BlackRock
U.S.
Government
Bond
Portfolio
2
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
September
30,
2022
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
Romark
WM-R
Ltd.,
Series
2018-1A,
Class
A1,
(LIBOR
USD
3
Month
+
1.03%),
3.74%,
04/20/31
(a)(b)
....................
USD
396
$
388,559
Total
Asset-Backed
Securities
—
1.1%
(Cost:
$395,847)
................................
388,559
Foreign
Government
Obligations
Mexico
—
0.0%
United
Mexican
States,
8.50%
,
11/18/38
...
MXN
2
8,978
Total
Foreign
Government
Obligations
—
0.0%
(Cost:
$9,432)
.................................
8,978
Non-Agency
Mortgage-Backed
Securities
Commercial
Mortgage-Backed
Securities
—
3.9%
280
Park
Avenue
Mortgage
Trust,
Series
2017-280P,
Class
A,
(LIBOR
USD
1
Month
+
0.88%),
3.58%,
09/15/34
(a)(b)
.........
USD
121
117,805
BFLD
Trust,
Series
2020-EYP,
Class
A,
(LIBOR
USD
1
Month
+
1.15%),
3.97%,
10/15/35
(a)(b)
128
123,496
BPR
Trust,
Series
2021-TY,
Class
A,
(LIBOR
USD
1
Month
+
1.05%),
3.87%,
09/15/38
(a)(b)
131
124,473
BX
Trust
(a)(b)
Series
2021-MFM1,
Class
C,
(LIBOR
USD
1
Month
+
1.20%),
4.02%,
01/15/34
...
30
28,421
Series
2021-VIEW,
Class
A,
(LIBOR
USD
1
Month
+
1.28%),
4.10%,
06/15/36
...
50
47,867
CFK
Trust,
Series
2020-MF2,
Class
B,
2.79%,
03/15/39
(b)
.....................
140
119,732
Commercial
Mortgage
Trust,
Series
2017-
COR2,
Class
AM,
3.80%,
09/10/50
.....
19
17,399
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2020-NET,
Class
A,
2.26%,
08/15/37
(b)(c)
....................
98
89,808
CSAIL
Commercial
Mortgage
Trust,
Series
2018-CX11,
Class
A5,
4.03%,
04/15/51
(a)
.
42
38,997
CSMC
Trust,
Series
2021-BHAR,
Class
A,
(LIBOR
USD
1
Month
+
1.15%),
3.97%,
11/15/38
(a)(b)
....................
146
139,488
GCT
Commercial
Mortgage
Trust,
Series
2021-GCT,
Class
A,
(LIBOR
USD
1
Month
+
0.80%),
3.62%,
02/15/38
(a)(b)
.........
100
96,452
Hudson
Yards
Mortgage
Trust,
Series
2019-
30HY,
Class
D,
3.56%,
07/10/39
(a)(b)
....
101
79,455
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2020-609M,
Class
A,
(LIBOR
USD
1
Month
+
1.37%),
4.19%,
10/15/33
(a)(b)
....................
100
95,978
Morgan
Stanley
Capital
I
Trust
(a)
Series
2018-H3,
Class
B,
4.62%,
07/15/51
34
31,059
Series
2018-SUN,
Class
A,
(LIBOR
USD
1
Month
+
0.90%),
3.72%,
07/15/35
(b)
..
130
127,144
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2021-FCMT,
Class
A,
(LIBOR
USD
1
Month
+
1.20%),
4.02%,
05/15/31
(a)(b)
...
140
132,906
1,410,480
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.8%
(a)
Arbor
Multifamily
Mortgage
Securities
Trust,
Series
2021-MF3,
Class
XA,
0.85%,
10/15/54
(b)
.....................
110
4,705
Benchmark
Mortgage
Trust,
Series
2020-B20,
Class
XA,
1.73%,
10/15/53
..........
1,013
80,622
CSAIL
Commercial
Mortgage
Trust,
Series
2019-C16,
Class
XA,
1.71%,
06/15/52
..
1,527
117,198
Security
Par
(000)
Par
(000)
Value
Interest
Only
Commercial
Mortgage-Backed
Securities
(continued)
UBS
Commercial
Mortgage
Trust,
Series
2019-
C17,
Class
XA,
1.61%,
10/15/52
......
USD
974
$
70,583
273,108
Total
Non-Agency
Mortgage-Backed
Securities
—
4.7%
(Cost:
$1,837,676)
..............................
1,683,588
Beneficial
Interest
(000)
Other
Interests
(d)
Capital
Markets
—
0.0%
Lehman
Brothers
Holdings,
Inc.
(c)
........
1,394
—
Total
Other
Interests
—
0.0%
(Cost:
$5)
....................................
—
Par
(000)
Par
(000)
U.S.
Government
Sponsored
Agency
Securities
Agency
Obligations
—
1.1%
Federal
Home
Loan
Bank,
4.00%, 04/10/28
.
400
396,892
Collateralized
Mortgage
Obligations
—
0.3%
Federal
National
Mortgage
Association,
Series
2011-8,
Class
ZA,
4.00%, 02/25/41
.....
69
66,874
Government
National
Mortgage
Association
Variable
Rate
Notes,
Series
2014-107,
Class
WX,
6.76%, 07/20/39
(a)
.............
49
51,534
118,408
Interest
Only
Collateralized
Mortgage
Obligations
—
0.4%
Federal
National
Mortgage
Association
Series
2020-32,
4.00%, 05/25/50
......
85
18,785
Series
2020-32,
Class
PI,
4.00%, 05/25/50
96
21,231
Government
National
Mortgage
Association
Series
2020-115,
Class
IM,
3.50%, 08/20/50
122
18,638
Series
2020-146,
Class
DI,
2.50%, 10/20/50
143
21,114
Series
2020-162,
Class
TI,
2.50%, 10/20/50
288
37,137
Series
2020-175,
Class
DI,
2.50%, 11/20/50
76
10,720
Series
2020-185,
Class
MI,
2.50%, 12/20/50
162
22,185
149,810
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.6%
(a)
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes
Series
K105,
Class
X1,
1.64%, 01/25/30
.
551
47,135
Series
K116,
Class
X1,
1.53%, 07/25/30
.
100
8,213
Series
K119,
Class
X1,
1.03%, 09/25/30
.
149
8,379
Series
K120,
Class
X1,
1.13%, 10/25/30
.
734
45,466
Series
K122,
Class
X1,
0.97%, 11/25/30
.
218
11,761
Federal
National
Mortgage
Association
ACES
Variable
Rate
Notes,
Series
2020-M21,
Class
AX,
1.94%, 01/25/58
..........
223
31,358
Government
National
Mortgage
Association
Variable
Rate
Notes
Series
2002-83,
0.00%, 10/16/42
(c)
.....
201
—
Series
2003-17,
0.00%, 03/16/43
(c)
.....
176
—
Series
2003-109,
0.00%, 11/16/43
.....
307
12
Series
2016-22,
0.72%, 11/16/55
......
1,105
28,454
Series
2016-151,
0.85%, 06/16/58
.....
405
16,041
Series
2017-30,
0.58%, 08/16/58
......
204
5,901
Series
2017-61,
0.77%, 05/16/59
......
173
7,118
209,838
BlackRock
U.S.
Government
Bond
Portfolio
3
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
Security
Par
(000)
Par
(000)
Value
Mortgage-Backed
Securities
—
58.3%
Federal
Home
Loan
Mortgage
Corp.
2.50%, 03/01/30
-
04/01/31
..........
USD
83
$
77,057
3.00%, 09/01/27
-
12/01/46
..........
142
130,369
3.50%, 04/01/31
-
01/01/48
..........
193
181,073
4.00%, 08/01/40
-
12/01/45
..........
27
25,780
4.50%, 02/01/39
-
07/01/47
..........
92
89,642
5.00%, 11/01/41
.................
38
38,801
5.50%, 06/01/41
.................
46
47,081
8.00%, 08/01/30
-
06/01/31
..........
1
1,183
Federal
National
Mortgage
Association
3.50%, 11/01/46
.................
79
72,519
4.00%, 01/01/41
.................
2
2,185
Government
National
Mortgage
Association
2.00%, 08/20/50
-
02/20/51
..........
698
585,613
2.00%, 10/15/52
(e)
................
228
189,412
2.50%, 04/20/51
-
07/20/52
..........
1,024
882,989
2.50%, 10/15/52
(e)
................
123
105,930
3.00%, 02/15/45
-
12/20/51
..........
570
505,881
3.00%, 10/15/52
-
11/15/52
(e)
.........
356
314,611
3.50%, 01/15/42
-
04/20/48
..........
532
489,803
3.50%, 10/15/52
-
11/15/52
(e)
.........
1,091
991,834
4.00%, 10/20/40
-
06/20/50
..........
948
889,646
4.00%, 10/15/52
-
11/15/52
(e)
.........
211
197,013
4.50%, 12/20/39
-
08/20/50
..........
354
348,213
4.50%, 10/15/52
(e)
................
45
43,072
5.00%, 07/15/39
-
07/20/44
..........
29
29,695
5.00%, 11/15/52
(e)
................
47
45,932
Uniform
Mortgage-Backed
Securities
1.50%, 10/25/37
(e)
................
207
177,478
1.50%, 11/01/41
-
11/01/51
..........
825
652,353
2.00%, 10/01/31
-
03/01/52
..........
4,430
3,619,397
2.00%, 10/25/37
-
10/25/52
(e)
.........
965
820,441
2.50%, 04/01/30
-
03/01/52
..........
3,360
2,872,596
2.50%, 10/25/37
-
10/25/52
(e)
.........
590
500,362
3.00%, 04/01/29
-
08/01/52
..........
2,006
1,795,969
3.00%, 10/25/37
-
10/25/52
(e)
.........
184
163,077
3.50%, 08/01/30
-
09/01/52
..........
1,130
1,032,108
3.50%, 11/25/37
-
11/25/52
(e)
.........
11
10,026
4.00%, 09/01/33
-
10/01/51
..........
962
909,147
4.00%, 10/25/52
-
11/25/52
(e)
.........
833
772,878
4.50%, 06/01/26
-
07/01/48
..........
304
296,751
4.50%, 10/25/52
-
11/25/52
(e)
.........
451
429,553
5.00%, 02/01/35
-
12/01/43
..........
94
94,340
5.00%, 10/25/52
-
11/25/52
(e)
.........
356
346,673
5.50%, 09/01/36
-
09/01/39
..........
125
128,174
6.00%, 04/01/35
-
09/01/40
..........
97
101,991
6.50%, 05/01/40
.................
20
21,240
21,029,888
Total
U.S.
Government
Sponsored
Agency
Securities
—
60.7%
(Cost:
$23,991,677)
..............................
21,904,836
U.S.
Treasury
Obligations
U.S.
Treasury
Bonds
4.25%, 05/15/39
.................
160
166,781
4.50%, 08/15/39
.................
160
171,781
4.38%, 11/15/39
.................
160
168,956
3.13%, 02/15/43
.................
610
524,314
2.88%, 05/15/43
-
11/15/46
..........
1,200
984,568
3.63%, 08/15/43
.................
610
568,801
3.75%, 11/15/43
.................
610
579,310
3.00%, 02/15/48
.................
590
496,706
2.25%, 08/15/49
.................
727
531,534
1.63%, 11/15/50
.................
105
65,190
Security
Par
(000)
Par
(000)
Value
U.S.
Treasury
Obligations
(continued)
U.S.
Treasury
Notes
2.13%, 12/31/22
-
05/15/25
..........
USD
2,470
$
2,397,917
2.75%, 05/31/23
.................
1,180
1,169,721
2.00%, 02/15/25
.................
1,370
1,300,002
1.50%, 08/15/26
.................
1,700
1,537,570
2.25%, 08/15/27
.................
1,180
1,084,678
2.88%, 08/15/28
.................
350
328,358
3.13%, 11/15/28
.................
350
332,568
1.63%, 08/15/29
.................
125
107,798
Total
U.S.
Treasury
Obligations
—
34.7%
(Cost:
$14,044,470)
..............................
12,516,553
Total
Long-Term
Investments
—
101.2%
(Cost:
$40,279,107)
..............................
36,502,514
Shares
Shares
Short-Term
Securities
Money
Market
Funds
—
3.5%
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
2.79%
(f)(g)
.................
1,266,624
1,266,624
Total
Money
Market
Funds
—
3.5%
(Cost:
$1,266,624)
..............................
1,266,624
Par
(000)
Pa
r
(
000)
U.S.
Government
Sponsored
Agency
Securities
Agency
Obligations
—
9.4%
Federal
Home
Loan
Bank
Discount
Notes,
2.96%, 10/21/22
(h)
...............
3,400
3,394,857
Total
U.S.
Government
Sponsored
Agency
Securities
—
9.4%
(Cost:
$3,394,428)
..............................
3,394,857
Total
Short-Term
Securities
—
12.9%
(Cost:
$4,661,052)
..............................
4,661,481
Total
Options
Purchased
—
0.0%
(Cost:
$13,668)
................................
13,985
Total
Investments
Before
Options
Written
and
TBA
Sale
Commitments
—
114.1%
(Cost:
$44,953,827
)
..............................
41,177,980
Total
Options
Written
—
(0.8)%
(Premium
Received
—
$(165,313))
...................
(290,352)
TBA
Sale
Commitments
(e)
Mortgage-Backed
Securities
—
(12.0)%
Government
National
Mortgage
Association
2.50%
,
10/15/52
-
11/15/52
..........
(247)
(211,845)
3.00%
,
10/15/52
.................
(26)
(23,151)
3.50%
,
10/15/52
.................
(160)
(145,519)
4.00%
,
10/15/52
.................
(38)
(35,484)
2.00%
,
11/15/52
.................
(27)
(22,478)
Uniform
Mortgage-Backed
Securities
2.50%
,
10/25/37
-
11/25/52
..........
(1,226)
(1,029,221)
3.00%
,
10/25/37
-
11/25/52
..........
(657)
(579,015)
3.50%
,
10/25/37
-
10/25/52
..........
(414)
(373,564)
1.50%
,
11/25/37
-
11/25/52
..........
(34)
(27,283)
2.00%
,
11/25/37
-
11/25/52
..........
(880)
(713,898)
4.00%
,
10/25/52
.................
(701)
(650,424)
4.50%
,
10/25/52
.................
(302)
(287,679)
BlackRock
U.S.
Government
Bond
Portfolio
4
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
Security
Par
(000)
Par
(000)
Value
Mortgage-Backed
Securities
(continued)
5.00%
,
10/25/52
.................
USD
(233)
$
(226,958)
Total
TBA
Sale
Commitments
—
(12.0)%
(Proceeds:
$(4,504,696))
..........................
(4,326,519)
Total
Investments
Net
of
Options
Written
and
TBA
Sale
Commitments
—
101.3%
(Cost:
$40,283,818
)
..............................
36,561,109
Liabilities
in
Excess
of
Other
Assets
—
(1.3)%
............
(467,023)
Net
Assets
—
100.0%
..............................
$
36,094,086
(a)
Variable
rate
security.
Interest
rate
resets
periodically.
The
rate
shown
is
the
effective
interest
rate
as
of
period
end.
Security
description
also
includes
the
reference
rate
and
spread
if
published
and
available.
(b)
Security
exempt
from
registration
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933,
as
amended.
These
securities
may
be
resold
in
transactions
exempt
from
registration
to
qualified
institutional
investors.
(c)
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
(d)
Other
interests
represent
beneficial
interests
in
liquidation
trusts
and
other
reorganization
or
private
entities.
(e)
Represents
or
includes
a
TBA
transaction.
(f)
Annualized
7-day
yield
as
of
period
end.
(g)
Affiliate
of
the
Fund.
(h)
Rates
are
discount
rates
or
a
range
of
discount
rates
as
of
period
end.
Affiliates
Investments
in
issuers
considered
to
be
affiliate(s)
of
the
Fund
during
the
period
ended
September
30,
2022
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Affiliated
Issuer
Value
at
12/31/21
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
09/30/22
Shares
Held
at
09/30/22
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
...
$
9,926,837
$
—
$
(8,660,213)
(a)
$
—
$
—
$
1,266,624
1,266,624
$
9,264
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
BlackRock
U.S.
Government
Bond
Portfolio
5
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
.
Derivative
Financial
Instruments
Outstanding
as
of
Period
End
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
(000)
Value/
Unrealized
Appreciation
(Depreciation)
Long
Contracts
U.S.
Treasury
10
Year
Note
...................................................
7
12/20/22
$
784
$
(2,701)
U.S.
Treasury
10
Year
Ultra
Note
...............................................
8
12/20/22
948
(52,868)
U.S.
Treasury
Ultra
Bond
....................................................
5
12/20/22
683
(41,310)
U.S.
Treasury
2
Year
Note
....................................................
14
12/30/22
2,874
3,879
U.S.
Treasury
5
Year
Note
....................................................
25
12/30/22
2,686
(74,183)
(167,183)
Short
Contracts
U.S.
Treasury
Long
Bond
....................................................
6
12/20/22
759
54,785
$
(112,398)
Forward
Foreign
Currency
Exchange
Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
EUR
10,000
USD
9,663
UBS
AG
10/17/22
$
146
GBP
10,000
USD
11,139
Bank
of
America
NA
10/17/22
31
USD
10,000
EUR
10,000
Bank
of
New
York
Mellon
10/17/22
190
USD
19,704
MXN
400,000
HSBC
Bank
plc
11/23/22
30
USD
18,168
CAD
24,000
Bank
of
New
York
Mellon
12/21/22
787
1,184
AUD
10,000
USD
6,734
Bank
of
New
York
Mellon
10/17/22
(337)
USD
11,068
GBP
10,000
JPMorgan
Chase
Bank
NA
10/17/22
(100)
(437)
$
747
OTC
Interest
Rate
Swaptions
Purchased
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
Call
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
2.96%
Semi-Annual
Morgan
Stanley
&
Co.
International
plc
09/03/24
2.96
%
USD
57
$
1,988
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
3.25%
Semi-Annual
Goldman
Sachs
International
09/23/24
3.25
USD
12
531
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
3.28%
Semi-Annual
Goldman
Sachs
International
09/23/24
3.28
USD
45
2,105
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
3.14%
Semi-Annual
BNP
Paribas
SA
09/23/25
3.14
USD
21
1,006
5,630
Put
10-Year
Interest
Rate
Swap
(a)
2.96%
Semi-Annual
1
day
SOFR
Annual
Morgan
Stanley
&
Co.
International
plc
09/03/24
2.96
USD
57
3,881
10-Year
Interest
Rate
Swap
(a)
3.28%
Semi-Annual
1
day
SOFR
Annual
Goldman
Sachs
International
09/23/24
3.28
USD
45
2,485
10-Year
Interest
Rate
Swap
(a)
3.25%
Semi-Annual
1
day
SOFR
Annual
Goldman
Sachs
International
09/23/24
3.25
USD
12
662
10-Year
Interest
Rate
Swap
(a)
3.14%
Semi-Annual
1
day
SOFR
Annual
BNP
Paribas
SA
09/23/25
3.14
USD
21
1,327
8,355
BlackRock
U.S.
Government
Bond
Portfolio
6
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
OTC
Interest
Rate
Swaptions
Purchased
(continued)
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
$
13,985
(a)
Forward
settling
swaption.
OTC
Interest
Rate
Swaptions
Written
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
Call
2-Year
Interest
Rate
Swap
(a)
.
2.37%
Semi-Annual
1
day
SOFR
Annual
Deutsche
Bank
AG
10/05/22
2.37
%
USD
1,300
$
—
10-Year
Interest
Rate
Swap
(a)
1.71%
Semi-Annual
1
day
SOFR
Annual
Deutsche
Bank
AG
10/28/22
1.71
USD
1,000
(1)
2-Year
Interest
Rate
Swap
(a)
.
2.43%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
10/31/22
2.43
USD
1,500
(3)
10-Year
Interest
Rate
Swap
(a)
1.82%
Annual
6
month
EURIBOR
Semi-Annual
Goldman
Sachs
International
11/11/22
1.82
EUR
5
(1)
10-Year
Interest
Rate
Swap
(a)
2.10%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
03/17/23
2.10
USD
300
(655)
10-Year
Interest
Rate
Swap
(a)
2.60%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
04/12/23
2.60
USD
200
(1,348)
10-Year
Interest
Rate
Swap
(a)
3.13%
Semi-Annual
1
day
SOFR
Annual
Deutsche
Bank
AG
06/14/23
3.13
USD
300
(6,283)
(8,291)
Put
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
3.66%
Semi-Annual
Deutsche
Bank
AG
10/13/22
3.66
USD
1,100
(12,089)
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
1.71%
Semi-Annual
Deutsche
Bank
AG
10/28/22
1.71
USD
1,000
(154,880)
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
3.45%
Semi-Annual
Bank
of
America
NA
11/04/22
3.45
USD
1,300
(20,236)
10-Year
Interest
Rate
Swap
(a)
6
month
EURIBOR
Semi-Annual
1.82%
Annual
Goldman
Sachs
International
11/11/22
1.82
EUR
5
(538)
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
3.75%
Semi-Annual
Bank
of
America
NA
11/17/22
3.75
USD
1,400
(15,242)
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
4.17%
Semi-Annual
Deutsche
Bank
AG
12/13/22
4.17
USD
1,600
(10,316)
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
2.10%
Semi-Annual
Bank
of
America
NA
03/17/23
2.10
USD
300
(36,126)
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
2.60%
Semi-Annual
Bank
of
America
NA
04/12/23
2.60
USD
200
(16,758)
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
3.13%
Semi-Annual
Deutsche
Bank
AG
06/14/23
3.13
USD
300
(15,876)
(282,061)
$
(290,352)
(a)
Forward
settling
swaption.
Centrally
Cleared
Interest
Rate
Swap
s
Paid
by
the
Fund
Received
by
the
Fund
Rate
Frequency
Rate
Frequency
Effective
Date
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
28
day
MXIBTIIE
Monthly
10.17%
Monthly
N/A
09/14/23
MXN
484
$
(74)
$
—
$
(74)
28
day
MXIBTIIE
Monthly
10.30%
Monthly
N/A
09/18/23
MXN
386
(39)
—
(39)
6.15%
Annual
3
month
WIBOR
Quarterly
04/11/23
(a)
04/11/24
PLN
70
209
—
209
3.13%
Annual
1
day
SOFR
Annual
N/A
06/14/24
USD
700
10,527
—
10,527
2.22%
Annual
6
month
EURIBOR
Semi-Annual
N/A
09/12/24
EUR
19
162
6
156
3.58%
Annual
1
day
SOFR
Annual
N/A
09/13/24
USD
600
6,867
—
6,867
3.63%
Annual
1
day
SOFR
Annual
N/A
09/13/24
USD
400
4,196
—
4,196
4.16%
Annual
1
day
SOFR
Annual
N/A
09/23/24
USD
900
648
—
648
4.32%
Annual
1
day
SOFR
Annual
N/A
09/27/24
USD
900
(2,058)
—
(2,058)
6.87%
Annual
6
month
WIBOR
Semi-Annual
N/A
09/29/27
PLN
12
15
—
15
BlackRock
U.S.
Government
Bond
Portfolio
7
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
Centrally
Cleared
Interest
Rate
Swaps
(continued)
Paid
by
the
Fund
Received
by
the
Fund
Rate
Frequency
Rate
Frequency
Effective
Date
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
6.99%
Annual
6
month
WIBOR
Semi-Annual
N/A
09/30/27
PLN
17
$
8
$
—
$
8
7.15%
Annual
6
month
WIBOR
Semi-Annual
12/21/22
(a)
12/21/27
PLN
23
(24)
—
(24)
2.16%
Annual
1
day
SOFR
Annual
N/A
04/01/32
USD
200
21,876
—
21,876
6
month
EURIBOR
Semi-Annual
2.44%
Annual
07/14/27
(a)
07/14/32
EUR
10
(297)
—
(297)
1
day
SOFR
Annual
3.64%
Annual
N/A
09/28/32
USD
200
1,276
405
871
$
43,292
$
411
$
42,881
(a)
Forward
swap.
OTC
Interest
Rate
Swaps
Paid
by
the
Fund
Received
by
the
Fund
Rate
Frequency
Rate
Frequency
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
1
day
BZDIOVER
At
Termination
11.65%
At
Termination
JPMorgan
Chase
Bank
NA
01/02/25
BRL
24
$
(2)
$
—
$
(2)
1
day
BZDIOVER
At
Termination
11.69%
At
Termination
Citibank
NA
01/02/25
BRL
33
3
—
3
$
1
$
—
$
1
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1
day
BZDIOVER
.....................................
Overnight
Brazil
CETIP
—
Interbank
Rate
0.05
%
1
day
SOFR
.........................................
Secured
Overnight
Financing
Rate
2.59
28
day
MXIBTIIE
......................................
Mexico
Interbank
TIIE
28-Day
9.55
3
month
WIBOR
......................................
Warsaw
Interbank
Offered
Rate
7.21
6
month
EURIBOR
.....................................
Euro
Interbank
Offered
Rate
1.90
6
month
WIBOR
......................................
Warsaw
Interbank
Offered
Rate
7.39
Glossary
of
Terms
Used
in
this
Report
Currency
Abbreviation
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
EUR
Euro
GBP
British
Pound
MXN
Mexican
Peso
PLN
Polish
Zloty
USD
United
States
Dollar
Portfolio
Abbreviation
BZDIOVER
Overnight
Brazil
CETIP
—
Interbank
Rate
CSMC
Credit
Suisse
Mortgage
Capital
EURIBOR
Euro
Interbank
Offered
Rate
LIBOR
London
Interbank
Offered
Rate
MXIBTIIE
Mexico
Interbank
TIIE
28-Day
OTC
Over-the-counter
SOFR
Secured
Overnight
Financing
Rate
TBA
To-be-announced
WIBOR
Warsaw
Interbank
Offered
Rate
BlackRock
U.S.
Government
Bond
Portfolio
8
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2022
Fair
Value
Hierarchy
as
of
Period
End
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
These
inputs
to
valuation
techniques
are
categorized
into
a
fair
value
hierarchy
consisting
of
three
broad
levels
for
financial
reporting
purposes
as
follows:
•
Level
1
—
Unadjusted
price
quotations
in
active
markets/exchanges
for
identical
assets
or
liabilities
that
the
Fund
has
the
ability
to
access;
•
Level
2
—
Other
observable
inputs
(including,
but
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
loss
severities,
credit
risks
and
default
rates)
or
other
market-corroborated
inputs);
and
•
Level
3
—
Unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available
(including
the
Valuation
Committee's
assumptions
used
in
determining
the
fair
value
of
financial
instruments).
The
hierarchy
gives
the
highest
priority
to
unadjusted
quoted
prices
in
active
markets
for
identical
assets
or
liabilities
(Level
1
measurements)
and
the
lowest
priority
to
unobservable
inputs
(Level
3
measurements).
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized
in
Level
3.
The
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes,
the
fair
value
hierarchy
classification
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
Investments
classified
within
Level
3
have
significant
unobservable
inputs
used
by
the
Valuation
Committee
in
determining
the
price
for
Fair
Valued
Investments.
Level
3
investments
include
equity
or
debt
issued
by
privately
held
companies
or
funds.
There
may
not
be
a
secondary
market,
and/
or
there
are
a
limited
number
of
investors.
The
categorization
of
a
value
determined
for
financial
instruments
is
based
on
the
pricing
transparency
of
the
financial
instruments
and
is
not
necessarily
an
indication
of
the
risks
associated
with
investing
in
those
securities.
For
information
about
the
Fund’s
policy
regarding
valuation
of
financial
instruments,
refer
to
its
most
recent
financial
statements.
The
following
table
summarizes
the
Fund’s
financial
instruments
categorized
in
the
fair
value
hierarchy.
The
breakdown
of
the
Fund’s
financial
instruments
into
major
categories
is
disclosed
in
the
Schedule
of
Investments
above.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Asset-Backed
Securities
...................................
$
—
$
388,559
$
—
$
388,559
Foreign
Government
Obligations
..............................
—
8,978
—
8,978
Non-Agency
Mortgage-Backed
Securities
........................
—
1,593,780
89,808
1,683,588
Other
Interests
..........................................
—
—
—
—
U.S.
Government
Sponsored
Agency
Securities
....................
—
21,904,836
—
21,904,836
U.S.
Treasury
Obligations
...................................
—
12,516,553
—
12,516,553
Short-Term
Securities
Money
Market
Funds
......................................
1,266,624
—
—
1,266,624
U.S.
Government
Sponsored
Agency
Securities
....................
—
3,394,857
—
3,394,857
Options
Purchased
Interest
rate
contracts
......................................
—
13,985
—
13,985
Liabilities
Investments
TBA
Sale
Commitments
....................................
—
(4,326,519)
—
(4,326,519)
$
1,266,624
$
35,495,029
$
89,808
$
36,851,461
Derivative
Financial
Instruments
(a)
Assets
Foreign
currency
exchange
contracts
............................
$
—
$
1,184
$
—
$
1,184
Interest
rate
contracts
.......................................
58,664
45,376
—
104,040
Liabilities
Foreign
currency
exchange
contracts
............................
—
(437)
—
(437)
Interest
rate
contracts
.......................................
(171,062)
(292,846)
—
(463,908)
$
(112,398)
$
(246,723)
$
—
$
(359,121)
(a)
Derivative
financial
instruments
are
swaps,
futures
contracts,
forward
foreign
currency
exchange
contracts
and
options
written.
Swaps,
futures
contracts
and
forward
foreign
currency
exchange
contracts
are
valued
at
the
unrealized
appreciation
(depreciation)
on
the
instrument
and
options
written
are
shown
at
value.