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 Short Term Bond Portfolio
BlackRock Global SmallCap Portfolio
BlackRock Equity Dividend Portfolio
BlackRock Mid Cap Value Opportunities Portfolio
BlackRock Small Cap Index Portfolio
BlackRock International Index Portfolio
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Series Fund, Inc., 800 Scudders Mill Road, Plainsboro,
NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/06
Date of reporting period: 01/01/06 - 12/31/06
Item 1 - Report to Stockholders
BlackRock Series Fund, Inc.
Page
----
BlackRock Equity Dividend Portfolio ....................................... 2
BlackRock Global SmallCap Portfolio ....................................... 24
BlackRock International Index Portfolio ................................... 48
BlackRock Mid Cap Value
Opportunities Portfolio ................................................. 69
BlackRock Short Term Bond Portfolio ....................................... 89
BlackRock Small Cap Index Portfolio ....................................... 108
Annual Report
December 31, 2006
BlackRock Series Fund, Inc.
A Letter to Shareholders
Dear Shareholder
As 2007 begins, we are able to look back on 2006 as a volatile, but ultimately,
a positive year for most major markets. Returns for the annual and semi-annual
periods ended December 31, 2006 were as follows:
Total Returns as of December 31, 2006
- --------------------------------------------------------------------------------
6-month 12-month
- --------------------------------------------------------------------------------
U.S. equities (Standard &
Poor's 500 Index) ......................... +12.74% +15.79%
Small cap U.S. equities
(Russell 2000 Index) ...................... + 9.38 +18.37
International equities (MSCI Europe,
Australasia, Far East Index) .............. +14.69 +26.34
Fixed income (Lehman Brothers
Aggregate Bond Index) ..................... + 5.09 + 4.33
Tax-exempt fixed income (Lehman
Brothers Municipal Bond Index) ............ + 4.55 + 4.84
High yield bonds (Credit Suisse
High Yield Index) ......................... + 8.14 +11.92
After raising the target short-term interest rate 17 times between June
2004 and June 2006, the Federal Reserve Board (the Fed) finally opted to pause
on August 8, 2006. This left the federal funds rate at 5.25%, where it remained
through year-end. In interrupting its two-year interest rate-hiking campaign,
the Fed acknowledged that economic growth is slowing, led by a downturn in the
housing market, but has maintained a cautionary view on inflation.
Overall, it was a good 12 months for U.S. equities, despite a significant
correction in the middle of the year that was largely triggered by rising
interest rates, inflation fears, elevated oil prices and geopolitical
uncertainties. Nevertheless, strong corporate earnings, abundant liquidity and
record merger-and-acquisition activity provided a solid backdrop for stocks.
Many international equity markets (with the notable exception of Japan)
performed even better, outpacing U.S. stocks for the fifth consecutive year.
Strength was especially notable in European equities and select emerging
markets.
Bonds experienced a more modest annual return than stocks. Interest rates
and bond yields moved higher for much of the year as bond prices, which move
opposite of yields, declined. Prices began to improve in the summer as the
economy showed signs of weakening and the Fed paused. Notably, the Treasury
curve remained inverted for much of 2006. The 10-year Treasury yield ended
December at 4.71%, well below the federal funds rate.
As we begin a new year, investors are left with a few key questions: Will
the U.S. economy achieve a soft landing, will the Fed reverse its prior policy
and cut interest rates, and how might these outcomes impact the investment
climate. As you navigate the uncertainties inherent in the financial markets, we
encourage you to start the year by reviewing your investment goals with your
financial professional and making portfolio changes, as needed. For more
reflection on 2006 and our thoughts on the year ahead, please ask your financial
professional for a copy of "What's Ahead in 2007: An Investment Perspective," or
view it online at www.blackrock.com/funds. We thank you for trusting BlackRock
with your investment assets, and we look forward to continuing to serve you in
the new year and beyond.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
President and Director
1
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
A Discussion With Your Portfolio Manager
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Equity Dividend
Portfolio's (formerly Mercury Equity Dividend Portfolio) Class I Shares posted a
total return of +19.48%. For the same period, the benchmark Standard & Poor's
500 (S&P 500) Index returned +15.79% and the Lipper Equity Income Funds
(Variable Products) category had an average return of +17.98%. (Funds in this
Lipper category seek relatively high current income and growth of income by
investing 60% or more of their assets in dividend-paying equity securities.)
Global equity markets posted strong gains in 2006 as the Federal Reserve
Board (the Fed) concluded, at least for now, its rate-raising activities. The
U.S. economy downshifted with the very significant slowdown in housing leading
the way. Corporate profit growth rose a double-digit percentage for an
unprecedented fifth year in a row. Commodity price volatility increased
significantly, with an early year run-up followed by a mid-year pullback. Most
of the year featured an inverted yield curve as the Fed took its market rate up
to 5.25%, while the 10-year Treasury note yield spent much of the year between
4.5% and 5%. Once again, non-U.S. markets, with the notable exception of Japan,
outperformed the United States as the U.S. dollar resumed its weakness.
While overall the year was a good one for equities, the first significant
correction since 2002 enabled a change in leadership from smaller-cap,
lower-quality, more cyclical stocks to larger-cap, higher-quality, more
predictable stocks. After a brief mid-year scare, inflation pressures remained
fairly low around the world, which was good news, especially in light of the
unprecedented run-up in industrial commodity prices. In that regard, oil prices
set a new all-time high in the summer, but corrected noticeably during the fall,
giving further support to the equity market rally in the second half of 2006.
The year also featured unprecedented share buy-backs and merger-and-acquisition
(M&A) activity as well as a switch in Congress from Republican to Democratic
leadership. 2006 ended with the world awash in liquidity, global growth still
quite strong despite the U.S. slowdown, record-high U.S. profitability,
inflation and interest rates fairly low and confidence levels relatively strong.
The Portfolio outperformed its benchmark, the S&P 500 Index, and its
comparable Lipper category average for the 12-month period. The Portfolio's
comparative return benefited most from an overweight in energy, underweights in
information technology and health care, and stock selection in the industrials,
consumer staples and consumer discretionary sectors. The primary positive
contributors in the industrials sector were our positions in Deere & Co., a
manufacturer of agricultural and commercial equipment, and Raytheon Co., an
aerospace and defense company. Our holding in Diageo Plc, a U.K. producer and
distributor of beer and wine, enhanced the Portfolio's return in the consumer
staples sector. Within the consumer discretionary sector, our holdings in CBS
Corp., a media company, and Husqvarna AB, a Swedish manufacturer of lawn and
garden equipment that is not a constituent of the S&P 500 Index, enhanced
Portfolio results.
The main negative contributor to the performance versus the benchmark was
the Portfolio's sizeable cash position in an environment of generally rising
equity markets. Adverse stock selection in energy also detracted from the
relative return. The most notable negative contributors included our positions
in Murphy Oil Corp., an oil and gas refining and marketing company; Peabody
Energy Corp., a coal mining company that is not represented in the Index; and
Exxon Mobil Corp., which performed well during the year. An underweight in the
financials sector detracted slightly from the relative performance.
What changes were made to the Portfolio during the period?
During the first six months of 2006, we increased the Portfolio's weighting in
integrated oil companies, adding to our existing positions in Chevron Corp. and
Marathon Oil Corp. We also initiated a holding in Occidental Petroleum Corp.
following the reduction of our position in EnCana Corp., which is leveraged to
natural gas.
Later in the year, we increased the Portfolio's exposure to the health
care sector. After several quarters of underperformance, the share prices of
pharmaceutical company stocks appeared to be discounting generic competition and
litigation risks, and the stocks provided attractive yields. We also added to
our holdings in Bank of America Corp. and JPMorgan Chase & Co. in financials,
but the
2
Portfolio's sector weight did not increase, as we sold our shares in PNC
Financial Services Group, Inc. We received cash for our Falconbridge Ltd. shares
following its acquisition by Xstrata Plc, and used proceeds to establish new
positions in Verizon Communications, Inc. and AT&T Inc. in the telecommunication
services sector and in General Electric Co. in the industrials sector.
Toward the end of 2006, we increased the Portfolio's weighting in
integrated oil companies in an effort to be more defensive during the upcoming
year, which we believe should see a moderation in energy prices and some
headwinds to oil company earnings. We added to our holdings in Exxon Mobil Corp.
and Chevron Corp., while reducing our weighting in ConocoPhillips and
liquidating our holding in EnCana Corp., a natural gas exploration and
production company. We also shifted our exposure to telecommunication services,
reducing our positions in Verizon Communications, Inc. and Telus Corp., adding
to our holding in AT&T Inc., and initiating positions in Manitoba Telecom
Services, Inc., Windstream Corp. and Vodaphone Group Plc, as well as ITC
Holdings Corp., a telecommunications tower operator. We also increased the
Portfolio's weighting in the financials sector, where we added to our existing
holdings in Bank of America Corp., Chubb Corp. and JPMorgan Chase & Co. Finally,
we increased exposure to information technology with the purchase of Microsoft
Corp., which we believe will benefit from its long-delayed release of the Vista
operating system.
How would you characterize the Portfolio's position at the close of the period?
At December 31, 2006, the Portfolio's largest sector allocations were in the
energy, financials, materials and utilities sectors. The Portfolio was
considerably overweight versus the S&P 500 Index in materials, energy and
utilities. The Portfolio's major underweights included information technology,
health care, financials and consumer discretionary. We maintain our focus on
companies, industries and sectors that we believe will benefit from strong
growth in global demand and limited additions to productive capacity due to a
combination of impediments to bringing on new projects. We remain confident that
the long-term earnings power of these companies is not exclusively dependent on
the spot price of commodities, which have experienced significant speculative
inflows. We believe the stability of their operations, as demonstrated by their
balance sheets, dividend history and forward earnings estimates, is not being
reflected accurately by short-term fluctuations in their stock prices and will
be more highly valued in the mid to longer term. We remain cautious on sectors
that are exposed to the consumer, given reduced purchasing power from rising
healthcare and utility costs, as well as potential negative wealth effects from
the slowing housing market.
Robert M. Shearer
Vice President and Portfolio Manager
January 22, 2007
3
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Portfolio Information as of December 31, 2006
Percent of
Sector Representation Total Investments
- --------------------------------------------------------------------------------
Energy ................................................................. 17.7%
Financials ............................................................. 16.7
Materials .............................................................. 11.4
Industrials ............................................................ 11.3
Utilities .............................................................. 9.1
Telecommunication Services ............................................. 6.3
Consumer Staples ....................................................... 6.0
Consumer Discretionary ................................................. 4.6
Health Care ............................................................ 3.1
Information Technology ................................................. 1.8
Other* ................................................................. 12.0
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
For Portfolio compliance purposes, the Portfolio's sector classifications
refer to any one or more of the sector sub-classifications used by one or
more widely recognized market indexes or ratings group indexes, and/or as
defined by Portfolio management. This definition may not apply for the
purposes of this report, which may combine sector sub-classifications for
reporting ease.
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the S&P 500(R)
Index. Values are from December 31, 2004 to December 2006.
BlackRock BlackRock BlackRock
Equity Dividend Equity Dividend Equity Dividend
Portfolio+-- Portfolio+-- Portfolio+-- S&P 500(R)
Class I Shares* Class II Shares* Class III Shares* Index++
12/31/04** $10,000 $10,000 $10,000 $10,000
12/05 $11,410 $11,410 $11,410 $10,491
12/06 $13,633 $13,633 $13,622 $12,148
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock Equity Dividend Portfolio invests primarily in a portfolio of
equity 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. Past
performance is not indicative of future results.
4
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +19.48%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +19.48%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +19.39%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.71
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month Standardized
As of December 31, 2006 Total Return Total Return 30-day Yield
- --------------------------------------------------------------------------------
Class I Shares* + 9.28% +19.48% +1.78%
- --------------------------------------------------------------------------------
Class II Shares* + 9.28 +19.48 --
- --------------------------------------------------------------------------------
Class III Shares* + 9.19 +19.39 --
- --------------------------------------------------------------------------------
S&P 500(R) Index** +12.74 +15.79 --
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns. For a portion of the period, returns do not show the
effects of distribution fees (12b-1 fees) applicable to Class II and Class
III Shares. If such fees were included, returns shown would have been
lower.
** 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 results shown should not be considered a representation of future
performance.
S&P 500 is a registered trademark of the McGraw-Hill Companies.
5
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
================================================================================================================
Actual
================================================================================================================
Class I $1,000 $1,092.80 $4.90
- ----------------------------------------------------------------------------------------------------------------
Class II $1,000 $1,092.80 $5.11
- ----------------------------------------------------------------------------------------------------------------
Class III $1,000 $1,091.90 $5.37
================================================================================================================
Hypothetical (5% annual return before expenses)**
================================================================================================================
Class I $1,000 $1,020.21 $4.73
- ----------------------------------------------------------------------------------------------------------------
Class II $1,000 $1,020.01 $4.94
- ----------------------------------------------------------------------------------------------------------------
Class III $1,000 $1,019.76 $5.19
- ----------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (.94% for Class I, .98% for Class II and 1.03%
for Class III), multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period shown). All of
the outstanding shares of Class II and Class III were owned by an
affiliated entity and did not accrue their distribution fees (12b-1 fees)
for a portion of the period. If the distribution fees were accrued for the
entire period, the actual expense ratios would have been approximately
1.09% and 1.19%, the actual expenses paid would have been approximately
$5.69 and $6.21, and the hypothetical expenses paid would have been
approximately $5.49 and $5.99 for Class II and Class III, respectively.
** 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.
6
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Europe Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
France--1.7% Chemicals--0.0% 25 Arkema (a)(b) ............................. $ 1,283
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--1.7% 1,200 Total SA (b) .............................. 86,304
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in France ............. 87,587
- -----------------------------------------------------------------------------------------------------------------------------------
Netherlands--0.6% Food Products--0.6% 1,200 Unilever NV (b) ........................... 32,700
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in
the Netherlands ........................... 32,700
- -----------------------------------------------------------------------------------------------------------------------------------
Sweden--1.4% Household Durables--1.4% 2,100 Electrolux AB Series B (a) ................ 42,025
1,900 Husqvarna AB (a) .......................... 29,697
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden ............. 71,722
- -----------------------------------------------------------------------------------------------------------------------------------
United Kingdom-- Beverages--1.1% 2,900 Diageo Plc ................................ 56,924
2.4% -------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--0.9% 700 BP Plc (b) ................................ 46,970
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 600 Vodafone Group Plc (b) .................... 16,668
Services--0.4%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in
the United Kingdom ........................ 120,562
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
Europe--6.1% .............................. 312,571
- -----------------------------------------------------------------------------------------------------------------------------------
North America
- -----------------------------------------------------------------------------------------------------------------------------------
Canada--6.1% Commercial Banks--1.9% 900 Bank of Montreal .......................... 53,252
800 National Bank of Canada ................... 45,168
----------
98,420
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,015 BCE, Inc. ................................. 27,405
Services--1.1% 400 Manitoba Telecom Services, Inc. ........... 15,916
300 TELUS Corp. (Non-Voting Shares) ........... 13,385
----------
56,706
-------------------------------------------------------------------------------------------------------------
Metals & Mining--1.0% 400 Alcan, Inc. ............................... 19,496
600 Barrick Gold Corp. ........................ 18,445
200 Teck Cominco Ltd. Class B ................. 15,075
----------
53,016
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--2.1% 2,400 Cameco Corp. .............................. 97,140
200 EnCana Corp. .............................. 9,203
----------
106,343
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Canada ............. 314,485
- -----------------------------------------------------------------------------------------------------------------------------------
Cayman Islands-- Insurance--0.3% 200 XL Capital Ltd. Class A ................... 14,404
0.3% -------------------------------------------------------------------------------------------------------------
Total Common Stocks in
the Cayman Islands ........................ 14,404
- -----------------------------------------------------------------------------------------------------------------------------------
United States--70.4% Aerospace & Defense--5.4% 800 General Dynamics Corp. .................... 59,480
700 Northrop Grumman Corp. .................... 47,390
1,700 Raytheon Co. .............................. 89,760
300 Rockwell Collins, Inc. .................... 18,987
1,000 United Technologies Corp. ................. 62,520
----------
278,137
-------------------------------------------------------------------------------------------------------------
Beverages--0.4% 400 The Coca-Cola Co. ......................... 19,300
-------------------------------------------------------------------------------------------------------------
Capital Markets--0.8% 40 Ameriprise Financial, Inc. ................ 2,180
200 The Bank of New York Co., Inc. ............ 7,874
400 Morgan Stanley ............................ 32,572
----------
42,626
-------------------------------------------------------------------------------------------------------------
Chemicals--2.8% 300 Air Products & Chemicals, Inc. ............ 21,084
300 The Dow Chemical Co. ...................... 11,982
900 E.I. du Pont de Nemours & Co. ............. 43,839
600 Lyondell Chemical Co. ..................... 15,342
500 Olin Corp. ................................ 8,260
7
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
North America Shares
(continued) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Chemicals 300 Praxair, Inc. ............................. $ 17,799
(continued) (concluded) 500 Rohm & Haas Co. ........................... 25,560
----------
143,866
-------------------------------------------------------------------------------------------------------------
Commercial Banks--2.7% 200 SunTrust Banks, Inc. ...................... 16,890
900 U.S. Bancorp .............................. 32,571
800 Wachovia Corp. ............................ 45,560
1,200 Wells Fargo & Co. ......................... 42,672
----------
137,693
-------------------------------------------------------------------------------------------------------------
Commercial Services & 300 RR Donnelley & Sons Co. ................... 10,662
Supplies--0.4% 2,100 Synagro Technologies, Inc. ................ 9,282
----------
19,944
-------------------------------------------------------------------------------------------------------------
Computers & Peripherals--1.4% 1,000 Hewlett-Packard Co. ....................... 41,190
300 International Business
Machines Corp. ............................ 29,145
----------
70,335
-------------------------------------------------------------------------------------------------------------
Consumer Finance--0.2% 200 American Express Co. ...................... 12,134
-------------------------------------------------------------------------------------------------------------
Containers & Packaging--0.7% 800 Temple-Inland, Inc. ....................... 36,824
-------------------------------------------------------------------------------------------------------------
Diversified Financial 2,400 Bank of America Corp. ..................... 128,136
Services--5.9% 2,000 Citigroup, Inc. ........................... 111,400
1,300 JPMorgan Chase & Co. ...................... 62,790
----------
302,326
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 2,600 AT&T Inc. ................................. 92,950
Services--4.5% 900 BellSouth Corp. ........................... 42,399
1,900 Verizon Communications, Inc. .............. 70,756
1,610 Windstream Corp. .......................... 22,894
----------
228,999
-------------------------------------------------------------------------------------------------------------
Electric Utilities--4.3% 300 American Electric Power Co., Inc. ......... 12,774
700 Exelon Corp. .............................. 43,323
400 FPL Group, Inc. ........................... 21,768
400 FirstEnergy Corp. ......................... 24,120
500 ITC Holdings Corp. ........................ 19,950
800 Northeast Utilities ....................... 22,528
1,000 PPL Corp. ................................. 35,840
200 Pinnacle West Capital Corp. ............... 10,138
800 The Southern Co. .......................... 29,488
----------
219,929
-------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.4% 300 Rockwell Automation, Inc. ................. 18,324
-------------------------------------------------------------------------------------------------------------
Energy Equipment & Services--2.0% 300 GlobalSantaFe Corp. ....................... 17,634
1,300 Halliburton Co. ........................... 40,365
700 Schlumberger Ltd. ......................... 44,212
----------
102,211
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing--0.2% 200 Wal-Mart Stores, Inc. ..................... 9,236
-------------------------------------------------------------------------------------------------------------
Food Products--0.5% 200 General Mills, Inc. ....................... 11,520
300 HJ Heinz Co. .............................. 13,503
100 Reddy Ice Holdings, Inc. .................. 2,582
----------
27,605
-------------------------------------------------------------------------------------------------------------
Gas Utilities--1.3% 400 AGL Resources, Inc. ....................... 15,564
1,000 Equitable Resources, Inc. ................. 41,750
200 National Fuel Gas Co. ..................... 7,708
----------
65,022
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure--0.4% 700 Tim Hortons, Inc. ......................... 20,272
-------------------------------------------------------------------------------------------------------------
8
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
North America Shares
(continued) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Household Durables--0.5% 800 Newell Rubbermaid, Inc. ................... $ 23,160
(continued) -------------------------------------------------------------------------------------------------------------
Household Products--2.5% 700 Clorox Co. ................................ 44,905
400 Kimberly-Clark Corp. ...................... 27,180
900 The Procter & Gamble Co. .................. 57,843
----------
129,928
-------------------------------------------------------------------------------------------------------------
Independent Power Producers & 1,100 TXU Corp. ................................. 59,631
Energy Traders--1.2%
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--2.6% 400 3M Co. .................................... 31,172
2,800 General Electric Co. ...................... 104,188
----------
135,360
-------------------------------------------------------------------------------------------------------------
Insurance--3.4% 500 Chubb Corp. ............................... 26,455
800 Lincoln National Corp. .................... 53,120
300 Marsh & McLennan Cos., Inc. ............... 9,198
1,600 The St. Paul Travelers Cos., Inc. ......... 85,904
----------
174,677
-------------------------------------------------------------------------------------------------------------
Machinery--2.3% 800 Caterpillar, Inc. ......................... 49,064
700 Deere & Co. ............................... 66,549
----------
115,613
-------------------------------------------------------------------------------------------------------------
Marine--0.2% 500 Eagle Bulk Shipping, Inc. ................. 8,670
-------------------------------------------------------------------------------------------------------------
Media--2.0% 1,400 CBS Corp. Class B ......................... 43,652
125 Idearc, Inc. (a) .......................... 3,581
800 The McGraw-Hill Cos., Inc. ................ 54,416
----------
101,649
-------------------------------------------------------------------------------------------------------------
Metals & Mining--0.3% 100 Newmont Mining Corp. ...................... 4,515
200 Southern Copper Corp. ..................... 10,778
----------
15,293
-------------------------------------------------------------------------------------------------------------
Multi-Utilities--2.4% 200 Ameren Corp. .............................. 10,746
100 Consolidated Edison, Inc. ................. 4,807
300 DTE Energy Co. ............................ 14,523
400 Dominion Resources, Inc. .................. 33,536
1,068 Duke Energy Corp. ......................... 35,468
200 KeySpan Corp. ............................. 8,236
300 Wisconsin Energy Corp. .................... 14,238
----------
121,554
-------------------------------------------------------------------------------------------------------------
Multiline Retail--0.1% 186 Federated Department Stores ............... 7,092
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--11.0% 1,300 Chevron Corp. ............................. 95,589
1,000 ConocoPhillips ............................ 71,950
1,200 Consol Energy, Inc. ....................... 38,556
2,000 Exxon Mobil Corp. ......................... 153,260
700 Marathon Oil Corp. ........................ 64,750
800 Murphy Oil Corp. .......................... 40,680
700 Occidental Petroleum Corp. ................ 34,181
1,600 Peabody Energy Corp. ...................... 64,656
----------
563,622
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products--1.5% 700 International Paper Co. ................... 23,870
800 MeadWestvaco Corp. ........................ 24,048
400 Weyerhaeuser Co. .......................... 28,260
----------
76,178
-------------------------------------------------------------------------------------------------------------
Personal Products--0.6% 900 Avon Products, Inc. ....................... 29,736
-------------------------------------------------------------------------------------------------------------
9
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
North America Shares
(concluded) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Pharmaceuticals--3.1% 300 Abbott Laboratories ....................... $ 14,613
(concluded) 800 Bristol-Myers Squibb Co. .................. 21,056
300 Johnson & Johnson ......................... 19,806
400 Merck & Co., Inc. ......................... 17,440
1,500 Pfizer, Inc. .............................. 38,850
900 Wyeth ..................................... 45,828
----------
157,593
-------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 400 Kimco Realty Corp. ........................ 17,980
(REITs)--1.2% 200 Simon Property Group, Inc. ................ 20,258
500 Taubman Centers, Inc. ..................... 25,430
----------
63,668
-------------------------------------------------------------------------------------------------------------
Software--0.5% 800 Microsoft Corp. ........................... 23,888
-------------------------------------------------------------------------------------------------------------
Specialty Retail--0.2% 400 Limited Brands ............................ 11,576
-------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance--0.1% 100 Freddie Mac ............................... 6,790
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 300 Alltel Corp. .............................. 18,144
Services--0.4%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in
the United States ......................... 3,598,605
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
North America--76.8% ...................... 3,927,494
- -----------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia
- -----------------------------------------------------------------------------------------------------------------------------------
Australia--4.6% Metals & Mining--4.6% 4,800 Alumina Ltd. .............................. 24,022
4,100 BHP Billiton Ltd. ......................... 81,879
8,900 BlueScope Steel Ltd. ...................... 60,557
1,200 Rio Tinto Ltd. ............................ 70,378
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Australia .............................. 236,836
- -----------------------------------------------------------------------------------------------------------------------------------
China--0.4% Metals & Mining--0.4% 800 Aluminum Corp. of China Ltd. (b) .......... 18,800
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in China .............. 18,800
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
Pacific Basin/Asia--5.0% .................. 255,636
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$3,625,229)--87.9% ................. 4,495,701
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
$610,393 BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.26% (c)(d) .............. 610,393
-------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$610,393)--12.0% ................... 610,393
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$4,235,622*)--99.9% ................ 5,106,094
Other Assets Less
Liabilities--0.1% ......................... 6,536
----------
Net Assets--100.0% ........................ $5,112,630
==========
- -----------------------------------------------------------------------------------------------------------------------------------
10
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Schedule of Investments as of December 31, 2006 (concluded) (in U.S. dollars)
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost ........................................... $ 4,236,225
===========
Gross unrealized appreciation ............................ $ 890,156
Gross unrealized depreciation ............................ (20,287)
-----------
Net unrealized appreciation .............................. $ 869,869
===========
(a) Non-income producing security.
(b) Depositary receipts.
(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 .............. $284,200 $15,248
----------------------------------------------------------------------------------------------
(d) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
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:
------------------------------------------------------------------------------------------------------
Purchase Sales Realized Dividend
Affiliate Cost Cost Gain Income
------------------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc. ........ -- $10,979 $ 3,552 $ 320
------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
11
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (identified cost--$3,625,229) ...... $ 4,495,701
Investments in affiliated securities, at value (identified cost--$610,393) .......... 610,393
Foreign cash (cost--$68) ............................................................ 68
Receivables:
Dividends ......................................................................... $ 6,359
Investment adviser ................................................................ 6,161 12,520
-----------
Prepaid expenses .................................................................... 892
-----------
Total assets ........................................................................ 5,119,574
-----------
- --------------------------------------------------------------------------------------------------------------------
Liabilities:
Payables:
Other affiliates .................................................................. 1,286
Capital shares redeemed ........................................................... 119
Distributor ....................................................................... 1 1,406
-----------
Accrued expenses .................................................................... 5,538
-----------
Total liabilities ................................................................... 6,944
-----------
- --------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 5,112,630
===========
- --------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 39,473
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 11
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 11
Paid-in capital in excess of par .................................................... 4,205,323
Accumulated distributions in excess of investment income--net ....................... $ (14)
Accumulated realized capital losses--net ............................................ (2,638)
Unrealized appreciation--net ........................................................ 870,464
-----------
Total accumulated earnings--net ..................................................... 867,812
-----------
Net Assets .......................................................................... $ 5,112,630
===========
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $5,109,905 and 394,733 shares outstanding ........... $ 12.95
===========
Class II--Based on net assets of $1,363 and 105.27 shares outstanding ............... $ 12.95
===========
Class III--Based on net assets of $1,362 and 105.27 shares outstanding .............. $ 12.94
===========
- --------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
12
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Dividends (net of $1,783 foreign withholding tax and including $320 from affiliate) . $ 97,707
Interest (including $15,248 from affiliates) ........................................ 15,718
-----------
Total income ........................................................................ 113,425
-----------
- --------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees ............................................................ $ 23,094
Professional fees ................................................................... 22,883
Printing and shareholder reports .................................................... 5,126
Accounting services ................................................................. 5,053
Transfer agent fees--Class I ........................................................ 4,996
Offering costs ...................................................................... 2,475
Custodian fees ...................................................................... 2,033
Pricing services .................................................................... 1,919
Directors' fees and expenses ........................................................ 1,272
Transfer agent fees--Class II ....................................................... 2
Transfer agent fees--Class III ...................................................... 2
Distribution fees--Class II and Class III ........................................... 1
Other ............................................................................... 8,218
-----------
Total expenses before waiver and reimbursement ...................................... 77,074
Waiver and reimbursement of expenses ................................................ (40,893)
-----------
Total expenses after waiver and reimbursement ....................................... 36,181
-----------
Investment income--net .............................................................. 77,244
-----------
- --------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain (Loss)--Net:
Realized gain on:
Investments--net (including $3,552 from affiliate) ................................ 61,848
Foreign currency transactions--net ................................................ 563 62,411
-----------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................................. 554,217
Foreign currency transactions--net ................................................ (8) 554,209
----------- -----------
Total realized and unrealized gain--net ............................................. 616,620
-----------
Net Increase in Net Assets Resulting from Operations ................................ $ 693,864
===========
- --------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
13
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
---------------------------
Increase (Decrease) in Net Assets: 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 77,244 $ 51,310
Realized gain--net .................................................................. 62,411 149
Change in unrealized appreciation/depreciation--net ................................. 554,209 316,255
---------------------------
Net increase in net assets resulting from operations ................................ 693,864 367,714
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Dividends & Distributions to Shareholders:
Investment income--net:
Class I ........................................................................... (69,591) (65,922)
Class II .......................................................................... (21) (24)
Class III ......................................................................... (21) (24)
Realized gain--net:
Class I ........................................................................... (61,220) (2,843)
Class II .......................................................................... (16) (1)
Class III ......................................................................... (16) (1)
Tax return of capital:
Class I ........................................................................... (311) --
---------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders (131,196) (68,815)
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase in net assets derived from capital share transactions .................. 1,266,714 2,981,349
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase in net assets ........................................................ 1,829,382 3,280,248
Beginning of year ................................................................... 3,283,248 3,000
---------------------------
End of year* ........................................................................ $ 5,112,630 $ 3,283,248
===========================
- --------------------------------------------------------------------------------------------------------------------
* Accumulated distributions in excess of investment income--net ................... $ (14) $ (10,663)
===========================
** The Portfolio commenced operations just prior to the close of business on December 31, 2004.
See Notes to Financial Statements.
14
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Financial Highlights
Class I
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.15 $ 10.00
----------- -----------
Investment income--net* ............................................................. .24 .19
Realized and unrealized gain--net ................................................... 1.92 1.21
----------- -----------
Total from investment operations .................................................... 2.16 1.40
----------- -----------
Less dividends and distributions from:
Investment income--net ............................................................ (.20) (.24)
Realized gain--net ................................................................ (.16) (.01)
Tax return of capital ............................................................. --*** --
----------- -----------
Total dividends and distributions ................................................... (.36) (.25)
----------- -----------
Net asset value, end of year ........................................................ $ 12.95 $ 11.15
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 19.48% 14.10%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .94% .94%
=========== ===========
Expenses ............................................................................ 2.00% 2.23%
=========== ===========
Investment income--net .............................................................. 2.01% 1.84%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 5,110 $ 3,281
=========== ===========
Portfolio turnover .................................................................. 6.18% 3.10%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
*** Amount is less than $(.01).
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
15
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Financial Highlights (continued)
Class II
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.15 $ 10.00
----------- -----------
Investment income--net* ............................................................. .24 .19
Realized and unrealized gain--net ................................................... 1.92 1.21
----------- -----------
Total from investment operations .................................................... 2.16 1.40
----------- -----------
Less dividends and distributions from:
Investment income--net ............................................................ (.20) (.24)
Realized gain--net ................................................................ (.16) (.01)
----------- -----------
Total dividends and distributions ................................................... (.36) (.25)
----------- -----------
Net asset value, end of year ........................................................ $ 12.95 $ 11.15
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 19.48% 14.10%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .95% .94%
=========== ===========
Expenses ............................................................................ 2.04% 2.23%
=========== ===========
Investment income--net .............................................................. 1.99% 1.81%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
=========== ===========
Portfolio turnover .................................................................. 6.18% 3.10%
=========== ===========
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
16
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Financial Highlights (concluded)
Class III
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.15 $ 10.00
----------- -----------
Investment income--net* ............................................................. .24 .19
Realized and unrealized gain--net ................................................... 1.91 1.21
----------- -----------
Total from investment operations .................................................... 2.15 1.40
----------- -----------
Less dividends and distributions from:
Investment income--net ............................................................ (.20) (.24)
Realized gain--net ................................................................ (.16) (.01)
----------- -----------
Total dividends and distributions ................................................... (.36) (.25)
----------- -----------
Net asset value, end of year ........................................................ $ 12.94 $ 11.15
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 19.39% 14.10%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .98% .94%
=========== ===========
Expenses ............................................................................ 2.07% 2.23%
=========== ===========
Investment income--net .............................................................. 1.97% 1.81%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
=========== ===========
Portfolio turnover .................................................................. 6.18% 3.10%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
17
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury Equity Dividend
Portfolio were renamed BlackRock Series Fund, Inc. (the "Fund") and BlackRock
Equity Dividend Portfolio (the "Portfolio"), respectively. The Fund is an
open-end management investment company that is comprised of fourteen separate
portfolios. This report relates to six of the Fund's Portfolios, all of which
offer three classes of shares to the Merrill Lynch Life Insurance Company, ML
Life Insurance Company of New York (indirect, wholly owned subsidiaries of
Merrill Lynch & Co., Inc. ("Merrill Lynch")), and other insurance companies that
are not affiliated with Merrill Lynch, for their separate accounts to fund
benefits under certain variable annuity and variable life insurance contracts.
The Portfolio is classified as "diversified," as defined in the Investment
Company Act of 1940, as amended. Class I, Class II and Class III Shares have
equal voting, dividend, liquidation and other rights, except that only shares of
the respective classes are entitled to vote on matters concerning only that
class. In addition, Class II and Class III Shares bear certain expenses related
to the distribution of such shares. The Portfolio'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. Income, expenses (other than expenses attributable
to a specific class) and realized and unrealized gains and losses are allocated
daily to each class based on its relative net assets. The following is a summary
of significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the 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 over-the-counter ("OTC") market, 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 market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case
of exchange-traded options. Options traded in the OTC market are valued at the
last asked price (options written) or the last bid price (options purchased).
Swap agreements are valued based upon quoted fair valuations received daily by
the Portfolio from a pricing service or counterparty. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their last sale price as of the close of such exchanges. Obligations with
remaining maturities of 60 days or less are valued at amortized cost unless
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., believes that this method no longer produces fair valuations.
Valuation of other short-term investment vehicles is generally based on the net
asset value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The
Portfolio employs pricing services to provide certain securities prices for the
Portfolio. Securities and 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, including valuations furnished
by the pricing services retained by the Portfolio, which may use a matrix system
for valuations. The procedures of a pricing service and its valuations are
reviewed by the officers of the Portfolio under the general supervision of the
Fund's Board of Directors. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Fund.
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 Portfolio's 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
18
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 Portfolio's net asset value. If events (for
example, a company announcement, market volatility or a natural disaster) occur
during such periods that are expected to materially affect the value of such
securities, those securities will be valued at their fair value as determined in
good faith by the Fund's Board of Directors or by the Manager using a pricing
service and/or procedures approved by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio 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
financial future date and at a specific price or yield. Upon entering into a
contract, the Portfolio deposits and maintains as collateral such initial margin
as required by the exchange on which the transaction is effected. Pursuant to
the contract, the Portfolio agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options. When the
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 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 Forward foreign exchange contracts -- The Portfolio 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no federal income tax provision is required. Under the
applicable foreign tax law, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
19
(f) Dividends and distributions -- Dividends and distributions paid by the
Portfolio are recorded on the ex-dividend dates.
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a pro rata basis based upon the respective aggregate
net asset value of each portfolio included in the Fund.
(h) Securities lending -- The Portfolio 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 receives a fee from the borrower. The
Portfolio typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(i) Offering costs -- Adjustments to offering costs were expensed in the
current period.
(j) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(k) 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, during the current
year, $2,475 has been reclassified between paid-in capital in excess of par and
accumulated distributions in excess of net investment income and $563 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 non-deductible expenses and foreign currency
transactions. These reclassifications have no effect on net assets or net asset
values per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became
20
effective on September 29, 2006. Prior to September 29, 2006, MLIM was the
Fund's Manager. The general partner of MLIM is Princeton Services, Inc. ("PSI"),
an indirect, wholly owned subsidiary of Merrill Lynch, which is the limited
partner. The Fund has also entered into separate Distribution Agreements and
Distribution Plans with FAM Distributors, Inc. ("FAMD") and BlackRock
Distributors, Inc. ("BDI") (collectively, the "Distributor"). FAMD is a wholly
owned subsidiary of Merrill Lynch Group, Inc. and BDI is an affiliate of
BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays a monthly fee at the annual rate of .60% of the average daily
value of the Portfolio's net assets. The Manager (and previously MLIM) has
agreed to voluntarily waive its fees and reimburse for other Portfolio expenses
so that the total annual portfolio operating expenses do not exceed .94%,
exclusive of distribution fees. The Manager may discontinue or reduce this
waiver at any time without notice. For the year ended December 31, 2006, MLIM
and the Manager earned, waived and reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
- --------------------------------------------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
- --------------------------------------------------------------------------------
Fees earned .......................... $ 16,248 $ 6,846
Waiver ............................... $(16,248) $ (6,846)
Reimbursement ........................ $(12,950) $ (4,849)
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class II and Class III commenced accruing the
distribution fee on September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund also has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, the Portfolio reimbursed MLIM and
the Manager $62 and $18, respectively, for certain accounting services.
In addition, MLPF&S received $226 in commissions on the execution of
portfolio security transactions for year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch, and/or
MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Fund are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $1,134,147 and $219,299, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$1,266,714 and $2,981,349 for the years ended December 31, 2006 and December 31,
2005, respectively.
21
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................... 98,892 $1,242,411
Shares issued to shareholders in
reinvestment of dividends,
distributions and return
of capital .............................. 10,317 131,122
------- ----------
Total issued .............................. 109,209 1,373,533
Shares redeemed ........................... (8,777) (106,893)
------- ----------
Net increase .............................. 100,432 $1,266,640
======= ==========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................... 288,188 $2,916,197
Shares issued to shareholders
in reinvestment of dividends
and distributions ....................... 6,343 68,764
------- ----------
Total issued .............................. 294,531 2,984,961
Shares redeemed ........................... (330) (3,662)
------- ----------
Net increase .............................. 294,201 $2,981,299
======= ==========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- -------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ....................... 3 $ 37
------- ----------
Net increase .............................. 3 $ 37
======= ==========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ....................... 2 $ 25
------- ----------
Net increase .............................. 2 $ 25
======= ==========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- -------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ....................... 3 $ 37
------- ----------
Net increase .............................. 3 $ 37
======= ==========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ....................... 2 $ 25
------- ----------
Net increase .............................. 2 $ 25
======= ==========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .......................... $ 69,637 $ 68,815
Long-term capital gain ................... 61,248 --
Tax return of capital .................... 311 --
-------- --------
Total taxable distributions ................ $131,196 $ 68,815
======== ========
As of December 31, 2006, the components of accumulated earnings on a tax
basis were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net .......................... $ --
Undistributed long-term capital gains--net .................. --
--------
Total undistributed earnings--net ........................... --
Capital loss carryforward ................................... --
Unrealized gains--net ....................................... 867,812*
--------
Total accumulated earnings--net ............................. $867,812
========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
deferral of post-October currency and capital losses for tax purposes.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
22
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of BlackRock Equity Dividend Portfolio of BlackRock
Series Fund, Inc. (formerly Mercury Equity Dividend Portfolio of FAM Series
Fund, Inc.) (the "Fund") as of December 31, 2006, and the related statement of
operations for the year then ended and the statements of changes in net assets
and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian. 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
BlackRock Equity Dividend Portfolio of BlackRock Series Fund, Inc. as of
December 31, 2006, the results of its operations for the year then ended and the
changes in its net assets and its financial highlights for each of the two years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock Equity Dividend Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock Equity Dividend
Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on the following
proposals, which were approved at a special shareholders' meeting on August 15,
2006. A description of the proposals and number of shares voted are as follows:
- ----------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- ----------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 304,553 0 0
- ----------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 304,553 0 0
- ----------------------------------------------------------------------------------------------------
23
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
A Discussion With Your Portfolio Managers
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Global SmallCap
Portfolio's (formerly Mercury Global SmallCap Portfolio) Class I Shares had a
total return of +17.98%. For the same period, the benchmark Morgan Stanley
Capital International (MSCI) World Small Cap Index returned +17.20% and the
broader MSCI World Index returned +20.07%.
In what was a very volatile year, global small cap stocks managed to turn
in solid performance. Strong investment flows into international equities,
healthy economic growth, an easing of energy prices, relatively low interest
rates and reasonable valuations created a favorable environment for these
stocks. A market pullback between May and August, which was largely prompted by
investor fears of slowing economic growth and rising interest rates, served to
neutralize what had been a very good start to the year. Nevertheless, the
Federal Reserve's (the Fed's) long-anticipated break from interest rate
increases, falling energy prices and a strengthening consumer provided catalysts
for a rebound in the last four months of the year.
European markets performed very well during the 12-month period, led by
the United Kingdom (+43.06%), Switzerland (+48.11%) and France (+42.31%). The
small cap market in the United States also performed well, but trailed its
European counterparts with a return of +14.51%. Japan was the clear laggard,
returning -16.08%. With the exception of the very small weighting in Luxembourg,
Japan was the only country in the index to post negative returns. This poor
performance came on the heels of excellent gains in 2005.
Sectors most leveraged to the industrialization of emerging countries and
global economic growth delivered the strongest performance in 2006. Among the
major sectors, materials (+37.0%) and energy (+30.9%) produced the largest
returns, as robust demand for relatively scarce natural resources, including
oil, natural gas and metals such as copper and aluminum, drove many commodity
prices higher at points during the year. In addition, the industrials sector
also showed strength, rising 19.0% as industrialization in emerging markets
elevated demand for machinery and construction and engineering services. All
sectors posted positive returns, underscoring the breadth of participation in
the market rally. Information technology (+6.6%) and health care (+10.1%),
although positive, were the worst-performing sectors during the year.
What factors most influenced Portfolio performance during the year?
The Portfolio appreciated significantly in 2006 and outperformed the MSCI World
Small Cap Index. Stock selection in the consumer discretionary and industrials
sectors produced strong absolute and relative returns, and more than offset
relative weakness in the energy sector. In addition, sector allocation proved
modestly positive as the Portfolio's underweight position in the consumer
discretionary sector and overweight position in materials added value during the
period.
Stock selection in the consumer discretionary sector proved to be a major
contributor to the Portfolio's outperformance in 2006. The success was spread
across numerous countries and industries within the sector. Apparel
manufacturers Polo Ralph Lauren Corp. (U.S.) and Valentino Fashion Group SpA
(Italy) performed particularly well, as did Game Group Plc, a video game
retailer in the U.K., and Clear Media Ltd., a Hong Kong-based creator of outdoor
advertising in China. In addition, the Portfolio's underweight position in the
sector boosted relative returns as higher energy prices for consumers hampered
their spending during the period.
In the industrials sector, Vestas Wind Systems A/S produced the greatest
gain, and was the top-performing holding in the Portfolio during 2006. This
Danish manufacturer of wind turbines has benefited from the increasing attention
being paid to alternative forms of energy. Suntech Power Holdings Co. Ltd., a
producer of solar panels based in China, also benefited from this theme.
Elsewhere in industrials, Shenzhen Expressway Co. Ltd., a Chinese company that
constructs and manages highways, performed very well as China continues to grow
and become more industrialized. In Europe, Enodis Plc, a British supplier of
commercial food equipment, and Ryanair Holdings Plc, an Irish low-cost airline,
also boosted the Portfolio's performance.
The energy sector continued to be quite volatile, with the prices of crude
oil and natural gas trading in wide ranges during the year. While this sector of
the Portfolio generated positive returns, our energy
24
holdings collectively underperformed the benchmark. Our exposure to natural
gas-related names, such as Brigham Exploration Co., Newpark Resources, Inc. and
Grey Wolf, Inc. in the United States, negatively affected performance.
From a geographic perspective, investment decisions in the Pacific region
contributed to the Portfolio's results, overcoming underperformance in the
United States. Within the index, Japan was clearly the worst-performing country.
Our substantial underweight in the country, combined with positive stock
selection, helped to generate excess returns for the Portfolio. Also in the
Pacific region, our investments in China and Hong Kong contributed
significantly, with our holdings in these regions collectively rising more than
80%.
What changes were made to the Portfolio during the period?
Sector allocations remained relatively stable during the year, and there were no
major changes to sector positioning. We modestly increased our absolute and
relative weightings in the telecommunication services and utilities sectors.
These weightings remain very small, however, given that these companies make up
a small portion of the universe. Elsewhere, we added to the consumer
discretionary sector, while trimming our exposure to the health care sector.
The modest increase in the weighting of the consumer discretionary sector
was driven by bottom-up stock selection and did not reflect a change in outlook
for the sector. We added a few diverse names during the year, including Guitar
Center, Inc., a retailer of musical instruments and supplies in the United
States, and LKQ Corp., a re-seller of used auto parts in the U.S.
We modestly reduced the Portfolio's allocation in health care, thereby
trimming the overweight positioning held at the beginning of the year. We
eliminated two pharmaceutical holdings, Sciele Pharmaceuticals, Inc. and Noven
Pharmaceuticals, Inc., after both stocks achieved notable gains.
The most significant changes from a geographic perspective came in the
United States and the United Kingdom, though we remain underexposed to the
United Kingdom when measured against the MSCI World Small Cap Index. These
increases came at the expense of Japan, where we have found it difficult to find
high-growth companies at attractive valuations. In addition, we modestly reduced
the Portfolio's allocation to several other European countries, such as France
and Denmark.
How would you characterize the Portfolio's position at the close of the period?
With additions made during the past six months, the Portfolio significantly
narrowed its underweight position in the United States, the largest component of
the MSCI World Small Cap Index. The Portfolio ended the year underweight in the
other major developed markets in the index, including the United Kingdom, Japan
and Canada.
We have offset these underweight positions by investing in emerging
markets in Asia, Mideast-Africa and Latin America, as well as in Europe
(ex-U.K.). Using our bottom-up process, we have identified many excellent
investment opportunities in a diverse group of countries, including Brazil,
India and South Korea. The companies in which we have invested, in our view,
have brighter growth prospects than many of their peers in the developed markets
and have been available at attractive prices.
From a sector perspective, the Portfolio ended the period with underweight
positions in the financials sector, primarily in U.S. banking, and in the
consumer discretionary and industrials sectors, mainly in Japan. The Portfolio
is modestly overweight in basic materials and health care.
We remain confident in the future of global small cap investing. Our
primary emphasis continues to be on investing in companies that exhibit strong
growth characteristics at reasonable valuations.
Murali Balaraman, CFA
Vice President and Portfolio Manager
John Coyle, CFA
Vice President and Portfolio Manager
January 22, 2007
25
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Portfolio Information as of December 31, 2006
Percent of
Geographic Allocation Total Investments
- --------------------------------------------------------------------------------
United States ..................................................... 35.4%
Japan ............................................................. 7.6
United Kingdom .................................................... 6.5
Canada ............................................................ 4.2
Norway ............................................................ 2.9
Hong Kong ......................................................... 2.9
Italy ............................................................. 2.5
Australia ......................................................... 2.4
Netherlands ....................................................... 2.2
Finland ........................................................... 2.1
Brazil ............................................................ 1.9
France ............................................................ 1.9
Ireland ........................................................... 1.8
Switzerland ....................................................... 1.8
Denmark ........................................................... 1.7
Sweden ............................................................ 1.4
Germany ........................................................... 1.3
Mexico ............................................................ 1.3
South Korea ....................................................... 1.3
India ............................................................. 1.1
Israel ............................................................ 0.9
Philippines ....................................................... 0.9
Malaysia .......................................................... 0.8
China ............................................................. 0.8
Turkey ............................................................ 0.8
Belgium ........................................................... 0.7
Bermuda ........................................................... 0.7
Singapore ......................................................... 0.7
South Africa ...................................................... 0.6
Spain ............................................................. 0.6
Indonesia ......................................................... 0.2
Other* ............................................................ 8.1
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the MSCI World
Index and the MSCI World Small Cap Index. Values are from December 31, 2004 to
December 2006.
BlackRock BlackRock BlackRock
Global SmallCap Global SmallCap Global SmallCap MSCI World
Portfolio+-- Portfolio+-- Portfolio+-- MSCI World Small Cap
Class I Shares* Class II Shares* Class III Shares* Index++ Index+++
12/31/04** $10,000 $10,000 $10,000 $10,000 $10,000
12/05 $11,587 $11,587 $11,587 $10,949 $11,571
12/06 $13,670 $13,670 $13,660 $13,146 $13,561
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock Global SmallCap Portfolio invests primarily in a portfolio of
equity securities of small cap issuers located in various foreign
countries and in the United States.
++ This unmanaged market capitalization-weighted Index is comprised of a
representative sampling of large-, medium- and small- capitalization
companies in 23 countries, including the United States.
+++ This unmanaged broad-based Index is comprised of small cap companies from
23 developed markets. Past performance is not indicative of future
results.
26
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.98%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.92
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.98%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.92
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.89%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +16.87
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month
As of December 31, 2006 Total Return Total Return
- --------------------------------------------------------------------------------
Class I Shares* +14.03% +17.98%
- --------------------------------------------------------------------------------
Class II Shares* +13.93 +17.98
- --------------------------------------------------------------------------------
Class III Shares* +13.84 +17.89
- --------------------------------------------------------------------------------
MSCI World Index** +13.21 +20.07
- --------------------------------------------------------------------------------
MSCI World Small Cap Index*** +10.11 +17.20
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns. For a portion of the period, returns do not show the
effects of distribution fees (12b-1 fees) applicable to Class II and Class
III Shares. If such fees were included, returns shown would have been
lower.
** This unmanaged market capitalization-weighted Index is comprised of a
representative sampling of large-, medium- and small- capitalization
companies in 23 countries, including the United States.
*** This unmanaged broad-based Index is comprised of small cap companies from
23 developed markets.
Past results shown should not be considered a representation of future
performance.
27
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
================================================================================================================
Actual
================================================================================================================
Class I $ 1,000 $1,140.30 $ 6.24
- ----------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,139.30 $ 6.67
- ----------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,138.40 $ 6.93
================================================================================================================
Hypothetical (5% annual return before expenses)**
================================================================================================================
Class I $ 1,000 $1,019.07 $ 5.89
- ----------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,018.67 $ 6.29
- ----------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,018.42 $ 6.54
- ----------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (1.17% for Class I, 1.25% for Class II and
1.30% for Class III), multiplied by the average account value over the
period, multiplied by 182/365 (to reflect the one-half year period shown).
All of the outstanding shares of Class II and Class III were owned by an
affiliated entity and did not accrue their distribution fees (12b-1 fees)
for a portion of the period. If the distribution fees were accrued for the
entire period, the actual expense ratios would have been approximately
1.32% and 1.42%, the actual expenses paid would have been approximately
$7.04 and $7.57, and the hypothetical expenses paid would have been
approximately $6.64 and $7.14 for Class II and Class III, respectively.
** 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.
28
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Africa Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
South Africa--0.6% Food & Staples Retailing--0.6% 4,120 Massmart Holdings Ltd. ..................... $ 41,240
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Africa--0.6% ............................ 41,240
- -----------------------------------------------------------------------------------------------------------------------------------
Europe
- -----------------------------------------------------------------------------------------------------------------------------------
Belgium--0.7% Leisure Equipment & Products -- 1,800 AGFA-Gevaert NV ............................ 46,001
0.7%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium ............. 46,001
- -----------------------------------------------------------------------------------------------------------------------------------
Denmark--1.7% Electrical Equipment--0.9% 1,540 Vestas Wind Systems A/S (a) ................ 65,089
-------------------------------------------------------------------------------------------------------------
Insurance--0.8% 680 TrygVesta A/S .............................. 51,944
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark ............. 117,033
- -----------------------------------------------------------------------------------------------------------------------------------
Finland--2.1% Construction & Engineering-- 1,880 YIT Oyj ................................... 51,991
0.8%
-------------------------------------------------------------------------------------------------------------
Multiline Retail--0.5% 710 Stockmann AB 'B' ........................... 34,190
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.8% 8,570 M-real Oyj 'B' ............................. 54,188
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland ............. 140,369
- -----------------------------------------------------------------------------------------------------------------------------------
France--1.9% Commercial Services & 460 Eurofins Scientific (a) .................... 32,851
Supplies--0.5%
-------------------------------------------------------------------------------------------------------------
Insurance--0.8% 18,900 SCOR ....................................... 55,885
-------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products-- 710 Trigano SA ................................. 36,824
0.6%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in France .............. 125,560
- -----------------------------------------------------------------------------------------------------------------------------------
Germany--1.3% Chemicals--0.2% 600 Petrotec AG (a) ............................ 13,068
-------------------------------------------------------------------------------------------------------------
Machinery--0.7% 1,020 Heidelberger Druckmaschinen ................ 48,310
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.4% 2,590 Paion AG (a) ............................... 28,206
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany ............. 89,584
- -----------------------------------------------------------------------------------------------------------------------------------
Ireland--1.8% Airlines--1.2% 1,000 Ryanair Holdings Plc (a)(b) ................ 81,500
-------------------------------------------------------------------------------------------------------------
Food Products--0.6% 6,550 Greencore Group Plc ........................ 39,773
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland ............. 121,273
- -----------------------------------------------------------------------------------------------------------------------------------
Italy--2.5% Building Products--0.8% 2,720 Permasteelisa SpA .......................... 50,447
-------------------------------------------------------------------------------------------------------------
Construction & Engineering-- 3,900 Astaldi SpA ................................ 29,082
0.4%
-------------------------------------------------------------------------------------------------------------
Insurance--0.5% 4,120 Milano Assicurazioni SpA ................... 33,583
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 1,380 Valentino Fashion Group SpA ................ 56,453
Goods--0.8%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy ............... 169,565
- -----------------------------------------------------------------------------------------------------------------------------------
Netherlands--2.2% Commercial Services & 2,600 Tele Atlas NV (a) .......................... 54,468
Supplies--0.8%
-------------------------------------------------------------------------------------------------------------
Food Products--0.4% 2,200 Koninklijke Wessanen NV CVA ................ 29,767
-------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 1,300 Qiagen NV (a) .............................. 19,669
Services--0.3%
-------------------------------------------------------------------------------------------------------------
Media--0.7% 1,990 Endemol NV ................................. 45,445
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the Netherlands ......................... 149,349
- -----------------------------------------------------------------------------------------------------------------------------------
29
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
Shares
Europe Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Norway--2.9% Energy Equipment & Services-- 1,660 Acergy SA (a) .............................. $ 31,948
2.4% 6,000 Ocean RIG ASA (a) .......................... 44,169
3,700 ProSafe ASA ................................ 52,516
1,600 Subsea 7, Inc. (a) ......................... 29,510
----------
158,143
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 20,100 DET Norske Oljeselskap ..................... 37,072
Fuels--0.5%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway .............. 195,215
- -----------------------------------------------------------------------------------------------------------------------------------
Spain--0.6% Construction & Engineering-- 400 Grupo Ferrovial SA ......................... 39,047
0.6%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain ............... 39,047
- -----------------------------------------------------------------------------------------------------------------------------------
Sweden--1.4% Capital Markets--0.4% 1,300 D Carnegie AB .............................. 28,009
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 700 Rezidor Hotel Group AB (a) ................. 6,033
Leisure--0.1%
-------------------------------------------------------------------------------------------------------------
Metals & Mining--0.9% 2,320 Boliden AB ................................. 59,644
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden .............. 93,686
- -----------------------------------------------------------------------------------------------------------------------------------
Switzerland--1.8% Chemicals--0.5% 2,200 Clariant AG ................................ 32,950
-------------------------------------------------------------------------------------------------------------
Insurance--0.9% 250 Swiss Life Holding ......................... 62,628
-------------------------------------------------------------------------------------------------------------
Specialty Retail--0.4% 300 Dufry Group (a) ............................ 25,113
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Switzerland ............................. 120,691
- -----------------------------------------------------------------------------------------------------------------------------------
Turkey--0.8% Beverages--0.8% 1,630 Anadolu Efes Biracilik Ve Malt
Sanayii AS ............................... 50,380
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Turkey .............. 50,380
- -----------------------------------------------------------------------------------------------------------------------------------
United Kingdom-- Aerospace & Defense--0.7% 11,920 QinetiQ Plc ................................ 44,694
6.5% -------------------------------------------------------------------------------------------------------------
Commercial Services & 400 Intertek Group Plc ......................... 6,528
Supplies--0.1%
-------------------------------------------------------------------------------------------------------------
Food Products--0.9% 12,100 Northern Foods Plc ......................... 27,186
5,760 Premier Foods Plc .......................... 34,031
----------
61,217
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & 6,800 SSL International Plc ...................... 49,229
Supplies--0.8%
-------------------------------------------------------------------------------------------------------------
Insurance--1.1% 11,652 Amlin Plc .................................. 74,204
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 1,700 Dana Petroleum Plc (a) ..................... 41,707
Fuels--0.6%
-------------------------------------------------------------------------------------------------------------
Real Estate Management & 3,000 Great Portland Estates Plc ................. 40,736
Development--0.6%
-------------------------------------------------------------------------------------------------------------
Software--0.4% 2,850 Surfcontrol Plc (a) ........................ 29,031
-------------------------------------------------------------------------------------------------------------
Specialty Retail--1.3% 33,290 Game Group Plc ............................. 73,981
3,000 JJB Sports Plc ............................. 13,818
----------
87,799
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
United Kingdom ............................. 435,145
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
Europe--28.2% .............................. 1,892,898
- -----------------------------------------------------------------------------------------------------------------------------------
30
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
Shares
Latin America Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Brazil--1.9% Construction & Engineering-- 2,200 Obrascon Huarte Lain Brasil SA (a) ......... $ 35,422
0.5%
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure-- 2,720 Cia de Concessoes Rodoviarias .............. 36,729
0.6%
-------------------------------------------------------------------------------------------------------------
Water Utilities--0.8% 4,420 Companhia de Saneamento de
Minas Gerais ............................. 51,824
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Brazil .............. 123,975
- -----------------------------------------------------------------------------------------------------------------------------------
Mexico--1.3% Beverages--0.7% 11,510 Embotelladoras Arca SA de CV ............... 46,880
-------------------------------------------------------------------------------------------------------------
Construction & Engineering-- 10,810 Empresas ICA Sociedad Controladora,
0.6% SA de CV (a) ............................. 40,826
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Mexico .............. 87,706
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
Latin America--3.2% ........................ 211,681
- -----------------------------------------------------------------------------------------------------------------------------------
Middle East
- -----------------------------------------------------------------------------------------------------------------------------------
Israel--0.9% Chemicals--0.9% 6,760 Frutarom ................................... 59,356
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
Middle East--0.9% .......................... 59,356
- -----------------------------------------------------------------------------------------------------------------------------------
North America
- -----------------------------------------------------------------------------------------------------------------------------------
Bermuda--0.7% Capital Markets--0.6% 775 Lazard Ltd. Class A ........................ 36,689
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 3,960 Ports Design Ltd. .......................... 8,655
Goods--0.1%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda ............. 45,344
- -----------------------------------------------------------------------------------------------------------------------------------
Canada--4.2% Biotechnology--0.6% 12,480 DiagnoCure, Inc. (a) ....................... 43,236
-------------------------------------------------------------------------------------------------------------
Energy Equipment & Services-- 800 North American Energy
0.2% Partners, Inc. (a) ........................ 13,024
-------------------------------------------------------------------------------------------------------------
Media--0.5% 1,600 Cinram International Income Fund ........... 31,488
-------------------------------------------------------------------------------------------------------------
Metals & Mining--1.5% 1,120 Agnico-Eagle Mines Ltd. .................... 46,189
1,400 Aur Resources, Inc. ........................ 29,125
5,130 Eldorado Gold Corp. (a) .................... 27,758
----------
103,072
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.3% 2,400 Domtar, Inc. (a) ........................... 20,272
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.4% 4,090 Labopharm, Inc. (a) ........................ 23,920
-------------------------------------------------------------------------------------------------------------
Software--0.7% 1,080 Cognos, Inc. (a) ........................... 45,857
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Canada .............. 280,869
- -----------------------------------------------------------------------------------------------------------------------------------
United States--35.3% Auto Components--0.5% 1,320 LKQ Corp. (a) .............................. 30,347
-------------------------------------------------------------------------------------------------------------
Beverages--0.3% 500 Hansen Natural Corp. (a) ................... 16,815
-------------------------------------------------------------------------------------------------------------
Biotechnology--2.7% 920 Alexion Pharmaceuticals, Inc. (a) .......... 37,159
4,230 BioMarin Pharmaceuticals, Inc. (a) ......... 69,330
900 Digene Corp. (a) ........................... 43,128
2,300 Human Genome Sciences, Inc. (a) ............ 28,612
----------
178,229
-------------------------------------------------------------------------------------------------------------
Capital Markets--1.0% 1,800 Knight Capital Group, Inc.
Class A (a) .............................. 34,506
860 Stifel Financial Corp. (a) ................. 33,738
----------
68,244
-------------------------------------------------------------------------------------------------------------
Chemicals--1.3% 2,100 Celanese Corp. Series A .................... 54,348
660 The Scotts Miracle-Gro Co. ................. 34,089
----------
88,437
-------------------------------------------------------------------------------------------------------------
Commercial Banks--1.0% 1,570 Irwin Financial Corp. ...................... 35,529
900 Sterling Financial Corp. ................... 30,429
----------
65,958
-------------------------------------------------------------------------------------------------------------
31
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
North America Shares
(continued) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Commercial Services & 1,920 Covanta Holding Corp. (a) .................. $ 42,317
(continued) Supplies--1.4% 1,800 FTI Consulting, Inc. (a) ................... 50,202
----------
92,519
-------------------------------------------------------------------------------------------------------------
Communications Equipment-- 470 F5 Networks, Inc. (a) ...................... 34,879
0.5%
-------------------------------------------------------------------------------------------------------------
Computers & Peripherals--1.1% 1,430 Emulex Corp. (a) ........................... 27,899
1,530 Stratasys, Inc. (a) ........................ 48,057
----------
75,956
-------------------------------------------------------------------------------------------------------------
Construction & Engineering--0.9% 1,700 The Shaw Group, Inc. (a) ................... 56,950
-------------------------------------------------------------------------------------------------------------
Containers & Packaging--0.6% 1,930 Packaging Corp. of America ................. 42,653
-------------------------------------------------------------------------------------------------------------
Electric Utilities--1.3% 2,310 Cleco Corp. ................................ 58,281
1,030 Northeast Utilities ........................ 29,005
----------
87,286
-------------------------------------------------------------------------------------------------------------
Energy Equipment & 600 Atwood Oceanics, Inc. (a) .................. 29,382
Services--2.2% 2,600 Hanover Compressor Co. (a) ................. 49,114
800 Lone Star Technologies, Inc. (a) ........... 38,728
360 Veritas DGC, Inc. (a) ...................... 30,827
----------
148,051
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,770 Inverness Medical Innovations,
Supplies--1.0% Inc. (a) ................................. 68,499
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 1,120 The Cheesecake Factory, Inc. (a) ........... 27,552
Leisure--0.7% 400 Panera Bread Co. Class A (a) ............... 22,364
----------
49,916
-------------------------------------------------------------------------------------------------------------
Independent Power Producers & 6,900 Dynegy, Inc. Class A (a) ................... 49,956
Energy Traders--0.7%
-------------------------------------------------------------------------------------------------------------
Internet Software & Services--1.9% 600 Digital River, Inc. (a) .................... 33,474
8,800 SupportSoft, Inc. (a) ...................... 48,224
500 WebEx Communications, Inc. (a) ............. 17,445
3,410 webMethods, Inc. (a) ....................... 25,098
----------
124,241
-------------------------------------------------------------------------------------------------------------
Leisure Equipment & 1,030 Marvel Entertainment, Inc. (a) ............. 27,717
Products--0.4%
-------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 1,500 Cambrex Corp. .............................. 34,080
Services--1.0% 2,200 Nektar Therapeutics (a) .................... 33,462
----------
67,542
-------------------------------------------------------------------------------------------------------------
Media--0.5% 1,570 Regal Entertainment Group
Series A ................................. 33,472
-------------------------------------------------------------------------------------------------------------
Metals & Mining--0.8% 700 Brush Engineered Materials, Inc. (a) ....... 23,639
600 Cleveland-Cliffs, Inc. ..................... 29,064
----------
52,703
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 1,310 OMI Corp. New Shares ....................... 27,733
Fuels--0.9% 1,800 Venoco, Inc. (a) ........................... 31,608
----------
59,341
-------------------------------------------------------------------------------------------------------------
Real Estate Investment 2,640 Ashford Hospitality Trust, Inc. ............ 32,868
Trusts (REITs)--1.4% 2,616 DiamondRock Hospitality Co. ................ 47,114
500 Douglas Emmett, Inc. ....................... 13,295
----------
93,277
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 800 DSP Group, Inc. (a) ........................ 17,360
Equipment--2.6% 3,150 Integrated Device
Technology, Inc. (a) ..................... 48,762
4,060 MoSys, Inc. (a) ............................ 37,555
1,700 Power Integrations, Inc. (a) ............... 39,865
1,600 Trident Microsystems, Inc. (a) ............. 29,088
----------
172,630
-------------------------------------------------------------------------------------------------------------
32
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
North America Shares
(concluded) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Software--3.6% 2,820 Activision, Inc. (a) ....................... $ 48,617
(concluded) 1,350 Aladdin Knowledge
Systems Ltd. (a) ......................... 26,312
970 Hyperion Solutions Corp. (a) ............... 34,862
650 NAVTEQ Corp. (a) ........................... 22,731
6,510 Novell, Inc. (a) ........................... 40,362
2,280 Sybase, Inc. (a) ........................... 56,316
700 Witness Systems, Inc. (a) .................. 12,271
----------
241,471
-------------------------------------------------------------------------------------------------------------
Specialty Retail--2.1% 460 Abercrombie & Fitch Co. Class A ............ 32,030
350 GameStop Corp. Class A (a) ................. 19,289
650 Guitar Center, Inc. (a) .................... 29,549
2,640 Urban Outfitters, Inc. (a) ................. 60,799
----------
141,667
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 100 Heelys, Inc. (a) ........................... 3,211
Goods--0.6% 510 Polo Ralph Lauren Corp. .................... 39,607
----------
42,818
-------------------------------------------------------------------------------------------------------------
Trading Companies & 2,240 Interline Brands, Inc. (a) ................. 50,333
Distributors--1.7% 2,640 UAP Holding Corp. .......................... 66,475
----------
116,808
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 1,420 SBA Communications Corp. Class A (a) ....... 39,050
Services--0.6%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
United States .............................. 2,367,432
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
North America--40.2% ....................... 2,693,645
- -----------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia
- -----------------------------------------------------------------------------------------------------------------------------------
Australia--2.4% Beverages--0.7% 7,120 Lion Nathan Ltd. ........................... 45,860
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & 730 Cochlear Ltd. .............................. 33,421
Supplies--0.5%
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products--0.6% 12,700 PaperlinX Ltd. ............................. 39,397
-------------------------------------------------------------------------------------------------------------
Real Estate Investment 22,085 CFS Retail Property Trust .................. 40,618
Trusts (REITs)--0.6%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Australia ............................... 159,296
- -----------------------------------------------------------------------------------------------------------------------------------
China--0.8% Transportation Infrastructure-- 89,200 Shenzhen Expressway Co. Ltd. ............... 53,555
0.8%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in China ............... 53,555
- -----------------------------------------------------------------------------------------------------------------------------------
Hong Kong--1.8% Commercial Banks--0.5% 17,700 Industrial & Commercial Bank of
China Ltd. ............................... 34,133
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services-- 5,500 Hong Kong Exchanges and
0.9% Clearing Ltd. ............................ 60,457
-------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.1% 3,100 Zhuzhou CSR Times Electric
Co. Ltd. (a) ............................. 4,288
-------------------------------------------------------------------------------------------------------------
Media--0.3% 17,000 Clear Media Ltd. (a) ....................... 19,670
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Hong Kong ........................... 118,548
- -----------------------------------------------------------------------------------------------------------------------------------
India--1.1% IT Services--0.6% 3,760 Satyam Computer Services Ltd. .............. 41,066
-------------------------------------------------------------------------------------------------------------
Specialty Retail--0.5% 3,575 Pantaloon Retail India Ltd. (a) ............ 33,044
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in India ............... 74,110
- -----------------------------------------------------------------------------------------------------------------------------------
Indonesia--0.2% Media--0.2% 158,650 Surya Citra Media Tbk PT ................... 14,112
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Indonesia ............................... 14,112
- -----------------------------------------------------------------------------------------------------------------------------------
33
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
Pacific Basin/Asia Shares
(concluded) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Japan--7.5% Auto Components--0.4% 1,900 Koito Manufacturing Co. Ltd. ............... $ 28,626
-------------------------------------------------------------------------------------------------------------
Chemicals--1.2% 4,100 Air Water Inc. ............................. 43,548
4,000 Nippon Sanso Corp. ......................... 36,032
----------
79,580
-------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 3,500 The Bank of Kyoto Ltd. ..................... 32,646
-------------------------------------------------------------------------------------------------------------
Commercial Services & 1,400 Meitec Corp. ............................... 42,469
Supplies--0.6%
-------------------------------------------------------------------------------------------------------------
Household Durables--0.3% 1,500 Alpine Electronics ......................... 22,386
-------------------------------------------------------------------------------------------------------------
Insurance--0.9% 8,450 Aioi Insurance Co., Ltd. ................... 59,645
-------------------------------------------------------------------------------------------------------------
Internet Software & Services-- 55 Jupiter Telecommunications
0.7% Co., Ltd. (a) ............................ 44,322
-------------------------------------------------------------------------------------------------------------
Machinery--1.1% 2,200 Komori Corp. ............................... 41,133
6,250 Takuma Co., Ltd. ........................... 36,553
----------
77,686
-------------------------------------------------------------------------------------------------------------
Real Estate Management & 4,765 Tokyu Land Corp. ........................... 44,925
Development--0.7%
-------------------------------------------------------------------------------------------------------------
Software--0.4% 1,400 Capcom Co., Ltd. ........................... 25,234
-------------------------------------------------------------------------------------------------------------
Specialty Retail--0.7% 300 Point, Inc. ................................ 19,713
350 Yamada Denki Co., Ltd. ..................... 29,705
----------
49,418
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan ............... 506,937
- -----------------------------------------------------------------------------------------------------------------------------------
Malaysia--0.8% Airlines--0.8% 124,240 AirAsia Bhd (a) ............................ 53,175
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Malaysia ................................ 53,175
- -----------------------------------------------------------------------------------------------------------------------------------
Philippines--0.9% Commercial Banks--0.5% 27,680 Bank of the Philippine Islands ............. 35,834
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 440 Philippine Long Distance Telephone ......... 22,875
Services--0.4%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the Philippines ......................... 58,709
- -----------------------------------------------------------------------------------------------------------------------------------
Singapore--0.7% Health Care Providers & 23,575 Parkway Holdings Ltd. ...................... 48,264
Services--0.7%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Singapore ............................... 48,264
- -----------------------------------------------------------------------------------------------------------------------------------
South Korea--1.2% Chemicals--0.0% 29 Honam Petrochemical Corp. .................. 2,167
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 1,558 Kangwon Land, Inc. ......................... 33,840
Leisure--0.5%
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.7% 510 Dong-A Pharmaceutical Co. Ltd. ............. 47,658
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in South Korea ............................. 83,665
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
Pacific Basin/Asia--17.4% .................. 1,170,371
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$5,115,560)--90.5% .................. 6,069,191
- -----------------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- -----------------------------------------------------------------------------------------------------------------------------------
Hong Kong--1.1% 5,180 iShares Asia Trust--iShares FTSE ........... 76,452
-------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$40,697)--1.1% ...................... 76,452
- -----------------------------------------------------------------------------------------------------------------------------------
34
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Schedule of Investments as of December 31, 2006 (concluded) (in U.S. dollars)
Beneficial
Interest Short-Term Securities Value
- -----------------------------------------------------------------------------------------------------------------------------------
$545,875 BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.26% (c)(d) ............... $ 545,875
-------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$545,875)--8.2% ..................... 545,875
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$5,702,132*)--99.8% ................. 6,691,518
Other Assets
Less Liabilities--0.2% ..................... 13,354
----------
Net Assets--100.0% ......................... $6,704,872
==========
- -----------------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost ............................................ $5,764,027
==========
Gross unrealized appreciation ............................. $ 990,283
Gross unrealized depreciation ............................. (62,792)
----------
Net unrealized appreciation ............................... $ 927,491
==========
(a) Non-income producing security.
(b) Depositary receipts.
(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 .............. $350,307 $10,458
---------------------------------------------------------------------------------------------------
(d) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Forward foreign exchange contracts purchased as of December 31, 2006 were
as follows:
------------------------------------------------------------------------------------------------
Settlement Unrealized
Foreign Currency Purchased Date Depreciation
------------------------------------------------------------------------------------------------
AUD 5,910 January 2007 $ (2)
GBP 1,359 January 2007 (5)
NOK 17,498 January 2007 (5)
SEK 53,118 January 2007 (16)
SGD 4,651 January 2007 --
------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$20,956) $(28)
====
------------------------------------------------------------------------------------------------
o Currency Abbreviations:
AUD Australian Dollar
GBP British Pound
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollar
USD U.S. Dollar
See Notes to Financial Statements.
35
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (identified cost--$5,156,257) ...... $ 6,145,643
Investments in affiliated securities, at value (identified cost--$545,875) .......... 545,875
Foreign cash (cost--$33,649) ........................................................ 33,350
Receivables:
Investment adviser ................................................................ $ 63,479
Dividends ......................................................................... 11,709
Securities sold ................................................................... 9,732 84,920
-----------
Prepaid expenses .................................................................... 908
-----------
Total assets ........................................................................ 6,810,696
-----------
- --------------------------------------------------------------------------------------------------------------------
Liabilities:
Deferred foreign capital gain tax ................................................... 896
Unrealized depreciation on forward foreign exchange contracts ....................... 28
Payables:
Securities purchased .............................................................. 28,359
Other affiliates .................................................................. 1,304
Capital shares redeemed ........................................................... 530
Distributor ....................................................................... 1 30,194
-----------
Accrued expenses and other liabilities .............................................. 74,706
-----------
Total liabilities ................................................................... 105,824
-----------
- --------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 6,704,872
===========
- --------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 51,892
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 11
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 11
Paid-in capital in excess of par .................................................... 5,562,316
Accumulated distributions in excess of investment income--net ....................... $ (3,767)
Undistributed realized capital gains--net ........................................... 106,099
Unrealized appreciation--net ........................................................ 988,310
-----------
Total accumulated earnings--net ..................................................... 1,090,642
-----------
Net Assets .......................................................................... $ 6,704,872
===========
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $6,702,139 and 518,924 shares outstanding ........... $ 12.92
===========
Class II--Based on net assets of $1,367 and 105.8 shares outstanding ................ $ 12.92
===========
Class III--Based on net assets of $1,366 and 105.81 shares outstanding .............. $ 12.91
===========
- --------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
36
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Dividends (net of $4,937 foreign withholding tax) ................................... $ 71,236
Interest from affiliates ............................................................ 10,458
-----------
Total income ........................................................................ 81,694
-----------
- --------------------------------------------------------------------------------------------------------------------
Expenses:
Custodian fees ...................................................................... $ 166,098
Investment advisory fees ............................................................ 44,479
Professional fees ................................................................... 28,377
Printing and shareholder reports .................................................... 7,908
Pricing services .................................................................... 5,626
Transfer agent fees--Class I ........................................................ 4,998
Offering costs ...................................................................... 2,466
Accounting services ................................................................. 2,184
Directors' fees and expenses ........................................................ 1,311
Transfer agent fees--Class II ....................................................... 1
Transfer agent fees--Class III ...................................................... 1
Distribution fees--Class II ......................................................... 1
Distribution fees--Class III ........................................................ 1
Other ............................................................................... 9,564
-----------
Total expenses before waiver and reimbursement ...................................... 273,015
Waiver and reimbursement of expenses ................................................ (211,805)
-----------
Total expenses after waiver and reimbursement ....................................... 61,210
-----------
Investment income--net .............................................................. 20,484
-----------
- --------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain (Loss)--Net:
Realized gain (loss) on:
Investments--net (net of $1,602 foreign capital gain tax) ......................... 270,994
Foreign currency transactions--net ................................................ (7,062) 263,932
-----------
Change in unrealized appreciation/depreciation on:
Investments--net (net of $441 foreign capital gain tax credit) .................... 621,664
Foreign currency transactions--net ................................................ 123 621,787
----------- -----------
Total realized and unrealized gain--net ............................................. 885,719
-----------
Net Increase in Net Assets Resulting from Operations ................................ $ 906,203
===========
- --------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
37
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
---------------------------
Increase (Decrease) in Net Assets: 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 20,484 $ 11,600
Realized gain--net .................................................................. 263,932 104,165
Change in unrealized appreciation/depreciation--net ................................. 621,787 366,523
---------------------------
Net increase in net assets resulting from operations ................................ 906,203 482,288
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Dividends & Distributions to Shareholders:
Investment income--net:
Class I ........................................................................... (24,990) (15,991)
Class II .......................................................................... (5) (5)
Class III ......................................................................... (5) (5)
Realized gain--net:
Class I ........................................................................... (182,307) (77,864)
Class II .......................................................................... (39) (22)
Class III ......................................................................... (39) (22)
---------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders (207,385) (93,909)
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase in net assets derived from capital share transactions .................. 1,928,025 3,686,650
---------------------------
- --------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase in net assets ........................................................ 2,626,843 4,075,029
Beginning of year ................................................................... 4,078,029 3,000
---------------------------
End of year* ........................................................................ $ 6,704,872 $ 4,078,029
===========================
- --------------------------------------------------------------------------------------------------------------------
* Accumulated distributions in excess of investment income--net .................... $ (3,767) $ (2,427)
===========================
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
See Notes to Financial Statements.
38
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Financial Highlights
Class I
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
----------- -----------
Investment income--net* ............................................................. .05 .04
Realized and unrealized gain--net ................................................... 1.98 1.55
----------- -----------
Total from investment operations .................................................... 2.03 1.59
----------- -----------
Less dividends & distributions from:
Investment income--net ............................................................ (.05) (.05)
Realized gain--net ................................................................ (.38) (.22)
----------- -----------
Total dividends and distributions ................................................... (.43) (.27)
----------- -----------
Net asset value, end of year ........................................................ $ 12.92 $ 11.32
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 17.98% 15.87%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.17% 1.17%
=========== ===========
Expenses ............................................................................ 5.22% 4.41%
=========== ===========
Investment income--net .............................................................. .39% .37%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 6,702 $ 4,076
=========== ===========
Portfolio turnover .................................................................. 106.02% 103.34%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
39
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Financial Highlights (continued)
Class II
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
----------- -----------
Investment income--net* ............................................................. .04 .04
Realized and unrealized gain--net ................................................... 1.99 1.55
----------- -----------
Total from investment operations .................................................... 2.03 1.59
----------- -----------
Less dividends & distributions:
Investment income--net ............................................................ (.05) (.05)
Realized gain--net ................................................................ (.38) (.22)
----------- -----------
Total dividends and distributions ................................................... (.43) (.27)
----------- -----------
Net asset value, end of year ........................................................ $ 12.92 $ 11.32
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 17.98% 15.87%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.22% 1.17%
=========== ===========
Expenses ............................................................................ 5.35% 4.41%
=========== ===========
Investment income--net .............................................................. .37% .37%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
=========== ===========
Portfolio turnover .................................................................. 106.02% 103.34%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
40
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Financial Highlights (concluded)
Class III
---------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived ---------------------------
from information provided in the financial statements. 2006 2005**
- --------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
----------- -----------
Investment income--net* ............................................................. .04 .04
Realized and unrealized gain--net ................................................... 1.98 1.55
----------- -----------
Total from investment operations .................................................... 2.02 1.59
----------- -----------
Less dividends & distributions:
Investment income--net ............................................................ (.05) (.05)
Realized gain--net ................................................................ (.38) (.22)
----------- -----------
Total dividends and distributions ................................................... (.43) (.27)
----------- -----------
Net asset value, end of year ........................................................ $ 12.91 $ 11.32
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 17.89% 15.87%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.25% 1.17%
=========== ===========
Expenses ............................................................................ 5.38% 4.41%
=========== ===========
Investment income--net .............................................................. .34% .37%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
=========== ===========
Portfolio turnover .................................................................. 106.02% 103.34%
=========== ===========
- --------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
41
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury Global SmallCap
Portfolio were renamed BlackRock Series Fund, Inc. (the "Fund") and BlackRock
Global SmallCap Portfolio (the "Portfolio"), respectively. The Fund is an
open-end management investment company that is comprised of fourteen separate
portfolios. This report relates to six of the Fund's Portfolios, all of which
offer three classes of shares to the Merrill Lynch Life Insurance Company, ML
Life Insurance Company of New York (indirect, wholly owned subsidiaries of
Merrill Lynch & Co., Inc. ("Merrill Lynch")), and other insurance companies that
are not affiliated with Merrill Lynch, for their separate accounts to fund
benefits under certain variable annuity and variable life insurance contracts.
The Portfolio is classified as "diversified," as defined in the Investment
Company Act of 1940, as amended. Class I, Class II and Class III Shares have
equal voting, dividend, liquidation and other rights, except that only shares of
the respective classes are entitled to vote on matters concerning only that
class. In addition, Class II and Class III Shares bear certain expenses related
to the distribution of such shares. The Portfolio'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. Income, expenses (other than expenses attributable
to a specific class) and realized and unrealized gains and losses are allocated
daily to each class based on its relative net assets. The following is a summary
of significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the 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 over-the-counter ("OTC") market, 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 market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case
of exchange-traded options. Options traded in the OTC market are valued at the
last asked price (options written) or the last bid price (options purchased).
Swap agreements are valued based upon quoted fair valuations received daily by
the Portfolio from a pricing service or counterparty. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their last sale price as of the close of such exchanges. Obligations with
remaining maturities of 60 days or less are valued at amortized cost unless
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., believes that this method no longer produces fair valuations.
Valuation of other short-term investment vehicles is generally based on the net
asset value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The
Portfolio employs pricing services to provide certain securities prices for the
Portfolio. Securities and 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, including valuations furnished
by the pricing services retained by the Portfolio, which may use a matrix system
for valuations. The procedures of a pricing service and its valuations are
reviewed by the officers of the Portfolio under the general supervision of the
Fund's Board of Directors. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Fund.
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 Portfolio's 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
42
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 Portfolio's net asset value. If events (for
example, a company announcement, market volatility or a natural disaster) occur
during such periods that are expected to materially affect the value of such
securities, those securities will be valued at their fair value as determined in
good faith by the Fund's Board of Directors or by the Manager using a pricing
service and/or procedures approved by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio 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 financial future date and at a specific price or yield. Upon entering
into a contract, the Portfolio deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Portfolio agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options.
When the 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 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 Forward foreign exchange contracts -- The Portfolio 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no federal income tax provision is required. Under the
applicable foreign tax law, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Dividends and distributions -- Dividends and distributions paid by the
Portfolio are recorded on the ex-dividend dates.
43
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a pro rata basis based upon the respective aggregate
net asset value of each portfolio included in the Fund.
(h) Securities lending -- The Portfolio 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 receives a fee from the borrower. The
Portfolio typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(i) Offering costs -- Adjustments to offering costs were expensed in the
current period.
(j) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(k) 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, during the current
year, $660 has been reclassified between paid-in capital in excess of par and
distributions in excess of net investment income and $2,516 has been
reclassified between undistributed realized net capital gains and distributions
in excess of net investment income as a result of permanent differences
attributable to non-deductible expenses, gains from the sale of stock of passive
foreign investment companies, foreign currency transactions and foreign taxes
paid. These reclassifications have no effect on net assets or net asset values
per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Fund has also entered into
separate
44
Distribution Agreements and Distribution Plans with FAM Distributors, Inc.
("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays a monthly fee at the annual rate of .85% of the average daily
value of the Portfolio's net assets. The Manager (and previously, MLIM) has
agreed to voluntarily waive its fees and reimburse for other Portfolio expenses
so that the total annual portfolio operating expenses do not exceed 1.17%,
exclusive of distribution fees. The Manager may discontinue or reduce this
waiver at any time without notice. For the year ended December 31, 2006, MLIM
and the Manager earned, waived, and reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
--------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
- --------------------------------------------------------------------------------
Fees earned ........................ $ 31,727 $ 12,752
Waiver ............................. $ (31,727) $ (12,752)
Reimbursement ...................... $(115,423) $ (51,903)
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class II and Class III commenced accruing the
distribution fee on September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund also has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, the Portfolio reimbursed MLIM and
the Manager $89 and $27, respectively, for certain accounting services.
In addition, MLPF&S received $2,130 in commissions on the execution of
portfolio security transactions for year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch, and/or
MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Fund are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $6,684,197 and $5,341,666, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$1,928,025 and $3,686,650 for the years ended December 31, 2006 and December 31,
2005, respectively.
Transactions in capital shares for each class were as follows:
45
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................................... 154,485 $ 1,862,856
Shares issued to shareholders
in reinvestment of dividends
and distributions ............................ 16,145 207,297
------- -----------
Total issued ................................... 170,630 2,070,153
Shares redeemed ................................ (11,870) (142,216)
------- -----------
Net increase ................................... 158,760 $ 1,927,937
======= ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................................... 447,134 $ 4,571,140
Shares issued to shareholders
in reinvestment of dividends
and distributions ............................ 8,284 93,856
------- -----------
Total issued ................................... 455,418 4,664,996
Shares redeemed ................................ (95,354) (978,400)
------- -----------
Net increase ................................... 360,064 $ 3,686,596
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of distributions
and distributions ............................ 4 $ 44
------- -----------
Net increase ................................... 4 $ 44
======= ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ............................ 2 $ 27
------- -----------
Net increase ................................... 2 $ 27
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of distributions
and distributions ............................ 4 $ 44
------- -----------
Net increase ................................... 4 $ 44
======= ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ............................ 2 $ 27
------- -----------
Net increase ................................... 2 $ 27
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ...................................... $ 65,418 $ 93,909
Long-term capital gain ............................... 141,967 --
-------- --------
Total taxable distributions ............................ $207,385 $ 93,909
======== ========
- --------------------------------------------------------------------------------
As of December 31, 2006, the components of accumulated earnings on a tax
basis were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net .............................. $ 118,938
Undistributed long-term capital gains--net ...................... 45,262
----------
Total undistributed earnings--net ............................... 164,200
Capital loss carryforward ....................................... --
Unrealized gains--net ........................................... 926,442*
----------
Total accumulated earnings--net ................................. $1,090,642
==========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains on investments in passive
foreign investment companies and the realization for tax purposes of
unrealized gains (losses) on certain foreign currency contracts.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
46
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of BlackRock Global SmallCap Portfolio of BlackRock
Series Fund, Inc. (formerly Mercury Global SmallCap Portfolio of FAM Series
Fund, Inc.) (the "Fund") as of December 31, 2006, the related statement of
operations for the year then ended and the statements of changes in net assets
and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Global SmallCap Portfolio of BlackRock Series Fund, Inc. as of
December 31, 2006, the results of its operations for the year then ended and the
changes in its net assets and its financial highlights for each of the two years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock Global SmallCap Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock Global SmallCap
Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on the following
proposals, which were approved at a special shareholders' meeting on August 15,
2006. A description of the proposals and number of shares voted are as follows:
- --------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- --------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 409,963 17,844 4,348
- --------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 409,963 17,844 4,348
- --------------------------------------------------------------------------------------------------
47
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
A Discussion With Your Portfolio Managers
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock International Index
Portfolio's (formerly Mercury International Index Portfolio) Class I and Class
II Shares had total returns of +26.00% and +25.68%, respectively. For the same
period, the benchmark Morgan Stanley Capital International Europe, Australasia,
Far East (MSCI EAFE) Index returned +26.34%.
The MSCI EAFE Index is a free-float adjusted,
market-capitalization-weighted index designed to measure equity performance of
developed markets, excluding the United States and Canada. As the value of the
MSCI EAFE fluctuated during the past 12 months, the Portfolio's performance
generally tracked that of the index.
Non-U.S. markets outperformed their U.S. counterparts for the fifth
consecutive year, as the Index return illustrates. U.S. stocks, as measured by
the S&P 500 Index, returned +15.79% in 2006, while the MSCI Europe Index and the
MSCI Pacific Index gained 33.72% and 12.20%, respectively, in U.S.-dollar terms.
Strength was especially noticeable in Europe (in both developed and emerging
markets), which benefited from robust economic growth, high levels of
merger-and-acquisition (M&A) activity and the significant appreciation of the
euro versus the dollar. Leadership also came from many Asian markets, with the
notable exception of Japan, which was hurt by struggling economic growth. Among
the standouts were India's Bombay Sensex Index, which rose 47%, Hong Kong's Hang
Seng Index, which advanced 34%, and most remarkably, the MSCI China A Index,
which posted a +128% return.
There were two major themes in global equity markets at the end of 2006.
First, the bull market persisted, although volatility was present throughout the
year. Second, the more cyclical markets, on average, continued to outperform,
with particularly strong results from emerging markets. Japan remained an
underperformer versus other global markets, notwithstanding a significant bounce
toward the end of the year.
The year began with solid performance across most non-U.S. market indexes,
thanks to solid operational results and a generally robust corporate sector that
benefited from a record pace of global M&A activity. Evidence of an economic
slowdown began to mount, however, with investor sentiment taking a negative turn
in the second quarter. Profit-taking, global concerns over moderating economic
growth, rising energy prices, overall higher interest rates and a resurgence of
inflation fears weighed on equity markets worldwide. By May, these concerns
culminated in a significant broad-based market correction, where the average
U.S. stock fell by about 12% and non-U.S. equities suffered even greater losses.
Positive momentum did return to the market in the second half of 2006,
though global economic growth moderated. Still, the prevailing growth rate in
the global economy remains fairly robust, hovering right around the long-term
trend rate. This reflects both the boom conditions that characterized the start
of the year and the fact that the slowdown was moderate rather than abrupt. The
United States was the weakest of the major regions in terms of economic growth
in the second half, with third quarter 2006 gross domestic product (GDP) rising
at an annual rate of 2.2%, down from the 2.6% growth rate seen in the second
quarter. Economic conditions in Asia were mixed, while continental Europe and
the United Kingdom exhibited only limited signs of a slowdown -- even after a
period long enough for the impact of a weaker U.S. economy to filter through.
Strong growth in corporate earnings and significant upward revisions to
earnings expectations have buttressed the equity market since 2003. Although the
rate of upgrading has slowed from the exceptionally strong levels seen in
previous years, recent news from the major corporate sectors generally has been
upbeat. Earnings came in ahead of expectations in the last earnings rounds in
Europe, Japan and the United States, supporting the second-half rally in
equities. Historic global profit growth is still around 20%.
Notably, in the latter half of the year, crude oil prices collapsed after
reaching an all-time high near $78 per barrel in July. As a result, headline
inflation rates in many countries dropped back sharply. Central banks also were
less active. In the United States, the Federal Reserve Board (the Fed) has been
on hold since mid-year. Additionally, there have been fewer tightening measures
in Asia, with the recent exception of India, which saw a rise in reserve
requirements. The European Central Bank, on the other hand, continued its
rate-normalization process and rates in the United Kingdom are likely to rise
modestly.
48
Turning to regional performance, all 16 European MSCI country indexes
delivered exceptional double-digit gains for the 12-month period, in U.S.-dollar
terms. Key drivers of performance included record levels of M&A activity,
improving European consumer sentiment, which amplified healthy measures of
business confidence, as well as a significant improvement in corporate
profitability that resulted from the ongoing consolidation and streamlining
efforts of European businesses. The strongest-performing markets were Spain
(+49.36%), Portugal (+47.37%) and Ireland (+46.81%).
Markets in the Australasia/Far East region continued to perform well,
although at a slower growth rate than at the beginning of 2006. For the year,
Singapore gained +46.71%, Australia rose +30.86% and Hong Kong advanced +30.35%,
in U.S.-dollar terms. New Zealand grew more slowly in comparison, but still
posted a solid return of +16.56%.
The Japanese equity market failed to keep pace with the world's biggest
developed markets in 2006, despite improving economic fundamentals and robust
corporate earnings. After a strong 2005, Japan's Nikkei 225 returned only 6% in
2006, primarily due to concerns that weak consumption spending could halt the
nation's economic recovery. GDP in Japan has grown at an annualized rate of 1%
since the spring, with the only areas of strength being exports and business
investment (which is itself highly correlated with exports). Also, noticeably
absent from the Japanese market is M&A activity, which has driven substantial
outperformance in many other developed markets, most particularly in Europe.
All global sectors in the MSCI EAFE Index posted positive double-digit
returns during the annual period, in U.S.-dollar terms. The best-performing
sector by far was utilities (+49.04%), driven by the preponderance of takeover
activity in this area. Other leaders included materials (+32.00%),
telecommunication services (+29.54%) and consumer staples (+29.42%).
In terms of currency performance, despite weakening dramatically toward
year-end, the U.S. dollar outperformed most major currencies in 2006,
registering gains of 10.6% and 12.3% against the euro and the pound,
respectively, but declining 1.0% versus the yen.
What changes were made to the Portfolio during the period?
Throughout the fiscal year, as changes were made to the composition of the MSCI
EAFE Index, the Portfolio purchased and sold securities to maintain its
objective of replicating the risks and return of the benchmark.
How would you characterize the Portfolio's position at the close of the period?
We believe the Portfolio remains positioned to match the risk characteristics of
its benchmark, regardless of the direction of international markets.
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 22, 2007
49
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Portfolio Information as of December 31, 2006
Percent of
Geographic Allocation Total Investments
- --------------------------------------------------------------------------------
United Kingdom ..................................................... 22.9%
Japan .............................................................. 22.0
France ............................................................. 9.5
Germany ............................................................ 7.2
Switzerland ........................................................ 6.7
Australia .......................................................... 5.4
Spain .............................................................. 3.9
Italy .............................................................. 3.7
Netherlands ........................................................ 3.6
Sweden ............................................................. 2.5
United States ...................................................... 1.7
Hong Kong .......................................................... 1.7
Finland ............................................................ 1.4
Belgium ............................................................ 1.2
Ireland ............................................................ 0.9
Norway ............................................................. 0.9
Singapore .......................................................... 0.9
Denmark ............................................................ 0.8
Greece ............................................................. 0.6
Austria ............................................................ 0.6
Portugal ........................................................... 0.3
New Zealand ........................................................ 0.2
Cayman Islands ..................................................... --*
Bermuda ............................................................ --*
Other ** ........................................................... 1.4
- --------------------------------------------------------------------------------
* Amount is less than 0.1%
** Includes portfolio holdings in short-term investments.
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the MSCI EAFE
(Cap Weighted) Index. Values are from December 31, 2004 to December 2006.
BlackRock BlackRock BlackRock
International Index International Index International Index MSCI EAFE
Portfolio+-- Portfolio+-- Portfolio+-- (Cap Weighted)
Class I Shares* Class II Shares* Class III Shares* Index++
12/31/04** $10,000 $10,000 $10,000 $10,000
12/05 $11,493 $11,489 $11,493 $11,354
12/06 $14,481 $14,439 $14,457 $14,344
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock International Index Portfolio invests in a portfolio of assets
whose performance is expected to match approximately the performance of
the MSCI EAFE Index.
++ This unmanaged capitalization weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and which are
selected from among the larger-capitalization companies in such markets.
Past performance is not indicative of future results.
50
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +26.00%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +20.34
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +25.68%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +20.16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +25.79%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +20.24
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month
As of December 31, 2006 Total Return Total Return
- --------------------------------------------------------------------------------
Class I Shares* +14.93% +26.00%
- --------------------------------------------------------------------------------
Class II Shares* +14.73 +25.68
- --------------------------------------------------------------------------------
Class III Shares* +14.74 +25.79
- --------------------------------------------------------------------------------
MSCI EAFE Index--Cap Weighted** +14.69 +26.34
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns. For a portion of the period, returns do not show the
effects of distribution fees (12b-1 fees) applicable to Class III Shares.
If such fees were included, returns shown would have been lower.
** This unmanaged capitalization-weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and that are
selected from among the larger-capitalization companies in such markets.
Past results shown should not be considered a representation of future
performance.
51
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
========================================================================================================================
Actual
========================================================================================================================
Class I $ 1,000 $1,149.30 $ 3.16
- ------------------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,147.30 $ 3.96
- ------------------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,147.40 $ 3.59
========================================================================================================================
Hypothetical (5% annual return before expenses)**
========================================================================================================================
Class I $ 1,000 $1,021.96 $ 2.97
- ------------------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,021.21 $ 3.73
- ------------------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,021.56 $ 3.38
- ------------------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (.59% for Class I, .74% for Class II, and .67%
for Class III), multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period shown). All
outstanding shares of Class III were owned by an affiliated entity and did
not accrue its distribution fees (12b-1 fees) for a portion of the period.
If the distribution fees were accrued for the entire period, the actual
expense ratio would have been approximately .84%, the actual expenses paid
would have been approximately $4.50, and the hypothetical expenses paid
would have been $4.23 for Class III.
** 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.
52
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (in U.S. dollars)
This summary schedule of investments is presented to help investors focus on the
Portfolio's principal holdings. It includes the Portfolio's 50 largest holdings
and each investment of any issuer that exceeds 1% of the Portfolio's net assets.
"Other Securities" represent all issues not required to be disclosed under the
rules adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-441-7762
or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Shares Percent of
Industry Held Common Stocks Value Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense Other Securities ........................... $ 64,580 0.6%
- -----------------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics Other Securities ........................... 28,649 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Airlines Other Securities ........................... 36,854 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Auto Components Other Securities ........................... 75,909 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Automobiles 714 DaimlerChrysler AG ......................... 44,110 0.4
1,100 Honda Motor Co., Ltd. ...................... 43,444 0.4
2,200 Toyota Motor Corp. ......................... 147,153 1.5
Other Securities ........................... 75,474 0.8
----------------------------
310,181 3.1
- -----------------------------------------------------------------------------------------------------------------------------------
Beverages 2,121 Diageo Plc ................................. 41,633 0.4
Other Securities ........................... 101,466 1.0
----------------------------
143,099 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Biotechnology Other Securities ........................... 15,212 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Building Products Other Securities ........................... 67,017 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Markets 935 Credit Suisse Group ........................ 65,415 0.6
425 Deutsche Bank AG Registered Shares ......... 56,854 0.6
1,533 UBS AG ..................................... 93,163 0.9
Other Securities ........................... 110,122 1.1
----------------------------
325,554 3.2
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities ........................... 285,459 2.8
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 1,403 ABN AMRO Holding NV ........................ 45,097 0.4
605 BNP Paribas ................................ 66,007 0.7
2,784 Banco Bilbao Vizcaya Argentaria SA ......... 67,032 0.7
4,334 Banco Santander Central Hispano SA ......... 80,896 0.8
4,971 Barclays Plc ............................... 71,052 0.7
2,901 HBOS Plc ................................... 64,299 0.6
8,801 HSBC Holdings Plc .......................... 160,432 1.6
4,333 Lloyds TSB Group Plc ....................... 48,486 0.5
8 Mitsubishi UFJ Financial Group, Inc. ....... 97,090 1.0
7 Mizuho Financial Group, Inc. ............... 49,998 0.5
1,382 National Australia Bank Ltd. ............... 44,071 0.4
2,430 Royal Bank of Scotland Group Plc ........... 94,825 0.9
299 Societe Generale ........................... 50,758 0.5
5 Sumitomo Mitsui Financial Group, Inc. ...... 51,258 0.5
5,773 UniCredito Italiano SpA .................... 50,601 0.5
Other Securities ........................... 570,122 5.7
----------------------------
1,612,024 16.0
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies Other Securities ........................... 85,504 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 2,962 Nokia Oyj .................................. 60,526 0.6
11,441 Telefonaktiebolaget LM Ericsson ............ 46,209 0.5
Other Securities ........................... 33,897 0.3
----------------------------
140,632 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals Other Securities ........................... 57,114 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering Other Securities ........................... 82,484 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Construction Materials Other Securities ........................... 83,894 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer Finance Other Securities ........................... 42,376 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging Other Securities ........................... 9,963 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
53
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
(in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Distributors Other Securities ........................... $ 14,856 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Services Other Securities ........................... 4,767 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 1,435 ING Groep NV CVA ........................... 63,628 0.6
Other Securities ........................... 85,529 0.9
----------------------------
149,157 1.5
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 3,449 Telefonica SA .............................. 73,392 0.7
Services Other Securities ........................... 284,156 2.8
----------------------------
357,548 3.5
- -----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities 451 E.ON AG .................................... 61,219 0.6
Other Securities ........................... 253,512 2.5
----------------------------
314,731 3.1
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment Other Securities ........................... 109,934 1.1
- -----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments Other Securities ........................... 90,059 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services Other Securities ........................... 28,499 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 5,786 Tesco Plc .................................. 45,825 0.5
Other Securities ........................... 151,845 1.5
----------------------------
197,670 2.0
- -----------------------------------------------------------------------------------------------------------------------------------
Food Products 306 Nestle SA Registered Shares ................ 108,739 1.1
Other Securities ........................... 158,956 1.6
----------------------------
267,695 2.7
- -----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities Other Securities ........................... 46,229 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies Other Securities ........................... 52,442 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Other Securities ........................... 22,022 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure Other Securities ........................... 111,112 1.1
- -----------------------------------------------------------------------------------------------------------------------------------
Household Durables Other Securities ........................... 198,863 2.0
- -----------------------------------------------------------------------------------------------------------------------------------
Household Products Other Securities ........................... 25,774 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
IT Services Other Securities ........................... 23,373 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Other Securities ........................... 13,519 0.1
Energy Traders
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 655 Siemens AG ................................. 64,968 0.7
Other Securities ........................... 74,773 0.7
----------------------------
139,741 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance 1,179 AXA ........................................ 7,733 0.5
318 Allianz AG Registered Shares ............... 64,964 0.6
Other Securities ........................... 374,374 3.7
----------------------------
487,071 4.8
- -----------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail Other Securities ........................... 11,278 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services Other Securities ........................... 10,837 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products Other Securities ........................... 32,636 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services Other Securities ........................... 1,549 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery Other Securities ........................... 225,998 2.2
- -----------------------------------------------------------------------------------------------------------------------------------
Marine Other Securities ........................... 41,330 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Media Other Securities ........................... 196,492 2.0
- -----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining 1,101 Anglo American Plc ......................... 53,699 0.5
2,526 BHP Billiton Ltd. .......................... 50,445 0.5
815 Rio Tinto Plc Registered Shares ............ 43,373 0.4
Other Securities ........................... 238,305 2.4
----------------------------
385,822 3.8
- -----------------------------------------------------------------------------------------------------------------------------------
54
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
(in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities 833 Suez SA .................................... $ 43,137 0.4%
Other Securities ........................... 122,795 1.2
----------------------------
165,932 1.6
- -----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail Other Securities ........................... 38,696 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Office Electronics 750 Canon, Inc. ................................ 42,225 0.4
Other Securities ........................... 33,381 0.3
----------------------------
75,606 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 15,281 BP Plc ..................................... 169,796 1.7
1,988 ENI SpA .................................... 66,866 0.6
2,778 Royal Dutch Shell Plc ...................... 97,091 1.0
2,029 Royal Dutch Shell Plc Class B .............. 71,112 0.7
1,651 Total SA ................................... 119,104 1.2
Other Securities ........................... 154,351 1.5
----------------------------
678,320 6.7
- -----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products Other Securities ........................... 38,383 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Personal Products Other Securities ........................... 29,482 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 1,191 AstraZeneca Plc ............................ 63,989 0.6
4,425 GlaxoSmithKline Plc ........................ 116,445 1.2
1,741 Novartis AG Registered Shares .............. 100,374 1.0
532 Roche Holding AG ........................... 95,398 0.9
816 Sanofi-Aventis ............................. 75,347 0.8
700 Takeda Pharmaceutical Co., Ltd. ............ 48,057 0.5
Other Securities ........................... 94,669 0.9
----------------------------
594,279 5.9
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) Other Securities ........................... 104,896 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Development Other Securities ........................... 204,874 2.0
- -----------------------------------------------------------------------------------------------------------------------------------
Road & Rail Other Securities ........................... 91,804 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Other Securities ........................... 83,205 0.8
Semiconductor Equipment
- -----------------------------------------------------------------------------------------------------------------------------------
Software Other Securities ........................... 80,687 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail Other Securities ........................... 84,903 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Other Securities ........................... 88,402 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance Other Securities ........................... 3,466 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities ........................... 97,987 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors Other Securities ........................... 91,877 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure Other Securities ........................... 38,850 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Water Utilities Other Securities ........................... 8,774 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 39,557 Vodafone Group Plc ......................... 109,594 1.1
Other Securities ........................... 61,723 0.6
----------------------------
171,317 1.7
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$8,305,956) ......................... 9,799,249 97.0
- -----------------------------------------------------------------------------------------------------------------------------------
55
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (concluded)
(in U.S. dollars)
Shares Percent of
Held Exchange-Traded Funds Value Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
2,390 iShares MSCI EAFE Index Fund ............... $ 175,091 1.7%
- -----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$175,203) .......................... 175,091 1.7
- -----------------------------------------------------------------------------------------------------------------------------------
Industry Preferred Stocks
- -----------------------------------------------------------------------------------------------------------------------------------
Automobiles Other Securities ........................... 11,507 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities ........................... 7,799 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Media Other Securities ........................... 3,149 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities ........................... 2,186 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost--$14,218) ............................ 24,641 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
$144,366 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.26% (a)(b) ........... 144,366 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$144,366) ........................... 144,366 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$8,639,743*) ...... 10,143,347 100.4
Liabilities in Excess of Other Assets ...... (45,401) (0.4)
----------------------------
Net Assets ................................. $10,097,946 100.0
============================
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost ............................................ $8,751,374
==========
Gross unrealized appreciation ............................. $1,500,321
Gross unrealized depreciation ............................. (108,348)
----------
Net unrealized appreciation ............................... $1,391,973
==========
(a) 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 .................. $136,097 $4,609
-------------------------------------------------------------------------------------------------------
(b) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for the 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 "Other Securities" represent issues that are not identified as the 50
largest holdings of the Portfolio and issues not exceeding 1% of net
assets.
See Notes to Financial Statements.
56
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (identified cost--$8,495,377) ...... $ 9,998,981
Investments in affiliated securities, at value (identified cost--$144,366) .......... 144,366
Foreign cash (cost--$9,341) ......................................................... 9,359
Receivables:
Investment adviser ................................................................ $ 117,451
Dividends ......................................................................... 18,767
Capital shares sold ............................................................... 16,534
Securities sold ................................................................... 89 152,841
------------
Prepaid expenses .................................................................... 1,037
------------
Total assets ........................................................................ 10,306,584
------------
- ----------------------------------------------------------------------------------------------------------------------
Liabilities:
Payables:
Securities purchased .............................................................. 143,724
Other affiliates .................................................................. 1,422
Distributor ....................................................................... 983
Capital shares redeemed ........................................................... 72 146,201
------------
Accrued expenses and other liabilities .............................................. 62,437
------------
Total liabilities ................................................................... 208,638
------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 10,097,946
============
- ----------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 16,660
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 79,765
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 14
Paid-in capital in excess of par .................................................... 8,519,087
Accumulated distributions in excess of investment income--net ....................... $ (21,282)
Accumulated realized capital losses--net ............................................ (366)
Unrealized appreciation--net ........................................................ 1,504,068
------------
Total accumulated earnings--net ..................................................... 1,482,420
------------
Net Assets .......................................................................... $ 10,097,946
============
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $1,747,528 and 166,600 shares outstanding ........... $ 10.49
============
Class II--Based on net assets of $8,348,972 and 797,649 shares outstanding .......... $ 10.47
============
Class III--Based on net assets of $1,446.5 and 138.1 shares outstanding ............. $ 10.47
============
See Notes to Financial Statements.
57
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Dividends (net of $30,921 foreign withholding tax) .................................. $ 418,465
Interest (including $4,609 from affiliates) ......................................... 6,961
------------
Total income ........................................................................ 425,426
------------
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Custodian fees ...................................................................... $ 172,355
Investment advisory fees ............................................................ 49,656
Pricing services .................................................................... 46,643
Printing and shareholder reports .................................................... 26,535
Professional fees ................................................................... 25,456
Accounting services ................................................................. 13,565
Distribution fees--Class II ......................................................... 9,736
Transfer agent fees--Class II ....................................................... 2,842
Transfer agent fees--Class I ........................................................ 2,158
Directors' fees and expenses ........................................................ 1,819
Distribution fees--Class III ........................................................ 1
Transfer agent fees--Class III ...................................................... 1
Other ............................................................................... 9,297
------------
Total expenses before waiver and reimbursement ...................................... 360,064
Waiver and reimbursement of expenses ................................................ (266,621)
------------
Total expenses after waiver and reimbursement ....................................... 93,443
------------
Investment income--net .............................................................. 331,983
------------
- ----------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain (Loss)--Net:
Realized gain (loss) on:
Investments--net .................................................................. 2,341,658
Financial futures contracts--net .................................................. (17,326)
Foreign currency transactions--net ................................................ 9,924 2,334,256
------------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................................. 274,729
Foreign currency transactions--net ................................................ 1,079 275,808
------------ ------------
Total realized and unrealized gain--net ............................................. 2,610,064
------------
Net Increase in Net Assets Resulting from Operations ................................ $ 2,942,047
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
58
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
-----------------------------
Increase (Decrease) in Net Assets: 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 331,983 $ 177,289
Realized gain--net .................................................................. 2,334,256 19,770
Change in unrealized appreciation/depreciation--net ................................. 275,808 1,228,260
-----------------------------
Net increase in net assets resulting from operations ................................ 2,942,047 1,425,319
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Dividends & Distributions to Shareholders:
Investment income--net:
Class I ........................................................................... (67,438) (123,408)
Class II .......................................................................... (302,069) (66,578)
Class III ......................................................................... (54) (15)
Realized gain--net:
Class I ........................................................................... (397,309) (21,615)
Class II .......................................................................... (1,897,280) (11,993)
Class III ......................................................................... (329) (3)
-----------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders (2,664,479) (223,612)
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions ....... (5,035,160) 13,650,831
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase (decrease) in net assets ............................................. (4,757,592) 14,852,538
Beginning of year ................................................................... 14,855,538 3,000
-----------------------------
End of year* ........................................................................ $ 10,097,946 $ 14,855,538
=============================
- ----------------------------------------------------------------------------------------------------------------------
* Accumulated distributions in excess of investment income--net ................... $ (21,282) $ (13,642)
=============================
** The Portfolio commenced operations just prior to the close of business on December 31, 2004.
See Notes to Financial Statements.
59
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Financial Highlights
Class I
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
------------ ------------
Investment income--net* ............................................................. .32 .21
Realized and unrealized gain--net ................................................... 2.62 1.29
------------ ------------
Total from investment operations .................................................... 2.94 1.50
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.53) (.15)
Realized gain--net ................................................................ (3.24) (.03)
------------ ------------
Total dividends and distributions ................................................... (3.77) (.18)
------------ ------------
Net asset value, end of year ........................................................ $ 10.49 $ 11.32
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 26.00% 14.93%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .59% .59%
============ ============
Expenses ............................................................................ 2.04% 2.00%
============ ============
Investment income--net .............................................................. 2.63% 2.05%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1,748 $ 9,556
============ ============
Portfolio turnover .................................................................. 70.11% 17.30%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
60
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Financial Highlights (continued)
Class II
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
------------ ------------
Investment income--net* ............................................................. .24 .11
Realized and unrealized gain--net ................................................... 2.67 1.38
------------ ------------
Total from investment operations .................................................... 2.91 1.49
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.52) (.14)
Realized gain--net ................................................................ (3.24) (.03)
------------ ------------
Total dividends and distributions ................................................... (3.76) (.17)
------------ ------------
Net asset value, end of year ........................................................ $ 10.47 $ 11.32
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 25.68% 14.89%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .74% .74%
============ ============
Expenses ............................................................................ 3.13% 1.86%
============ ============
Investment income--net .............................................................. 2.00% 1.01%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 8,349 $ 5,298
============ ============
Portfolio turnover .................................................................. 70.11% 17.30%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
61
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Financial Highlights (concluded)
Class III
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 11.32 $ 10.00
------------ ------------
Investment income--net* ............................................................. .27 .21
Realized and unrealized gain--net ................................................... 2.65 1.29
------------ ------------
Total from investment operations .................................................... 2.92 1.50
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.53) (.15)
Realized gain--net ................................................................ (3.24) (.03)
------------ ------------
Total dividends and distributions ................................................... (3.77) (.18)
------------ ------------
Net asset value, end of year ........................................................ $ 10.47 $ 11.32
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 25.79% 14.93%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .60% .59%
============ ============
Expenses ............................................................................ 2.85% 2.00%
============ ============
Investment income--net .............................................................. 2.22% 2.06%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 70.11% 17.30%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
62
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury International Index
Portfolio were renamed BlackRock Series Fund, Inc. (the "Fund") and BlackRock
International Index Portfolio (the "Portfolio"), respectively. The Fund is an
open-end management investment company that is comprised of fourteen separate
portfolios. This report relates to six of the Fund's Portfolios, all of which
offer three classes of shares to the Merrill Lynch Life Insurance Company, ML
Life Insurance Company of New York (indirect, wholly owned subsidiaries of
Merrill Lynch & Co., Inc. ("Merrill Lynch")), and other insurance companies not
affiliated with Merrill Lynch, for their separate accounts to fund benefits
under certain variable annuity and variable life insurance contracts. The
Portfolio is classified as "non-diversified," as defined in the Investment
Company Act of 1940, as amended. Class I, Class II and Class III Shares have
equal voting, dividend, liquidation and other rights, except that only shares of
the respective classes are entitled to vote on matters concerning only that
class. In addition, Class II and Class III Shares bear certain expenses related
to the distribution of such shares. The Portfolio'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. Income, expenses (other than expenses attributable
to a specific class) and realized and unrealized gains and losses are allocated
daily to each class based on its relative net assets. The following is a summary
of significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the 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 over-the-counter ("OTC") market, 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 market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case
of exchange-traded options. Options traded in the OTC market are valued at the
last asked price (options written) or the last bid price (options purchased).
Swap agreements are valued based upon quoted fair valuations received daily by
the Portfolio from a pricing service or counterparty. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their last sale price as of the close of such exchanges. Obligations with
remaining maturities of 60 days or less are valued at amortized cost unless
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., believes that this method no longer produces fair valuations.
Valuation of other short-term investment vehicles is generally based on the net
asset value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The
Portfolio employs pricing services to provide certain securities prices for the
Portfolio. Securities and 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, including valuations furnished
by the pricing services retained by the Portfolio, which may use a matrix system
for valuations. The procedures of a pricing service and its valuations are
reviewed by the officers of the Portfolio under the general supervision of the
Fund's Board of Directors. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Fund.
Generally, trading in foreign securities, 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 Portfolio's 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
63
and the close of business on the NYSE that may not be reflected in the
computation of the Portfolio's net asset value. If events (for example, a
company announcement, market volatility or a natural disaster) occur during such
periods that are expected to materially affect the value of such securities,
those securities will be valued at their fair value as determined in good faith
by the Fund's Board of Directors or by the Manager using a pricing service
and/or procedures approved by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio may purchase or sell financial
futures contracts and options on such financial futures contracts. Financial
futures contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a contract, the
Portfolio deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the contract,
the Portfolio agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options. When the
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 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 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 Forward foreign exchange contracts -- The Portfolio 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no federal income tax provision is required. Under the
applicable foreign tax law, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Dividends and distributions -- Dividends and distributions paid by the
Portfolio are recorded on the ex-dividend dates.
64
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a pro rata basis based upon the respective aggregate
net asset value of each portfolio included in the Fund.
(h) Securities lending -- The Portfolio 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 receives a fee from the borrower. The
Portfolio typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(i) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(j) 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, during the current
year, $153 has been reclassified between accumulated distributions in excess of
net investment income and paid-in capital in excess of par and $30,091 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 non-deductible expenses, gains from the sale of
stock of passive foreign investment companies and foreign currency transactions.
These reclassifications have no effect on net assets or net asset values per
share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Portfolio has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock
65
Distributors, Inc. ("BDI") (collectively, the "Distributor"). FAMD is a wholly
owned subsidiary of Merrill Lynch Group, Inc. and BDI is an affiliate of
BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays a monthly fee at the annual rate of .35% of the average daily
value of the Portfolio's net assets. The Manager (and previously MLIM) has
agreed to voluntarily waive its fees and reimburse for other Portfolio expenses
so that the total annual portfolio operating expenses do not exceed .59%,
exclusive of distribution fees. The Manager may discontinue or reduce this
waiver at any time without notice. For the year ended December 31, 2006, MLIM
and the Manager earned, waived and reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
--------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
- --------------------------------------------------------------------------------
Fees earned ................ $ 41,165 $ 8,491
Waiver ..................... $ (41,165) $ (8,491)
Reimbursement .............. $(126,595) $ (90,370)
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class III commenced accruing the distribution fee on
September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund has also retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, the Portfolio reimbursed MLIM and
the Manager $310 and $87, respectively, for certain accounting services.
In addition, MLPF&S earned $45 in commissions on the execution of
portfolio security transactions for the year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch, and/or
MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Fund are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $10,021,972 and $17,473,859, respectively.
4. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
was ($5,035,160) and $13,650,831 for the years ended December 31, 2006 and
December 31, 2005, respectively.
Transactions in capital shares for each class were as follows:
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 98,526 $ 1,239,921
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 44,186 464,747
-------- -----------
Total issued ........................... 142,712 1,704,668
Shares redeemed ........................ (820,319) (10,479,566)
-------- -----------
Net decrease ........................... (677,607) $(8,774,898)
======== ===========
- --------------------------------------------------------------------------------
66
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 831,990 $ 8,377,226
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 12,699 145,023
-------- -----------
Total issued ........................... 844,689 8,522,249
Shares redeemed ........................ (582) (6,373)
-------- -----------
Net increase ........................... 844,107 $ 8,515,876
======== ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 452,299 $ 5,654,137
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 210,413 2,199,349
-------- -----------
Total issued ........................... 662,712 7,853,486
Shares redeemed ........................ (333,286) (4,114,131)
-------- -----------
Net increase ........................... 329,426 $ 3,739,355
======== ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 477,673 $ 5,236,633
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 6,880 78,571
-------- -----------
Total issued ........................... 484,553 5,315,204
Shares redeemed ........................ (16,430) (180,267)
-------- -----------
Net increase ........................... 468,123 $ 5,134,937
======== ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 36 $ 383
-------- -----------
Net increase ........................... 36 $ 383
======== ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 2 $ 18
-------- -----------
Net increase ........................... 2 $ 18
======== ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .................................. $1,135,332 $ 223,612
Long-term capital gains .......................... 1,529,147 --
---------- ----------
Total taxable distributions ........................ $2,664,479 $ 223,612
========== ==========
- --------------------------------------------------------------------------------
As of December 31, 2006, the components of accumulated earnings on a tax
basis were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net ......................... $ 39,747
Undistributed long-term capital gains--net ................. 50,236
----------
Total undistributed earnings--net .......................... 89,983
Capital loss carryforward .................................. --
Unrealized gains--net ...................................... 1,392,437*
----------
Total accumulated earnings--net ............................ $1,482,420
==========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
realization for tax purposes of unrealized gains on investments in passive
foreign investment companies.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
67
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of BlackRock International Index Portfolio
of BlackRock Series Fund, Inc. (formerly Mercury International Index Portfolio
of FAM Series Fund, Inc.) (the "Fund") as of December 31, 2006, the related
statement of operations for the year then ended and the statements of changes in
net assets and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock International Index Portfolio of BlackRock Series Fund, Inc. as of
December 31, 2006, the results of its operations for the year then ended and the
changes in its net assets and its financial highlights for each of the two years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock International Index Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock International
Index Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on the
following proposals, which were approved at a special shareholders' meeting on
August 15, 2006. A description of the proposals and number of shares voted are
as follows:
- -----------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- -----------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 875,946 0 0
- -----------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 875,946 0 0
- -----------------------------------------------------------------------------------------------------
68
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
A Discussion With Your Portfolio Manager
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Mid Cap Value
Opportunities Portfolio's (formerly Mercury Mid Cap Value Opportunities
Portfolio) Class I Shares had a total return of +13.32%. For the same period,
the benchmark Standard & Poor's (S&P) MidCap 400 Index returned +10.32% and the
Lipper Mid Cap Value Funds (Variable Products) category had an average return of
+13.15%. (Funds in this Lipper category invest primarily in stocks of
mid-capitalization companies that are considered to be undervalued relative to a
major unmanaged stock index.)
Mid cap stocks posted strong returns for the year, although the favorable
absolute performance obscures sharp declines that occurred over the summer
months. This summer correction spanned all capitalization ranges, investment
styles and both domestic and international markets. The market retrenchment was
attributed to multiple factors but, for the most part, U.S. investors were
concerned that the Federal Reserve Board (the Fed) may have tightened monetary
policy too aggressively. Small and mid cap stocks were particularly volatile
during this time period, given their more pronounced sensitivity to changes in
the overall economy.
The correction also marked a subtle change in market leadership, both from
a capitalization perspective and from a sector perspective. While small-cap,
low-quality issues outperformed prior to the correction, large-cap, high-quality
stocks demonstrated leadership coming out of the correction. In the first six
months of the year, mid-cap stocks held a comfortable lead over the large cap
S&P 500 Index. However, that trend shifted in the second half as investors
increasingly sought out large cap names for their relative stability and more
predictable earnings in an environment of moderating economic growth.
With respect to sector performance, energy stocks demonstrated market
leadership in the first half of the year, but weakened dramatically in the
second half. An uneventful hurricane season, unusually warm fall and winter
temperatures across much of the United States, and the liquidation by hedge fund
Amaranth Advisors LLC of large energy positions contributed to extremely
volatile crude oil and natural gas prices during the year. The price of crude
oil dropped from a high of nearly $78 per barrel in July to roughly $61 per
barrel by year-end -- the same level at which it started the year. Meanwhile,
the price of natural gas declined roughly 46.5% in calendar year 2006. These
factors, combined with softness in the housing market and signs of easing
inflationary pressures, enabled the Fed to end its tightening campaign after 17
consecutive 25 basis point (.25%) increases in the target federal funds rate.
What factors most influenced Portfolio performance?
The Portfolio outperformed both its benchmark and its comparable Lipper category
average for the year. The strong performance is attributed largely to successful
stock selection in the information technology, industrials and health care
sectors. Portfolio holdings in each of these sectors substantially outperformed
those in the benchmark S&P MidCap 400 Index. In information technology, we saw
outstanding performance from Anixter International, Inc., a provider of
networking products, and Convergys Corp., a provider of business process
outsourcing services. In the industrials sector, Allied Waste Industries, Inc.,
a collection, recycling and disposal services company, was a top performer.
Strength in the health care sector was led by an investment in shares of
Cephalon, Inc., a provider of biopharmaceutical products. The Portfolio also
realized positive attribution from its investments in energy, with most of the
outperformance relative to the benchmark coming from our positions in oil, gas
and consumable fuels companies.
The Portfolio's relative results were hindered by our positioning in the
financial services sector, where several names detracted modestly from
performance, particularly in the insurance industry. Most notably, Conseco,
Inc., a provider of life insurance and supplemental medical insurance, declined
as performance in the long-term care business deteriorated. The largest single
detractor during the year was our position in Valassis Communications, Inc., a
provider of marketing products and services that suffered from a troubled merger
agreement with direct marketer ADVO, Inc. Other stocks that disappointed were
software company Novell, Inc. and Smurfit-Stone Container Corp., a maker of
paper-based packaging products.
What changes were made to the Portfolio during the period?
The Portfolio was positioned conservatively relative to its benchmark, and we
used market weakness in the latter half of the year as an opportunity to become
more aggressive in our positioning. We
69
took advantage of lower share prices in the information technology sector and
moved from a slightly underweight position to an overweighting. We initiated
positions in Citrix Systems, Inc., a provider of access infrastructure software
and services, and Tellabs, Inc., a manufacturer and marketer of voice, data and
video network access systems. We find that both firms offer compelling
risk-adjusted returns based on our internal valuation parameters. Tellabs
represented the Portfolio's largest position at period-end. Other changes within
the information technology sector included the elimination of positions in
McAfee, Inc., TIBCO Software, Inc. and Hyperion Solutions Corp. All three
companies provided robust fundamental business outlooks on top of strong
quarterly results, allowing us to trim our positions on stock strength.
In industrials, we increased our position in certain defense electronics
providers, while scaling back investments in engineering and construction
companies. Goodrich Corp., a supplier of aerospace components and systems, is an
example of an addition in the defense electronics area. Another important
addition in industrials was The Timken Co., one of the Portfolio's top-10
holdings at period-end. Timken produces ball bearings and steel utilized by a
variety of automotive and other industrial customers. We initiated the position
based on Timken's strong cash flow and potential for current restructuring
efforts to unlock additional value.
We initiated new positions in the health care sector, including Biomet,
Inc., a leader in the design and manufacture of joint replacements, and Endo
Pharmaceuticals Holdings, Inc., a prescription drug company specializing in pain
management. Endo has a leading market franchise in pain management products and
was among the Portfolio's top-10 holdings at period-end.
In consumer discretionary, we eliminated several positions as share prices
reached our internal price targets. Among them were a number of off-price/
discount retailers, including Dollar Tree Stores, Inc. and TJX Cos., Inc.,
parent of the T.J. Maxx and Marshalls chains. Within the financial services
sector, we trimmed exposure through the sale of TD Ameritrade Holdings Corp., a
provider of online brokerage services, and TD Banknorth, Inc., a Northeast-based
commercial banking provider, ending the period with an underweighting in the
sector.
On balance, most Portfolio changes during the period were stock-specific
rather than driven by particular investment themes. One notable addition was OGE
Energy Corp., a utility stock with a reasonable valuation and attractive
dividend yield. We consider OGE Energy to be a company with solid management and
a favorable rate base; as such, it has become the Portfolio's largest investment
in the utilities sector.
Deletions from the list of Portfolio holdings were driven in part by
continued brisk merger-and-acquisition activity. For example, Cinergy Corp., a
regulated utility, was acquired by Duke Energy Corp. Knight-Ridder, Inc. was
acquired by McClatchy Co. to become the fourth-largest U.S. newspaper publisher.
Maverick Tube Corp., a manufacturer of steel and tubular products, was the
target of an acquisition by Tenaris SA., and Siebel Systems, Inc., a provider of
customer-related management software, was acquired by Oracle Corp. Likewise, in
November, Equity Office Properties Trust became the subject of a bidding war
among private equity firms seeking to acquire the office and commercial property
real estate investment trust.
How would you characterize the Portfolio's position at the close of the period?
Portfolio positioning is largely the result of where we are finding the most
attractive investment opportunities. At December 31, 2006, the Portfolio was
most overweight versus the S&P MidCap 400 Index in energy, followed by
information technology and health care. The Portfolio was most underweight in
utilities and consumer discretionary. The Portfolio's largest absolute exposure
at year-end was in financial services, at 21.5% of net assets, followed by
information technology at 16.5% and industrials at 14.4%.
As we begin a new year, we acknowledge that the market is approaching a
delicate juncture. The Fed hiked interest rates 17 times between June 2004 and
June 2006, and the U.S. economy is showing some signs of slowing, with evidence
most apparent in recent commentary out of the industrials and basic materials
sectors. The critical question centers on how abruptly the economy will slow.
The Fed interrupted its monetary tightening campaign at the August 8 meeting and
remained on hold through year-end, allowing time for the economy to respond to
its two-year tightening campaign. We believe that the economy will experience a
soft landing, and have positioned the Portfolio accordingly.
The Portfolio ended the year with a slight bias toward more defensive
areas of the market. We believe this approach should help to drive favorable
relative performance as economic growth continues to moderate, corporate
earnings decelerate and investors grow increasingly selective.
R. Elise Baum, CFA
Vice President and Portfolio Manager
January 22, 2007
70
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Portfolio Information as of December 31, 2006
Percent of
Sector Representation Total Investments
- --------------------------------------------------------------------------------
Financials ......................................................... 21.5%
Information Technology ............................................. 16.5
Industrials ........................................................ 14.4
Health Care ........................................................ 12.2
Energy ............................................................. 11.2
Consumer Discretionary ............................................. 10.5
Materials .......................................................... 5.5
Utilities .......................................................... 4.4
Telecommunication Services ......................................... 1.7
Consumer Staples ................................................... 1.7
Other* ............................................................. 0.4
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
For Portfolio compliance purposes, the Portfolio's sector classifications
refer to any one or more of the sector sub-classifications used by one or
more widely recognized market indexes or ratings group indexes, and/or as
defined by Portfolio management. This definition may not apply for the
purposes of this report, which may combine sector sub-classifications for
reporting ease.
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the S&P MidCap
400 Index. Values are from December 31, 2004 to December 2006.
BlackRock Mid Cap BlackRock Mid Cap BlackRock Mid Cap
Value Opportunities Value Opportunities Value Opportunities
Portfolio+-- Portfolio+-- Portfolio+-- S&P MidCap
Class I Shares* Class II Shares* Class III Shares* 400 Index++
12/31/04** $10,000 $10,000 $10,000 $10,000
12/05 $11,332 $11,322 $11,322 $11,256
12/06 $12,842 $12,843 $12,832 $12,417
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock Mid Cap Value Opportunities Portfolio invests in securities,
primarily in equity securities, that Portfolio management believes are
undervalued and therefore represent an investment value.
++ This unmanaged Index is a market value-weighted index that consists of 400
domestic stocks and measures the performance of the mid-size company
segment of the U.S. market. Past performance is not indicative of future
results.
71
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +13.32%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +13.32
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +13.44%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +13.33
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +13.34%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +13.28
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month
As of December 31, 2006 Total Return Total Return
- --------------------------------------------------------------------------------
Class I Shares* +7.86% +13.32%
- --------------------------------------------------------------------------------
Class II Shares* +7.96 +13.44
- --------------------------------------------------------------------------------
Class III Shares* +7.86 +13.34
- --------------------------------------------------------------------------------
S&P MidCap 400 Index** +5.83 +10.32
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns. For a portion of the period, returns do not show the
effects of distribution fees (12b-1 fees) applicable to Class II and Class
III Shares. If such fees were included, returns shown would have been
lower.
** This unmanaged Index is a market value-weighted Index that consists of 400
domestic stocks and measures the performance of the mid-size company
segment of the U.S. market.
Past results shown should not be considered a representation of future
performance.
72
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
=============================================================================================================
Actual
=============================================================================================================
Class I $ 1,000 $1,078.60 $ 5.34
- -------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,079.60 $ 5.39
- -------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,078.60 $ 5.60
=============================================================================================================
Hypothetical (5% annual return before expenses)**
=============================================================================================================
Class I $ 1,000 $1,019.76 $ 5.19
- -------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,019.71 $ 5.24
- -------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,019.51 $ 5.44
- -------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (1.03% for Class I, 1.04% for Class II and
1.08% for Class III), multiplied by the average account value over the
period, multiplied by 182/365 (to reflect the one-half year period shown).
All outstanding shares of Class II and Class III were owned by an
affiliated entity and did not accrue their distribution fees (12b-1 fees)
for a portion of the period. If the distribution fees were accrued for the
entire period, the actual expense ratios would have been approximately
1.18% and 1.28%, the actual expenses paid would have been approximately
$6.12 and $6.63 and the hypothetical expenses paid would have been
approximately $5.94 and $6.44 for Class II and Class III, respectively.
** 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.
73
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Europe Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Netherlands--1.1% Construction & Engineering--1.1% 3,100 Chicago Bridge & Iron Co. NV ............. $ 84,754
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the Netherlands ....................... 84,754
- -----------------------------------------------------------------------------------------------------------------------------------
Switzerland--0.5% Biotechnology--0.5% 1,600 Serono SA (b) ............................ 35,648
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland ....... 35,648
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in Europe--1.6% .......................... 120,402
- -----------------------------------------------------------------------------------------------------------------------------------
North America
- -----------------------------------------------------------------------------------------------------------------------------------
Canada--1.7% Diversified Telecommunication 4,666 BCE, Inc. ................................ 125,982
Services--1.7%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Canada ............ 125,982
- -----------------------------------------------------------------------------------------------------------------------------------
United States--90.0% Aerospace & Defense--3.3% 2,600 Curtiss-Wright Corp. ..................... 96,408
3,200 Goodrich Corp. ........................... 145,760
----------
242,168
-------------------------------------------------------------------------------------------------------------
Biotechnology--2.6% 800 Cephalon, Inc. (a) ....................... 56,328
2,100 Human Genome Sciences, Inc. (a) .......... 26,124
3,400 Medimmune, Inc. (a) ...................... 110,058
----------
192,510
-------------------------------------------------------------------------------------------------------------
Capital Markets--2.0% 6,700 Janus Capital Group, Inc. ................ 144,653
-------------------------------------------------------------------------------------------------------------
Chemicals--1.0% 4,000 Huntsman Corp. (a) ....................... 75,880
-------------------------------------------------------------------------------------------------------------
Commercial Banks--4.3% 5,000 The Colonial BancGroup, Inc. ............. 128,700
1,200 Compass Bancshares, Inc. ................. 71,580
2,900 First Midwest Bancorp, Inc. .............. 112,172
----------
312,452
-------------------------------------------------------------------------------------------------------------
Commercial Services & 14,400 Allied Waste Industries, Inc. (a) ........ 176,976
Supplies--2.4%
-------------------------------------------------------------------------------------------------------------
Communications Equipment--3.9% 9,300 Andrew Corp. (a) ......................... 95,139
18,700 Tellabs, Inc. (a) ........................ 191,862
----------
287,001
-------------------------------------------------------------------------------------------------------------
Containers & Packaging--3.2% 2,900 Owens-Illinois, Inc. (a) ................. 53,505
13,400 Smurfit-Stone Container Corp. (a) ........ 141,504
800 Temple-Inland, Inc. ...................... 36,824
----------
231,833
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & 800 Anixter International, Inc. (a) .......... 43,440
Instruments--1.8% 4,400 Ingram Micro, Inc. Class A (a) ........... 89,804
----------
133,244
-------------------------------------------------------------------------------------------------------------
Energy Equipment & Services--4.9% 3,300 BJ Services Co. .......................... 96,756
700 Diamond Offshore Drilling, Inc. .......... 55,958
4,800 Dresser-Rand Group, Inc. (a) ............. 117,456
2,700 Rowan Cos., Inc. ......................... 89,640
----------
359,810
-------------------------------------------------------------------------------------------------------------
Food Products--1.7% 4,700 Smithfield Foods, Inc. (a) ............... 120,602
-------------------------------------------------------------------------------------------------------------
Gas Utilities--1.0% 900 Questar Corp. ............................ 74,745
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & 2,900 Biomet, Inc. ............................. 119,683
Supplies--1.6%
-------------------------------------------------------------------------------------------------------------
Health Care Providers & 16,200 Tenet Healthcare Corp. (a) ............... 112,914
Services--2.2% 1,100 Triad Hospitals, Inc. (a) ................ 46,013
----------
158,927
-------------------------------------------------------------------------------------------------------------
Health Care Technology--0.8% 4,384 Emdeon Corp. (a) ......................... 54,318
-------------------------------------------------------------------------------------------------------------
74
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Schedule of Investments as of December 31, 2006 (continued) (in U.S. dollars)
America Shares
(continued) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Hotels, Restaurants & Leisure--0.9% 600 OSI Restaurant Partners, Inc. ............ $ 23,520
(continued) 1,360 Wyndham Worldwide Corp. (a) .............. 43,547
----------
67,067
-------------------------------------------------------------------------------------------------------------
Household Durables--0.8% 2,100 Newell Rubbermaid, Inc. .................. 60,795
-------------------------------------------------------------------------------------------------------------
IT Services--4.3% 600 Alliance Data Systems Corp. (a) .......... 37,482
8,900 The BISYS Group, Inc. (a) ................ 114,899
2,600 Computer Sciences Corp. (a) .............. 138,762
1,100 Convergys Corp. (a) ...................... 26,158
----------
317,301
-------------------------------------------------------------------------------------------------------------
Insurance--3.0% 8,100 Conseco, Inc. (a) ........................ 161,838
1,800 HCC Insurance Holdings, Inc. ............. 57,762
----------
219,600
-------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail--1.5% 2,900 IAC/InterActiveCorp (a) .................. 107,764
-------------------------------------------------------------------------------------------------------------
Internet Software & Services--1.8% 14,400 CNET Networks, Inc. (a) .................. 130,896
-------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services--0.5% 1,700 Affymetrix, Inc. (a) ..................... 39,202
-------------------------------------------------------------------------------------------------------------
Machinery--3.4% 2,100 AGCO Corp. (a) ........................... 64,974
6,300 The Timken Co. ........................... 183,834
----------
248,808
-------------------------------------------------------------------------------------------------------------
Media--1.6% 7,800 Valassis Communications, Inc. (a) ........ 113,100
-------------------------------------------------------------------------------------------------------------
Metals & Mining--1.3% 1,700 Nucor Corp. .............................. 92,922
-------------------------------------------------------------------------------------------------------------
Multi-Utilities--1.9% 3,500 OGE Energy Corp. ......................... 140,000
-------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 1,400 Cabot Oil & Gas Corp. Class A ............ 84,910
Fuels--6.3% 1,800 Murphy Oil Corp. ......................... 91,530
3,700 Newfield Exploration Co. (a) ............. 170,015
2,300 Noble Energy, Inc. ....................... 112,861
----------
459,316
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals--4.0% 5,400 Endo Pharmaceuticals Holdings,
Inc. (a) ............................... 148,932
4,100 Medicis Pharmaceutical Corp. Class A ..... 144,033
----------
292,965
-------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 9,000 Crescent Real Estate EQT Co. ............. 177,750
(REITs)--5.7% 13,000 Friedman Billings Ramsey Group, Inc.
Class A ................................ 104,000
2,700 New Plan Excel Realty Trust .............. 74,196
1,500 Rayonier, Inc. ........................... 61,575
----------
417,521
-------------------------------------------------------------------------------------------------------------
Real Estate Management & 1 Realogy Corp. (a) ........................ 30
Development--0.0%
-------------------------------------------------------------------------------------------------------------
Road & Rail--1.5% 5,300 JB Hunt Transport Services, Inc. ......... 110,081
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 3,900 Intersil Corp. Class A ................... 93,288
Equipment--1.3%
-------------------------------------------------------------------------------------------------------------
Software--3.4% 4,000 Citrix Systems, Inc. (a) ................. 108,200
22,600 Novell, Inc. (a) ......................... 140,120
----------
248,320
-------------------------------------------------------------------------------------------------------------
Specialty Retail--5.4% 7,100 Foot Locker, Inc. ........................ 155,703
7,400 The Gap, Inc. ............................ 144,300
5,400 RadioShack Corp. ......................... 90,612
----------
390,615
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 800 Jones Apparel Group, Inc. ................ 26,744
Goods--0.4%
-------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance--1.7% 2,500 Webster Financial Corp. .................. 121,800
-------------------------------------------------------------------------------------------------------------
75
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Schedule of Investments as of December 31, 2006 (concluded) (in U.S. dollars)
North America Shares
(concluded) Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
United States Trading Companies & 3,900 United Rentals, Inc. (a) ................. $ 99,177
(concluded) Distributors--2.6% 1,300 WW Grainger, Inc. ........................ 90,922
----------
190,099
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the United States ..................... 6,573,036
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in
North America--91.7% ..................... 6,699,018
-------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$6,506,025)--93.3% ................ 6,819,420
- -----------------------------------------------------------------------------------------------------------------------------------
North America Exchange-Traded Funds
- -----------------------------------------------------------------------------------------------------------------------------------
United States--6.3% 700 iShares Dow Jones US Real Estate
Index Fund ............................. 58,681
1,200 iShares Dow Jones US Utilities Sector
Index Fund ............................. 107,844
500 iShares Russell 2000 Index Fund .......... 39,040
2,100 iShares S&P SmallCap 600
Index Fund ............................. 138,663
800 MidCap SPDR Trust Series 1 ............... 116,912
-------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$415,520)--6.3% ................... 461,140
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
$ 31,194 BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.26% (c)(d) ............... 31,194
-------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$31,194)--0.4% .................... 31,194
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$6,952,739*)--100.0% .............. 7,311,754
Liabilities in Excess of Other
Assets--(0.0%) ........................... (3,772)
----------
Net Assets--100.0% ....................... $7,307,982
==========
- -----------------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost .......................................... $6,996,237
==========
Gross unrealized appreciation ........................... $ 582,553
Gross unrealized depreciation ........................... (267,036)
----------
Net unrealized appreciation ............................. $ 315,517
==========
(a) Non-income producing security.
(b) Depositary receipts.
(c) Investments in companies considered to be an affiliate of the Porftolio,
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 .... $(123,488) $6,377
---------------------------------------------------------------------------------
(d) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
See Notes to Financial Statements.
76
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (identified cost--$6,921,545) ...... $ 7,280,560
Investments in affiliated securities, at value (identified cost--$31,194) ........... 31,194
Dividend receivable ................................................................. 6,315
Prepaid expenses .................................................................... 924
------------
Total assets ........................................................................ 7,318,993
------------
- ----------------------------------------------------------------------------------------------------------------------
Liabilities:
Payables:
Investment adviser .......................................................... $ 1,752
Other affiliates ............................................................ 1,316
Capital shares redeemed ..................................................... 64 3,132
------------
Accrued expenses .................................................................... 7,879
------------
Total liabilities ................................................................... 11,011
------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 7,307,982
============
- ----------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 66,694
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 12
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 12
Paid-in capital in excess of par .................................................... 6,773,343
Undistributed realized capital gains--net ........................................... $ 108,906
Unrealized appreciation--net ........................................................ 359,015
------------
Total accumulated earnings--net ..................................................... 467,921
------------
Net Assets .......................................................................... $ 7,307,982
============
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $7,305,414 and 666,935 shares outstanding ........... $ 10.95
============
Class II--Based on net assets of $1,283.9 and 117.3 shares outstanding .............. $ 10.95
============
Class III--Based on net assets of $1,283.7 and 117.3 shares outstanding ............. $ 10.94
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
77
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Dividends (net of $1,103 foreign withholding tax) ................................... $ 83,704
Interest from affiliates ............................................................ 6,377
------------
Total income ........................................................................ 90,081
------------
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees ............................................................ $ 43,542
Professional fees ................................................................... 24,165
Printing and shareholder reports .................................................... 10,026
Custodian fees ...................................................................... 9,945
Transfer agent fees--Class I ........................................................ 4,998
Accounting services ................................................................. 2,766
Directors' fees and expenses ........................................................ 1,405
Pricing services .................................................................... 1,102
Distribution fees--Class II ......................................................... 1
Distribution fees--Class III ........................................................ 1
Transfer agent fees--Class II ....................................................... 1
Transfer agent fees--Class III ...................................................... 1
Other ............................................................................... 9,637
------------
Total expenses before waiver and reimbursement ...................................... 107,590
Waiver and reimbursement of expenses ................................................ (38,591)
------------
Total expenses after waiver and reimbursement ....................................... 68,999
------------
Investment income--net .............................................................. 21,082
------------
- ----------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain (Loss)--Net:
Realized gain (loss) on:
Investments--net .................................................................. 810,758
Foreign currency transactions--net ................................................ (156) 810,602
------------
Change in unrealized appreciation on investments--net ............................... 2,942
------------
Total realized and unrealized gain--net ............................................. 813,544
------------
Net Increase in Net Assets Resulting from Operations ................................ $ 834,626
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
78
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
-----------------------------
Increase (Decrease) in Net Assets: 2006 2005*
- ----------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 21,082 $ 19,986
Realized gain--net .................................................................. 810,602 313,637
Change in unrealized appreciation--net .............................................. 2,942 356,073
-----------------------------
Net increase in net assets resulting from operations ................................ 834,626 689,696
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Dividends & Distributions to Shareholders:
Investment income--net:
Class I ........................................................................... (20,918) (39,985)
Class II .......................................................................... (4) (8)
Class III ......................................................................... (4) (8)
Realized gain--net:
Class I ........................................................................... (803,142) (200,441)
Class II .......................................................................... (142) (38)
Class III ......................................................................... (142) (38)
-----------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders (824,352) (240,518)
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase in net assets derived from capital share transactions .................. 1,292,412 5,553,118
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase in net assets ........................................................ 1,302,686 6,002,296
Beginning of year ................................................................... 6,005,296 3,000
-----------------------------
End of year ......................................................................... $ 7,307,982 $ 6,005,296
=============================
- ----------------------------------------------------------------------------------------------------------------------
* The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
See Notes to Financial Statements.
79
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Financial Highlights
Class I
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.88 $ 10.00
------------ ------------
Investment income--net* ............................................................. .04 .04
Realized and unrealized gain--net ................................................... 1.42 1.30
------------ ------------
Total from investment operations .................................................... 1.46 1.34
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.04) (.08)
Realized gain--net ................................................................ (1.35) (.38)
------------ ------------
Total dividends and distributions ................................................... (1.39) (.46)
------------ ------------
Net asset value, end of year ........................................................ $ 10.95 $ 10.88
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 13.32% 13.32%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.03% 1.03%
============ ============
Expenses ............................................................................ 1.61% 1.64%
============ ============
Investment income--net .............................................................. .31% .38%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 7,305 $ 6,003
============ ============
Portfolio turnover .................................................................. 98.65% 119.42%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
80
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Financial Highlights (continued)
Class II
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.87 $ 10.00
------------ ------------
Investment income--net* ............................................................. .03 .03
Realized and unrealized gain--net ................................................... 1.44 1.30
------------ ------------
Total from investment operations .................................................... 1.47 1.33
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.04) (.08)
Realized gain--net ................................................................ (1.35) (.38)
------------ ------------
Total dividends and distributions ................................................... (1.39) (.46)
------------ ------------
Net asset value, end of year ........................................................ $ 10.95 $ 10.87
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 13.44% 13.22%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.04% 1.03%
============ ============
Expenses ............................................................................ 1.62% 1.64%
============ ============
Investment income--net .............................................................. .28% .33%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 98.65% 119.42%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
81
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Financial Highlights (concluded)
Class III
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.87 $ 10.00
------------ ------------
Investment income--net* ............................................................. .03 .03
Realized and unrealized gain--net ................................................... 1.43 1.30
------------ ------------
Total from investment operations .................................................... 1.46 1.33
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.04) (.08)
Realized gain--net ................................................................ (1.35) (.38)
------------ ------------
Total dividends and distributions ................................................... (1.39) (.46)
------------ ------------
Net asset value, end of year ........................................................ $ 10.94 $ 10.87
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 13.34% 13.22%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... 1.06% 1.03%
============ ============
Expenses ............................................................................ 1.64% 1.64%
============ ============
Investment income--net .............................................................. .26% .33%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 98.65% 119.42%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
82
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury Mid Cap Value
Opportunities Portfolio were renamed BlackRock Series Fund, Inc. (the "Fund")
and BlackRock Mid Cap Value Opportunities Fund (the "Portfolio"), respectively.
The Fund is an open-end management investment company that is comprised of
fourteen separate portfolios. This report relates to six of the Fund's
Portfolios, all of which offer three classes of shares to the Merrill Lynch Life
Insurance Company, ML Life Insurance Company of New York (indirect, wholly owned
subsidiaries of Merrill Lynch & Co., Inc. ("Merrill Lynch")), and other
insurance companies that are not affiliated with Merrill Lynch, for their
separate accounts to fund benefits under certain variable annuity and variable
life insurance contracts. The Portfolio is classified as "diversified," as
defined in the Investment Company Act of 1940, as amended. Class I, Class II and
Class III Shares have equal voting, dividend, liquidation and other rights,
except that only shares of the respective classes are entitled to vote on
matters concerning only that class. In addition, Class II and Class III Shares
bear certain expenses related to the distribution of such shares. The
Portfolio'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. Income, expenses
(other than expenses attributable to a specific class) and realized and
unrealized gains and losses are allocated daily to each class based on its
relative net assets. The following is a summary of significant accounting
policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the 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 over-the-counter ("OTC") market, 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 market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case
of exchange-traded options. Options traded in the OTC market are valued at the
last asked price (options written) or the last bid price (options purchased).
Swap agreements are valued based upon quoted fair valuations received daily by
the Portfolio from a pricing service or counterparty. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their last sale price as of the close of such exchanges. Obligations with
remaining maturities of 60 days or less are valued at amortized cost unless the
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., believes that this method no longer produces fair valuations.
Valuation of other short-term investment vehicles is generally based on the net
asset value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The
Portfolio employs pricing services to provide certain securities prices for the
Portfolio. Securities and 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, including valuations furnished
by the pricing services retained by the Portfolio, which may use a matrix system
for valuations. The procedures of a pricing service and its valuations are
reviewed by the officers of the Portfolio under the general supervision of the
Fund's Board of Directors. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Fund.
Generally, trading in foreign securities, 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 Portfolio's 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
83
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 Portfolio's net asset value. If events (for example, a company announcement,
market volatility or a natural disaster) occur during such periods that are
expected to materially affect the value of such securities, those securities
will be valued at their fair value as determined in good faith by the Fund's
Board of Directors or by the Manager using a pricing service and/or procedures
approved by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio may purchase or sell financial
futures contracts and options on such financial futures contracts. Financial
futures contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a contract, the
Portfolio deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the contract,
the Portfolio agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options. When the
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 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 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 Forward foreign exchange contracts -- The Portfolio 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no federal income tax provision is required. Under the
applicable foreign tax law, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Dividends and distributions -- Dividends and distributions paid by the
Portfolio are recorded on the ex-dividend dates.
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a
84
pro rata basis based upon the respective aggregate net asset value of each
portfolio included in the Fund.
(h) Securities lending -- The Portfolio 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 receives a fee from the borrower. The
Portfolio typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(i) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(j) Reclassification -- 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, during the current
year, $156 has been reclassified between undistributed net investment income and
undistributed net realized capital gains as a result of permanent differences
attributable to foreign currency transactions. This reclassification has no
effect on net assets or net asset values per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Fund has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the
85
Portfolio. For such services, the Portfolio pays a monthly fee at the annual
rate of .65% of the average daily value of the Portfolio's net assets. The
Manager (and previously MLIM) has agreed to voluntarily waive its fees and
reimburse for other Portfolio expenses so that the total annual portfolio
operating expenses do not exceed 1.03%, exclusive of distribution fees. The
Manager may discontinue or reduce this waiver at any time without notice. For
the year ended December 31, 2006, MLIM and the Manager earned, waived and
reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
-------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
- --------------------------------------------------------------------------------
Fees earned .................... $ 31,787 $ 11,755
Waiver ......................... $(31,787) $ (6,040)
Reimbursement .................. $ (764) --
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class II and Class III commenced accruing the
distribution fee on September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund has also retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, the Portfolio reimbursed MLIM and
the Manager $110 and $33, respectively, for certain accounting services.
In addition, MLPF&S received $2,929 in commissions on the execution of
portfolio security transactions for the year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch, and/or
MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Fund are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $7,168,063 and $6,530,370, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$1,292,412 and $5,553,118 for the years ended December 31, 2006 and December 31,
2005, respectively.
Transactions in capital shares for each class were as follows:
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 52,766 $ 608,241
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 74,043 824,060
------- -----------
Total issued ............................. 126,809 1,432,301
Shares redeemed .......................... (11,809) (140,181)
------- -----------
Net increase ............................. 115,000 $ 1,292,120
======= ===========
- --------------------------------------------------------------------------------
86
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 530,122 $ 5,315,887
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 22,017 240,426
------- -----------
Total issued ............................. 552,139 5,556,313
Shares redeemed .......................... (304) (3,287)
------- -----------
Net increase ............................. 551,835 $ 5,553,026
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 13 $ 146
------- -----------
Net increase ............................. 13 $ 146
======= ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 4 $ 46
------- -----------
Net increase ............................. 4 $ 46
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 13 $ 146
------- -----------
Net increase ............................. 13 $ 146
======= ===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 4 $ 46
------- -----------
Net increase ............................. 4 $ 46
======= ===========
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .................................. $632,611 $240,518
Long-term capital gains .......................... 191,741 --
-------- --------
Total taxable distributions ........................ $824,352 $240,518
======== ========
- --------------------------------------------------------------------------------
As of December 31, 2006, the components of accumulated earnings on a tax
basis were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net .......................... $ 81,784
Undistributed long-term capital gains--net .................. 70,620
--------
Total undistributed earnings--net ........................... 152,404
Capital loss carryforward ................................... --
Unrealized gains--net ....................................... 315,517*
--------
Total accumulated earnings--net ............................. $467,921
========
- --------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
87
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of BlackRock Mid Cap Value Opportunities Portfolio
of BlackRock Series Fund, Inc. (formerly Mercury Mid Cap Value Opportunities
Portfolio of FAM Series Fund, Inc.) (the "Fund") as of December 31, 2006, and
the related statement of operations for the year then ended and the statements
of changes in net assets and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian. 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
BlackRock Mid Cap Value Opportunities Portfolio of BlackRock Series Fund, Inc.
as of December 31, 2006, the results of its operations for the year then ended
and the changes in its net assets and its financial highlights for each of the
two years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock Mid Cap Value Opportunities Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock Mid Cap Value
Opportunities Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on
the following proposals, which were approved at a special shareholders' meeting
on August 15, 2006. A description of the proposals and number of shares voted
are as follows:
- ------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- ------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 588,043 0 0
- ------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 588,043 0 0
- ------------------------------------------------------------------------------------------------------
88
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
A Discussion With Your Portfolio Managers
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Short Term Bond
Portfolio's (formerly Mercury Low Duration Portfolio) Class I Shares had a total
return of +4.75%. For the same period, the Portfolio's unmanaged benchmark, the
Merrill Lynch U.S. 1-3 Year Corporate and Government Index, returned +4.25%.
Short-term interest rates, which rose steadily between January and June,
declined for most of the remainder of 2006 before backing up sharply in
December. Bond prices move in the opposite direction of yields and, as such, the
latter half of the fiscal year was generally characterized by a return to
strength for fixed income assets. The improvement in bond prices came amid a
slowdown in U.S. economic growth and the Federal Reserve Board's (the Fed's)
decision at its August 8 meeting to refrain from raising its target rate after
17 consecutive increases since June 2004. Bond prices found additional support
in moderating oil prices. Between June 30 and November 30, 10-year Treasury
yields declined 69 basis points (.69%) from 5.15% to 4.46%. However,
stronger-than-expected economic releases and year-end profit taking pushed
yields higher during December.
For the 12-month period overall, 10-year Treasury note yields rose 32
basis points to 4.71% and two-year Treasury yields rose 34 basis points to
4.82%. These yields reflect the inverted shape of the yield curve at year-end.
In fact, for much of 2006, short-term issues had higher yields than longer-term
bonds.
What factors most influenced the Portfolio's performance?
The Portfolio provided favorable returns relative to its benchmark for the
fiscal year. For the most part, performance benefited from our overweight
exposure to high-quality, short-duration assets, including asset-backed
securities (ABS), commercial mortgage-backed securities (CMBS), adjustable rate
mortgages (ARMs) and collateralized mortgage obligations (CMOs). We maintained
an overweight position in spread and credit sectors, focusing particularly on
high-quality spread sectors. We felt that risk premia were likely to remain
constant or decline in these sectors, and that helped them to perform quite
well. Conversely, the Portfolio was underweight in the corporate and agency
sectors, and this detracted from performance somewhat.
Our short duration profile and our yield curve positioning, which
benefited performance in the first half of the year as interest rates rose,
hindered relative performance in the latter half of the year as rates declined.
What changes were made to the Portfolio during the period?
Despite price improvement in the Treasury market in the second half of the year,
we continued to see greater relative value in spread sectors. Consistent with
our somewhat defensive market posture, we maintained our emphasis on
high-quality spread sectors and continued to favor structured assets, such as
CMOs.
In the last three months of the year, we modestly increased the
Portfolio's exposure to the high yield asset class, as valuations in some
non-investment-grade issues began to look attractive relative to BBB-rated
issues.
The Portfolio maintained a short duration relative to its benchmark
throughout the 12-month period.
How would you characterize the Portfolio's position at the close of the period?
At December 31, 2006, the Portfolio continued to focus on positions in
higher-quality issues within the corporate sector. We recently increased the
Portfolio's exposure to fixed rate mortgages to capitalize on what appears to be
stronger demand given these issues' higher yields. We also modestly increased
exposure to floating-rate mortgages to capitalize on large money manager demand
ahead of their inclusion in the Lehman Brothers Aggregate Bond Index in April.
89
The Portfolio ended the year with a short duration versus its benchmark,
as we continue to believe that both a modest rebound in economic growth during
the fourth quarter and core inflation remaining outside of the Fed's comfort
zone will keep the central bank on hold. The Portfolio's duration at period-end
was 1.45 years, compared to the index's duration of 1.68 years.
Keith Anderson
Portfolio Manager
Scott Amero
Portfolio Manager
Todd Kopstein
Portfolio Manager
January 22, 2007
- --------------------------------------------------------------------------------
Effective October 2, 2006, the Portfolio is managed by a team of investment
professionals comprised of Keith Anderson, Scott Amero and Todd Kopstein. Mr.
Anderson is a Vice Chairman of BlackRock, a member of the firm's Executive and
Management Committees, Chief Investment Officer for Fixed Income and Chairman of
the Investment Strategy Group. He is a founding member of BlackRock, having been
with the firm since 1988. Mr. Amero is a Managing Director of BlackRock, co-head
of the fixed income portfolio management team and a member of the Management
Committee and the Investment Strategy Group. He is a senior strategist and
portfolio manager with responsibility for overseeing all fixed income sector
strategy and the overall management of client portfolios. Mr. Amero has been
with BlackRock since 1990. Mr. Kopstein is a Managing Director of and portfolio
manager with BlackRock and a member of the Investment Strategy Group. He joined
BlackRock in 1994 and became part of the firm's Portfolio Management Group in
1998, specializing in short duration securities.
- --------------------------------------------------------------------------------
90
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Portfolio Information as of December 31, 2006
Percent of
Asset Mix Total Investments
- --------------------------------------------------------------------------------
U.S. Government & Agency Obligations ............................... 49.7%
Corporate Bonds .................................................... 28.7
Non-Government Agency
Mortgage-Backed Securities ....................................... 5.2
Other* ............................................................. 16.4
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the Merrill Lynch
1-3 Year Corporate & Government Index. Values are from December 31, 2004 to
December 2006.
BlackRock BlackRock BlackRock Merrill Lynch
Short Term Bond Short Term Bond Short Term Bond 1-3 Year Corporate &
Portfolio+-- Portfolio+-- Portfolio+-- Government
Class I Shares* Class II Shares* Class III Shares* Index++
12/31/04** $10,000 $10,000 $10,000 $10,000
12/05 $10,127 $10,124 $10,124 $10,175
12/06 $10,609 $10,566 $10,563 $10,608
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock Short Term Bond Portfolio invests in a diversified portfolio of
bonds of different maturities, including U.S. Government securities, U.S.
Government agency securities, corporate bonds, asset-backed securities and
mortgage-backed securities.
++ This unmanaged Index is comprised of investment grade corporate bonds and
U.S. Treasury and agency securities with a maturity ranging from one year
to three years.
Past performance is not indicative of future results.
91
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +4.75%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +3.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +4.37%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +2.79
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +4.34%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +2.78
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month Standardized
As of December 31, 2006 Total Return Total Return 30-Day Yield
- --------------------------------------------------------------------------------
Class I Shares* +3.56% +4.75% 4.55%
- --------------------------------------------------------------------------------
Class II Shares* +3.14 +4.37 --
- --------------------------------------------------------------------------------
Class III Shares* +3.12 +4.34 --
- --------------------------------------------------------------------------------
Merrill Lynch 1-3 Year Corporate &
Government Index** +3.08 +4.25 --
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns. For a portion of the period, returns do not show the
effects of distribution fees (12b-1 fees) applicable to Class II and Class
III Shares. If such fees were included, returns shown would have been
lower.
** This unmanaged Index is comprised of investment grade corporate bonds and
U.S. Treasury and agency securities with a maturity ranging from one year
to three years.
Past results shown should not be considered a representation of future
performance.
92
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
================================================================================================================
Actual
================================================================================================================
Class I $ 1,000 $1,035.60 $ 3.15
- ----------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,031.40 $ 3.60
- ----------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,031.20 $ 3.85
================================================================================================================
Hypothetical (5% annual return before expenses)**
================================================================================================================
Class I $ 1,000 $1,021.81 $ 3.13
- ----------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,021.36 $ 3.58
- ----------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,021.11 $ 3.83
- ----------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (.62% for Class I, .71% for Class II and .76%
for Class III), multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period shown). All of
the outstanding shares of Class II and Class III were owned by an
affiliated entity and did not accrue their distribution fees (12b-1 fees)
for a portion of the period. If the distribution fees were accrued for the
entire period, the actual expense ratios would have been approximately
.77% and .87%, the actual expenses paid would have been approximately
$3.90 and $4.41, and the hypothetical expenses paid would have been
approximately $3.88 and $4.38 for Class II and Class III, respectively.
** 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.
93
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Schedule of Investments as of December 31, 2006
Face
Amount U.S. Government & Agency Obligations Value
- -----------------------------------------------------------------------------------------------------------------------------------
Fannie Mae:
$675,000 5.25% due 10/30/2007 ................................... $ 675,002
150,000 6% due 5/15/2011 ....................................... 156,185
U.S. Treasury Notes:
50,000 4.875% due 4/30/2008 (e) ............................... 49,953
75,000 4.625% due 9/30/2008 ................................... 74,722
95,000 4.625% due 8/31/2011 ................................... 94,699
- -----------------------------------------------------------------------------------------------------------------------------------
Total U.S. Government & Agency Obligations
(Cost--$1,050,325)--49.0% ............................ 1,050,561
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Government Agency Mortgage-Backed Securities+
- -----------------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage 110,036 Residential Accredit Loans, Inc. Series 2005-QS12
Obligations--5.1% Class A8, 5.66% due 8/25/2035 (a) ...................... 110,096
- -----------------------------------------------------------------------------------------------------------------------------------
Total Non-Government Agency Mortgage-Backed
Securities (Cost--$110,036)--5.1% ......................... 110,096
- -----------------------------------------------------------------------------------------------------------------------------------
Industry Corporate Bonds
- -----------------------------------------------------------------------------------------------------------------------------------
Airlines--2.2% 45,334 Systems 2001 Asset Trust Pass-Through Trusts, 6.664%
due 9/15/2013 (d) ...................................... 47,466
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks--4.4% 50,000 HBOS Treasury Services Plc, 3.50% due 11/30/2007 (d) ....... 49,180
45,000 Popular North America, Inc., 5.20% due 12/12/2007 .......... 44,851
-----------
94,031
- -----------------------------------------------------------------------------------------------------------------------------------
Household Durables--2.1% 45,000 DR Horton, Inc., 7.50% due 12/01/2007 ...................... 45,788
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance--1.9% 10,000 Monumental Global Funding II, 3.85% due 3/03/2008 (d) ...... 9,815
30,000 Protective Life Secured Trust, 5.454% due 1/14/2008 (a) .... 30,025
-----------
39,840
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities--3.5% 75,000 Dominion Resources, Inc., 5.688% due 5/15/2008 ............. 75,108
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels--3.3% 70,000 Pemex Project Funding Master Trust, 6.66%
due 6/15/2010 (a)(d) ................................... 71,855
- -----------------------------------------------------------------------------------------------------------------------------------
Road & Rail--10.8% 230,000 CSX Corp., 7.45% due 5/01/2007 ............................. 231,417
- -----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost--$606,969)--28.2% .................................... 605,505
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
$346,467 BlackRock Liquidity Series, LLC Cash Sweep Series,
5.26% (b)(c) ............................................... 346,467
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$346,467)--16.1% .................................... 346,467
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$2,113,797*)--98.4% ............... 2,112,629
Other Assets Less Liabilities--1.6% ........................ 33,959
-----------
Net Assets--100.0% ......................................... $ 2,146,588
===========
94
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Schedule of Investments as of December 31, 2006 (concluded)
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost ......................................... $ 2,113,797
===========
Gross unrealized appreciation .......................... $ 1,122
Gross unrealized depreciation .......................... (2,290)
-----------
Net unrealized depreciation ............................ $ (1,168)
===========
+ Mortgage-Backed Securities are subject to principal paydowns as a result
of the prepayments or refinancings of the underlying instruments. As a
result, the average life may be substantially less than the original
maturity.
(a) Floating rate security.
(b) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2 (a)(3) of the Investment Company Act of 1940,
were as follows:
-----------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
-----------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series ................ $(3,473,232) $52,160
-----------------------------------------------------------------------------------------------------
(c) Represents the current yield as of December 31, 2006.
(d) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(e) All or a portion of security held as collateral in connection with open
financial futures contracts.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
-------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
-------------------------------------------------------------------------------------------------------
4 2-Year U.S. Treasury Note March 2007 $819,496 $(3,371)
-------------------------------------------------------------------------------------------------------
o Financial futures contracts sold as of December 31, 2006 were as follows:
-------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
-------------------------------------------------------------------------------------------------------
2 5-Year U.S. Treasury Note March 2007 $212,275 $2,150
-------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
95
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (identified cost--$1,767,330) ...... $ 1,766,162
Investments in affiliated securities, at value (identified cost--$346,467) .......... 346,467
Receivables:
Investment adviser ................................................................ $ 47,589
Interest .......................................................................... 16,697 64,286
------------
Prepaid expenses .................................................................... 1,185
------------
Total assets ........................................................................ 2,178,100
------------
- ----------------------------------------------------------------------------------------------------------------------
Liabilities:
Payables:
Dividends to shareholders ......................................................... 7,321
Other affiliates .................................................................. 1,426
Capital shares redeemed ........................................................... 674
Variation margin .................................................................. 188
Distributor ....................................................................... 1 9,610
------------
Accrued expenses .................................................................... 21,902
------------
Total liabilities ................................................................... 31,512
------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 2,146,588
============
- ----------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 21,837
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 11
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 11
Paid-in capital in excess of par .................................................... 2,398,930
Undistributed investment income--net ................................................ $ 8,614
Accumulated realized capital losses--net ............................................ (280,426)
Unrealized depreciation--net ........................................................ (2,389)
------------
Total accumulated losses--net ....................................................... (274,201)
------------
Net Assets .......................................................................... $ 2,146,588
============
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $2,144,482 and 218,367 shares outstanding ........... $ 9.82
============
Class II--Based on net assets of $1,053 and 107.54 shares outstanding ............... $ 9.79
============
Class III--Based on net assets of $1,053 and 107.54 shares outstanding .............. $ 9.79
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
96
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Interest (including $52,160 from affiliates) ........................................ $ 988,947
Dividends ........................................................................... 1,557
------------
Total income ........................................................................ 990,504
------------
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees ............................................................ $ 98,689
Printing and shareholder reports .................................................... 43,903
Custodian fees ...................................................................... 31,059
Professional fees ................................................................... 27,740
Accounting services ................................................................. 13,371
Pricing services .................................................................... 12,802
Transfer agent fees--Class I ........................................................ 5,002
Directors' fees and expenses ........................................................ 2,134
Distribution fees--Class II and Class III ........................................... 1
Other ............................................................................... 10,223
------------
Total expenses before waiver and reimbursement ...................................... 244,924
Waiver and reimbursement of expenses ................................................ (106,511)
------------
Total expenses after waiver and reimbursement ....................................... 138,413
------------
Investment income--net .............................................................. 852,091
------------
- ----------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain (Loss)--Net:
Realized gain (loss) on:
Investments--net .................................................................. (180,885)
Options written--net .............................................................. (5,075)
Financial futures contracts and swaps--net ........................................ 14,169 (171,791)
------------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................................. 177,267
Options written--net .............................................................. 5,150
Financial futures contracts and swaps--net ........................................ 15,841 198,258
------------ ------------
Total realized and unrealized gain--net ............................................. 26,467
------------
Net Increase in Net Assets Resulting from Operations ................................ $ 878,558
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
97
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
-----------------------------
Increase (Decrease) in Net Assets: 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 852,091 $ 526,462
Realized loss--net .................................................................. (171,791) (104,411)
Change in unrealized appreciation/depreciation--net ................................. 198,258 (200,647)
-----------------------------
Net increase in net assets resulting from operations ................................ 878,558 221,404
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Dividends to Shareholders:
Investment income--net:
Class I ........................................................................... (854,282) (528,192)
Class II .......................................................................... (48) (31)
Class III ......................................................................... (48) (31)
-----------------------------
Net decrease in net assets resulting from dividends to shareholders ................. (854,378) (528,254)
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions ....... (18,750,481) 21,176,739
-----------------------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase (decrease) in net assets ............................................. (18,726,301) 20,869,889
Beginning of year ................................................................... 20,872,889 3,000
-----------------------------
End of year* ........................................................................ $ 2,146,588 $ 20,872,889
=============================
- ----------------------------------------------------------------------------------------------------------------------
* Undistributed investment income--net .......................................... $ 8,614 $ 8,616
=============================
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
See Notes to Financial Statements.
98
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Financial Highlights
Class I
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 9.82 $ 10.00
------------ ------------
Investment income--net* ............................................................. .39 .30
Realized and unrealized gain (loss)--net ............................................ .07 (.17)
------------ ------------
Total from investment operations .................................................... .46 .13
------------ ------------
Less dividends from investment income--net .......................................... (.46) (.31)
------------ ------------
Net asset value, end of year ........................................................ $ 9.82 $ 9.82
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 4.75% 1.27%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .65% .66%
============ ============
Expenses ............................................................................ 1.14% 1.00%
============ ============
Investment income--net .............................................................. 3.97% 3.10%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 2,144 $ 20,871
============ ============
Portfolio turnover .................................................................. 147.08% 50.60%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
99
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Financial Highlights (continued)
Class II
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 9.82 $ 10.00
------------ ------------
Investment income--net* ............................................................. .44 .30
Realized and unrealized loss--net ................................................... (.01) (.18)
------------ ------------
Total from investment operations .................................................... .43 .12
------------ ------------
Less dividends from investment income--net .......................................... (.46) (.30)
------------ ------------
Net asset value, end of year ........................................................ $ 9.79 $ 9.82
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 4.37% 1.24%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .70% .66%
============ ============
Expenses ............................................................................ 3.40% 1.00%
============ ============
Investment income--net .............................................................. 4.45% 3.04%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 147.08% 50.60%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
100
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Financial Highlights (concluded)
Class III
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 9.82 $ 10.00
------------ ------------
Investment income--net* ............................................................. .44 .30
Realized and unrealized loss--net ................................................... (.01) (.18)
------------ ------------
Total from investment operations .................................................... .43 .12
------------ ------------
Less dividends from investment income--net .......................................... (.46) (.30)
------------ ------------
Net asset value, end of year ........................................................ $ 9.79 $ 9.82
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:+
Based on net asset value per share .................................................. 4.34% 1.24%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .73% .66%
============ ============
Expenses ............................................................................ 3.43% 1.00%
============ ============
Investment income--net .............................................................. 4.43% 3.04%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 147.08% 50.60%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Based on average shares outstanding.
** The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
101
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury Low Duration Portfolio
were renamed BlackRock Series Fund, Inc. (the "Fund") and BlackRock Short Term
Bond Portfolio (the "Portfolio"), respectively. The Fund is an open-end
management investment company that is comprised of fourteen separate portfolios.
This report relates to six of the Fund's Portfolios, all of which offer three
classes of shares to the Merrill Lynch Life Insurance Company, ML Life Insurance
Company of New York (indirect, wholly owned subsidiaries of Merrill Lynch & Co.,
Inc. ("Merrill Lynch")), and other insurance companies that are not affiliated
with Merrill Lynch, for their separate accounts to fund benefits under certain
variable annuity and variable life insurance contracts. The Portfolio is
classified as "diversified," as defined in the Investment Company Act of 1940,
as amended. Class I, Class II and Class III Shares have equal voting, dividend,
liquidation and other rights, except that only shares of the respective classes
are entitled to vote on matters concerning only that class. In addition, Class
II and Class III Shares bear certain expenses related to the distribution of
such shares. The Portfolio'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. Income, expenses (other than expenses attributable to a specific
class) and realized and unrealized gains and losses are allocated daily to each
class based on its relative net assets. The following is a summary of
significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- 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 Portfolio under the general
direction of the Board of Directors. Such valuations and procedures will be
reviewed periodically by the Board of Directors of the Fund. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their closing prices as of the close of such exchanges. Options written or
purchased are valued at the last sale price in the case of exchange-traded
options. In the case of options traded in the OTC market, valuation is the last
asked price (options written) or the last bid price (options purchased). Swap
agreements are valued based upon quoted fair valuations received daily by the
Portfolio from a pricing service or counterparty. Short-term investments with a
remaining maturity of 60 days or less are valued at amortized cost, which
approximates market value, under which method the investment is valued at cost
and any premium or discount is amortized on a straight line basis to maturity.
Repurchase agreements are valued at cost plus accrued interest. Investments in
open-end investment companies are valued at their net asset value each business
day. Securities and other assets for which market quotations are not readily
available are valued at fair value as determined in good faith by or under the
direction of the Board of Directors of the Fund.
Equity securities held by the 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 market, 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 market are valued at the last available asked price. Portfolio
securities that are traded both in the OTC market 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 Portfolio's 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 Portfolio's net asset value. If events (for
example, a company
102
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) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio 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
financial future date and at a specific price or yield. Upon entering into a
contract, the Portfolio deposits and maintains as collateral such initial margin
as required by the exchange on which the transaction is effected. Pursuant to
the contract, the Portfolio agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options. When the
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 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio'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.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis. The Portfolio amortizes all
premiums and discounts on debt securities.
(f) Dividends and distributions -- Dividends from net investment income
are declared daily and paid monthly. Distributions of capital gains are recorded
on the ex-dividend dates.
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a pro rata basis based upon the respective aggregate
net asset value of each portfolio included in the Fund.
(h) Securities lending -- The Portfolio 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 receives 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
103
borrower, after notice, is required to return borrowed securities within five
business days. The Portfolio may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Portfolio could experience
delays and costs in gaining access to the collateral. The Portfolio also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
(i) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(j) Reclassification -- 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, during the current
year, $2,285 has been reclassified between accumulated net realized capital
losses and undistributed net investment income as a result of permanent
differences attributable to swap agreements and accounting for paydowns. This
reclassification has no effect on net assets or net asset values per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Portfolio has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays a monthly fee at the annual rate of .46% of the average daily
value of the Portfolio's net assets. The Manager (and previously MLIM) has
agreed to voluntarily waive its fees and reimburse for other Portfolio expenses
so that the total annual portfolio operating expenses do not exceed .66%,
exclusive of distribution fees. The Manager may discontinue or reduce this
waiver at any time without notice. For the year ended December 31, 2006, MLIM
and the Manager earned, waived and reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
-----------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
- --------------------------------------------------------------------------------
Fees earned ...................... $ 96,004 $ 2,685
Waiver ........................... $(56,237) $ (2,685)
Reimbursement .................... -- $(47,589)
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is
104
a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class II and Class III commenced accruing the
distribution fee on September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund also has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, the Portfolio reimbursed MLIM and
the Manager $499 and $6, respectively, for certain accounting services.
In addition, MLPF&S received $101 in commissions on the execution of
portfolio security transactions for year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the
Company were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch,
and/or MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Company are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales (including paydowns) of investments, excluding short-term
securities, for the year ended December 31, 2006 were $23,736,854 and
$38,755,275, respectively.
Transactions in call options written for the year ended December 31, 2006
were as follows:
- --------------------------------------------------------------------------------
Number of Premiums
Call Options Written Contracts* Received
- --------------------------------------------------------------------------------
Outstanding call options written,
beginning of year .......................... 2 $ 2,000
Options closed ............................... (2) (2,000)
--- ------
Outstanding call options written,
end of year ................................ -- --
=== ======
- --------------------------------------------------------------------------------
* One contract represents a notional amount of $1,000,000.
Transactions in put options written for the year ended December 31, 2006
were as follows:
- --------------------------------------------------------------------------------
Number of Premiums
Put Options Written Contracts* Received
- --------------------------------------------------------------------------------
Outstanding put options written,
beginning of year .......................... 2 $ 5,850
Options closed ............................... (2) (5,850)
--- ------
Outstanding put options written,
end of year ................................ -- --
=== ======
- --------------------------------------------------------------------------------
* One contract represents a notional amount of $1,000,000.
4. Capital Share Transactions:
Net (decrease) increase in net assets derived from capital share transactions
was $(18,750,481) and $21,176,739 for the years ended December 31, 2006 and
December 31, 2005, respectively.
Transactions in capital shares for each class were as follows:
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 1,739,518 $ 17,006,504
Shares issued to shareholders in
reinvestment of dividends .............. 92,700 907,144
---------- ------------
Total issued ............................. 1,832,218 17,913,648
Shares redeemed .......................... (3,739,460) (36,664,225)
---------- ------------
Net decrease ............................. (1,907,242) $(18,750,577)
========== ============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 2,128,528 $ 21,207,060
Shares issued to shareholders in
reinvestment of dividends .............. 47,435 469,342
---------- ------------
Total issued ............................. 2,175,963 21,676,402
Shares redeemed .......................... (50,454) (499,719)
---------- ------------
Net increase ............................. 2,125,509 $ 21,176,683
========== ============
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
105
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 10 $ 100
Shares issued to shareholders in
reinvestment of dividends .............. 5 48
---------- ------------
Total issued ............................. 15 148
Shares redeemed .......................... (10) (100)
---------- ------------
Net increase ............................. 5 $ 48
========== ============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends ........... 3 $ 28
---------- ------------
Net increase ............................. 3 $ 28
========== ============
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 10 $ 100
Shares issued to shareholders in
reinvestment of dividends .............. 5 48
---------- ------------
Total issued ............................. 15 148
Shares redeemed .......................... (10) (100)
---------- ------------
Net increase ............................. 5 $ 48
========== ============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- --------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends ........... 3 $ 28
---------- ------------
Net increase ............................. 3 $ 28
========== ============
- --------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .......................... $854,378 $528,254
-------- --------
Total taxable distributions ................ $854,378 $528,254
======== ========
- --------------------------------------------------------------------------------
As of December 31, 2006, the components of accumulated losses on a tax basis
were as follows:
- -----------------------------------------------------------------------------
Undistributed ordinary income--net ........................ $ 8,614
Undistributed long-term capital gains--net ................ --
---------
Total undistributed earnings--net ......................... 8,614
Capital loss carryforward ................................. (279,425)*
Unrealized losses--net .................................... (3,390)**
---------
Total accumulated losses--net ............................. $(274,201)
=========
- -----------------------------------------------------------------------------
* On December 31, 2006, the Portfolio had a net capital loss carryforward of
$279,425, of which $93,783 expires in 2013 and $185,642 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 realization for tax purposes of unrealized
gains (losses) on financial futures contracts and the deferral of
post-October capital losses for tax purposes.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
106
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of BlackRock Short Term Bond Portfolio of BlackRock
Series Fund, Inc. (formerly Mercury Low Duration Portfolio of FAM Series Fund,
Inc.) (the "Fund") as of December 31, 2006 and the related statement of
operations for the year then ended and the statements of changes in net assets
and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian. 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
BlackRock Short Term Bond Portfolio of BlackRock Series Fund, Inc. as of
December 31, 2006, the results of its operations for the year then ended and the
changes in its net assets and its financial highlights for each of the two years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock Short Term Bond Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock Short Term Bond
Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on the following
proposals, which were approved at a special shareholders' meeting on August 15,
2006. A description of the proposals and number of shares voted are as follows:
- ---------------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- ---------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 3,087,493 61,301 51,546
- ---------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 3,087,493 61,301 51,546
- ---------------------------------------------------------------------------------------------------------
107
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
A Discussion With Your Portfolio Managers
How did the Portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, BlackRock Small Cap Index
Portfolio's (formerly Mercury Small Cap Index Portfolio) Class I Shares
generated a total return of +17.62%. For the same period, the benchmark Russell
2000 Index advanced +18.37%.
The Russell 2000 Index is a market-weighted index composed of
approximately 2,000 common stocks issued by small-capitalization U.S. companies
in a range of businesses. As the value of the Russell 2000 fluctuated during the
past 12 months, the Portfolio's performance generally tracked that of the Index.
Following decent, but uninspiring, results in 2004 and 2005, U.S. equities
surged forward in 2006, with the S&P 500 Index advancing 15.79% to close at
1,418. Small-cap stocks posted even stronger gains, thanks to exceptionally
strong performance in the first few months of the year.
Key highlights of the 12-month period included weaker economic growth
triggered by a slowdown in the U.S. housing market; a long-awaited pause in the
Federal Reserve Board's (the Fed) interest rate hiking campaign; threats of
higher inflation; and robust corporate earnings, which rose by double-digit
percentages for an unprecedented fifth consecutive year. Amid these
crosscurrents, financial markets were left to weather a high degree of
volatility.
At the outset, a burgeoning corporate sector, ample liquidity and record
levels of merger-and-acquisition (M&A) activity provided a solid backdrop for
equity markets. During the first few months of 2006, U.S. stocks were solidly on
an upward trajectory, posting the best first quarter gains in several years. Of
note, the S&P 500 Index advanced 4.21% in the quarter, marking its largest gain
since the fourth quarter of 2004 (+9.23%) and its best first quarter since 1999
(+4.98%). Growth continued outside of the housing and auto sectors (capital
spending in particular expanded at a brisk pace); private equity deals, M&A
action and corporate buy-backs abounded in high volumes; and corporate cash
flows held steady.
Notwithstanding such broad-based strength, evidence of an economic
slowdown mounted. By May, we saw a striking shift in investor sentiment,
triggered by a deceleration in consumer spending, rising energy prices, a slump
in housing activity and uncertainty around Fed policy and the sustainability of
economic growth. Stock market volatility took on a more negative spin and
eventually resulted in the first double-digit correction for U.S. equity markets
in nearly four years. The average U.S. stock fell by about 12% and stocks
outside the U.S. were hit even harder. The pullback could be attributed to
several factors, not the least of which was that the lagged effects of higher
interest rates and oil prices finally took their toll on both the economy and
stock prices. Further, a resurgence of inflation fears prompted the Fed to
continue its interest rate tightening campaign. Under the auspices of new
Chairman Ben Bernanke, the central bank ended the second quarter with its 17th
consecutive 25 basis point (.25%) interest rate hike since June 2004, bringing
the target federal funds rate to 5.25%.
As the second half of 2006 got underway, positive momentum returned to the
market. The Fed made big news in August by finally ending its streak of rate
increases. At the same time, commodity prices collapsed. After reaching an
all-time high near $78 per barrel in July, crude oil ended the year at $61 per
barrel. Stocks generally climbed back above the levels they reached prior to the
market's earlier retrenchment. Most equity markets experienced one of their best
third-quarter periods in several years, though there was a broad-based changing
of the guard that favored larger-cap, higher-quality and more predictable stocks
over small-cap, lower-quality and more cyclical securities (as was the trend
early in the year).
Macroeconomic uncertainty persisted in the third quarter. Investors
struggled with moderating economic activity -- real gross domestic product (GDP)
growth was estimated at 2%, compared to 2.6% in the second quarter and 5.6% in
the first quarter. The magnitude of the housing downturn and its effect on the
consumer sector was a significant wildcard. Weakness in the U.S. dollar was
challenging the stability of currency markets. Moreover, tensions in the Middle
East were heating up, and economic data offered a mixed outlook for inflation.
Still, strong momentum continued in the equity markets during the year's
final quarter. Key to investors' optimism were: a strong labor market, where the
unemployment rate reached a post-9/11 low and year-on-year average hourly
salaries reached a post-9/11 high; receding risks of higher inflation and high
oil prices; and finally, the pervasive strength in corporate fundamentals that
included reasonably good investment levels, healthy balance sheets and profit
margins.
108
2006 ended and the new year began with the world awash in liquidity, global
economic growth still quite strong despite the U.S. slowdown, record-high
corporate profitability, fairly low inflation and interest rates, and relatively
strong investor confidence.
For the 12-month period, small-cap stocks, as measured by the Russell 2000
Index, outpaced the +15.26% return of the Russell Midcap Index and the +15.46%
return of the large-cap Russell 1000 Index. Within the Russell 2000, the value
style of investing significantly outperformed the growth style for the period,
with the Russell 2000 Value Index returning +23.48% versus the +13.35% return of
the Russell 2000 Growth Index.
What changes were made to the Portfolio during the period?
Throughout the period, as changes were made to the composition of the Russell
2000 Index, the Portfolio purchased and sold securities to maintain its
objective of replicating the risks and return of the benchmark. On June 30,
2006, the Russell 2000 Index underwent its annual reconstitution. To maintain
the Portfolio's tight tracking to the benchmark, we adjusted it to be in line
with the new benchmark as of the rebalancing's effective date.
How would you characterize the Portfolio's position at the close of the period?
Heading into 2007, we believe continued moderation in economic growth will put
pressure on corporate earnings, which have been on a record run with five
consecutive years of double-digit growth. Solid corporate fundamentals and
balance sheet strength, alongside strong non-U.S. economic growth, should help
corporate profits remain positive, but the rate of gain will likely slow
noticeably as record-high profit margins will be difficult to sustain. Against
this backdrop, the Portfolio remains positioned to match the risk
characteristics of its benchmark, whatever direction the market takes.
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 22, 2007
109
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Portfolio Information as of December 31, 2006
Percent of
Sector Representation Total Investments
- --------------------------------------------------------------------------------
Financial Services ........................................... 22.1%
Consumer Discretionary ....................................... 18.4
Technology ................................................... 12.3
Health Care .................................................. 10.5
Materials & Processing ....................................... 8.3
Producer Durables ............................................ 6.9
Utilities .................................................... 4.1
Other Energy ................................................. 4.1
Auto & Transportation ........................................ 3.5
Consumer Staples ............................................. 2.0
Other ........................................................ 0.3
Integrated Oils .............................................. 0.2
Short-Term Investments ....................................... 7.3
- --------------------------------------------------------------------------------
For Portfolio compliance purposes, the Portfolio's sector classifications refer
to any one or more of the sector sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by
Portfolio management. This definition may not apply for purposes of this report,
which may combine sector sub-classifications for reporting ease.
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Total Investment Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Class I, Class
II and Class III Shares compared to growth of an investment in the Russell
2000(R) Index. Values are from December 31, 2004 to December 2006.
BlackRock BlackRock BlackRock
Small Cap Index Small Cap Index Small Cap Index
Portfolio+-- Portfolio+-- Portfolio+-- Russell 2000(R)
Class I Shares* Class II Shares* Class III Shares* Index++
12/31/04** $10,000 $10,000 $10,000 $10,000
12/05 $10,586 $10,586 $10,586 $10,455
12/06 $12,451 $12,441 $12,431 $12,376
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees. Does not include insurance-related fees and
expenses.
** Commencement of operations.
+ BlackRock Small Cap Index Portfolio invests in a portfolio of assets whose
performance is expected to match approximately the performance of the
Russell 2000 Index.
++ This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors. Past
performance is not indicative of future results.
110
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Average Annual Total Return--Class I Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.62%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +11.59
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Average Annual Total Return--Class II Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.52%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +11.54
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Average Annual Total Return--Class III Shares*
- --------------------------------------------------------------------------------
Period Covered Return
- --------------------------------------------------------------------------------
One Year Ended 12/31/06 +17.43%
- --------------------------------------------------------------------------------
Inception (12/31/04) through 12/31/06 +11.49
- --------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Recent Performance Results
- --------------------------------------------------------------------------------
6-Month 12-Month
As of December 31, 2006 Total Return Total Return
- --------------------------------------------------------------------------------
Class I Shares* +9.04% +17.62%
- --------------------------------------------------------------------------------
Class II Shares* +8.95 +17.52
- --------------------------------------------------------------------------------
Class III Shares* +8.86 +17.43
- --------------------------------------------------------------------------------
Russell 2000(R) Index** +9.38 +18.37
- --------------------------------------------------------------------------------
* Average annual and cumulative total investment returns are based on
changes in net asset values for the periods shown, and assume reinvestment
of all dividends and capital gains distributions at net asset value on the
ex-dividend date. Insurance-related fees and expenses are not reflected in
these returns.For a portion of the period, returns do not show the effects
of distribution fees (12b-1 fees) applicable to Class II and Class III
Shares. If such fees were included, returns shown would have been lower.
** This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Past results shown should not be considered a representation of future
performance.
Russell 2000 is a registered trademark of the Frank Russell Companies.
111
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Disclosure of Expenses
Shareholders of this 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, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2006 and held
through December 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account
values and hypothetical expenses based on the Portfolio's actual expense ratio
and an assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as sales
charges, redemption fees or exchange fees. Therefore, the second table is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 December 31, 2006 December 31, 2006
===================================================================================================================
Actual
===================================================================================================================
Class I $ 1,000 $1,090.40 $ 2.87
- -------------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,089.50 $ 3.49
- -------------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,088.60 $ 3.75
===================================================================================================================
Hypothetical (5% annual return before expenses)**
===================================================================================================================
Class I $ 1,000 $1,022.16 $ 2.77
- -------------------------------------------------------------------------------------------------------------------
Class II $ 1,000 $1,021.56 $ 3.38
- -------------------------------------------------------------------------------------------------------------------
Class III $ 1,000 $1,021.31 $ 3.63
- -------------------------------------------------------------------------------------------------------------------
* For each class of the Portfolio, expenses are equal to the annualized
expense ratio for the class (.55% for Class I, .67% for Class II and .72%
for Class III), multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period shown). All of
the outstanding shares of Class II and Class III were owned by an
affiliated entity and did not accrue their distribution fees (12b-1 fees)
for a portion of the period. If the distribution fees were accrued for the
entire period, the actual expense ratios would have been approximately
.70% and .80%, the actual expenses paid would have been approximately
$3.65 and $4.17, and the hypothetical expenses paid would have been
approximately $3.53 and $4.03 for Class II and Class III, respectively.
** 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.
112
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006
This summary schedule of investments is presented to help investors focus on the
Portfolio's principal holdings. It includes the Portfolio's 50 largest holdings
and each investment of any issuer that exceeds 1% of the Portfolio's net assets.
"Other Securities" represent all issues not required to be disclosed under the
rules adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-441-7762
or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Shares Percent of
Industry Held Common Stocks Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Advertising Agencies 551 ValueClick, Inc. (a) ....................... $ 13,020 0.1%
Other Securities ........................... 40,495 0.5
--------------------------
53,515 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities ........................... 54,115 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities ........................... 11,651 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Air Transport 1,100 JetBlue Airways Corp. (a) .................. 15,620 0.2
Other Securities ........................... 60,001 0.7
--------------------------
75,621 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities ........................... 6,162 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities ........................... 10,247 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment Other Securities ........................... 44,369 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts Other Securities ........................... 20,459 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities ........................... 3,873 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 321 First Midwest Bancorp, Inc. ................ 12,416 0.1
9 PNC Financial Services Group, Inc. (b) ..... 666 0.0
Other Securities ........................... 569,143 6.6
--------------------------
582,225 6.7
- ------------------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities ........................... 2,627 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities ........................... 6,159 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production 400 ICOS Corp. (a) ............................. 13,516 0.2
Other Securities ........................... 202,118 2.3
--------------------------
215,634 2.5
- ------------------------------------------------------------------------------------------------------------------------------------
Building Materials Other Securities ........................... 47,307 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Building: Cement Other Securities ........................... 1,424 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities ........................... 7,640 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities ........................... 15,055 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities ........................... 9,716 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 12,037 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling 242 Aztar Corp. (a) ............................ 13,169 0.1
Other Securities ........................... 50,846 0.6
--------------------------
64,015 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals 693 Hercules, Inc. (a) ......................... 13,382 0.2
Other Securities ........................... 109,651 1.2
--------------------------
123,033 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Coal Other Securities ........................... 8,467 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities ........................... 17,991 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities ........................... 9,073 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Communications Technology 1,673 Brocade Communications Systems,
Inc. (a) .................................. 13,735 0.2
Other Securities ........................... 236,777 2.7
--------------------------
250,512 2.9
- ------------------------------------------------------------------------------------------------------------------------------------
Computer Services Software & Systems 694 Parametric Technology Corp. (a) ............ 12,506 0.1
500 Sybase, Inc. (a) ........................... 12,350 0.2
Other Securities ........................... 381,534 4.4
--------------------------
406,390 4.7
- ------------------------------------------------------------------------------------------------------------------------------------
113
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Computer Technology Other Securities ........................... $ 98,471 1.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Construction Other Securities ........................... 36,069 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics 403 THQ, Inc. (a) .............................. 13,106 0.1
Other Securities ........................... 57,512 0.7
--------------------------
70,618 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Products Other Securities ........................... 59,312 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass Other Securities ........................... 35,740 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities ........................... 4,821 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Copper Other Securities ........................... 6,879 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities ........................... 11,940 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services Other Securities ........................... 36,979 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing 297 Acuity Brands, Inc. ........................ 15,456 0.2
Other Securities ........................... 47,466 0.5
--------------------------
62,922 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities ........................... 44,873 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals Other Securities ........................... 205,563 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
Education Services Other Securities ........................... 38,578 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities ........................... 23,074 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components 338 General Cable Corp. (a) .................... 14,774 0.2
172 Genlyte Group, Inc. (a) .................... 13,435 0.1
Other Securities ........................... 58,253 0.7
--------------------------
86,462 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance Other Securities ........................... 1,197 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics 400 Flir Systems, Inc. (a) ..................... 12,732 0.1
Other Securities ........................... 46,814 0.6
--------------------------
59,546 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Gauges Other Securities ........................... 10,892 0.1
& Meters
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 344 Hologic, Inc. (a) .......................... 16,264 0.2
Other Securities ........................... 62,892 0.7
--------------------------
79,156 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/ Other Securities ........................... 160,356 1.9
Components
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology Other Securities ........................... 44,324 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Equipment Other Securities ........................... 3,492 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous 206 Veritas DGC, Inc. (a) ...................... 17,640 0.2
Other Securities ........................... 38,479 0.5
--------------------------
56,119 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities ........................... 22,246 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Entertainment Other Securities ........................... 29,088 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Fertilizers Other Securities ........................... 6,649 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Finance Companies Other Securities ........................... 20,768 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan Other Securities ........................... 9,378 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Other Securities ........................... 94,857 1.1
Services & Systems
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities ........................... 22,762 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous Other Securities ........................... 72,000 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
114
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Foods 300 NBTY, Inc. (a) ............................. $ 12,471 0.2%
Other Securities ........................... 80,620 0.9
--------------------------
93,091 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities ........................... 7,348 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities ........................... 5,921 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities ........................... 4,081 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Glass Other Securities ........................... 4,229 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Gold Other Securities ........................... 13,928 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities 342 Psychiatric Solutions, Inc. (a) ............ 12,832 0.2
Other Securities ........................... 46,012 0.5
--------------------------
58,844 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Management Services Other Securities ........................... 57,465 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities ........................... 46,302 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Homebuilding Other Securities ........................... 23,893 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities ........................... 5,892 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities ........................... 38,599 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices Other Securities ........................... 50,410 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Industrial Products Other Securities ........................... 4,737 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities ........................... 36,392 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities ........................... 40,632 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty 426 Ohio Casualty Corp. ........................ 12,699 0.2
Other Securities ........................... 105,418 1.2
--------------------------
118,117 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Management Companies 500 Waddell & Reed Financial, Inc. Class A ..... 13,680 0.2
Other Securities ........................... 43,023 0.5
--------------------------
56,703 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones Other Securities ........................... 10,312 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Leisure Time Other Securities ........................... 32,960 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities ........................... 7,419 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities ........................... 3,303 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling Other Securities ........................... 7,926 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines Other Securities ........................... 8,697 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty Other Securities ........................... 41,507 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment Other Securities ........................... 98,495 1.1
& Services
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty Other Securities ........................... 18,594 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities ........................... 6,819 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Manufacturing Other Securities ........................... 6,550 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & Supplies 421 Immucor, Inc. (a) .......................... 12,306 0.1
278 Mentor Corp. ............................... 13,586 0.2
Other Securities ........................... 198,971 2.3
--------------------------
224,863 2.6
- ------------------------------------------------------------------------------------------------------------------------------------
Medical Services 290 Magellan Health Services, Inc. (a) ......... 12,534 0.2
Other Securities ........................... 10,726 0.1
--------------------------
23,260 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Metal Fabricating Other Securities ........................... 68,428 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous 288 Cleveland-Cliffs, Inc. ..................... 13,951 0.1
Other Securities ........................... 31,903 0.4
--------------------------
45,854 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
115
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing Other Securities ........................... $ 2,261 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples Other Securities ........................... 4,389 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Commodities Other Securities ........................... 17,115 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing Other Securities ........................... 22,194 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables Other Securities ........................... 12,799 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology Other Securities ........................... 3,948 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies Other Securities ........................... 29,326 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment 400 Herman Miller, Inc. ........................ 14,544 0.2
Other Securities ........................... 13,830 0.1
--------------------------
28,374 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Offshore Drilling Other Securities ........................... 12,874 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers Other Securities ........................... 174,017 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities ........................... 16,779 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International Other Securities ........................... 2,700 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities ........................... 16,752 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Paper Other Securities ........................... 35,435 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities ........................... 9,757 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Pollution Control & Other Securities ........................... 13,556 0.2
Environmental Services
- ------------------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities ........................... 9,399 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities ........................... 14,531 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment 343 Varian Semiconductor Equipment
Associates, Inc. (a) ...................... 15,613 0.2
Other Securities ........................... 100,359 1.1
--------------------------
115,972 1.3
- ------------------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities ........................... 39,520 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities ........................... 26,056 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities ........................... 40,353 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities ........................... 15,733 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Railroads 231 Florida East Coast Industries, Inc. ........ 13,768 0.2
Other Securities ........................... 9,933 0.1
--------------------------
23,701 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities ........................... 9,003 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) 175 Alexandria Real Estate Equities, Inc. ...... 17,570 0.2
284 First Industrial Realty Trust, Inc. ........ 13,317 0.1
372 Highwoods Properties, Inc. ................. 15,163 0.2
228 Home Properties, Inc. ...................... 13,514 0.2
268 LaSalle Hotel Properties ................... 12,288 0.1
460 Nationwide Health Properties, Inc. ......... 13,901 0.2
277 Post Properties, Inc. ...................... 12,659 0.2
366 RAIT Investment Trust ...................... 12,620 0.1
560 Realty Income Corp. ........................ 15,512 0.2
Other Securities ........................... 471,034 5.4
--------------------------
597,578 6.9
- ------------------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats Other Securities ........................... 23,885 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities ........................... 12,569 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer Other Securities ........................... 30,949 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Restaurants 254 Jack in the Box, Inc. (a) .................. 15,504 0.2
Other Securities ........................... 148,926 1.7
--------------------------
164,430 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
116
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (continued)
Shares Percent of
Industry Held Common Stocks Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Retail 700 Big Lots, Inc. (a) ......................... $ 16,044 0.2%
422 Payless Shoesource, Inc. (a) ............... 13,850 0.1
Other Securities ........................... 311,236 3.6
--------------------------
341,130 3.9
- ------------------------------------------------------------------------------------------------------------------------------------
Savings & Loan Other Securities ........................... 162,076 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities ........................... 16,286 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services 700 Knight Capital Group, Inc. Class A (a) ..... 13,419 0.2
Other Securities ........................... 29,694 0.3
--------------------------
43,113 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Services: Commercial 331 Waste Connections, Inc. (a) ................ 13,753 0.2
Other Securities ........................... 278,295 3.2
--------------------------
292,048 3.4
- ------------------------------------------------------------------------------------------------------------------------------------
Shipping 200 American Commercial Lines, Inc. (a) ........ 13,102 0.1
Other Securities ........................... 7,073 0.1
--------------------------
20,175 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities ........................... 56,166 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Steel 296 Chaparral Steel Co. ........................ 13,104 0.1
211 Oregon Steel Mills, Inc. (a) ............... 13,169 0.2
Other Securities ........................... 30,895 0.4
--------------------------
57,168 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Sugar Other Securities ........................... 2,421 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment 600 Polycom, Inc. (a) .......................... 18,546 0.2
Other Securities ........................... 62,965 0.7
--------------------------
81,511 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities ........................... 3,669 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers 338 Phillips-Van Heusen Corp. .................. 16,957 0.2
Other Securities ........................... 66,607 0.8
--------------------------
83,564 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Other Securities ........................... 10,361 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities ........................... 20,134 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Toys Other Securities ........................... 11,240 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous Other Securities ........................... 14,791 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Truckers Other Securities ........................... 38,250 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities ........................... 3,087 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 400 PNM Resources, Inc. ........................ 12,440 0.1
500 Westar Energy, Inc. ........................ 12,980 0.2
Other Securities ........................... 114,772 1.3
--------------------------
140,192 1.6
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors 304 Nicor, Inc. ................................ 14,227 0.2
Other Securities ........................... 70,950 0.8
--------------------------
85,177 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities ........................... 10,660 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 859 Time Warner Telecom, Inc. Class A (a) ...... 17,120 0.2
Other Securities ........................... 85,872 1.0
--------------------------
102,992 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities ........................... 14,687 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities ........................... 7,098 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Wholesalers Other Securities ........................... 22,940 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$7,034,871) ......................... 8,012,910 92.6
- ------------------------------------------------------------------------------------------------------------------------------------
117
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Summary Schedule of Investments as of December 31, 2006 (concluded)
Shares Percent of
Industry Held Rights Value Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities ........................... $ 47 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) Other Securities ........................... 174 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost--$0) .................... 221 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Mutual Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Other Securities ........................... 2,004 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds (Cost--$2,017) .......... 2,004 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ------------------------------------------------------------------------------------------------------------------------------------
$622,405 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.26% (b)(d) ........... 622,405 7.2
7,750 BlackRock Liquidity Series, LLC
Money Market Series, 5.29% (b)(c)(d) ...... 7,750 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$630,155) ........................... 630,155 7.3
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost--$7,667,043*) ........................ 8,645,290 99.9
Other Assets Less Liabilities .............. 11,384 0.1
--------------------------
Net Assets ................................. $8,656,674 100.0%
==========================
- ------------------------------------------------------------------------------------------------------------------------------------
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 7,659,840
===========
Gross unrealized appreciation $ 1,570,002
Gross unrealized depreciation (584,552)
-----------
Net unrealized appreciation $ 985,450
===========
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2 (a)(3) of the Investment Company Act of 1940,
were as follows:
------------------------------------------------------------------------------------------------------------------------
Interest/
Purchase Sales Realized Dividend
Affiliate Cost Cost Gain/(Loss) Income
------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series .......... -- $327,388* -- $50,224
BlackRock Liquidity Series, LLC Money Market Series ........ -- $ 13,400* -- $ 651
PNC Financial Services Group, Inc. ......................... $495 -- -- $ 5
------------------------------------------------------------------------------------------------------------------------
* Represents net sale cost.
(c) Security was purchased with the cash proceeds from securities loans.
(d) Represents the current yield as of December 31, 2006.
o "Other Securities" represent issues that are not identified as the 50
largest holdings of the Portfolio and issues not exceeding 1% of net
assets. Some securities, or a portion of, in this category are either held
as collateral in connection with open financial futures contracts or are
out on loan.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
-------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
-------------------------------------------------------------------------------------------------
8 Russell Mini March 2007 $636,988 $(1,068)
-------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
118
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Statement of Assets and Liabilities as of December 31, 2006
Assets:
Investments in unaffiliated securities, at value (including securities loaned of $7,269)
(identified cost--$7,036,393) ..................................................... $ 8,014,469
Investments in affiliated securities, at value (identified cost--$630,650) .......... 630,821
Cash ................................................................................ 3,418
Receivables:
Securities sold ................................................................... $ 16,889
Dividends ......................................................................... 9,197
Investment adviser ................................................................ 8,920
Securities lending ................................................................ 26 35,032
------------
Prepaid expenses .................................................................... 947
------------
Total assets ........................................................................ 8,684,687
------------
- ----------------------------------------------------------------------------------------------------------------------
Liabilities:
Collateral on securities loaned, at value ........................................... 7,750
Payables:
Securities purchased .............................................................. 8,226
Variation margin .................................................................. 4,880
Other affiliates .................................................................. 1,339
Capital shares redeemed ........................................................... 34 14,479
------------
Accrued expenses .................................................................... 5,784
------------
Total liabilities ................................................................... 28,013
------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................... $ 8,656,674
============
- ----------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Class I Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ........ $ 76,269
Class II Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ....... 11
Class III Shares of Common Stock, $.10 par value, 30,000,000 shares authorized ...... 11
Paid-in capital in excess of par .................................................... 7,540,157
Undistributed investment income--net ................................................ $ 15,790
Undistributed realized capital gains--net ........................................... 47,257
Unrealized appreciation--net ........................................................ 977,179
------------
Total accumulated earnings--net ..................................................... 1,040,226
------------
Net Assets .......................................................................... $ 8,656,674
============
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class I--Based on net assets of $8,654,186 and 762,688 shares outstanding ........... $ 11.35
============
Class II--Based on net assets of $1,244 and 109.7 shares outstanding ................ $ 11.34
============
Class III--Based on net assets of $1,243.6 and 109.73 shares outstanding ............ $ 11.33
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
119
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Statement of Operations for the Year Ended December 31, 2006
Investment Income:
Dividends (including $5 from affiliates and net of $37 foreign withholding tax ) .... $ 91,395
Interest from affiliates ............................................................ 50,224
Securities lending--net ............................................................. 651
------------
Total income ........................................................................ 142,270
------------
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees ............................................................ $ 26,632
Professional fees ................................................................... 22,346
Printing and shareholder reports .................................................... 14,241
Custodian fees ...................................................................... 9,324
Transfer agent fees--Class I ........................................................ 4,998
Accounting services ................................................................. 3,836
Directors' fees and expenses ........................................................ 1,526
Pricing services .................................................................... 1,014
Distribution fees--Class II ......................................................... 1
Distribution fees--Class III ........................................................ 1
Transfer Agent--Class II ............................................................ 1
Transfer Agent--Class III ........................................................... 1
Other ............................................................................... 8,466
------------
Total expenses before waiver and reimbursement ...................................... 92,387
Waiver and reimbursement of expenses ................................................ (43,561)
------------
Total expenses after waiver and reimbursement ....................................... 48,826
------------
Investment income--net .............................................................. 93,444
------------
- ----------------------------------------------------------------------------------------------------------------------
Realized & Unrealized Gain--Net:
Realized gain on:
Investments--net .................................................................. 531,558
Financial futures contracts--net .................................................. 42,838 574,396
------------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................................. 666,790
Financial futures contracts--net .................................................. 22,053 688,843
------------ ------------
Total realized and unrealized gain--net ............................................. 1,263,239
------------
Net Increase in Net Assets Resulting from Operations ................................ $ 1,356,683
============
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
120
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Statements of Changes in Net Assets
For the Year Ended
December 31,
-----------------------------
Increase (Decrease) in Net Assets: 2006 2005**
- ----------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net .............................................................. $ 93,444 $ 65,648
Realized gain--net .................................................................. 574,396 106,017
Change in unrealized appreciation/depreciation--net ................................. 688,843 288,336
------------ ------------
Net increase in net assets resulting from operations ................................ 1,356,683 460,001
------------ ------------
- ----------------------------------------------------------------------------------------------------------------------
Dividends & Distributions to Shareholders:
Investment income--net:
Class I ........................................................................... (88,786) (75,982)
Class II .......................................................................... (13) (9)
Class III ......................................................................... (13) (9)
Realized gain--net:
Class I ........................................................................... (567,051) (49,523)
Class II .......................................................................... (81) (6)
Class III ......................................................................... (81) (6)
------------ ------------
Net decrease in net assets resulting from dividends and distributions to shareholders (656,025) (125,535)
------------ ------------
- ----------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions ....... (500,612) 8,119,162
------------ ------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets:
Total increase in net assets ........................................................ 200,046 8,453,628
Beginning of year ................................................................... 8,456,628 3,000
------------ ------------
End of year* ........................................................................ $ 8,656,674 $ 8,456,628
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* Undistributed investment income--net ............................................ $ 15,790 $ 11,468
============ ============
** The Portfolio commenced operations just prior to the close of business on December 31, 2004.
See Notes to Financial Statements.
121
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Financial Highlights
Class I
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005*
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.43 $ 10.00
------------ ------------
Investment income--net** ............................................................ .12 .09
Realized and unrealized gain--net ................................................... 1.72 .50
------------ ------------
Total from investment operations .................................................... 1.84 .59
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.13) (.10)
Realized gain--net ................................................................ (.79) (.06)
------------ ------------
Total dividends and distributions ................................................... (.92) (.16)
------------ ------------
Net asset value, end of year ........................................................ $ 11.35 $ 10.43
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:***
Based on net asset value per share .................................................. 17.62% 5.86%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .55% .55%
============ ============
Expenses ............................................................................ 1.04% 1.16%
============ ============
Investment income--net .............................................................. 1.05% .86%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 8,654 $ 8,455
============ ============
Portfolio turnover .................................................................. 17.77% 22.82%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
** Based on average shares outstanding.
*** Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
122
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Financial Highlights (continued)
Class II
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005*
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.43 $ 10.00
------------ ------------
Investment income--net** ............................................................ .11 .09
Realized and unrealized gain--net ................................................... 1.72 .50
------------ ------------
Total from investment operations .................................................... 1.83 .59
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.13) (.10)
Realized gain--net ................................................................ (.79) (.06)
------------ ------------
Total dividends and distributions ................................................... (.92) (.16)
------------ ------------
Net asset value, end of year ........................................................ $ 11.34 $ 10.43
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:***
Based on net asset value per share .................................................. 17.52% 5.86%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .62% .55%
============ ============
Expenses ............................................................................ 1.09% 1.16%
============ ============
Investment income--net .............................................................. .98% .88%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 17.77% 22.82%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
** Based on average shares outstanding.
*** Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
123
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Financial Highlights (concluded)
Class III
-----------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -----------------------------
from information provided in the financial statements. 2006 2005*
- ----------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year .................................................. $ 10.43 $ 10.00
------------ ------------
Investment income--net** ............................................................ .11 .09
Realized and unrealized gain--net ................................................... 1.71 .50
------------ ------------
Total from investment operations .................................................... 1.82 .59
------------ ------------
Less dividends and distributions from:
Investment income--net ............................................................ (.13) (.10)
Realized gain--net ................................................................ (.79) (.06)
------------ ------------
Total dividends and distributions ................................................... (.92) (.16)
------------ ------------
Net asset value, end of year ........................................................ $ 11.33 $ 10.43
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Return:***
Based on net asset value per share .................................................. 17.43% 5.86%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, net of waiver and reimbursement ........................................... .65% .55%
============ ============
Expenses ............................................................................ 1.12% 1.16%
============ ============
Investment income--net .............................................................. .96% .88%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
Supplemental Data:
Net assets, end of year (in thousands) .............................................. $ 1 $ 1
============ ============
Portfolio turnover .................................................................. 17.77% 22.82%
============ ============
- ----------------------------------------------------------------------------------------------------------------------
* The Portfolio commenced operations just prior to the close of business on
December 31, 2004.
** Based on average shares outstanding.
*** Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
124
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Notes to Financial Statements
1. Significant Accounting Policies:
On September 29, 2006, FAM Series Fund, Inc. and Mercury Small Cap Index
Portfolio were renamed BlackRock Series Fund, Inc. (the "Fund") and BlackRock
Small Cap Index Portfolio (the "Portfolio"), respectively. The Fund is an
open-end management investment company that is comprised of fourteen separate
portfolios. This report relates to six of the Fund's Portfolios, all of which
offer three classes of shares to the Merrill Lynch Life Insurance Company, ML
Life Insurance Company of New York (indirect, wholly owned subsidiaries of
Merrill Lynch & Co., Inc. ("Merrill Lynch")), and other insurance companies not
affiliated with Merrill Lynch, for their separate accounts to fund benefits
under certain variable annuity and variable life insurance contracts. The
Portfolio is classified as "non-diversified," as defined in the Investment
Company Act of 1940, as amended. Class I, Class II and Class III Shares have
equal voting, dividend, liquidation and other rights, except that only shares of
the respective classes are entitled to vote on matters concerning only that
class. In addition, Class II and Class III Shares bear certain expenses related
to the distribution of such shares. The Portfolio'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. Income, expenses (other than expenses attributable
to a specific class) and realized and unrealized gains and losses are allocated
daily to each class based on its relative net assets. The following is a summary
of significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the 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 over-the-counter ("OTC") market, 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 market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case
of exchange-traded options. Options traded in the OTC market are valued at the
last asked price (options written) or the last bid price (options purchased).
Swap agreements are valued based upon quoted fair valuations received daily by
the Portfolio from a pricing service or counterparty. Financial futures
contracts and options thereon, which are traded on exchanges, are valued at
their last sale price as of the close of such exchanges. Obligations with
remaining maturities of 60 days or less are valued at amortized cost unless
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., believes that this method no longer produces fair valuations.
Valuation of other short-term investment vehicles is generally based on the net
asset value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The
Portfolio employs pricing services to provide certain securities prices for the
Portfolio. Securities and 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, including valuations furnished
by the pricing services retained by the Portfolio, which may use a matrix system
for valuations. The procedures of a pricing service and its valuations are
reviewed by the officers of the Portfolio under the general supervision of the
Fund's Board of Directors. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Fund.
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 Portfolio's 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
125
the close of business on the NYSE that may not be reflected in the computation
of the Portfolio's net asset value. If events (for example, a company
announcement, market volatility or a natural disaster) occur during such periods
that are expected to materially affect the value of such securities, those
securities will be valued at their fair value as determined in good faith by the
Fund's Board of Directors or by the Manager using a pricing service and/or
procedures approved by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Portfolio 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 the securities markets. Losses may arise due to changes in the
value of the contract or if the counterparty does not perform under the
contract.
o Financial futures contracts -- The Portfolio may purchase or sell financial
futures contracts and options on such financial futures contracts. Financial
futures contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a contract, the
Portfolio deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the contract,
the Portfolio agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in 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 Options -- The Portfolio may write and purchase call and put options. When the
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 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 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 Forward foreign exchange contracts -- The Portfolio 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.
(c) 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 and 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 Portfolio invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- It is the Portfolio's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no federal income tax provision is required. Under the
applicable foreign tax law, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(e) Security transactions and investment income -- Security transactions
are recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Dividends and distributions -- Dividends and distributions paid by the
Portfolio are recorded on the ex-dividend dates.
(g) Expenses -- Certain expenses have been allocated to the individual
portfolios in the Fund on a
126
pro rata basis based upon the respective aggregate net asset value of each
portfolio included in the Fund
(h) Securities lending -- The Portfolio 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 receives a fee from the borrower. The
Portfolio typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(i) Recent accounting pronouncements -- In July 2006, the Financial
Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"),
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income tax
positions taken or expected to be taken by an entity including mutual funds
before being measured and recognized in the financial statements. Adoption of
FIN 48 is required for the last net asset value calculation in the first
required financial statement reporting period for fiscal years beginning after
December 15, 2006. The impact on the Portfolio's financial statements, if any,
is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is
effective for fiscal years beginning after November 15, 2007. FAS 157 defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating
the implications of FAS 157. At this time, its impact on the Portfolio's
financial statements has not been determined.
(j) Reclassification -- 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, during the current
year, $310 has been reclassified between undistributed net investment income and
paid-in capital in excess of par as a result of permanent difference
attributable to non-deductible expenses. This reclassification has no effect on
net assets or net asset values per share.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch combined Merrill
Lynch's investment management business, Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates, with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On August 15, 2006, shareholders of the Fund, on behalf of the Portfolio,
approved a new Investment Advisory Agreement with the Manager. BlackRock
Advisors, Inc. was recently reorganized into a limited liability company and
renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between
the Fund and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, MLIM was the Fund's Manager. The general partner of MLIM is
Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of
Merrill Lynch, which is the limited partner. The Fund has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc.
The Manager is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio.
127
For such services, the Portfolio pays a monthly fee at the annual rate of .30%
of the average daily value of the Portfolio's net assets. The Manager (and
previously MLIM) has agreed to voluntarily waive its fees and reimburse for
other Portfolio expenses so that the total annual portfolio operating expenses
do not exceed .55%, exclusive of distribution fees. The Manager may discontinue
or reduce this waiver at any time without notice. For the year ended December
31, 2006, MLIM and the Manager earned, waived and reimbursed fees as follows:
- --------------------------------------------------------------------------------
MLIM The Manager
--------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006
September 29, 2006 to December 31, 2006
Fees earned ...................... $ 20,311 $ 6,321
Waiver ........................... $(20,311) $ (6,321)
Reimbursement .................... $ (8,869) $ (8,060)
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the Sub-Adviser for services it provides a monthly fee
that is a percentage of the management fee paid by the Portfolio to the Manager.
Pursuant to the Distribution Plans adopted by the Fund, in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Portfolio pays the
Distributor an ongoing distribution fee each month at the annual rate of .15%
and .25% of the average daily value of the Portfolio's Class II and Class III
net assets, respectively. Class II and Class III commenced accruing the
distribution fee on September 30, 2006.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of Merrill Lynch, or its
affiliates. Pursuant to that order, the Fund has also retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, and MLIM,
LLC was the securities lending agent. BIM may, on behalf of the Fund and the
Portfolio, invest cash collateral received by the Portfolio 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, 2006, BIM received $280 in securities lending agent
fees.
For the year ended December 31, 2006, the Portfolio reimbursed MLIM and
the Manager $153 and $45, respectively, for certain accounting services.
In addition, MLPF&S earned $354 in commissions on the execution of
portfolio security transactions for the year ended December 31, 2006.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned
subsidiary of PNC and an affiliate of the Manager, became the Fund's transfer
agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of MLIM, PSI, FDS, FAMD, Merrill Lynch, and/or
MLIM, LLC.
Commencing September 29, 2006, certain officers and/or directors of the
Fund are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $1,395,601 and $2,042,252, respectively.
4. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
was ($500,612) and $8,119,162 for the years ended December 31, 2006 and December
31, 2005, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 31,520 $ 355,961
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 57,229 655,837
----------- -----------
Total issued ............................. 88,749 1,011,798
Shares redeemed .......................... (136,428) (1,512,598)
----------- -----------
Net decrease ............................. (47,679) $ (500,800)
=========== ===========
- -------------------------------------------------------------------------------
128
- -------------------------------------------------------------------------------
Class I Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 798,819 $ 7,998,865
Shares issued to shareholders
in reinvestment of dividends
and distributions ...................... 11,953 125,505
----------- -----------
Total issued ............................. 810,772 8,124,370
Shares redeemed .......................... (505) (5,238)
----------- -----------
Net increase ............................. 810,267 $ 8,119,132
=========== ===========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- -------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 8 $ 94
----------- -----------
Net increase ............................. 8 $ 94
=========== ===========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class II Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ...................... 1 $ 15
----------- -----------
Net increase ............................. 1 $ 15
=========== ===========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
- -------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of dividends
and distributions ................ 8 $ 94
----------- -----------
Net increase ............................. 8 $ 94
=========== ===========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class III Shares for the Year Ended Dollar
December 31, 2005* Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders
in reinvestment of dividends
and distributions ...................... 1 $ 15
----------- -----------
Net increase ............................. 1 $ 15
=========== ===========
- -------------------------------------------------------------------------------
* Prior to the close of business on December 31, 2004 (commencement of
operations), the Portfolio issued 100 shares to MLIM for $1,000.
5. Short-Term Borrowings:
The Fund, on behalf of the Portfolio, along with certain other funds managed by
the Manager and its affiliates (or MLIM and its affiliates), is party to a
$500,000,000 credit agreement with a group of lenders. The Portfolio may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The 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. On November 22, 2006, the credit agreement was renewed for
one year under substantially the same terms. The Portfolio 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 Portfolio's election, the federal funds
rate plus .35% or a base rate as defined in the credit agreement. The Portfolio
did not borrow under the credit agreement during the year ended December 31,
2006.
6. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- -------------------------------------------------------------------------------
12/31/2006 12/31/2005
- -------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ........................ $ 150,143 $ 122,713
Long-term capital gains ................ 505,882 2,822
----------- -----------
Total taxable distributions .............. $ 656,025 $ 125,535
=========== ===========
- -------------------------------------------------------------------------------
As of December 31, 2006, the components of accumulated earnings on a tax
basis were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income--net ......................... $ 3,882
Undistributed long-term capital gains--net ................. 50,895
----------
Total undistributed earnings--net .......................... 54,777
Capital loss carryforward .................................. --
Unrealized gains--net ...................................... 985,449*
----------
Total accumulated earnings--net ............................ $1,040,226
==========
- -------------------------------------------------------------------------------
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains/losses on certain
financial futures contracts and other book/tax differences.
7. Subsequent Event:
On January 31, 2007, the Fund's Board of Directors has approved a Plan of
Liquidation, Dissolution and Termination contingent upon contract holder
approval of a Plan of Substitution. A preliminary proxy statement has been filed
with the Securities and Exchange Commission and its review is pending.
129
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of BlackRock Small Cap Index Portfolio of
BlackRock Series Fund, Inc. (formerly Mercury Small Cap Index Portfolio of FAM
Series Fund, Inc.) (the "Fund") as of December 31, 2006 and the related
statement of operations for the year then ended and the statements of changes in
net assets and the financial highlights for each of the two 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 audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2006, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Small Cap Index Portfolio of BlackRock Series Fund, Inc. as of
December 31, 2006, the results of its operations for the year then ended and the
changes in its net assets and its financial highlights for each of the two years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Proxy Results (unaudited)
During the six-month period ended December 31, 2006, BlackRock Small Cap Index
Portfolio of BlackRock Series Fund, Inc.'s shareholders voted on the following
proposals, which were approved at a special shareholders' meeting on August 15,
2006. A description of the proposals and number of shares voted are as follows:
- --------------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- --------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with
BlackRock Advisors, Inc. .......................... 820,670 0 0
- --------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement with
BlackRock Advisors, Inc. .......................... 820,670 0 0
- --------------------------------------------------------------------------------------------------
130
BlackRock Series Fund, Inc.
Disclosure of Investment Advisory Agreement
BlackRock Investment Advisory Agreement -- Matters Considered by the Board
The following disclosure appeared in the June 30, 2006 Semi-Annual Report of the
Portfolios and is the discussion referred to in "New BlackRock Sub-Advisory
Agreements -- Matters Considered by the Board" below. The term "Investment
Adviser" as used herein refers to Merrill Lynch Investment Managers, L.P.
New BlackRock Investment Advisory Agreement -- Matters Considered by the Board
In connection with the Transaction between Merrill Lynch and BlackRock, the
Fund's Board of Directors considered a new investment advisory agreement (the
"New Investment Advisory Agreement") between the Fund, on behalf of the
Portfolios, and BlackRock Advisors, Inc. ("BlackRock Advisors"). If the New
Investment Advisory Agreement is approved by shareholders, it will become
effective upon the closing of the Transaction, which is expected in the third
quarter of 2006.
The Board discussed the New Investment Advisory Agreement at telephonic
and in-person meetings held during April and May 2006. The Board, including the
independent directors, approved the New Investment Advisory Agreement on May 8,
2006.
To assist the Board in its consideration of the New Investment Advisory
Agreement, BlackRock provided materials and information about BlackRock,
including its financial condition and asset management capabilities and
organization, and Merrill Lynch provided materials and information about the
Transaction. The independent directors, through their independent legal counsel,
also requested and received additional information from Merrill Lynch and
BlackRock in connection with their consideration of the New Investment Advisory
Agreement. The additional information was provided in advance of the May 2006
meeting. In addition, the independent directors consulted with their counsel and
Fund counsel on numerous occasions, discussing, among other things, the legal
standards and certain other considerations relevant to the directors'
deliberations.
At the Board meetings, the directors discussed with Merrill Lynch
management and certain BlackRock representatives the Transaction, its strategic
rationale and BlackRock's general plans and intentions regarding the Portfolios.
At these Board meetings, representatives of Merrill Lynch and BlackRock made
presentations to and responded to questions from the Board. The directors also
inquired about the plans for and anticipated roles and responsibilities of
certain employees and officers of the Investment Adviser and certain affiliates
being transferred to BlackRock in connection with the Transaction. The
independent directors of the Board also conferred separately and with their
counsel about the Transaction and other matters related to the Transaction on a
number of occasions, including in connection with the April and May 2006
meetings. After the presentations and after reviewing the written materials
provided, the independent directors met in executive sessions with their counsel
to consider the New Investment Advisory Agreement.
In connection with the Board's review of the New Investment Advisory
Agreement, Merrill Lynch and/or BlackRock advised the directors about a variety
of matters. The advice included the following, among other matters:
o that there is not expected to be any diminution in the nature, quality and
extent of services provided to any Portfolio and its shareholders by BlackRock
Advisors, including compliance services;
o that operation of New BlackRock as an independent investment management firm
will enhance its ability to attract and retain talented professionals;
o that each Portfolio should benefit from having access to BlackRock's state of
the art technology and risk management analytic tools, including investment
tools, provided under the BlackRock Solutions(R) brand name;
o that BlackRock has no present intention to alter any applicable expense
waivers or reimbursements currently in effect and, while it reserves the right
to do so in the future, it would seek the approval of the Board before making
any changes;
o that in connection with the Transaction, Merrill Lynch and BlackRock have
agreed to conduct, and use reasonable best efforts to cause their respective
affiliates to conduct, their respective businesses in compliance with the
conditions of Section 15(f) of the Investment Company Act of 1940 (the "1940
Act") in relation to any public funds
131
advised by BlackRock or the Investment Adviser (or its affiliates),
respectively; and
o that Merrill Lynch and BlackRock would derive benefits from the Transaction
and that, as a result, they have a different financial interest in the matters
that were being considered than do Portfolio shareholders.
The directors considered the information provided by Merrill Lynch and
BlackRock above, and, among other factors, the following:
o the potential benefits to Portfolio shareholders from being part of a combined
fund family with BlackRock-sponsored funds, including possible economies of
scale and access to investment opportunities;
o the potential for expanding distribution of Portfolio shares through improved
access to third party distribution;
o the reputation, financial strength and resources of BlackRock and its
investment advisory subsidiaries and the anticipated financial strength and
resources of New BlackRock;
o the compliance policies and procedures of BlackRock Advisors;
o the terms and conditions of the New Investment Advisory Agreement, including
the fact that the schedule of each Portfolio's total advisory fees will not
increase by virtue of the New Investment Advisory Agreement, but will remain the
same;
o that in May 2005, the Board had performed a full annual review of the
investment advisory agreement currently in effect for each Portfolio (the
"Current Investment Advisory Agreement") as required by the 1940 Act and has
determined that the Investment Adviser has the capabilities, resources and
personnel necessary to provide the advisory and administrative services
currently provided to each Portfolio; and that the advisory and/or management
fees paid by each Portfolio, taking into account any applicable agreed-upon fee
waivers and breakpoints, represent reasonable compensation to the Investment
Adviser in light of the services provided, the costs to the Investment Adviser
of providing those services, economies of scale, the fees and other expenses
paid by similar funds (including information provided by Lipper Inc.
["Lipper"]), and such other matters as the directors have considered relevant in
the exercise of their reasonable judgment; and
o that Merrill Lynch agreed to pay all expenses of each Portfolio in connection
with the Board's consideration of the New Investment Advisory Agreement and
related agreements and all costs of shareholder approval of the New Investment
Advisory Agreement and as a result no Portfolio would bear any costs in
obtaining shareholder approval of the New Investment Advisory Agreement.
Certain of these considerations are discussed in more detail below.
In its review of the New Investment Advisory Agreement, the Board assessed
the nature, scope and quality of the services to be provided to each Portfolio
by the personnel of BlackRock Advisors and its affiliates, including
administrative services, shareholder services, oversight of fund accounting,
marketing services and assistance in meeting legal and regulatory requirements.
In its review of the New Investment Advisory Agreement, the Board also
considered a range of information in connection with its oversight of the
services to be provided by BlackRock Advisors and its affiliates. Among the
matters considered for each Portfolio were: (a) fees (in addition to management
fees) to be paid to BlackRock Advisors and its affiliates by the Portfolio; (b)
operating expenses paid to third parties; (c) the resources devoted to and
compliance reports relating to the Portfolio's investment objective, policies
and restrictions, and its compliance with its Code of Ethics and BlackRock
Advisors' compliance policies and procedures; and (d) the nature, cost and
character of non-investment management services to be provided by BlackRock
Advisors and its affiliates.
In the period prior to the Board meetings to consider renewal of the
Current Investment Advisory Agreement, the Board had requested and received
materials specifically relating to the Current Investment Advisory Agreement.
For each Portfolio, these materials included (a) information compiled by Lipper
on the fees and expenses and the investment performance of the Portfolio as
compared to a comparable group of funds as classified by Lipper; (b) a
discussion by the portfolio management team for the Portfolio on investment
strategies used by the Portfolio during its most recent fiscal year; (c)
information on the profitability to the Investment Adviser of the Current
Investment Advisory Agreement and other payments received by the Investment
Adviser and its affiliates from the Portfolio; and (d) information provided by
the Investment Adviser concerning services related to the valuation and pricing
of portfolio holdings, allocation of any brokerage fees, portfolio turnover
132
statistics, and direct and indirect benefits to the Investment Adviser and its
affiliates from their relationship with the Portfolio.
In their deliberations, the directors considered information received in
connection with their most recent continuation of the Current Investment
Advisory Agreement, in addition to information provided by BlackRock and
BlackRock Advisors in connection with their evaluation of the terms and
conditions of the New Investment Advisory Agreement. The directors did not
identify any particular information that was all-important or controlling, and
each director attributed different weights to the various factors. The
directors' determinations were made separately in respect of each Portfolio. The
directors, including a majority of the independent directors, concluded that the
terms of the New Investment Advisory Agreement are appropriate, that the fees to
be paid are reasonable in light of the services to be provided to the Portfolio,
and that the New Investment Advisory Agreement should be approved and
recommended to each Portfolio's shareholders.
Nature, Quality and Extent of Services Provided -- The Board reviewed the
nature, extent and quality of services provided by the Investment Adviser,
including the investment advisory services and the resulting performance of each
Portfolio, as well as the nature, quality and extent of services expected to be
provided by BlackRock Advisors. The Board focused primarily on the Investment
Adviser's investment advisory services and each Portfolio's investment
performance, but also considered certain areas in which both the Investment
Adviser and the Portfolio receive services as part of the Merrill Lynch complex.
The Board compared each Portfolio's performance -- both including and excluding
the effects of fees and expenses -- to the performance of a comparable group of
mutual funds, and the performance of a relevant index or combination of indexes.
While the Board reviews performance data at least quarterly, consistent with the
Investment Adviser's investment goals, the Board attaches more importance to
performance over relatively long periods of time, typically three to five years.
In evaluating the nature, quality and extent of the services to be
provided by BlackRock Advisors under the New Investment Advisory Agreement, the
directors considered, among other things, the expected impact of the Transaction
on the operations, facilities, organization and personnel of BlackRock Advisors
and how it would affect each Portfolio; the ability of BlackRock Advisors to
perform its duties after the Transaction; and any anticipated changes to the
current investment and other practices of each Portfolio. The directors
considered BlackRock's advice as to proposed changes in portfolio management
personnel of certain Portfolios after the closing of the Transaction.
The directors were given information with respect to the potential
benefits to each Portfolio and its shareholders from having access to
BlackRock's state of the art technology and risk management analytic tools,
including the investment tools provided under the BlackRock Solutions brand
name.
The directors were advised that, as a result of Merrill Lynch's equity
interest in BlackRock after the Transaction, each Portfolio will continue to be
subject to restrictions concerning certain transactions involving Merrill Lynch
affiliates (for example, transactions with a Merrill Lynch broker-dealer acting
as principal) absent revised or new regulatory relief. The directors were
advised that a revision of existing regulatory relief with respect to these
restrictions was being sought from the Securities and Exchange Commission and
were advised of the possibility of receipt of such revised regulatory relief.
There can be no assurance that such relief will be obtained.
Based on their review of the materials provided and the assurances they
had received from the management of Merrill Lynch and of BlackRock, the
directors determined that the nature and quality of services to be provided to
each Portfolio under the New Investment Advisory Agreement were expected to be
as good or better than that provided under the Current Investment Advisory
Agreement. It was noted, however, that it is expected that there will be changes
in personnel following the Transaction and the combination of the operations of
the Investment Adviser and its affiliates with those of BlackRock. The directors
noted that if current portfolio managers or other personnel cease to be
available, the Board would consider all available options, which could include
seeking the investment advisory or other services of BlackRock affiliates.
Accordingly, the directors concluded that, overall, they were satisfied at the
present time with assurances from BlackRock and BlackRock Advisors as to the
expected nature, extent and quality of the services to be provided to each
Portfolio under the New Investment Advisory Agreement.
Costs of Services Provided and Profitability -- It was noted that, in
conjunction with the recent review of the Current Investment Advisory
133
Agreement, the directors had received, among other things, a report from Lipper
comparing each Portfolio's fees, expenses and performance to those of a peer
group selected by Lipper, and information as to the fees charged by the
Investment Adviser or its affiliates to other registered investment company
clients for investment management services. The Board reviewed each Portfolio's
contractual management fee rate and actual management fee rate as a percentage
of total assets at common asset levels -- the actual rate includes advisory fees
and the effects of any fee waivers -- compared to the other funds in its Lipper
category. They also compared each Portfolio's total expenses to those of other
comparable funds. The information showed that each Portfolio had fees and
expenses within the range of fees and expenses of comparable funds. For each of
the Mercury Global SmallCap, Mercury Mid Cap Value Opportunities and Mercury
International Index Portfolios, the Board considered the services to be provided
by and the fees to be charged by BlackRock Advisors to other funds with similar
investment mandates and noted that the fees charged by BlackRock Advisors in
those cases, including fee waivers and expense reimbursements, were generally
comparable to those being charged to the Portfolio. The Board concluded that the
each Portfolio's management fee and fee rate and overall expense ratio are
reasonable compared to those of other comparable funds.
In evaluating the costs of the services to be provided by BlackRock
Advisors under the New Investment Advisory Agreement, the directors considered,
among other things, whether advisory fees or other expenses would change as a
result of the Transaction. Based on their review of the materials provided and
the fact that the New Investment Advisory Agreement is substantially similar to
the Current Investment Advisory Agreement in all material respects, including
the rate of compensation, the directors determined that the Transaction should
not increase the total fees payable, including any fee waivers and expense
reimbursements, for advisory and administrative services. The directors noted
that it was not possible to predict with certainty New BlackRock's future
profitability from its relationship with each Portfolio.
The directors discussed with BlackRock Advisors its general methodology to
be used in determining New BlackRock's profitability with respect to its
relationship with each Portfolio. The directors noted that they expect to
receive profitability information from New BlackRock on at least an annual basis
and thus be in a position to evaluate whether any adjustments in a Portfolio's
fees and/or fee breakpoints would be appropriate.
Fees and Economies of Scale -- The Board considered the extent to which
economies of scale might be realized as the assets of each Portfolio increase
and whether there should be changes in the management fee rate or structure in
order to enable the Portfolio to participate in these economies of scale. The
Board determined that changes were not currently necessary and that each
Portfolio appropriately participated in these economies of scale.
In reviewing the Transaction, the directors considered, among other
things, whether advisory fees or other expenses would change as a result of the
Transaction. Based on the fact that the New Investment Advisory Agreement is
substantially similar to the Current Investment Advisory Agreement in all
material respects, including the rate of compensation, the directors determined
that as a result of the Transaction, no Portfolio's total advisory fees would be
higher than the fees under its Current Investment Advisory Agreement. The
directors noted that in conjunction with their most recent deliberations
concerning the Current Investment Advisory Agreement, the directors had
determined that the total fees for advisory and administrative services for each
Portfolio were reasonable in light of the services provided. It was noted that
in conjunction with the recent review of the Current Investment Advisory
Agreement, the directors had received, among other things, a report from Lipper
comparing each Portfolio's fees, expenses and performance to those of a peer
group selected by Lipper, and information as to the fees charged by the
Investment Adviser to other registered investment company clients for investment
management services. The directors concluded that, because the rates for
advisory fees for each Portfolio would be no higher than its current fee rates,
the proposed management fee structure, including any fee waivers, was reasonable
and that no additional changes were currently necessary.
Fall-Out Benefits -- In evaluating the fall-out benefits to be received by
BlackRock Advisors under the New Investment Advisory Agreement, the directors
considered whether the Transaction would have an impact on the fall-out benefits
received by the Investment Adviser by virtue of the Current Investment Advisory
Agreement. Based on their review of the materials provided, including materials
received in connection with their most recent continuance of the Current
Investment Advisory Agreement, and their discussions with management of the
Investment Adviser and BlackRock, the directors determined that those benefits
could include increased ability for BlackRock to distribute
134
shares of its funds and other investment products and, where applicable, to
obtain research services using portfolio transaction brokerage commissions. The
directors also considered possible benefits stemming from the proposal that PFPC
Financial Services, an affiliate of BlackRock, serve as transfer agent for each
Portfolio following the Transaction. The directors noted that any benefits were
difficult to quantify with certainty at this time, and indicated that they would
continue to evaluate them going forward.
Investment Performance -- The directors considered investment performance
for each Portfolio. The directors compared each Portfolio's performance -- both
including and excluding the effects of fees and expenses -- to the performance
of a comparable group of mutual funds, and the performance of a relevant index
or combination of indexes. The comparative information received from Lipper
showed each Portfolio's performance at various levels within the range of
performance of comparable funds over different time periods. While the Board
reviews performance data at least quarterly, consistent with the Investment
Adviser's investment goals, the Board attaches more importance over relatively
long periods of time, typically three to five years. The directors believed each
Portfolio's performance was satisfactory. Also, the directors took into account
the investment performance of funds currently advised by BlackRock Advisors. The
Board considered comparative information from Lipper which showed that the
performance of the funds advised by BlackRock Advisors was within the range of
performance of comparable funds over different time periods. The Board noted
BlackRock's considerable investment management experience and capabilities, but
was unable to predict what effect, if any, consummation of the Transaction would
have on the future performance of any Portfolio.
Conclusion -- After the independent directors of the Fund deliberated in
executive session, the entire Board, including the independent directors,
approved the New Investment Advisory Agreement on behalf of each Portfolio,
concluding that the Portfolio's advisory fee rate was reasonable in relation to
the services provided and that the New Investment Advisory Agreement was in the
best interests of the shareholders. In approving the New Investment Advisory
Agreement, the Board noted that it anticipated reviewing the continuance of the
agreement in advance of the expiration of the initial two-year period.
Contingent BlackRock Sub-Advisory Agreement -- Matters Considered by the Board
At the telephonic and in-person meetings held during April and May 2006 at which
the Board discussed and approved the New Investment Advisory Agreement, the
Board of Directors, including the independent directors, also discussed and
approved a contingent sub-advisory agreement (the "Contingent Sub-Advisory
Agreement") between the Investment Adviser and BlackRock Advisors (the
"BlackRock Sub-Adviser"). The Contingent Sub-Advisory Agreement is intended to
ensure that a Portfolio operate with efficient portfolio management services
until the closing of the Transaction, in the event that the Board deems it
necessary and in the best interests of the Portfolio and its shareholders that
the BlackRock Sub-Adviser assist in managing the operations of the Portfolio
during the interim period until the closing of the Transaction. If shareholders
approve the Contingent Sub-Advisory Agreement, it will take effect only upon
recommendation from the Investment Adviser and upon subsequent approval of the
Board in the period up to the closing of the Transaction. The effectiveness of
the Contingent Sub-Advisory Agreement, therefore, would be contingent on further
Board approval after shareholders approve it. Pursuant to each Contingent
Sub-Advisory Agreement, the BlackRock Sub-Adviser would receive a monthly fee
from the Investment Adviser equal to 50% of the advisory fee received by the
Investment Adviser. The Investment Adviser would pay the BlackRock Sub-Adviser
out of its own resources. There would be no increase in any Portfolio's expenses
as a result of the Contingent Sub-Advisory Agreement.
In making its approval at the May in-person meeting, the Board considered
the Contingent Sub-Advisory Agreement in conjunction with the New Investment
Advisory Agreement and reviewed the same information and factors discussed
above. The Board also considered in conjunction with the Contingent Sub-Advisory
Agreement the necessity of ensuring that each Portfolio operates with effective
management services until the closing of the Transaction. In reviewing the
sub-advisory fee rate provided in the Contingent Sub-Advisory Agreement, the
Board took note of the fact that both the Investment Adviser and the BlackRock
Sub-Adviser would have significant responsibilities under their respective
advisory agreements. The Investment Adviser would remain responsible for
oversight of a Portfolio's operations and administration and the BlackRock
Sub-Adviser would provide advisory services to the Portfolio
135
under the Contingent Sub-Advisory Agreement. The Board also took into account
the expected short duration of the term of any Contingent Sub-Advisory Agreement
and the fact that no Portfolio's advisory fees would increase as a result of the
Contingent Sub-Advisory Agreement. Under all of the circumstances, the Board
concluded that it was a reasonable allocation of fees for the BlackRock
Sub-Adviser to receive 50% of the advisory fee paid by each Portfolio to the
Investment Adviser.
After the independent directors deliberated in executive session, the
entire Board, including the independent directors, approved the Contingent
Sub-Advisory Agreement, concluding that the advisory fee for each Portfolio was
reasonable in relation to the services provided and that the Contingent
Sub-Advisory Agreement was in the best interests of shareholders.
BlackRock Series Fund, Inc.
Disclosure of Sub-Advisory Agreement
New BlackRock Sub-Advisory Agreements -- Matters Considered by the Board
At an in-person meeting held on August 16-17, 2006, the Board of Directors,
including the independent directors, discussed and approved the sub-advisory
agreements between BlackRock Advisors, LLC (previously organized as BlackRock
Advisors, Inc.) ("BlackRock Advisors") and the following affiliates (the
"Sub-Advisers") (the "BlackRock Sub-Advisory Agreements"):
o BlackRock Investment Management, LLC ("BIM"), with respect to each of Equity
Dividend Portfolio, Global SmallCap Portfolio, International Index Portfolio,
Mid Cap Value Opportunities Portfolio and Small Cap Index Portfolio. Pursuant to
the pertinent BlackRock Sub-Advisory Agreement, BIM receives a monthly fee from
BlackRock Advisors at an annual rate equal to 74% of the advisory fee received
by BlackRock Advisors from each of these Portfolios.
o BlackRock Financial Management, Inc. ("BFM"), with respect to Short-Term Bond
Portfolio. Pursuant to the pertinent BlackRock Sub-Advisory Agreement, BFM
receives a monthly fee from BlackRock Advisors at an annual rate equal to 59% of
the advisory fee received by BlackRock Advisors from Short-Term Bond Portfolio.
The BlackRock Sub-Advisory Agreements became effective on September 29,
2006, at the same time the New Investment Advisory Agreement with BlackRock
Advisors (which had been approved by the Portfolios' shareholders) became
effective.
BlackRock Advisors pays the Sub-Advisers out of its own resources, and
there is no increase in the expenses of any Portfolio as a result of the
BlackRock Sub-Advisory Agreements.
In approving the BlackRock Sub-Advisory Agreements at the August 2006
in-person meeting, the Board reviewed its considerations in connection with its
approval of the New Investment Advisory Agreement in May 2006. The Board relied
on the same information and considered the same factors as those discussed above
in connection with the approval of the New Investment Advisory Agreement. In
reviewing the sub-advisory fee rates provided for in the BlackRock Sub-Advisory
Agreements, the Board noted the fact that both BlackRock Advisors and each
Sub-Adviser have significant responsibilities under their respective advisory
agreements. Under the New Investment Advisory Agreement, BlackRock Advisors
remains responsible for the overall management of each Portfolio and for
oversight of each Portfolio's operations and administration. Under the BlackRock
Sub-Advisory Agreements, each Sub-Adviser provides advisory services to each
pertinent Portfolio and is responsible for the day-to-day management of the
Portfolio's portfolio. The Board also took into account the fact that there is
no increase in total advisory fees paid by any Portfolio as a result of the
BlackRock Sub-Advisory Agreements. Based on its considerations, the Board
concluded that it was a reasonable allocation of fees for the pertinent
Sub-Adviser to receive the portion of the advisory fee paid by each Portfolio to
BlackRock Advisors, as noted above.
After the independent directors deliberated in executive session, the
entire Board, including the independent directors, approved each BlackRock
Sub-Advisory Agreement, concluding that the sub-advisory fee was reasonable in
relation to the services provided and that each BlackRock Sub-Advisory Agreement
was in the best interests of each pertinent Portfolio's shareholders.
136
BlackRock Series Fund, Inc.
Officers and Directors
Interested Director
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Position(s) Principal Occupation(s) Overseen Directorships Held
Name, Address & Age Held with Fund Length of Time Served During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, Jr.* President 2005 to Vice Chairman and Director of 122 Funds None
P.O. Box 9011 and Director present BlackRock, Inc., Global Chief 168 Portfolios
Princeton, NJ Investment Officer for Equities,
08543-9011 Chairman of the BlackRock Retail
Age: 52 Operating Committee, and member
of the BlackRock Executive Com-
mittee since 2006; President of the
funds advised by Merrill Lynch
Investment Managers, L.P. ("MLIM")
and its affiliates ("MLIM/FAM-
advised funds") from 2005 to 2006
and Chief Investment Officer thereof
from 2001 to 2006; President of MLIM
and Fund Asset Management, L.P.
("FAM") from 2001 to 2006; Co-Head
(Americas Region) thereof from 2000
to 2001 and Senior Vice President
from 1999 to 2001; President and
Director of Princeton Services, Inc.
("Princeton Services") and President
of Princeton Administrators, L.P.
("Princeton Administrators") from
from 2001 to 2006; Chief Investment
Officer of OppenheimerFunds, Inc. in
1999 and Executive Vice President
thereof from 1991 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies for which BlackRock
Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an "interested person," as defined in the Investment
Company Act, of the Fund based on his positions with BlackRock, Inc. and its affiliates. Directors serve until their
resignation, removal or death, or until December 31 of the year in which they turn 72. As Fund President, Mr. Doll serves at
the pleasure of the Board of Directors.
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Directors
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Principal Occupation(s) Overseen Directorships Held
of Director Held with Fund Length of Time Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Director 2002 to General Partner of The Burton 21 Funds Knology, Inc.
P.O. Box 9095 present Partnership, Limited Partnership 38 Portfolios (telecommuni-
Princeton, NJ (an investment partnership) since cations);
08543-90952 1979; Managing General Partner Symbion, Inc.
Age: 62 of The South Atlantic Venture (health care);
Funds since 1983; Member of the and Capital
Investment Advisory Council of the Southwest
Florida State Board of (financial)
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
137
BlackRock Series Fund, Inc.
Officers and Directors (continued)
Independent Directors (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Principal Occupation(s) Overseen Directorships Held
of Director Held with Fund Length of Time Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
John Francis O'Brien Director 2005 to present President and Chief Executive 21 Funds Cabot Corpor-
P.O. Box 9095 Officer of Allmerica Financial 38 Portfolios ation (chemicals);
Princeton, NJ Corporation (financial services LKQ Corporation
08543-9095 holding company) from 1995 to (auto parts manu-
Age: 63 2002 and Director from 1995 to facturing); and
2003; President of Allmerica TJX Companies,
Investment Management Co., Inc.(retailer)
Inc. (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.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. Walsh Director 2003 to present Director, Ruckleshaus Institute and 21 Funds None
P.O. Box 9095 Haub School of Natural Resources 38 Portfolios
Princeton, NJ at the University of Wyoming since
08543-9095 2006; Consultant with Putnam
Age: 65 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.
- ------------------------------------------------------------------------------------------------------------------------------------
138
BlackRock Series Fund, Inc.
Officers and Directors (continued)
Independent Directors (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Funds and
Portfolios in
Fund Complex Other Public
Name, Address & Age Position(s) Principal Occupation(s) Overseen Directorships Held
of Director Held with Fund Length of Time Served* During Past 5 Years by Director by Director
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss ** Director 1999 to present Managing Director of FGW 21 Funds Watson Pharma-
P.O. Box 9095 Associates since 1997; 38 Portfolios ceuticals, Inc.
Princeton, NJ Vice President, Planning, (pharmaceutical
08543-9095 Investment and Development of company)
Age: 65 Warner Lambert Co. from 1979
to 1997; Director of the Michael
J. Fox Foundation for Parkinson's
Research since 2000; Director of
BTG International Plc (a global
technology commercialization
company) since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
** Chairman of the Board of Directors and the Audit Committee.
- ------------------------------------------------------------------------------------------------------------------------------------
Fund Officers
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s)
Name, Address & Age Held with Fund Length of Time Served* Principal Occupation(s) During Past 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Vice President 1993 to present and Managing Director of BlackRock, Inc. since 2006; Manager Director of
P.O. Box 9011 and Treasurer 1999 to present Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund Asset
Princeton, NJ Management, L.P. ("FAM") in 2006; First Vice President of MLIM and
08543-9011 FAM from 1997 to 2005 and Treasurer thereof from 1999 to 2006;
Age: 46 Vice President of MLIM and FAM from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Murali Balaraman Vice 2005 to present Vice President of BlackRock, Inc. since 2006; Vice President of MLIM
P.O. Box 9011 President from 2004 to 2006; and from 1998 to 2001; Portfolio manager at
Princeton, NJ Atlas Capital Management from 1997 to 1998; Director of Investments
08543-9011 for Samuel Asset Management from 1997 to 1998.
Age: 41
- ------------------------------------------------------------------------------------------------------------------------------------
R. Elise Baum Vice 2004 to present Managing Director of BlackRock, Inc. since 2006; Managing Director
P.O. Box 9011 President of MLIM from 2000 to 2006; First Vice President of MLIM from1999 to
Princeton, NJ 2000; Director of MLIM from 1997 to 1999; Vice President of MLIM
08543-9011 from 1995 to 1997.
Age: 46
- ------------------------------------------------------------------------------------------------------------------------------------
John Coyle Vice 2005 to present Vice President of BlackRock, Inc. since 2006; Vice President of MLIM
P.O. Box 9011 President from 1998 to 2006; Managing Director and portfolio manager with Bear
Princeton, NJ Stearns Asset Management from 2001 to 2004.
08543-9011
Age: 44
- ------------------------------------------------------------------------------------------------------------------------------------
Debra L. Jelilian Vice 2004 to present Director of BlackRock, Inc. since 2006; Director of MLIM from 1999
P.O. Box 9011 President to 2006.
Princeton, NJ
08543-9011
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
Robert M. Shearer Vice 2004 to present Managing Director of BlackRock, Inc. since 2006; Managing Director
P.O. Box 9011 President of MLIM from 2000 to 2006; First Vice President of MLIM from 1998 to
Princeton, NJ 2000; Vice President of MLIM from 1997 to 1998.
08543-9011
Age: 51
- ------------------------------------------------------------------------------------------------------------------------------------
139
BlackRock Series Fund, Inc.
Officers and Directors (concluded)
Fund Officers (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s) Held
Name, Address & Age with Fund Length of Time Served* Principal Occupation(s) During Past 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Hiller Fund Chief 2004 to present Managing Director of BlackRock, Inc. and Fund Chief Compliance
P.O. Box 9011 Compliance Officer since 2006; Chief Compliance Officer of the MLIM/FAM-advised
Princeton, NJ Officer funds and First Vice President and Chief Compliance Officer of MLIM
08543-9011 (Americas Region) from 2004 to 2006; Chief Compliance Officer of the
Age: 55 IQ Funds since 2004; Global Director of Compliance at Morgan Stanley
Investment Management from 2002 to 2004; Managing Director and
Global Director of Compliance at Citigroup Asset Management from
2000 to 2002; Chief Compliance Officer at Soros Fund Management in
2000; Chief Compliance Officer at Prudential Financial from 1995 to
2000; Senior Counsel in the Securities and Exchange Commission's
Division of Enforcement in Washington, D.C. from 1990 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. Pellegrino Secretary 2004 to present Director of BlackRock, Inc. since 2006; Director (Legal Advisory) of
P.O. Box 9011 MLIM from 2002 to 2006; Vice President of MLIM from 1999 to 2002;
Princeton, NJ Attorney associated with MLIM from 1997 to 2006; Secretary of MLIM,
08543-9011 FAM, FAM Distributors, Inc. and Princeton Services from 2004 to
Age: 46 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 1-800-441-7762.
- --------------------------------------------------------------------------------
Custodian
For BlackRock Equity Dividend Portfolio, BlackRock
Mid Cap Value Opportunities Portfolio and
BlackRock Small Cap Index Portfolio:
The Bank of New York
100 Church Street
New York, NY 10286
For BlackRock Global SmallCap Portfolio,
BlackRock International Index Portfolio and
BlackRock Short-Term Bond Portfolio:
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Principal Office of the Fund
BlackRock Series Fund, Inc.
Box 9011
Princeton, NJ 08543-9011
140
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; and (iv) from visits to our Web sites.
BlackRock does not sell or disclose to nonaffiliated third parties any
nonpublic personal information about its Clients, except as permitted by law or
as is necessary to service Client accounts. These nonaffiliated third parties
are required to protect the confidentiality and security of this information and
to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to nonpublic
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the nonpublic
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
BlackRock Series Fund, Inc.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
141
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
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. Statements and other
information herein are as dated and are subject to change.
Investment in foreign securities involves special risks including fluctuating
foreign exchange rates, foreign government regulations, differing degrees of
liquidity and the possibility of substantial volatility due to adverse
political, economic or other developments.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-441-7762; (2) on
www.blackrock.com; and (3) on the Securities and Exchange Commission's Web site
at http://www.sec.gov. Information about how the Fund voted proxies relating to
securities held in the Fund's portfolios during the most recent 12-month period
ended December 31, is available (1) at www.blackrock.com and (2) on the
Securities and Exchange Commission's Web site at http://www.sec.gov.
Series 6-12/06
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge at
www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) Laurie Simon Hodrick (resigned as of May 1, 2006), (3) John
F. O'Brien, (4) David H. Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick qualifies as a financial expert pursuant to Item 3(c)(4) of
Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $110,000
Fiscal Year Ending December 31, 2005 - $110,000
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2006 - $52,069
Fiscal Year Ending December 31, 2006 - $47,350
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to the
registrant's affiliated service providers that relate directly to the
operations and the financial reporting of the registrant. Certain of
these non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and recurring
services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a
specific case-by-case basis ("general pre-approval"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or
$50,000 for all of the registrants the Committee oversees. Any proposed
services exceeding the pre-approved cost levels will require specific
pre-approval by the Committee, as will any other services not subject
to general pre-approval (e.g., unanticipated but permissible services).
The Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending December 31, 2006 - $3,071,450
Fiscal Year Ending December 31, 2005 - $5,577,771
(h) The registrant's audit committee has considered and determined that
the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $1,739,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments -
BlackRock Small Cap Index Portfolio
BlackRock International Index Portfolio
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Advertising Agencies - 0.6% 300 24/7 Real Media, Inc. (a) $ 2,715
187 Advo, Inc. 6,096
447 aQuantive, Inc. (a) 11,023
330 Catalina Marketing Corp. 9,075
139 inVentiv Health, Inc. (a) 4,914
141 Marchex, Inc. Class B 1,887
330 Valassis Communications, Inc. (a) 4,785
551 ValueClick, Inc. (a) 13,020
-----------
53,515
- -----------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.6% 100 Argon ST, Inc. (a) 2,154
294 Curtiss-Wright Corp. (g) 10,902
147 Heico Corp. 5,708
110 K&F Industries Holdings, Inc. (a) 2,498
100 Ladish Co., Inc. (a) 3,708
62 MTC Technologies, Inc. (a) 1,460
241 Moog, Inc. Class A (a) 9,204
360 Orbital Sciences Corp. (a) 6,638
199 Teledyne Technologies, Inc. (a) 7,986
76 United Industrial Corp. 3,857
-----------
54,115
- -----------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching - 0.1% 24 Alico, Inc. 1,215
258 Delta & Pine Land Co. 10,436
-----------
11,651
- -----------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.9% 240 AAR Corp. (a) 7,005
300 ABX Air, Inc. (a) 2,079
527 AirTran Holdings, Inc. (a) 6,187
190 Alaska Air Group, Inc. (a) 7,505
100 Atlas Air Worldwide Holdings, Inc. (a) 4,450
118 Bristow Group, Inc. (a) 4,259
222 EGL, Inc. (a) 6,611
212 ExpressJet Holdings, Inc. (a) 1,717
311 Frontier Airlines Holdings, Inc. (a) 2,301
1,100 JetBlue Airways Corp. (a) 15,620
245 Mesa Air Group, Inc. (a) 2,100
100 PHI, Inc. (a) 3,273
200 Republic Airways Holdings, Inc. (a) 3,356
359 Skywest, Inc. 9,158
-----------
75,621
- -----------------------------------------------------------------------------------------------------------------------------
Aluminum - 0.1% 138 Century Aluminum Co. (a) 6,162
- -----------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market - 0.1% 99 Aftermarket Technology Corp. (a) 2,107
46 Commercial Vehicle Group, Inc. (a) 1,003
117 Keystone Automotive Industries, Inc. (a) 3,977
164 Superior Industries International, Inc. 3,160
-----------
10,247
- -----------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment - 0.5% 300 American Axle & Manufacturing Holdings, Inc. 5,697
465 ArvinMeritor, Inc. 8,477
100 Fuel Systems Solutions, Inc. (a) 2,208
400 Lear Corp. 11,812
50 Noble International Ltd. 1,003
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
300 Quantum Fuel Systems Technologies Worldwide, Inc. (a) $ 480
44 Sauer-Danfoss, Inc. 1,419
257 Tenneco, Inc. (a) 6,353
816 Visteon Corp. (a) 6,920
-----------
44,369
- -----------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts - 0.2% 100 Accuride Corp. (a) 1,126
242 Modine Manufacturing Co. 6,057
300 Navistar International Corp. (a) 10,029
215 Wabash National Corp. 3,247
-----------
20,459
- -----------------------------------------------------------------------------------------------------------------------------
Banks: New York City - 0.0% 125 Signature Bank (a) 3,873
- -----------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City - 6.7% 64 1st Source Corp. 2,056
79 Alabama National Bancorp. 5,430
181 Amcore Financial, Inc. 5,913
92 AmericanWest Bancorp 2,228
105 Ameris Bancorp 2,959
43 Arrow Financial Corp. 1,065
36 BancTrust Financial Group, Inc. 919
54 Bancfirst Corp. 2,916
100 The Bancorp, Inc. (a) 2,960
82 Bank of Granite Corp. 1,555
85 Bank of the Ozarks, Inc. 2,810
160 BankFinancial Corp. 2,850
51 Banner Corp. 2,261
238 Boston Private Financial Holdings, Inc. 6,714
350 CVB Financial Corp. 5,061
127 Cadence Financial Corp. 2,752
39 Camden National Corp. 1,799
63 Capital City Bank Group, Inc. 2,224
41 Capital Corp. of the West 1,316
42 Capital Crossing Bank (a) 1,251
53 Capitol Bancorp Ltd. 2,449
100 Cardinal Financial Corp. 1,025
107 Cascade Bancorp 3,307
299 Cathay General Bancorp 10,318
400 Centennial Bank Holdings, Inc. (a) 3,784
88 Center Financial Corp. 2,109
198 Central Pacific Financial Corp. 7,674
177 Chemical Financial Corp. 5,894
321 Chittenden Corp. 9,851
301 Citizens Banking Corp. 7,977
124 City Holding Co. 5,070
56 CityBank 1,979
61 CoBiz, Inc. 1,344
122 Columbia Banking System, Inc. 4,285
196 Community Bank System, Inc. 4,508
148 Community Banks, Inc. 4,108
63 Community Trust Bancorp, Inc. 2,616
286 Corus Bankshares, Inc. 6,598
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
500 Doral Financial Corp. $ 1,435
31 FNB Corp. 1,288
52 Farmers Capital Bank Corp. 1,766
470 First BanCorp - PR 4,479
55 First Bancorp - NC 1,201
64 First Busey Corp. 1,475
178 First Charter Corp. 4,379
427 First Commonwealth Financial Corp. 5,735
97 First Community Bancorp, Inc. 5,070
80 First Community Bancshares, Inc. 3,165
160 First Financial Bancorp 2,658
105 First Financial Bankshares, Inc. 4,395
75 First Financial Corp. 2,659
140 First Merchants Corp. 3,807
321 First Midwest Bancorp, Inc. 12,416
128 First State Bancorp. 3,168
400 FirstMerit Corp. 9,656
197 Franklin Bank Corp. (a) 4,046
270 Frontier Financial Corp. 7,892
87 GB&T Bancshares, Inc. 1,929
330 Glacier Bancorp, Inc. 8,065
357 Greater Bay Bancorp 9,400
100 Greene County Bancshares, Inc. 3,973
169 Hancock Holding Co. 8,930
222 Hanmi Financial Corp. 5,002
170 Harleysville National Corp. 3,283
41 Heartland Financial USA, Inc. 1,183
100 Heritage Commerce Corp. 2,664
112 Independent Bank Corp./MA 4,035
116 Independent Bank Corp./MI 2,934
122 Integra Bank Corp. 3,357
81 Interchange Financial Services Corp. 1,862
300 International Bancshares Corp. 9,273
300 Investors Bancorp, Inc. (a) 4,719
133 Irwin Financial Corp. 3,010
93 Lakeland Bancorp, Inc. 1,386
102 Lakeland Financial Corp. 2,604
129 MB Financial, Inc. 4,852
74 MBT Financial Corp. 1,134
76 Macatawa Bank Corp. 1,616
46 MainSource Financial Group, Inc. 783
37 Mercantile Bank Corp. 1,395
173 Mid-State Bancshares 6,295
49 Midwest Banc Holdings, Inc. 1,164
198 NBT Bancorp, Inc. 5,051
141 Nara Bancorp, Inc. 2,950
269 National Penn Bancshares, Inc. 5,447
419 Old National Bancorp 7,927
73 Old Second Bancorp, Inc. 2,139
89 Omega Financial Corp. 2,841
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
140 Oriental Financial Group $ 1,813
9 PNC Financial Services Group, Inc. (b) 666
286 Pacific Capital Bancorp 9,604
91 Park National Corp. 9,009
52 Peoples Bancorp, Inc. 1,544
100 Pinnacle Financial Partners, Inc. (a) 3,318
122 Piper Jaffray Cos. (a) 7,948
155 Placer Sierra Bancshares 3,684
100 Premierwest Bancorp 1,590
124 PrivateBancorp, Inc. 5,162
126 Prosperity Bancshares, Inc. 4,348
228 Provident Bankshares Corp. 8,117
196 R-G Financial Corp. Class B 1,499
66 Renasant Corp. 2,022
436 Republic Bancorp, Inc. 5,869
37 Republic Bancorp, Inc. Class A 928
143 S&T Bancorp, Inc. 4,958
68 SCBT Financial Corp. 2,838
244 SVB Financial Group (a) 11,375
60 SY Bancorp, Inc. 1,680
83 Sandy Spring Bancorp, Inc. 3,169
54 Seacoast Banking Corp. of Florida 1,339
38 Security Bank Corp. 867
80 Simmons First National Corp. Class A 2,524
45 Southside Bancshares, Inc. 1,158
91 Southwest Bancorp, Inc. 2,535
495 Sterling Bancshares, Inc. 6,445
156 Sterling Financial Corp. 3,693
58 Suffolk Bancorp 2,212
48 Sun Bancorp, Inc. (a) 1,011
100 Superior Bancorp (a) 1,134
324 Susquehanna Bancshares, Inc. 8,709
164 Texas Capital Bancshares, Inc. (a) 3,260
46 Tompkins Trustco, Inc. 2,091
53 Trico Bancshares 1,442
427 TrustCo Bank Corp. NY 4,748
295 Trustmark Corp. 9,649
600 UCBH Holdings, Inc. 10,536
216 UMB Financial Corp. 7,886
58 USB Holding Co., Inc. 1,398
354 Umpqua Holdings Corp. 10,418
105 Union Bankshares Corp. 3,212
260 United Bankshares, Inc. 10,049
170 United Community Banks, Inc. 5,494
58 Univest Corp. of Pennsylvania 1,768
100 Vineyard National Bancorp 2,302
52 Virginia Commerce Bancorp (a) 1,034
91 Virginia Financial Group, Inc. 2,547
71 Washington Trust Bancorp, Inc. 1,980
108 WesBanco, Inc. 3,621
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
145 West Bancorp., Inc. $ 2,578
119 West Coast Bancorp 4,122
218 Westamerica Bancorp. 11,037
100 Western Alliance Bancorp (a) 3,477
115 Wilshire Bancorp, Inc. 2,182
151 Wintrust Financial Corp. 7,251
41 Yardville National Bancorp 1,547
-----------
582,225
- -----------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers 73 Boston Beer Co., Inc. Class A (a) 2,627
(Wineries) - 0.0%
- -----------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks - 0.1% 18 Coca-Cola Bottling Co. Consolidated 1,232
200 Jones Soda Co. (a) 2,460
94 Peet's Coffee & Tea, Inc. (a) 2,467
-----------
6,159
- -----------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & 300 ADVENTRX Pharmaceuticals, Inc. (a) 885
Production - 2.5% 300 AVI BioPharma, Inc. (a) 954
100 Acadia Pharmaceuticals, Inc. (a) 879
100 Advanced Magnetics, Inc. (a) 5,972
223 Albany Molecular Research, Inc. (a) 2,355
191 Alexion Pharmaceuticals, Inc. (a) 7,714
200 Alnylam Pharmaceuticals, Inc. (a) 4,280
300 American Oriental Bioengineering, Inc. (a) 3,501
458 Applera Corp. - Celera Genomics Group (a) 6,407
300 Arena Pharmaceuticals, Inc. (a) 3,873
381 Ariad Pharmaceuticals, Inc. (a) 1,958
340 Array Biopharma, Inc. (a) 4,393
151 Arthrocare Corp. (a) 6,028
388 Bioenvision, Inc. (a) 1,800
328 Cell Genesys, Inc. (a) 1,112
40 Coley Pharmaceutical Group, Inc. (a) 388
100 Combinatorx, Inc. (a) 866
100 Cotherix, Inc. (a) 1,349
351 Cubist Pharmaceuticals, Inc. (a)(g) 6,357
374 Cypress Bioscience, Inc. (a) 2,891
100 Cytokinetics, Inc. (a) 748
103 Digene Corp. (a) 4,936
120 Diversa Corp. (a) 1,306
351 deCODE genetics, Inc. (a) 1,590
403 Encysive Pharmaceuticals, Inc. (a) 1,697
311 Enzon Pharmaceuticals, Inc. (a) 2,647
483 Exelixis, Inc. (a) 4,347
200 Genitope Corp. (a) 704
600 Genta, Inc. (a) 266
431 Geron Corp. (a) 3,784
100 Hana Biosciences, Inc. (a) 637
827 Human Genome Sciences, Inc. (a) 10,288
400 ICOS Corp. (a) 13,516
100 Idenix Pharmaceuticals, Inc. (a) 869
531 Incyte Corp. (a) 3,101
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
121 Integra LifeSciences Holdings Corp. (a) $ 5,153
210 InterMune, Inc. (a) 6,458
100 Kendle International, Inc. (a) 3,145
74 Kensey Nash Corp. (a) 2,353
220 Keryx Biopharmaceuticals, Inc. (a) 2,926
382 Lexicon Genetics, Inc. (a) 1,379
169 MannKind Corp. (a) 2,787
200 Martek Biosciences Corp. (a) 4,668
118 Maxygen, Inc. (a) 1,271
100 Metabasis Therapeutics, Inc. (a) 752
100 Momenta Pharmaceuticals, Inc. (a) 1,573
1,100 Monogram Biosciences, Inc. (a) 1,958
216 Myriad Genetics, Inc. (a) 6,761
430 NPS Pharmaceuticals, Inc. (a) 1,948
357 Nabi Biopharmaceuticals (a) 2,420
200 Nastech Pharmaceutical Co., Inc. (a) 3,026
300 Neurocrine Biosciences, Inc. (a) 3,126
238 Northfield Laboratories, Inc. (a)(f) 969
314 Nuvelo, Inc. (a) 1,256
300 OSI Pharmaceuticals, Inc. (a) 10,494
69 PRA International, Inc. (a) 1,744
300 Panacos Pharmaceuticals, Inc. (a) 1,203
1,400 Peregrine Pharmaceuticals, Inc. (a) 1,610
76 PharmaNet Development Group, Inc. (a) 1,677
93 Progenics Pharmaceuticals, Inc. (a) 2,394
182 Rigel Pharmaceuticals, Inc. (a) 2,160
300 Sangamo Biosciences, Inc. (a) 1,980
352 Savient Pharmaceuticals, Inc. (a) 3,946
300 Sirna Therapeutics, Inc. (a) 3,903
100 Solexa, Inc. (a) 1,315
140 Tanox, Inc. (a) 2,786
306 Telik, Inc. (a) 1,356
122 Trimeris, Inc. (a) 1,551
400 Viropharma, Inc. (a) 5,856
214 Zymogenetics, Inc. (a) 3,332
-----------
215,634
- -----------------------------------------------------------------------------------------------------------------------------
Building Materials - 0.5% 41 Ameron International Corp. 3,131
100 BlueLinx Holdings, Inc. 1,040
198 Building Material Holding Corp. 4,889
166 LSI Industries, Inc. 3,295
141 NCI Building Systems, Inc. (a) 7,297
228 Simpson Manufacturing Co., Inc. 7,216
148 Texas Industries, Inc. 9,506
60 Trex Co., Inc. (a) 1,373
161 Watsco, Inc. 7,593
100 Zoltek Cos., Inc. (a) 1,967
-----------
47,307
- -----------------------------------------------------------------------------------------------------------------------------
Building: Cement - 0.0% 200 US Concrete, Inc. (a) 1,424
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing - 0.1% 90 Interline Brands, Inc. (a) $ 2,022
452 Jacuzzi Brands, Inc. (a) 5,618
-----------
7,640
- -----------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous - 0.2% 80 Builders FirstSource, Inc. (a) 1,426
205 Comfort Systems USA, Inc. 2,591
120 Drew Industries, Inc. (a) 3,121
100 Goodman Global, Inc. (a) 1,720
243 Griffon Corp. (a) 6,197
-----------
15,055
- -----------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard - 0.1% 263 Beacon Roofing Supply, Inc. (a) 4,950
116 ElkCorp 4,766
-----------
9,716
- -----------------------------------------------------------------------------------------------------------------------------
Cable Television Services - 0.1% Charter Communications, Inc. Class A (a) 8,868
100 Crown Media Holdings, Inc. Class A (a) 363
548 TiVo, Inc. (a) 2,806
-----------
12,037
- -----------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling - 0.7% 174 Ameristar Casinos, Inc. 5,349
242 Aztar Corp. (a) 13,169
359 Bally Technologies, Inc. (a) 6,706
200 Century Casinos, Inc. (a) 2,232
40 Churchill Downs, Inc. 1,710
147 Dover Downs Gaming & Entertainment, Inc. 1,965
75 Isle of Capri Casinos, Inc. (a) 1,994
100 Lakes Entertainment, Inc. (a) 1,079
188 MTR Gaming Group, Inc. (a) 2,297
299 Magna Entertainment Corp. Class A (a) 1,348
173 Multimedia Games, Inc. (a) 1,661
285 Pinnacle Entertainment, Inc. (a) 9,445
300 Progressive Gaming International Corp. (a) 2,721
243 Shuffle Master, Inc. (a) 6,367
100 Trump Entertainment Resorts, Inc. (a) 1,824
119 WMS Industries, Inc. (a) 4,148
-----------
64,015
- -----------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.4% 58 American Vanguard Corp. 922
171 Arch Chemicals, Inc. 5,696
100 Balchem Corp. 2,568
280 CF Industries Holdings, Inc. 7,179
173 Cabot Microelectronics Corp. (a) 5,872
271 Calgon Carbon Corp. (a) 1,680
156 Cambrex Corp. 3,544
100 China BAK Battery, Inc. (a) 652
250 EnerSys (a) 4,000
227 Energy Conversion Devices, Inc. (a) 7,713
198 Georgia Gulf Corp. 3,823
693 Hercules, Inc. (a) 13,382
103 Innospec, Inc. 4,795
165 MacDermid, Inc. 5,627
170 Medis Technologies Ltd. (a) 2,963
32 NL Industries, Inc. 331
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
91 NewMarket Corp. $ 5,374
64 Nuco2, Inc. (a) 1,574
199 OM Group, Inc. (a) 9,011
300 Omnova Solutions, Inc. (a) 1,374
100 Pioneer Cos., Inc. (a) 2,866
554 PolyOne Corp. (a) 4,155
140 Rockwood Holdings, Inc. (a) 3,536
176 Schulman A, Inc. 3,916
100 Senomyx, Inc. (a) 1,299
100 Tronox, Inc. Class A 1,599
100 Tronox, Inc. Class B 1,579
310 UAP Holding Corp. 7,806
414 WR Grace & Co. (a) 8,197
-----------
123,033
- -----------------------------------------------------------------------------------------------------------------------------
Coal - 0.1% 300 Alpha Natural Resources, Inc. (a) 4,269
600 International Coal Group, Inc. (a) 3,270
100 James River Coal Co. (a) 928
-----------
8,467
- -----------------------------------------------------------------------------------------------------------------------------
Commercial Information Services - 0.2% 192 Arbitron, Inc. 8,340
2,757 CMGI, Inc. (a) 3,694
179 infoUSA, Inc. 2,132
108 LECG Corp. (a) 1,996
175 ProQuest Co. (a) 1,829
-----------
17,991
- -----------------------------------------------------------------------------------------------------------------------------
Communications & Media - 0.1% Entravision Communications Corp. Class A (a) 3,058
1,500 Gemstar-TV Guide International, Inc. (a) 6,015
-----------
9,073
- -----------------------------------------------------------------------------------------------------------------------------
Communications Technology - 2.9% 3Com Corp. (a) 9,453
400 Adtran, Inc. 9,080
106 Anaren, Inc. (a) 1,882
183 Anixter International, Inc. (a) 9,937
300 Atheros Communications, Inc. (a) 6,396
800 Avanex Corp. (a) 1,512
300 Avocent Corp. (a) 10,155
89 Bel Fuse, Inc. 3,096
97 Black Box Corp. 4,073
457 Broadwing Corp. (a) 7,138
1,673 Brocade Communications Systems, Inc. (a) 13,735
316 CSG Systems International, Inc. (a) 8,447
100 Carrier Access Corp. (a) 656
100 Cbeyond Communications, Inc. (a) 3,059
100 Cogent Communications Group, Inc. (a) 1,622
300 CommScope, Inc. (a) 9,144
100 Comtech Group, Inc. (a) 1,819
154 Comtech Telecommunications Corp. (a) 5,863
161 Digi International, Inc. (a) 2,220
219 Ditech Networks, Inc. (a) 1,515
100 EMS Technologies, Inc. (a) 2,003
219 Echelon Corp. (a) 1,752
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
774 Extreme Networks, Inc. (a) $ 3,243
1,377 Finisar Corp. (a) 4,448
800 Foundry Networks, Inc. (a) 11,984
513 Harmonic, Inc. (a) 3,730
100 ID Systems, Inc. (a) 1,882
158 InPhonic, Inc. (a) 1,752
152 Inter-Tel, Inc. 3,368
262 InterVoice, Inc. (a) 2,007
195 Ixia (a) 1,872
330 j2 Global Communications, Inc. (a) 8,993
259 Netgear, Inc. (a) 6,799
208 Novatel Wireless, Inc. (a) 2,011
94 Oplink Communications, Inc. (a) 1,933
358 Redback Networks, Inc. (a) 8,929
309 Secure Computing Corp. (a) 2,027
200 Sirenza Microdevices, Inc. (a) 1,572
1,500 Sonus Networks, Inc. (a) 9,885
140 Standard Microsystems Corp. (a) 3,917
600 Stratex Networks, Inc. (a) 2,898
1,069 Sycamore Networks, Inc. (a) 4,019
120 Syniverse Holdings, Inc. (a) 1,799
1,300 TIBCO Software, Inc. (a) 12,272
166 Talx Corp. 4,557
345 Tekelec (a) 5,116
157 Terremark Worldwide, Inc. (a) 1,055
51 Ulticom, Inc. (a) 489
700 UTstarcom, Inc. (a) 6,125
153 Viasat, Inc. (a) 4,561
300 Vonage Holdings Corp. (a) 2,082
286 WebEx Communications, Inc. (a) 9,979
501 Zhone Technologies, Inc. (a) 651
-----------
250,512
- -----------------------------------------------------------------------------------------------------------------------------
Computer Services Software & 400 @Road, Inc. (a) 2,920
Systems - 4.7% 100 Access Integrated Technologies, Inc. (a) 872
300 Actuate Corp. (a) 1,782
383 Agile Software Corp. (a) 2,355
146 Altiris, Inc. (a) 3,705
100 American Reprographics Co. (a) 3,331
100 Ansoft Corp. (a) 2,780
216 Ansys, Inc. (a) 9,394
401 Ariba, Inc. (a) 3,104
600 Art Technology Group, Inc. (a) 1,398
316 Aspen Technology, Inc. (a) 3,482
200 Audible, Inc. (a) 1,586
1,100 BearingPoint, Inc. (a) 8,657
200 Blackbaud, Inc. 5,200
100 Blackboard, Inc. (a) 3,004
81 Blue Coat Systems, Inc. (a) 1,940
564 Borland Software Corp. (a) 3,068
200 Bottomline Technologies, Inc. (a) 2,290
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
200 CACI International, Inc. Class A (a) $ 11,300
100 COMSYS IT Partners, Inc. (a) 2,021
400 Chordiant Software, Inc. (a) 1,324
303 Ciber, Inc. (a) 2,054
143 Concur Technologies, Inc. (a) 2,294
100 Convera Corp. (a) 459
125 Covansys Corp. (a) 2,869
255 Dendrite International, Inc. (a) 2,731
204 Digital River, Inc. (a) 11,381
497 Digitas, Inc. (a) 6,665
116 EPIQ Systems, Inc. (a) 1,969
373 Electronics for Imaging, Inc. (a) 9,914
200 Emageon, Inc. (a) 3,072
285 Epicor Software Corp. (a) 3,850
158 Equinix, Inc. (a) 11,948
82 eCollege.com, Inc. (a) 1,283
382 Gartner, Inc. Class A (a) 7,560
300 Hyperion Solutions Corp. (a) 10,782
124 Infocrossing, Inc. (a) 2,021
499 Informatica Corp. (a) 6,093
281 Internet Capital Group, Inc. (a) 2,883
261 Interwoven, Inc. (a) 3,829
100 i2 Technologies, Inc. (a) 2,282
100 iGate Corp. (a) 688
196 JDA Software Group, Inc. (a) 2,699
122 Jupitermedia Corp. (a) 966
158 Kanbay International, Inc. (a) 4,546
305 Keane, Inc. (a) 3,633
621 Lawson Software, Inc. (a) 4,589
368 Lionbridge Technologies, Inc. (a) 2,370
339 Macrovision Corp. (a) 9,580
240 Magma Design Automation, Inc. (a) 2,143
211 Manhattan Associates, Inc. (a) 6,347
96 Mantech International Corp. Class A (a) 3,536
158 Mapinfo Corp. (a) 2,062
528 Mentor Graphics Corp. (a) 9,520
152 Mercury Computer Systems, Inc. (a) 2,031
186 Merge Technologies, Inc. (a) 1,216
101 MicroStrategy, Inc. Class A (a) 11,515
224 Micros Systems, Inc. (a) 11,805
116 Ness Technologies, Inc. (a) 1,654
116 Netscout Systems, Inc. (a) 963
781 Nuance Communications, Inc. (a) 8,950
552 Openwave Systems, Inc. (a) 5,095
423 Opsware, Inc. (a) 3,731
113 PDF Solutions, Inc. (a) 1,633
198 Packeteer, Inc. (a) 2,693
694 Parametric Technology Corp. (a) 12,506
100 Pegasystems, Inc. 987
288 Progress Software Corp. (a) 8,044
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
100 QAD, Inc. $ 839
409 Quest Software, Inc. (a) 5,992
595 RealNetworks, Inc. (a) 6,509
100 RightNow Technologies, Inc. (a) 1,722
200 SAVVIS, Inc. (a) 7,140
53 SI International, Inc. (a) 1,718
72 SPSS, Inc. (a) 2,165
200 SRA International, Inc. Class A (a) 5,348
127 SYKES Enterprises, Inc. (a) 2,240
149 SafeNet, Inc. (a) 3,567
486 Sapient Corp. (a) 2,668
200 Sigma Designs, Inc. (a) 5,090
100 Smith Micro Software, Inc. (a) 1,419
352 SonicWALL, Inc. (a) 2,964
500 Sybase, Inc. (a) 12,350
262 Transaction Systems Architects, Inc. Class A (a) 8,533
242 Trizetto Group (a) 4,446
201 Tyler Technologies, Inc. (a) 2,826
84 Ultimate Software Group, Inc. (a) 1,954
400 VA Software Corp. (a) 2,012
100 VASCO Data Security International, Inc. (a) 1,181
66 Verint Systems, Inc. (a) 2,262
209 Vignette Corp. (a) 3,568
290 Websense, Inc. (a) 6,621
490 Wind River Systems, Inc. (a) 5,023
159 Witness Systems, Inc. (a) 2,787
369 webMethods, Inc. (a) 2,716
259 Zoran Corp. (a) 3,776
-----------
406,390
- -----------------------------------------------------------------------------------------------------------------------------
Computer Technology - 1.1% 668 Adaptec, Inc. (a) 3,113
170 Advanced Analogic Technologies, Inc. (a) 916
527 Emulex Corp. (a) 10,282
206 FalconStor Software, Inc. (a) 1,782
1,618 Gateway, Inc. (a) 3,252
162 Hutchinson Technology, Inc. (a) 3,818
219 Imation Corp. 10,168
305 Intermec, Inc. (a) 7,402
197 Komag, Inc. (a) 7,462
873 McData Corp. (a) 4,845
194 Mobility Electronics, Inc. (a) 650
100 Neoware Systems, Inc. (a) 1,321
570 Palm, Inc. (a) 8,031
475 Perot Systems Corp. Class A (a) 7,785
1,069 Quantum Corp. (a) 2,480
200 Rackable Systems, Inc. (a) 6,194
200 Radiant Systems, Inc. (a) 2,088
139 Radisys Corp. (a) 2,317
600 Safeguard Scientifics, Inc. (a) 1,452
69 Stratasys, Inc. (a) 2,167
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
136 Synaptics, Inc. (a) $ 4,038
380 Trident Microsystems, Inc. (a) 6,908
-----------
98,471
- -----------------------------------------------------------------------------------------------------------------------------
Construction - 0.4% 85 Brookfield Homes Corp. 3,192
178 EMCOR Group, Inc. (a) 10,119
201 Granite Construction, Inc. 10,114
65 Perini Corp. (a) 2,001
178 Washington Group International, Inc. (a) 10,643
-----------
36,069
- -----------------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 0.8% 872 CNET Networks, Inc. (a) 7,926
1,700 Covad Communications Group, Inc. (a) 2,346
98 DTS, Inc. (a) 2,371
804 Earthlink, Inc. (a) 5,708
216 Infospace, Inc. (a) 4,430
160 Internap Network Services Corp. (a) 3,179
339 Ipass, Inc. (a) 1,993
100 LoJack Corp. (a) 1,708
178 Midway Games, Inc. (a) 1,242
155 NIC, Inc. (a) 770
200 NetFlix, Inc. (a) 5,172
100 Parkervision, Inc. (a) 1,115
131 Sohu.com, Inc. (a) 3,144
403 THQ, Inc. (a) 13,106
400 Take-Two Interactive Software, Inc. (a) 7,104
428 United Online, Inc. 5,684
112 Universal Electronics, Inc. (a) 2,354
100 WebSideStory, Inc. (a) 1,266
-----------
70,618
- -----------------------------------------------------------------------------------------------------------------------------
Consumer Products - 0.7% 300 American Greetings Class A 7,161
106 Blyth, Inc. 2,200
24 CSS Industries, Inc. 849
80 Mannatech, Inc. 1,178
199 Matthews International Corp. Class A 7,831
203 Nautilus, Inc. 2,842
167 Oakley, Inc. 3,350
283 Playtex Products, Inc. (a) 4,072
120 RC2 Corp. (a) 5,280
200 Spectrum Brands, Inc. (a) 2,180
184 The Topps Co., Inc. 1,638
368 Tupperware Corp. 8,320
79 USANA Health Sciences, Inc. (a) 4,081
243 Yankee Candle Co., Inc. 8,330
-----------
59,312
- -----------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & 200 Aptargroup, Inc. 11,808
Glass - 0.4% 95 Greif, Inc. 11,248
210 Mobile Mini, Inc. (a) 5,657
160 Silgan Holdings, Inc. 7,027
-----------
35,740
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & 390 Graphic Packaging Corp. (a) $ 1,689
Plastic - 0.1% 200 Myers Industries, Inc. 3,132
-----------
4,821
- -----------------------------------------------------------------------------------------------------------------------------
Copper - 0.1% 217 Mueller Industries, Inc. 6,879
- -----------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.1% 165 Elizabeth Arden, Inc. (a) 3,143
52 Inter Parfums, Inc. 998
332 Nu Skin Enterprises, Inc. Class A 6,052
100 Parlux Fragrances, Inc. (a) 557
930 Revlon, Inc. Class A (a) 1,190
-----------
11,940
- -----------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.4% The BISYS Group, Inc. (a) 9,037
162 Euronet Worldwide, Inc. (a) 4,810
354 F.N.B. Corp. 6,468
100 Greenhill & Co., Inc. 7,380
100 Huron Consulting Group, Inc. (a) 4,534
100 Rewards Network, Inc. (a) 695
264 USI Holdings Corp. (a) 4,055
-----------
36,979
- -----------------------------------------------------------------------------------------------------------------------------
Diversified Materials & 297 Acuity Brands, Inc. 15,456
Processing - 0.7% 234 Barnes Group, Inc. 5,089
238 Brady Corp. 8,873
318 Clarcor, Inc. 10,752
497 Hexcel Corp. (a) 8,653
100 Koppers Holdings, Inc. 2,607
478 Olin Corp. 7,897
159 Tredegar Corp. 3,595
-----------
62,922
- -----------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store 357 Casey's General Stores, Inc. 8,407
Chains - 0.5%
144 Great Atlantic & Pacific Tea Co. 3,707
107 Ingles Markets, Inc. Class A 3,188
183 Longs Drug Stores Corp. 7,756
91 Nash Finch Co. 2,484
380 Pathmark Stores, Inc. (a) 4,237
196 Ruddick Corp. 5,439
104 Smart & Final, Inc. (a) 1,966
100 Spartan Stores, Inc. 2,093
61 Weis Markets, Inc. 2,447
219 Wild Oats Markets, Inc. (a) 3,149
-----------
44,873
- -----------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 2.4% AVANIR Pharmaceuticals Class A (a)(f) 808
150 Adams Respiratory Therapeutics, Inc. (a) 6,121
286 Adolor Corp. (a) 2,151
300 Akorn, Inc. (a) 1,875
569 Alkermes, Inc. (a) 7,607
241 Alpharma, Inc. Class A 5,808
100 Anadys Pharmaceuticals, Inc. (a) 492
256 Atherogenics, Inc. (a) 2,537
100 Auxilium Pharmaceuticals, Inc. (a) 1,469
73 Bentley Pharmaceuticals, Inc. (a) 742
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
200 BioCryst Pharmaceuticals, Inc. (a) $ 2,312
468 BioMarin Pharmaceuticals, Inc. (a) 7,671
100 Bradley Pharmaceuticals, Inc. (a) 2,058
286 CV Therapeutics, Inc. (a) 3,993
100 Caraco Pharmaceutical Laboratories Ltd. (a) 1,400
122 Chattem, Inc. (a) 6,110
657 Dendreon Corp. (a) 2,740
400 Depomed, Inc. (a) 1,380
382 Durect Corp. (a) 1,696
200 Emisphere Technologies, Inc. (a) 1,058
250 Enzo Biochem, Inc. (a) 3,568
100 Hi-Tech Pharmacal Co., Inc. (a) 1,217
500 Indevus Pharmaceuticals, Inc. (a) 3,550
488 Isis Pharmaceuticals, Inc. (a) 5,427
250 KV Pharmaceutical Co. Class A (a) 5,945
500 MGI Pharma, Inc. (a) 9,205
698 Medarex, Inc. (a) 10,323
327 Medicines Co. (a) 10,372
300 Medicis Pharmaceutical Corp. Class A 10,539
600 Nektar Therapeutics (a) 9,126
100 New River Pharmaceuticals, Inc. (a) 5,471
600 Novavax, Inc. (a) 2,460
170 Noven Pharmaceuticals, Inc. (a) 4,327
321 Onyx Pharmaceuticals, Inc. (a) 3,396
270 Pain Therapeutics, Inc. (a) 2,403
233 Par Pharmaceutical Cos., Inc. (a) 5,212
133 Penwest Pharmaceuticals Co. (a) 2,210
441 Perrigo Co. 7,629
92 Pharmion Corp. (a) 2,368
195 Pozen, Inc. (a) 3,313
100 Quidel Corp. (a) 1,362
222 Regeneron Pharmaceuticals, Inc. (a) 4,456
100 Renovis, Inc. (a) 316
353 Salix Pharmaceuticals Ltd. (a) 4,296
200 Santarus, Inc. (a) 1,566
185 Sciele Pharma, Inc. (a) 4,440
100 Somaxon Pharmaceuticals, Inc. (a) 1,419
269 SuperGen, Inc. (a) 1,367
132 United Therapeutics Corp. (a) 7,177
500 Valeant Pharmaceuticals International 8,620
100 Xenoport, Inc. (a) 2,455
-----------
205,563
- -----------------------------------------------------------------------------------------------------------------------------
Education Services - 0.4% 188 Bright Horizons Family Solutions, Inc. (a) 7,268
500 Corinthian Colleges, Inc. (a) 6,815
400 DeVry, Inc. 11,200
86 Educate, Inc. (a) 612
102 Strayer Education, Inc. 10,817
84 Universal Technical Institute, Inc. (a) 1,866
-----------
38,578
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% 390 Benchmark Electronics, Inc. (a) $ 9,500
112 OSI Systems, Inc. (a) 2,344
261 Plexus Corp. (a) 6,233
298 TTM Technologies, Inc. (a) 3,376
108 Universal Display Corp. (a) 1,621
-----------
23,074
- -----------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & 96 AO Smith Corp. 3,606
Components - 1.0% 180 American Superconductor Corp. (a) 1,766
235 Baldor Electric Co. 7,854
208 CTS Corp. 3,266
166 Cohu, Inc. 3,347
100 Color Kinetics, Inc. (a) 2,135
94 Franklin Electric Co., Inc. 4,831
338 General Cable Corp. (a) 14,774
172 Genlyte Group, Inc. (a) 13,435
160 Littelfuse, Inc. (a) 5,101
198 MKS Instruments, Inc. (a) 4,471
70 Powell Industries, Inc. (a) 2,210
490 Power-One, Inc. (a) 3,567
135 Sonic Solutions, Inc. (a) 2,201
427 Taser International, Inc. (a) 3,245
244 Technitrol, Inc. 5,829
92 Triumph Group, Inc. 4,824
-----------
86,462
- -----------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance - 0.0% 20 National Presto Industries, Inc. 1,197
- -----------------------------------------------------------------------------------------------------------------------------
Electronics - 0.7% 408 Aeroflex, Inc. (a) 4,782
214 Agilysys, Inc. 3,582
200 Avid Technology, Inc. (a) 7,452
258 Daktronics, Inc. 9,507
400 Flir Systems, Inc. (a) 12,732
134 II-VI, Inc. (a) 3,744
491 Kopin Corp. (a) 1,753
726 MRV Communications, Inc. (a) 2,570
249 Methode Electronics, Inc. 2,697
57 Multi-Fineline Electronix, Inc. (a) 1,157
105 Park Electrochemical Corp. 2,693
400 Semtech Corp. (a) 5,228
42 Supertex, Inc. (a) 1,649
-----------
59,546
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, 155 Itron, Inc. (a) 8,035
Gauges & Meters - 0.1% 56 Measurement Specialties, Inc. (a) 1,212
100 Zygo Corp. (a) 1,645
-----------
10,892
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems - 0.9% Affymetrix, Inc. (a) 9,224
65 Analogic Corp. 3,649
93 Aspect Medical Systems, Inc. (a) 1,749
200 Bruker BioSciences Corp. (a) 1,502
152 Candela Corp. (a) 1,880
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
66 Datascope Corp. $ 2,405
310 eResearch Technology, Inc. (a) 2,086
156 Greatbatch, Inc. (a) 4,200
143 Haemonetics Corp. (a) 6,438
200 HealthTronics, Inc. (a) 1,332
344 Hologic, Inc. (a) 16,264
222 Illumina, Inc. (a) 8,727
63 IntraLase Corp. (a) 1,410
143 Luminex Corp. (a) 1,816
100 Natus Medical, Inc. (a) 1,661
100 Neurometrix, Inc. (a) 1,491
100 NxStage Medical, Inc. (a) 838
116 Quality Systems, Inc. 4,323
100 Sirona Dental Systems, Inc. 3,851
74 Zoll Medical Corp. (a) 4,310
-----------
79,156
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: 278 AMIS Holdings, Inc. (a) 2,938
Semi-Conductors/Components - 1.9% 191 Actel Corp. (a) 3,469
600 Amkor Technology, Inc. (a) 5,604
300 Anadigics, Inc. (a) 2,658
1,800 Applied Micro Circuits Corp. (a) 6,408
600 Bookham, Inc. (a) 2,442
508 Cirrus Logic, Inc. (a) 3,495
2,900 Conexant Systems, Inc. (a) 5,916
213 DSP Group, Inc. (a) 4,622
91 Diodes, Inc. (a) 3,229
196 Exar Corp. (a) 2,548
64 Excel Technology, Inc. (a) 1,638
90 First Solar, Inc. (a) 2,682
298 Formfactor, Inc. (a) 11,101
194 Genesis Microchip, Inc. (a) 1,967
100 Hittite Microwave Corp. (a) 3,232
153 IXYS Corp. (a) 1,362
100 Ikanos Communications, Inc. (a) 869
694 Lattice Semiconductor Corp. (a) 4,497
242 MIPS Technologies, Inc. (a) 2,009
421 Micrel, Inc. (a) 4,538
374 Microsemi Corp. (a) 7,349
297 Microtune, Inc. (a) 1,396
600 Mindspeed Technologies, Inc. (a) 1,146
100 MoSys, Inc. (a) 925
100 Monolithic Power Systems, Inc. (a) 1,111
100 Netlogic Microsystems, Inc. (a) 2,169
838 ON Semiconductor Corp. (a) 6,344
382 Omnivision Technologies, Inc. (a) 5,214
117 PLX Technology, Inc. (a) 1,526
183 Pericom Semiconductor Corp. (a) 2,099
154 Portalplayer, Inc. (a) 2,071
1,186 RF Micro Devices, Inc. (a) 8,053
472 Silicon Image, Inc. (a) 6,004
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
593 Silicon Storage Technology, Inc. (a) $ 2,674
255 Sirf Technology Holdings, Inc. (a) 6,508
955 Skyworks Solutions, Inc. (a) 6,761
100 Sunpower Corp. Class A (a) 3,717
261 Tessera Technologies, Inc. (a) 10,529
1,000 Transmeta Corp. (a) 1,110
800 Transwitch Corp. (a) 1,120
1,039 TriQuint Semiconductor, Inc. (a) 4,676
42 Volterra Semiconductor Corp. (a) 630
-----------
160,356
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.5% 100 3D Systems Corp. (a) 1,596
100 Acacia Research - Acacia Technologies (a) 1,338
100 American Science & Engineering, Inc. (a) 5,951
224 Checkpoint Systems, Inc. (a) 4,525
200 Cogent, Inc. (a) 2,202
186 Coherent, Inc. (a) 5,872
86 Cubic Corp. 1,866
90 EDO Corp. 2,137
100 Eagle Test Systems, Inc. (a) 1,458
100 Essex Corp. (a) 2,391
100 Gerber Scientific, Inc. (a) 1,256
100 Herley Industries, Inc. (a) 1,619
81 Innovative Solutions & Support, Inc. (a) 1,379
200 Ionatron, Inc. (a) 820
534 Kemet Corp. (a) 3,898
100 Maxwell Technologies, Inc. (a) 1,395
152 Scansource, Inc. (a) 4,621
-----------
44,324
- -----------------------------------------------------------------------------------------------------------------------------
Energy Equipment - 0.0% 500 Capstone Turbine Corp. (a) 615
100 Metretek Technologies, Inc. (a) 1,232
423 Plug Power, Inc. (a) 1,645
-----------
3,492
- -----------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.7% 70 Alon USA Energy, Inc. 1,842
180 Aventine Renewable Energy Holdings, Inc. (a) 4,241
81 Crosstex Energy, Inc. 2,567
100 Dawson Geophysical Co. (a)(g) 3,643
380 Evergreen Energy, Inc. (a) 3,758
400 Evergreen Solar, Inc. (a) 3,028
312 FuelCell Energy, Inc. (a) 2,016
100 Matrix Service Co. (a) 1,610
76 Ormat Technologies, Inc. 2,798
100 Pacific Ethanol, Inc. (a) 1,538
108 Penn Virginia Corp. 7,564
800 Rentech, Inc. (a) 3,016
248 Syntroleum Corp. (a) 858
206 Veritas DGC, Inc. (a) 17,640
-----------
56,119
- -----------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting 100 Clean Harbors, Inc. (a) 4,841
Services - 0.3% 272 Dycom Industries, Inc. (a) 5,745
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
100 Infrasource Services, Inc. (a) $ 2,177
45 Layne Christensen Co. (a) 1,477
450 SAIC, Inc. (a) 8,006
-----------
22,246
- -----------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.3% 64 Carmike Cinemas, Inc. 1,305
100 Dover Motorsports, Inc. 531
213 Gaylord Entertainment Co. (a) 10,848
400 Live Nation (a) 8,960
167 Lodgenet Entertainment Corp. (a) 4,180
85 Speedway Motorsports, Inc. 3,264
-----------
29,088
- -----------------------------------------------------------------------------------------------------------------------------
Fertilizers - 0.1% 555 Terra Industries, Inc. (a) 6,649
- -----------------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.2% 129 Accredited Home Lenders Holding Co. (a) 3,519
75 Asta Funding, Inc. 2,283
200 International Securities Exchange, Inc. 9,358
100 MVC Capital, Inc. 1,336
91 World Acceptance Corp. (a) 4,272
-----------
20,768
- -----------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.1% 450 Advance America, Cash Advance Centers, Inc. 6,592
100 Dollar Financial Corp. (a) 2,786
-----------
9,378
- -----------------------------------------------------------------------------------------------------------------------------
Financial Data Processing 173 Advent Software, Inc. (a) 6,105
Services & Systems - 1.1% 111 CompuCredit Corp. (a) 4,419
217 Cybersource Corp. (a) 2,391
300 Deluxe Corp. 7,560
249 Digital Insight Corp. (a) 9,584
301 eFunds Corp. (a) 8,278
181 eSpeed, Inc. Class A (a) 1,580
100 Heartland Payment Systems, Inc. 2,825
384 Hypercom Corp. (a) 2,438
500 Jack Henry & Associates, Inc. 10,700
200 John H. Harland Co. 10,040
214 Kronos, Inc. (a) 7,862
100 Online Resources Corp. (a) 1,021
185 Open Solutions, Inc. (a) 6,963
100 TNS, Inc. (a) 1,925
200 TradeStation Group, Inc. (a) 2,750
270 Wright Express Corp. (a) 8,416
-----------
94,857
- -----------------------------------------------------------------------------------------------------------------------------
Financial Information Services - 0.3% 100 Bankrate, Inc. (a) 3,795
200 INVESTools, Inc. (a) 2,758
200 Interactive Data Corp. 4,808
100 Morningstar, Inc. (a) 4,505
660 Move, Inc. (a) 3,637
430 S1 Corp. (a) 2,369
100 TheStreet.com, Inc. 890
-----------
22,762
- -----------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.8% 145 Advanta Corp. Class B 6,326
33 Asset Acceptance Capital Corp. (a) 555
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
203 Cash America International, Inc. $ 9,521
13 Enstar Group, Inc. (a) 1,247
71 Federal Agricultural Mortgage Corp. Class B 1,926
189 Financial Federal Corp. 5,558
186 First Cash Financial Services, Inc. (a) 4,812
200 Global Cash Access, Inc. (a) 3,246
119 Harris & Harris Group, Inc. (a) 1,439
127 LandAmerica Financial Group, Inc. 8,015
90 Portfolio Recovery Associates, Inc. (a) 4,202
53 Sanders Morris Harris Group, Inc. 677
321 Sotheby's Holdings, Inc. Class A 9,957
193 Sterling Bancorp 3,802
106 Stewart Information Services Corp. 4,596
53 Triad Guaranty, Inc. (a) 2,908
48 WSFS Financial Corp. 3,213
-----------
72,000
- -----------------------------------------------------------------------------------------------------------------------------
Foods - 1.1% 289 Chiquita Brands International, Inc. 4,615
100 Diamond Foods, Inc. 1,901
328 Flowers Foods, Inc. 8,853
192 Hain Celestial Group, Inc. (a) 5,992
60 J&J Snack Foods Corp. 2,484
195 Lance, Inc. 3,916
100 M&F Worldwide Corp. (a) 2,526
100 Medifast, Inc. (a) 1,258
300 NBTY, Inc. (a) 12,471
222 Performance Food Group Co. (a) 6,136
200 Pilgrim's Pride Corp. 5,886
70 Premium Standard Farms, Inc. 1,300
194 Ralcorp Holdings, Inc. (a) 9,873
78 Sanderson Farms, Inc. 2,363
2 Seaboard Corp. 3,530
289 Sensient Technologies Corp. 7,109
203 Tootsie Roll Industries, Inc. 6,638
200 TreeHouse Foods, Inc. (a) 6,240
-----------
93,091
- -----------------------------------------------------------------------------------------------------------------------------
Forest Products - 0.1% 54 Deltic Timber Corp. 3,012
93 Universal Forest Products, Inc. 4,336
-----------
7,348
- -----------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services - 0.1% 193 Ennis, Inc. 4,721
100 The Standard Register Co. 1,200
-----------
5,921
- -----------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & 653 Stewart Enterprises, Inc. Class A 4,081
Cemeteries - 0.1%
- -----------------------------------------------------------------------------------------------------------------------------
Glass - 0.1% 219 Apogee Enterprises, Inc. 4,229
- -----------------------------------------------------------------------------------------------------------------------------
Gold - 0.2% 1,847 Coeur d'Alene Mines Corp. (a) 9,143
133 Royal Gold, Inc. 4,785
-----------
13,928
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.7% 100 Capital Senior Living Corp. (a) 1,064
100 Five Star Quality Care, Inc. (a) 1,115
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
143 Genesis HealthCare Corp. (a) $ 6,754
150 Kindred Healthcare, Inc. (a) 3,788
114 LCA-Vision, Inc. 3,917
100 Medcath Corp. (a) 2,736
32 National Healthcare Corp. 1,766
342 Psychiatric Solutions, Inc. (a) 12,832
100 Radiation Therapy Services, Inc. (a) 3,152
96 Res-Care, Inc. (a) 1,742
200 Sun Healthcare Group, Inc. (a) 2,526
294 Sunrise Senior Living, Inc. (a) 9,032
297 United Surgical Partners International, Inc. (a) 8,420
-----------
58,844
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Management Services - 0.7% 300 AMERIGROUP Corp. (a) 10,767
211 Allscripts Healthcare Solutions, Inc. (a) 5,695
215 Amsurg Corp. (a) 4,945
284 Centene Corp. (a) 6,978
63 Computer Programs & Systems, Inc. 2,141
42 Corvel Corp. (a) 1,998
223 Eclipsys Corp. (a) 4,585
100 Healthspring, Inc. (a) 2,035
100 Horizon Health Corp. (a) 1,957
58 Molina Healthcare, Inc. (a) 1,886
100 Omnicell, Inc. (a) 1,863
221 Per-Se Technologies, Inc. (a) 6,139
200 Phase Forward, Inc. (a) 2,996
100 Vital Images, Inc. (a) 3,480
-----------
57,465
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.5% 100 Adeza Biomedical Corp. (a) 1,491
107 Alliance Imaging, Inc. (a) 711
129 Amedisys, Inc. (a) 4,240
315 Apria Healthcare Group, Inc. (a) 8,395
73 Bio-Reference Labs, Inc. (a) 1,642
193 Gentiva Health Services, Inc. (a) 3,679
245 Healthcare Services Group 7,095
202 Healthways, Inc. (a) 9,637
200 Hythiam, Inc. (a) 1,848
115 Matria Healthcare, Inc. (a) 3,304
161 Odyssey HealthCare, Inc. (a) 2,135
72 Symbion, Inc. (a) 1,333
78 VistaCare, Inc. Class A (a) 792
-----------
46,302
- -----------------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.3% 300 Hovnanian Enterprises, Inc. Class A (a) 10,170
86 Levitt Corp. Class A 1,053
89 M/I Homes, Inc. 3,399
100 Meritage Homes Corp. (a) 4,772
52 Technical Olympic USA, Inc. 529
207 WCI Communities, Inc. (a) 3,970
-----------
23,893
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% 100 Lodgian, Inc. (a) $ 1,360
111 Marcus Corp. 2,839
100 Morgans Hotel Group Co. (a) 1,693
-----------
5,892
- -----------------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.4% 60 American Woodmark Corp. 2,511
205 Ethan Allen Interiors, Inc. 7,403
306 Furniture Brands International, Inc. 4,966
144 Haverty Furniture Cos., Inc. 2,131
378 La-Z-Boy, Inc. (f) 4,487
100 Lifetime Brands, Inc. 1,643
100 Sealy Corp. 1,475
387 Select Comfort Corp. (a) 6,730
52 Stanley Furniture Co., Inc. 1,115
300 Tempur-Pedic International, Inc. (a) 6,138
-----------
38,599
- -----------------------------------------------------------------------------------------------------------------------------
Identification Control & 169 Advanced Energy Industries, Inc. (a) 3,189
Filter Devices - 0.6% 259 Asyst Technologies, Inc. (a) 1,893
100 Badger Meter, Inc. 2,770
158 ESCO Technologies, Inc. (a) 7,180
100 Flanders Corp. (a) 990
48 The Gorman-Rupp Co. 1,775
396 L-1 Identity Solutions, Inc. (a) 5,991
134 Mine Safety Appliances Co. 4,911
206 Paxar Corp. (a) 4,750
200 RAE Systems, Inc. (a) 640
52 Robbins & Myers, Inc. 2,388
190 Veeco Instruments, Inc. (a) 3,559
105 Vicor Corp. 1,167
174 Watts Water Technologies, Inc. Class A 7,153
167 X-Rite, Inc. 2,054
-----------
50,410
- -----------------------------------------------------------------------------------------------------------------------------
Industrial Products - 0.1% 200 Smith & Wesson Holding Corp. (a) 2,068
100 TAL International Group, Inc. 2,669
-----------
4,737
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% 374 American Equity Investment Life Holding Co. 4,873
228 Delphi Financial Group Class A (g) 9,225
100 Great American Financial Resources, Inc. 2,305
14 Kansas City Life Insurance Co. 697
16 National Western Life Insurance Co. Class A 3,682
586 The Phoenix Cos., Inc. 9,312
112 Presidential Life Corp. 2,458
206 Universal American Financial Corp. (a) 3,840
-----------
36,392
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 0.5% 186 Alfa Corp. 3,499
66 CNA Surety Corp. (a) 1,419
100 Crawford & Co. Class B 730
65 FBL Financial Group, Inc. Class A 2,540
145 HealthExtras, Inc. (a) 3,495
190 Hilb Rogal & Hobbs Co. 8,003
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
256 Horace Mann Educators Corp. $ 5,171
200 Meadowbrook Insurance Group, Inc. (a) 1,978
100 Pico Holdings, Inc. (a) 3,477
220 Zenith National Insurance Corp. 10,320
-----------
40,632
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Property- 210 21st Century Insurance Group 3,707
Casualty - 1.4%
100 Affirmative Insurance Holdings, Inc. 1,627
100 American Physicians Capital, Inc. (a) 4,004
178 Argonaut Group, Inc. (a) 6,205
35 Baldwin & Lyons, Inc. Class B 894
75 Bristol West Holdings, Inc. 1,187
300 Commerce Group, Inc. 8,925
100 Darwin Professional Underwriters, Inc. (a) 2,345
120 Direct General Corp. 2,477
100 Donegal Group, Inc. Class A 1,959
64 FPIC Insurance Group, Inc. (a) 2,494
87 First Acceptance Corp. (a) 933
400 Fremont General Corp. 6,484
65 Harleysville Group, Inc. 2,263
150 Infinity Property & Casualty Corp. 7,259
44 The Midland Co. 1,846
100 National Interstate Corp. 2,430
73 Navigators Group, Inc. (a) 3,517
426 Ohio Casualty Corp. 12,699
210 PMA Capital Corp. Class A (a) 1,936
160 ProAssurance Corp. (a) 7,987
136 RLI Corp. 7,673
82 Safety Insurance Group, Inc. 4,158
100 SeaBright Insurance Holdings, Inc. (a) 1,801
194 Selective Insurance Group 11,114
70 State Auto Financial Corp. 2,431
125 Tower Group, Inc. 3,884
110 United Fire & Casualty Co. 3,878
-----------
118,117
- -----------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.7% 471 Apollo Investment Corp. 10,550
277 Ares Capital Corp. 5,293
165 Calamos Asset Management, Inc. Class A 4,427
12 Capital Southwest Corp. 1,515
33 GAMCO Investors, Inc. Class A 1,269
351 MCG Capital Corp. 7,132
124 NGP Capital Resources Co. 2,077
208 National Financial Partners Corp. 9,146
100 Technology Investment Capital Corp. 1,614
500 Waddell & Reed Financial, Inc. Class A 13,680
-----------
56,703
- -----------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones - 0.1% 300 Fossil, Inc. (a) 6,774
122 Movado Group, Inc. 3,538
-----------
10,312
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.4% 200 Bally Total Fitness Holding Corp. (a) $ 490
469 Callaway Golf Co. 6,758
140 Great Wolf Resorts, Inc. (a) 1,954
249 K2, Inc. (a) 3,284
163 Life Time Fitness, Inc. (a) 7,907
467 Six Flags, Inc. (a) 2,447
59 Steinway Musical Instruments, Inc. (a) 1,832
146 Vail Resorts, Inc. (a) 6,544
101 West Marine, Inc. (a) 1,744
-----------
32,960
- -----------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering - 0.1% Applied Industrial Technologies, Inc. 7,419
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.0% 50 Gehl Co. (a) 1,377
59 Lindsay Manufacturing Co. 1,926
-----------
3,303
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & 120 ASV, Inc. (a) 1,952
Handling - 0.1% 69 Astec Industries, Inc. (a) 2,422
26 NACCO Industries, Inc. Class A 3,552
-----------
7,926
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Engines - 0.1% 300 Briggs & Stratton Corp. 8,085
100 Raser Techonologies, Inc. (a) 612
-----------
8,697
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty - 0.5% 183 Actuant Corp. Class A 8,720
100 Columbus McKinnon Corp. (a) 2,102
125 EnPro Industries, Inc. (a) 4,151
71 Kadant, Inc. (a) 1,731
38 Middleby Corp. (a) 3,977
168 Nordson Corp. 8,371
119 Tecumseh Products Co. Class A (a) 2,011
126 Tennant Co. 3,654
171 Woodward Governor Co. 6,790
-----------
41,507
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & 126 CARBO Ceramics, Inc. 4,709
Services - 1.1% 100 Complete Production Services, Inc. (a) 2,120
200 Dril-Quip, Inc. (a) 7,832
75 Gulf Island Fabrication, Inc. 2,768
577 Hanover Compressor Co. (a) 10,900
130 Hornbeck Offshore Services, Inc. (a) 4,641
116 Hydril Co. (a) 8,722
391 Input/Output, Inc. (a) 5,329
70 Lufkin Industries, Inc. 4,066
100 NATCO Group, Inc. Class A (a) 3,188
581 Newpark Resources, Inc. (a) 4,196
317 Oil States International, Inc. (a) 10,217
618 Parker Drilling Co. (a) 5,049
276 RPC, Inc. 4,659
100 Sulphco, Inc. (a) 472
1 Superior Energy Services, Inc. (a) 7
40 Superior Well Services, Inc. (a) 1,022
100 Trico Marine Services, Inc. (a) 3,831
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
128 Universal Compression Holdings, Inc. (a) $ 7,950
140 W-H Energy Services, Inc. (a) 6,817
-----------
98,495
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.2% 235 Bucyrus International, Inc. 12,164
71 Cascade Corp. 3,756
73 Semitool, Inc. (a) 972
100 TurboChef Technologies, Inc. (a) 1,702
-----------
18,594
- -----------------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% 437 Champion Enterprises, Inc. (a) 4,090
100 Palm Harbor Homes, Inc. (a) 1,402
33 Skyline Corp. 1,327
-----------
6,819
- -----------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 290 Federal Signal Corp. 4,652
63 Standex International Corp. 1,898
-----------
6,550
- -----------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & 136 Abaxis, Inc. (a) 2,618
Supplies - 2.6% 83 Abiomed, Inc. (a) 1,170
419 Align Technology, Inc. (a) 5,853
456 American Medical Systems Holdings, Inc. (a) 8,445
100 Angiodynamics, Inc. (a) 2,149
111 Arrow International, Inc. 3,927
106 Bio-Rad Laboratories, Inc. Class A (a) 8,747
91 Biosite, Inc. (a) 4,445
349 Cepheid, Inc. (a) 2,967
100 Cerus Corp. (a) 586
100 Conceptus, Inc. (a) 2,129
212 Conmed Corp. (a) 4,901
200 Conor Medsystems, Inc. (a) 6,266
127 Cyberonics, Inc. (a) 2,621
105 DJO, Inc. (a) 4,496
100 DexCom, Inc. (a) 986
60 ev3, Inc. (a) 1,034
100 FoxHollow Technologies, Inc. (a) 2,158
134 I-Flow Corp. (a) 2,003
84 ICU Medical, Inc. (a) 3,417
100 IRIS International, Inc. (a) 1,265
421 Immucor, Inc. (a) 12,306
182 Invacare Corp. 4,468
100 Inverness Medical Innovations, Inc. (a) 3,870
267 Kyphon, Inc. (a) 10,787
48 Landauer, Inc. 2,519
216 Lifecell Corp. (a) 5,214
278 Mentor Corp. 13,586
100 Meridian Bioscience, Inc. 2,453
174 Merit Medical Systems, Inc. (a) 2,756
117 Molecular Devices Corp. (a) 2,465
200 NuVasive, Inc. (a) 4,620
321 OraSure Technologies, Inc. (a) 2,651
242 Owens & Minor, Inc. 7,567
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
415 PSS World Medical, Inc. (a) $ 8,105
90 Palomar Medical Technologies, Inc. (a) 4,560
184 PolyMedica Corp. 7,435
87 SonoSite, Inc. (a) 2,691
100 Spectranetic Corp. (a) 1,129
100 Stereotaxis, Inc. (a) 1,032
441 Steris Corp. 11,100
108 SurModics, Inc. (a) 3,361
200 Symmetry Medical, Inc. (a) 2,766
340 ThermoGenesis Corp. (a) 1,455
326 Thoratec Corp. (a) 5,731
194 Ventana Medical Systems, Inc. (a) 8,348
183 Viasys Healthcare, Inc. (a) 5,091
24 Vital Signs, Inc. 1,198
176 West Pharmaceutical Services, Inc. 9,016
189 Wright Medical Group, Inc. (a) 4,400
-----------
224,863
- -----------------------------------------------------------------------------------------------------------------------------
Medical Services - 0.3% 100 Air Methods Corp. (a) 2,792
290 Magellan Health Services, Inc. (a) 12,534
160 Option Care, Inc. 2,280
149 Parexel International Corp. (a) 4,317
90 RehabCare Group, Inc. (a) 1,337
-----------
23,260
- -----------------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 0.8% 80 CIRCOR International, Inc. 2,943
100 Dynamic Materials Corp. 2,806
129 Encore Wire Corp. (f) 2,839
100 Insteel Industries, Inc. 1,779
171 Kaydon Corp. 6,796
181 Lone Star Technologies, Inc. (a) 8,762
650 Mueller Water Products, Inc. Series A 9,666
146 NN, Inc. 1,815
234 Quanex Corp. 8,094
60 RBC Bearings, Inc. (a) 1,720
118 RTI International Metals, Inc. (a) 9,230
179 Ryerson, Inc. 4,491
100 Superior Essex, Inc. (a) 3,325
75 Valmont Industries, Inc. 4,162
-----------
68,428
- -----------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous - 0.5% 118 AMCOL International Corp. 3,273
107 Brush Engineered Materials, Inc. (a) 3,613
288 Cleveland-Cliffs, Inc. 13,951
120 Compass Minerals International, Inc. 3,787
613 GrafTech International Ltd. (a) 4,242
844 Hecla Mining Co. (a) 6,465
128 Minerals Technologies, Inc. 7,525
240 Stillwater Mining Co. (a) 2,998
-----------
45,854
- -----------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain 100 MGP Ingredients, Inc. 2,261
Processing - 0.0%
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples - 0.1% 170 Reddy Ice Holdings, Inc. $ 4,389
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 169 Ceradyne, Inc. (a) 9,549
Commodities - 0.2% 197 Symyx Technologies Inc. (a) 4,253
95 WD-40 Co. 3,313
-----------
17,115
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 196 Insituform Technologies, Inc. Class A (a) 5,069
Processing - 0.3% 128 Metal Management, Inc. 4,845
99 Rogers Corp. (a) 5,856
505 USEC, Inc. (a) 6,424
-----------
22,194
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables - 0.1% 414 BE Aerospace, Inc. (a) 10,632
161 Blount International, Inc. (a) 2,167
-----------
12,799
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology - 0.0% 100 IHS, Inc. Class A (a) 3,948
- -----------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies - 0.3% 100 Compass Diversified Trust 1,715
332 GenCorp, Inc. (a) 4,655
100 GenTek Inc. (a) 3,459
178 Kaman Corp. Class A 3,985
190 Lancaster Colony Corp. 8,419
123 Raven Industries, Inc. 3,296
33 Sequa Corp. Class A (a) 3,797
-----------
29,326
- -----------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business 200 ACCO Brands Corp. (a) 5,294
Equipment - 0.3% 400 Herman Miller, Inc. 14,544
110 Kimball International, Inc. Class B 2,673
200 Knoll, Inc. 4,400
230 Presstek, Inc. (a) 1,463
-----------
28,374
- -----------------------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.2% 174 Atwood Oceanics, Inc. (a) 8,521
100 Bois d'Arc Energy, Inc. (a) 1,463
100 Hercules Offshore, Inc. (a) 2,890
-----------
12,874
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 2.0% 100 ATP Oil & Gas Corp. (a) 3,957
100 Arena Resources, Inc. (a) 4,271
100 Atlas America, Inc. (a) 5,097
400 Aurora Oil & Gas Corp. (a) 1,284
260 Berry Petroleum Co. Class A 8,063
190 Bill Barrett Corp. (a) 5,170
308 Brigham Exploration Co. (a) 2,251
30 Bronco Drilling Co., Inc. (a) 516
57 Callon Petroleum Co. (a) 857
100 Carrizo Oil & Gas, Inc. (a) 2,902
249 Comstock Resources, Inc. (a) 7,734
200 EXCO Resources, Inc. (a) 3,382
112 Edge Petroleum Corp. (a) 2,043
258 Encore Acquisition Co. (a) 6,329
282 Energy Partners Ltd. (a) 6,886
200 The Exploration Co. of Delaware, Inc. (a) 2,668
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
400 Gasco Energy, Inc. (a) $ 980
200 GeoGlobal Resources, Inc. (a) 1,570
100 Goodrich Petroleum Corp. (a) 3,618
1,139 Grey Wolf, Inc. (a) 7,814
212 Harvest Natural Resources, Inc. (a) 2,254
192 Houston Exploration Co. (a) 9,942
400 Mariner Energy, Inc. (a) 7,840
137 McMoRan Exploration Co. (a) 1,948
559 Meridian Resource Corp. (a) 1,727
200 Parallel Petroleum Corp. (a) 3,514
818 PetroHawk Energy Corp. (a) 9,407
117 Petroleum Development Corp. (a) 5,037
200 Petroquest Energy, Inc. (a) 2,548
300 Pioneer Drilling Co. (a) 3,984
200 Quest Resource Corp. (a) 2,020
113 Resource America, Inc. Class A 2,983
300 Rosetta Resources, Inc. (a) 5,601
163 Stone Energy Corp. (a) 5,762
200 Swift Energy Co. (a) 8,962
100 Toreador Resources Corp. (a) 2,577
400 Transmeridian Exploration, Inc. (a) 1,380
110 VeraSun Energy Corp. (a) 2,173
300 Warren Resources, Inc. (a) 3,516
100 Western Refining, Inc. 2,546
234 Whiting Petroleum Corp. (a) 10,904
-----------
174,017
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic - 0.2% 300 Delta Petroleum Corp. (a) 6,933
100 GMX Resources Inc. (a) 3,550
84 Giant Industries, Inc. (a) 6,296
-----------
16,779
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International - 0.0% Vaalco Energy, Inc. (a) 2,700
- -----------------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% 298 Ferro Corp. 6,166
410 H.B. Fuller Co. 10,586
-----------
16,752
- -----------------------------------------------------------------------------------------------------------------------------
Paper - 0.4% 159 Albany International Corp. Class A 5,233
300 Bowater, Inc. 6,750
156 Buckeye Technologies, Inc. (a) 1,869
215 Caraustar Industries, Inc. (a) 1,739
119 Chesapeake Corp. 2,025
200 Mercer International, Inc.-Sbi (a) 2,374
100 Neenah Paper, Inc. 3,532
222 P.H. Glatfelter Co. 3,441
161 Rock-Tenn Co. Class A 4,365
274 Wausau Paper Corp. 4,107
-----------
35,435
- -----------------------------------------------------------------------------------------------------------------------------
Plastics - 0.1% 100 The Lamson & Sessions Co. (a) 2,426
100 PW Eagle, Inc. 3,450
148 Spartech Corp. 3,881
-----------
9,757
- -----------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental 100 American Ecology Corp. $ 1,851
Services - 0.2% 100 Basin Water, Inc. (a) 677
356 Darling International, Inc. (a) 1,962
233 Headwaters, Inc. (a) 5,583
100 Team, Inc. (a) 3,483
-----------
13,556
- -----------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment - 0.1% 179 Regal-Beloit Corp. 9,399
- -----------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services - 0.2% Bowne & Co., Inc. 4,097
400 Cenveo, Inc. (a) 8,480
100 Schawk, Inc. 1,954
-----------
14,531
- -----------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment - 1.3% 189 ATMI, Inc. (a) 5,770
594 Axcelis Technologies, Inc. (a) 3,463
530 Brooks Automation, Inc. (a) 7,632
280 Cognex Corp. 6,670
572 Credence Systems Corp. (a) 2,974
238 Cymer, Inc. (a) 10,460
132 Dionex Corp. (a) 7,486
170 Electro Scientific Industries, Inc. (a) 3,424
200 Emcore Corp. (a) 1,106
792 Entegris, Inc. (a) 8,569
177 Esterline Technologies Corp. (a) 7,121
139 FEI Co. (a) 3,665
100 Intevac, Inc. (a) 2,595
374 Kulicke & Soffa Industries, Inc. (a) 3,142
444 LTX Corp. (a) 2,486
146 MTS Systems Corp. 5,639
290 Mattson Technology, Inc. (a) 2,703
123 Photon Dynamics, Inc. (a) 1,438
189 Photronics, Inc. (a) 3,088
106 Rofin-Sinar Technologies, Inc. (a) 6,409
160 Rudolph Technologies, Inc. (a) 2,547
158 Ultratech, Inc. (a) 1,972
343 Varian Semiconductor Equipment Associates, Inc. (a) 15,613
-----------
115,972
- -----------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous - 0.5% Banta Corp. 5,569
64 Consolidated Graphics, Inc. (a) 3,780
49 Courier Corp. 1,910
90 GateHouse Media, Inc. 1,670
186 Martha Stewart Living Omnimedia, Inc. Class A 4,073
200 Playboy Enterprises, Inc. Class B (a) 2,292
1,096 Primedia, Inc. (a) 1,852
100 Private Media Group, Inc. (a) 403
619 The Reader's Digest Association, Inc. Class A 10,337
213 Scholastic Corp. (a) 7,634
-----------
39,520
- -----------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 0.3% 500 Belo Corp. Class A 9,185
206 Journal Communications, Inc. Class A 2,598
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
252 Journal Register Co. $ 1,840
200 Lee Enterprises, Inc. 6,212
100 Media General, Inc. Class A 3,717
510 Sun-Times Media Group, Inc. 2,504
-----------
26,056
- -----------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters - 0.5% CKX, Inc. (a) 3,519
200 Citadel Broadcasting Corp. 1,992
200 Cox Radio, Inc. Class A (a) 3,260
352 Cumulus Media, Inc. Class A (a) 3,657
249 Emmis Communications Corp. Class A 2,052
200 Entercom Communications Corp. 5,636
53 Fisher Communications, Inc. (a) 2,343
269 Gray Television, Inc. 1,972
201 Lin TV Corp. Class A (a) 2,000
500 Radio One, Inc. Class D (a) 3,370
81 Salem Communications Corp. Class A 968
334 Sinclair Broadcast Group, Inc. Class A 3,507
284 Spanish Broadcasting System, Inc. Class A (a) 1,167
400 Westwood One, Inc. 2,824
128 World Wrestling Entertainment, Inc. 2,086
-----------
40,353
- -----------------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.2% 100 Freightcar America, Inc. 5,545
51 Greenbrier Cos., Inc. 1,530
285 Westinghouse Air Brake Technologies Corp. 8,658
-----------
15,733
- -----------------------------------------------------------------------------------------------------------------------------
Railroads - 0.3% 231 Florida East Coast Industries, Inc. 13,768
248 Genesee & Wyoming, Inc. Class A (a) 6,508
213 RailAmerica, Inc. (a) 3,425
-----------
23,701
- -----------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 20 Avatar Holdings, Inc. (a) 1,617
123 Bluegreen Corp. (a) 1,578
26 Consolidated-Tomoka Land Co. 1,882
100 Newkirk Realty Trust, Inc. 1,804
38 Tejon Ranch Co. (a) 2,122
-----------
9,003
- -----------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 144 Acadia Realty Trust 3,603
(REITs) - 6.9% 197 Affordable Residential Communities Inc. (a) 2,295
100 Agree Realty Corp. 3,437
10 Alexander's, Inc. (a) 4,197
175 Alexandria Real Estate Equities, Inc. 17,570
175 American Campus Communities, Inc. 4,982
700 American Financial Realty Trust 8,008
265 American Home Mortgage Investment Corp. 9,307
312 Anthracite Capital, Inc. 3,972
249 Anworth Mortgage Asset Corp. 2,368
129 Arbor Realty Trust, Inc. 3,882
287 Ashford Hospitality Trust, Inc. 3,573
368 BioMed Realty Trust, Inc. 10,525
310 Capital Lease Funding, Inc. 3,596
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
61 Capital Trust, Inc. $ 3,046
143 Cedar Shopping Centers, Inc. 2,275
56 CentraCore Properties Trust 1,810
226 Corporate Office Properties Trust 11,406
254 Cousins Properties, Inc. 8,959
400 Crescent Real Estate EQT Co. 7,900
270 Deerfield Triarc Capital Corp. 4,571
300 DiamondRock Hospitality Co. 5,403
136 Digital Realty Trust, Inc. 4,655
126 Eastgroup Properties, Inc. 6,749
230 Education Realty Trust, Inc. 3,397
179 Entertainment Properties Trust 10,461
377 Equity Inns, Inc. 6,017
109 Equity Lifestyle Properties, Inc. 5,933
204 Equity One, Inc. 5,439
311 Extra Space Storage, Inc. 5,679
359 FelCor Lodging Trust, Inc. 7,841
330 Fieldstone Investment Corp. 1,445
284 First Industrial Realty Trust, Inc. 13,317
100 First Potomac Realty Trust 2,911
300 Franklin Street Properties Corp. 6,315
800 Friedman Billings Ramsey Group, Inc. Class A 6,400
195 GMH Communities Trust 1,979
99 Getty Realty Corp. 3,059
217 Glimcher Realty Trust 5,796
39 Gramercy Capital Corp. 1,205
300 Healthcare Realty Trust, Inc. 11,862
300 Hersha Hospitality Trust 3,402
285 Highland Hospitality Corp. 4,061
372 Highwoods Properties, Inc. 15,163
228 Home Properties, Inc. 13,514
279 HomeBanc Corp. 1,180
470 IMPAC Mortgage Holdings, Inc. 4,136
400 Inland Real Estate Corp. 7,488
284 Innkeepers USA Trust 4,402
244 Investors Real Estate Trust 2,503
80 JER Investors Trust, Inc. 1,654
400 KKR Financial Corp. 10,716
219 Kite Realty Group Trust 4,078
173 LTC Properties, Inc. 4,725
268 LaSalle Hotel Properties 12,288
386 Lexington Corporate Properties Trust 8,654
500 Longview Fibre Co. 10,975
282 Luminent Mortgage Capital, Inc. 2,738
477 MFA Mortgage Investments, Inc. 3,668
242 Maguire Properties, Inc. 9,680
290 Medical Properties Trust, Inc. 4,437
130 Mid-America Apartment Communities, Inc. 7,441
300 The Mills Corp. 6,000
125 MortgageIT Holdings, Inc. 1,844
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
134 National Health Investors, Inc. $ 4,422
317 National Retail Properties, Inc. 7,275
460 Nationwide Health Properties, Inc. 13,901
221 Newcastle Investment Corp. 6,922
300 NorthStar Realty Finance Corp. 4,971
188 Novastar Financial, Inc. 5,010
374 Omega Healthcare Investors, Inc. 6,627
93 PS Business Parks, Inc. 6,576
82 Parkway Properties, Inc. 4,183
196 Pennsylvania Real Estate Investment Trust 7,718
277 Post Properties, Inc. 12,659
244 Potlatch Corp. 10,692
366 RAIT Investment Trust 12,620
79 Ramco-Gershenson Properties Trust 3,013
560 Realty Income Corp. 15,512
124 Redwood Trust, Inc. 7,202
200 Republic Property Trust 2,308
61 Saul Centers, Inc. 3,367
380 Senior Housing Properties Trust 9,302
93 Sovran Self Storage, Inc. 5,327
440 Spirit Finance Corp. 5,487
404 Strategic Hotel Capital, Inc. 8,803
94 Sun Communities, Inc. 3,042
369 Sunstone Hotel Investors, Inc. 9,863
198 Tanger Factory Outlet Centers, Inc. 7,738
103 Tarragon Corp. 1,254
382 Trustreet Properties, Inc. 6,437
308 U-Store-It Trust 6,329
62 Universal Health Realty Income Trust 2,417
110 Urstadt Biddle Properties, Inc. Class A 2,100
261 Washington Real Estate Investment Trust 10,440
112 Winston Hotels, Inc. 1,484
100 Winthrop Realty Trust, Inc. 685
-----------
597,578
- -----------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & 98 Arctic Cat, Inc. 1,724
Boats - 0.3%
429 Fleetwood Enterprises, Inc. (a) 3,393
63 Marine Products Corp. 740
191 Monaco Coach Corp. 2,705
200 Polaris Industries, Inc. 9,366
181 Winnebago Industries, Inc. 5,957
-----------
23,885
- -----------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 90 Electro Rent Corp. (a) 1,503
Commercial - 0.1% 100 H&E Equipment Services, Inc. (a) 2,477
59 Marlin Business Services, Inc. (a) 1,418
106 McGrath RentCorp 3,247
200 Williams Scotsman International, Inc. (a) 3,924
-----------
12,569
- -----------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 231 Aaron Rents, Inc. 6,648
Consumer - 0.4% 54 Amerco, Inc. (a) 4,698
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
171 Dollar Thrifty Automotive Group (a) $ 7,799
400 Rent-A-Center, Inc. (a) 11,804
-----------
30,949
- -----------------------------------------------------------------------------------------------------------------------------
Restaurants - 1.9% 200 AFC Enterprises, Inc. (a) 3,534
400 Applebee's International, Inc. 9,868
100 BJ's Restaurants, Inc. (a) 2,021
251 Bob Evans Farms, Inc. 8,589
52 Buffalo Wild Wings, Inc. (a) 2,766
200 CBRL Group, Inc. 8,952
234 CEC Entertainment, Inc. (a) 9,419
320 CKE Restaurants, Inc. 5,888
148 California Pizza Kitchen, Inc. (a) 4,930
100 Chipotle Mexican Grill, Inc. Class B (a) 5,200
200 Cosi, Inc. (a) 1,018
800 Denny's Corp. (a) 3,752
232 Domino's Pizza, Inc. 6,496
122 IHOP Corp. 6,429
254 Jack in the Box, Inc. (a) 15,504
384 Krispy Kreme Doughnuts, Inc. (a) 4,262
159 Landry's Restaurants, Inc. 4,784
100 Luby's, Inc. (a) 1,089
165 O'Charleys, Inc. (a) 3,511
178 PF Chang's China Bistro, Inc. (a) 6,832
174 Papa John's International, Inc. (a) 5,048
209 Rare Hospitality International, Inc. (a) 6,882
86 Red Robin Gourmet Burgers, Inc. (a) 3,083
400 Ruby Tuesday, Inc. 10,976
90 Ruth's Chris Steak House, Inc. (a) 1,645
400 Sonic Corp. (a) 9,580
136 The Steak n Shake Co. (a) 2,394
306 Texas Roadhouse, Inc. Class A (a) 4,058
296 Triarc Cos. 5,920
-----------
164,430
- -----------------------------------------------------------------------------------------------------------------------------
Retail - 3.9% 186 1-800-FLOWERS.COM, Inc. Class A (a) 1,146
304 99 Cents Only Stores (a) 3,700
103 AC Moore Arts & Crafts, Inc. (a) 2,232
356 Aeropostale, Inc. (a) 10,990
73 America's Car Mart, Inc. (a) 866
121 Big 5 Sporting Goods Corp. 2,955
700 Big Lots, Inc. (a) 16,044
1,100 Blockbuster, Inc. Class A (a) 5,819
134 Blue Nile, Inc. (a) 4,943
59 The Bon-Ton Stores, Inc. 2,044
100 Books-A-Million, Inc. 2,268
300 Borders Group, Inc. 6,705
159 Brown Shoe Co., Inc. (g) 7,591
33 The Buckle, Inc. 1,678
67 Build-A-Bear Workshop, Inc. (a) 1,877
100 bebe Stores, Inc. 1,979
287 CSK Auto Corp. (a) 4,922
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
200 Cabela's, Inc. Class A (a) $ 4,826
80 Cache, Inc. (a) 2,019
135 Casual Male Retail Group, Inc. (a) 1,762
219 The Cato Corp. Class A 5,017
122 Central Garden and Pet Co. (a) 5,907
103 Charlotte Russe Holding, Inc. (a) 3,167
715 Charming Shoppes, Inc. (a) 9,674
121 The Children's Place Retail Stores, Inc. (a) 7,686
231 Christopher & Banks Corp. 4,310
156 Cost Plus, Inc. (a) 1,607
326 Dress Barn, Inc. (a) 7,606
139 dELiA*s, Inc. (a) 1,458
416 drugstore.com, Inc. (a) 1,523
300 Ezcorp, Inc. (a) 4,875
100 FTD Group, Inc. (a) 1,789
275 Fred's, Inc. 3,311
213 GSI Commerce, Inc. (a) 3,994
100 Gaiam, Inc. (a) 1,368
131 Genesco, Inc. (a) 4,886
284 Global Imaging Systems, Inc. (a) 6,234
113 Group 1 Automotive, Inc. 5,844
170 Guitar Center, Inc. (a) 7,728
228 Gymboree Corp. (a) 8,700
316 HOT Topic, Inc. (a) 4,215
252 Hibbett Sporting Goods, Inc. (a) 7,694
340 Insight Enterprises, Inc. (a) 6,416
109 Jo-Ann Stores, Inc. (a) 2,681
97 Jos. A. Bank Clothiers, Inc. (a) 2,847
23 Lawson Products, Inc. 1,055
76 Lithia Motors, Inc. Class A 2,186
65 MarineMax, Inc. (a) 1,685
300 Men's Wearhouse, Inc. 11,478
42 New York & Co. (a) 549
82 Overstock.com, Inc. (a) 1,296
362 PEP Boys-Manny, Moe & Jack 5,379
400 Pacific Sunwear of California, Inc. (a) 7,832
187 The Pantry, Inc. (a) 8,759
422 Payless Shoesource, Inc. (a) 13,850
100 PetMed Express, Inc. (a) 1,335
500 Pier 1 Imports, Inc. 2,975
144 Priceline.com, Inc. (a) 6,280
221 Restoration Hardware, Inc. (a) 1,881
100 Retail Ventures, Inc. (a) 1,904
200 Rush Enterprises, Inc. Class A (a) 3,384
31 Russ Berrie & Co., Inc. (a) 479
137 School Specialty, Inc. (a) 5,136
165 Sonic Automotive, Inc. 4,792
202 Stage Stores, Inc. 6,139
130 Stamps.com, Inc. (a) 2,048
183 Stein Mart, Inc. 2,427
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
100 Talbots, Inc. $ 2,410
185 Tuesday Morning Corp. 2,877
212 Tween Brands, Inc. (a) 8,465
274 United Natural Foods, Inc. (a) 9,842
141 ValueVision Media, Inc. Class A (a) 1,853
30 Volcom, Inc. (a) 887
400 The Wet Seal, Inc. Class A (a) 2,668
334 Zale Corp. (a) 9,422
100 Zumiez, Inc. (a) 2,954
-----------
341,130
- -----------------------------------------------------------------------------------------------------------------------------
Savings & Loan - 1.9% 113 Anchor Bancorp Wisconsin, Inc. 3,256
200 BFC Financial Corp. (a) 1,278
361 Bank Mutual Corp. 4,372
306 BankAtlantic Bancorp, Inc. Class A 4,226
191 BankUnited Financial Corp. Class A 5,340
48 Berkshire Hills Bancorp, Inc. 1,606
320 Brookline Bancorp, Inc. 4,214
77 Coastal Financial Corp. 1,287
232 Dime Community Bancshares, Inc. 3,250
100 Downey Financial Corp. 7,258
157 Fidelity Bankshares, Inc. 6,228
98 First Financial Holdings, Inc. 3,840
125 First Indiana Corp. 3,170
663 First Niagara Financial Group, Inc. 9,852
68 First Place Financial Corp. 1,597
142 First Republic Bank 5,549
103 FirstFed Financial Corp. (a) 6,898
232 Flagstar Bancorp, Inc. 3,443
96 Flushing Financial Corp. 1,639
54 Great Southern Bancorp, Inc. 1,594
56 Horizon Financial Corp. 1,347
61 IBERIABANK Corp. 3,602
41 ITLA Capital Corp. 2,374
131 KNBT Bancorp, Inc. 2,192
150 Kearny Financial Corp. 2,409
195 MAF Bancorp, Inc. 8,715
350 Netbank, Inc. 1,624
700 NewAlliance Bancshares, Inc. 11,480
105 Northwest Bancorp, Inc. 2,883
42 OceanFirst Financial Corp. 963
206 Ocwen Financial Corp. (a) 3,267
138 PFF Bancorp, Inc. 4,762
244 Partners Trust Financial Group, Inc. 2,840
100 Pennfed Financial Services, Inc. 1,932
423 Provident Financial Services, Inc. 7,669
241 Provident New York Bancorp 3,610
100 Rockville Financial, Inc. 1,785
243 Sterling Financial Corp. 8,216
101 TierOne Corp. 3,193
135 United Community Financial Corp. 1,652
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
700 W Holding Co., Inc. $ 4,172
100 Willow Grove Bancorp, Inc. 1,492
-----------
162,076
- -----------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & 260 Newport Corp. (a) 5,447
Suppliers - 0.2% 242 Varian, Inc. (a) 10,839
-----------
16,286
- -----------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services - 0.5% 270 CharterMac 5,797
100 GFI Group, Inc. (a) 6,226
110 Gladstone Investment Corp. 1,684
700 Knight Capital Group, Inc. Class A (a) 13,419
311 LaBranche & Co., Inc. (a) 3,057
156 MarketAxess Holdings, Inc. (a) 2,117
140 optionsXpress Holdings, Inc. 3,177
100 Penson Worldwide, Inc. (a) 2,741
78 SWS Group, Inc. 2,785
100 Thomas Weisel Partners Group, Inc. (a) 2,110
-----------
43,113
- -----------------------------------------------------------------------------------------------------------------------------
Services: Commercial - 3.4% 223 ABM Industries, Inc. 5,064
155 AMN Healthcare Services, Inc. (a) 4,269
120 Administaff, Inc. 5,132
130 The Advisory Board Co. (a) 6,960
84 Ambassadors Group, Inc. 2,549
410 CBIZ, Inc. (a) 2,858
64 CDI Corp. 1,594
76 CRA International, Inc. (a) 3,982
153 Casella Waste Systems, Inc. (a) 1,871
174 Chemed Corp. 6,435
85 Clark, Inc. 1,414
114 CoStar Group, Inc. (a) 6,106
200 Coinmach Service Corp. Class A 2,380
177 Coinstar, Inc. (a) 5,411
229 Cross Country Healthcare, Inc. (a) 4,997
173 Diamond Management & Technology Consultants, Inc. 2,152
100 DynCorp. International, Inc. (a) 1,587
48 Exponent, Inc. (a) 896
259 FTI Consulting, Inc. (a) 7,224
39 First Advantage Corp. Class A (a) 895
100 First Consulting Group, Inc. (a) 1,376
77 Forrester Research, Inc. (a) 2,087
127 G&K Services, Inc. Class A 4,939
106 The Geo Group, Inc. (a) 3,977
170 Gevity HR, Inc. 4,027
289 Harris Interactive, Inc. (a) 1,457
122 Heidrick & Struggles International, Inc. (a) 5,168
300 Home Solutions of America, Inc. (a) 1,758
156 Hudson Highland Group, Inc. (a) 2,602
600 IKON Office Solutions, Inc. 9,822
166 Jackson Hewitt Tax Service, Inc. 5,639
132 Kelly Services, Inc. Class A 3,820
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
100 Kenexa Corp. (a) $ 3,326
243 Kforce, Inc. (a) 2,957
100 The Knot, Inc. (a) 2,624
224 Korn/Ferry International (a) 5,143
294 Labor Ready, Inc. (a) 5,389
200 Lightbridge, Inc. (a) 2,708
100 Liquidity Services, Inc. (a) 1,721
137 MAXIMUS, Inc. 4,217
623 MPS Group, Inc. (a) 8,834
84 Midas, Inc. (a) 1,932
44 Monro Muffler, Inc. 1,544
289 Navigant Consulting, Inc. (a) 5,711
300 Net 1 UEPS Technologies, Inc. (a) 8,868
61 Netratings, Inc. (a) 1,068
100 On Assignment, Inc. (a) 1,175
300 PHH Corp. (a) 8,661
100 People Support, Inc. (a) 2,105
100 Perficient, Inc. (a) 1,641
100 Pre-Paid Legal Services, Inc. (a) 3,913
100 The Providence Service Corp. (a) 2,513
300 Regis Corp. 11,862
320 Resources Connection, Inc. (a) 10,189
166 Rollins, Inc. 3,670
200 Sirva, Inc. (a) 696
300 Sitel Corp. (a) 1,266
257 Source Interlink Cos., Inc. (a) 2,097
355 Spherion Corp. (a) 2,638
87 Startek, Inc. 1,178
600 Synagro Technologies, Inc. 2,652
213 TeleTech Holdings, Inc. (a) 5,086
390 Tetra Tech, Inc. (a) 7,055
14 Travelzoo, Inc. (a) 419
76 Unifirst Corp. 2,919
37 Vertrue, Inc. (a) 1,421
100 Viad Corp. 4,060
39 Volt Information Sciences, Inc. (a) 1,958
331 Waste Connections, Inc. (a) 13,753
133 Waste Services, Inc. (a) 1,310
255 Watson Wyatt Worldwide, Inc. 11,513
384 Wireless Facilities, Inc. (a) 1,094
196 World Fuel Services Corp. 8,714
-----------
292,048
- -----------------------------------------------------------------------------------------------------------------------------
Shipping - 0.2% 200 American Commercial Lines, Inc. (a) 13,102
117 Gulfmark Offshore, Inc. (a) 4,377
100 Horizon Lines, Inc. Class A 2,696
-----------
20,175
- -----------------------------------------------------------------------------------------------------------------------------
Shoes - 0.7% 80 DSW, Inc. Class A (a) 3,086
67 Deckers Outdoor Corp. (a) 4,017
223 The Finish Line, Inc. Class A 3,184
200 Iconix Brand Group, Inc. (a) 3,878
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
185 K-Swiss, Inc. Class A $ 5,687
69 Kenneth Cole Productions, Inc. Class A 1,655
100 Shoe Carnival, Inc. (a) 3,160
108 Skechers U.S.A., Inc. Class A (a) 3,597
182 Steven Madden Ltd. 6,386
199 Stride Rite Corp. 3,001
300 Timberland Co. Class A (a) 9,474
317 Wolverine World Wide, Inc. 9,041
-----------
56,166
- -----------------------------------------------------------------------------------------------------------------------------
Steel - 0.7% 700 AK Steel Holding Corp. (a) 11,830
296 Chaparral Steel Co. 13,104
175 Gibraltar Industries, Inc. 4,114
211 Oregon Steel Mills, Inc. (a) 13,169
141 Schnitzer Steel Industries, Inc. Class A 5,598
81 Steel Technologies, Inc. 1,422
45 Wheeling-Pittsburgh Corp. (a) 843
400 Worthington Industries, Inc. 7,088
-----------
57,168
- -----------------------------------------------------------------------------------------------------------------------------
Sugar - 0.0% 100 Imperial Sugar Co. New Shares 2,421
- -----------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment - 0.9% 900 Andrew Corp. (a) 9,207
620 Arris Group, Inc. (a) 7,756
139 Audiovox Corp. Class A (a) 1,958
290 Belden CDT, Inc. 11,336
255 C-COR, Inc. (a) 2,841
100 CalAmp Corp. (a) 844
355 Interdigital Communications Corp. (a) 11,910
229 Mastec, Inc. (a) 2,643
300 Plantronics, Inc. 6,360
600 Polycom, Inc. (a) 18,546
629 Powerwave Technologies, Inc. (a) 4,057
100 Radyne Corp. (a) 1,074
334 Symmetricom, Inc. (a) 2,979
-----------
81,511
- -----------------------------------------------------------------------------------------------------------------------------
Textile Products - 0.0% 258 Interface, Inc. Class A (a) 3,669
- -----------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers - 1.0% 278 Carter's, Inc. (a) 7,089
59 Cherokee, Inc. 2,532
100 Columbia Sportswear Co. 5,570
74 Guess?, Inc. (a) 4,694
112 Hartmarx Corp. (a) 791
130 J Crew Group, Inc. (a) 5,012
194 Kellwood Co. 6,309
90 Maidenform Brands, Inc. (a) 1,631
99 Oxford Industries, Inc. 4,915
54 Perry Ellis International, Inc. (a) 2,214
338 Phillips-Van Heusen Corp. 16,957
700 Quiksilver, Inc. (a) 11,025
100 True Religion Apparel, Inc. (a) 1,531
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
100 Under Armour, Inc. Class A (a) $ 5,045
325 The Warnaco Group, Inc. (a) 8,249
-----------
83,564
- -----------------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% 64 Bandag, Inc. 3,227
358 Cooper Tire & Rubber Co. 5,119
100 Titan International, Inc. 2,015
-----------
10,361
- -----------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 532 Alliance One International, Inc. (a) 3,756
85 Schweitzer-Mauduit International, Inc. 2,214
176 Universal Corp. 8,626
312 Vector Group Ltd. 5,538
-----------
20,134
- -----------------------------------------------------------------------------------------------------------------------------
Toys - 0.1% 181 Jakks Pacific, Inc. (a) 3,953
201 Leapfrog Enterprises, Inc. (a) 1,905
200 Marvel Entertainment, Inc. (a) 5,382
-----------
11,240
- -----------------------------------------------------------------------------------------------------------------------------
Transportation 100 Celadon Group, Inc. (a) 1,675
Miscellaneous - 0.2%
220 HUB Group, Inc. Class A (a) 6,061
206 Pacer International, Inc. 6,133
56 US Xpress Enterprises, Inc. Class A (a) 922
-----------
14,791
- -----------------------------------------------------------------------------------------------------------------------------
Truckers - 0.4% 156 Arkansas Best Corp. 5,616
196 Forward Air Corp. 5,670
370 Heartland Express, Inc. 5,557
333 Knight Transportation, Inc. 5,678
61 Marten Transport Ltd. (a) 1,118
184 Old Dominion Freight Line, Inc. (a) 4,429
115 Saia, Inc. (a) 2,669
100 USA Truck, Inc. (a) 1,605
338 Werner Enterprises, Inc. 5,908
-----------
38,250
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio - 0.0% Mediacom Communications Corp. Class A (a) 3,087
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.6% 200 Allete, Inc. 9,308
292 Avista Corp. 7,390
230 Black Hills Corp. 8,496
94 CH Energy Group, Inc. 4,963
338 Cleco Corp. 8,528
589 Duquesne Light Holdings, Inc. 11,692
340 El Paso Electric Co. (a) 8,286
147 The Empire District Electric Co. 3,629
292 IDACORP, Inc. 11,286
90 ITC Holdings Corp. 3,591
118 MGE Energy, Inc. 4,316
200 NorthWestern Corp. 7,076
211 Otter Tail Corp. 6,575
400 PNM Resources, Inc. 12,440
90 Pike Electric Corp. (a) 1,470
100 Portland General Electric Co. 2,725
153 UIL Holdings Corp. 6,455
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
246 Unisource Energy Corp. $ 8,986
500 Westar Energy, Inc. 12,980
-----------
140,192
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors - 1.0% Cascade Natural Gas Corp. 2,514
27 EnergySouth, Inc. 1,083
121 The Laclede Group, Inc. 4,239
193 New Jersey Resources Corp. 9,376
304 Nicor, Inc. 14,227
166 Northwest Natural Gas Co. 7,045
259 Peoples Energy Corp. 11,544
400 Piedmont Natural Gas Co. 10,700
162 South Jersey Industries, Inc. 5,412
210 Southwest Gas Corp. 8,058
337 WGL Holdings, Inc. 10,979
-----------
85,177
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous - 0.1% 2,268 Aquila, Inc. (a) 10,660
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications - 1.2% Alaska Communications Systems Group, Inc. 4,557
190 CT Communications, Inc. 4,355
100 Centennial Communications Corp. (a) 719
1,501 Cincinnati Bell, Inc. (a) 6,860
152 Commonwealth Telephone Enterprises, Inc. 6,363
100 Consolidated Communications Holdings, Inc. 2,090
874 Dobson Communications Corp. Class A (a) 7,595
100 Eschelon Telecom, Inc. (a) 1,981
170 FairPoint Communications, Inc. 3,222
680 FiberTower Corp. (a) 3,998
345 General Communication, Inc. Class A (a) 5,427
180 Golden Telecom, Inc. (e) 8,431
300 IDT Corp. Class B (a) 3,924
144 Iowa Telecommunications Services, Inc. 2,838
100 iPCS, Inc. (a) 5,536
100 NTELOS Holdings Corp. (a) 1,788
80 North Pittsburgh Systems, Inc. 1,931
453 Premiere Global Services, Inc. (a) 4,276
100 RCN Corp. (a) 3,015
29 Shenandoah Telecom Co. 1,363
80 SureWest Communications 2,203
859 Time Warner Telecom, Inc. Class A (a) 17,120
152 USA Mobility, Inc. 3,400
-----------
102,992
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% 129 American States Water Co. 4,982
126 California Water Service Group 5,090
58 SJW Corp. 2,248
172 Southwest Water Co. 2,367
-----------
14,687
- -----------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade - 0.1% 239 Central European Distribution Corp. (a) 7,098
- -----------------------------------------------------------------------------------------------------------------------------
Wholesalers - 0.3% 282 Brightpoint, Inc. (a) 3,793
250 LKQ Corp. (a) 5,748
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
190 Prestige Brands Holdings, Inc. (a) $ 2,474
234 United Stationers, Inc. (a) 10,925
-----------
22,940
- -----------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $7,034,871) - 92.6% 8,012,910
- -----------------------------------------------------------------------------------------------------------------------------
Rights
- -----------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.0% 930 Revlon, Inc. (expires 1/19/2007) (a) 47
- -----------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 197 Affordable Residential Communities Inc.
(REITs) - 0.0% (expires 1/23/2007) (a) 174
- -----------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 221
- -----------------------------------------------------------------------------------------------------------------------------
Mutual Funds
- -----------------------------------------------------------------------------------------------------------------------------
84 Gladstone Capital Corp. 2,004
- -----------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds (Cost - $2,017) - 0.0% 2,004
- -----------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------
$ 622,405 BlackRock Liquidity Series, LLC Cash Sweep Series,
5.26% (b)(d) 622,405
7,750 BlackRock Liquidity Series, LLC Money Market Series,
5.29% (b)(c)(d) 7,750
- -----------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $630,155) - 7.3% 630,155
- -----------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $7,667,043*) - 99.9% 8,645,290
Other Assets Less Liabilities - 0.1% 11,384
-----------
Net Assets - 100.0% $ 8,656,674
===========
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 7,659,840
===========
Gross unrealized appreciation $ 1,570,002
Gross unrealized depreciation (584,552)
-----------
Net unrealized appreciation $ 985,450
===========
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
---------------------------------------------------------------------------------------------------------------------
Affiliate Purchase Sales Realized Dividend/Interest
Cost Cost Gains (Losses) Income
---------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series,
LLC Cash Sweep Series $ -- $ 327,388 * $ -- $ 50,224
BlackRock Liquidity Series,
LLC Money Market Series $ -- $ 13,400 * $ -- $ 651
PNC Financial Services Group, Inc. $ 495 $ -- $ -- $ 5
---------------------------------------------------------------------------------------------------------------------
* Represents net sales cost.
(c) Security was purchased with the cash proceeds from securities loans.
(d) Represents the current yield as of December 31, 2006.
(e) Depositary receipts.
(f) Security, or a portion of security, is on loan.
(g) Security held as collateral in connection with open future contracts.
BlackRock Series Fund, Inc.
BlackRock Small Cap Index Portfolio
Schedule of Investments as of December 31, 2006
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets. These industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------
8 Russell Mini March 2007 $636,988 $ (1,068)
--------------------------------------------------------------------------
See Notes to Financial Statements.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED
SCHEDULE OF INVESTMENTS
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of
BlackRock Small Cap Index Portfolio of BlackRock Series Fund, Inc., as of
December 31, 2006, and for the year then ended and have issued our report
thereon dated February 26, 2007 which report and financial statements are
included in Item 1 of this Certified Shareholder Report on Form N-CSR. Our audit
also included the Fund's schedule of investments in securities (the "Schedule")
as of December 31, 2006 appearing in Item 6 of this Form N-CSR. This Schedule is
the responsibility of the Fund's management. Our responsibility is to express an
opinion based on our audit. In our opinion, the Schedule referred to above, when
considered in relation to the basic financial statements taken as a whole of the
Fund referred to above, presents fairly, in all material respects, the
information set forth therein.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Australia - 5.4% Airlines - 0.0% 45 Qantas Airways Ltd. $ 185
----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 826 Foster's Group Ltd. 4,512
382 Lion Nathan Ltd. 2,460
------------
6,972
----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 173 CSL Ltd. 8,927
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 127 Macquarie Bank Ltd. 7,913
22 Perpetual Trustees Australia Ltd. 1,358
------------
9,271
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 371 Orica Ltd. 7,116
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 1,272 Australia & New Zealand Banking Group Ltd. 28,324
916 Commonwealth Bank of Australia Ltd. 35,776
1,382 National Australia Bank Ltd. 44,071
1,241 Westpac Banking Corp. 23,745
------------
131,916
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 1,435 Brambles Ltd. (b) 14,401
157 Downer EDI Ltd. 866
------------
15,267
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 240 Leighton Holdings Ltd. 3,831
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 845 Boral Ltd. 5,089
507 James Hardie Industries NV 3,846
465 Rinker Group Ltd. 6,625
------------
15,560
----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.1% 790 Amcor Ltd. 4,521
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 1,163 Pacific Brands Ltd. 2,396
----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.2% 94 Australian Stock Exchange Ltd. 2,831
236 Babcock & Brown Ltd. 4,620
547 Suncorp-Metway Ltd. 8,787
------------
16,238
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,684 Telstra Corp. Ltd. 5,503
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 203 WorleyParsons Ltd. 3,410
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 1,184 Coles Myer Ltd. 13,084
979 Woolworths Ltd. 18,469
------------
31,553
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 1,732 Futuris Corp. Ltd. 2,693
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 91 Cochlear Ltd. 4,166
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 1,083 Mayne Group Ltd. 3,248
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.2% 410 Aristocrat Leisure Ltd. 5,146
602 TABCORP Holdings Ltd. 8,007
749 Tattersall's Ltd. 2,312
------------
15,465
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 307 Computershare Ltd. 2,157
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 1,846 CSR Ltd. 5,464
159 Wesfarmers Ltd. 4,712
------------
10,176
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 1,487 AMP Ltd. $ 11,855
44 AXA Asia Pacific Holdings Ltd. 253
1,783 Insurance Australia Group Ltd. 8,937
493 QBE Insurance Group Ltd. 11,227
------------
32,272
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 1,601 John Fairfax Holdings Ltd. 6,104
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.8% 172 Alumina Ltd. 861
2,526 BHP Billiton Ltd. 50,445
147 BlueScope Steel Ltd. 1,000
380 Iluka Resources Ltd. 1,995
220 Newcrest Mining Ltd. 4,576
882 OneSteel Ltd. 3,258
280 Rio Tinto Ltd. 16,422
529 Zinifex Ltd. 7,846
------------
86,403
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.1% 479 AGL Energy Ltd. (b) 6,118
438 Alinta Ltd. 4,086
------------
10,204
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.3% 101 Caltex Australia Ltd. 1,834
734 Origin Energy Ltd. 4,791
738 Paladin Resources Ltd. (b) 5,185
772 Santos Ltd. 6,015
239 Woodside Petroleum Ltd. 7,190
------------
25,015
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 621 PaperlinX Ltd. 1,926
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 725 Mayne Pharma Ltd. 2,329
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 2,912 CFS Retail Property Trust 5,356
(REITs) - 0.5% 62 Centro Properties Group 445
3,662 Commonwealth Property Office Fund 4,249
3,296 DB RREEF Trust 4,618
1,150 ING Industrial Fund 2,151
2,653 Investa Property Group 5,256
306 Macquarie Office Trust 372
358 Macquire Goodman Group 2,148
857 Multiplex Group 2,699
438 Stockland 2,863
1,346 Westfield Group 22,301
------------
52,458
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 2,113 General Property Trust 9,340
Development - 0.1% 17 Lend Lease Corp., Ltd. 247
------------
9,587
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 209 Toll Holdings Ltd. 3,014
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 189 Billabong International Ltd. 2,596
Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 1,223 Macquarie Airports 3,475
603 Macquarie Infrastructure Group 1,647
982 Transurban Group 5,907
------------
11,029
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 543,508
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Austria - 0.6% Building Products - 0.0% 54 Wienerberger AG 3,208
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 164 Erste Bank der Oesterreichischen Sparkassen AG 12,578
49 Raiffeisen International Bank Holding AG 7,471
------------
20,049
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 64 RHI AG (b) 3,269
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 154 Telekom Austria AG 4,127
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 88 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 4,695
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 1 Wiener Staedtische Allgemeine Versicherung AG 70
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 22 Andritz AG 4,771
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 72 Boehler-Uddeholm AG 5,047
2 Voestalpine AG 113
------------
5,160
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 61 OMV AG 3,462
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 547 IMMOFINANZ Immobilien Anlagen AG (b) 7,798
Development - 0.1% 93 Meinl European Land Ltd. (b) 2,388
------------
10,186
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 58,997
- ----------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.2% Beverages - 0.1% 173 InBev NV 11,405
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 66 Solvay SA 10,124
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 491 Dexia 13,449
138 KBC Bancassurance Holding 16,923
------------
30,372
----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.5% 885 Fortis 37,758
76 Groupe Bruxelles Lambert SA 9,134
5 Groupe Bruxelles Lambert SA Strip VVPR (b) 0
------------
46,892
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 66 Belgacom SA 2,907
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 28 Colruyt SA 5,980
35 Delhaize Group 2,918
------------
8,898
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 31 Omega Pharma SA 2,339
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 64 AGFA-Gevaert NV 1,636
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 42 Euronav SA 1,255
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 54 UCB SA 3,703
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 39 Mobistar SA 3,328
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 122,859
- ----------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Energy Equipment & Services - 0.0% 117 SeaDrill Ltd. (b) 1,975
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda 1,975
- ----------------------------------------------------------------------------------------------------------------------------------
Cayman Communications Equipment - 0.0% 1,000 Foxconn International Holdings Ltd. (b) 3,272
Islands - 0.0%
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 1,000 Hutchison Telecommunications International
Services - 0.0% Ltd. (b) $ 2,520
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Cayman Islands 5,792
- ----------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.8% Beverages - 0.0% 21 Carlsberg A/S 2,086
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 47 Novozymes A/S Class B 4,044
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 364 Danske Bank A/S 16,174
50 Jyske Bank (b) 3,549
1 Sydbank A/S 48
------------
19,771
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 64 Vestas Wind Systems A/S (b) 2,705
----------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 95 Danisco A/S 8,089
24 East Asiatic Co., Ltd. A/S 1,343
------------
9,432
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 39 Coloplast A/S Class B 3,528
Supplies - 0.1% 200 GN Store Nord (b) 2,956
------------
6,484
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 10 Bang & Olufsen A/S Class B 1,289
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 26 Topdanmark A/S (b) 4,299
----------------------------------------------------------------------------------------------------------------
Marine - 0.1% 1 AP Moller - Maersk A/S 9,418
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.2% 60 H Lundbeck A/S 1,654
166 Novo-Nordisk A/S B 13,826
------------
15,480
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 14 DSV A/S 2,558
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 77,566
- ----------------------------------------------------------------------------------------------------------------------------------
Finland - 1.4% Auto Components - 0.0% 65 Nokian Renkaat Oyj 1,332
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 100 Asko Oyj 3,744
----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.6% 2,962 Nokia Oyj 60,526
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 1 YIT Oyj 28
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 202 Elisa Corp. 5,533
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 289 Fortum Oyj 8,225
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 30 Kesko Oyj Class B 1,585
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 80 TietoEnator Oyj 2,581
----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 486 Sampo Oyj 13,010
----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 113 Amer Sports Corp. 2,488
----------------------------------------------------------------------------------------------------------------
Machinery - 0.3% 114 Cargotec Corp. Class B 6,335
1 KCI Konecranes Oyj 29
88 Kone Oyj Class B 4,988
84 Wartsila Oyj 4,525
------------
15,877
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 37 Outokumpu Oyj 1,449
57 Rautaruukki Oyj 2,269
------------
3,718
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 144 Neste Oil Oyj $ 4,378
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.2% 552 Stora Enso Oyj Class R 8,744
311 UPM-Kymmene Oyj 7,849
------------
16,593
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 47 Orion Oyj (b) 1,021
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 140,639
- ----------------------------------------------------------------------------------------------------------------------------------
France - 9.5% Aerospace & Defense - 0.2% 257 European Aeronautic Defense and Space Co. 8,854
165 Safran SA 3,829
75 Zodiac SA 5,039
------------
17,722
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 76 Air France-KLM 3,199
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.2% 143 Compagnie Generale des Etablissements Michelin 13,686
120 Valeo SA 4,995
------------
18,681
----------------------------------------------------------------------------------------------------------------
Automobiles - 0.3% 160 Peugeot SA 10,603
129 Renault SA 15,496
------------
26,099
----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 60 Pernod-Ricard 13,781
----------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 243 Cie de Saint-Gobain 20,417
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 96 Air Liquide 22,798
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 605 BNP Paribas 66,007
461 Credit Agricole SA 19,388
299 Societe Generale 50,758
------------
136,153
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 15 Societe BIC SA 1,044
----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.3% 1,887 Alcatel SA 27,151
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 135 Vinci SA 17,250
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 16 Imerys SA 1,423
128 Lafarge SA 19,042
------------
20,465
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,225 France Telecom SA 33,877
Services - 0.3%
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 102 Alstom (b) 13,828
153 Schneider Electric SA 16,985
------------
30,813
----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 43 Technip SA 2,952
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 428 Carrefour SA 25,955
64 Casino Guichard Perrachon SA 5,948
------------
31,903
----------------------------------------------------------------------------------------------------------------
Food Products - 0.3% 181 Groupe Danone 27,429
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 204 Gaz de France 9,385
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 42 Cie Generale d'Optique Essilor International SA 4,516
Supplies - 0.1%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 109 Accor SA 8,446
103 Sodexho Alliance SA 6,462
------------
14,908
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 72 Thomson 1,408
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 14 Atos Origin (b) $ 830
123 Cap Gemini SA 7,720
------------
8,550
----------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 1,179 AXA 47,733
34 CNP Assurances 3,797
1,557 SCOR 4,604
------------
56,134
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 26 Vallourec 7,561
----------------------------------------------------------------------------------------------------------------
Media - 0.5% 52 Lagardere S.C.A. 4,187
12 M6-Metropole Television 429
76 Publicis Groupe 3,205
158 Societe Television Francaise 1 5,863
945 Vivendi SA 36,937
------------
50,621
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.6% 833 Suez SA 43,137
264 Veolia Environnement 20,352
------------
63,489
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 44 Pinault-Printemps-Redoute 6,575
----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.1% 47 Neopost SA 5,903
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.2% 1,651 Total SA 119,104
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 252 L'Oreal SA 25,248
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.7% 816 Sanofi-Aventis 75,347
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 7 Gecina SA 1,340
(REITs) - 0.1% 16 Klepierre 3,020
28 Unibail 6,842
------------
11,202
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 395 STMicroelectronics NV 7,336
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Software - 0.0% 15 Business Objects SA (b) 589
58 Dassault Systemes SA 3,078
------------
3,667
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 64 Hermes International 8,005
Goods - 0.3% 188 LVMH Moet Hennessy Louis Vuitton SA 19,841
------------
27,846
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 23 Societe Des Autoroutes Paris-Rhin-Rhone 1,837
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 100 Bouygues 6,419
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 958,790
- ----------------------------------------------------------------------------------------------------------------------------------
Germany - 6.9% Air Freight & Logistics - 0.2% 528 Deutsche Post AG 15,919
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 48 Deutsche Lufthansa AG 1,321
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.2% 132 Continental AG 15,351
----------------------------------------------------------------------------------------------------------------
Automobiles - 0.6% 714 DaimlerChrysler AG 44,110
137 Volkswagen AG 15,533
------------
59,643
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.6% 425 Deutsche Bank AG Registered Shares 56,854
29 MLP AG 576
------------
57,430
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.8% 398 BASF AG 38,799
582 Bayer AG 31,238
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
47 Linde AG $ 4,855
------------
74,892
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 548 Commerzbank AG 20,870
76 Deutsche Postbank AG 6,418
------------
27,288
----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 23 Wincor Nixdorf AG 3,578
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 61 Hochtief AG 4,445
----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 59 Deutsche Boerse AG 10,858
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 2,193 Deutsche Telekom AG 40,065
Services - 0.4%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 451 E.ON AG 61,219
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 24 Solarworld AG 1,508
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 66 Metro AG 4,209
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 70 Celesio AG 3,755
Services - 0.1% 56 Fresenius Medical Care AG 7,464
------------
11,219
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 171 TUI AG 3,418
0.0%
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.7% 16 Rheinmetall AG 1,214
655 Siemens AG 64,968
------------
66,182
----------------------------------------------------------------------------------------------------------------
Insurance - 0.9% 318 Allianz AG Registered Shares 64,964
149 Muenchener Rueckversicherungs AG Registered
Shares 25,652
------------
90,616
----------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services - 101 Qiagen NV (b) 1,549
0.0%
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 31 Heidelberger Druckmaschn 1,468
88 MAN AG 7,953
------------
9,421
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 184 Premiere AG (b) 3,085
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 50 Salzgitter AG 6,538
254 ThyssenKrupp AG 11,967
------------
18,505
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.3% 309 RWE AG 34,059
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 105 KarstadtQuelle AG (b) 3,044
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 27 Beiersdorf AG 1,751
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 38 Altana AG 2,358
43 Merck KGaA 4,458
------------
6,816
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 130 IVG Immobilien AG 5,584
Development - 0.1%
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 602 Infineon Technologies AG (b) 8,487
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Software - 0.4% 728 SAP AG 38,690
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 60 Douglas Holding AG 3,102
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 163 Adidas-Salomon AG 8,118
Goods - 0.1% 9 Puma AG Rudolf Dassler Sport 3,513
------------
11,631
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.0% 55 Hypo Real Estate Holding AG $ 3,466
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 698,351
- ----------------------------------------------------------------------------------------------------------------------------------
Greece - 0.6% Beverages - 0.0% 84 Coca-Cola Hellenic Bottling Co. SA 3,282
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 365 Alpha Bank AE 11,034
247 EFG Eurobank Ergasias SA 8,947
228 National Bank of Greece SA 10,504
41 Piraeus Bank SA 1,322
------------
31,807
----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 275 Intracom SA 1,866
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 35 Titan Cement Co. SA 1,908
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 149 Hellenic Telecommunications Organization SA 4,477
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 193 Public Power Corp. 4,892
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 140 OPAP SA 5,411
0.1%
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 56 Hellenic Petroleum SA 772
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 41 Folli - Follie SA Registered Shares 1,618
Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 137 Cosmote Mobile Telecommunications SA 4,051
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 60,084
- ----------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 1.7% Airlines - 0.1% 2,000 Cathay Pacific Airways Ltd. 4,932
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 3,500 BOC Hong Kong Holdings Ltd. 9,494
1,000 Bank of East Asia Ltd. 5,663
700 Hang Seng Bank Ltd. 9,566
------------
24,723
----------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 2,400 Li & Fung Ltd. 7,467
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 5,000 PCCW Ltd. 3,041
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.2% 1,500 CLP Holdings Ltd. 11,089
1,500 HongKong Electric Holdings 7,347
------------
18,436
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 1,500 Johnson Electric Holdings Ltd. 1,028
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 4,000 Hong Kong & China Gas 8,999
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 2,000 Hutchison Whampoa Ltd. 20,326
1,000 Melco International Development 2,371
------------
22,697
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 935 SCMP Group Ltd. 355
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 700 The Link REIT 1,440
(REITs) - 0.0%
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 1,000 Cheung Kong Holdings Ltd. 12,310
Development - 0.6% 4,000 Hang Lung Properties Ltd. 10,028
1,000 Henderson Land Development Co., Ltd. 5,592
2,049 New World Development Ltd. 4,125
2,000 Sino Land Co. 4,669
1,000 Sun Hung Kai Properties Ltd. 11,487
1,000 Swire Pacific Ltd. Class A 10,741
1,000 Wharf Holdings Ltd. 3,696
------------
62,648
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 1,000 MTR Corp. $ 2,515
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 563 Solomon Systech International Ltd. 87
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 1,000 Esprit Holdings Ltd. 11,166
4,000 Giordano International Ltd. 2,186
------------
13,352
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 2,000 Texwinca Holdings Ltd. 1,386
Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 173,106
- ----------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.9% Airlines - 0.0% 283 Ryanair Holdings Plc (b) 3,896
----------------------------------------------------------------------------------------------------------------
Beverages - 0.0% 72 C&C Group Plc 1,278
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 128 Kingspan Group Plc 3,396
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 556 Allied Irish Banks Plc 16,514
585 Bank of Ireland 13,514
327 Depfa Bank Plc 5,849
------------
35,877
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 322 CRH Plc 13,406
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 510 Fyffes Plc 1,198
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 9 Iaws Group Plc 230
107 Kerry Group Plc 2,674
------------
2,904
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 153 Paddy Power Plc 3,042
0.0%
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 120 DCC Plc 4,079
----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 300 Irish Life & Permanent Plc 8,277
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 323 Independent News & Media Plc 1,283
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 395 Elan Corp. Plc (b) 5,605
----------------------------------------------------------------------------------------------------------------
Trading Companies & 372 Grafton Group Plc 6,212
Distributors - 0.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 90,453
- ----------------------------------------------------------------------------------------------------------------------------------
Italy - 3.7% Aerospace & Defense - 0.1% 196 Finmeccanica SpA 5,314
----------------------------------------------------------------------------------------------------------------
Automobiles - 0.1% 371 Fiat SpA 7,086
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 218 Mediobanca SpA 5,145
166 Mediolanum SpA 1,353
------------
6,498
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 2,747 Banca Intesa SpA 21,213
879 Banca Intesa SpA (RNC) 6,417
1,215 Banca Monte dei Paschi di Siena SpA 7,869
99 Banca Popolare di Milano Scrl 1,717
152 Banche Popolari Unite Scrl 4,177
348 Banco Popolare di Verona e Novara Scrl 9,978
1,339 Capitalia SpA 12,673
958 Sanpaolo IMI SpA 22,257
5,773 UniCredito Italiano SpA 50,601
------------
136,902
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 8,241 Telecom Italia SpA 24,912
Services - 0.4% 5,127 Telecom Italia SpA (RNC) 13,008
------------
37,920
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.3% 3,051 Enel SpA $ 31,475
793 Terna SpA 2,690
------------
34,165
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 1,274 Snam Rete Gas SpA 7,228
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 230 Autogrill SpA 4,229
14 Lottomatica SpA 582
------------
4,811
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 4,442 Pirelli & C SpA 4,428
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 37 Alleanza Assicurazioni SpA 493
798 Assicurazioni Generali SpA 35,046
94 Fondiaria-Sai SpA 4,498
359 Unipol SpA (Preference Shares) 1,162
------------
41,199
----------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 654 Tiscali SpA (b) 2,182
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 438 Mediaset SpA 5,198
7,219 Seat Pagine Gialle SpA 4,303
------------
9,501
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.7% 1,988 ENI SpA 66,866
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 99 Bulgari SpA 1,405
Goods - 0.0% 119 Luxottica Group SpA 3,657
------------
5,062
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 188 Autostrade SpA 5,408
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 374,570
- ----------------------------------------------------------------------------------------------------------------------------------
Japan - 22.1% Airlines - 0.0% 1,000 All Nippon Airways Co., Ltd. 3,538
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.3% 100 Aisin Seiki Co., Ltd. 3,353
400 Denso Corp. 15,865
100 NOK Corp. 1,966
200 Stanley Electric Co., Ltd. 4,008
100 Sumitomo Rubber Industries, Ltd. 1,292
100 Toyoda Gosei Co., Ltd. 2,315
200 Toyota Industries Corp. 9,193
------------
37,992
----------------------------------------------------------------------------------------------------------------
Automobiles - 2.2% 1,100 Honda Motor Co., Ltd. 43,444
1,700 Nissan Motor Co., Ltd. 20,471
2,200 Toyota Motor Corp. 147,153
200 Yamaha Motor Co., Ltd. 6,285
------------
217,353
----------------------------------------------------------------------------------------------------------------
Beverages - 0.4% 100 Asahi Breweries Ltd. 1,601
100 ITO EN, Ltd. 3,059
1,000 Kirin Brewery Co., Ltd. 15,722
1,000 Sapporo Holdings Ltd. 5,697
1,000 Takara Holdings, Inc. 6,445
------------
32,524
----------------------------------------------------------------------------------------------------------------
Building Products - 0.3% 1,000 Asahi Glass Co., Ltd. 12,016
1,000 Central Glass Co., Ltd. 5,731
100 Daikin Industries Ltd. 3,479
300 JS Group Corp. 6,315
------------
27,541
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 1,000 Daiwa Securities Group, Inc. $ 11,218
100 Matsui Securities Co., Ltd. 759
500 Nikko Cordial Corp. 5,735
1,400 Nomura Holdings, Inc. 26,411
13 SBI Holdings, Inc. 4,380
1,000 Shinko Securities Co., Ltd. 3,882
------------
52,385
----------------------------------------------------------------------------------------------------------------
Chemicals - 1.1% 1,000 Asahi Kasei Corp. 6,546
1,000 Dainippon Ink and Chemicals, Inc. 3,899
1,000 Denki Kagaku Kogyo Kabushiki Kaisha 4,159
100 Hitachi Chemical Co., Ltd. 2,756
100 JSR Corp. 2,588
500 Kuraray Co., Ltd. 5,899
1,000 Mitsubishi Chemical Holdings Corp. 6,302
1,000 Mitsui Chemicals, Inc. 7,697
200 Nitto Denko Corp. 10,016
400 Shin-Etsu Chemical Co., Ltd. 26,789
1,000 Showa Denko KK 3,832
1,000 Sumitomo Chemical Co., Ltd. 7,756
1,000 Teijin Ltd. 6,159
1,000 Toray Industries, Inc. 7,495
------------
101,893
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.7% 1,000 The Bank of Yokohama Ltd. 7,832
1,000 The Chiba Bank Ltd. 8,453
1,000 Hokuhoku Financial Group, Inc. 3,664
1,000 The Joyo Bank Ltd. 5,521
8 Mitsubishi UFJ Financial Group, Inc. 97,090
7 Mizuho Financial Group, Inc. 49,998
4 Resona Holdings, Inc. 10,924
2,000 Shinsei Bank Ltd. 11,764
1,000 The Shizuoka Bank Ltd. 9,924
5 Sumitomo Mitsui Financial Group, Inc. 51,258
1,000 The Sumitomo Trust & Banking Co., Ltd. 10,487
------------
266,915
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 100 Arrk Corp. 1,507
1 The Goodwill Group, Inc. 815
100 Meitec Corp. 3,033
1,000 Toppan Printing Co., Ltd. 11,042
------------
16,397
----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.5% 2,000 Fujitsu Ltd. 15,697
2,000 NEC Corp. 9,563
100 Seiko Epson Corp. 2,433
3,000 Toshiba Corp. 19,537
------------
47,230
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 1,000 Kajima Corp. 4,386
1,000 Nishimatsu Construction Co., Ltd. 3,302
1,000 Obayashi Corp. 6,487
1,000 Taisei Corp. 3,050
------------
17,225
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 1,000 Taiheiyo Cement Corp. $ 3,916
----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.2% 80 Acom Co., Ltd. 2,689
25 Aiful Corp. 704
100 Credit Saison Co., Ltd. 3,445
70 ORIX Corp. 20,264
100 Promise Co., Ltd. 3,109
10 Shohkoh Fund & Co., Ltd. 1,554
40 Takefuji Corp. 1,583
------------
33,348
----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 100 Toyo Seikan Kaisha Ltd. 1,656
----------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 100 Benesse Corp. 3,807
0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 4 Nippon Telegraph & Telephone Corp. 19,697
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.9% 500 Chubu Electric Power Co., Inc. 14,957
200 Hokkaido Electric Power Co., Inc. 5,109
500 The Kansai Electric Power Co., Inc. 13,487
300 Kyushu Electric Power Co., Inc. 7,916
400 Tohoku Electric Power Co., Inc. 10,000
900 The Tokyo Electric Power Co., Inc. 29,116
------------
80,585
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.5% 1,000 Fuji Electric Holdings Co., Ltd. 5,420
1,000 Furukawa Electric Co., Ltd. 6,285
2,000 Mitsubishi Electric Corp. 18,251
600 Sumitomo Electric Industries Ltd. 9,378
100 Ushio, Inc. 2,055
------------
41,389
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 100 Citizen Watch Co., Ltd. 766
Instruments - 1.0%
3,000 Hitachi Ltd. 18,705
300 Hoya Corp. 11,697
100 Ibiden Co., Ltd. 5,042
100 Kyocera Corp. 9,428
200 Murata Manufacturing Co., Ltd. 13,529
100 Nidec Corp. 7,731
200 Omron Corp. 5,680
100 TDK Corp. 7,949
300 Yokogawa Electric Corp. 4,757
------------
85,284
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 400 Aeon Co., Ltd. 8,655
100 Lawson, Inc. 3,580
100 Matsumotokiyoshi Co., Ltd. 2,223
660 Seven & I Holdings Co. Ltd. 20,520
------------
34,978
----------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 100 Katokichi Co., Ltd. 810
1,000 Nichirei Corp. 5,605
100 Nissin Food Products Co., Ltd. 3,706
100 Yakult Honsha Co., Ltd. 2,874
------------
12,995
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.2% 2,000 Osaka Gas Co., Ltd. $ 7,445
2,000 Tokyo Gas Co., Ltd. 10,638
------------
18,083
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 100 Terumo Corp. 3,933
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 200 Mediceo Paltac Holdings Co. Ltd. 3,790
Services - 0.0% 100 Suzuken Co., Ltd. 3,765
------------
7,555
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 100 Oriental Land Co., Ltd. 5,235
0.1%
----------------------------------------------------------------------------------------------------------------
Household Durables - 1.2% 200 Casio Computer Co., Ltd. 4,538
100 Daito Trust Construction Co., Ltd. 4,588
1,000 Daiwa House Industry Co., Ltd. 17,394
100 Makita Corp. 3,067
1,000 Matsushita Electric Industrial Co., Ltd. 19,957
200 Pioneer Corp. 2,746
100 Rinnai Corp. 2,991
1,000 Sanyo Electric Co., Ltd. 1,269
1,000 Sekisui Chemical Co., Ltd. 7,974
1,000 Sekisui House Ltd. 14,562
1,000 Sharp Corp. 17,226
700 Sony Corp. 29,999
------------
126,311
----------------------------------------------------------------------------------------------------------------
Household Products - 0.1% 100 Uni-Charm Corp. 5,941
----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 1 NTT Data Corp. 5,008
----------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy 140 Electric Power Development Co. 6,164
Traders - 0.1%
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 1,000 Hankyu Hanshin Holdings, Inc. 5,714
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 500 Millea Holdings, Inc. 17,646
1,000 Mitsui Sumitomo Insurance Co., Ltd. 10,941
1,000 Sompo Japan Insurance, Inc. 12,226
200 T&D Holdings, Inc. 13,226
------------
54,039
----------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.0% 9 Rakuten, Inc. (b) 4,190
----------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.1% 3 eAccess Ltd. 1,694
1 Index Corp. 588
16 Yahoo! Japan Corp. 6,373
------------
8,655
----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.2% 300 Fuji Photo Film Co., Ltd. 12,327
200 Namco Bandai Holdings, Inc. 2,933
100 Sankyo Co., Ltd. (Gunma) 5,538
100 Sega Sammy Holdings, Inc. 2,697
100 Shimano, Inc. 2,899
100 Yamaha Corp. 2,118
------------
28,512
----------------------------------------------------------------------------------------------------------------
Machinery - 0.9% 200 Amano Corp. 2,511
100 Fanuc Ltd. 9,848
1,000 Ishikawajima-Harima Heavy Industries Co., Ltd. 3,386
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
200 JTEKT Corp. $ 4,244
1,000 Kawasaki Heavy Industries Ltd. 3,756
1,000 Komatsu Ltd. 20,293
1,000 Kubota Corp. 9,260
200 Kurita Water Industries Ltd. 4,319
3,000 Mitsubishi Heavy Industries Ltd. 13,638
1,000 Mitsui Engineering & Shipbuilding Co., Ltd. 3,252
1,000 NSK Ltd. 9,857
1,000 NTN Corp. 8,966
100 SMC Corp. 14,184
1,000 Sumitomo Heavy Industries Ltd. 10,504
------------
118,018
----------------------------------------------------------------------------------------------------------------
Marine - 0.3% 1,000 Kawasaki Kisen Kaisha Ltd. 7,823
1,000 Mitsui OSK Lines Ltd. 9,865
1,000 Nippon Yusen Kabushiki Kaisha 7,311
------------
24,999
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 2 Dentsu, Inc. 5,865
200 Toho Co., Ltd. 3,613
100 Tokyo Broadcasting System, Inc. 3,336
------------
12,814
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.7% 400 JFE Holdings, Inc. 20,604
2,000 Kobe Steel Ltd. 6,857
1,000 Mitsubishi Materials Corp. 3,756
1,000 Mitsui Mining & Smelting Co., Ltd. 5,008
1,000 Nippon Light Metal Co., Ltd. 2,563
4,000 Nippon Steel Corp. 22,991
1,000 Nisshin Steel Co., Ltd. 3,714
3,000 Sumitomo Metal Industries Ltd. 13,033
8 Toho Titanium Co. Ltd. 420
------------
78,946
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 300 Marui Co., Ltd. 3,499
----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.7% 750 Canon, Inc. 42,225
500 Konica Minolta Holdings, Inc. 7,059
1,000 Ricoh Co., Ltd. 20,419
------------
69,703
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 1 Inpex Holdings, Inc. 8,218
500 Nippon Mining Holdings, Inc. 3,596
1,000 Nippon Oil Corp. 6,689
------------
18,503
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 1,000 OJI Paper Co., Ltd. 5,311
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 100 Aderans Co., Ltd. 2,483
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 400 Astellas Pharma, Inc. 18,184
100 Chugai Pharmaceutical Co., Ltd. 2,063
547 Daiichi Sankyo Co. Ltd. 17,099
200 Eisai Co., Ltd. 10,991
1,000 Kyowa Hakko Kogyo Co., Ltd. 8,563
100 Santen Pharmaceutical Co., Ltd. 2,815
700 Takeda Pharmaceutical Co., Ltd. 48,057
------------
107,772
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 1 Japan Prime Realty Investment Corp. $ 3,630
(REITs) - 0.2% 1 Japan Real Estate Investment Corp. 10,756
1 Japan Retail Fund Investment Corp. 8,151
------------
22,537
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 3 KK DaVinci Advisors (b) 2,975
Development - 0.5% 100 Leopalace21 Corp. 3,193
1,000 Mitsubishi Estate Co., Ltd. 25,881
1,000 Mitsui Fudosan Co., Ltd. 24,411
------------
56,460
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.9% 1 Central Japan Railway Co. 10,336
2 East Japan Railway Co. 13,361
1,000 Keihin Electric Express Railway Co., Ltd. 6,890
1,000 Keio Electric Railway Co., Ltd. 6,470
1,000 Keisei Electric Railway Co., Ltd. 5,689
2,000 Kintetsu Corp. 5,832
1,000 Odakyu Electric Railway Co., Ltd. 6,395
1,000 Tobu Railway Co., Ltd. 4,832
1,000 Tokyu Corp. 6,403
1 West Japan Railway Co. 4,277
------------
70,485
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 200 Advantest Corp. 11,462
Equipment - 0.5% 100 Elpida Memory, Inc. (b) 5,495
100 Rohm Co., Ltd. 9,958
100 Sumco Corp. 8,453
100 Tokyo Electron Ltd. 7,882
------------
43,250
----------------------------------------------------------------------------------------------------------------
Software - 0.3% 100 Konami Corp. 3,025
100 Nintendo Co., Ltd. 25,965
------------
28,990
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 100 Aoyama Trading Co., Ltd. 3,000
100 Fast Retailing Co., Ltd. 9,546
100 Shimachu Co., Ltd. 2,899
50 USS Co., Ltd. 3,256
------------
18,701
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 1,000 Toyobo Co., Ltd. 3,017
Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 4 Japan Tobacco, Inc. 19,327
----------------------------------------------------------------------------------------------------------------
Trading Companies & 1,000 Itochu Corp. 8,210
Distributors - 0.8% 1,000 Marubeni Corp. 5,075
1,200 Mitsubishi Corp. 22,587
1,000 Mitsui & Co., Ltd. 14,957
100 Sojitz Corp. (b) 304
1,000 Sumitomo Corp. 14,966
------------
66,099
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 2 KDDI Corp. 13,562
Services - 0.4% 14 NTT DoCoMo, Inc. 22,117
500 Softbank Corp. 9,726
------------
45,405
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 2,234,307
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Netherlands - Air Freight & Logistics - 0.1% 296 TNT NV $ 12,730
3.7% ----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 224 Heineken NV 10,654
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 270 Akzo Nobel NV 16,470
39 Koninklijke DSM NV 1,927
------------
18,397
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 1,403 ABN AMRO Holding NV 45,097
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 195 Buhrmann NV 2,898
33 Randstad Holdings NV 2,283
97 Vedior NV 2,012
------------
7,193
----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.7% 89 Euronext NV 10,515
1,435 ING Groep NV CVA 63,628
------------
74,143
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,712 Koninklijke KPN NV 24,339
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 94 Fugro NV 4,492
10 SBM Offshore NV 344
------------
4,836
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 1,402 Koninklijke Ahold NV (b) 14,917
----------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 151 Royal Numico NV 8,122
1,271 Unilever NV 34,730
------------
42,852
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.3% 892 Koninklijke Philips Electronics NV 33,641
----------------------------------------------------------------------------------------------------------------
Insurance - 0.2% 1,053 Aegon NV 20,072
----------------------------------------------------------------------------------------------------------------
Media - 0.2% 347 Reed Elsevier NV 5,918
289 Wolters Kluwer NV 8,313
------------
14,231
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.3% 562 Mittal Steel Co. NV 23,722
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 21 Corio NV 1,716
(REITs) - 0.1% 62 Rodamco Europe NV 8,250
12 Wereldhave NV 1,598
------------
11,564
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 426 ASML Holding NV (b) 10,594
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 368,982
- ----------------------------------------------------------------------------------------------------------------------------------
New Construction Materials - 370 Fletcher Building Ltd. 2,881
Zealand - 0.2% 0.1%
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 2,078 Telecom Corp. of New Zealand Ltd. 7,115
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 752 Fisher & Paykel Healthcare Corp. 2,257
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 616 Sky City Ltd. 2,231
0.0%
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 514 Fisher & Paykel Appliances Holdings Ltd. 1,391
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 448 Kiwi Income Property Trust 486
(REITs) - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 16,361
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Norway - 0.9% Chemicals - 0.0% 172 Yara International ASA $ 3,910
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 687 DnB NOR ASA 9,751
----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 100 Tandberg ASA 1,508
8 Tandberg Television ASA (b) 100
------------
1,608
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 630 Telenor ASA 11,847
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.2% 204 Acergy SA 3,926
49 Aker Kvaerner ASA 6,114
225 Petroleum Geo-Services ASA (b) 5,286
------------
15,326
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 4,192 PAN Fish ASA (b) 3,832
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 100 Orkla ASA 5,661
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 200 Storebrand ASA 2,544
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 28 Stolt-Nielsen SA 858
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.3% 44 Frontline Ltd. 1,418
680 Norsk Hydro ASA 21,103
428 Statoil ASA 11,343
------------
33,864
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 261 Norske Skogindustrier ASA 4,500
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 93,701
- ----------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.4% Commercial Banks - 0.1% 81 Banco BPI SA 632
567 Banco Comercial Portugues SA Registered Shares 2,096
299 Banco Espirito Santo SA Registered Shares 5,376
------------
8,104
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 757 Portugal Telecom SGPS SA Registered Shares 9,833
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 1,065 Energias de Portugal SA 5,398
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 1,934 Sonae SGPS SA 3,855
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 160 Sonae Industria SGPS SA (b) 1,584
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 352 Brisa-Auto Estradas de Portugal SA Private
Shares 4,391
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 33,165
- ----------------------------------------------------------------------------------------------------------------------------------
Singapore - 0.9% Aerospace & Defense - 0.0% 1,000 Singapore Technologies Engineering Ltd. 2,008
----------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 1,000 Singapore Airlines Ltd. 11,410
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 1,000 DBS Group Holdings Ltd. 14,735
2,400 Oversea-Chinese Banking Corp. 12,049
1,000 United Overseas Bank Ltd. 12,649
------------
39,433
----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 150 Creative Technology Ltd. 998
0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 6,500 Singapore Telecommunications Ltd. 13,900
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 1,242 SembCorp Industries Ltd. 3,109
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 815 SembCorp Marine Ltd. 1,807
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 2,000 Cosco Corp. (Singapore) Ltd. 2,999
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 1,000 Singapore Press Holdings Ltd. 2,791
----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 2,000 Ascendas Real Estate Investment Trust 3,482
(REITs) - 0.1% 1,455 Suntec Real Estate Investment Trust 1,727
------------
5,209
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & 1,000 CapitaLand Ltd. $ 4,042
Development - 0.1% 100 UOL Group Ltd. 283
------------
4,325
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 3,000 ComfortDelgro Corp. Ltd. 3,149
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 1,000 Chartered Semiconductor Manufacturing Ltd. (b) 835
Equipment - 0.0% 3,000 STATS ChipPAC Ltd. (b) 2,289
------------
3,124
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 94,262
- ----------------------------------------------------------------------------------------------------------------------------------
Spain - 3.9% Airlines - 0.0% 759 Iberia Lineas Aereas de Espana 2,765
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.6% 2,784 Banco Bilbao Vizcaya Argentaria SA 67,032
574 Banco Popular Espanol SA 10,403
4,334 Banco Santander Central Hispano SA 80,896
------------
158,331
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.3% 178 ACS Actividades de Construccion y Servicios, SA 10,035
30 Acciona SA 5,588
35 Fomento de Construcciones y Contratas SA 3,567
15 Grupo Ferrovial SA 1,464
119 Sacyr Vallehermoso SA 7,069
------------
27,723
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 3,449 Telefonica SA 73,392
Services - 0.7%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 566 Endesa SA 26,770
546 Iberdrola SA 23,871
135 Union Fenosa SA 6,683
------------
57,324
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 228 Gamesa Corp. Tecnologica SA 6,275
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 197 Azucarera Ebro Agricolas, SA 4,993
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 64 Gas Natural SDG SA 2,534
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 44 NH Hoteles SA 872
0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 510 Corp. Mapfre SA 2,302
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 38 Promotora de Informaciones SA 663
56 Sogecable SA (b) 1,996
------------
2,659
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 12 Acerinox SA 365
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.3% 755 Repsol YPF SA 26,112
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 144 Inditex SA 7,757
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 206 Altadis SA 10,782
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 260 Abertis Infraestructuras SA 7,722
364 Cintra Concesiones de Infraestructuras de
Transporte SA 6,102
------------
13,824
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 398,010
- ----------------------------------------------------------------------------------------------------------------------------------
Sweden - 2.5% Building Products - 0.0% 117 Assa Abloy AB B 2,546
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.0% 95 D Carnegie AB 2,047
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 1,945 Nordea Bank AB $ 29,974
353 Skandinaviska Enskilda Banken AB Class A 11,215
306 Svenska Handelsbanken Class A 9,252
------------
50,441
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 303 Securitas AB 4,703
303 Securitas Systems AB (b) 1,226
------------
5,929
----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.5% 11,441 Telefonaktiebolaget LM Ericsson 46,209
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 422 Skanska AB Class B 8,322
----------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 303 Securitas Direct AB (b) 960
0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 62 Tele2 AB 906
Services - 0.1% 1,396 TeliaSonera AB 11,470
------------
12,376
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 295 Getinge AB Class B 6,614
Supplies - 0.1%
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 300 Electrolux AB Series B 6,004
377 Husqvarna AB (b) 5,892
------------
11,896
----------------------------------------------------------------------------------------------------------------
Machinery - 0.5% 111 Alfa Laval AB 5,010
158 Atlas Copco AB 5,308
189 Atlas Copco AB Class B 6,129
200 SKF AB Class B 3,696
501 Sandvik AB 7,282
86 Scania AB Class B 6,042
116 Trelleborg AB Class B 2,779
84 Volvo AB Class A 5,963
147 Volvo AB Class B 10,124
------------
52,333
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 230 Eniro AB 3,040
43 Modern Times Group AB 2,826
------------
5,866
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 220 Boliden AB 5,656
87 SSAB Svenskt Stal AB Series A 2,065
------------
7,721
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 146 Lundin Petroleum AB (b) 1,695
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 47 Holmen AB Class B 2,046
123 Svenska Cellulosa AB 6,423
------------
8,469
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 113 Fabege AB 3,029
Development - 0.0% 44 Wihlborgs Fastigheter AB 917
------------
3,946
----------------------------------------------------------------------------------------------------------------
Software - 0.0% 459 Telelogic AB (b) 1,026
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 366 Hennes & Mauritz AB B Shares 18,498
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 202 Swedish Match AB 3,777
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 250,671
- ----------------------------------------------------------------------------------------------------------------------------------
Switzerland - Biotechnology - 0.1% 7 Serono SA 6,285
6.7% ----------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 4 Geberit AG Registered Shares 6,165
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 1.6% 935 Credit Suisse Group $ 65,415
1,533 UBS AG 93,163
------------
158,578
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.3% 32 Ciba Specialty Chemicals AG Registered Shares 2,129
118 Clariant AG 1,767
8 Givaudan 7,406
66 Lonza Group AG Registered Shares 5,704
64 Syngenta AG 11,907
------------
28,913
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 70 Adecco SA Registered Shares 4,783
5 SGS SA 5,572
------------
10,355
----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.1% 184 Logitech International SA (b) 5,308
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 114 Holcim Ltd. 10,450
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 12 Swisscom AG 4,542
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 1,462 ABB Ltd. 26,216
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 1 Kudelski SA 38
Instruments - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 1.1% 306 Nestle SA Registered Shares 108,739
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 8 Nobel Biocare Holding AG 2,365
Supplies - 0.1% 32 Phonak Holding AG Registered Shares 2,547
5 Straumann Holding AG Registered Shares 1,211
59 Synthes, Inc. 7,035
------------
13,158
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 235 Swiss Reinsurance Registered Shares 19,980
121 Zurich Financial Services AG 32,571
------------
52,551
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 13 SIG Holding AG Registered Shares 4,342
30 Schindler Holding AG 1,887
3 Sulzer AG 3,415
------------
9,644
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 42 Kuehne & Nagel International AG 3,056
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.9% 1,741 Novartis AG Registered Shares 100,374
532 Roche Holding AG 95,398
------------
195,772
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 19 PSP Swiss Property AG 1,091
Development - 0.0%
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 10 Unaxis Holding AG 4,945
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 430 Compagnie Financiere Richemont AG 25,055
Goods - 0.3% 25 The Swatch Group Ltd. Bearer Shares 5,524
21 The Swatch Group Ltd. Registered Shares 939
------------
31,518
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 677,324
- ----------------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense - 0.3% 2,924 BAE Systems Plc 24,375
Kingdom - 23.0% 764 Cobham Plc 2,898
238 Meggitt Plc 1,445
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
1,234 Rolls-Royce Group Plc $ 10,818
------------
39,536
----------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 543 British Airways Plc (b) 5,608
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 469 GKN Plc 2,553
----------------------------------------------------------------------------------------------------------------
Beverages - 0.6% 2,121 Diageo Plc 41,633
595 SABMiller Plc 13,689
529 Scottish & Newcastle Plc 5,795
------------
61,117
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.4% 185 3i Group Plc 3,657
490 Amvescap Plc 5,718
63 Close Brothers Group Plc 1,254
112 Collins Stewart Plc (b) 557
634 ICAP Plc 5,940
235 Investec Plc 3,035
1,592 Man Group Plc 16,295
67 Schroders Plc 1,464
112 Tullett Prebon Plc (b) 1,425
------------
39,345
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 1,059 Imperial Chemical Industries Plc 9,372
145 Johnson Matthey Plc 4,000
------------
13,372
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 4.3% 4,971 Barclays Plc 71,052
2,901 HBOS Plc 64,299
8,801 HSBC Holdings Plc 160,432
4,333 Lloyds TSB Group Plc 48,486
2,430 Royal Bank of Scotland Group Plc 94,825
------------
439,094
----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 230 Biffa Plc 1,382
423 Capita Group Plc 5,027
859 Experian Group Ltd. (b) 10,083
1,178 Group 4 Securicor Plc 4,336
1,086 Hays Plc 3,386
89 Intertek Group Plc 1,452
112 Michael Page International Plc 992
230 Rentokil Initial Plc 746
256 Serco Group Plc 1,915
------------
29,319
----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 228 Amec Plc 1,882
205 Balfour Beatty Plc 1,778
------------
3,660
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 798 Hanson Plc 12,039
----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.1% 387 Cattles Plc 3,328
415 Provident Financial Plc 5,700
------------
9,028
----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 368 Rexam Plc 3,786
----------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 504 Inchcape Plc 4,993
----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 40 London Stock Exchange Group Plc 1,026
----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 6,938 BT Group Plc 40,957
Services - 0.4% 680 Cable & Wireless Plc 2,100
------------
43,057
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 657 Scottish & Southern Energy Plc $ 19,991
1,352 Scottish Power Plc 19,801
------------
39,792
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 825 Electrocomponents Plc 4,737
0.1%
----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.7% 642 Boots Group Plc 10,528
1,507 J Sainsbury Plc 12,076
5,786 Tesco Plc 45,825
------------
68,429
----------------------------------------------------------------------------------------------------------------
Food Products - 0.6% 1,383 Cadbury Schweppes Plc 14,799
597 Tate & Lyle Plc 8,983
1,003 Unilever Plc 28,044
------------
51,826
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 860 Smith & Nephew Plc 8,975
Supplies - 0.1%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.6% 180 Carnival Plc 9,121
2,027 Compass Group Plc 11,510
213 Enterprise Inns Plc 5,643
162 First Choice Holidays Plc 904
397 Intercontinental Hotels Group Plc 9,810
307 Ladbrokes Plc 2,514
46 Mitchells & Butlers Plc 640
301 PartyGaming Plc 187
237 Punch Taverns Plc 5,935
1,055 Rank Group Plc 4,829
49 Whitbread Plc 1,607
244 William Hill Plc 3,019
------------
55,719
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 161 Barratt Developments Plc 3,893
51 Bellway Plc 1,542
70 Berkeley Group Holdings Plc 2,345
304 Persimmon Plc 9,083
382 Taylor Woodrow Plc 3,188
263 Wimpey George Plc 2,876
------------
22,927
----------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 434 Reckitt Benckiser Plc 19,833
----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 1,394 LogicaCMG Plc 5,077
----------------------------------------------------------------------------------------------------------------
Independent Power Producers & 984 International Power Plc 7,355
Energy Traders - 0.1%
----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 60 Cookson Group Plc 738
374 Smiths Group Plc 7,261
1,214 Tomkins Plc 5,841
------------
13,840
----------------------------------------------------------------------------------------------------------------
Insurance - 1.1% 1,880 Aviva Plc 30,258
1,133 Friends Provident Plc 4,814
4,307 Legal & General Group Plc 13,282
3,401 Old Mutual Plc 11,511
2,075 Prudential Plc 28,419
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
457 Resolution Plc $ 5,740
1,000 Royal & Sun Alliance Insurance Group 2,986
2,189 Standard Life Plc (b) 12,676
------------
109,686
----------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.1% 883 Home Retail Group 7,088
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 62 Charter Plc (b) 1,099
416 IMI Plc 4,130
248 Invensys Plc (b) 1,337
------------
6,566
----------------------------------------------------------------------------------------------------------------
Media - 0.9% 1,788 Aegis Group Plc 4,901
1,078 British Sky Broadcasting Plc 11,018
275 Daily Mail & General Trust 3,861
525 EMI Group Plc 2,724
142 Emap Plc 2,245
2,710 ITV Plc 5,651
532 Pearson Plc 8,036
1,258 Reed Elsevier Plc 13,806
1,324 Reuters Group Plc 11,543
253 Trinity Mirror Plc 2,326
26 United Business Media Plc 353
1,109 WPP Group Plc 14,993
513 Yell Group Plc 5,725
------------
87,182
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.5% 1,101 Anglo American Plc 53,699
1,724 BHP Billiton Plc 31,545
900 Corus Group Plc 9,348
815 Rio Tinto Plc Registered Shares 43,373
467 Xstrata Plc 23,317
------------
161,282
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.6% 3,343 Centrica Plc 23,204
1,811 National Grid Plc 26,133
579 United Utilities Plc 8,843
------------
58,180
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.3% 1,114 Marks & Spencer Group Plc 15,639
282 Next Plc 9,939
------------
25,578
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 3.8% 2,896 BG Group Plc 39,295
15,281 BP Plc 169,796
2,778 Royal Dutch Shell Plc 97,091
2,029 Royal Dutch Shell Plc Class B 71,112
------------
377,294
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.8% 1,191 AstraZeneca Plc 63,989
4,425 GlaxoSmithKline Plc 116,445
------------
180,434
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 518 British Land Co. Plc 17,384
Development - 0.6% 109 Brixton Plc 1,229
189 Hammerson Plc 5,836
379 Land Securities Group Plc 17,238
168 Liberty International Plc 4,592
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
310 Slough Estates Plc $ 4,768
------------
51,047
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 131 Arriva Plc 1,960
260 Firstgroup Plc 2,927
157 National Express Group Plc 3,474
575 Stagecoach Group Plc 1,722
------------
10,083
----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 909 ARM Holdings Plc 2,238
Equipment - 0.0% 247 CSR Plc (b) 3,144
------------
5,382
----------------------------------------------------------------------------------------------------------------
Software - 0.1% 892 Misys Plc 3,777
855 Sage Group Plc 4,537
------------
8,314
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.3% 171 The Carphone Warehouse Plc 1,051
1,207 DSG International Plc 4,526
393 Galiform Plc 1,052
488 HMV Group Plc 1,369
837 Kesa Electricals Plc 5,560
1,557 Kingfisher Plc 7,271
1,148 Signet Group Plc 2,664
------------
23,493
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 295 Burberry Group Plc 3,728
Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.7% 1,300 British American Tobacco Plc 36,373
434 Gallaher Group Plc 9,743
457 Imperial Tobacco Group Plc 17,985
------------
64,101
----------------------------------------------------------------------------------------------------------------
Trading Companies & 96 Travis Perkins Plc 3,729
Distributors - 0.2% 656 Wolseley Plc 15,837
------------
19,566
----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 441 BBA Aviation Plc 2,361
----------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 241 Kelda Group Plc 4,370
153 Severn Trent Plc 4,404
------------
8,774
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 39,557 Vodafone Group Plc 109,594
Services - 1.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United Kingdom 2,325,776
- ----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $8,305,956) - 97.0% 9,799,249
- ----------------------------------------------------------------------------------------------------------------------------------
Exchanged-Traded Funds
- ----------------------------------------------------------------------------------------------------------------------------------
United 2,390 iShares MSCI EAFE Index Fund 175,091
States - 1.7%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $175,203) - 1.7% 175,091
- ----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ----------------------------------------------------------------------------------------------------------------------------------
Germany - 0.3% Automobiles - 0.1% 3 Porsche AG 3,818
103 Volkswagen AG, 4.35% 7,689
------------
11,507
----------------------------------------------------------------------------------------------------------------
BlackRock Series Fund, Inc. - BlackRock International Index Portfolio
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Industry Held Preferred Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 53 Henkel KGaA, 1.75% $ 7,799
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 96 ProSieben SAT.1 Media AG, 2.24% 3,149
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 23 RWE AG, 3.50% 2,186
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Preferred Stocks
(Cost - $14,218) - 0.3% 24,641
- ----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ----------------------------------------------------------------------------------------------------------------------------------
$ 144,366 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.26% (a)(c) 144,366
- ----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $144,366) - 1.4% 144,366
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $8,639,743*) - 100.4% 10,143,347
Liabilities in Excess of Other Assets - (0.4%) (45,401)
------------
Net Assets - 100.0% $ 10,097,946
============
* The cost and unrealized appreciation (depreciation) of investments as of
December 31,2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 8,751,374
===========
Gross unrealized appreciation $ 1,500,321
Gross unrealized depreciation (108,348)
-----------
Net unrealized appreciation $ 1,391,973
===========
(a) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
----------------------------------------------------------------------------------------------
Affiliate Net Activity Interest Income
----------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $136,097 $4,609
----------------------------------------------------------------------------------------------
(b) Non-income producing security.
(c) Represents the current yield as of December 31, 2006.
o For Portfolio compliance purposes, the Portfolio's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portolio management. This
definition may not apply for the 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.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED
SCHEDULE OF INVESTMENTS
To the Shareholders and Board of Directors of BlackRock Series Fund, Inc.:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of
BlackRock International Index Portfolio of BlackRock Series Fund, Inc., as of
December 31, 2006, and for the year then ended and have issued our report
thereon dated February 26, 2007 which report and financial statements are
included in Item 1 of this Certified Shareholder Report on Form N-CSR. Our audit
also included the Fund's schedule of investments in securities (the "Schedule")
as of December 31, 2006 appearing in Item 6 of this Form N-CSR. This Schedule is
the responsibility of the Fund's management. Our responsibility is to express an
opinion based on our audit. In our opinion, the Schedule referred to above, when
considered in relation to the basic financial statements taken as a whole of the
Fund referred to above, presents fairly, in all material respects, the
information set forth therein.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies - Not
Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to
the filing date of this report.
11(b) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the registrant
was migrated to BlackRock's trading and compliance monitoring systems,
and various personnel changes occurred. In conjunction with these
business improvements, there were no changes in the registrants internal
control over financial reporting (as defined in Rule 30a-3(d) under Act
(17 CFR 270.30a-3(d)) that occurred during the last fiscal half-year of
the period covered by this report that has materially affected, or is
reasonably likely to affect, the registrant's internal control over
financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Series Fund, Inc.
By: /s/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Series Fund, Inc.
Date: February 20, 2007