2011 (c)(o)..... 200,000 410,000
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.4%
Reliance Communications Ltd. (c)(o):
0% due 5/10/2011........................... 175,000 303,828
0% due 3/01/2012........................... 800,000 1,082,000
----------
1,385,828
- --------------------------------------------------------------------------------
Total Corporate Bonds in India 3,056,773
================================================================================
Japan--0.4%
Commercial Banks--0.4%
The Bank of Kyoto Ltd. Series 1,
1.90% due 9/30/2009 (c).................... JPY 32,000,000 600,333
International Bank for Reconstruction
& Development Series 670,
2% due 2/18/2008........................... 75,000,000 672,102
The Mie Bank Ltd.,
1% due 10/31/2011 (c)...................... 6,000,000 61,227
----------
1,333,662
- --------------------------------------------------------------------------------
Insurance--0.0%
ASIF II, 1.20% due 3/20/2008................. 10,000,000 89,475
- --------------------------------------------------------------------------------
Total Corporate Bonds in Japan 1,423,137
================================================================================
Malaysia--0.8%
Diversified Financial Services--0.2%
Feringghi Capital Ltd.,
0% due 12/22/2009 (c)(o)................... USD 300,000 351,750
Johor Corp., 1% due 7/31/2009(n)............. MYR 825,000 296,870
----------
648,620
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.3%
Rafflesia Capital Ltd.,
1.25% due 10/04/2011 (a)(c)................ USD 900,000 1,124,514
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.1%
Berjaya Land BHD, 8% due 8/15/2011 (c)....... MYR 780,000 252,079
Resorts World BHD,
0% due 9/19/2008 (c)(o).................... 230,000 100,151
----------
352,230
- --------------------------------------------------------------------------------
Multi-Utilities--0.2%
YTL Power Finance Cayman Ltd.,
0% due 5/09/2010 (c)(o).................... USD 500,000 708,745
- --------------------------------------------------------------------------------
Total Corporate Bonds in Malaysia 2,834,109
================================================================================
Netherlands--0.1%
Semiconductors & Semiconductor
Equipment--0.1%
ASM International NV (c):
4.25% due 12/06/2011....................... 30,000 37,511
4.25% due 12/06/2011 (j)................... 100,000 121,125
- --------------------------------------------------------------------------------
Total Corporate Bonds in the Netherlands 158,636
================================================================================
Singapore--0.2%
Oil, Gas & Consumable Fuels--0.1%
Enercoal Resources Series BUMI,
0% due 6/22/2012 (c)(o).................... 200,000 464,000
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.1%
CapitaLand Ltd.,
2.10% due 11/15/2016 (c)................... SGD 250,000 192,648
Keppel Land Ltd.,
2.50% due 6/23/2013 (c).................... 200,000 184,824
----------
377,472
- --------------------------------------------------------------------------------
Total Corporate Bonds in Singapore 841,472
================================================================================
37
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
South Korea--0.1%
Wireless Telecommunication Services--0.1%
LG Telecom Ltd., 8.25% due 7/15/2009 (j)..... USD 350,000 $ 356,349
- --------------------------------------------------------------------------------
Total Corporate Bonds in South Korea 356,349
================================================================================
Sweden--0.1%
Diversified Financial Services--0.1%
Svensk Exportkredit AB,
10.50% due 9/29/2015....................... TRY 503,625 407,282
- --------------------------------------------------------------------------------
Total Corporate Bonds in Sweden 407,282
================================================================================
Taiwan--0.0%
Insurance--0.0%
Shin Kong Financial Holding Co. Ltd., 0%
due 6/17/2009 (c)(o)....................... USD 20,000 20,704
- --------------------------------------------------------------------------------
Total Corporate Bonds in Taiwan 20,704
================================================================================
United Arab Emirates--0.7%
Oil, Gas & Consumable Fuels--0.3%
Dana Gas Sukuk Ltd.,
7.50% due 10/31/2012 (c)................... 800,000 847,944
- --------------------------------------------------------------------------------
Real Estate Management & Development--0.4%
Aldar Funding Ltd.,
5.767% due 11/10/2011 (c).................. 700,000 1,400,000
- --------------------------------------------------------------------------------
Total Corporate Bonds in the
United Arab Emirates 2,247,944
================================================================================
United States--1.3%
Airlines--0.0%
Northwest Airlines, Inc. Series 1999-3-B,
9.485% due 10/01/2016 (h)(i)............... 136,210 23,156
- --------------------------------------------------------------------------------
Biotechnology--0.0%
Cell Genesys, Inc.,
3.125% due 11/01/2011 (c).................. 60,000 43,350
Nabi Biopharmaceuticals,
2.875% due 4/15/2025 (c)................... 80,000 70,000
----------
113,350
- --------------------------------------------------------------------------------
Commercial Banks--0.2%
Preferred Term Securities XXIV, Ltd.,
5.965% due 3/22/2037 (c)(j)................ 150,000 116,250
Preferred Term Securities XXV, Ltd.,
5.758% due 6/22/2037 (c)................... 300,000 250,500
Preferred Term Securities XXVI, Ltd.,
6.191% due 9/22/2037 (c)................... 140,000 112,700
Preferred Term Securities XXVII, Ltd.,
6.29% due 12/22/2037 (c)................... 100,000 98,500
----------
577,950
- --------------------------------------------------------------------------------
Containers & Packaging--0.0%
Crown Cork & Seal Co., Inc.,
7.50% due 12/15/2096....................... 150,000 123,000
- --------------------------------------------------------------------------------
Diversified Financial Services--0.4%
General Electric Capital Corp.,
1.032% due 1/15/2010 (a)................... JPY 119,000,000 1,065,234
Triad Acquisition Corp. Series B,
11.125% due 5/01/2013...................... USD 40,000 29,600
----------
1,094,834
- --------------------------------------------------------------------------------
Food Products--0.2%
IOI Capital BHD Series IOI,
0% due 12/18/2011 (c)(o)................... 425,000 661,493
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.0%
Tenet Healthcare Corp.,
9.25% due 2/01/2015........................ 200,000 185,000
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.0%
Uno Restaurant Corp.,
10% due 2/15/2011 (j)...................... 90,000 66,600
- --------------------------------------------------------------------------------
Independent Power Producers & Energy
Traders--0.1%
The AES Corp., 8.375% due 3/01/2011.......... GBP 84,000 166,375
Calpine Corp.,
8.75% due 7/15/2013 (h)(j)................. USD 140,000 150,500
Calpine Generating Company LLC (h):
9.07% due 4/01/2009........................ 4,900 184
11.07% due 4/01/2010 (i)................... 250,000 11,875
----------
328,934
- --------------------------------------------------------------------------------
Insurance--0.0%
Fortis Insurance NV,
7.75% due 1/26/2008 (c)(j)................. 97,000 159,809
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.1%
McMoRan Exploration Co. (c):
5.25% due 10/06/2011....................... 200,000 218,500
5.25% due 10/06/2011 (j)................... 125,000 136,563
----------
355,063
- --------------------------------------------------------------------------------
Paper & Forest Products--0.2%
Mandra Forestry,
12% due 5/15/2013 (g)(j)................... 475,000 442,938
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
Nextel Communications, Inc.,
5.25% due 1/15/2010 (c).................... 350,000 346,500
- --------------------------------------------------------------------------------
Total Corporate Bonds in the United States 4,478,627
================================================================================
Total Corporate Bonds
(Cost--$20,012,889)--7.2% 24,229,729
- --------------------------------------------------------------------------------
================================================================================
Asset-Backed Securities**
- --------------------------------------------------------------------------------
Latitude CLO Ltd. Series 2005-1I Class SUB,
13% due 12/15/2017......................... 100,000 79,710
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$95,757)--0.0% 79,710
- --------------------------------------------------------------------------------
================================================================================
Foreign Government Obligations
- --------------------------------------------------------------------------------
Australia Government International Bond
Series 909, 7.50% due 9/15/2009............ AUD 435,000 385,918
Australian Government Bonds:
8.75% due 8/15/2008........................ 435,000 386,965
Series 121, 5.25% due 8/15/2010............ 875,000 738,526
Bank Negara Malaysia Monetary Notes,
0% due 4/01/2008 (o)....................... MYR 2,500,000 755,065
Brazil Notas do Tesouro Nacional Series F:
10% due 1/01/2012.......................... BRL 275,000 140,865
10% due 1/01/2017.......................... 318,000 149,975
Bundesrepublik Deutschland:
4% due 7/04/2016........................... EUR 3,100,000 4,439,417
4.25% due 7/04/2017........................ 2,280,000 3,317,082
Caisse d'Amortissement de la Dette Sociale,
4% due 10/25/2014.......................... 375,000 536,698
Canadian Government Bond:
4% due 9/01/2010........................... CAD 895,000 910,806
4% due 6/01/2016........................... 275,000 279,168
38
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Foreign Government Obligations Amount Value
- --------------------------------------------------------------------------------
Iceland Rikisbref,
7.25% due 5/17/2013........................ ISK 27,000,000 $ 374,492
Malaysia Government Bond:
3.756% due 4/28/2011....................... MYR 3,150,000 957,522
Series 3/06, 3.869% due 4/13/2010.......... 1,800,000 548,733
Netherlands Government Bond,
3.75% due 7/15/2014........................ EUR 475,000 675,661
New Zealand Government Bond Series 216,
4.50% due 2/14/2016 ....................... NZD 425,000 428,784
Poland Government Bond,
3% due 8/24/2016........................... PLN 2,250,000 928,599
Sweden Government Bond Series 3101,
4% due 12/01/2008.......................... SEK 7,875,000 1,496,849
Unedic, 3.50% due 9/18/2008.................. EUR 1,050,000 1,523,009
United Kingdom Gilt:
4.25% due 3/07/2011........................ GBP 2,160,000 4,279,239
4% due 9/07/2016........................... 1,100,000 2,111,165
- --------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$23,631,042)--7.5% 25,364,538
- --------------------------------------------------------------------------------
================================================================================
U.S. Government & Agency Obligations
- --------------------------------------------------------------------------------
United States--17.1%
Fannie Mae, 5.40% due 2/01/2008.............. USD 28,000 28,016
U.S. Treasury Inflation Indexed Bonds:
0.875% due 4/15/2010....................... 3,694,414 3,682,004
2.375% due 4/15/2011 (e)................... 10,025,729 10,450,259
2% due 4/15/2012........................... 545,672 565,538
1.875% due 7/15/2015....................... 3,523,015 3,590,999
2% due 1/15/2016........................... 10,799,881 11,083,378
2.50% due 7/15/2016........................ 6,442,929 6,870,777
2.625% due 7/15/2017....................... 504,015 543,824
2.375% due 1/15/2027....................... 3,107,970 3,286,678
U.S. Treasury Notes:
4.875% due 4/30/2008....................... 650,000 653,149
4% due 6/15/2009........................... 750,000 759,785
4.625% due 7/31/2009....................... 4,340,000 4,441,040
4.75% due 3/31/2011........................ 1,500,000 1,573,593
4.875% due 5/31/2011....................... 4,850,000 5,111,444
4.625% due 2/29/2012....................... 2,775,000 2,912,016
4% due 11/15/2012.......................... 375,000 385,107
4.25% due 11/15/2014....................... 1,150,000 1,186,387
4.25% due 11/15/2017....................... 850,000 864,809
- --------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$54,136,257)--17.1% 57,988,803
- --------------------------------------------------------------------------------
================================================================================
Structured Notes
- --------------------------------------------------------------------------------
Brazil--1.0%
JPMorgan Chase & Co.
(NTN--B Linked Notes) (f):
6% due 8/15/2010......................... BRL 4,989,302 2,697,781
6% due 8/17/2010......................... 1,108,182 599,361
- --------------------------------------------------------------------------------
Total Structured Notes in Brazil 3,297,142
================================================================================
Europe--0.8%
Goldman Sachs & Co. (Dow Jones
EURO STOXX 50(R) Index Linked Notes),
due 6/20/2008 (a)(f)....................... USD 1,230,000 1,386,722
JPMorgan Chase & Co. (Dow Jones
EURO STOXX 50(R) Index Linked Notes),
due 6/17/2008 (a)(f)....................... 1,230,000 1,397,649
- --------------------------------------------------------------------------------
Total Structured Notes in Europe 2,784,371
================================================================================
Taiwan--0.2%
UBS AG (Total Return TWD Linked Notes),
due 12/01/2010 (f)......................... 544,226 550,050
- --------------------------------------------------------------------------------
Total Structured Notes in Taiwan 550,050
================================================================================
United States--1.7%
JPMorgan Chase & Co. (Bearish Buffered
Return Enhanced Notes Linked Inversely to
the S&P 500), due 5/04/2009 (m)............ 2,000,000 2,076,200
Morgan Stanley (Bear Market PLUS S&P 500
Linked Notes), due 5/07/2009 (m)........... 2,138,000 2,219,458
UBS AG (Gold Linked Notes),
due 3/23/2009 (f).......................... 800,000 922,000
UBS AG (Risk Reversal Certificate Linked
to the XAU/USD Exchange Rate),
due 1/31/2008 (b).......................... 520,000 697,476
- --------------------------------------------------------------------------------
Total Structured Notes in the United States 5,915,134
================================================================================
Total Structured Notes
(Cost--$11,099,793)--3.7% 12,546,697
- --------------------------------------------------------------------------------
Total Fixed Income Securities
(Cost--$108,975,738)--35.5% 120,209,477
- --------------------------------------------------------------------------------
================================================================================
Short-Term Securities
- --------------------------------------------------------------------------------
Canada--0.3%
Foreign Government Obligations--0.3%
Canada Treasury Bill, 0% due 3/20/2008 (o)... CAD 850,000 854,082
- --------------------------------------------------------------------------------
Total Short-Term Securities in Canada 854,082
================================================================================
Singapore--0.6%
Time Deposits--0.6%
SGD Time Deposit:
1.95% due 1/11/2008........................ SGD 676,065 469,669
2.12% due 1/11/2008........................ 623,355 433,051
1.88% due 1/18/2008........................ 1,707,768 1,186,403
- --------------------------------------------------------------------------------
Total Short-Term Securities in Singapore 2,089,123
================================================================================
United States--1.6%
Time Deposits--0.0%
Brown Brothers Harriman & Co.,
2.53% due 1/02/2008........................ USD 92,469 92,469
- --------------------------------------------------------------------------------
U.S. Government Obligations--1.6%
U.S. Treasury Bills:
2.32% due 1/03/2008........................ 50,000 49,994
3.65% due 2/07/2008........................ 4,000,000 3,985,344
3.07% due 2/14/2008........................ 1,500,000 1,494,527
- --------------------------------------------------------------------------------
Total Short-Term Securities
in the United States 5,622,334
================================================================================
Total Short-Term Securities
(Cost--$8,438,761)--2.5% 8,565,539
================================================================================
39
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Number of
Options Purchased Contracts Value
- --------------------------------------------------------------------------------
Call Options Purchased
Bristol-Myers Squibb Co., expiring
January 2009 at USD 35..................... 150 $ 5,850
The Gap, Inc., expiring January 2008
at USD 22.5................................ 174 6,525
General Motors Corp.:
expiring January 2010 at USD 50............ 83 7,429
expiring January 2010 at USD 60............ 42 1,827
Goldcorp, Inc., expiring January 2008
at USD 32.5................................ 153 34,425
Medtronic, Inc.:
expiring January 2009 at USD 50............ 22 13,090
expiring January 2009 at USD 60............ 71 15,087
Newmont Mining Corp.:
expiring January 2008 at USD 50............ 87 10,005
expiring January 2008 at USD 55............ 174 3,915
------------
98,153
- --------------------------------------------------------------------------------
Put Options Purchased
Black & Decker Corp., expiring
February 2008 at USD 80.................... 12 12,960
Carnival Corp.:
expiring January 2008 at USD 40............ 155 2,325
expiring April 2008 at USD 40.............. 146 19,345
J.B. Hunt Transport Services, Inc.,
expiring February 2008 at USD 22.5......... 87 3,480
Masco Corp., expiring January 2008
at USD 22.5................................ 155 22,087
Royal Caribbean Cruises Ltd.,
expiring March 2008 at USD 35.............. 145 13,050
Russell 2000 Index:
expiring January 2008 at USD 720........... 24 12,960
expiring January 2008 at USD 750........... 135 176,850
expiring March 2008 at USD 720............. 94 224,190
expiring March 2008 at USD 750............. 63 211,680
S&P 500 Index:
expiring March 2008 at USD 1,475........... 32 194,880
expiring March 2008 at USD 1,500........... 5 35,950
The Sherwin-Williams Co.,
expiring January 2008 at USD 60............ 70 20,825
Whirlpool Corp., expiring March 2008
at USD 75.................................. 70 23,100
Williams-Sonoma, Inc., expiring
February 2008 at USD 27.5.................. 140 36,750
Yen Call 2/8/95 64.75, expiring
February 2008 at USD 106.9................. 1,215 8,290
------------
1,018,722
- --------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$1,569,057)--0.3% 1,116,875
- --------------------------------------------------------------------------------
Total Investments Before Investments
Sold Short and Options Written
(Cost--$273,345,319*)--100.3% 339,777,610
- --------------------------------------------------------------------------------
================================================================================
Shares
Investments Sold Short Held
- --------------------------------------------------------------------------------
Bed, Bath & Beyond, Inc. (b)................. (16,200) (476,118)
Black & Decker, Corp......................... (4,00) (278,600)
iShares Russell 2000 Index Fund.............. (37,900) (2,886,464)
Leggett & Platt Inc.......................... (22,200) (387,168)
Masco Corp................................... (32,200) (695,842)
Sherwin Williams Co.......................... (17,200) (998,288)
Williams Sonoma Inc.......................... (20,200) (523,180)
- --------------------------------------------------------------------------------
Total Investments Sold Short
(Proceeds--$6,641,217)--(1.8%) (6,245,660)
- --------------------------------------------------------------------------------
================================================================================
Number of
Options Written Contracts
- --------------------------------------------------------------------------------
Call Options Written
3Com Corp.,
expiring January 2008 at USD 5............. 555 (2,775)
American Commercial Lines, Inc.,
expiring March 2008 at USD 17.5............ 76 (8,550)
Apple Inc., expiring
January 2008 at USD 85..................... 108 (1,223,640)
Burlington Northern Santa Fe Corp.:
expiring January 2008 at USD 90............ 21 (473)
expiring January 2008 at USD 95............ 53 (265)
expiring January 2009 at USD 90............ 62 (45,570)
Ciena Corp.,
expiring January 2008 at USD 30............ 54 (23,490)
expiring January 2008 at USD 40............ 165 (2,063)
Circuit City Stores, Inc., expiring
January 2009 at USD 5...................... 80 (8,200)
Comcast Corp. Class A, expiring
April 2008 at USD 27.5..................... 307 (1,535)
Comverse Technology, Inc.:
expiring January 2008 at USD 17.5.......... 436 (18,530)
expiring January 2008 at USD 20............ 10 (500)
Consol Energy, Inc., expiring
January 2009 at USD 45..................... 57 (171,570)
eBay, Inc.:
expiring January 2008 at USD 20............ 46 (61,410)
expiring January 2008 at USD 25............ 48 (40,080)
El Paso Corp., expiring
January 2008 at USD 15..................... 96 (21,840)
Exelon Corp., expiring
January 2008 at USD 75..................... 63 (44,415)
Foster Wheeler Ltd.:
expiring January 2008 at USD 130........... 25 (66,750)
expiring January 2009 at USD 135........... 7 (32,200)
Lexmark International, Inc. Class A,
expiring January 2009 at USD 35............ 21 (12,495)
Motorola, Inc.,
expiring January 2008 at USD 17.5.......... 108 (810)
expiring January 2008 at USD 20............ 117 (234)
Norfolk Southern Corp.,
expiring January 2008 at USD 50............ 63 (9,765)
expiring January 2009 at USD 55............ 63 (28,665)
Nortel Networks Corp., expiring
January 2008 at USD 22.5................... 134 (670)
Novell, Inc., expiring January 2008
at USD 7.5................................. 52 (390)
Panera Bread Co. Class A:
expiring January 2008 at USD 50............ 52 (260)
expiring January 2008 at USD 55............ 91 (455)
expiring January 2009 at USD 40............ 171 (81,225)
40
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Number of
Options Written Contracts Value
- --------------------------------------------------------------------------------
Call Options Written (continued)
Peabody Energy Corp., expiring
January 2008 at USD 40..................... 75 $ (193,125)
Petroleo Brasileiro SA:
expiring January 2008 at USD 52.5.......... 68 (428,740)
expiring January 2008 at USD 55............ 50 (302,750)
Polycom, Inc., expiring January 2009
at USD 30.................................. 127 (46,990)
QUALCOMM, Inc., expiring
January 2008 at USD 40..................... 165 (14,602)
Smith International, Inc., expiring
January 2008 at USD 40..................... 39 (132,405)
Sprint Nextel Corp.:
expiring January 2008 at USD 20............ 69 (345)
expiring January 2008 at USD 22.5.......... 147 (735)
The St. Joe Co.:
expiring March 2008 at USD 35.............. 62 (18,445)
expiring January 2009 at USD 35............ 72 (47,880)
expiring January 2009 at USD 40............ 23 (10,120)
State Street Corp.:
expiring May 2008 at USD 75................ 16 (19,280)
expiring May 2008 at USD 80................ 16 (14,080)
Suncor Energy, Inc., expiring
January 2008 at USD 75..................... 43 (146,200)
TIBCO Software, Inc., expiring
January 2008 at USD 10..................... 171 (855)
Valeant Pharmaceuticals International,
expiring January 2009 at USD 15............ 114 (11,970)
Xerox Corp., expiring January 2009
at USD 20.................................. 98 (6,615)
------------
(3,303,962)
- --------------------------------------------------------------------------------
Put Options Written
Russell 2000 Index, expiring
March 2008 at USD 670...................... 63 (79,380)
S&P 500 Index:
expiring March 2008 at USD 1,400........... 32 (116,160)
expiring March 2008 at USD 1,425........... 5 (21,650)
------------
(217,190)
- --------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$2,003,618 )--(1.0%) (3,521,152)
- --------------------------------------------------------------------------------
Total Investments, Net of Investments Sold Short and
Options Written (Cost--$264,700,484)--97.5%................... 330,010,798
Other Assets Less Liabilities--2.5%........................... 8,631,436
-------------
Net Assets--100.0% $338,642,234
=============
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost........................................... $275,984,375
=============
Gross unrealized appreciation............................ $ 70,772,646
Gross unrealized depreciation............................ (6,979,411)
-------------
Net unrealized appreciation.............................. $ 63,793,235
=============
** Asset-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.
(a) Floating rate security.
(b) Non-income producing security.
(c) Convertible security.
(d) Depositary receipts.
(e) All or a portion of security held as collateral in connection with open
financial futures contracts or short sales.
(f) Security represents an index linked note. The value of the instrument is
derived from the price fluctuations in the underlying index.
(g) Issued with warrants.
(h) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(i) Subject to principal paydowns.
(j) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(k) 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.
(l) The rights may be exercised until January 4, 2008.
(m) Security represents an index linked note. The value of the instrument is
inversely derived from the price fluctuations in the underlying index.
(n) Represents a step bond.
(o) Represents a zero coupon bond.
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 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.......................... $(14,658,732) $381,847
BlackRock Liquidity Series, LLC
Money Market Series........................ -- $ 858
- --------------------------------------------------------------------------------
41
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
o Forward foreign exchange contracts as of December 31, 2007 were as
follows:
- --------------------------------------------------------------------------------
Foreign Unrealized
Foreign Currency Currency Settlement Appreciation
Purchased Sold Date (Depreciation)
- --------------------------------------------------------------------------------
BRL 408,100 USD 230,396 1/03/08 $ (1,424)
USD 220,000 BRL 408,100 1/03/08 (8,972)
SGD 289,746 USD 200,711 1/04/08 649
USD 582,025 CAD 556,998 1/04/08 17,633
EUR 2,271,597 USD 3,331,683 1/10/08 (9,862)
EUR 6,763,000 USD 9,911,582 1/10/08 (21,855)
JPY 79,347,259 EUR 490,334 1/10/08 (5,888)
JPY 64,321,976 NZD 764,700 1/10/08 (11,272)
JPY 250,851,000 USD 2,287,531 1/10/08 (39,128)
JPY 598,024,000 USD 5,468,248 1/10/08 (108,524)
USD 600,000 EUR 408,133 1/10/08 3,176
USD 400,000 EUR 278,087 1/10/08 (6,654)
USD 5,306,503 GBP 2,632,007 1/10/08 68,827
CHF 3,646,740 USD 3,254,342 1/11/08 (30,816)
EUR 399,255 USD 586,566 1/11/08 (2,712)
USD 700,000 AUD 800,224 1/17/08 (9,070)
USD 600,000 HKD 4,676,280 1/17/08 (140)
CHF 1,005,969 GBP 434,000 1/18/08 26,183
CHF 1,098,900 USD 1,000,000 1/18/08 (28,178)
AUD 1,965,819 GBP 851,000 1/24/08 31,037
CHF 1,467,025 GBP 635,000 1/24/08 34,769
CHF 1,065,976 GBP 460,000 1/24/08 28,062
CHF 599,966 GBP 262,582 1/24/08 8,476
CHF 387,116 GBP 169,399 1/24/08 5,522
CHF 2,793,326 USD 2,474,817 1/25/08 (3,364)
JPY 878,982,245 USD 7,872,658 1/25/08 18,139
JPY 329,310,000 USD 2,946,477 1/25/08 9,804
JPY 265,176,000 USD 2,377,429 1/25/08 3,109
USD 1,000,000 JPY 112,956,000 1/25/08 (14,028)
USD 228,050 TRY 269,236 1/25/08 310
CAD 97,984 USD 97,655 1/31/08 1,665
NOK 2,208,715 USD 395,256 2/01/08 11,153
SEK 636,490 USD 96,767 2/01/08 1,745
AED 633,413 USD 175,000 2/21/08 (1,523)
INR 6,528,000 USD 150,000 4/23/08 14,805
VND 2,552,586,000 USD 159,000 5/08/08 434
VND 4,193,750,000 USD 262,000 5/21/08 (83)
AED 622,913 USD 175,000 11/24/08 (1,387)
- --------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward
Foreign Exchange Contracts--Net $ (19,382)
=========
o Swaps outstanding as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Pay (receive) a variable return based on the
change in the since inception of the KOSPI 200
Index and receive a floating rate based on 0.00
Broker, Citibank, NA
Expires March 2008 KRW 606,750,000 $ 2,221
Bought credit default protection on
United Mexican States and pay 1.12%
Broker, Credit Suisse First Boston
Expires May 2010 USD 140,000 (2,143)
Bought credit default protection on
DaimlerChrysler NA Holding Corp. and pay 0.53%
Broker, JPMorgan Chase
Expires June 2011 EUR 95,000 (410)
Bought credit default protection on
Carnival Corp. and pay 0.25%
Broker, JPMorgan Chase
Expires September 2011 USD 185,000 944
Bought credit default protection on
Whirlpool Corp. and pay 0.48%
Broker, JPMorgan Chase
Expires September 2011 USD 50,000 117
Bought credit default protection on
McDonald's Corp. and pay 0.16%
Broker, JPMorgan Chase
Expires September 2011 USD 50,000 (3)
Bought credit default protection on
JC Penney Corp., Inc. and pay 0.53%
Broker, JPMorgan Chase
Expires September 2011 USD 50,000 1,435
Sold credit default protection on
General Motors Corp. and receive 7.15%
Broker, Deutsche Bank AG London
Expires September 2012 USD 99,468 594
Sold credit default protection on
General Motors Corp. and receive 6.95%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2012 USD 99,468 (71)
- --------------------------------------------------------------------------------
Total $ 2,684
=======
42
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global Allocation Portfolio
Schedule of Investments as of December 31, 2007 (Concluded) (in U.S. dollars)
================================================================================
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Exchange Date Value (Depreciation)
- --------------------------------------------------------------------------------
1 EuroDollar Future September
Chicago 2008 $ 237,901 $ 3,374
47 2-Year March
U.S. Treasury Bond Chicago 2008 $9,892,510 (10,760)
- --------------------------------------------------------------------------------
Total Unrealized Depreciation--Net $ (7,386)
=========
o Financial futures contracts sold as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Exchange Date Value (Depreciation)
- --------------------------------------------------------------------------------
31 10-Year March
U.S. Treasury Bond Chicago 2008 $3,518,037 $ 2,928
4 DJ Euro Stoxx 50 Eurex March
Deutschland 2008 $ 259,453 85
5 FTSE 100 Index March
LIFFE 2008 $ 648,379 5,911
3 Japan 10-Year March
Government Bond Tokyo 2008 $3,684,210 10,308
1 EuroDollar Future September
Chicago 2009 $ 237,549 (3,326)
1 Hang Seng January
Index Future Hong Kong 2008 $ 182,088 3,118
3 MSCI Singapore IX January
ETS Futures Singapore 2008 $ 176,007 (1,269)
10 S&P 500 Index March
Chicago 2008 $3,661,961 (32,003)
6 MSCI Taiwan January
Simex Index Singapore 2008 $ 193,416 (6,684)
- --------------------------------------------------------------------------------
Total Unrealized Depreciation--Net $(20,932)
========
o Currency Abbreviations:
AED United Arab Emirates Dirhmas KRW South Korean Won
AUD Australian Dollar MYR Malaysian Ringgit
BRL Brazilian Real NOK Norwegian Krone
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
INR Indian Rupee USD U.S. Dollar
ISK Icelandic Krona VND Vietnam Dong
JPY Japanese Yen
See Notes to Financial Statements.
43
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2007
================================================================================
Face
U.S. Government Obligations Amount Value
- --------------------------------------------------------------------------------
U.S. Treasury Inflation Indexed Bonds,
3.50% due 1/15/2011 .............................. $ 2,232,725 $ 2,401,227
U.S. Treasury Notes:
3.875% due 10/31/2012 ............................ 13,000,000 13,254,917
3.375% due 11/30/2012 ............................ 10,400,000 10,365,066
4.75% due 8/15/2017 .............................. 9,500,000 10,033,634
4.25% due 11/15/2017 ............................. 18,270,000 18,588,300
- --------------------------------------------------------------------------------
Total U.S. Government Obligations
(Cost--$53,810,061)--35.3% 54,643,144
- --------------------------------------------------------------------------------
================================================================================
U.S. Government Agency
Mortgage-Backed Securities+
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates:
5.00% due 1/15/2038 (b) .......................... 8,000,000 7,805,000
5.097% due 11/01/2035 (a) ........................ 2,325,860 2,335,565
5.271% due 9/01/2035 (a) ......................... 1,099,721 1,108,005
5.474% due 12/01/2036 (a) ........................ 1,471,706 1,491,609
5.50% due 8/01/2034-1/15/2038 (b)(d) ............. 68,396,145 68,396,871
6.00% due 1/15/2023-1/15/2038 (b) ................ 57,771,621 58,715,561
6.50% due 10/01/2022-1/15/2038 (b) ............... 60,160,348 61,841,416
7.50% due 6/01/2030-4/01/2031 .................... 302,087 322,442
8.00% due 4/01/2030-10/01/2032 ................... 200,417 214,840
Freddie Mac Mortgage Participation Certificates:
5.50% due 1/15/2038 (b) .......................... 1,200,000 1,197,374
6.00% due 1/15/2023-2/15/2038 (b) ................ 3,600,000 3,654,563
8.00% due 3/01/2030-6/01/2031 .................... 55,416 59,346
Ginnie Mae MBS Certificates:
5.50% due 1/15/2038 (b) .......................... 3,100,000 3,116,469
8.00% due 1/15/2032 .............................. 1,386,829 1,501,562
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities
(Cost--$210,710,283)--137.0% 211,760,623
- --------------------------------------------------------------------------------
================================================================================
Non-Government Agency
Mortgage-Backed Securities+
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations--21.1%
Banc of America Funding Corp.:
Series 2006-7 Class 1A7,
6% due 9/25/2036 ................................. 2,414,077 2,436,012
Series 2006-B Class 5A1,
5.813% due 3/20/2036 (a)(d) ...................... 1,664,309 1,679,084
CS First Boston Mortgage Securities Corp.:
Series 2003-8 Class 2A1,
5% due 4/25/2018 ................................. 643,828 638,959
Series 2003-10 Class 4A1,
5% due 5/25/2018 ................................. 840,008 828,114
Chase Mortgage Finance Corp.:
Series 2003-S3 Class A1,
5% due 3/25/2018 ................................. 309,008 304,276
Series 2003-S4 Class 2A1,
5% due 4/25/2018 ................................. 884,017 877,249
Citimortgage Alternative Loan Trust:
Series 2007-A2 Class 1A5,
6% due 2/25/2037 ................................. 1,580,900 1,569,040
Series 2007-A3 Class 1A7,
5.75% due 3/25/2037 .............................. 873,340 859,931
Countrywide Alternative Loan Trust:
Series 2005-57CB Class 3A3,
5.50% due 12/25/2035 ............................. 609,836 602,733
Series 2006-41CB Class 1A3,
6% due 1/25/2037 ................................. 602,603 605,825
Series 2007-16CB Class 5A3,
6.25% due 8/25/2037 .............................. 2,710,000 2,647,701
Series 2007-19 Class 1A8,
6% due 8/25/2037 ................................. 1,232,719 1,199,216
Series 2007-3T1 Class1A7,
6% due 4/25/2037 (d) ............................. 1,271,616 1,267,133
Countrywide Home Loan Mortgage
Pass-Through Trust:
Series 2003-10 Class A6,
5.215% due 5/25/2033 (a) ......................... 902,055 901,303
Series 2006-20 Class 1A33,
6% due 2/25/2037 ................................. 2,602,841 2,643,810
First Horizon Alternative Mortgage Securities:
Series 2005-FA9 Class A5,
5.50% due 12/25/2035 ............................. 745,482 743,098
MASTR Asset Securitization Trust:
Series 2003-4 Class 2A7,
4.75% due 5/25/2018 .............................. 611,529 605,155
Series 2003-5 Class 2A1,
5% due 6/25/2018 ................................. 830,657 829,858
Series 2003-7 Class 2A1,
4.75% due 8/25/2018 .............................. 1,116,716 1,106,572
Merrill Lynch Mortgage Investors, Inc.
Series 2006-A3 Class 3A1,
5.827% due 5/25/2036 (a)(e) ...................... 1,567,765 1,585,386
Residential Asset Securitization Trust
Series 2003-A8 Class A2,
5.215% due 10/25/2018 (a) ........................ 2,202,884 2,140,199
Residential Funding Mortgage Securities I:
Series 2003-S16 Class A3,
5% due 9/25/2018 ................................. 1,091,954 1,085,471
Series 2007-S2 Class A3,
6% due 2/25/2037 ................................. 700,000 708,315
Series 2007-S6 Class 2A12,
6% due 6/25/2037 ................................. 3,040,531 3,079,349
WaMu Mortgage Pass-Through Certificates:
Series 2003-S3 Class 2A1,
5% due 5/25/2018 ................................. 839,988 845,271
Series 2003-S8 Class A2,
5% due 9/25/2018 ................................. 754,864 754,138
- --------------------------------------------------------------------------------
Total Non-Government Agency
Mortgage-Backed Securities
(Cost--$32,456,966)--21.1% 32,543,198
- --------------------------------------------------------------------------------
================================================================================
U.S. Government Agency
Mortgage-Backed Securities+--
Collateralized Mortgage Obligations--29.9%
- --------------------------------------------------------------------------------
Fannie Mae Trust:
Series 353 Class 2,
5% due 8/01/2034 (c) ............................. 3,103,003 774,050
Series 370 Class 2,
6% due 5/25/2036 (c) ............................. 2,058,404 451,827
Series 2002-W11 Class AV1,
5.205% due 11/25/2032 (a) ........................ 62,069 61,372
Series 2003-27 Class FP,
5.165% due 6/25/2028 (a) ......................... 965,906 965,359
Series 2003-33 Class LF,
5.215% due 7/25/2017 (a) ......................... 1,621,097 1,629,801
44
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
U.S. Government Agency
Mortgage-Backed Securities+-- Face
Collateralized Mortgage Obligations Amount Value
- --------------------------------------------------------------------------------
Fannie Mae Trust (concluded):
Series 2003-34 Class FS,
5.265% due 1/25/2032 (a) ......................... $ 1,446,971 $ 1,447,551
Series 2003-41 Class YF,
5.165% due 6/25/2028 (a) ......................... 1,274,182 1,273,856
Series 2006-106 Class PA,
5.50% due 6/25/2030 .............................. 2,882,436 2,921,253
Series 2006-M2 Class A2A,
5.271% due 10/25/2032 (a) ........................ 1,725,000 1,724,404
Freddie Mac Multiclass Certificates:
Series 2564 Class OF,
4.536% due 2/15/2026 (a) ......................... 2,330,260 2,329,584
Series 2594 Class DF,
4.536% due 12/15/2027 (a) ........................ 2,272,378 2,270,630
Series 2614 Class EF,
4.636% due 12/15/2017 (a) ........................ 2,599,035 2,615,765
Series 2634 Class TH,
4.50% due 6/15/2018 .............................. 900,000 865,822
Series 2743 Class HE,
4.50% due 2/15/2019 .............................. 830,000 802,856
Series 2746 Class EG,
4.50% due 2/15/2019 .............................. 730,000 705,239
Series 2798 Class JK,
4.50% due 5/15/2019 .............................. 990,000 955,018
Series 2827 Class DG,
4.50% due 7/15/2019 .............................. 1,050,000 1,009,784
Series 2882 Class UW,
4.50% due 11/15/2019 ............................. 1,050,000 1,007,258
Series 2899 Class KT,
4.50% due 12/15/2019 ............................. 750,000 717,018
Series 2924 Class DB,
4.50% due 1/15/2020 .............................. 930,000 892,673
Series 2948 Class KT,
4.50% due 3/15/2020 .............................. 620,000 591,264
Series 2971 Class GD,
5% due 5/15/2020 ................................. 1,480,000 1,470,776
Series 2987 Class HE,
4.50% due 6/15/2020 .............................. 730,000 701,258
Series 2995 Class JK,
4.50% due 6/15/2020 .............................. 570,000 546,147
Series 3042 Class EA,
4.50% due 9/15/2035 .............................. 1,940,000 1,821,002
Series 3192 Class GA,
6% due 3/15/2027 ................................. 2,172,355 2,204,749
Series 3215 Class QH,
6% due 9/15/2036 ................................. 900,000 908,127
Series 3218 Class BG,
6% due 9/15/2036 ................................. 925,000 939,499
Series 3242 Class NC,
5.75% due 12/15/2028 ............................. 2,111,489 2,142,038
Ginnie Mae Trust:
Series 2002-83 Class IO,
1.574% due 10/16/2042 (c) ........................ 23,305,095 589,721
Series 2003-17 Class IO,
1.24% due 3/16/2043 (c) .......................... 34,731,003 1,043,806
Series 2003-109 Class IO,
1.098% due 11/16/2043 (c) ........................ 19,565,958 610,149
Series 2004-9 Class IO,
1.383% due 3/16/2034 (c) ......................... 12,349,786 388,461
Series 2004-43 Class Z,
4.50% due 6/16/2044 (a) .......................... 2,047,913 1,622,223
Series 2004-45 Class Z,
5.723% due 6/16/2045 (a) ......................... 2,138,433 2,183,994
Series 2004-77 Class IO,
1.065% due 9/16/2044 (c) ......................... 70,419,093 2,193,597
Series 2005-71 Class AB,
5.50% due 9/20/2035 .............................. 877,398 893,603
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities--
Collateralized Mortgage Obligations
(Cost--$45,809,137)--29.9% 46,271,534
- --------------------------------------------------------------------------------
================================================================================
Beneficial
Short-Term Securities Interest
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.04%(e)(f).................. $18,885,687 18,885,687
- --------------------------------------------------------------------------------
Total Short-Term Securities ($18,885,687)--12.2% 18,885,687
- --------------------------------------------------------------------------------
Number of
Options Purchased Contracts++
- --------------------------------------------------------------------------------
Call Options Purchased
Receive a fixed rate of 5.335% and pay a
floating rate based on 3-month LIBOR, expiring
November 2009, Broker, Citibank, NA (g) .......... 14 764,244
- --------------------------------------------------------------------------------
Put Options Purchased
Pay a fixed rate of 5.335% and receive a
floating rate based on 3-month LIBOR, expiring
November 2009, Broker, Citibank, NA (g) .......... 14 414,072
- --------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$994,000)--0.8% 1,178,316
- --------------------------------------------------------------------------------
Total Investments Before TBA Sale Commitments,
Investments Sold Short and Options Written
(Cost--$362,666,134*)--236.3% 365,282,502
- --------------------------------------------------------------------------------
================================================================================
Face
TBA Sale Commitments Amount
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates:
5.50% due 8/01/2034-1/15/2038.............. $(30,400,000) (30,352,853)
6.50% due 10/01/2022-1/15/2038............. (500,000) (513,797)
6.00% due 1/15/2023-1/15/2038.............. (43,000,000) (43,665,175)
- --------------------------------------------------------------------------------
Total TBA Sale Commitments--
(Proceeds Received--$74,060,343)--(48.2%) (74,531,825)
- --------------------------------------------------------------------------------
Investments Sold Short
- --------------------------------------------------------------------------------
U.S. Treasury Notes:
3.625% due 10/31/2009...................... (1,000,000) (1,009,844)
4.125% due 10/31/2010...................... (200,000) (205,922)
- --------------------------------------------------------------------------------
Total Investments Sold Short
(Proceeds--$1,202,785)--(0.8%) (1,215,766)
- --------------------------------------------------------------------------------
45
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
Number of
Options Written Contracts++ Value
- --------------------------------------------------------------------------------
Call Options Written
Pay a fixed rate of 4.885% and receive a floating
rate based on 3-month USD LIBOR, expiring
November 2009, Broker, Citibank, NA (g)........ 11 $(418,255)
- --------------------------------------------------------------------------------
Put Options Written
Receive a fixed rate of 4.885% and pay a floating
rate based on 3-month USD LIBOR, expiring
November 2009, Broker, Citibank, NA (g)........ 11 (524,170)
- --------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$944,437)--(0.6%) (942,425)
- --------------------------------------------------------------------------------
Total Investments, Net of TBA Sale Commitments,
Investments Sold Short and Options Written
(Cost--$286,458,569)--186.7%..................... 288,592,486
Liabilities in Excess of Other Assets--(86.7%)... (134,002,444)
--------------
Net Assets--100.0%............................... $ 154,590,042
==============
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost........................................ $365,234,347
=============
Gross unrealized appreciation......................... $ 1,987,154
Gross unrealized depreciation......................... (1,938,999)
-------------
Net unrealized appreciation........................... $ 48,155
=============
+ 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.
++ One contract represents a notional amount of $1,000,000.
(a) Floating rate security.
(b) Represents or includes a "to-be-announced" transaction. The Portfolio has
committed to purchasing securities for which all specific information is
not available at this time.
(c) Represents the interest only portion of a mortgage-backed security and has
either a nominal or a notional amount of principal.
(d) All or a portion of security held as collateral in connection with open
financial futures contracts.
(e) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
- --------------------------------------------------------------------------------
Purchase Sales Realized Interest
Affiliate Cost Cost Gain Income
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $18,885,687* -- -- $173,360
Merrill Lynch Mortgage Investors,
Inc. Series 2006-A3 Class 3A1,
5.827% due 5/25/2036 $ 1,687,572 $122,807 $236 $ 47,669
- --------------------------------------------------------------------------------
* Represents net purchase cost.
(f) Represents the current yield as of December 31, 2007.
(g) 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.
o Financial futures contracts sold as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
- --------------------------------------------------------------------------------
65 5-Year U.S.
Treasury Bond March 2008 $7,186,776 $ 18,495
45 10-Year U.S.
Treasury Bond March 2008 $5,045,410 (57,168)
68 30-Year U.S.
Treasury Bond March 2008 $8,024,857 111,357
- --------------------------------------------------------------------------------
Total Unrealized Appreciation--Net $ 72,684
=========
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
- --------------------------------------------------------------------------------
34 2-Year U.S.
Treasury Bond March 2008 $ 7,144,325 $ 4,175
- --------------------------------------------------------------------------------
Total Unrealized Appreciation $ 4,175
=======
o Swaps outstanding as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive (pay) a variable return based on the
change in the spread return of the Lehman Brothers
CMBS Investment Grade Index and pay a floating
rate based 1.328%
Broker, Citibank, NA
Expires January 2008 $ 1,880,000 --
Receive (pay) a variable return based on the change
in the since inception return the Lehman Brothers MBS
Fixed Rate Index and pay a floating rate based on
1-month USD LIBOR minus .07%
Broker, UBS Warburg
Expires January 2008 $21,900,000 --
Pay (receive) a variable return based on the change
in the spread return to the Lehman Brothers CMBS Aaa
8.5+ Index and receive a floating rate based on
1-month USD LIBOR
Broker, Deutsche Bank AG London
Expires February 2008 $ 1,880,000 --
Receive a fixed rate of 4.875% and pay a floating
rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires August 2009 $51,000,000 $ 810,339
Pay a fixed rate of 4.95% and receive a floating
rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires, August 2009 $58,000,000 (988,465)
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 (132,419)
Receive a fixed rate of 5.1975% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank, NA
Expires May 2011 $21,100,000 810,443
46
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows (continued):
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive a fixed rate of 4.9125% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank, NA
Expires December 2011 $22,000,000 $ 673,373
Receive a fixed rate of 5.019% and pay a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires August 2012 $17,600,000 642,277
Pay a fixed rate of 4.96599% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2012 $14,000,000 (480,430)
Receive a fixed rate of 5.11599% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2012 $32,000,000 1,296,438
Receive a fixed rate of 5.01% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2012 $21,500,000 774,338
Pay a fixed rate of 4.97133% and receive a
floating rate based on the 3-month USD LIBOR
Broker, UBS Warburg
Expires September 2012 $35,200,000 (1,200,552)
Receive a fixed rate of 4.7534% and pay a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires September 2012 $17,600,000 437,718
Receive a fixed rate of 4.29% and pay a
floating rate based on 3-month USD LIBOR
Broker, Goldman Sachs & Co.
Expires November 2012 $ 6,500,000 29,305
Pay a fixed rate of 4.41% and receive a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires December 2012 $ 9,200,000 (90,720)
Pay a fixed rate of 4.25% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires January 2013 $18,500,000 (49,210)
Pay a fixed rate of 5.741% and receive a
floating rate based on 3-month USD LIBOR
Broker, Credit Suisse First Boston
Expires July 2017 $ 2,000,000 (170,495)
Pay a fixed rate of 5.684% and receive a
floating rate based on 3-month LIBOR
Broker, JPMorgan Chase
Expires July 2017 $20,900,000 (1,691,503)
Pay a fixed rate of 5.45% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires August 2017 $12,700,000 (794,394)
Receive a fixed rate of 5.354% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2017 $14,000,000 769,534
Receive a fixed rate of 5.362% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires August 2017 $14,000,000 773,258
Pay a fixed rate of 5.424% and receive a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires August 2017 $ 9,100,000 (550,778)
Receive a fixed rate of 5.23053% and pay a
floating rate based on the 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires September 2017 $18,000,000 809,028
Pay a fixed rate of 5.1565% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2017 $18,600,000 (734,851)
Receive a fixed rate of 5.00% and pay a
floating rate based on 3-month USD LIBOR
Broker, JPMorgan Chase
Expires October 2017 $10,000,000 269,256
Pay a fixed rate of 4.74% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires November 2017 $ 9,600,000 (55,787)
Pay a fixed rate of 4.9175% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires November 2017 $ 9,600,000 (191,423)
Pay a fixed rate of 5.0696% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $ 9,900,000 (320,065)
Receive a fixed rate of 4.83984% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $ 3,400,000 46,784
Pay a fixed rate of 4.79362% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $10,000,000 (100,055)
Pay a fixed rate of 5.05633% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $19,000,000 (594,992)
Receive a fixed rate of 4.86484% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $38,500,000 606,297
47
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Government Income Portfolio
Schedule of Investments as of December 31, 2007 (Concluded)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows (concluded):
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Pay a fixed rate of 5.03514% and receive a
floating rate based on 3-month USD LIBOR
Broker, JPMorgan Chase
Expires November 2017 $19,700,000 $ (582,815)
Receive a fixed rate of 4.56639% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $11,400,000 (91,761)
Pay a fixed rate of 5.08566% and receive a
floating rate based on 3-month USD LIBOR
Broker, Credit Suisse First Boston
Expires, November 2017 $20,000,000 (672,256)
Receive a fixed rate of 4.585% and pay a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires December 2017 $24,000,000 (166,859)
- --------------------------------------------------------------------------------
Total $ (911,442)
============
See Notes to Financial Statements.
48
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Aerospace & Defense--1.8%
DRS Technologies, Inc.,
6.625% due 2/01/2016 ............................. $ 250,000 $ 246,875
Hawker Beechcraft Acquisition Co. LLC (i):
8.50% due 4/01/2015 .............................. 30,000 30,000
8.875% due 4/01/2015 (e) ......................... 150,000 145,122
L-3 Communications Corp.:
3% due 8/01/2035 (a)(i) .......................... 250,000 302,188
5.875% due 1/15/2015 ............................. 20,000 19,300
TransDigm, Inc., 7.75% due 7/15/2014 ............... 70,000 71,050
Vought Aircraft Industries, Inc.,
8% due 7/15/2011 ................................. 85,000 80,538
----------
895,073
- --------------------------------------------------------------------------------
Airlines--0.6%
Continental Airlines, Inc. Series 2001-1-C,
7.033% due 12/15/2012 (j) ........................ 317,757 308,423
- --------------------------------------------------------------------------------
Auto Components--1.7%
Allison Transmission, 11.25%
due 11/01/2015 (e)(i) ............................ 100,000 85,889
ArvinMeritor, Inc., 8.125% due 9/15/2015 ........... 65,000 56,225
The Goodyear Tire & Rubber Co.:
8.663% due 12/01/2009 (b) ........................ 40,000 40,300
7.857% due 8/15/2011 ............................. 65,000 65,812
8.625% due 12/01/2011 ............................ 267,000 278,347
4% due 6/15/2034 (a) ............................. 60,000 141,900
Lear Corp., 8.75% due 12/01/2016 ................... 115,000 104,650
Metaldyne Corp., 10% due 11/01/2013 ................ 90,000 74,250
----------
847,373
- --------------------------------------------------------------------------------
Automobiles--0.3%
Ford Motor Co., 8.90% due 1/15/2032 ................ 200,000 155,000
- --------------------------------------------------------------------------------
Biotechnology--0.6%
Angiotech Pharmaceutical, Inc.,
8.874% due 12/01/2013 (b) ........................ 300,000 285,000
- --------------------------------------------------------------------------------
Building Products--1.9%
CPG International I, Inc.
10.50% due 7/01/2013 ............................. 250,000 236,250
Goodman Global Holding Co., Inc.,
7.991% due 6/15/2012 (b) ......................... 247,000 245,765
Momentive Performance Materials, Inc. (i):
9.75% due 12/01/2014 ............................. 30,000 27,600
11.50% due 12/01/2016 ............................ 525,000 454,125
----------
963,740
- --------------------------------------------------------------------------------
Capital Markets--0.5%
E*Trade Financial Corp.,
12.50% due 11/30/2017 (i) ........................ 270,000 256,500
- --------------------------------------------------------------------------------
Chemicals--2.9%
American Pacific Corp., 9% due 2/01/2015 ........... 120,000 120,300
CII Carbon LLC, 11.125% due 11/15/2015 (i) ......... 125,000 123,125
Hexion U.S. Finance Corp.:
9.369% due 11/15/2014 (b) ........................ 50,000 51,000
9.75% due 11/15/2014 ............................. 155,000 167,400
Huntsman International LLC,
7.875% due 11/15/2014 ............................ 100,000 106,000
Ineos Group Holdings Plc,
8.50% due 2/15/2016 (i) .......................... 140,000 124,600
Innophos, Inc., 8.875% due 8/15/2014 ............... 255,000 253,725
MacDermid, Inc., 9.50% due 4/15/2017 (i) ........... 180,000 169,200
Terra Capital, Inc. Series B, 7% due 2/01/2017 ..... 105,000 102,638
Westlake Chemical Corp.,
6.625% due 1/15/2016 ............................. 250,000 236,250
----------
1,454,238
- --------------------------------------------------------------------------------
Commercial Services & Supplies--4.7%
Allied Waste North America, Inc. Series B,
7.25% due 3/15/2015 .............................. 350,000 348,250
Ashtead Capital, Inc., 9% due 8/15/2016 (i) ........ 100,000 88,500
Corrections Corp. of America,
7.50% due 5/01/2011 .............................. 250,000 253,125
DI Finance Series B, 9.50% due 2/15/2013 ........... 135,000 141,244
FTI Consulting, Inc., 7.625% due 6/15/2013 ......... 250,000 256,250
The Geo Group, Inc., 8.25% due 7/15/2013 ........... 500,000 505,000
Mobile Services Group, Inc.,
9.75% due 8/01/2014 .............................. 120,000 110,400
PNA Intermediate Holding Corp.,
11.869% due 2/15/2013 (b)(i) ..................... 60,000 54,300
Quebecor World Capital Corp.,
8.75% due 3/15/2016 (i) .......................... 175,000 128,844
Quebecor World, Inc., 9.75% due
1/15/2015 (i) .................................... 105,000 78,881
Sally Holdings LLC, 10.50% due 11/15/2016 .......... 144,000 141,840
US Investigations Services, Inc.,
10.50% due 11/01/2015 (i) ........................ 100,000 91,500
West Corp., 11% due 10/15/2016 ..................... 170,000 168,725
The Yankee Candle Company, Inc.,
9.75% due 2/15/2017 .............................. 55,000 50,325
----------
2,417,184
- --------------------------------------------------------------------------------
Communications Equipment--0.8%
Nortel Networks Ltd.,
8.508% due 7/15/2011 (b)(i) ...................... 400,000 390,000
- --------------------------------------------------------------------------------
Computers & Peripherals--0.6%
Viasystems, Inc., 10.50% due 1/15/2011 ............. 330,000 328,350
- --------------------------------------------------------------------------------
Construction Materials--0.7%
Nortek, Inc., 8.50% due 9/01/2014 .................. 90,000 72,000
Texas Industries, Inc.,
7.25% due 7/15/2013 .............................. 280,000 274,400
----------
346,400
- --------------------------------------------------------------------------------
Containers & Packaging--4.3%
Berry Plastics Holding Corp.,
8.875% due 9/15/2014 ............................. 435,000 413,250
Graham Packaging Co. LP,
8.50% due 10/15/2012 ............................. 250,000 233,750
Graphic Packaging International Corp.,
8.50% due 8/15/2011 .............................. 400,000 396,000
Impress Holdings BV,
7.383% due 9/15/2013 (b)(i) ...................... 330,000 320,100
Owens-Brockway Glass Container, Inc.,
8.25% due 5/15/2013 .............................. 300,000 311,250
Packaging Dynamics Finance Corp.,
10% due 5/01/2016 (i) ............................ 200,000 176,000
Pregis Corp., 12.375% due 10/15/2013 ............... 185,000 196,100
Smurfit-Stone Container Enterprises, Inc.,
8% due 3/15/2017 ................................. 150,000 144,938
----------
2,191,388
- --------------------------------------------------------------------------------
Distributors--0.5%
Buhrmann US, Inc., 8.25% due 7/01/2014 ............. 250,000 238,750
- --------------------------------------------------------------------------------
Diversified Financial Services--1.8%
Citigroup, Inc., 8.30% due 12/21/2077 (b) .......... 200,000 208,838
Fort Motor Credit Co. LLC,:
5.80% due 1/12/2009 .............................. 210,000 199,331
5.70% due 1/15/2010 .............................. 60,000 54,059
7.127% due 1/13/2012 (b) ......................... 150,000 125,994
GMAC LLC,:
6% due 12/15/2011 ................................ 50,000 41,934
6.75% due 12/01/2014 ............................. 60,000 48,393
49
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Diversified Financial Services (concluded)
Leucadia National Corp.,
8.125% due 9/15/2015 ............................. $ 250,000 $ 250,000
----------
928,549
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--2.4%
Cincinnati Bell, Inc., 7.25% due 7/15/2013 ......... 225,000 225,562
Citizens Communications Co.,
6.25% due 1/15/2013 .............................. 40,000 38,750
Qwest Communications International, Inc.:
8.241% due 6/15/2013 (b) ......................... 250,000 255,000
7.50% due 2/15/2014 .............................. 700,000 698,250
Wind Acquisition Finance SA,
10.75% due 12/01/2015 (i) ........................ 40,000 43,600
----------
1,261,162
- --------------------------------------------------------------------------------
Electric Utilities--2.4%
Edison Mission Energy:
7.50% due 6/15/2013 .............................. 200,000 205,000
7% due 5/15/2017 ................................. 50,000 49,125
FPL Energy National Wind Portfolio, LLC,
6.125% due 3/25/2019 (i) ......................... 209,735 213,447
Mirant Americas Generation Inc.,
8.30% due 5/01/2011 .............................. 400,000 401,000
NSG Holdings LLC, 7.75% due
12/15/2025 (i)(j) ................................ 150,000 150,375
Tenaska Alabama Partners LP,
7% due 6/30/2021 (i)(j) .......................... 231,079 230,631
----------
1,249,578
- --------------------------------------------------------------------------------
Electrical Equipment--1.2%
Belden, Inc., 7% due 3/15/2017 ..................... 40,000 39,000
Superior Essex Communications LLC,
9% due 4/15/2012 ................................. 470,000 451,200
UCAR Finance, Inc.,
10.25% due 2/15/2012 ............................. 119,000 122,719
----------
612,919
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--0.5%
NXP BV, 9.50% due 10/15/2015 ....................... 100,000 91,625
Sanmina-SCI Corp.:
6.75% due 3/01/2013 .............................. 25,000 21,750
8.125% due 3/01/2016 ............................. 190,000 168,388
----------
281,763
- --------------------------------------------------------------------------------
Energy Equipment & Services--1.4%
Compagnie Generale de Geophysique-Veritas:
7.50% due 5/15/2015 .............................. 50,000 50,625
7.75% due 5/15/2017 .............................. 225,000 227,250
North American Energy Partners, Inc.,
8.75% due 12/01/2011 ............................. 120,000 118,500
SemGroup LP, 8.75% due 11/15/2015 (i) .............. 350,000 332,500
----------
728,875
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.4%
Rite Aid Corp., 7.50% due 3/01/2017 ................ 240,000 211,500
- --------------------------------------------------------------------------------
Food Products--0.1%
Smithfield Foods, Inc., 7.75% due 7/01/2017 ........ 50,000 48,375
- --------------------------------------------------------------------------------
Gas Utilities--0.2%
Transcontinental Gas Pipe Line Corp. Series B,
8.875% due 7/15/2012 ............................. 115,000 129,950
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--1.8%
The Cooper Cos., Inc.,
7.125% due 2/15/2015 ............................. 190,000 184,775
Hologic, Inc., 2% due 12/15/2037 (a)(l) ............ 120,000 129,750
ReAble Therapeutics Finance LLC,
10.875% due 11/15/2014 (i) ....................... 590,000 579,675
----------
894,200
- --------------------------------------------------------------------------------
Health Care Providers & Services--2.9%
Accellent, Inc., 10.50% due 12/01/2013 ............. 210,000 176,400
Community Health Systems, Inc. Series WI,
8.875% due 7/15/2015 ............................. 65,000 66,219
Omnicare, Inc. Series OCR,
3.25% due 12/15/2035 (a) ......................... 70,000 51,013
Tenet Healthcare Corp.:
6.50% due 6/01/2012 .............................. 495,000 440,550
9.875% due 7/01/2014 ............................. 215,000 204,788
9.25% due 2/01/2015 .............................. 40,000 37,000
US Oncology, Inc., 9% due 8/15/2012 ................ 150,000 147,938
United Surgical Partners International, Inc.,
8.875% due 5/01/2017 ............................. 140,000 138,250
Universal Hospital Services, Inc.:
8.288% due 6/01/2015 (b) ......................... 40,000 40,000
8.50% due 6/01/2015 (e) .......................... 40,000 40,303
Viant Holdings, Inc.,
10.125% due 7/15/2017 (i) ........................ 147,000 134,505
----------
1,476,966
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--5.0%
American Real Estate Partners LP:
7.125% due 2/15/2013 ............................. 160,000 150,400
7.125% due 2/15/2013 (i) ......................... 310,000 291,400
Boyd Gaming Corp., 7.75% due 12/15/2012 ............ 250,000 253,125
CCM Merger, Inc., 8% due 8/01/2013 (i) ............. 125,000 117,812
Fontainebleau Las Vegas Holdings LLC,
10.25% due 6/15/2015 (i) ......................... 75,000 65,062
Great Canadian Gaming Corp.,
7.25% due 2/15/2015 (i) .......................... 90,000 89,100
Greektown Holdings, LLC,
10.75% due 12/01/2013 (i) ........................ 130,000 126,425
HRP Myrtle Beach Operations LLC,
9.894% due 4/01/2012 (b)(i) ...................... 250,000 238,125
Indianapolis Downs LLC,
11% due 11/01/2012 (i) ........................... 100,000 98,250
Penn National Gaming, Inc.,
6.75% due 3/01/2015 .............................. 250,000 253,437
Pinnacle Entertainment, Inc.,
7.50% due 6/15/2015 (i) .......................... 160,000 145,200
Shingle Springs Tribal Gaming Authority,
9.375% due 6/15/2015 (i) ......................... 80,000 77,600
Snoqualmie Entertainment Authority,
9.063% due 2/01/2014 (b)(i) ...................... 45,000 42,525
Station Casinos, Inc.,
6.625% due 3/15/2018 ............................. 25,000 17,125
Travelport LLC, 9.749% due 9/01/2014 (b) ........... 65,000 62,888
Tropicana Entertainment LLC Series WI,
9.625% due 12/15/2014 ............................ 90,000 57,150
Waterford Gaming LLC,
8.625% due 9/15/2014 (i) ......................... 146,000 146,000
Wynn Las Vegas LLC,
6.625% due 12/01/2014 ............................ 325,000 319,313
----------
2,550,937
- --------------------------------------------------------------------------------
50
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Household Durables--1.2%
Ashton Woods USA LLC,
9.50% due 10/01/2015 ............................. $ 350,000 $ 224,000
Jarden Corp., 7.50% due 5/01/2017 .................. 235,000 202,100
Standard-Pacific Corp.,
6.50% due 8/15/2010 .............................. 250,000 170,000
Stanley-Martin Communities LLC,
9.75% due 8/15/2015 .............................. 50,000 30,000
----------
626,100
- --------------------------------------------------------------------------------
IT Services--1.3%
First Data Corp., 9.875% due 9/24/2015 (i) ......... 265,000 246,450
SunGard Data Systems, Inc.:
9.125% due 8/15/2013 ............................. 380,000 386,650
10.25% due 8/15/2015 ............................. 20,000 20,450
----------
653,550
- --------------------------------------------------------------------------------
Independent Power Producers & Energy
Traders--4.7%
The AES Corp. (i):
7.75% due 10/15/2015 ............................. 165,000 167,475
8% due 10/15/2017 ................................ 565,000 577,712
Dynegy Holdings, Inc.,
7.75% due 6/01/2019 .............................. 275,000 253,687
Energy Future Holding Corp.,
11.25% due 11/01/2017 (e)(i) ..................... 225,000 223,455
NRG Energy, Inc.:
7.25% due 2/01/2014 .............................. 250,000 243,750
7.375% due 2/01/2016 ............................. 200,000 195,000
Texas Competitive Electric Holdings Co. LLC (i):
10.25% due 11/01/2015 ............................ 500,000 495,000
10.50% due 11/01/2016 (e) ........................ 250,000 244,933
----------
2,401,012
- --------------------------------------------------------------------------------
Insurance--0.1%
USI Holdings Corp., 8.744%
due 11/15/2014 (b)(i) ............................ 60,000 51,300
- --------------------------------------------------------------------------------
Leisure Equipment & Products--0.4%
True Temper Sports, Inc.,
8.375% due 9/15/2011 ............................. 325,000 196,625
- --------------------------------------------------------------------------------
Machinery--2.2%
Ahern Rentals, Inc., 9.25% due 8/15/2013 ........... 125,000 105,313
American Railcar Industries, Inc.,
7.50% due 3/01/2014 .............................. 30,000 28,350
Esco Corp., 8.625% due 12/15/2013 (i) .............. 100,000 100,000
Invensys Plc, 9.875% due 3/15/2011 (i) ............. 161,000 170,047
RBS Global, Inc.:
9.50% due 8/01/2014 .............................. 40,000 39,600
11.75% due 8/01/2016 ............................. 215,000 210,163
8.875% due 9/01/2016 ............................. 55,000 52,250
Terex Corp., 8% due 11/15/2017 ..................... 315,000 318,938
Titan International, Inc., 8% due 1/15/2012 ........ 80,000 77,200
----------
1,101,861
- --------------------------------------------------------------------------------
Marine--0.3%
Navios Maritime Holdings, Inc.,
9.50% due 12/15/2014 ............................. 140,000 143,150
- --------------------------------------------------------------------------------
Media--10.0%
Affinion Group, Inc.:
10.125% due 10/15/2013 ........................... 50,000 50,562
11.50% due 10/15/2015 ............................ 155,000 152,094
Bonten Media Acquisition Co.,
9% due 6/01/2015 (e)(i) .......................... 60,000 51,728
CMP Susquehanna Corp.,
9.875% due 5/15/2014 ............................. 250,000 187,500
Cablevision Systems Corp. Series B,
9.644% due 4/01/2009 (b) ......................... 310,000 313,487
Charter Communications Holdings I, LLC,
11% due 10/01/2015 ............................... 420,000 341,550
Charter Communications Holdings II, LLC,
10.25% due 9/15/2010 ............................. 635,000 619,125
DirecTV Holdings LLC,
8.375% due 3/15/2013 ............................. 70,000 72,800
Echostar DBS Corp.,
7.125% due 2/01/2016 ............................. 370,000 377,400
Harland Clarke Holdings Corp.:
9.50% due 5/15/2015 .............................. 50,000 43,250
9.619% due 5/15/2015 (b) ......................... 40,000 33,500
Idearc, Inc., 8% due 11/15/2016 .................... 330,000 302,775
Intelsat Bermuda Ltd. (b):
10.829% due 6/15/2013 ............................ 45,000 46,125
7.581% due 1/15/2015 ............................. 225,000 225,562
Intelsat Corp., 9% due 6/15/2016 ................... 210,000 211,575
Intelsat Intermediate Holding Co. Ltd.,
9.23% due 2/01/2015 (f) .......................... 40,000 32,700
NTL Cable Plc:
8.75% due 4/15/2014 .............................. 35,000 34,737
9.125% due 8/15/2016 ............................. 250,000 247,500
Network Communications, Inc.,
10.75% due 12/01/2013 ............................ 80,000 78,400
ProtoStar I Ltd., 12.50% due
10/15/2012 (a)(b)(i) ............................. 155,547 163,324
R.H. Donnelley Corp.:
8.875% due 10/15/2017 (i) ........................ 50,000 46,250
Series A-2 6.875% due 1/15/2013 .................. 250,000 223,750
Series A-3, 8.875% due 1/15/2016 ................. 50,000 46,750
Radio One, Inc., 6.375% due 2/15/2013 .............. 250,000 206,562
TL Acquisitions, Inc.,
10.50% due 1/15/2015 (i) ......................... 750,000 720,938
Windstream Regatta Holdings, Inc.,
11% due 12/01/2017 (i) ........................... 150,000 148,500
Young Broadcasting, Inc.,
10% due 3/01/2011 ................................ 105,000 82,031
----------
5,060,475
- --------------------------------------------------------------------------------
Metals & Mining--5.6%
AK Steel Corp., 7.75% due 6/15/2012 (e) ............ 110,000 110,550
Aleris International, Inc., 9% due 12/15/2014 ...... 390,000 323,924
Blaze Recycling & Metals LLC,
10.875% due 7/15/2012 (i) ........................ 40,000 36,800
FMG Finance Pty Ltd.,
10.625% due 9/01/2016 (i) ........................ 90,000 103,050
Foundation PA Coal Co.,
7.25% due 8/01/2014 .............................. 400,000 395,000
Freeport-McMoran Copper & Gold, Inc.:
8.394% due 4/01/2015 (b) ......................... 285,000 289,275
8.375% due 4/01/2017 ............................. 590,000 632,775
Novelis, Inc., 7.25% due 2/15/2015 ................. 250,000 235,000
Ryerson, Inc. (i):
12.574% due 11/01/2014 (b) ....................... 65,000 62,400
12% due 11/01/2015 ............................... 90,000 88,875
Southern Copper Corp.,
6.375% due 7/27/2015 ............................. 250,000 251,489
Steel Dynamics, Inc.,
7.375% due 11/01/2012 (i) ........................ 300,000 301,500
----------
2,830,638
- --------------------------------------------------------------------------------
51
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Multiline Retail--0.2%
Neiman Marcus Group, Inc.,
9% due 10/15/2015 (e) ............................ $ 75,000 $ 75,801
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--5.3%
Berry Petroleum Co., 8.25% due 11/01/2016 .......... 135,000 138,037
Chaparral Energy, Inc., 8.50% due 12/01/2015 ....... 250,000 225,000
Cimarex Energy Co., 7.125% due 5/01/2017 ........... 120,000 117,900
Compton Petroleum Finance Corp.,
7.625% due 12/01/2013 ............................ 70,000 65,100
Copano Energy LLC, 8.125% due 3/01/2016 ............ 80,000 80,600
Corral Finans AB, 6.743% due
4/15/2010 (b)(e)(i) .............................. 152,723 152,899
Denbury Resources, Inc.,
7.50% due 12/15/2015 ............................. 70,000 70,700
Encore Acquisition Co., 6.25% due 4/15/2014 ........ 250,000 231,875
KCS Energy, Inc., 7.125% due 4/01/2012 ............. 40,000 38,500
OPTI Canada, Inc., 8.25% due 12/15/2014 (i) ........ 245,000 242,550
Overseas Shipholding Group, Inc.,
8.25% due 3/15/2013 .............................. 500,000 507,500
Range Resources Corp.,
6.375% due 3/15/2015 ............................. 250,000 243,750
Sabine Pass LNG LP, 7.50% due 11/30/2016 ........... 235,000 224,425
Stone Energy Corp., 6.75% due 12/15/2014 ........... 250,000 231,875
Swift Energy Co., 7.125% due 6/01/2017 ............. 150,000 142,500
----------
2,713,211
- --------------------------------------------------------------------------------
Paper & Forest Products--3.7%
Abitibi-Consolidated, Inc., 6% due 6/20/2013 ....... 115,000 78,344
Ainsworth Lumber Co. Ltd.,
6.75% due 3/15/2014 .............................. 250,000 150,625
Boise Cascade LLC, 7.125% due 10/15/2014 ........... 250,000 241,875
Bowater Canada Finance Corp.,
7.95% due 11/15/2011 ............................. 115,000 92,862
NewPage Corp.:
10% due 5/01/2012 ................................ 410,000 412,050
10% due 5/01/2012 (i) ............................ 250,000 251,250
Norske Skog Canada Ltd. Series D,
8.625% due 6/15/2011 ............................. 160,000 132,800
Verso Paper Holdings LLC Series B:
9.125% due 8/01/2014 ............................. 365,000 368,650
8.661% due 8/01/2014 (b) ......................... 150,000 146,250
----------
1,874,706
- --------------------------------------------------------------------------------
Pharmaceutical--0.2%
PTS Acquisition Corp.,
9.50% due 4/15/2015 (e)(i) ....................... 115,000 106,663
- --------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs)--0.2%
FelCor Lodging LP, 8.50% due 6/01/2011 ............. 92,000 95,910
- --------------------------------------------------------------------------------
Real Estate Management & Development--1.0%
Forest City Enterprises, Inc.,
7.625% due 6/01/2015 ............................. 150,000 144,750
Realogy Corp. (i):
10.50% due 4/15/2014 ............................. 210,000 156,975
11% due 4/15/2014 (e) ............................ 330,000 229,350
----------
531,075
- --------------------------------------------------------------------------------
Road & Rail--0.9%
Avis Budget Car Rental LLC:
7.625% due 5/15/2014 ............................. 250,000 238,750
7.369% due 5/15/2014 (b) ......................... 225,000 207,000
St. Acquisition Corp.,
12.50% due 5/15/2017 (i) ......................... 50,000 25,813
----------
471,563
- --------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--1.9%
Amkor Technology, Inc., 7.75% due 5/15/2013
7.75% due 5/15/2013 .............................. 70,000 65,975
9.25% due 6/01/2016 .............................. 325,000 325,812
Freescale Semiconductor, Inc.:
8.866% due 12/15/2014 (b) ........................ 25,000 21,250
9.125% due 12/15/2014 (e) ........................ 420,000 357,000
Hynix Semiconductor, Inc.,
7.875% due 6/27/2017 (i) ......................... 90,000 81,225
Spansion, Inc., 8.249% due 6/01/2013 (b)(i) ........ 135,000 121,500
----------
972,762
- --------------------------------------------------------------------------------
Software--0.3%
BMS Holdings, Inc.,
12.40% due 2/15/2012 (b)(e)(i) ................... 148,728 137,280
- --------------------------------------------------------------------------------
Specialty Retail--3.1%
Asbury Automotive Group, Inc.,
7.625% due 3/15/2017 ............................. 60,000 53,100
AutoNation, Inc., 6.258% due 4/15/2013 (b) ......... 250,000 230,625
Buffets, Inc., 12.50% due 11/01/2014(m) ............ 65,000 24,700
General Nutrition Center, Inc.:
10.009% due 3/15/2014 (b)(e) ..................... 320,000 302,400
10.75% due 3/15/2015 ............................. 260,000 241,800
Group 1 Automotive, Inc.,
2.25% due 6/15/2036 (a)(l) ....................... 80,000 53,000
Michaels Stores, Inc.:
10% due 11/01/2014 ............................... 230,000 218,500
11.375% due 11/01/2016 ........................... 270,000 247,725
United Auto Group, Inc.,
7.75% due 12/15/2016 ............................. 200,000 187,000
----------
1,558,850
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--0.9%
Levi Strauss & Co., 8.875% due 4/01/2016 ........... 250,000 241,875
Quiksilver, Inc., 6.875% due 4/15/2015 ............. 225,000 192,938
----------
434,813
- --------------------------------------------------------------------------------
Tobacco--0.4%
Vector Group Ltd., 11% due 8/15/2015 (i) ........... 200,000 203,000
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--4.7%
Centennial Communications Corp.:
10.479% due 1/01/2013 (b) ........................ 100,000 102,250
8.125% due 2/01/2014 ............................. 90,000 88,650
Cricket Communications, Inc.:
9.375% due 11/01/2014 ............................ 105,000 98,437
9.375% due 11/01/2014 (i) ........................ 280,000 262,500
Digicel Group Ltd. (i):
8.875% due 1/15/2015 ............................. 200,000 183,000
9.125% due 1/15/2015 (e) ......................... 208,000 189,800
FiberTower Corp., 9% due 11/15/2012 (a)(i) ......... 120,000 110,250
iPCS, Inc., 7.036% due 5/01/2013 (b) ............... 140,000 131,950
MetroPCS Wireless, Inc.,
9.25% due 11/01/2014 ............................. 620,000 582,800
Nordic Telephone Co. Holdings ApS,
8.875% due 5/01/2016 (i) ......................... 250,000 256,250
Orascom Telecom Finance SCA,
7.875% due 2/08/2014 (i) ......................... 60,000 56,700
Rural Cellular Corp., 8.25% due 3/15/2012 .......... 290,000 300,875
----------
2,363,462
- --------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$48,328,969)--90.6% 46,056,000
- --------------------------------------------------------------------------------
52
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007 (Continued)
================================================================================
Face
Floating Rate Loan Interests (k) Amount Value
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.4%
Community Health Systems, Inc. Term Loan B,
7.331% due 6/18/2014 ............................. $ 212,212 $ 203,967
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.6%
Travelport, Inc. Term Loan,
11.838% due 3/22/2012 ............................ 352,421 328,926
- --------------------------------------------------------------------------------
IT Services--0.9%
Alliance Data Systems Term Loan,
0% due 12/15/2014 ................................ 500,000 465,000
- --------------------------------------------------------------------------------
Independent Power Producers & Energy
Traders--1.5%
TXU Corp.:
Term Loan 3, 8.396% due 10/10/2014 ............... 498,750 489,877
Term Loan B 2, 8.396% due 10/10/2014 ............. 249,375 244,699
----------
734,576
- --------------------------------------------------------------------------------
Media--1.4%
Education Media and Publishing:
First Lien Term Loan,
9.141% due 5/15/2009 ............................. 30,303 28,977
First Lien Term Loan B,
9.141% due 11/14/2014 ............................ 219,697 210,085
Second Lien Term Loan,
13.641% due 11/14/2014 ........................... 500,000 475,000
----------
714,062
- --------------------------------------------------------------------------------
Total Floating Rate Loan Interests
(Cost--$2,473,498)--4.8% 2,446,531
- --------------------------------------------------------------------------------
================================================================================
Shares
Common Stocks Held
- --------------------------------------------------------------------------------
Capital Markets--0.1%
E*Trade Financial Corp. (d)(i) ..................... 13,069 46,395
- --------------------------------------------------------------------------------
Electrical Equipment--0.4%
Medis Technologies Ltd. (d) ........................ 14,935 230,447
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost--$305,426)--0.5% 276,842
- --------------------------------------------------------------------------------
Preferred Stocks
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.0%
PTV, Inc. Series A, 10% ............................ 8 11
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.9%
EXCO Resources, Inc.:
11% .............................................. 32 344,000
7% (a) ........................................... 8 86,000
-----------
430,000
- --------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$400,619)--0.9% 430,011
- --------------------------------------------------------------------------------
================================================================================
Rights
- --------------------------------------------------------------------------------
Electrical Equipment--0.0%
Medis Technologies Ltd. (d)(g)................... 1,493 0
- --------------------------------------------------------------------------------
Total Rights
(Cost 0)--0.0% 0
- --------------------------------------------------------------------------------
================================================================================
Beneficial
Short-Term Securities Interest
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.04% (c)(h)..................... $1,431,831 1,431,831
- --------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$1,431,831)--2.8% 1,431,831
- --------------------------------------------------------------------------------
Total Investments (Cost--$52,940,343*)--99.6%..................... 50,641,215
Other Assets Less Liabilities--0.4%............................... 181,512
-----------
Net Assets--100.0%................................................ $50,822,727
===========
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost........................................ $52,955,591
------------
Gross unrealized appreciation......................... $ 442,450
Gross unrealized depreciation......................... (2,756,826)
------------
Net unrealized depreciation........................... $(2,314,376)
============
(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.......................... $(1,002,276) $123,597
--------------------------------------------------------------------------
(d) Non-income producing security.
(e) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(f) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(g) The rights may be exercised until January 7, 2008.
(h) Represents the current yield as of December 31, 2007.
(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.
(k) Floating rate loan interests in which the Portfolio invests generally pay
interest at rates that are periodically determined by reference to a base
lending rate plus a premium. The base lending rates are generally (i) the
lending rate offered by one or more major European banks, such as LIBOR
(Libor InterBank Offered Rate), (ii) the prime rate offered by one or more
U.S. banks, or (iii) the certificate of deposit rate.
(l) Represents a step bond.
(m) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
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.
53
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock High Income Portfolio
Schedule of Investments as of December 31, 2007 (Concluded)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Sold credit default protection on
Novelis Inc. and receive 1.4%
Broker, JPMorgan Chase
Expires January 2008 $150,000 $ 24
Sold credit default protection on
Ford Motor Company and receive 3.8%
Broker, JPMorgan Chase
Expires March 2010 $250,000 (11,023)
- --------------------------------------------------------------------------------
Total $(10,999)
=========
See Notes to Financial Statements.
54
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Large Cap Core Portfolio
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Aerospace & Defense--4.1%
Goodrich Corp. ..................................... 17,000 $ 1,200,370
Honeywell International, Inc. ...................... 68,000 4,186,760
Lockheed Martin Corp. .............................. 35,000 3,684,100
Northrop Grumman Corp. ............................. 48,000 3,774,720
-----------
12,845,950
- --------------------------------------------------------------------------------
Airlines--0.7%
Continental Airlines, Inc. Class B (a) ............. 90,000 2,002,500
- --------------------------------------------------------------------------------
Beverages--0.7%
Hansen Natural Corp. (a) ........................... 52,000 2,303,080
- --------------------------------------------------------------------------------
Biotechnology--0.8%
Biogen Idec, Inc. (a) .............................. 46,000 2,618,320
- --------------------------------------------------------------------------------
Capital Markets--2.0%
The Charles Schwab Corp. ........................... 145,000 3,704,750
The Goldman Sachs Group, Inc. ...................... 12,000 2,580,600
-----------
6,285,350
- --------------------------------------------------------------------------------
Chemicals--3.5%
E.I. du Pont de Nemours & Co. ...................... 82,000 3,615,380
Monsanto Co. ....................................... 41,000 4,579,290
The Mosaic Co. (a) ................................. 30,000 2,830,200
-----------
11,024,870
- --------------------------------------------------------------------------------
Communications Equipment--3.2%
ADC Telecommunications, Inc. (a) ................... 26,000 404,300
Cisco Systems, Inc. (a) ............................ 222,000 6,009,540
Juniper Networks, Inc. (a) ......................... 102,000 3,386,400
-----------
9,800,240
- --------------------------------------------------------------------------------
Computers & Peripherals--6.5%
Apple Inc. (a) ..................................... 3,000 594,240
Dell, Inc. (a) ..................................... 162,000 3,970,620
EMC Corp. (a) ...................................... 188,000 3,483,640
Hewlett-Packard Co. ................................ 116,000 5,855,680
International Business Machines Corp. .............. 59,000 6,377,900
-----------
20,282,080
- --------------------------------------------------------------------------------
Construction & Engineering--1.0%
Fluor Corp. ........................................ 22,000 3,205,840
- --------------------------------------------------------------------------------
Diversified Consumer Services--1.0%
Apollo Group, Inc. Class A (a) ..................... 46,000 3,226,900
- --------------------------------------------------------------------------------
Diversified Financial Services--1.8%
Bank of America Corp. .............................. 17,000 701,420
JPMorgan Chase & Co. ............................... 109,000 4,757,850
-----------
5,459,270
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.8%
AT&T Inc. .......................................... 56,000 2,327,360
- --------------------------------------------------------------------------------
Electrical Equipment--0.4%
Ametek, Inc. ....................................... 24,000 1,124,160
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments--1.1%
Agilent Technologies, Inc. (a) ..................... 90,000 3,306,600
- --------------------------------------------------------------------------------
Energy Equipment & Services--2.5%
ENSCO International, Inc. .......................... 53,000 3,159,860
Global Industries Ltd. (a) ......................... 45,000 963,900
National Oilwell Varco, Inc. (a) ................... 48,000 3,526,080
-----------
7,649,840
- --------------------------------------------------------------------------------
Food & Staples Retailing--0.2%
The Kroger Co. ..................................... 25,000 667,750
- --------------------------------------------------------------------------------
Health Care Providers & Services--11.8%
Aetna, Inc. ........................................ 64,000 3,694,720
AmerisourceBergen Corp. ............................ 65,000 2,916,550
Coventry Health Care, Inc. (a) ..................... 55,000 3,258,750
Express Scripts, Inc. (a) .......................... 49,000 3,577,000
Health Net, Inc. (a) ............................... 64,000 3,091,200
Humana, Inc. (a) ................................... 47,000 3,539,570
McKesson Corp. ..................................... 54,000 3,537,540
Medco Health Solutions, Inc. (a) ................... 38,000 3,853,200
UnitedHealth Group, Inc. ........................... 82,000 4,772,400
WellPoint, Inc. (a) ................................ 50,000 4,386,500
-----------
36,627,430
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--1.5%
McDonald's Corp. ................................... 78,000 4,594,980
- --------------------------------------------------------------------------------
Household Products--0.6%
The Procter & Gamble Co. ........................... 24,000 1,762,080
- --------------------------------------------------------------------------------
Industrial Conglomerates--1.6%
General Electric Co. ............................... 137,000 5,078,590
- --------------------------------------------------------------------------------
Insurance--3.7%
American International Group, Inc. ................. 45,000 2,623,500
CNA Financial Corp. ................................ 15,000 505,800
MetLife, Inc. ...................................... 58,000 3,573,960
Safeco Corp. ....................................... 15,000 835,200
The Travelers Cos., Inc. ........................... 71,000 3,819,800
-----------
11,358,260
- --------------------------------------------------------------------------------
Internet & Catalog Retail--1.2%
Amazon.com, Inc. (a) ............................... 41,000 3,798,240
- --------------------------------------------------------------------------------
Internet Software & Services--1.2%
eBay, Inc. (a) ..................................... 116,000 3,850,040
- --------------------------------------------------------------------------------
Life Sciences Tools & Services--0.7%
Waters Corp. (a) ................................... 28,000 2,213,960
- --------------------------------------------------------------------------------
Machinery--3.2%
AGCO Corp. (a) ..................................... 33,000 2,243,340
Cummins, Inc. ...................................... 28,000 3,566,360
Deere & Co. ........................................ 44,000 4,097,280
-----------
9,906,980
- --------------------------------------------------------------------------------
Media--1.4%
Walt Disney Co. .................................... 135,000 4,357,800
- --------------------------------------------------------------------------------
Metals & Mining--1.2%
Reliance Steel & Aluminum Co. ...................... 9,000 487,800
Southern Copper Corp. (b) .......................... 31,000 3,259,030
-----------
3,746,830
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--16.1%
Chevron Corp. ...................................... 80,000 7,466,400
ConocoPhillips ..................................... 73,000 6,445,900
Exxon Mobil Corp. .................................. 154,000 14,428,260
Frontier Oil Corp. ................................. 74,000 3,002,920
Marathon Oil Corp. ................................. 65,000 3,955,900
Occidental Petroleum Corp. ......................... 61,000 4,696,390
Sunoco, Inc. ....................................... 47,000 3,404,680
Tesoro Corp. ....................................... 59,000 2,814,300
Valero Energy Corp. ................................ 56,000 3,921,680
-----------
50,136,430
- --------------------------------------------------------------------------------
Pharmaceuticals--6.8%
Bristol-Myers Squibb Co. ........................... 146,000 3,871,920
Eli Lilly & Co. .................................... 79,000 4,217,810
Johnson & Johnson .................................. 15,000 1,000,500
Merck & Co., Inc. .................................. 98,000 5,694,780
Pfizer, Inc. ....................................... 285,000 6,478,050
-----------
21,263,060
- --------------------------------------------------------------------------------
Road & Rail--1.1%
CSX Corp. .......................................... 80,000 3,518,400
- --------------------------------------------------------------------------------
55
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Large Cap Core Portfolio
Schedule of Investments as of December 31, 2007 (Concluded)
================================================================================
Shares
Common Stocks Held Value
- --------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment--6.3%
Analog Devices, Inc. ............................... 87,000 $2,757,900
Applied Materials, Inc. ............................ 193,000 3,427,680
Integrated Device Technology, Inc. (a) ............. 165,000 1,866,150
Intersil Corp. Class A ............................. 59,000 1,444,320
KLA-Tencor Corp. ................................... 59,000 2,841,440
Novellus Systems, Inc. (a) ......................... 29,000 799,530
Nvidia Corp. (a) ................................... 100,000 3,402,000
Texas Instruments, Inc. ............................ 91,000 3,039,400
-----------
19,578,420
- --------------------------------------------------------------------------------
Software--8.1%
Autodesk, Inc. (a) ................................. 69,000 3,433,440
Compuware Corp. (a) ................................ 130,000 1,154,400
McAfee, Inc. (a) ................................... 84,000 3,150,000
Microsoft Corp. .................................... 260,000 9,256,000
Novell, Inc. (a) ................................... 213,000 1,463,310
Oracle Corp. (a) ................................... 220,000 4,967,600
Synopsys, Inc. (a) ................................. 62,000 1,607,660
-----------
25,032,410
- --------------------------------------------------------------------------------
Specialty Retail--2.0%
GameStop Corp. Class A (a) ......................... 57,000 3,540,270
Tiffany & Co. ...................................... 61,000 2,807,830
-----------
6,348,100
- --------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods--1.1%
Nike, Inc. Class B ................................. 55,000 3,533,200
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost--$268,953,481)--99.9% 310,835,320
- --------------------------------------------------------------------------------
================================================================================
Beneficial
Short-Term Securities Interest
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Money Market Series, 4.78% (c)(d)(e) ............. $972,000 972,000
- --------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$972,000)--0.3% 972,000
- --------------------------------------------------------------------------------
Total Investments (Cost--$269,925,481*)--100.2% .................. 311,807,320
Liabilities in Excess of Other Assets--(0.2%) .................... (563,369)
------------
Net Assets--100.0%................................................ $311,243,951
============
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost.............................................. $271,471,863
============
Gross unrealized appreciation............................... $ 53,633,327
Gross unrealized depreciation............................... (13,297,870)
-----------
Net unrealized appreciation................................. $ 40,335,457
------------
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
--------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series........................... -- $ 1,895
BlackRock Liquidity Series, LLC
Money Market Series......................... $(13,225,700) $58,172
---------------------------------------------------------------------------
(d) Security was purchased with the cash proceeds from securities loans.
(e) Represents the current yield as of December 31, 2007.
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.
56
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Money Market Portfolio
Schedule of Investments as of December 31, 2007
================================================================================
Face Interest Maturity
Amount Issue Rate Date Value
- ------------------------------------------------------------------------------------------------------------------------------------
Certificates of Deposit--8.7% $ 5,000,000 Branch Banking and Trust Co..................... 4.50% 1/22/2008 $ 5,000,000
1,700,000 Chase Bank USA, NA.............................. 5.13 4/15/2008 1,700,000
1,500,000 Chase Bank USA, NA.............................. 5.13 4/16/2008 1,500,000
3,395,000 Chase Bank USA, NA.............................. 4.70 5/07/2008 3,395,000
6,000,000 Citibank, NA.................................... 4.95 1/16/2008 6,000,000
6,000,000 State Street Bank & Trust Co.................... 4.89 3/17/2008 6,000,000
2,800,000 Wachovia Bank, NA............................... 5.32 2/06/2008 2,800,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(Cost--$26,395,000) 26,395,000
- ------------------------------------------------------------------------------------------------------------------------------------
Certificates of Deposit-- 2,000,000 Banco Bilbao Vizcaya Argentina SA, NY........... 5.23 1/09/2008 2,000,000
Yankee--22.4% 2,000,000 Banco Bilbao Vizcaya Argentina SA, NY........... 5.22 1/10/2008 2,000,000
1,145,000 Banco Bilbao Vizcaya Argentina SA, NY........... 5.065 4/02/2008 1,145,014
1,115,000 Bank of Montreal, Chicago....................... 5.10 4/01/2008 1,115,000
800,000 Bank of Montreal, Chicago....................... 4.996 11/10/2008 800,000
3,000,000 Bank of Scotland Plc, NY........................ 5.00 3/18/2008 3,000,000
4,905,000 Banque Nationale de Paris, NY................... 5.10 2/27/2008 4,905,000
3,435,000 Banque Nationale de Paris, NY................... 4.80 6/05/2008 3,435,000
6,400,000 Calyon, NY (b).................................. 5.175 4/02/2008 6,399,523
7,000,000 Canadian Imperial Bank of Commerce, NY (b)...... 5.118 3/17/2008 7,000,000
3,175,000 Canadian Imperial Bank of Commerce, NY.......... 5.09 4/01/2008 3,175,000
3,325,000 Deutsche Bank AG, NY............................ 5.385 3/11/2008 3,325,000
3,760,000 Fortis Bank SA/NV, NY........................... 5.30 2/11/2008 3,760,000
985,000 Natixis, NY..................................... 5.42 7/10/2008 986,928
3,370,000 Nordea Bank Finland Plc, NY..................... 4.82 10/17/2008 3,370,258
1,060,000 Nordea Bank Finland Plc, NY..................... 4.91 6/23/2008 1,060,049
5,000,000 Toronto-Dominion Bank, NY....................... 5.05 3/25/2008 5,000,000
350,000 Toronto-Dominion Bank, NY....................... 4.86 5/30/2008 350,000
2,555,000 Toronto-Dominion Bank, NY....................... 4.85 6/06/2008 2,555,000
850,000 UBS AG, Stamford................................ 4.895 6/04/2008 850,000
4,500,000 UBS AG, Stamford................................ 5.05 3/20/2008 4,500,000
1,925,000 UniCredito Italiano, NY......................... 5.385 3/20/2008 1,925,020
5,000,000 UniCredito Italiano, NY......................... 5.015 3/27/2008 5,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit--Yankee
(Cost--$67,656,792) 67,656,792
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Paper**--54.0% 4,000,000 Amstel Funding Corp............................. 5.65 3/11/2008 3,956,683
3,000,000 Amstel Funding Corp............................. 5.27 3/17/2008 2,967,063
2,000,000 Bank of America Corp............................ 5.32 2/08/2008 1,989,064
2,000,000 CAFCO, LLC...................................... 4.92 1/24/2008 1,993,987
15,000,000 CHARTA, LLC..................................... 4.88 2/12/2008 14,916,633
2,000,000 Chariot Funding, LLC............................ 5.18 1/07/2008 1,998,561
2,000,000 Chariot Funding, LLC............................ 5.93 1/28/2008 1,991,434
2,000,000 Citigroup Funding Inc........................... 4.99 3/20/2008 1,978,377
1,400,000 Citigroup Funding Inc........................... 4.73 5/02/2008 1,377,743
5,000,000 Concord Minutemen Capital Co., LLC, Series A.... 5.30 1/10/2008 4,994,111
2,000,000 Concord Minutemen Capital Co., LLC, Series A.... 5.30 1/11/2008 1,997,350
7,000,000 Concord Minutemen Capital Co., LLC, Series A.... 5.90 2/04/2008 6,962,142
10,000,000 CRC Funding, LLC................................ 4.97 1/14/2008 9,983,433
2,000,000 CRC Funding, LLC................................ 4.85 2/01/2008 1,991,917
4,000,000 Falcon Asset Securitization Co. LLC............. 5.55 1/24/2008 3,986,433
7,000,000 Falcon Asset Securitization Co. LLC............. 4.91 2/20/2008 6,953,219
4,500,000 General Electric Capital Corp................... 4.78 3/17/2008 4,455,188
8,700,000 ING America Insurance Holdings, Inc............. 4.85 1/09/2008 8,691,795
6,250,000 Old Line Funding, LLC........................... 5.84 2/08/2008 6,212,486
10,000,000 Prudential Funding LLC.......................... 4.65 2/05/2008 9,956,083
5,000,000 Prudential Funding LLC.......................... 4.47 2/19/2008 4,970,200
3,370,000 Royal Bank of Scotland Group Plc................ 4.79 5/21/2008 3,307,224
1,750,000 Scaldis Capital LLC............................. 6.00 1/07/2008 1,748,542
8,000,000 Scaldis Capital LLC............................. 5.10 3/03/2008 7,930,867
2,000,000 Societe Generale North America, Inc............. 5.14 1/10/2008 1,997,716
8,600,000 Societe Generale North America, Inc............. 5.13 2/05/2008 8,558,333
57
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Money Market Portfolio
Schedule of Investments as of December 31, 2007 (Concluded)
================================================================================
Face Interest Maturity
Amount Issue Rate Date Value
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Paper $ 1,500,000 Societe Generale North America, Inc............. 5.15% 2/07/2008 $ 1,492,275
(concluded) 3,000,000 Societe Generale North America, Inc............. 5.165 2/08/2008 2,984,075
4,000,000 Thames Asset Global Securitization No. 1, Plc... 5.80 1/17/2008 3,990,333
12,000,000 Ticonderoga Funding LLC......................... 5.12 1/25/2008 11,960,747
1,605,000 UniCredito Italiano Bank (Ireland) Plc.......... 5.245 3/20/2008 1,586,761
9,000,000 Windmill Funding Corp........................... 5.52 1/24/2008 8,969,640
4,000,000 Yorktown Capital, LLC........................... 4.88 2/14/2008 3,976,684
- ------------------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper
(Cost--$162,827,099) 162,827,099
- ------------------------------------------------------------------------------------------------------------------------------------
Corporate Bonds--6.7% 1,000,000 Bank of Ireland (b)(c).......................... 4.949 9/19/2008 1,000,000
2,020,000 Cullinan Finance Corp. (b)(c)(d)................ 4.845 6/25/2008 2,019,903
4,100,000 Goldman Sachs Group, Inc. (b)(c)................ 5.098 9/12/2008 4,100,000
3,000,000 HSBC Finance Corp. (b).......................... 4.946 8/22/2008 3,000,000
1,750,000 MetLife Global Funding I (b)(c)................. 5.128 9/12/2008 1,750,000
1,300,000 MetLife Global Funding I (b)(c)................. 5.282 10/06/2008 1,300,000
2,000,000 Northern Rock Plc (b)(c)........................ 5.236 7/08/2008 2,000,000
5,000,000 Royal Bank of Scotland Group Plc (b)(c)......... 5.008 9/26/2008 5,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$20,169,903) 20,169,903
- ------------------------------------------------------------------------------------------------------------------------------------
Funding Agreements--3.0% 9,000,000 Jackson National Life Insurance Co. (a)(b)...... 5.306 5/01/2008 9,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Funding Agreements
(Cost--$9,000,000) 9,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Repurchase Agreements--5.2% 15,618,000 Deutsche Bank Securities Inc., purchased on
12/31/2007 to yield 4.25% to 1/02/2008,
repurchase price of $15,621,688 collateralized
by FHLB 5.51% due 1/23/2012.................. 15,618,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Repurchase Agreements
(Cost--$15,618,000) 15,618,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$301,666,794*)--100.0%....................................... 301,666,794
Other Assets Less Liabilities--0.0%................................. 86,944
------------
Net Assets--100.0%.................................................. $301,753,738
============
- --------------------------------------------------------------------------------
* Cost for federal income tax purposes.
** Commercial Paper is traded on a discount basis; the interest rates shown
reflect the discount rates paid at the time of purchase.
(a) Restricted securities as to resale, representing 3.0% of net assets, were
as follows:
- --------------------------------------------------------------------------------
Acquisition
Issue Dates Cost Value
- --------------------------------------------------------------------------------
Jackson National Life Insurance Co.,
5.306% due 5/01/2008................... 5/01/2007 $9,000,000 $9,000,000
- --------------------------------------------------------------------------------
(b) Floating rate security.
(c) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(d) Security is illiquid.
See Notes to Financial Statements.
58
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
================================================================================
Face
Asset-Backed Securities+ Amount Value
- --------------------------------------------------------------------------------
ACE Securities Corp. (b):
Series 2003-OP1 Class A2,
5.225% due 12/25/2033 .......................... USD 22,599 $ 21,610
Series 2005-ASP1 Class M1,
5.545% due 9/25/2035 ........................... 450,000 302,220
Series 2005-HE6 Class A2B,
5.07% due 10/25/2035 ........................... 397,173 391,878
Ameriquest Mortgage Securities, Inc.
Series 2003-7 Class M1,
5.715% due 8/25/2033 (b) ......................... 450,000 337,500
Bank One Issuance Trust Series 2004-A1
Class A1, 3.45% due 10/17/2011 ................... 1,100,000 1,090,379
Bear Stearns Asset Backed Securities Trust (b):
Series 2005-4 Class A,
5.20% due 1/25/2036 ............................ 202,988 180,660
Series 2005-HE10 Class A2,
5.16% due 8/25/2035 ............................ 804,541 756,646
Series 2005-SD1 Class 1A2,
5.165% due 7/25/2027 ........................... 450,000 433,688
Series 2006-HE8 Class 1A1,
4.935% due 10/25/2036 .......................... 519,313 508,034
Carrington Mortgage Loan Trust
Series 2006-NC5 Class A1,
4.915% due 1/25/2037 (b) ......................... 597,294 582,642
Chase Issuance Trust Series 2007-A17
Class A, 5.12% due 10/15/2014 .................... 700,000 716,930
Citibank Credit Card Issuance Trust
Series 2003-A8 Class A8,
3.50% due 8/16/2010 .............................. 1,250,000 1,240,141
Countrywide Asset Backed Certificates (b):
Series 2003-2 Class M1,
5.565% due 6/26/2033 ........................... 97,321 83,084
Series 2003-BC3 Class A2,
5.485% due 9/25/2033 ........................... 36,710 31,048
Series 2004-5 Class A,
5.315% due 10/25/2034 .......................... 82,280 70,350
Series 2004-5 Class M2,
5.535% due 7/25/2034 ........................... 400,000 332,000
Series 2004-13 Class AF4,
4.923% due 1/25/2033 ........................... 550,000 514,655
Series 2004-13 Class MF1,
5.071% due 12/25/2034 .......................... 550,000 471,707
Daimler Chrysler Auto Trust:
Series 2006-B Class A3,
5.33% due 8/08/2010 ............................ 894,286 897,148
Series 2006-D Class A3,
4.98% due 2/08/2011 ............................ 900,000 903,082
Equifirst Mortgage Loan Trust Series 2004-2
Class M1, 5.41% due 7/25/2034 (b) ................ 600,000 558,000
First Franklin Mortgage Loan
Asset Backed Certificates (b):
Series 2004-FF10 Class A2,
5.26% due 12/25/2032 ........................... 17,923 17,446
Series 2005-FF10 Class A6,
5.215% due 11/25/2035 .......................... 570,186 538,378
Ford Credit Auto Owner Trust:
Series 2005-A Class A4,
3.72% due 10/15/2009 ........................... 739,402 735,653
Series 2006-C Class A3,
5.16% due 11/15/2010 ........................... 1,100,000 1,107,632
Fremont Home Loan Trust Series 2005-E
Class 2A2, 5.035% due 1/25/2036 (b) .............. 264,253 262,931
Home Equity Asset Trust (b):
Series 2005-1 Class A2,
5.14% due 5/25/2035 ............................ 51,630 45,188
Series 2005-3 Class 1A2,
5.115% due 8/25/2035 ........................... 32,157 28,349
Honda Auto Receivables Owner Trust
Series 2006-3 Class A3,
5.12% due 10/15/2010 ............................. 950,000 953,850
Irwin Home Equity Corp. Series 2005-C
Class 1A1, 5.125% due 4/25/2030 (b) .............. 133,112 119,801
JPMorgan Mortgage Acquisition Corp.
Series 2006-HE3 Class A2,
4.935% due 11/25/2036 (b) ........................ 419,227 408,755
Long Beach Mortgage Loan Trust
Series 2006-11 Class 2A1,
4.925% due 12/25/2036 (b) ........................ 549,534 542,078
Morgan Stanley ABS Capital I (b):
Series 2005-HE1 Class A2MZ,
5.165% due 12/25/2034 .......................... 46,412 42,558
Series 2005-NC2 Class A1MZ,
5.115% due 3/25/2035 ........................... 5,991 5,980
Series 2005-NC2 Class A2MZ,
5.115% due 3/25/2035 ........................... 11,276 11,093
Nationstar Home Equity Loan Trust
Series 2006-B Class AV1,
4.935% due 9/25/2036 (b) ......................... 224,544 222,614
New Century Home Equity Loan Trust
Series 2005-2 Class A2MZ,
5.125% due 6/25/2035 (b) ......................... 129,843 120,628
Option One Mortgage Loan Trust
Series 2003-4 Class A2,
5.185% due 7/25/2033 (b) ......................... 120,069 105,380
PECO Energy Transition Trust Series 2000-A
Class A3, 7.625% due 3/01/2010 ................... 850,000 875,773
Park Place Securities, Inc.
Series 2005-WCH1 (b):
Class A1B, 5.165% due 1/25/2035 ................ 39,709 34,406
Class A3D, 5.205% due 1/25/2035 ................ 31,766 29,358
Popular ABS Mortgage Pass-Through Trust
Series 2005-1 Class M2,
5.507% due 5/25/2035 ............................. 200,000 136,000
RAAC Series 2005-SP2 Class 2A,
5.165% due 6/25/2044 (b) ......................... 553,853 472,331
Residential Asset Mortgage Products, Inc.
Series 2005-RS3 Class AI2,
5.035% due 3/25/2035 (b) ......................... 183,033 173,223
Residential Asset Securities Corp.
Series 2003-KS5 Class AIIB,
5.445% due 7/25/2033 (b) ......................... 79,479 77,240
SLM Student Loan Trust Series 2002-1
Class A2, 5.194% due 4/25/2017 (b) ............... 577,203 578,640
Soundview Home Equity Loan Trust
Series 2005-OPT3 Class A4,
5.165% due 11/25/2035 (b) ........................ 950,000 881,422
Structured Asset Securities Corp. (b):
Series 2004-23XS Class 2A1,
5.089% due 1/25/2035 ........................... 169,011 167,211
Series 2006-BC3 Class A2,
4.915% due 10/25/2036 .......................... 697,369 665,544
USAA Auto Owner Trust Series 2006-4:
Class A3, 5.01% due 6/15/2011 .................. 825,000 828,666
Class A4, 4.98% due 10/15/2012 ................. 775,000 781,558
59
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Asset-Backed Securities+ Amount Value
- --------------------------------------------------------------------------------
Wachovia Auto Owner Trust Series 2005-B
Class A3, 4.79% due 4/20/2010 .................... USD 344,375 $ 344,238
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(Cost--$22,668,968)--19.4% 21,737,326
- --------------------------------------------------------------------------------
================================================================================
U.S. Government & Agency Obligations
- --------------------------------------------------------------------------------
Fannie Mae, 7.125% due 1/15/2030 ................... 1,070,000 1,385,198
U.S. Treasury Inflation Indexed Bonds (i):
1.625% due 1/15/2015 ........................... 1,531,796 1,537,899
2.375% due 1/15/2025 ........................... 221,672 232,721
2.375% due 1/15/2027 ........................... 419,576 443,702
U.S. Treasury Notes:
3.875% due 10/31/2012 .......................... 500,000 509,805
4.875% due 5/15/2037 ........................... 850,000 926,434
- --------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$4,757,669)--4.5% 5,035,759
- --------------------------------------------------------------------------------
================================================================================
U.S. Government Agency
Mortgage-Backed Securities+--
Collateralized Mortgage Obligations
- --------------------------------------------------------------------------------
Fannie Mae Trust:
Series 360 Class 2,
5% due 8/01/2035 (e) ........................... 1,172,728 287,062
Series 378 Class 4,
5% due 7/01/2036 (e) ........................... 1,243,688 264,718
Series 2003-9 Class DA,
4.50% due 12/25/2016 ........................... 720,015 719,829
Series 2003-87 Class TJ,
4.50% due 9/25/2018 ............................ 730,000 708,269
Series 2004-25 Class PA,
5.50% due 10/25/2030 ........................... 533,446 536,890
Series 2005-57 Class PA,
5.50% due 5/25/2027 ............................ 579,840 583,635
Series 2005-69 Class LE,
5.50% due 11/25/2033 ........................... 1,224,689 1,242,268
Freddie Mac Multiclass Certificates:
Series 3020 Class MA,
5.50% due 4/15/2027 ............................ 911,959 920,552
Series 3067 Class PG,
5.50% due 6/15/2025 ............................ 580,173 584,987
Series 3068 Class VA,
5.50% due 10/15/2016 ........................... 349,346 354,650
Series 3087 Class VA,
5.50% due 3/15/2015 ............................ 996,606 1,013,096
Series 3137 Class XP,
6% due 4/15/2036 ............................... 596,471 614,881
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities--
Collateralized Mortgage Obligations
(Cost--$7,755,022)--7.0% 7,830,837
- --------------------------------------------------------------------------------
U.S. Government Agency
Mortgage-Backed Securities+
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through
Certificates:
4.00% due 10/01/2020--4/01/2021 ................ 942,577 902,630
4.50% due 1/15/2023 (d) ........................ 1,500,000 1,476,093
5.00% due 1/15/2023 (d) ........................ 4,000,000 4,003,752
5.50% due 1/15/2023--1/15/2038 (d) ............. 8,100,000 8,098,312
6.00% due 2/01/2017--1/15/2038 (d) ............. 10,361,561 10,547,681
6.50% due 10/01/2022--1/15/2038 (d) ............ 13,870,960 14,262,831
7.00% due 2/01/2016 ............................ 57,313 59,662
Freddie Mac Mortgage Participation Certificates:
5.00% due 12/01/2035 ........................... 1,693,113 1,653,042
5.50% due 2/01/2035--1/15/2038 (d) ............. 3,063,771 3,057,100
5.99% due 11/01/2036 (b) ....................... 690,109 698,463
6.00% due 6/01/2035--1/15/2038 (d) ............. 25,442,060 25,816,192
7.00% due 1/01/2032--9/01/2032 ................. 173,541 182,057
Ginnie Mae MBS Certificates:
5.50% due 5/20/2036 ............................ 4,000,000 4,008,355
6.00% due 1/21/2038 (d) ........................ 1,800,000 1,838,813
6.50% due 6/15/2031--1/15/2038 (d) ............. 2,859,578 2,947,519
- --------------------------------------------------------------------------------
Total U.S. Government Agency
Mortgage-Backed Securities
(Cost--$79,235,055)--71.0% 79,552,502
- --------------------------------------------------------------------------------
================================================================================
Non-U.S. Government Agency
Mortgage-Backed Securities+
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations--15.3%
Bear Stearns Adjustable Rate Mortgage Trust (b):
Series 2005-4 Class 3A1,
5.37% due 8/25/2035 ............................ 3,327,052 3,329,919
Series 2006-2 Class 2A1,
5.65% due 7/25/2036 ............................ 1,142,829 1,142,654
Citigroup Mortgage Loan Trust, Inc.
Series 2005-4 Class A,
5.345% due 8/25/2035 (b) ......................... 1,166,812 1,132,712
Citimortgage Alternative Loan Trust
Series 2007-A8 Class A1,
6% due 10/25/2037 ................................ 785,150 781,715
Countrywide Alternative Loan Trust
Series 2006-OC10 Class 2A1,
4.955% due 11/25/2036 (b) ........................ 452,879 445,352
Countrywide Home Loan
Mortgage Pass-Through Trust:
Series 2007-16 Class A1,
6.50% due 10/25/2037 ........................... 487,196 493,858
Series 2007-J3 Class A10,
6% due 7/25/2037 ............................... 586,784 566,132
First Horizon Asset Securities, Inc.
Series 2005-AR3 Class 3A1,
5.50% due 8/25/2035 (b) .......................... 498,160 497,989
GSR Mortgage Loan Trust Series 2005-AR4
Class 6A1, 5.25% due 7/25/2035 (b) ............... 1,208,353 1,170,335
Impac Secured Assets CMN Owner Trust
Series 2004-3 (b):
Class 1A4, 5.265% due 11/25/2034 ............... 125,086 124,663
Class M1, 5.465% due 11/25/2034 ................ 500,000 492,446
Luminent Mortgage Trust Series 2006-7
Class 1A1, 5.045% due 12/25/2036 (b) ............. 737,109 695,880
RMAC Plc Series 2003-NS2A Class A2C,
5.533% due 9/12/2035 (b) ......................... 30,486 30,181
60
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Non-U.S. Government Agency Face
Mortgage-Backed Securities+ Amount Value
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations (concluded)
Structured Adjustable Rate Mortgage Loan:
Series 2007-3 Class 2A1, Trust
5.738% due 4/25/2037 (b) ....................... USD 879,363 $ 878,771
Structured Asset Securities Corp. (b):
Series 2005-GEL2 Class A,
5.145% due 4/25/2035 ........................... 80,195 77,680
Series 2005-OPT1 Class A4M,
5.215% due 11/25/2035 .......................... 235,032 221,831
WaMu Mortgage Pass-Through Certificates
Series 2007-HY3 (b):
Class 1A1, 5.67% due 3/25/2037 ................. 2,442,656 2,453,038
Class 4A1, 5.35% due 3/25/2037 ................. 1,084,605 1,079,606
Wells Fargo Mortgage Backed Securities Trust (b):
Series 2005-AR15 Class 2A1,
5.115% due 9/25/2035 ........................... 1,260,753 1,236,993
Series 2006-AR12 Class 2A1,
6.10% due 9/25/2036 ............................ 277,016 277,407
-----------
17,129,162
- --------------------------------------------------------------------------------
Commercial Mortgage-Backed Securities--19.3%
Banc of America Commercial Mortgage, Inc.:
Series 2001-1 Class B,
6.674% due 4/15/2036 ........................... 840,000 888,723
Series 2003-2 Class A3,
4.873% due 3/11/2041 (b)(c) .................... 755,000 756,289
Series 2007-2 Class A4,
5.688% due 4/10/2049 (b) ....................... 700,000 718,328
Bear Stearns Commercial Mortgage Securities:
Series 1998-C1 Class A2,
6.44% due 6/16/2030 ............................ 807,636 808,445
Series 2005-PWR8 Class A4,
4.674% due 6/11/2041 ........................... 750,000 716,705
Series 2006-PW11 Class A4,
5.625% due 3/11/2039 (b) ....................... 825,000 837,297
Series 2007-PW17 Class A4,
5.694% due 6/11/2050 (b) ....................... 525,000 537,054
CS First Boston Mortgage Securities Corp.
Series 2002-CP5 Class A1,
4.106% due 12/15/2035 ............................ 337,150 331,765
Capco America Securitization Corp.
Series 1998-D7 Class A1B,
6.26% due 10/15/2030 ............................. 710,803 714,230
Chase Commercial Mortgage Securities
Corp. Series 1999-2 Class A2,
7.198% due 1/15/2032 ............................. 645,492 670,846
Citigroup Commercial Mortgage Trust
Series 2007-C6 Class AM,
5.89% due 12/10/2049 (b) ......................... 275,000 275,729
Citigroup/Deutsche Bank Commercial
Mortgage Trust Series 2007-CD5 Class A4,
5.886% due 11/15/2044 (b) ........................ 275,000 285,021
First Union National Bank Commercial
Mortgage Series 1999-C4 Class E,
7.939% due 12/15/2031 (a)(b) ..................... 745,000 789,122
GMAC Commercial Mortgage Securities, Inc.:
Series 1998-C2 Class A2,
6.42% due 5/15/2035 ............................ 722,716 724,664
Series 2000-C3 Class A2,
6.957% due 9/15/2035 ........................... 820,000 865,698
Series 2001-C1 Class B,
6.67% due 4/15/2034 (b) ........................ 690,000 729,148
Series 2003-C3 Class A3,
4.646% due 4/10/2040 ........................... 850,000 848,745
GS Mortgage Securities Corp. II
Series 2006-GG6 Class A2,
5.506% due 4/10/2038 (b) ......................... 700,000 707,828
Greenwich Capital Commercial Funding Corp.:
Series 2004-GG1 Class A4,
4.755% due 6/10/2036 ........................... 900,000 902,302
Series 2005-GG5 Class AJ,
5.301% due 4/10/2037 (b) ....................... 225,000 212,264
JPMorgan Chase Commercial
Mortgage Securities Corp.:
Series 2001-CIB2 Class A3,
6.429% due 4/15/2035 ........................... 735,000 772,392
Series 2006-CB17 Class A4,
5.429% due 12/12/2043 .......................... 100,000 100,555
Series 2007-LD1 Class A2,
5.804% due 6/15/2049 (b) ....................... 275,000 281,079
Series 2007-LD12 Class A2,
5.827% due 2/15/2051 ........................... 225,000 229,557
LB Commercial Conduit Mortgage Trust
Series 1998-C4 Class A1B,
6.21% due 10/15/2035 ............................. 564,502 566,682
LB-UBS Commercial Mortgage Trust:
Series 2000-C3 Class A2,
7.95% due 5/15/2025 (b) ........................ 708,702 748,387
Series 2005-C3 Class A5,
4.739% due 7/15/2030 ........................... 600,000 575,339
Series 2007-C2 Class A3,
5.43% due 2/15/2040 ............................ 500,000 502,203
Series 2007-C6 Class A4,
5.858% due 7/15/2040 (b) ....................... 700,000 723,974
Series 2007-C7 Class A3,
5.866% due 9/15/2045 (b) ....................... 625,000 641,099
Morgan Stanley Capital I:
Series 2006-IQ12 Class A4,
5.332% due 12/15/2043 .......................... 300,000 299,553
Series 2007-HQ12 Class A2,
5.81% due 4/12/2049 (b) ........................ 100,000 101,583
Series 2007-IQ16 Class A4,
5.809% due 12/12/2049 .......................... 380,000 388,607
Mortgage Capital Funding, Inc.:
Series 1998-MC1 Class E,
7.06% due 3/18/2030 (b) ........................ 118,108 117,819
Series 1998-MC2 Class B,
6.549% due 6/18/2030 ........................... 760,000 759,220
Wachovia Bank Commercial Mortgage Trust:
Series 2005-C20 Class A6A,
5.11% due 7/15/2042 (b) ........................ 680,000 674,276
Series 2007-C33 Class A4,
6.10% due 2/15/2051 (b) ........................ 850,000 887,507
-----------
21,690,035
- --------------------------------------------------------------------------------
Total Non-U.S. Government Agency
Mortgage-Backed Securities
(Cost--$38,518,388)--34.6% 38,819,197
- --------------------------------------------------------------------------------
================================================================================
Corporate Bonds
- --------------------------------------------------------------------------------
Aerospace & Defense--0.1%
Honeywell International, Inc.,
5.70% due 3/15/2036 .............................. 155,000 152,634
L-3 Communications Corp. Series B,
6.375% due 10/15/2015 ............................ 7,000 6,895
-----------
159,529
- --------------------------------------------------------------------------------
61
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Airlines--0.2%
American Airlines, Inc. Series 2003-1,
3.857% due 1/09/2012 (f) ......................... USD 99,201 $ 94,117
Continental Airlines, Inc. Series 2002-1,
6.563% due 8/15/2013 ............................. 140,000 144,900
-----------
239,017
- --------------------------------------------------------------------------------
Building Products--0.1%
Momentive Performance Materials, Inc.,
10.125% due 12/01/2014 (a)(h) .................... 70,000 64,050
- --------------------------------------------------------------------------------
Capital Markets--4.4%
The Bear Stearns Cos., Inc.:
5.599% due 7/19/2010 (b) ....................... 145,000 136,270
6.95% due 8/10/2012 ............................ 395,000 406,139
6.40% due 10/02/2017 ........................... 200,000 193,232
Credit Suisse Guernsey Ltd., 5.86% (b)(g) .......... 430,000 384,935
Goldman Sachs Capital II, 5.793% (b)(g) ............ 175,000 155,807
The Goldman Sachs Group, Inc.,
5.25% due 10/15/2013 ............................. 730,000 730,250
Lehman Brothers Holdings, Inc.:
6% due 7/19/2012 ............................... 295,000 300,379
5.50% due 4/04/2016 ............................ 150,000 143,527
6.75% due 12/28/2017 ........................... 325,000 334,977
Series I, 5.25% due 2/06/2012 .................. 235,000 232,530
Series MTN, 7% due 9/27/2027 ................... 165,000 167,467
Morgan Stanley:
6.25% due 8/28/2017 ............................ 540,000 548,966
Series F, 5.55% due 4/27/2017 .................. 660,000 643,611
UBS AG Series DPNT,
5.875% due 12/20/2017 ............................ 545,000 548,840
-----------
4,926,930
- --------------------------------------------------------------------------------
Commercial Banks--1.5%
Barclays Bank Plc (a)(b)(g):
7.43% .......................................... 125,000 129,894
8.55% .......................................... 290,000 305,456
Corporacion Andina de Fomento,
6.875% due 3/15/2012 ............................. 220,000 234,745
Royal Bank of Scotland Group Plc,
6.99% (a)(b)(g) .................................. 475,000 473,140
Wachovia Bank NA,
6.60% due 1/15/2038 .............................. 550,000 552,761
-----------
1,695,996
- --------------------------------------------------------------------------------
Computers & Peripherals--0.3%
International Business Machines Corp.,
5.70% due 9/14/2017 .............................. 325,000 335,973
- --------------------------------------------------------------------------------
Consumer Finance--0.3%
HSBC Finance Corp., 6.50% due 11/15/2008 ........... 200,000 202,196
SLM Corp., 5.40% due 10/25/2011 .................... 180,000 164,051
-----------
366,247
- --------------------------------------------------------------------------------
Diversified Financial Services--6.0%
Bank of America Corp.:
4.875% due 9/15/2012 ........................... 225,000 225,552
6% due 9/01/2017 ............................... 275,000 280,960
5.75% due 12/01/2017 ........................... 780,000 781,789
Citigroup, Inc.:
5.50% due 2/15/2017 ............................ 410,000 398,458
5.625% due 8/27/2012 ........................... 430,000 435,582
Citigroup Capital XXI,
8.30% due 12/21/2077 (b) ....................... 360,000 375,909
General Electric Capital Corp.:
5% due 11/15/2011 .............................. 1,115,000 1,128,507
6.15% due 8/07/2037 ............................ 305,000 324,041
6.375% due 11/15/2067 (b) ...................... 275,000 283,933
Series A, 5% due 12/01/2010 (c) ................ 1,375,000 1,399,168
JPMorgan Chase Bank NA,
6% due 7/05/2017 ................................. 450,000 454,651
JPMorgan Chase Capital XXV,
6.80% due 10/01/2037 ............................. 675,000 648,993
-----------
6,737,543
- --------------------------------------------------------------------------------
Diversified Telecommunication Services--0.9%
AT&T, Inc., 6.50% due 9/01/2037 .................... 475,000 496,697
GTE Corp., 6.84% due 4/15/2018 ..................... 270,000 292,923
Qwest Communications International, Inc.,
7.50% due 2/15/2014 .............................. 85,000 84,787
Telecom Italia Capital SA,
6% due 9/30/2034 ................................. 95,000 92,379
-----------
966,786
- --------------------------------------------------------------------------------
Electric Utilities--0.5%
Jersey Central Power & Light Co.,
6.40% due 5/15/2036 .............................. 70,000 68,103
Nevada Power Co.,
6.65% due 4/01/2036 .............................. 140,000 141,736
Sierra Pacific Power Co.,
6% due 5/15/2016 ................................. 190,000 188,337
Southern California Edison Co.,
5.625% due 2/01/2036 ............................. 180,000 172,243
-----------
570,419
- --------------------------------------------------------------------------------
Energy Equipment & Services--0.1%
Transocean, Inc., 6.80% due 3/15/2038 .............. 75,000 76,526
- --------------------------------------------------------------------------------
Food Products--0.3%
Kraft Foods, Inc., 6.50% due 8/11/2017 ............. 330,000 341,400
- --------------------------------------------------------------------------------
Health Care Equipment & Supplies--0.1%
The Cooper Cos., Inc.,
7.125% due 2/15/2015 ............................. 130,000 126,425
- --------------------------------------------------------------------------------
Health Care Providers & Services--0.1%
UnitedHealth Group, Inc.,
5.80% due 3/15/2036 .............................. 130,000 118,915
- --------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.0%
American Real Estate Partners LP,
7.125% due 2/15/2013 ............................. 20,000 18,800
- --------------------------------------------------------------------------------
Independent Power Producers & Energy Traders--0.2%
Texas Competitive Electric Holdings Co. LLC
Series B, 10.25% due 11/01/2015 (a) .............. 220,000 217,800
- --------------------------------------------------------------------------------
Insurance--1.1%
American International Group, Inc.,
6.25% due 5/01/2036 .............................. 195,000 196,013
Chubb Corp., 6.375% due 3/29/2067 (b) .............. 200,000 195,082
Lincoln National Corp.,
7% due 5/17/2066 (b) ............................. 130,000 130,523
Metlife, Inc., 6.40% due 12/15/2066 ................ 250,000 229,123
The Progressive Corp.,
6.70% due 6/15/2037 (b) .......................... 190,000 176,390
Reinsurance Group of America,
6.75% due 12/15/2065 (b) ......................... 135,000 121,296
The Travelers Cos., Inc.,
6.25% due 3/15/2067 (b) .......................... 145,000 135,979
-----------
1,184,406
- --------------------------------------------------------------------------------
Media--2.0%
CSC Holdings, Inc. Series B,
8.125% due 7/15/2009 ............................. 25,000 25,406
Cablevision Systems Corp. Series B,
9.644% due 4/01/2009 (b) ......................... 155,000 156,744
62
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Face
Corporate Bonds Amount Value
- --------------------------------------------------------------------------------
Media (concluded)
Comcast Corp.:
6.50% due 1/15/2017 .............................. USD 255,000 $ 265,876
6.45% due 3/15/2037 .............................. 225,000 229,091
6.95% due 8/15/2037 .............................. 250,000 269,818
Cox Communications, Inc.,
7.125% due 10/01/2012 ............................ 135,000 143,974
Idearc, Inc., 8% due 11/15/2016 .................... 60,000 55,050
News America, Inc.:
6.40% due 12/15/2035 ........................... 200,000 202,329
6.75% due 1/09/2038 ............................ 120,000 130,945
Time Warner Cable, Inc.,
5.85% due 5/01/2017 .............................. 275,000 275,679
Time Warner Cos., Inc.,
9.125% due 1/15/2013 ............................. 405,000 460,112
-----------
2,215,024
- --------------------------------------------------------------------------------
Metals & Mining--0.3%
Freeport-McMoRan Copper & Gold, Inc.:
8.25% due 4/01/2015 ............................ 90,000 95,400
8.394% due 4/01/2015 (b) ....................... 65,000 65,975
8.375% due 4/01/2017 ........................... 180,000 193,050
-----------
354,425
- --------------------------------------------------------------------------------
Multi-Utilities--0.1%
Xcel Energy, Inc., 6.50% due 7/01/2036 ............. 90,000 89,284
- --------------------------------------------------------------------------------
Office Electronics--0.2%
Xerox Corp., 6.40% due 3/15/2016 ................... 230,000 235,355
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--1.8%
Anadarko Petroleum Corp.,
5.95% due 9/15/2016 .............................. 600,000 610,938
Gazprom OAO, 7.288% due 8/16/2037 (a) .............. 190,000 191,767
Midamerican Energy Holdings Co.:
5.95% due 5/15/2037 ............................ 250,000 242,495
6.50% due 9/15/2037 ............................ 150,000 156,643
Motiva Enterprises LLC,
5.20% due 9/15/2012 (a) .......................... 135,000 141,652
Northwest Pipeline Corp.,
7% due 6/15/2016 ................................. 240,000 255,600
Petrobras International Finance Co.,
5.875% due 3/01/2018 ............................. 90,000 89,505
Sabine Pass LNG LP,
7.50% due 11/30/2016 ............................. 135,000 128,925
Tennessee Gas Pipeline Co.,
7% due 10/15/2028 ................................ 35,000 35,332
XTO Energy, Inc., 6.75% due 8/01/2037 .............. 175,000 187,710
-----------
2,040,567
- --------------------------------------------------------------------------------
Pharmaceuticals--0.3%
Bristol-Myers Squibb Co.,
5.875% due 11/15/2036 ............................ 175,000 173,902
Wyeth, 6% due 2/15/2036 ............................ 190,000 189,985
-----------
363,887
- --------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs)--0.2%
Nationwide Health Properties, Inc.,
6.59% due 7/07/2038 .............................. 165,000 176,275
- --------------------------------------------------------------------------------
Wireless Telecommunication Services--0.1%
Vodafone Group Plc,
6.15% due 2/27/2037 .............................. 100,000 98,762
- --------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$23,644,211)--21.2% 23,720,341
- --------------------------------------------------------------------------------
Foreign Government Obligations
- --------------------------------------------------------------------------------
Argentina Bonos, 5.374% due
8/03/2012 (b)(f)........................... 243,750 214,924
Bundesrepublik Deutschland Series 07,
4.25% due 7/04/2039........................ EUR 150,000 206,872
Colombia Government International
Bond, 7.375% due 9/18/2037................. USD 200,000 222,500
Mexico Government International Bond,
6.375% due 1/16/2013....................... 130,000 138,255
- --------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost--$787,612)--0.7% 782,551
- --------------------------------------------------------------------------------
================================================================================
Preferred Securities
- --------------------------------------------------------------------------------
Capital Trusts
- --------------------------------------------------------------------------------
Capital Markets--0.1%
Lehman Brothers Holdings Capital Trust V,
5.857% (b)(g) .................................... 55,000 49,019
Mellon Capital IV Series 1, 6.244% (b)(g) .......... 150,000 139,218
-----------
188,237
- --------------------------------------------------------------------------------
Commercial Banks--0.4%
BAC Capital Trust VI, 5.625%
due 3/08/2035 .................................... 150,000 128,112
USB Capital IX, 6.189% (b)(g) ...................... 325,000 294,129
-----------
422,241
- --------------------------------------------------------------------------------
Total Capital Trusts
(Cost--$680,788)--0.5% 610,478
- --------------------------------------------------------------------------------
================================================================================
Shares
Preferred Stocks Held
- --------------------------------------------------------------------------------
Commercial Banks--0.6%
Wachovia Corp. Series J, 8% ........................ 25,000 632,500
- --------------------------------------------------------------------------------
Thrifts & Mortgage Finance--1.7%
Fannie Mae:
8.25% .......................................... 34,150 879,363
Series O, 7% ................................... 9,000 414,844
Freddie Mac Series Z, 8.375% ....................... 24,300 635,445
-----------
1,929,652
- --------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$2,586,875)--2.3% 2,562,152
- --------------------------------------------------------------------------------
================================================================================
Face
Trust Preferreds Amount
- --------------------------------------------------------------------------------
Commercial Banks--0.1%
SunTrust Capital VIII,
6.10% due 12/15/2036 (b)(i) ...................... USD 150,000 124,833
- --------------------------------------------------------------------------------
Total Trust Preferreds
(Cost--$147,573)--0.1% 124,833
- --------------------------------------------------------------------------------
Total Preferred Securities
(Cost--$3,415,236)--2.9% 3,297,463
- --------------------------------------------------------------------------------
================================================================================
Short-Term Securities
- --------------------------------------------------------------------------------
U.S. Government Agency Obligations--2.5%
Federal Home Loan Bank,
3.25% due 1/14/2008 .............................. 2,800,000 2,796,967
- --------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$2,796,967)--2.5% 2,796,967
- --------------------------------------------------------------------------------
63
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Number of
Options Purchased Contracts++ Value
- --------------------------------------------------------------------------------
Call Options Purchased
Receive a fixed rate of 5.345% and pay a
floating rate based on 3-month USD LIBOR,
expiring November 2009, Broker, Lehman
Brothers Special Financing (j) ................... 2 $ 136,369
Receive a fixed rate of 5.39% and pay a
floating rate based on 3-month LIBOR,
expiring March 2012, Broker, Lehman
Brothers Special Financing (j) ................... 2 109,862
Receive a fixed rate of 5.525% and pay a
floating rate based on 3-month LIBOR,
expiring May 2012, Broker, Citibank, NA (j) ...... 5 336,197
Receive a fixed rate of 5.705% and pay a
floating rate based on 3-month LIBOR,
expiring May 2012, Broker, Deutsche
Bank AG London (j) ............................... 5 355,135
Receive a fixed rate of 5.78% and pay a
floating rate based on 3-month LIBOR,
expiring August 2010, Broker, Deutsche
Bank AG London (j) ............................... 3 265,479
Receive a fixed rate of 6.025% and pay a
floating rate based on 3-month LIBOR,
expiring June 2012, Broker, Lehman
Brothers Special Financing (j) ................... 2 172,833
Receive a fixed rate of 6.075% and pay a
floating rate based on 3-month LIBOR,
expiring July 2012, Broker, Lehman
Brothers Special Financing (j) ................... 3 250,117
-----------
1,625,992
- --------------------------------------------------------------------------------
Put Options Purchased
Pay a fixed rate of 5.345% and receive a
floating rate based on 3-month USD LIBOR,
expiring November 2009, Broker, Lehman
Brothers Special Financing (j) ................... 2 84,089
Pay a fixed rate of 5.39% and receive a
floating rate based on 3-month LIBOR,
expiring March 2012, Broker, Lehman
Brothers Special Financing (j) ................... 2 110,950
Pay a fixed rate of 5.5% and receive a
floating rate based on 3-month LIBOR,
expiring January 2008, Broker, Morgan
Stanley Capital Services (j) ..................... 2 69
Pay a fixed rate of 5.525% and receive a
floating rate based on 3-month LIBOR,
expiring May 2012, Broker, Citibank, NA (j) ...... 5 264,932
Pay a fixed rate of 5.705% and receive a
floating rate based on 3-month LIBOR,
expiring May 2012, Broker, Deutsche
Bank AG London (j) ............................... 5 223,087
Pay a fixed rate of 5.78% and receive a
floating rate based on 3-month LIBOR,
expiring August 2010, Broker, Deutsche
Bank AG London (j) ............................... 3 95,090
Pay a fixed rate of 6.025% and receive a
floating rate based on 3-month LIBOR,
expiring June 2012, Broker, Lehman Brothers
Special Financing (j) ............................ 2 79,663
Pay a fixed rate of 6.075% and receive a
floating rate based 3-month LIBOR,
expiring July 2012, Broker, Lehman Brothers
Special Financing (j) ............................ 3 109,810
-----------
967,690
- --------------------------------------------------------------------------------
Total Options Purchased
(Premiums Paid--$1,996,026)--2.3% 2,593,682
- --------------------------------------------------------------------------------
Total Investments before TBA Sale
Commitments and Options Written
(Cost--$185,575,154*)--166.1% 186,166,625
- --------------------------------------------------------------------------------
================================================================================
Face
TBA Sale Commitments Amount
- --------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through
Certificates:
5.50% due 1/15/2023--1/15/2038 ................... USD(7,500,000) (7,490,903)
6% due 2/01/2017--1/15/2038 ...................... (200,000) (203,093)
Freddie Mac Mortgage Participation
Certificates, 6.0% due
6/01/2035--1/15/2038 ............................. (4,400,000) (4,465,314)
Ginnie Mae MBS Certificates,
5.50% due 5/20/2036 .............................. (4,000,000) (4,021,240)
- --------------------------------------------------------------------------------
Total TBA Sale Commitments
(Proceeds Received--$16,043,290)--(14.4%) (16,180,550)
- --------------------------------------------------------------------------------
================================================================================
Number of
Options Written Contracts
- --------------------------------------------------------------------------------
Call Options Written
U.S. Treasury Bonds, expiring February 2008
at USD 112 ....................................... 11 (4,812)
Pay a fixed rate of 5.025% and receive a
floating rate based on 3-month USD LIBOR,
expiring November 2010, Broker, Union
Bank of Switzerland, A.G. (j) .................... 5++ (207,460)
Pay a fixed rate of 5.115% and receive a
floating rate based on 3-month LIBOR,
expiring March 2008, Broker, Lehman
Brothers Special Financing (j) ................... 2++ (78,392)
Pay a fixed rate of 5.40% and receive a
floating rate based on 3-month USD LIBOR,
expiring December 2010, Broker, Union
Bank of Switzerland, A.G. (j) .................... 1++ (81,200)
Pay a fixed rate of 5.74% and receive a
floating rate based on 3-month LIBOR,
expiring October 2012, Broker, JPMorgan
Chase (j) ........................................ 1++ (99,234)
Pay a fixed rated of 5.46% and receive a
floating rate based on 3-month LIBOR,
expiring August 2008, Broker, JPMorgan
Chase (j) ........................................ 1++ (51,105)
Pay a fixed rate of 5.56% and receive a
floating rate based on 3-month LIBOR,
expiring October 2010, Broker, Union
Bank Of Switzerland, A.G. (j) .................... 7++ (430,345)
-----------
(952,548)
- --------------------------------------------------------------------------------
64
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
Number of
Options Written Contracts++ Value
- --------------------------------------------------------------------------------
Put Options Written
Receive a fixed rate of 5.56% and pay a
floating rate based on 3-month LIBOR,
expiring October 2010, Broker, Union
Bank of Switzerland, A.G. (j) .................... 7 $ (236,245)
Receive a fixed rate of 5.025% and pay a
floating rate based on 3-month USD
LIBOR, expiring November 2010, Broker,
Union Bank of Switzerland, A.G. (j) .............. 5 (265,070)
Receive a fixed rate of 5.115% and pay a
floating rate based on 3-month LIBOR,
expiring March 2008, Broker, Lehman
Brothers Special Financing (j) ................... 2 (15,722)
Receive a fixed rate of 5.40% and pay a
floating rate based on 3-month USD
LIBOR, expiring December 2010, Broker,
Union Bank of Switzerland, A.G. (j) .............. 1 (60,089)
Receive a fixed rated of 5.46% and pay a
floating rate based on 3-month LIBOR,
expiring August 2008, Broker, JPMorgan
Chase (j) ........................................ 1 (11,098)
Receive a fixed rate of 5.74% and pay a
floating rate based on 3-month LIBOR,
expiring October 2012, Broker, JPMorgan
Chase (j) ........................................ 1 (79,938)
-------------
(668,162)
- --------------------------------------------------------------------------------
Total Options Written
(Premiums Received--$1,458,764)--(1.4%) (1,620,710)
- --------------------------------------------------------------------------------
Total Investments, Net of TBA Sale
Commitments and Options Written
(Cost--$168,073,100)--150.3%.................................... 168,365,365
Liabilities in Excess of Other Assets--(50.3%) (56,307,327)
-------------
Net Assets--100.0%.............................................. $112,058,038
=============
- --------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost............................................ $185,673,617
=============
Gross unrealized appreciation............................. $ 2,494,907
Gross unrealized depreciation............................. (2,001,899)
-------------
Net unrealized appreciation............................... $ 493,008
=============
+ Asset-Backed and 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 securities for which all specific information is
not available at this time.
(e) Represents the interest only portion of a mortgage-backed security and has
either a nominal or a notional amount of principal.
(f) Subject to principal paydowns.
(g) The security is a perpetual bond and has no definite maturity date.
(h) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(i) All or a portion of security held as collateral in connection with open
reverse repurchase agreements.
Reverse repurchase agreement outstanding as of December 31, 2007 was as
follows:
- --------------------------------------------------------------------------------
Interest Trade Maturity Net Closing Face
Counterparty Rate Date Date Amount Amount
- --------------------------------------------------------------------------------
Lehman
Brothers, Inc. 3.80% 12/19/07 1/17/08 $2,542,258 $2,534,500
- --------------------------------------------------------------------------------
(j) 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.
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 many 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 as of December 31, 2007 were as
follows:
--------------------------------------------------------------------------
Foreign Unrealized
Foreign Currency Currency Settlement Appreciation
Purchased Sold Date (Depreciation)
--------------------------------------------------------------------------
JPY 248,834,675 USD 2,156,691 1/15/08 $74,689
JPY 58,315,000 USD 525,928 1/15/08 (2,998)
JPY 58,315,000 USD 521,549 1/15/08 1,380
USD 1,086,936 JPY 117,363,000 1/15/08 34,504
EUR 179,459 USD 266,095 1/23/08 (3,602)
USD 301,113 EUR 212,500 1/23/08 (9,709)
--------------------------------------------------------------------------
Total Unrealized Appreciation on Forward
Foreign Exchange Contracts--Net $94,264
========
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
- --------------------------------------------------------------------------------
9 Euro BOBL March 2008 $1,440,015 $(19,690)
9 Euribor March 2008 $3,143,583 (2,985)
19 Euro-Bund Future March 2008 $3,213,313 (71,231)
72 10-Year
U.S. Treasury Bond March 2008 $8,092,208 71,917
16 Eurodollar
Futures September 2008 $3,859,053 1,347
- --------------------------------------------------------------------------------
Total Unrealized Depreciation--Net $(20,642)
========
o Financial futures contracts sold as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
- --------------------------------------------------------------------------------
17 2-Year U.S.
Treasury Bonds March 2008 $ 3,574,450 $ 200
136 5-Year U.S.
Treasury Bonds March 2008 $15,029,914 31,664
59 30-Year U.S.
Treasury Bonds March 2008 $ 6,931,520 65,395
16 Eurodollar
Futures September 2009 $ 3,853,890 (110)
- --------------------------------------------------------------------------------
Total Unrealized Appreciation--Net $97,149
=======
65
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Continued) (in U.S. dollars)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Sold credit default protection on
Comcast Cable Communications, Inc.
and receive 1.15%
Broker, Morgan Stanley Capital Services, Inc.
Expires September 2008 $ 430,000 $ 2,974
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 (17,671)
Receive a fixed rate of 4.7775% and pay a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires August 2009 $5,100,000 71,222
Receive a fixed rate of 5.2725% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank, NA
Expires October 2009 $2,900,000 71,212
Receive a fixed rate of 4.034% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires December 2009 $4,500,000 14,137
Receive a fixed rate of 4.1% and pay a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires December 2009 $3,500,000 15,413
Bought credit default protection on Sara Lee
Corp. and pay 0.57%
Broker, Lehman Brothers Special Financing
Expires December 2010 $ 295,000 (2,948)
Bought credit default protection on RadioShack
Corp. and pay 1.16%
Broker, UBS Warburg
Expires December 2010 $ 295,000 2,570
Bought credit default protection on Limited
Brands, Inc. and pay 1.065%
Broker, UBS Warburg
Expires December 2010 $ 295,000 2,016
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 (45,057)
Bought credit default protection on Sara Lee
Corp. and pay 0.604%
Broker, JPMorgan Chase
Expires March 2011 $ 295,000 (3,360)
Bought credit default protection on Limited
Brands, Inc. and pay 0.73%
Broker, Lehman Brothers Special Financing
Expires March 2011 $ 295,000 6,138
Bought credit default protection on Computer
Sciences Corp. and pay 0.88%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2011 $ 290,000 (6,180)
Sold credit default protection on Lehman
Brothers Holdings, Inc. and receive 1.12%
Broker, Deutsche Bank AG London
Expires September 2012 $ 275,000 (840)
Sold credit default protection on Lehman
Brothers Holdings, Inc. and receive 0.95%
Broker, Deutsche Bank AG London
Expires September 2012 $ 105,000 (1,061)
Receive a fixed rate of 4.867% and pay a
floating rate based on 3-month USD LIBOR
Broker, UBS Warburg
Expires October 2012 $2,900,000 86,762
Receive a fixed rate of 4.667% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2012 $3,300,000 65,424
Receive a fixed rate of 5.023% and pay a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2012 $3,900,000 143,077
Receive a fixed rate of 4.34% and pay a
floating rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Financing
Expires December 2012 $5,400,000 33,950
Bought credit default protection on Eastman
Chemical Co. and pay 0.68%
Broker, Morgan Stanley Capital Services, Inc.
Expires September 2013 $ 285,000 (2,477)
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 19,810
Pay a fixed rate of 5.225% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires January 2017 $ 300,000 (13,641)
Receive a fixed rate of 5.16% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires February 2017 $1,100,000 44,417
Pay a fixed rate of 5.071% and receive a
floating rate based on 3-month LIBOR
Broker, UBS Warburg
Expires March 2017 $1,500,000 (50,889)
66
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Total Return Portfolio
Schedule of Investments as of December 31, 2007 (Concluded) (in U.S. dollars)
================================================================================
o Swaps outstanding as of December 31, 2007 were as follows (concluded):
- --------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive a fixed rate of 5.10% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires March 2017 $3,200,000 $ 115,358
Pay a fixed rate of 5.725% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG London
Expires June 2017 $2,100,000 (175,773)
Pay a fixed rate of 5.6825% and receive a
floating rate based on 3-month LIBOR
Broker, Lehman Brothers Special Financing
Expires June 2017 $1,400,000 (112,914)
Pay a fixed rate of 5.6425% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires July 2017 $2,000,000 (154,157)
Pay a fixed rate of 5.762% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires July 2017 $2,100,000 (181,122)
Pay a fixed rate of 5.775% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires July 2017 $3,900,000 (340,426)
Pay a fixed rate of 5.26054% and receive a
floating rate based on 3-month USD LIBOR
Broker, Morgan Stanley Capital Services, Inc.
Expires September 2017 $1,600,000 (75,592)
Pay a fixed rate of 5.305% and receive a
floating rate based on 3-month USD LIBOR
Broker, Citibank, NA
Expires October 2017 $4,600,000 (233,568)
Pay a fixed rate of 5.2875% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires October 2017 $2,200,000 (108,754)
Receive a fixed rate of 5.055% and pay a
floating rate based on 3-month USD LIBOR
Broker, UBS Warburg
Expires November 2017 $1,600,000 49,751
Pay a fixed rate of 5.01387% and receive a
floating rate based on 3-month USD LIBOR
Broker, Deutsche Bank AG London
Expires November 2017 $3,000,000 (83,472)
Receive a fixed rate of 5% and pay a
floating rate based on 3-month USD LIBOR
Broker, Morgan Stanley Capital Services, Inc.
Expires November 2017 $ 300,000 7,991
Receive a fixed rate of 5.411% and pay a
floating rate based on 3-month LIBOR
Broker, JPMorgan Chase
Expires August 2022 $2,670,000 148,599
- --------------------------------------------------------------------------------
Total $(709,081)
=========
o Currency Abbreviations:
EUR Euro
JPY Japanese Yen
USD U.S. Dollar
See Notes to Financial Statements.
67
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Assets and Liabilities as of December 31, 2007
================================================================================
BlackRock BlackRock BlackRock BlackRock
Balanced Fundamental Global Government
Capital Growth Allocation Income
Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in unaffiliated securities,
at value*+++ ............................. $ 990,886,641 $ 232,355,458 $ 338,660,735 $ 343,633,113
Investments in affiliated securities,
at value** ............................... 22,830,002 -- -- 20,471,073
Options purchased, at value+++++ ........... 1,943,488 513,177 1,116,875 1,178,316
Unrealized appreciation on swaps ........... 2,829,789 -- 5,311 8,748,388
Unrealized appreciation on forward
foreign exchange contracts ............... 275,474 -- 285,498 --
Cash ....................................... 12,199 -- 6,964,580 --
Unfunded loan commitments .................. -- -- -- --
Foreign cash++++ ........................... 134,335 4,903,095 588,748 --
Receivable for securities sold ............. 132,325,368 738,208 707,487 76,651,330
Interest receivable++++++ .................. 2,302,745 363 1,204,685 1,404,206
Dividends receivable ....................... 765,892 237,203 398,001 --
Receivable for capital shares sold ......... 1,739 -- 28,381 --
Receivable for variation margin ............ -- -- 15,750 --
Receivable for paydowns .................... 99,584 -- -- 164,726
Receivable for securities lending .......... 130 -- 214 --
Receivable for swaps ....................... 494,134 -- 434 3,375,462
Receivable for options written ............. -- -- -- --
Swaps premiums paid ........................ 4,002 -- -- --
Prepaid expenses and other assets .......... 448,228 7,961 117,927 51,491
--------------- --------------- --------------- ---------------
Total assets ............................... 1,155,353,750 238,755,465 350,094,626 455,678,105
--------------- --------------- --------------- ---------------
Liabilities:
TBA sale commitments, at value+++++++ ...... 67,352,095 -- -- 74,531,825
Investments sold short++++++++ ............. -- -- 6,245,660 1,215,766
Collateral on securities loaned, at value .. -- -- -- --
Unrealized depreciation on swaps ........... 4,574,156 -- 2,627 9,659,830
Reverse repurchase agreements .............. -- -- -- --
Options written, at value++ ................ 350,466 1,653,299 3,521,152 942,425
Unrealized depreciation on forward
foreign exchange contracts ............... 48,718 -- 304,880 --
Payable for securities purchased ........... 272,120,290 -- 1,106,391 211,597,340
Bank overdraft ............................. -- 2,949,769 -- 54,552
Dividends payable on short sales ........... -- -- 35,859 --
Interest payable on short sales ............ -- -- -- 56,713
Interest expense payable ................... -- -- -- --
Payable for capital shares redeemed ........ 197,664 71,910 40,066 34,131
Payable for variation margin ............... 165,619 -- -- 79,250
Payable for swaps .......................... 622,540 -- 226 2,101,979
Payable for options purchased .............. -- -- -- --
Payable for dividends and distributions
to shareholders .......................... -- -- -- 598,381
Payable to investment adviser--net ......... 233,835 67,319 94,536 45,216
Swap premiums received ..................... 40,156 -- -- --
Payable for other affiliates ............... 8,635 3,182 4,041 2,603
Deferred income ............................ -- -- -- --
Deferred foreign capital gain tax .......... -- -- 17,462 --
Accrued expenses and other liabilities ..... 279,469 230,569 79,492 168,052
--------------- --------------- --------------- ---------------
Total liabilities .......................... 345,993,643 4,976,048 11,452,392 301,088,063
--------------- --------------- --------------- ---------------
Net Assets ................................. $ 809,360,107 $ 233,779,417 $ 338,642,234 $ 154,590,042
=============== =============== =============== ===============
Net Assets Consist of:
Common Stock, $.10 par value+ .............. $ 4,979,766 $ 833,364 $ 1,886,554 $ 1,386,925
Paid-in capital in excess of par ........... 728,706,894 287,617,844 267,980,034 154,802,588
Undistributed (accumulated distributions in
excess of) investment income--net ........ (232,526) -- (2,065,198) (6,636)
Undistributed (accumulated) realized capital
gains (losses)--net ...................... (24,874,650) (98,471,866) 5,571,763 (2,892,169)
Unrealized appreciation (depreciation)--net 100,780,623 43,800,075 65,269,081 1,299,334
--------------- --------------- --------------- ---------------
Net Assets ................................. $ 809,360,107 $ 233,779,417 $ 338,642,234 $ 154,590,042
=============== =============== =============== ===============
Capital shares outstanding ................. 49,797,659 8,333,644 18,865,539 13,869,247
=============== =============== =============== ===============
Net asset value, offering and redemption
price per share .......................... $ 16.25 $ 28.05 $ 17.95 $ 11.15
=============== =============== =============== ===============
* Identified cost for unaffiliated securities $ 888,063,920 $ 187,290,342 $ 271,776,262 $ 341,221,682
=============== =============== =============== ===============
** Identified cost for affiliated securities .. $ 22,830,002 -- -- $ 20,450,452
=============== =============== =============== ===============
+ Authorized shares .......................... 300,000,000 100,000,000 100,000,000 100,000,000
=============== =============== =============== ===============
++ Premiums received .......................... $ 330,213 $ 962,965 $ 2,003,618 $ 944,437
=============== =============== =============== ===============
+++ Securities loaned .......................... -- -- -- --
=============== =============== =============== ===============
++++ Cost ....................................... $ 132,011 $ 4,891,125 $ 588,143 --
=============== =============== =============== ===============
+++++ Premiums paid .............................. $ 1,656,480 $ 1,101,231 $ 1,569,057 $ 994,000
=============== =============== =============== ===============
++++++ Interest from affiliates ................... -- $ 363 -- $ 246
=============== =============== =============== ===============
+++++++ Proceeds on TBA sale commitments ........... $ 66,689,760 -- -- $ 74,060,343
=============== =============== =============== ===============
++++++++ Proceeds on investments sold short ......... -- -- $ 6,641,217 $ 1,202,785
=============== =============== =============== ===============
BlackRock BlackRock BlackRock BlackRock
High Large Cap Money Total
Income Core Market Return
Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in unaffiliated securities,
at value*+++ ............................. $ 49,209,384 $ 310,835,320 $ 301,666,794 $ 183,572,943
Investments in affiliated securities,
at value** ............................... 1,431,831 972,000 -- --
Options purchased, at value+++++ ........... -- -- -- 2,593,682
Unrealized appreciation on swaps ........... 24 -- -- 900,821
Unrealized appreciation on forward
foreign exchange contracts ............... -- -- -- 110,573
Cash ....................................... 6,386 -- -- 30,375
Unfunded loan commitments .................. 145 -- -- --
Foreign cash++++ ........................... -- -- -- 38,445
Receivable for securities sold ............. -- 878,334 -- 43,951,918
Interest receivable++++++ .................. 1,049,191 -- 943,844 957,764
Dividends receivable ....................... 2,443 199,995 -- --
Receivable for capital shares sold ......... -- 75,907 -- 639
Receivable for variation margin ............ -- -- -- --
Receivable for paydowns .................... 1,875 -- -- 10,702
Receivable for securities lending .......... -- 1,898 -- --
Receivable for swaps ....................... 821 -- -- 163,116
Receivable for options written ............. -- -- -- 6,284
Swaps premiums paid ........................ -- -- -- 1,611
Prepaid expenses and other assets .......... 1,803 93,915 9,968 21,286
--------------- --------------- --------------- ---------------
Total assets ............................... 51,703,903 313,057,369 302,620,606 232,360,159
--------------- --------------- --------------- ---------------
Liabilities:
TBA sale commitments, at value+++++++ ...... -- -- -- 16,180,550
Investments sold short++++++++ ............. -- -- -- --
Collateral on securities loaned, at value .. -- 972,000 -- --
Unrealized depreciation on swaps ........... 11,023 -- -- 1,609,902
Reverse repurchase agreements .............. -- -- -- 2,534,500
Options written, at value++ ................ -- -- -- 1,620,710
Unrealized depreciation on forward
foreign exchange contracts ............... -- -- -- 16,309
Payable for securities purchased ........... 475,153 356,045 -- 97,192,568
Bank overdraft ............................. -- 340,740 3,666 --
Dividends payable on short sales ........... -- -- -- --
Interest payable on short sales ............ -- -- -- --
Interest expense payable ................... -- -- -- 3,745
Payable for capital shares redeemed ........ 20,961 2,583 718,342 398,518
Payable for variation margin ............... -- -- -- 93,638
Payable for swaps .......................... -- -- -- 201,169
Payable for options purchased .............. -- -- -- 2,424
Payable for dividends and distributions
to shareholders .......................... 342,902 -- -- 380,773
Payable to investment adviser--net ......... 10,675 89,637 89,814 30,563
Swap premiums received ..................... -- -- -- --
Payable for other affiliates ............... 1,713 3,963 3,956 2,222
Deferred income ............................ 475 -- -- --
Deferred foreign capital gain tax .......... -- -- -- --
Accrued expenses and other liabilities ..... 18,274 48,450 51,090 34,530
--------------- --------------- --------------- ---------------
Total liabilities .......................... 881,176 1,813,418 866,868 120,302,121
--------------- --------------- --------------- ---------------
Net Assets ................................. $ 50,822,727 $ 311,243,951 $ 301,753,738 $ 112,058,038
=============== =============== =============== ===============
Net Assets Consist of:
Common Stock, $.10 par value+ .............. $ 929,369 $ 1,320,126 $ 30,175,096 $ 985,852
Paid-in capital in excess of par ........... 89,213,161 265,526,627 271,575,868 112,701,618
Undistributed (accumulated distributions in
excess of) investment income--net ........ (38,283) 160,830 139 (98,331)
Undistributed (accumulated) realized capital
gains (losses)--net ...................... (36,971,538) 2,354,529 2,635 (1,285,260)
Unrealized appreciation (depreciation)--net (2,309,982) 41,881,839 -- (245,841)
--------------- --------------- --------------- ---------------
Net Assets ................................. $ 50,822,727 $ 311,243,951 $ 301,753,738 $ 112,058,038
=============== =============== =============== ===============
Capital shares outstanding ................. 9,293,689 13,201,258 301,750,964 9,858,520
=============== =============== =============== ===============
Net asset value, offering and redemption
price per share .......................... $ 5.47 $ 23.58 $ 1.00 $ 11.37
=============== =============== =============== ===============
* Identified cost for unaffiliated securities $ 51,508,512 $ 268,953,481 $ 301,666,794 $ 183,579,128
=============== =============== =============== ===============
** Identified cost for affiliated securities .. $ 1,431,831 $ 972,000 -- --
=============== =============== =============== ===============
+ Authorized shares .......................... 100,000,000 100,000,000 2,000,000,000 100,000,000
=============== =============== =============== ===============
++ Premiums received .......................... -- -- -- $ 1,458,764
=============== =============== =============== ===============
+++ Securities loaned .......................... -- $ 946,170 -- --
=============== =============== =============== ===============
++++ Cost ....................................... -- -- -- $ 38,172
=============== =============== =============== ===============
+++++ Premiums paid .............................. -- -- -- $ 1,996,026
=============== =============== =============== ===============
++++++ Interest from affiliates ................... -- -- -- --
=============== =============== =============== ===============
+++++++ Proceeds on TBA sale commitments ........... -- -- -- $ 16,043,290
=============== =============== =============== ===============
++++++++ Proceeds on investments sold short ......... -- -- -- --
=============== =============== =============== ===============
See Notes to Financial Statements.
68 & 69
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Operations for the Year Ended December 31, 2007
================================================================================
BlackRock BlackRock BlackRock BlackRock
Balanced Fundamental Global Government
Capital Growth Allocation Income
Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest**+ ..................................... $ 15,827,433 $ 203,313 $ 4,528,995 $ 8,652,569
Dividends* ...................................... 10,201,105 2,263,690 4,178,951 --
Securities lending--net ......................... 2,874 8,435 858 --
--------------- --------------- --------------- ---------------
Total income .................................... 26,031,412 2,475,438 8,708,804 8,652,569
--------------- --------------- --------------- ---------------
Expenses:
Investment advisory fees ........................ 2,884,097 766,516 1,087,328 536,624
Accounting services ............................. 314,334 82,014 117,784 62,863
Professional fees ............................... 57,779 41,829 60,902 36,639
Custodian fees .................................. 83,823 38,585 241,209 67,977
Printing and shareholder reports ................ 48,740 14,484 16,390 10,213
Directors' fees and expenses .................... 41,696 14,408 17,786 12,176
Pricing services ................................ 33,281 1,522 31,616 18,293
Transfer agent fees ............................. 5,000 5,000 5,000 5,000
Interest expense ................................ -- -- -- 36,960
Dividends on short sales ........................ -- -- 35,859 --
Interest on investments sold short .............. -- -- -- 8,495
Other ........................................... 28,435 12,889 14,518 9,731
--------------- --------------- --------------- ---------------
Total expenses before waiver .................... 3,497,185 977,247 1,628,392 804,971
Waiver of expenses .............................. -- -- (8,587) (5,308)
--------------- --------------- --------------- ---------------
Total expenses after waiver ..................... 3,497,185 977,247 1,619,805 799,663
--------------- --------------- --------------- ---------------
Investment income--net .......................... 22,534,227 1,498,191 7,088,999 7,852,906
--------------- --------------- --------------- ---------------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net*** .......................... 48,354,698 19,420,154 29,204,559 (546,588)+++
Foreign currency transactions--net ........... (556,501) (30,008) 1,877,885 --
Financial futures contracts and swaps--net ... (2,279,354) -- 252,570 (783,570)
Short sales--net ............................. -- -- (42,282) (61,172)
Options written--net ......................... 126,160 (175,280) 422,569 738,300
--------------- --------------- --------------- ---------------
Total realized gain (loss)--net ................. 45,645,003 19,214,866 31,715,301 (653,030)
--------------- --------------- --------------- ---------------
Change in unrealized
appreciation/depreciation on:
Investments--net ............................. (18,178,783) 20,928,514 14,408,468++ 1,817,682
Foreign currency transactions--net ........... 325,713 7,415 (38,157) --
Financial futures contracts and swaps--net ... (2,385,253) -- 39,493 (1,893,193)
Short sales--net ............................. -- -- 395,557 (12,981)
Unfunded corporate loans--net ................ -- -- -- --
Options written--net ......................... (66,808) (690,334) (652,318) 2,012
--------------- --------------- --------------- ---------------
Total change in unrealized
appreciation/depreciation--net ................ (20,305,131) 20,245,595 14,153,043 (86,480)
--------------- --------------- --------------- ---------------
Total realized and unrealized gain
(loss)--net ................................... 25,339,872 39,460,461 45,868,344 (739,510)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets Resulting
from Operations ............................... $ 47,874,099 $ 40,958,652 $ 52,957,343 $ 7,113,396
=============== =============== =============== ===============
* Net of foreign withholding tax .................. $ 116,071 $ 26,181 $ 227,152 --
=============== =============== =============== ===============
** Interest from affiliates ........................ $ 815,624 $ 203,313 $ 381,847 $ 221,029
=============== =============== =============== ===============
*** Net of foreign capital gain tax ................. -- $ 59,047 $ 30,712 --
=============== =============== =============== ===============
+ Net of foreign withholding tax .................. $ 311 -- $ 4,784 --
=============== =============== =============== ===============
++ Net of $13,009 foreign capital gain tax.
+++ Includes $236 from affiliates.
BlackRock BlackRock BlackRock BlackRock
High Large Cap Money Total
Income Core Market Return
Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest**+ ..................................... $ 4,638,406 $ 1,895 $ 16,385,276 $ 6,063,444
Dividends* ...................................... 25,438 4,707,138 -- 32,080
Securities lending--net ......................... -- 58,172 -- --
--------------- --------------- --------------- ---------------
Total income .................................... 4,663,844 4,767,205 16,385,276 6,095,524
--------------- --------------- --------------- ---------------
Expenses:
Investment advisory fees ........................ 188,462 1,088,099 1,036,259 383,009
Accounting services ............................. 24,565 119,041 111,687 46,144
Professional fees ............................... 36,450 44,332 41,018 36,768
Custodian fees .................................. 12,365 71,509 15,487 33,702
Printing and shareholder reports ................ 3,127 18,121 19,015 7,163
Directors' fees and expenses .................... 6,870 18,261 17,589 9,359
Pricing services ................................ 30,622 1,056 1,563 28,549
Transfer agent fees ............................. 5,000 5,000 5,000 5,000
Interest expense ................................ -- -- -- 3,745
Dividends on short sales ........................ -- -- -- --
Interest on investments sold short .............. -- -- -- --
Other ........................................... 7,958 15,093 13,496 5,609
--------------- --------------- --------------- ---------------
Total expenses before waiver .................... 315,419 1,380,512 1,261,114 559,048
Waiver of expenses .............................. (35,929) -- -- (3,220)
--------------- --------------- --------------- ---------------
Total expenses after waiver ..................... 279,490 1,380,512 1,261,114 555,828
--------------- --------------- --------------- ---------------
Investment income--net .......................... 4,384,354 3,386,693 15,124,162 5,539,696
--------------- --------------- --------------- ---------------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net*** .......................... (83,386) 35,821,801 2,774 801,648
Foreign currency transactions--net ........... -- -- -- (16,728)
Financial futures contracts and swaps--net ... 11,517 -- -- (897,559)
Short sales--net ............................. -- -- -- --
Options written--net ......................... -- -- -- 50,160
--------------- --------------- --------------- ---------------
Total realized gain (loss)--net ................. (71,869) 35,821,801 2,774 (62,479)
--------------- --------------- --------------- ---------------
Change in unrealized
appreciation/depreciation on:
Investments--net ............................. (2,783,241) (13,456,218) 67,383 547,705
Foreign currency transactions--net ........... -- -- -- 125,957
Financial futures contracts and swaps--net ... (10,999) -- -- (1,013,546)
Short sales--net ............................. -- -- -- --
Unfunded corporate loans--net ................ 145 -- -- --
Options written--net ......................... -- -- -- (180,456)
--------------- --------------- --------------- ---------------
Total change in unrealized
appreciation/depreciation--net ................ (2,794,095) (13,456,218) 67,383 (520,340)
--------------- --------------- --------------- ---------------
Total realized and unrealized gain
(loss)--net ................................... (2,865,964) 22,365,583 70,157 (582,819)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets Resulting
from Operations ............................... $ 1,518,390 $ 25,752,276 $ 15,194,319 $ 4,956,877
=============== =============== =============== ===============
* Net of foreign withholding tax .................. -- -- -- --
=============== =============== =============== ===============
** Interest from affiliates ........................ $ 123,597 $ 1,895 -- --
=============== =============== =============== ===============
*** Net of foreign capital gain tax ................. -- -- -- --
=============== =============== =============== ===============
+ Net of foreign withholding tax .................. -- -- -- $ 560
=============== =============== =============== ===============
++ Net of $13,009 foreign capital gain tax.
+++ Includes $236 from affiliates.
See Notes to Financial Statements.
70 & 71
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets
================================================================================
BlackRock BlackRock
Balanced Capital Portfolio Fundamental Growth Portfolio
---------------------------------- ----------------------------------
For the Year Ended December 31, For the Year Ended December 31,
---------------------------------- ----------------------------------
Increase (Decrease) in Net Assets: 2007 2006 2007 2006
- --------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ............................. $ 22,534,227 $ 22,626,877 $ 1,498,191 $ 2,188,701
Realized gain--net ................................. 45,645,003 34,695,375 19,214,866 22,716,380
Change in unrealized
appreciation/depreciation--net ................... (20,305,131) 54,572,810 20,245,595 (13,431,142)
--------------- --------------- --------------- ---------------
Net increase in net assets resulting from
operations ....................................... 47,874,099 111,895,062 40,958,652 11,473,939
--------------- --------------- --------------- ---------------
Dividends to Shareholders:
Investment income--net ............................. (23,000,045) (22,161,687) (1,410,003) (2,180,006)
--------------- --------------- --------------- ---------------
Capital Share Transactions:
Net decrease in net assets derived from capital
share transactions .............................. (77,723,485) (75,044,107) (34,510,245) (37,612,349)
--------------- --------------- --------------- ---------------
Net Assets:
Total increase (decrease) in net assets ............ (52,849,431) 14,689,268 5,038,404 (28,318,416)
Beginning of year .................................. 862,209,538 847,520,270 228,741,013 257,059,429
--------------- --------------- --------------- ---------------
End of year* ....................................... $ 809,360,107 $ 862,209,538 $ 233,779,417 $ 228,741,013
=============== =============== =============== ===============
*Undistributed (accumulated distributions in excess
of) investment income--net ...................... $ (232,526) $ (11,082) -- --
=============== =============== =============== ===============
------------------------------------------------------------------------
BlackRock BlackRock
Global Allocation Portfolio Government Income Portfolio
---------------------------------- ----------------------------------
For the Year Ended December 31, For the Year Ended December 31,
---------------------------------- ----------------------------------
Increase (Decrease) in Net Assets: 2007 2006 2007 2006
- --------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ............................. $ 7,088,999 $ 6,999,530 $ 7,852,906 $ 8,030,068
Realized gain (loss)--net .......................... 31,715,301 25,621,979 (653,030) (1,308,093)
Change in unrealized
appreciation/depreciation--net ................... 14,153,043 11,833,825 (86,480) 135,039
--------------- --------------- --------------- ---------------
Net increase in net assets resulting from operations 52,957,343 44,455,334 7,113,396 6,857,014
--------------- --------------- --------------- ---------------
Dividends and Distributions to Shareholders:
Investment income--net ............................. (11,000,002) (8,549,991) (7,994,741) (8,117,609)
Realized gain--net ................................. (24,932,874) (24,838,310) -- --
--------------- --------------- --------------- ---------------
Net decrease in net assets resulting from dividends
and distributions to shareholders ............... (35,932,876) (33,388,301) (7,994,741) (8,117,609)
--------------- --------------- --------------- ---------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from
capital share transactions ...................... 16,396,484 31,097,281 (13,094,398) (13,073,293)
--------------- --------------- --------------- ---------------
Net Assets:
Total increase (decrease) in net assets ............ 33,420,951 42,164,314 (13,975,743) (14,333,888)
Beginning of year .................................. 305,221,283 263,056,969 168,565,785 182,899,673
--------------- --------------- --------------- ---------------
End of year* ....................................... $ 338,642,234 $ 305,221,283 $ 154,590,042 $ 168,565,785
=============== =============== =============== ===============
*Accumulated distributions in excess of
investment income--net .......................... $ (2,065,198) $ (720,823) $ (6,636) $ (578,640)
=============== =============== =============== ===============
See Notes to Financial Statements.
72
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Statements of Changes in Net Assets (Concluded)
================================================================================
BlackRock BlackRock
High Income Portfolio Large Cap Core Portfolio
---------------------------------- ----------------------------------
For the Year Ended December 31, For the Year Ended December 31,
---------------------------------- ----------------------------------
Increase (Decrease) in Net Assets: 2007 2006 2007 2006
- --------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ............................. $ 4,384,354 $ 4,331,018 $ 3,386,693 $ 3,074,148
Realized gain (loss)--net .......................... (71,869) (675,955) 35,821,801 30,808,069
Change in unrealized appreciation/depreciation--net (2,794,095) 1,271,236 (13,456,218) 10,112,316
--------------- --------------- --------------- ---------------
Net increase in net assets resulting from operations 1,518,390 4,926,299 25,752,276 43,994,533
--------------- --------------- --------------- ---------------
Dividends and Distributions to Shareholders:
Investment income--net ............................. (4,395,859) (4,331,020) (3,300,007) (3,003,378)
Realized gain--net ................................. -- -- (39,114,954) (24,996,213)
--------------- --------------- --------------- ---------------
Net decrease in net assets resulting from dividends
and distributions to shareholders ............... (4,395,859) (4,331,020) (42,414,961) (27,999,591)
--------------- --------------- --------------- ---------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from
capital share transactions ...................... (4,307,122) (735,314) 7,719,261 (3,753,651)
--------------- --------------- --------------- ---------------
Net Assets:
Total decrease in net assets ....................... (7,184,591) (140,035) (8,943,424) 12,241,291
Beginning of year .................................. 58,007,318 58,147,353 320,187,375 307,946,084
--------------- --------------- --------------- ---------------
End of year* ....................................... $ 50,822,727 $ 58,007,318 $ 311,243,951 $ 320,187,375
=============== =============== =============== ===============
*Undistributed (accumulated distributions in excess
of) investment income--net ...................... $ (38,283) $ (101,958) $ 160,830 $ 74,144
=============== =============== =============== ===============
------------------------------------------------------------------------
BlackRock BlackRock
Money Market Portfolio Total Return Portfolio
---------------------------------- ----------------------------------
For the Year Ended December 31, For the Year Ended December 31,
---------------------------------- ----------------------------------
Increase (Decrease) in Net Assets: 2007 2006 2007 2006
- --------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ............................. $ 15,124,162 $ 14,175,398 $ 5,539,696 $ 5,464,277
Realized gain (loss)--net .......................... 2,774 (15) (62,479) (1,037,292)
Change in unrealized appreciation/depreciation--net 67,383 97,507 (520,340) 426,914
--------------- --------------- --------------- ---------------
Net increase in net assets resulting from operations 15,194,319 14,272,890 4,956,877 4,853,899
--------------- --------------- --------------- ---------------
Dividends and Distributions to Shareholders:
Investment income--net ............................. (15,124,162) (14,175,383) (5,378,422) (5,421,591)
Tax return of capital .............................. -- -- -- (19,907)
--------------- --------------- --------------- ---------------
Net decrease in net assets resulting from dividends
and distributions to shareholders ............... (15,124,162) (14,175,383) (5,378,422) (5,441,498)
--------------- --------------- --------------- ---------------
Capital Share Transactions:
Net decrease in net assets derived from capital
share transactions .............................. (1,496,395) (916,804) (3,671,364) (6,099,540)
--------------- --------------- --------------- ---------------
Net Assets:
Total decrease in net assets ....................... (1,426,238) (819,297) (4,092,909) (6,687,139)
Beginning of year .................................. 303,179,976 303,999,273 116,150,947 122,838,086
--------------- --------------- --------------- ---------------
End of year* ....................................... $ 301,753,738 $ 303,179,976 $ 112,058,038 $ 116,150,947
=============== =============== =============== ===============
*Undistributed (accumulated distributions in excess
of) investment income--net ...................... $ 139 $ 139 $ (98,331) $ (617,042)
=============== =============== =============== ===============
See Notes to Financial Statements.
73
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights
================================================================================
BlackRock Balanced Capital Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 15.83 $ 14.24 $ 13.95 $ 13.13 $ 11.07
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .44 .40 .31 .27 .27
Realized and unrealized gain--net ............... .45 1.61 .31 .86 2.09
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ .89 2.01 .62 1.13 2.36
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ...... (.47) (.42) (.33) (.31) (.30)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 16.25 $ 15.83 $ 14.24 $ 13.95 $ 13.13
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 5.64% 14.09% 4.45% 8.64% 21.29%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ........................................ .41% .42% .42% .40% .40%
=========== =========== =========== =========== ===========
Investment income--net .......................... 2.63% 2.69% 2.19% 2.00% 2.24%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 809,360 $ 862,210 $ 847,520 $ 913,930 $ 962,519
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 451% 113% 90% 86% 105%
=========== =========== =========== =========== ===========
---------------------------------------------------------------------------
BlackRock Fundamental Growth Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ............. $ 23.55 $ 22.69 $ 21.19 $ 19.92 $ 15.53
----------- ----------- ----------- ----------- -----------
Investment income--net* ........................ .17 .21 .19 .21 .08
Realized and unrealized gain--net .............. 4.50 .88 1.52 1.29 4.39
----------- ----------- ----------- ----------- -----------
Total from investment operations ............... 4.67 1.09 1.71 1.50 4.47
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ..... (.17) (.23) (.21) (.23) (.08)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year ................... $ 28.05 $ 23.55 $ 22.69 $ 21.19 $ 19.92
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share ............. 19.83% 4.78% 8.06% 7.51% 28.78%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ....................................... .43% .43% .43% .40% .41%
=========== =========== =========== =========== ===========
Investment income--net ......................... .66% .90% .88% 1.06% .45%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) ......... $ 233,779 $ 228,741 $ 257,059 $ 290,021 $ 308,245
=========== =========== =========== =========== ===========
Portfolio turnover ............................. 81% .75% 79% 71% 104%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
74
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock Global Allocation Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 17.03 $ 16.35 $ 15.41 $ 13.85 $ 10.55
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .40 .43 .37 .32 .29
Realized and unrealized gain--net ............... 2.65 2.32 1.29 1.71 3.42
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ 3.05 2.75 1.66 2.03 3.71
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net .......................... (.65) (.53) (.52) (.47) (.41)
Realized gain--net .............................. (1.48) (1.54) (.20) -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............... (2.13) (2.07) (.72) (.47) (.41)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 17.95 $ 17.03 $ 16.35 $ 15.41 $ 13.85
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 17.96% 16.89%++ 10.84% 14.69% 35.24%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver ......................... .51% .49% .49% .46% .47%
=========== =========== =========== =========== ===========
Expenses ........................................ .51% .50% .51% .46% .47%
=========== =========== =========== =========== ===========
Investment income--net .......................... 2.21% 2.47% 2.36% 2.18% 2.44%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 338,642 $ 305,221 $ 263,057 $ 238,823 $ 206,939
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 40% 102% 38% 44% 47%
=========== =========== =========== =========== ===========
---------------------------------------------------------------------------
BlackRock Government Income Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 11.20 $ 11.27 $ 11.41 $ 11.36 $ 11.67
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .54 .51 .44 .34 .39
Realized and unrealized gain (loss)--net ........ (.04) (.06) (.05) .13 (.13)
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ .50 .45 .39 .47 .26
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net .......................... (.55) (.52) (.53) (.34) (.39)
Realized gain--net .............................. -- -- -- (.08) (.18)
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............... (.55) (.52) (.53) (.42) (.57)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 11.15 $ 11.20 $ 11.27 $ 11.41 $ 11.36
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 4.66% 4.10% 3.44% 4.15% 2.26%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver and excluding interest
expense ....................................... .48% .44% .44% .43% .43%
=========== =========== =========== =========== ===========
Expenses, net of waiver ......................... .50% .44% .44% .43% .43%
=========== =========== =========== =========== ===========
Expenses ........................................ .51% .44% .44% .46% .43%
=========== =========== =========== =========== ===========
Investment income--net .......................... 4.93% 4.60% 3.85% 2.94% 3.36%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 154,590 $ 168,566 $ 182,900 $ 175,146 $ 203,495
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 2,313% 425% 79% 168% 237%
=========== =========== =========== =========== ===========
* 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.
75
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Continued)
================================================================================
BlackRock High Income Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 5.76 $ 5.70 $ 6.09 $ 5.88 $ 5.12
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .45 .43 .46 .45 .43
Realized and unrealized gain (loss)--net ........ (.29) .06 (.34) .22 .76
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ .16 .49 .12 .67 1.19
----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net ...... (.45) (.43) (.51) (.46) (.43)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 5.47 $ 5.76 $ 5.70 $ 6.09 $ 5.88
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 2.75% 8.98% 2.14% 12.11% 24.40%++
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver ......................... .50% .50% .50% .48% .44%
=========== =========== =========== =========== ===========
Expenses ........................................ .56% .53% .52% .48% .44%
=========== =========== =========== =========== ===========
Investment income--net .......................... 7.84% 7.57% 7.78% 7.57% 7.68%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 50,823 $ 58,007 $ 58,147 $ 84,603 $ 105,206
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 55% 66% 33% 72% 149%
=========== =========== =========== =========== ===========
---------------------------------------------------------------------------
BlackRock Large Cap Core Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 25.18 $ 23.96 $ 21.25 $ 18.31 $ 13.88
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .28 .25 .16 .19 .08
Realized and unrealized gain--net ............... 1.83 3.36 2.71 2.95 4.43
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ 2.11 3.61 2.87 3.14 4.51
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net .......................... (.29) (.26) (.16) (.20) (.08)
Realized gain--net .............................. (3.42) (2.13) -- -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............... (3.71) (2.39) (.16) (.20) (.08)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 23.58 $ 25.18 $ 23.96 $ 21.25 $ 18.31
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 8.29% 15.06% 13.49% 17.15% 32.52%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ........................................ .43% .43% .43% .41% .41%
=========== =========== =========== =========== ===========
Investment income--net .......................... 1.05% .99% .72% 1.00% .53%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 311,244 $ 320,187 $ 307,946 $ 273,549 $ 256,925
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 74% 64% 80% 127% 127%
=========== =========== =========== =========== ===========
* 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.
76
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Financial Highlights (Concluded)
================================================================================
BlackRock Money Market Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .05 .05 .03 .01 .01
Realized and unrealized gain (loss)--net ........ --++ --++ --++ --+++ --++
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ .05 .05 .03 .01 .01
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net .......................... (.05) (.05) (.03) (.01) (.01)
Realized gain--net .............................. -- -- -- --+++ --+++
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............... (.05) (.05) (.03) (.01) (.01)
----------- ----------- ----------- ----------- -----------
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 .............. 5.03% 4.66% 2.84% 1.10% .89%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses ........................................ .41% .41% .42% .40% .40%
=========== =========== =========== =========== ===========
Investment income and realized gain--net ........ 4.92% 4.62% 2.82% 1.07% .89%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 301,754 $ 303,180 $ 303,999 $ 344,968 $ 401,738
=========== =========== =========== =========== ===========
---------------------------------------------------------------------------
BlackRock Total Return Portfolio
---------------------------------------------------------------------------
The following per share data and ratios have For the Year Ended December 31,
been derived from information provided in the ---------------------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .............. $ 11.41 $ 11.45 $ 11.85 $ 11.86 $ 11.89
----------- ----------- ----------- ----------- -----------
Investment income--net* ......................... .55 .52 .44 .37 .43
Realized and unrealized gain (loss)--net ........ (.05) (.05) (.21) .16 .14
----------- ----------- ----------- ----------- -----------
Total from investment operations ................ .50 .47 .23 .53 .57
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net .......................... (.54) (.51) (.58) (.52) (.45)
Realized gain--net .............................. -- -- (.05) (.02) (.15)
Tax return of capital ........................... -- --+++ -- -- --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions ............... (.54) (.51) (.63) (.54) (.60)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year .................... $ 11.37 $ 11.41 $ 11.45 $ 11.85 $ 11.86
=========== =========== =========== =========== ===========
Total Investment Return+:
Based on net asset value per share .............. 4.47% 4.37% 2.01% 4.48% 4.95%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses, net of waiver and excluding interest
expense ....................................... .49% .50% .49% .46% .46%
=========== =========== =========== =========== ===========
Expenses, net of waiver ......................... .49% .50% .49% .46% .46%
=========== =========== =========== =========== ===========
Expenses ........................................ .49% .52% .50% .46% .46%
=========== =========== =========== =========== ===========
Investment income--net .......................... 4.88% 4.65% 3.73% 3.12% 3.62%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of year (in thousands) .......... $ 112,058 $ 116,151 $ 122,838 $ 135,237 $ 136,698
=========== =========== =========== =========== ===========
Portfolio turnover .............................. 281% 312% 236% 220% 272%
=========== =========== =========== =========== ===========
* Based on average shares outstanding.
+ 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.
77
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BlackRock Series Fund, Inc.
Notes to Financial Statements
================================================================================
1. Significant Accounting Policies:
BlackRock Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company, offering eight separate portfolios (referred to as the
"Portfolios" or individually as a "Portfolio"). 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,
effective April 2, 2007, short-term investments are valued at amortized cost,
which approximates market value. Prior to April 2, 2007, portfolio securities
with remaining maturities of greater than 60 days, for which market quotations
were readily available, were valued at market value. As securities transitioned
from 61 to 60 days to maturity, the difference between the valuation existing on
the sixty-first day before maturity and maturity value was amortized on a
straight-line basis to maturity.
BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio,
BlackRock Global Allocation Portfolio, BlackRock Government Income Portfolio,
BlackRock High Income Portfolio, BlackRock Large Cap Core Portfolio and
BlackRock Total Return Portfolio (formerly, BlackRock Bond 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. Effective September 4, 2007, exchange-traded options are valued
at the mean between the last bid and ask prices at the close of the options
market in which the options trade and previously were valued at the last sales
price as of the close of options trading on applicable exchanges. 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. Valuation of 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.
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.
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
78
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
(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) 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.
(d) 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.
(e) Prepaid registration fees--Prepaid registration fees are charged to expense
as the related shares are issued.
(f) 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. The counterparty,
for certain instruments, may pledge cash or securities as collateral.
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 covered call and put options 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
79
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
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.
Swap options are similar to options on securities except that instead of selling
or purchasing the right to buy or sell a security, the writer or purchaser of
the swap option is granting or buying the right to enter into a previously
agreed upon interest rate swap agreement at any time before the expiration of
the option. Premiums received or paid from writing or purchasing options are
recorded as liabilities or assets and are subsequently adjusted to the current
market value of the option written or purchased. Premiums received or paid from
writing or purchasing options which expire unexercised are treated by the
Portfolio on the expiration date as realized gains or losses. The difference
between the premium and the amount paid or received on effecting a closing
purchase or sale transaction, including brokerage commission, is also treated as
a realized gain or loss. If an option is exercised, the premium paid or received
is added to the cost of the purchase or the proceeds from the sale in
determining whether the Portfolio has realized a gain or loss on investment
transactions.
The main risk that is associated with purchasing swap options is that the swap
option expires without being exercised. In this case, the option expires
worthless and the premium paid for the swap option is considered the loss. The
main risk that is associated with the writing of a swap option is the market
risk of an unfavorable change in the value of the interest rate swap underlying
the written swap option. Swap options may be used by the Portfolio to manage the
duration of portfolio holdings in a manner similar to more generic options
described above.
(g) 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
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.
(h) Short sales/borrowed bonds--Each Portfolio may engage in short selling of
securities as a method of managing potential price declines in similar
securities owned by the Portfolio. When the Portfolio engages in short selling,
it may enter into a borrowed bond agreement to borrow the security sold short
and deliver it to the broker-dealer with which it engaged in the short sale. A
gain, limited to the price at which the Portfolio sold the security short or
pursuant to the borrowed bond agreement, or a loss, unlimited as to dollar
amount, will be recognized upon the termination of a short sale or borrowed bond
agreement if the market price is greater or less than the proceeds originally
received.
(i) Borrowed bond agreements--In a borrowed bond agreement, each Portfolio
borrows securities from a third party, with the commitment that they will be
returned to the lender on an agreed-upon date. Borrowed bond agreements are
primarily entered into settle short positions. In a borrowed bond agreement, the
Portfolio's prime broker or third party broker takes possession of cash as
collateral. The Portfolio receives interest income on the cash collateral
relating to the borrowed bond agreement and is obligated to pay the prime broker
or third party broker payments received on such borrowed securities. The cash
collateral approximates the principal amount of the bonds borrowed transaction.
To the extent that the bonds borrowed transactions exceed one
80
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
business day, the value of the collateral with any counterparty is
marked-to-market on a daily basis to ensure the adequacy of the collateral, if
the lender defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect lateral declines or if bankruptcy
proceedings are commenced with respect to the lender of the security,
realization of the collateral by the Portfolio may be delayed or limited.
(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 Government Income Portfolio, BlackRock High
Income Portfolio and BlackRock Total Return Portfolio, dividends from net
investment income are declared daily and paid monthly. Distributions of capital
gains are recorded on the ex-dividend dates. If the total dividends and
distributions made in any tax year exceeds net investment income and accumulated
realized capital gains, a portion of total distributions may be treated as a tax
return of capital. Portions of the dividends paid by BlackRock Total Return
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
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. The Portfolio receives compensation as consideration for
entering into the commitment to repurchase. The Portfolio must maintain liquid
securities having a value not less than the repurchase price (including accrued
interest) for such dollars rolls. The market value of the securities that the
Portfolio is required to purchase may decline below the agreed upon repurchase
price of those securities.
(n) TBA commitments--Certain Portfolios may enter into to be announced ("TBA")
commitments to purchase or sell securities for a fixed price at a future date.
TBA commitments are considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased/sold declines/increases prior
to settlement date, which is in addition to the risk of decline in the value of
the Portfolios' other assets. Unsettled TBA commitments are valued at the
current market value of the underlying securities, according to the procedures
described under "Valuation of investments."
(o) Asset-backed securities--Certain Portfolios invest a significant portion of
its assets in securities backed by commercial or residential mortgage loans or
in issuers that hold mortgage and other asset-backed securities. Please see the
Schedules of Investments for these securities. Changes in economic conditions,
including delinquencies and/or defaults or assets underlying these securities,
can affect the value, income and/or liquidity of such positions.
81
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
(p) Bank overdraft--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.
(q) Reverse repurchase agreements-- Under reverse repurchase agreements, certain
Portfolios sold securities to the counterparty and agreed to repurchase them at
a mutually agreed upon date and price, and may have exchanged their respective
commitments to pay or receive interest. If the counterparty defaulted on its
obligation, the Portfolios' ability to receive interest would be delayed or
limited. Furthermore, if the Portfolios did not have sufficient client income to
pay its obligation under the reverse repurchase agreement, the Portfolios would
be in default and the counterparty would have been able to terminate the
repurchase agreement. At the time the Portfolios entered into a reverse
repurchase agreement, it would have established a segregated account with the
custodian containing cash, or cash equivalents of liquid high grade debt
securities having a value at least equal to the repurchase price.
(r) Recent accounting pronouncements--Effective June 29, 2007, the Portfolios
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes--an interpretation of FASB Statement
No. 109" ("FIN 48"). 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 investment
companies, before being measured and recognized in the financial statements.
Management has evaluated the application of FIN 48 to each Portfolio, and has
determined that the adoption of FIN 48 does not have a material impact on the
Portfolios' financial statements. Each Portfolio files U.S. federal and various
state and local tax returns. No income tax returns are currently under
examination. The statute of limitations on the Portfolios' U.S. federal tax
returns remains open for the years ended December 31, 2004 through December 31,
2006. The statute of limitations on the Portfolios' state and local tax returns
may remain open for an additional year depending upon the jurisdiction.
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. The impact on the Fund's financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
(s) 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
$699,439 has been reclassified between paid-in capital in excess of par and
accumulated distributions in excess of net investment income and $455,065 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, swap
agreements, amortization methods on fixed income securities, foreign currency
transactions and accounting for paydowns. These reclassifications have no effect
on net assets or net asset values per share.
BlackRock Fundamental Growth Portfolio
$89,055 has been reclassified between undistributed net investment income and
accumulated realized net capital losses and $867 has been reclassified between
paid-in capital in excess of par and undistributed net investment income as a
result of permanent differences attributable to foreign taxes paid, foreign
currency transactions and distributions paid in excess of taxable income. These
82
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
reclassifications have no effect on net assets or net asset values per share.
BlackRock Global Allocation Portfolio
$2,566,628 has been reclassified between undistributed net realized capital
gains and accumulated 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, classification of investments,
accounting for swap agreements and the characterization of expenses. This
reclassification has no effect on net assets or net asset values per share.
BlackRock Government Income Portfolio
$715,730 has been reclassified between paid-in capital in excess of par and
undistributed net investment income and $1,891 has been reclassified between
undistributed net investment income and accumulated realized capital losses as a
result of permanent differences attributable to distributions paid in excess of
taxable income, accounting for swap agreements, amortization methods on fixed
income securities and accounting for paydowns. These reclassifications have no
effect on net assets or net asset values per share.
BlackRock High Income Portfolio
$1,755,290 has been reclassified between paid-in capital in excess of par and
accumulated net realized capital losses, $69,246 has been reclassified between
paid-in capital in excess of par and accumulated distributions in excess of net
investment income and $5,934 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
expiration of capital loss carryforwards, distributions paid in excess of
taxable income and amortization methods on fixed income securities. These
reclassifications have no effect on net assets or net asset values per share.
BlackRock Total Return Portfolio
$388,035 has been reclassified between paid-in capital in excess of par and
accumulated distributions in excess of net investment income and $30,598 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 the treatment of distributions in excess of taxable
income, accounting for swap agreements, paydowns, foreign currency contracts,
passive foreign investment companies and inflation indexed bonds. These
reclassifications have no effect on net assets or net asset values per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Fund, on behalf of the Portfolios, has entered into an Investment Advisory
Agreement with the Manager. The Fund has also entered into separate Distribution
Agreements with FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc.
and its affiliates ("BDI") (collectively, the "Distributor") and has adopted
separate Distribution Plans with respect to each Portfolio's shares. FAMD is a
wholly owned subsidiary of Merrill Lynch Group, Inc. and BDI is an affiliate of
BlackRock, Inc. Merrill Lynch and The PNC Financial Services Group, Inc. ("PNC")
are the principal owners 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 Government Income Portfolio, BlackRock High Income Portfolio and
BlackRock Total Return 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 at an annual rate 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 at an annual
rate that is a percentage of the management fee paid by the Fund to the Manager.
83
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BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
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 at an annual rate 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 at an annual rate 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 at an annual rate that is a
percentage of the management fee paid by the Fund to the Manager.
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, 2007
---------------------------
Fees Fees
Earned Waived
- --------------------------------------------------------------------------------
BlackRock Global Allocation
Portfolio .................................. $1,087,328 $ 8,587
BlackRock Government Income
Portfolio .................................. $ 536,624 $ 5,308
BlackRock High Income Portfolio .............. $ 188,462 $ 35,929
BlackRock Total Return Portfolio ............. $ 383,009 $ 3,220
- --------------------------------------------------------------------------------
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 wholly owned subsidiary of
Merrill Lynch, or its affiliates. Pursuant to that order, the Fund has retained
BIM as the securities lending agent for a fee based on a share of the returns on
investment of cash collateral. 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.
For the year ended December 31, 2007, BIM received securities lending agent fees
as follows:
- --------------------------------------------------------------------------------
Securities Lending
Portfolios Agent Fees
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ...................... $ 1,155
BlackRock Fundamental Growth Portfolio .................... $ 2,901
BlackRock Global Allocation Portfolio ..................... $ 218
BlackRock Large Cap Core Portfolio ........................ $18,470
- --------------------------------------------------------------------------------
For the year ended December 31, 2007, there were no securities lending agent
fees paid to BIM for BlackRock Government Income Portfolio, BlackRock High
Income Portfolio, BlackRock Money Market Portfolio or BlackRock Total Return
Portfolio.
MLPF&S earned commissions on the execution of portfolio security transactions
for the year ended December 31, 2007 as follows:
- --------------------------------------------------------------------------------
Portfolios Commissions
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio ....................... $88,236
BlackRock Fundamental Growth Portfolio ..................... $72,448
BlackRock Global Allocation Portfolio ...................... $ 9,512
- --------------------------------------------------------------------------------
In addition, for the year ended December 31, 2007, the Fund reimbursed the
Manager for certain accounting services as follows:
- --------------------------------------------------------------------------------
Reimbursement for
Portfolios Accounting Services
- --------------------------------------------------------------------------------
BlackRock Balanced Capital Portfolio .................... $15,789
BlackRock Fundamental Growth
Portfolio ............................................. $ 4,045
BlackRock Global Allocation Portfolio ................... $ 5,867
BlackRock Government Income Portfolio ................... $ 2,918
BlackRock High Income Portfolio ......................... $ 1,046
BlackRock Large Cap Core Portfolio ...................... $ 5,917
BlackRock Money Market Portfolio ........................ $ 5,545
BlackRock Total Return Portfolio ........................ $ 2,080
- --------------------------------------------------------------------------------
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Manager, is the Fund's transfer agent.
Certain officers and/or directors of the Fund are officers and/or directors of
BlackRock, Inc. or its affiliates.
84
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
3. Investments:
Purchases and sales of investments (including paydowns and payups), excluding
short-term securities and dollar rolls, for the year ended December 31, 2007
were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
BlackRock BlackRock BlackRock BlackRock
Balanced Fundamental Global Allocation Government
Capital Portfolio Growth Portfolio Portfolio Income Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Total Purchases .................... $4,598,403,232 $ 180,326,946 $ 121,282,711 $7,071,927,177
============== ============== ============== ==============
Total Sales ........................ $4,454,723,970 $ 214,842,370 $ 122,837,923 $6,782,982,853
============== ============== ============== ==============
- -----------------------------------------------------------------------------------------------------------
BlackRock BlackRock BlackRock
High Income Large Cap Total Return
Portfolio Core Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------
Total Purchases .................... $ 29,125,204 $ 237,653,152 $ 463,764,027
============== ============== ==============
Total Sales ........................ $ 31,680,292 $ 269,214,908 $ 448,732,262
============== ============== ==============
Transactions in options written for the year ended December 31, 2007 for
BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio,
BlackRock Global Allocation Portfolio, BlackRock Government Income Portfolio and
BlackRock Total Return Portfolio were as follows:
- -----------------------------------------------------------------------------------------------------------
BlackRock Balanced BlackRock Fundamental BlackRock Global
Capital Portfolio Growth 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 ......... 8 $ 182,600 -- -- -- --
Options written ................ 3 157,680 992 $ 235,100 203 $ 391,546
Options expired ................ -- -- -- -- -- --
Options closed ................. (8) (182,600) (992) (235,100) (103) (123,202)
-- --------- ---- --------- ---- ---------
Outstanding put options written,
at end of year ............... 3 $ 157,680 -- -- 100 $ 268,344
== ========= ==== ======== ==== =========
- ---------------------------------------------------------------------------------------
BlackRock Government BlackRock
Income Portfolio Total Return Portfolio
---------------------- ----------------------
Number of Premiums Number of Premiums
Contracts+ Received Contracts+ Received
- ---------------------------------------------------------------------------------------
Outstanding put options written,
at beginning of year ......... -- -- 3 $ 72,600
Options written ................ 34 $ 841,369 17 726,240
Options expired ................ (23) (369,150) -- --
Options closed ................. -- -- (3) (72,600)
--- --------- -- --------
Outstanding put options written,
at end of year ............... 11 $ 472,219 17 $726,240
=== ========= == ========
BlackRock Balanced BlackRock Fundamental BlackRock Global
Capital Portfolio Growth Portfolio Allocation Portfolio
---------------------- --------------------- ----------------------
Number of Premiums Number of Premiums Number of Premiums
Contracts+ Received Contracts Received Contracts Received
- -----------------------------------------------------------------------------------------------------------------
Outstanding call options
written, at beginning of year 8 $ 182,600 -- -- 5,349 $1,601,330
Options written ............... 29 172,533 6,089 $1,356,782 2,958 1,205,596
Options expired ............... -- -- -- -- (1,254) (155,743)
Options closed ................ (8) (182,600) (992) (393,817) (635) (306,625)
Options exercised ............. -- -- -- -- (1,922) (609,284)
-- --------- ----- ---------- ----- ----------
Outstanding call options
written, at end of year.. ... 29 $ 172,533 5,097 $ 962,965 4,496 $1,735,274
== ========= ===== ========== ===== ==========
BlackRock Government BlackRock
Income Portfolio Total Return Portfolio
-------------------- ----------------------
Number of Premiums Number of Premiums
Contracts Received Contracts+ Received
- -------------------------------------------------------------------------------------
Outstanding call options
written, at beginning of year -- -- 3 $ 72,600
Options written ............... 34 $ 841,368 28 732,524
Options expired ............... (23) (369,150) -- --
Options closed ................ -- -- (3) (72,600)
Options exercised ............. -- -- -- --
--- --------- -- --------
Outstanding call options
written, at end of year.. ... 11 $ 472,218 28 $732,524
=== ========= == ========
+ Some contracts represent a notional amount of $1,000,000.
85
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
4. Capital Share Transactions:
Transactions in capital shares were as follows:
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Balanced Capital Portfolio Fundamental Growth Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2007 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 69,544 $ 1,143,127 103,945 $ 2,809,025
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 1,412,779 23,000,045 49,912 1,410,003
---------- ------------- ---------- ------------
Total issued ................... 1,482,323 24,143,172 153,857 4,219,028
Shares redeemed ................ (6,149,339) (101,866,657) (1,532,678) (38,729,273)
---------- ------------- ---------- ------------
Net increase
(decrease) ................... (4,667,016) $ (77,723,485) (1,378,821) $(34,510,245)
========== ============= ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Global Allocation Portfolio Government Income Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2007 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 893,344 $ 16,526,894 246,671 $ 2,740,765
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 2,009,669 35,932,876 782,155 8,633,347
---------- ------------ ---------- ------------
Total issued ................... 2,903,013 52,459,770 1,028,826 11,374,112
Shares redeemed ................ (1,958,783) (36,063,286) (2,215,526) (24,468,510)
---------- ------------ ---------- ------------
Net increase (decrease) ........ 944,230 $ 16,396,484 (1,186,700) $(13,094,398)
========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
High Income Portfolio Large Cap Core Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2007 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 753,743 $ 4,296,104 173,873 $ 4,519,902
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 829,397 4,720,057 1,787,398 42,414,961
---------- ------------ ---------- ------------
Total issued ................... 1,583,140 9,016,161 1,961,271 46,934,863
Shares redeemed ................ (2,352,268) (13,323,283) (1,477,269) (39,215,602)
---------- ------------ ---------- ------------
Net increase (decrease) ........ (769,128) $ (4,307,122) 484,002 $ 7,719,261
========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Money Market Portfolio Total Return Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2007 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 81,627,306 $ 81,627,306 316,431 $ 3,591,603
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 15,124,162 15,124,162 510,517 5,783,090
----------- ------------ ---------- ------------
Total issued ................... 96,751,468 96,751,468 826,948 9,374,693
Shares redeemed ................ (98,247,863) (98,247,863) (1,152,341) (13,046,057)
----------- ------------ ---------- ------------
Net increase (decrease) ........ (1,496,395) $ (1,496,395) (325,393) $ (3,671,364)
=========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Balanced Capital Portfolio Fundamental Growth Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 86,393 $ 1,306,943 193,448 $ 4,470,776
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 1,395,839 22,161,687 92,216 2,180,006
---------- ------------ ---------- ------------
Total issued ................... 1,482,232 23,468,630 285,664 6,650,782
Shares redeemed ................ (6,551,401) (98,512,737) (1,903,876) (44,263,131)
---------- ------------ ---------- ------------
Net increase (decrease) ........ (5,069,169) $(75,044,107) (1,618,212) $(37,612,349)
========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Global Allocation Portfolio Government Income Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 1,356,561 $ 23,688,388 351,843 $ 3,901,765
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 1,955,643 33,388,301 712,110 7,927,291
---------- ------------ ---------- ------------
Total issued ................... 3,312,204 57,076,689 1,063,953 11,829,056
Shares redeemed ................ (1,478,514) (25,979,408) (2,240,090) (24,902,349)
---------- ------------ ---------- ------------
Net increase (decrease) ........ 1,833,690 $ 31,097,281 (1,176,137) $(13,073,293)
========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
High Income Portfolio Large Cap Core Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 1,261,441 $ 7,211,153 389,378 $ 9,681,298
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 765,817 4,374,876 1,106,116 27,999,591
----------- ------------ ---------- ------------
Total issued ................... 2,027,258 11,586,029 1,495,494 37,680,889
Shares redeemed ................ (2,157,415) (12,321,343) (1,632,817) (41,434,540)
----------- ------------ ---------- ------------
Net decrease ................... (130,157) $ (735,314) (137,323) $ (3,753,651)
========== ============ ========== ============
- -----------------------------------------------------------------------------------------------------
BlackRock BlackRock
Money Market Portfolio Total Return Portfolio
---------------------------- -----------------------------
For the Year Ended Dollar Dollar
December 31, 2006 Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold .................... 81,789,943 $ 81,789,943 584,035 $ 6,615,292
Shares issued to shareholders in
reinvestment of dividends and
distributions ................ 14,135,886 14,135,886 527,902 5,979,585
----------- ------------ ---------- ------------
Total issued ................... 95,925,829 95,925,829 1,111,937 12,594,877
Shares redeemed ................ (96,842,633) (96,842,633) (1,652,935) (18,694,417)
----------- ------------ ---------- ------------
Net decrease ................... (916,804) $ (916,804) (540,998) $ (6,099,540)
=========== ============ ========== ============
86
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
5. Short-Term Borrowings:
The Fund (excluding BlackRock Money Market Portfolio), along with certain other
funds managed by the Manager and its affiliates, is party to a $500,000,000
credit agreement with a group of lenders. Each Portfolio may borrow under the
credit agreement to fund shareholder redemptions and for other lawful purposes
other than for leverage. Each Portfolio may borrow up to the maximum amount
allowable under the Portfolio's current prospectus and statement of additional
information, subject to various other legal, regulatory or contractual limits.
The Portfolios pays a commitment fee of .06% per annum based on the Portfolio'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, 2007. On November 21, 2007, the credit agreement was
renewed for one year under substantially the same terms.
6. Reverse Repurchase Agreements:
BlackRock Government Income Portfolio
For the year ended December 31, 2007, the Portfolio's average amount outstanding
was approximately $671,000 and daily weighted average interest rate was 5.43%.
BlackRock Total Return Portfolio
For the year ended December 31, 2007, the Portfolio's average amount outstanding
was approximately $97,000 and daily weighted average interest rate was 3.80%.
7. Unfunded Loan Commitments:
As of December 31, 2007, BlackRock High Income Portfolio had unfunded loan
commitments of approximately $11,000, which would be extended at the option of
the borrower, pursuant to the following loan agreements:
(in Thousands)
- --------------------------------------------------------------------------------
Value of
Unfunded Underlying
Borrower Commitment Loan
- --------------------------------------------------------------------------------
Community Health Systems.................... $11 $10
- --------------------------------------------------------------------------------
8. Distributions to Shareholders:
BlackRock Balanced Capital Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $23,000,045 $22,161,687
----------- -----------
Total taxable distributions................. $23,000,045 $22,161,687
=========== ===========
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Capital loss carryforward............................... $(18,456,704)*
Unrealized gains--net................................... 94,130,151**
------------
Total accumulated earnings--net......................... $ 75,673,447
============
- --------------------------------------------------------------------------------
* On December 31, 2007, the Portfolio had a net capital loss carryforward of
$18,456,704, all of which 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
tax deferral of losses on straddles, the realization for tax purposes of
unrealized gains/losses on certain options, futures and foreign currency
contracts, the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and the accounting for
swap agreements.
BlackRock Fundamental Growth Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $1,410,003 $2,180,006
---------- ----------
Total taxable distributions................. $1,410,003 $2,180,006
========== ==========
As of December 31, 2007, the components of accumulated losses on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Capital loss carryforward................................... $(97,391,266)*
Unrealized gains--net........................................ 42,719,475**
------------
Total accumulated losses--net................................ $(54,671,791)
============
- --------------------------------------------------------------------------------
* On December 31, 2007, the Portfolio had a net capital loss carryforward of
$97,391,266, of which $61,514,097 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, the
tax deferral of losses on straddles and the deferral of post-October
currency losses for tax purposes.
87
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Continued)
================================================================================
BlackRock Global Allocation Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $13,203,110 $12,503,114
Net long-term capital gains............... 22,729,766 20,885,187
----------- -----------
Total taxable distributions................. $35,932,876 $33,388,301
=========== ===========
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net........................... $ 475,645
Undistributed long-term capital gains--net................... 5,639,988
-----------
Total undistributed earnings--net............................ 6,115,633
Unrealized gains--net........................................ 62,660,013*
-----------
Total accumulated earnings--net.............................. $68,775,646
===========
- --------------------------------------------------------------------------------
* 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 options, futures and 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, accounting for swap agreements and other book/tax temporary
differences.
BlackRock Government Income Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $7,994,741 $8,117,609
---------- ----------
Total taxable distributions................. $7,994,741 $8,117,609
========== ==========
As of December 31, 2007, the components of accumulated losses on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Capital loss carryforward................................. $ (140,833)*
-----------
Unrealized losses--net.................................... (1,458,638)**
-----------
Total accumulated losses--net............................. $(1,599,471)
===========
- --------------------------------------------------------------------------------
* On December 31, 2007, the Portfolio had a net capital loss carryforward of
$140,833, 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, 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, the realization
for tax purposes of unrealized gains/(losses) on certain futures contracts
and the difference between book and tax treatment of TBA transactions.
BlackRock High Income Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $4,395,859 $4,331,020
---------- ----------
Total taxable distributions................. $4,395,859 $4,331,020
========== ==========
As of December 31, 2007, the components of accumulated losses on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Capital loss carryforward................................. $(36,821,556)*
Unrealized losses--net.................................... (2,498,247)**
------------
Total accumulated losses--net............................. $(39,319,803)
============
- --------------------------------------------------------------------------------
* On December 31, 2007, the Portfolio had a net capital loss carryforward of
$36,821,556, of which $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 losses 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, the deferral of post-October capital
losses for tax purposes and the accounting for swap agreements.
BlackRock Large Cap Core Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $ 4,210,691 $ 3,353,061
Net long-term capital gains............... 38,204,270 24,646,530
----------- -----------
Total taxable distributions................. $42,414,961 $27,999,591
=========== ===========
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net........................ $ 1,253,882
Undistributed long-term capital gains--net................ 2,807,859
-----------
Total undistributed earnings--net......................... 4,061,741
Capital loss carryforward................................. --
Unrealized gains--net..................................... 40,335,457*
-----------
Total accumulated earnings--net........................... $44,397,198
===========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales.
88
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Notes to Financial Statements (Concluded)
================================================================================
BlackRock Money Market Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $15,124,162 $14,175,383
----------- -----------
Total taxable distributions................. $15,124,162 $14,175,383
=========== ===========
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net........................ $ 246
Undistributed long-term capital gains--net................ 2,528
------
Total undistributed earnings--net......................... 2,774
Capital loss carryforward................................. --
Unrealized gains--net..................................... --*
------
Total accumulated earnings--net........................... $2,774
======
- --------------------------------------------------------------------------------
* There were no significant differences between book and tax basis net
unrealized losses.
BlackRock Total Return Portfolio
The tax character of distributions paid during the fiscal years ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income........................... $5,378,422 $5,421,591
Tax return of capital..................... -- 19,907
---------- ----------
Total taxable distributions................. $5,378,422 $5,441,498
========== ==========
As of December 31, 2007, the components of accumulated losses on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Capital loss carryforward................................. $ (455,164)*
Unrealized losses--net.................................... (1,174,268)**
-----------
Total accumulated losses--net............................. $(1,629,432)
===========
- --------------------------------------------------------------------------------
* On December 31, 2007, the Portfolio had a net capital loss carryforward of
$455,164, 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 difference between book and tax
amortization methods for premiums and discounts on fixed income
securities, the realization for tax purposes of unrealized gains/losses on
certain futures and forward foreign currency contracts, the deferral of
post-October capital losses for tax purposes and other book/tax temporary
differences.
89
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Report of Independent Registered Public Accounting Firm
================================================================================
To the Shareholders and Board of Directors of
BlackRock Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of BlackRock Series Fund, Inc. (the "Fund")
comprising BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth
Portfolio, BlackRock Global Allocation Portfolio, BlackRock Government Income
Portfolio, BlackRock High Income Portfolio, BlackRock Large Cap Core Portfolio,
BlackRock Money Market Portfolio and BlackRock Total Return Portfolio (formerly
BlackRock Bond Portfolio) as of December 31, 2007, 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, 2007, 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 portfolios constituting the BlackRock Series Fund, Inc. as of December
31, 2007, the results of their operations for the year then ended, the changes
in their net assets for each of the two years in the period then ended, and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 28, 2008
90
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Proxy Results
================================================================================
During the six-month period ended December 31, 2007, the shareholders in each
Portfolio of BlackRock Series Fund, Inc. voted on the following proposal. On
August 23, 2007, a special shareholders' meeting was adjourned with respect to
the proposal until September 7, 2007 at which time it was approved. This
proposal was part of the reorganization of BlackRock Series Fund, Inc.'s Board
of Directors that took effect on November 1, 2007. A description of the proposal
and number of shares voted are as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced BlackRock Fundamental BlackRock Global BlackRock Government
Capital Portfolio Growth Portfolio Allocation Portfolio Income Portfolio
-------------------------- -------------------------- -------------------------- -------------------------
Shares Shares Withheld Shares Shares Withheld Shares Shares Withheld Shares Shares Withheld
Voted For From Voting Voted For From Voting Voted For From Voting Voted For From Voting
- ------------------------------------------------------------------------------------------------------------------------------------
James H. Bodurtha 46,738,521 1,546,168 7,661,683 298,785 16,204,629 447,612 13,042,785 432,698
Bruce R. Bond 46,577,603 1,707,086 7,661,683 298,785 16,188,476 463,765 13,031,331 444,152
Donald W. Burton 46,557,131 1,727,558 7,653,472 306,996 16,183,480 468,761 13,031,331 444,152
Richard S. Davis 46,668,060 1,616,629 7,661,683 298,785 16,204,629 447,612 13,042,785 432,698
Stuart E. Eizenstat 46,584,477 1,700,212 7,653,472 306,996 16,184,146 468,095 13,042,785 432,698
Laurence D. Fink 46,598,075 1,686,614 7,661,683 298,785 16,204,629 447,612 13,031,331 444,152
Kenneth A. Froot 46,560,463 1,724,226 7,661,683 298,785 16,183,480 468,761 13,031,331 444,152
Henry Gabbay 46,685,199 1,599,490 7,661,683 298,785 16,195,969 456,272 13,042,785 432,698
Robert M. Hernandez 46,565,224 1,719,465 7,653,472 306,996 16,197,135 455,106 13,023,515 451,968
John F. O'Brien 46,553,322 1,731,367 7,653,472 306,996 16,183,480 468,761 13,031,331 444,152
Roberta Cooper Ramo 46,707,575 1,577,114 7,661,683 298,785 16,204,629 447,612 13,034,834 440,649
Jean Margo Reid 46,652,825 1,631,864 7,661,683 298,785 16,204,629 447,612 13,034,834 440,649
David H. Walsh 46,548,561 1,736,128 7,661,683 298,785 16,155,505 496,736 13,031,331 444,152
Fred G. Weiss 46,629,973 1,654,716 7,653,472 306,996 16,154,339 497,902 13,042,785 432,698
Richard R. West 46,602,835 1,681,854 7,646,269 314,199 15,987,150 665,091 13,042,785 432,698
- ------------------------------------------------------------------------------------------------------------------------------------
BlackRock High BlackRock Large BlackRock Money BlackRock Total
Income Portfolio Cap Core Portfolio Market Portfolio Return Portfolio
-------------------------- -------------------------- -------------------------- -------------------------
Shares Shares Withheld Shares Shares Withheld Shares Shares Withheld Shares Shares Withheld
Voted For From Voting Voted For From Voting Voted For From Voting Voted For From Voting
- ------------------------------------------------------------------------------------------------------------------------------------
James H. Bodurtha 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Bruce R. Bond 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Donald W. Burton 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Richard S. Davis 9,404,372 274,835 11,152,253 31,826 270,848,125 22,089,771 9,226,388 359,537
Stuart E. Eizenstat 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,048 359,877
Laurence D. Fink 9,404,372 274,835 11,152,253 31,826 270,848,125 22,089,771 9,226,388 359,537
Kenneth A. Froot 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Henry Gabbay 9,404,372 274,835 11,152,253 31,826 270,848,125 22,089,771 9,226,388 359,537
Robert M. Hernandez 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
John F. O'Brien 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Roberta Cooper Ramo 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Jean Margo Reid 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
David H. Walsh 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Fred G. Weiss 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
Richard R. West 9,404,372 274,835 11,156,798 27,281 270,848,125 22,089,771 9,226,388 359,537
- ------------------------------------------------------------------------------------------------------------------------------------
During the six-month period ended December 31, 2007, the shareholders of
BlackRock Total Return Fund of BlackRock Series Funds, Inc. voted on the
following proposal, which was approved at a special shareholders' meeting on
December 10, 2007. A description of the proposal and number of shares voted are
as follows:
- --------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- --------------------------------------------------------------------------------
To approve a change in the investment
objective of BlackRock
Total Bond Portfolio of
BlackRock Series Fund, Inc. 9,187,797 423,929 226,428
- --------------------------------------------------------------------------------
91
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
Officers and Directors
================================================================================
Non-Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
BlackRock-
Advised Funds
Name, Address and Position(s) Held Length of Principal Occupation(s) and Portfolios Public
Year of Birth with Fund Time Served During Past Five Years Overseen Directorships
- ------------------------------------------------------------------------------------------------------------------------------------
James H. Bodurtha Director 2007 to present Director, The China Business 37 Funds None
40 East 52nd Street Group, Inc. since 1996 and 99 Portfolios
New York, NY 10022 Executive Vice President thereof
1944 from 1996 to 2003; Chairman of
the Board, Berkshire Holding
Corporation since 1980; Partner,
Squire, Sanders & Dempsey (a law
firm) from 1980 to 1993.
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce R. Bond Director 2007 to present Trustee and Member of the 37 Funds
40 East 52nd Street Governance Committee, State 99 Portfolios
New York, NY 10022 Street Research mutual funds
1946 ("SSR Funds") from 1997 to 2005;
Board Member of Governance,
Audit and Finance Committee of
Avaya Inc. (information
technology) from 2003 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Director 2002 to present Managing General Partner of The 37 Funds Knology, Inc.
40 East 52nd Street Burton Partnership, Limited 99 Portfolios (telecommunications);
New York, NY 10022 Partnership (an investment Capital
1944 partnership) since 1979; Southwest (financial)
Managing General Partner of The
South Atlantic Venture Funds
since 1983; Member of the
Investment Advisory Council of
the Florida State Board of
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Honorable Stuart E. Director 2007 to present Partner and Head of 37 Funds UPS Corporation
Eizenstat International Practice, 99 Portfolios
40 East 52nd Street Covington and Burling (law firm)
New York, NY 10022 since 2001; Deputy Secretary of
1943 the Treasury from 1999 to 2001;
Under Secretary of State for
Economic, Business and
Agricultural Affairs from 1997
to 1999; Under Secretary of
Commerce for International Trade
from 1996 to 1997; U.S.
Ambassador to the European Union
from 1993 to 1996.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth A. Froot Director 2005 to present Professor, Harvard University 37 Funds None
40 East 52nd Street since 1992; Professor, 99 Portfolios
New York, NY 10022 Massachusetts Institute of
1957 Technology from 1986 to 1992.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hernandez Director, Chairman 2007 to present USX Corporation, (a diversified 37 Funds ACE Limited
40 East 52nd Street of the Board of company principally engaged in 99 Portfolios (insurance
New York, NY 10022 Directors and energy and steel businesses); company);
1944 Member of the Director from 1991 to 2001; Vice Eastman Chemical
Audit Committee Chairman and Chief Financial Company; RTI
Officer from 1994 to 2001; International
Executive Vice President - Metals, Inc.
Accounting and Finance and Chief (metals); TYCO
Financial Officer from 1991 to Electronics
1994. (electronics)
- ------------------------------------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
- ------------------------------------------------------------------------------------------------------------------------------------
92
================================================================================
Non-Interested Directors* (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
BlackRock-
Advised Funds
Name, Address and Position(s) Held Length of Principal Occupation(s) and Portfolios Public
Year of Birth with Fund Time Served During Past Five Years Overseen Directorships
- ------------------------------------------------------------------------------------------------------------------------------------
John F. O'Brien Director 2005 to present President and Chief Executive 37 Funds Cabot Corporation
40 East 52nd Street Officer of Allmerica Financial 99 Portfolios (chemicals);
New York, NY 10022 Corporation (financial services LKQ Corporation
1943 holding company) from 1995 to (auto parts
2002 and Director from 1995 to manufacturing);
2003; President of Allmerica TJX Companies,
Investment Management Co., Inc. Inc. (retailer)
(investment adviser) from 1989
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.
- ------------------------------------------------------------------------------------------------------------------------------------
Roberta Cooper Ramo Director 2002 to present Shareholder, Modrall, Sperling, 37 Funds None
40 East 52nd Street Roehl, Harris & Sisk, P.A. since 99 Portfolios
New York, NY 10022 1993; President, American Bar
1942 Association from 1995 to 1996
and Member of the Board of
Governors thereof from 1994 to
1997; Shareholder, Poole, Kelly
and Ramo, Attorneys at Law P.C.
from 1977 to 1993; Director of
ECMC Group (service provider to
students, schools and lenders)
since 2001; Director, United New
Mexico Bank (now Wells Fargo)
from 1983 to 1988; Director,
First National Bank of New
Mexico (now Wells Fargo) from
1975 to 1976; Vice President,
American Law Institute from 2004
to 2007 and President elect
thereof since 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
- ------------------------------------------------------------------------------------------------------------------------------------
93
================================================================================
Non-Interested Directors* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
BlackRock-
Advised Funds
Name, Address and Position(s) Held Length of Principal Occupation(s) and Portfolios Public
Year of Birth with Fund Time Served During Past Five Years Overseen Directorships
- ------------------------------------------------------------------------------------------------------------------------------------
Jean Margo Reid Director 2007 to present Self-employed consultant since 37 Funds None
40 East 52nd Street 2001; Counsel of Alliance 99 Portfolios
New York, NY 10022 Capital Management (investment
1945 adviser) in 2000; General
Counsel, Director and Secretary
of Sanford C. Bernstein & Co.,
Inc. (investment
adviser/broker-dealer) from 1997
to 2000; Secretary, Sanford C.
Bernstein Fund, Inc. from 1994
to 2000; Director and Secretary
of SCB, Inc. since 1998;
Director and Secretary of SCB
Partners, Inc. since 2000; and
Director of Covenant House from
2001 to 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. Walsh Director 2003 to present Director, Ruckleshaus Institute 37 Funds None
40 East 52nd Street and Haub School of Natural 99 Portfolios
New York, NY 10022 Resources at the University of
1941 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.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Director and 1999 to present Managing Director of FGW 37 Funds Watson
40 East 52nd Street Chairman of the Associates since 1997; Board 99 Portfolios Pharmaceutical
New York, NY 10022 Audit Committee member of certain Inc.
1941 BlackRock-advised funds since (pharmaceutical
1998; Vice President, Planning, company)
Investment and Development of
Warner Lambert Co. from 1979 to
1997; Director of Michael J. Fox
Foundation for Parkinson's
Research since 2000; Director,
Watson Pharmaceutical, Inc.
(pharmaceutical company) since
1999; Director of Osmotica
Holdings Corp. (a drug delivery
technology company) since 2003;
Director of KIMC Investments,
Inc. dba MedVance Institute (a
chain of for-profit allied
health training schools)since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard R. West Director and 2007 to present Professor of Finance from 1984 37 Funds Bowne & Co., Inc.
40 East 52nd Street Member of the to 1995, Dean from 1984 to 1993 99 Portfolios (financial printers);
New York, NY 10022 Audit Committee and since 1995 Dean Emeritus of Vornado Realty Trust
1938 New York University's Leonard N. (real estate company);
Stern School of Business Alexander's, Inc.
Administration. (real estate company)
- ------------------------------------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
- ------------------------------------------------------------------------------------------------------------------------------------
94
================================================================================
Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
BlackRock-
Advised Funds
Name, Address and Position(s) Held Length of Principal Occupation(s) and Portfolios Public
Year of Birth with Fund Time Served During Past Five Years Overseen Directorships
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Davis Director 2007 to present Managing Director, BlackRock, 184 Funds None
40 East 52nd Street Inc. since 2005; Chief Executive 289 Portfolios
New York, NY 10022 Officer, State Street Research &
1945 Management Company from 2000 to
2005; Chairman of the Board of
Trustees, State Street Research
mutual funds ("SSR Funds") from
2000 to 2005; Senior Vice
President, Metropolitan Life
Insurance Company from 1999 to
2000; Chairman SSR Realty from
2000 to 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurence D. Fink Director 2007 to present Chairman and Chief Executive 37 Funds None
40 East 52nd Street Officer of BlackRock, Inc. since 99 Portfolios
New York, NY 10022 its formation in 1998 and of
1952 BlackRock, Inc.'s predecessor
entities since 1988; Chairman of the
Executive and Management Committees;
formerly, Managing Director of the
First Boston Corporation, Member of
its Management Committee, Co-head of
its Taxable Fixed Income Division
and Head of its Mortgage and Real
Estate Products Group; Chairman of
the Board of several of BlackRock's
alternative investment vehicles;
Director of several of BlackRock's
offshore funds; Member of the Board
of Trustees of New York University,
Chair of the Financial Affairs
Committee and a member of the
Executive Committee, the Ad Hoc
Committee on Board Governance, and
the Committee on Trustees;
Co-Chairman of the NYU Hospitals
Center Board of Trustees, Chairman
of the Development/Trustee
Stewardship Committee and Chairman
of the Finance Committee; Trustee of
The Boys' Club of New York.
- ------------------------------------------------------------------------------------------------------------------------------------
Henry Gabbay Director 2007 to present Consultant, BlackRock, Inc. 183 Funds None
40 East 52nd Street since 2007; Managing Director, 288 Portfolios
New York, NY 10022 BlackRock, Inc. from 1989 to
1947 2007; Chief Administrative
Officer, BlackRock Advisors, LLC
from 1998 to 2007; President of
BlackRock Funds and BlackRock
Bond Allocation Target Shares
from 2005 to 2007; Treasurer of
certain closed-end funds in the
Fund complex from 1989 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
* Messrs. Davis, Fink and Gabbay are all "interested persons," as defined in the Investment Company Act of 1940, of the
Fund based on their 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.
- ------------------------------------------------------------------------------------------------------------------------------------
95
================================================================================
Advisory Board Member
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
BlackRock-
Advised Funds
Name, Address and Position(s) Held Length of Principal Occupation(s) and Portfolios Public
Year of Birth with Fund Time Served During Past Five Years Overseen Directorships
- ------------------------------------------------------------------------------------------------------------------------------------
Joe Grills * Member of the 2007 Member of the Committee of 37 Funds Kimco Realty
40 East 52nd Street Advisory Board Investment of Employee Benefit 99 Portfolios Corporation
New York, NY 10022 Assets of the Association of
1935 Financial Professionals
("CIEBA") since 1986; Member of
CIEBA's Executive Committee
since 1988 and its Chairman from
1991 to 1992; Assistant
Treasurer of International
Business Machines Corporation
("IBM") and Chief Investment
Officer of IBM Retirement Funds
from 1986 to 1993; Member of the
Investment Advisory Committee of
the State of New York Common
Retirement Fund from 1989 to
2006; Member of the Investment
Advisory Committee of the Howard
Hughes Medical Institute from
1997 to 2000; Director, Duke
University Management Company
from 1992 to 2004, Vice Chairman
thereof from 1998 to 2004, and
Director Emeritus thereof since
2004; Director, LaSalle Street
Fund from 1995 to 2001;
Director, Kimco Realty
Corporation since 1997; Member
of the Investment Advisory
Committee of the Virginia
Retirement System since 1998,
Vice Chairman thereof from 2002
to 2005, and Chairman thereof
since 2005; Director, Montpelier
Foundation since 1998, its Vice
Chairman from 2000 to 2006, and
Chairman, thereof, since 2006;
Member of the Investment
Committee of the Woodberry
Forest School since 2000; Member
of the Investment Committee of
the National Trust for Historic
Preservation since 2000.
- ------------------------------------------------------------------------------------------------------------------------------------
* Joe Grills resigned from the Advisory Board of the Fund, effective December 31, 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
96
================================================================================
Fund Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Name, Address and Position(s) Held
Year of Birth with the Fund Length of Time Served Principal Occupation(s) During Past Five Years
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Fund President 2007 to present Managing Director of BlackRock, Inc. since 2006;
40 East 52nd Street and Chief Formerly Managing Director of Merrill Lynch Investment
New York, NY 10022 Executive Officer Managers, L.P. ("MLIM") and Fund Asset Management, L.P.
1960 ("FAM") in 2006; First Vice President thereof from 1997
to 2005; Treasurer thereof from 1999 to 2006 and Vice
President thereof from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Anne F. Ackerley Vice President 2007 to present Managing Director of BlackRock, Inc. since 2000 and
40 East 52nd Street First Vice President and Chief Operating Officer of
New York, NY 10022 Mergers and Acquisitions Group from 1997 to 2000; First
1962 Vice President and Chief Operating Officer of Public
Finance Group thereof from 1995 to 1997; First Vice
President of Emerging Markets Fixed Income Research of
Merrill Lynch & Co., Inc. from 1994 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Neal J. Andrews Chief Financial 2007 to present Managing Director of BlackRock, Inc. since 2006;
40 East 52nd Street Officer Formerly Senior Vice President and Line of Business Head
New York, NY 10022 of Fund Accounting and Administration at PFPC Inc. from
1966 1992 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Jay M. Fife Treasurer 2007 to present Managing Director of BlackRock, Inc. since 2007 and
40 East 52nd Street Director in 2006; Formerly Assistant Treasurer of the
New York, NY 10022 MLIM/FAM advised funds from 2005 to 2006; Director of
1970 MLIM Fund Services Group from 2001 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Brian P. Kindelan Chief Compliance 2007 to present Chief Compliance Officer of the Funds since 2007;
40 East 52nd Street Officer Managing Director and Senior Counsel thereof since 2005;
New York, NY 10022 Director and Senior Counsel of BlackRock Advisors, Inc.
1959 from 2001 to 2004 and Vice President and Senior Counsel,
thereof from 1998 to 2000; Senior Counsel of PNC Bank
Corp. from 1995 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard Surloff Secretary 2007 to present Managing Director of BlackRock, Inc. and General Counsel
40 East 52nd Street of U.S. Funds at BlackRock, Inc. since 2006; Formerly
New York, NY 10022 General Counsel (U.S.) of Goldman Sachs Asset
1965 Management, L.P. from 1993 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Directors.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the Fund's Statement of Additional Information, which
can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
97
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(This page is intentionally left blank)
(This page is intentionally left blank)
================================================================================
Principal Office of the Fund
BlackRock Series Fund, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
Custodian
For all Portfolios except BlackRock Global Allocation Portfolio:
The Bank of New York Mellon
New York, NY 10286
For BlackRock Global Allocation Portfolio:
Brown Brothers Harriman & Co.
Boston, MA 02109-3661
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Willkie, Farr & Gallagher LLP
New York, NY 10019
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Privacy Principles
================================================================================
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their nonpublic personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal nonpublic information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; (iv) from visits to our websites.
BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic
personal information about its Clients, except as permitted by law or as is
necessary to respond to regulatory requests to service Client accounts. These
nonaffiliated third parties are required to protect the confidentiality and
security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to nonpublic
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the nonpublic
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
- --------------------------------------------------------------------------------
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 website at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. Information on the operation of
the Public Reference Room may be obtained by calling (800) SEC-0330. The Fund's
Forms NQ may also be obtained upon request, without charge, by calling (800)
441-7762.
================================================================================
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 (800) 441-7762; (2) on
www.blackrock.com; and (3) on the Securities and Exchange Commission's website
at http://www.sec.gov. Information about how BlackRock 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.com and (2) on the Securities
and Exchange Commission's website at http://www.sec.gov.
59828-12/07
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code
of ethics, as of the end of the period covered by this report,
applicable to the registrant's principal executive officer, principal
financial officer and principal accounting officer, or persons
performing similar functions. During the period covered by this report,
there have been no amendments to or waivers granted under the code of
ethics. 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 or trustees, as applicable (the "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: Donald W. Burton (not
reappointed to the Audit Committee, effective November 1, 2007) Robert
M. Hernandez (term began, effective November 1, 2007) John F. O'Brien
(not reappointed to the Audit Committee, effective November 1, 2007)
David H. Walsh (not reappointed to the Audit Committee, effective
November 1, 2007) Fred G. Weiss Richard R. West (term began, effective
November 1, 2007)
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11 of
the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation or
identification as an audit committee financial expert does not impose
on such person any duties, obligations, or liabilities greater than the
duties, obligations, and liabilities imposed on such person as a member
of the audit committee and board of directors in the absence of such
designation or identification.
Item 4 - Principal Accountant Fees and Services
- ------------------------------------------------------------------------------------------------------------------------
(b) Audit- (d) All
(a) Audit Fees Related Fees(1) (c) Tax Fees(2) Other Fees(3)
- ------------------------------------------------------------------------------------------------------------------------
Current Previous Current Previous Current Previous Current Previous
Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal
Entity Name Year End Year End Year End Year End Year End Year End Year End Year End
- ------------------------------------------------------------------------------------------------------------------------
BlackRock Balanced $25,500 $25,500 $0 $0 $8,100 $8,000 $1,042 $0
Capital Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock
Fundamental Growth $23,300 $23,300 $0 $0 $11,048 $7,908 $1,042 $0
Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock Global
Allocation $33,600 $33,600 $0 $0 $13,128 $14,699 $1,042 $0
Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock
Government Income $23,100 $23,100 $0 $0 $8,100 $8,000 $1,042 $0
Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock High $24,150 $24,150 $0 $0 $8,100 $8,000 $1,042 $0
Income Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock Large $23,300 $23,300 $0 $0 $8,100 $8,000 $1,042 $0
Cap Core Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock Money $22,400 $22,400 $0 $0 $8,100 $8,000 $743 $0
Market Portfolio
- ------------------------------------------------------------------------------------------------------------------------
BlackRock Total $24,200 $24,200 $0 $0 $8,100 $8,000 $1,042 $0
Return Portfolio
- ------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services reasonably
related to the performance of the audit of financial statements not included in
Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
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) None of the services described in each of Items 4(b) through (d)
were approved by the audit committee pursuant to paragraph (c)(7)(i)(C)
of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees: Note: the following table
does not include the aggregate non-audit fees of each Series, as
presented above in Item 4(b) through Item 4(d).
------------------------------------------------------------------
Entity Name Current Fiscal Year Previous Fiscal
End Year End
------------------------------------------------------------------
BlackRock Series Fund, Inc. $284,500 $3,071,450
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(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 (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by 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) - $284,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - The registrant's Schedule of Investments is
included as part of the Report to Stockholders filed under Item 1 of
this form.
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 - The registrant's
Nominating and Governance Committee will consider nominees to the Board
recommended by shareholders when a vacancy becomes available.
Shareholders who wish to recommend a nominee should send nominations
which include biographical information and set forth the qualifications
of the proposed nominee to the registrant's Secretary. There have been
no material changes to these procedures.
Item 11 - Controls and Procedures
11(a) - The registrant's principal executive and principal financial officers
or persons performing similar functions have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the filing of
this report based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under
the Securities Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the second fiscal quarter of the period covered by
this report that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
Item 12 -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/ Donald C. Burke
-------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Series Fund, Inc.
Date: February 21, 2008
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/ Donald C. Burke
-------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Series Fund, Inc.
Date: February 21, 2008
By: /s/ Neal J. Andrews
-------------------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Series Fund, Inc.
Date: February 21, 2008