Managed Account Series II
07/03/2024 | Press release | Distributed by Public on 07/03/2024 08:28
Annual Report by Investment Company Form N CSR
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: 811-23340
Name of Fund: Managed Account Series II
BlackRock U.S. Mortgage Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, Managed Account Series II, 50 Hudson Yards, New York, NY 10001
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 04/30/2024
Date of reporting period: 04/30/2024
Item 1 - Report to Stockholders
(a)
The Report to Shareholders is attached herewith.
(b)
Not Applicable
APRIL
30,
2024
Not
FDIC
Insured
-
May
Lose
Value
-
No
Bank
Guarantee
2024
Annual
Report
Managed
Account
Series
II
BlackRock
U.S.
Mortgage
Portfolio
Dear
Shareholder,
The
combination
of
continued
economic
growth
and
cooling
inflation
provided
a
supportive
backdrop
for
investors
during
the
12-month
reporting
period
ended
April
30,
2024.
Higher
interest
rates
helped
to
rein
in
inflation,
and
the
Consumer
Price
Index
decelerated
substantially
while
remaining
above
pre-pandemic
levels.
A
moderating
labor
market
helped
ease
inflationary
pressure,
although
wages
continued
to
grow.
Wage
and
job
growth
powered
robust
consumer
spending,
backstopping
the
economy.
On
October
7,
2023,
Hamas
launched
a
horrific
attack
on
Israel.
The
ensuing
war
has
had
a
significant
humanitarian
impact
and
could
lead
to
heightened
economic
and
market
volatility.
We
see
geopolitics
as
a
structural
market
risk
going
forward.
See
our
geopolitical
risk
dashboard
at
blackrock.com
for
more
details.
Equity
returns
were
robust
during
the
period,
as
interest
rates
stabilized
and
the
economy
proved
to
be
more
resilient
than
many
investors
expected.
The
U.S.
economy
continued
to
show
strength,
and
growth
further
accelerated
in
the
second
half
of
2023.
Large-capitalization
U.S.
stocks
posted
particularly
substantial
gains,
supported
by
the
performance
of
a
few
notable
technology
companies,
while
small-capitalization
U.S.
stocks'
advance
was
slower
but
still
impressive.
Meanwhile,
both
international
developed
market
equities
and
emerging
market
stocks
also
gained,
albeit
at
a
notably
slower
pace
than
that
of
U.S.
stocks.
The
10-year
U.S.
Treasury
yield
rose
during
the
reporting
period,
driving
its
price
down,
as
investors
reacted
to
elevated
inflation
and
attempted
to
anticipate
future
interest
rate
changes.
However,
higher
yields
drove
solid
gains
in
shorter-duration
U.S.
Treasuries.
The
corporate
bond
market
benefited
from
improving
economic
sentiment,
although
high-yield
corporate
bond
prices
fared
significantly
better
than
investment-grade
bonds
as
demand
from
yield-seeking
investors
remained
strong.
The
U.S.
Federal
Reserve
(the
"Fed"),
attempting
to
manage
persistent
inflation,
raised
interest
rates
twice
during
the
12-month
period,
but
paused
its
tightening
after
its
July
meeting.
The
Fed
also
continued
to
reduce
its
balance
sheet
by
not
replacing
some
of
the
securities
that
reach
maturity.
Supply
constraints
appear
to
have
become
an
embedded
feature
of
the
new
macroeconomic
environment,
making
it
difficult
for
developed
economies
to
increase
production
without
sparking
higher
inflation.
Geopolitical
fragmentation
and
an
aging
population
risk
further
exacerbating
these
constraints,
keeping
the
labor
market
tight
and
wage
growth
high.
Although
the
Fed
has
stopped
tightening
for
now,
we
believe
that
the
new
economic
regime
means
that
the
Fed
will
need
to
maintain
high
rates
for
an
extended
period,
and
recent
statements
from
the
Fed
seem
to
support
this
view.
In
this
new
regime,
we
anticipate
greater
volatility
and
dispersion
of
returns,
creating
more
opportunities
for
selective
portfolio
management.
Looking
at
developed
market
stocks,
we
have
an
overweight
stance
on
U.S.
stocks
overall,
particularly
given
the
promise
of
emerging
AI
technologies.
We
are
also
overweight
Japanese
stocks
as
shareholder-friendly
policies
generate
increased
investor
interest,
although
we
maintain
an
underweight
stance
on
European
stocks.
In
credit,
we
believe
there
are
selective
opportunities
in
the
near
term
despite
tighter
credit
and
financial
conditions.
For
fixed
income
investing
with
a
six-
to
twelve-month
horizon,
we
see
the
most
attractive
investments
in
short-term
U.S.
Treasuries
and
hard-currency
emerging
market
bonds.
Overall,
our
view
is
that
investors
need
to
think
globally,
position
themselves
to
be
prepared
for
a
decarbonizing
economy,
and
be
nimble
as
market
conditions
change.
We
encourage
you
to
talk
with
your
financial
advisor
and
visit
blackrock.com
for
further
insight
about
investing
in
today's
markets.
Sincerely,
Rob
Kapito
President,
BlackRock
Advisors,
LLC
The
Markets
in
Review
Rob
Kapito
President,
BlackRock
Advisors,
LLC
Past
performance
is
not
an
indication
of
future
results.
Index
performance
is
shown
for
illustrative
purposes
only.
You
cannot
invest
directly
in
an
index.
Total
Returns
as
of
April
30,
2024
6-Month
12-Month
U.S.
large
cap
equities
(S&P
500
®
Index)
20.98
%
22.66
%
U.S.
small
cap
equities
(Russell
2000
®
Index)
19.66
13.32
International
equities
(MSCI
Europe,
Australasia,
Far
East
Index)
18.63
9.28
Emerging
market
equities
(MSCI
Emerging
Markets
Index)
15.40
9.88
3-month
Treasury
bills
(ICE
BofA
3-Month
U.S.
Treasury
Bill
Index)
2.66
5.36
U.S.
Treasury
securities
(ICE
BofA
10-Year
U.S.
Treasury
Index)
3.66
(6.40
)
U.S.
investment
grade
bonds
(Bloomberg
U.S.
Aggregate
Bond
Index)
4.97
(1.47
)
Tax-exempt
municipal
bonds
(Bloomberg
Municipal
Bond
Index)
7.06
2.08
U.S.
high
yield
bonds
(Bloomberg
U.S.
Corporate
High
Yield
2%
Issuer
Capped
Index)
8.99
9.01
This
Page
is
not
Part
of
Your
Fund
Report
2
Table
of
Contents
Page
3
The
Markets
in
Review
...................................................................................................
2
Annual
Report:
Fund
Summary
........................................................................................................
4
The
Benefits
and
Risks
of
Leveraging
..........................................................................................
7
About
Fund
Performance
.................................................................................................
7
Disclosure
of
Expenses
...................................................................................................
8
Derivative
Financial
Instruments
.............................................................................................
8
Financial
Statements:
Schedule
of
Investments
................................................................................................
9
Statement
of
Assets
and
Liabilities
..........................................................................................
23
Statement
of
Operations
................................................................................................
25
Statements
of
Changes
in
Net
Assets
........................................................................................
26
Financial
Highlights
.....................................................................................................
27
Notes
to
Financial
Statements
...............................................................................................
30
Report
of
Independent
Registered
Public
Accounting
Firm
..............................................................................
40
Important
Tax
Information
.................................................................................................
41
Statement
Regarding
Liquidity
Risk
Management
Program
.............................................................................
42
Trustee
and
Officer
Information
..............................................................................................
43
Additional
Information
....................................................................................................
46
Glossary
of
Terms
Used
in
this
Report
..........................................................................................
48
Fund
Summary
as
of
April
30,
2024
2024
BlackRock
Annual
Report
to
Shareholders
4
BlackRock
U.S.
Mortgage
Portfolio
Investment
Objective
BlackRock
U.S.
Mortgage
Portfolio's
(the
"Fund")
investment
objective
is
to
seek
high
total
return.
Portfolio
Management
Commentary
How
did
the
Fund
perform?
For
the
12-month
period
ended
April
30,
2024,
all
of
the
Fund's
share
classes
outperformed
its
benchmark,
the
Bloomberg
U.S.
Mortgage-Backed
Securities
Index.
What
factors
influenced
performance?
The
principal
positive
contributors
to
the
Fund's
performance
relative
to
the
benchmark
included
AAA-rated
single-asset,
single-borrower
("SASB")
allocations
within
commercial
mortgage-backed
securities
("CMBS"),
along
with
AAA-rated
collateralized
loan
obligations
("CLOs")
backed
by
commercial
real
estate.
Within
non-agency
residential
mortgage-backed
securities
("MBS"),
allocations
to
single
family
rentals,
non-qualifying
mortgages
and
non-performing
or
re-performing
mortgages
proved
additive.
Holdings
of
agency
collateralized
mortgage
obligations
("CMOs")
contributed
positively
as
well.
The
principal
detractor
from
the
Fund's
relative
performance
was
security
and
pool
selection
within
the
agency
MBS
segment.
Describe
recent
portfolio
activity.
The
Fund
continued
to
hold
a
core
allocation
to
agency
MBS,
recently
favoring
exposure
in
the
form
of
to-be-announced
("TBA")
securities
relative
to
specified
pools
given
the
improved
carry
profile
of
TBAs
and
attractive
option-adjusted
spreads.
The
Fund
closed
the
period
with
a
modest
down-in-coupon
bias
within
agency
MBS.
Within
CMBS,
the
overall
allocation
remained
relatively
stable,
however
the
composition
shifted
in
favor
of
higher-rated
SASB
deals.
The
Fund's
allocation
to
non-agency
MBS
was
reduced,
while
remaining
diversified
across
subsectors.
The
Fund's
allocation
to
agency
CMOs,
including
interest-only
("IO")
securities,
was
increased
over
the
period.
The
Fund
held
a
small
percentage
of
assets
in
derivatives
including
options,
futures
and
swaps
as
a
hedge
against
allocations
in
agency
MBS
and
securitized
assets.
The
use
of
derivatives
did
not
materially
impact
Fund
performance
for
the
period.
The
Fund's
cash
position
averaged
8.3%
for
the
period.
Cash
holdings
did
not
have
a
material
impact
on
performance.
Describe
portfolio
positioning
at
period
end.
Within
CMBS,
the
Fund
continued
to
favor
SASB
deals
where
it
is
possible
to
carefully
evaluate
the
collateral
given
the
bifurcation
of
performance
across
property
types
in
the
current
environment.
Additionally,
the
Fund
continued
to
favor
holdings
at
the
top
part
of
the
capital
stack.
Within
agency
MBS,
the
Fund
favored
TBAs
on
the
basis
of
attractive
carry
and
valuations.
Allocations
within
non-agency
MBS
were
across
a
variety
of
subsectors
including
single
family
rentals,
non-performing/re-performing
mortgages,
and
non-qualifying
mortgages.
The
views
expressed
reflect
the
opinions
of
BlackRock
as
of
the
date
of
this
report
and
are
subject
to
change
based
on
changes
in
market,
economic
or
other
conditions.
These
views
are
not
intended
to
be
a
forecast
of
future
events
and
are
no
guarantee
of
future
results.
Fund
Summary
as
of
April
30,
2024
(continued)
5
Fund
Summary
BlackRock
U.S.
Mortgage
Portfolio
GROWTH
OF
$10,000
INVESTMENT
(a)
Assuming
maximum
sales
charges,
if
any,
transaction
costs
and
other
operating
expenses,
including
investment
advisory
fees.
Institutional
Shares
do
not
have
a
sales
charge.
(b)
The
Fund
invests
primarily
in
mortgage-related
securities.
Under
normal
circumstances,
the
Fund
will
invest
at
least
80%
of
its
assets
in
mortgage-backed
securities
and
other
mortgage-related
securities
that
are
issued
by
issuers
located
in
the
United
States.
On
September
17,
2018,
the
Fund
acquired
all
of
the
assets,
subject
to
the
liabilities,
of
BlackRock
U.S.
Mortgage
Portfolio
(the
"Predecessor
Fund"),
a
series
of
Managed
Account
Series,
through
a
tax-free
reorganization
(the
"Reorganization").
The
Predecessor
Fund
is
the
performance
and
accounting
survivor
of
the
Reorganization.
(c)
An
unmanaged
index
that
includes
the
mortgage-backed
pass-through
securities
of
Ginnie
Mae,
Fannie
Mae
and
Freddie
Mac
that
meet
certain
maturity
and
liquidity
criteria.
Performance
N/A
-
Not
applicable
as
share
class
and
index
do
not
have
a
sales
charge.
Past
performance
is
not
an
indication
of
future
results.
Performance
results
may
include
adjustments
for
financial
reporting
purpose
in
accordance
with
U.S.
generally
accepted
accounting
principles.
Average
Annual
Total
Returns
(a)
1
Year
5
Years
10
Years
Standardized
30-Day
Yields
Unsubsidized
30-Day
Yields
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Institutional
..........................
5.71%
5.54%
2.18%
N/A
0.60%
N/A
1.71%
N/A
Investor
A
...........................
5.24
5.05
1.92
(2.15)%
0.36
(0.45)%
1.46
1.05%
Investor
C
...........................
4.70
4.51
1.16
0.20
(0.38)
(0.38)
0.85
0.85
Bloomberg
U.S.
Mortgage-Backed
Securities
Index
..............................
-
-
(2.19)
N/A
(0.98)
N/A
0.72
N/A
(a)
Assuming
maximum
sales
charges,
if
any.
Average
annual
total
returns
with
and
without
sales
charges
reflect
reductions
for
distribution
and
service
fees.
See
"About
Fund
Performance"
for
a
detailed
description
of
share
classes,
including
any
related
sales
charges
and
fees.
On
September
17,
2018,
the
Fund
acquired
all
of
the
assets,
subject
to
the
liabilities,
of
the
Predecessor
Fund,
through
the
Reorganization.
The
Predecessor
Fund
is
the
performance
and
accounting
survivor
of
the
Reorganization.
Fund
Summary
as
of
April
30,
2024
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
6
BlackRock
U.S.
Mortgage
Portfolio
Expense
Example
See
"Disclosure
of
Expenses"
for
further
information
on
how
expenses
were
calculated.
Portfolio
Information
Actual
H
ypothetical
5%
Re
turn
Beginning
Account
Value
(11/01/23)
Ending
Account
Value
(04/30/24)
Expenses
Paid
During
the
Period
(a)
Beginning
Account
Value
(11/01/23)
Ending
Account
Value
(04/30/24)
Expenses
Paid
During
the
Period
(a)
Annualized
Expense
Ratio
Institutional
...............................
$
1,000.00
$
1,071.00
$
2.21
$
1,000.00
$
1,022.73
$
2.16
0.43%
Investor
A
................................
1,000.00
1,069.80
3.55
1,000.00
1,021.43
3.47
0.69
Investor
C
................................
1,000.00
1,065.80
7.40
1,000.00
1,017.70
7.22
1.44
(a)
For
each
class
of
the
Fund,
expenses
are
equal
to
the
annualized
expense
ratio
for
the
class,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
182/366
(to
reflect
the
one-half
year
period
shown).
PORTFOLIO
COMPOSITION
Asset
Type
Percent
of
at
Total
Investments
(a)
U.S.
Government
Sponsored
Agency
Securities
..............
52.0
%
Non-Agency
Mortgage-Backed
Securities
..................
36.1
Asset-Backed
Securities
..............................
11.8
Corporate
Bonds
...................................
0.1
CREDIT
QUALITY
ALLOCATION
Credit
Rating
(b)
Percent
of
Total
Investments
(a)
AAA/Aaa
(c)
......................................
66.4
%
AA/Aa
.........................................
2.3
A
.............................................
1.2
BBB/Baa
.......................................
1.3
BB/Ba
.........................................
0.9
B
............................................
0.7
CCC/Caa
.......................................
2.0
CC/Ca
.........................................
3.0
C
............................................
1.8
D
............................................
0.0
(d)
NR
...........................................
20.4
(a)
Excludes
short-term
securities,
options
written
and
TBA
sale
commitments.
(b)
For
financial
reporting
purposes,
credit
quality
ratings
shown
above
reflect
the
highest
rating
assigned
by
either
S&P
Global
Ratings
or
Moody's
Investors
Service
if
ratings
differ.
These
rating
agencies
are
independent,
nationally
recognized
statistical
rating
organizations
and
are
widely
used.
Investment
grade
ratings
are
credit
ratings
of
BBB/Baa
or
higher.
Below
investment
grade
ratings
are
credit
ratings
of
BB/Ba
or
lower.
Investments
designated
NR
are
not
rated
by
either
rating
agency.
Unrated
investments
do
not
necessarily
indicate
low
credit
quality.
Credit
quality
ratings
are
subject
to
change.
(c)
The
investment
adviser
evaluates
the
credit
quality
of
unrated
investments
based
upon
certain
factors
including,
but
not
limited
to,
credit
ratings
for
similar
investments
and
financial
analysis
of
sectors,
individual
investments
and/or
issuers.
Using
this
approach,
the
investment
adviser
has
deemed
unrated
U.S.
Government
Sponsored
Agency
Securities
and
U.S.
Treasury
Obligations
to
be
of
similar
credit
quality
as
investments
rated
AAA/Aaa.
(d)
Represents
less
than
0.1%
of
the
Fund's
total
investments.
The
Benefits
and
Risks
of
Leveraging
7
The
Benefits
and
Risks
of
Leveraging
/
About
Fund
Performance
The
Fund
may
utilize
leverage
to
seek
to
enhance
returns
and
net
asset
value
("NAV").
However,
there
is
no
guarantee
that
these
objectives
can
be
achieved
in
all
interest
rate
environments.
The
Fund
may
utilize
leverage
by
entering
into
reverse
repurchase
agreements.
In
general,
the
concept
of
leveraging
is
based
on
the
premise
that
the
financing
cost
of
leverage,
which
is
based
on
short-term
interest
rates,
is
normally
lower
than
the
income
earned
by
the
Fund
on
its
longer-term
portfolio
investments
purchased
with
the
proceeds
from
leverage.
To
the
extent
that
the
total
assets
of
the
Fund
(including
the
assets
obtained
from
leverage)
are
invested
in
higher-yielding
portfolio
investments,
the
Fund's
shareholders
benefit
from
the
incremental
net
income.
The
interest
earned
on
securities
purchased
with
the
proceeds
from
leverage
is
distributed
to
the
Fund's
shareholders,
and
the
value
of
these
portfolio
holdings
is
reflected
in
the
Fund's
per
share
NAV.
However,
in
order
to
benefit
shareholders,
the
return
on
assets
purchased
with
leverage
proceeds
must
exceed
the
ongoing
costs
associated
with
the
leverage.
If
interest
and
other
ongoing
costs
of
leverage
exceed
the
Fund's
return
on
assets
purchased
with
leverage
proceeds,
income
to
shareholders
is
lower
than
if
the
Fund
had
not
used
leverage.
Furthermore,
the
value
of
the
Fund's
portfolio
investments
generally
varies
inversely
with
the
direction
of
long-term
interest
rates,
although
other
factors
can
also
influence
the
value
of
portfolio
investments.
As
a
result,
changes
in
interest
rates
can
influence
the
Fund's
NAV
positively
or
negatively
in
addition
to
the
impact
on
the
Fund's
performance
from
leverage.
Changes
in
the
direction
of
interest
rates
are
difficult
to
predict
accurately,
and
there
is
no
assurance
that
the
Fund's
leveraging
strategy
will
be
successful.
The
use
of
leverage
also
generally
causes
greater
changes
in
the
Fund's
NAV
and
dividend
rates
than
comparable
portfolios
without
leverage.
In
a
declining
market,
leverage
is
likely
to
cause
a
greater
decline
in
the
NAV
of the
Fund's
shares
than
if
the
Fund
were
not
leveraged.
In
addition,
the
Fund
may
be
required
to
sell
portfolio
securities
at
inopportune
times
or
at
distressed
values
in
order
to
comply
with
regulatory
requirements
applicable
to
the
use
of
leverage
or
as
required
by
the
terms
of
the
leverage
instruments,
which
may
cause
the
Fund
to
incur
losses.
The
use
of
leverage
may
limit the
Fund's
ability
to
invest
in
certain
types
of
securities
or
use
certain
types
of
hedging
strategies.
The
Fund
incurs
expenses
in
connection
with
the
use
of
leverage,
all
of
which
are
borne
by
the
Fund's
shareholders
and
may
reduce
income.
About
Fund
Performance
Institutional
Shares
are
not
subject
to
any
sales
charge.
These
shares
bear
no
ongoing
distribution
or
service
fees
and
are
available
only
to
certain
eligible
investors.
Investor
A
Shares
are
subject
to
a
maximum
initial
sales
charge
(front-end
load)
of
4.00
%
and
a
service
fee
of
0.25%
per
year
(but
no
distribution
fee).
Certain
redemptions
of
these
shares
may
be
subject
to
a
contingent
deferred
sales
charge
("CDSC")
where
no
initial
sales
charge
was
paid
at
the
time
of
purchase.
These
shares
are
generally
available
through
financial
intermediaries.
Investor
C
Shares
are
subject
to
a 1.00%
CDSC
if
redeemed
within
one
year
of
purchase.
In
addition,
these
shares
are
subject
to
a
distribution
fee
of
0.75
%
per
year
and
a
service
fee
of
0.25%
per
year.
These
shares
are
generally
available
through
financial
intermediaries.
These
shares
automatically
convert
to
Investor
A
Shares
after
approximately eight
years.
Past
performance
is
not
an
indication
of
future
results.
Financial
markets
have
experienced
extreme
volatility
and
trading
in
many
instruments
has
been
disrupted.
These
circumstances
may
continue
for
an
extended
period
of
time
and
may
continue
to
affect
adversely
the
value
and
liquidity
of
the
Fund's
investments.
As
a
result,
current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
Refer
to
blackrock.com
to
obtain
performance
data
current
to
the
most
recent
month-end.
Performance
results
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
redemption
of
Fund
shares.
Figures
shown
in
the
performance
table(s) assume
reinvestment
of
all
distributions,
if
any,
at
NAV
on
the
ex-dividend
date
or
payable
date,
as
applicable.
Investment
return
and
principal
value
of
shares
will
fluctuate
so
that
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Distributions
paid
to
each
class
of
shares
will
vary
because
of
the
different
levels
of
service,
distribution
and
transfer
agency
fees
applicable
to
each
class,
which
are
deducted
from
the
income
available
to
be
paid
to
shareholders.
BlackRock
Advisors,
LLC
(the
"Manager"),
the
Fund's
investment
adviser,
has
contractually
and/or
voluntarily
agreed
to
waive
and/or
reimburse
a
portion
of
the
Fund's
expenses.
Without
such
waiver(s)
and/or
reimbursement(s),
the
Fund's
performance
would
have
been
lower.
With
respect
to
the
Fund's
voluntary
waiver(s),
if
any,
the
Manager
is
under
no
obligation
to
waive
and/or
reimburse
or
to
continue
waiving
and/or
reimbursing
its
fees
and
such
voluntary
waiver(s)
may
be
reduced
or
discontinued
at
any
time.
With
respect
to
the
Fund's
contractual
waiver(s),
if
any,
the
Manager
is
under
no
obligation
to
continue
waiving
and/or
reimbursing
its
fees
after
the
applicable
termination
date
of
such
agreement.
See
the
Notes
to
Financial
Statements
for
additional
information
on
waivers
and/or
reimbursements.
The
standardized
30-day
yield
includes
the
effects
of
any
waivers
and/or
reimbursements.
The
unsubsidized
30-day
yield
excludes
the
effects
of
any
waivers
and/or
reimbursements.
Disclosure
of
Expenses
2024
BlackRock
Annual
Report
to
Shareholders
8
Shareholders
of
the
Fund
may
incur
the
following
charges:
(a)
transactional
expenses,
such
as
sales
charges;
and
(b)
operating
expenses,
including
investment
advisory
fees,
service
and
distribution
fees,
including
12b-1
fees,
acquired
fund
fees
and
expenses, and
other
fund
expenses.
The
expense
example
shown
(which
is
based
on
a
hypothetical
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
through
the
end
of
the
period)
is
intended
to
assist
shareholders
both
in
calculating
expenses
based
on
an
investment
in
the
Fund
and
in
comparing
these
expenses
with
similar
costs
of
investing
in
other
mutual
funds.
The
expense
example
provides
information
about
actual
account
values
and
actual
expenses.
Annualized
expense
ratios
reflect
contractual
and
voluntary
fee
waivers,
if
any.
In
order
to
estimate
the
expenses
a
shareholder
paid
during
the
period
covered
by
this
report,
shareholders
can
divide
their
account
value
by
$1,000
and
then
multiply
the
result
by
the
number
corresponding
to
their share
class
under
the
heading
entitled
"Expenses
Paid
During
the
Period."
The
expense
example
also
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on the
Fund's
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses.
In
order
to
assist
shareholders
in
comparing
the
ongoing
expenses
of
investing
in
the
Fund
and
other
funds,
compare
the
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
shareholder
reports
of
other
funds.
The
expenses
shown
in
the
expense
example
are
intended
to
highlight
shareholders'
ongoing
costs
only
and
do
not
reflect
transactional
expenses,
such
as
sales
charges,
if
any.
Therefore,
the
hypothetical
example is
useful
in
comparing
ongoing
expenses
only,
and
will
not
help
shareholders
determine
the
relative
total
expenses
of
owning
different
funds.
If
these
transactional
expenses
were
included,
shareholder
expenses
would
have
been
higher.
Derivative
Financial
Instruments
The
Fund
may
invest
in
various
derivative
financial
instruments.
These
instruments
are
used
to
obtain
exposure
to
a
security,
commodity,
index,
market,
and/or
other
assets
without
owning
or
taking
physical
custody
of
securities,
commodities
and/or
other
referenced
assets
or
to
manage
market,
equity,
credit,
interest
rate,
foreign
currency
exchange
rate,
commodity
and/or
other
risks.
Derivative
financial
instruments
may
give
rise
to
a
form
of
economic
leverage
and
involve
risks,
including
the
imperfect
correlation
between
the
value
of
a
derivative
financial
instrument
and
the
underlying
asset,
possible
default
of
the
counterparty
to
the
transaction
or
illiquidity
of
the
instrument. Pursuant
to Rule
18f-4
under
the
1940
Act,
among
other
things,
the
Fund
must
either
use
derivative
financial
instruments
with
embedded
leverage
in
a
limited
manner
or
comply
with
an
outer
limit
on
fund
leverage
risk
based
on
value-at-risk.
The
Fund's
successful
use
of
a
derivative
financial
instrument
depends
on
the
investment
adviser's
ability
to
predict
pertinent
market
movements
accurately,
which
cannot
be
assured.
The
use
of
these
instruments
may
result
in
losses
greater
than
if
they
had
not
been
used,
may
limit
the
amount
of
appreciation the
Fund
can
realize
on
an
investment
and/or
may
result
in
lower
distributions
paid
to
shareholders.
The
Fund's
investments
in
these
instruments,
if
any,
are
discussed
in
detail
in
the
Notes
to
Financial
Statements.
Schedule
of
Investments
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
9
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
510
Loan
Acquisition
Trust,
Series
2020-1,
Class
A,
8.11%,
09/25/60
(a)
(b)
..........
USD
930
$
926,698
Ajax
Mortgage
Loan
Trust
Series
2020-C, 0.00%,
09/25/60
(c)
(d)
.....
5
5,248
Series
2020-C,
Class
C,
0.00%,
09/27/60
(b)
6
1,546
Series
2020-D, 0.00%,
06/25/60
(c)
(d)
.....
8
7,727
Series
2021-E,
Class
B3,
3.86%,
12/25/60
(b)
(e)
...................
380
123,176
Series
2021-E,
Class
XS,
0.00%,
12/25/60
(b)
(e)
...................
5,167
202,060
Series
2021-F,
Class
A,
1.87%,
06/25/61
(a)
(b)
2,154
2,015,073
Series
2021-F,
Class
B,
3.75%,
06/25/61
(a)
(b)
216
209,922
Series
2021-F,
Class
C,
0.00%,
06/25/61
(b)
.
400
261,690
Series
2021-G,
Class
A,
1.87%,
06/25/61
(b)
(e)
1,497
1,400,735
Series
2021-G,
Class
B,
3.75%,
06/25/61
(b)
(e)
256
248,348
Series
2021-G,
Class
C,
0.00%,
06/25/61
(b)
461
421,402
AMSR
Trust
(b)
Series
2020-SFR4,
Class
G2,
4.87%,
11/17/37
.....................
850
812,429
Series
2023-SFR2,
Class
F1,
3.95%,
06/17/40
(f)
....................
600
495,036
AREIT
LLC,
Series
2023-CRE8,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.11%
Floor
+
2.11%),
7.43%,
08/17/41
(b)
(e)
..........
552
551,573
AREIT
Ltd.,
Series
2024-CRE9,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.69%
Floor
+
1.69%),
1.00%,
05/17/41
(b)
(e)
................
470
468,825
AREIT
Trust
(b)(e)
Series
2021-CRE5,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.08%
Floor
+
1.19%),
6.51%,
11/17/38
................
465
460,688
Series
2022-CRE6,
Class
A,
(SOFR
30
day
Average
at
1.25%
Floor
+
1.25%),
6.58%,
01/20/37
.....................
581
576,064
Bayview
Financial
Revolving
Asset
Trust,
Series
2004-B,
Class
A1,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.11%),
6.43%,
05/28/39
(b)
(e)
.....................
1,702
1,339,194
BDS
Ltd.,
Series
2021-FL9,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.07%
Floor
+
1.18%),
6.50%,
11/16/38
(b)
(e)
................
550
543,942
Bear
Stearns
Asset-Backed
Securities
I
Trust
(e)
Series
2006-HE8,
Class
1A3,
(1-mo.
CME
Term
SOFR
at
0.52%
Floor
+
0.63%),
5.95%,
10/25/36
................
1,200
1,077,726
Series
2007-HE2,
Class
1A4,
(1-mo.
CME
Term
SOFR
at
0.32%
Floor
+
0.43%),
5.75%,
03/25/37
................
835
724,843
Series
2007-HE2,
Class
22A,
(1-mo.
CME
Term
SOFR
at
0.14%
Floor
+
0.25%),
5.57%,
03/25/37
................
491
446,069
BSPRT
Issuer
Ltd.,
Series
2022-FL8,
Class
A,
(SOFR
30
day
Average
at
1.50%
Floor
+
1.50%),
6.83%,
02/15/37
(b)
(e)
..........
724
719,322
Carrington
Mortgage
Loan
Trust,
Series
2007-
FRE1,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.50%
Floor
and
14.50%
Cap
+
0.61%),
5.93%,
02/25/37
(e)
.................
1,842
1,362,065
Countrywide
Asset-Backed
Certificates,
Series
2002-BC3,
Class
M2,
(1-mo.
CME
Term
SOFR
at
1.73%
Floor
+
1.84%),
7.16%,
05/25/32
(e)
......................
1,015
972,045
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
(continued)
Credit-Based
Asset
Servicing
&
Securitization
LLC,
Series
2007-CB6,
Class
A4,
(1-mo.
CME
Term
SOFR
at
0.34%
Floor
+
0.45%),
5.77%,
07/25/37
(b)
(e)
................
USD
1,465
$
934,736
CWABS
Asset-Backed
Certificates
Trust
(e)
Series
2006-18,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.45%
Floor
+
0.56%),
5.88%,
03/25/37
.....................
1,544
1,167,356
Series
2006-22,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.23%
Floor
+
0.34%),
5.78%,
05/25/47
.....................
2,141
1,718,422
Series
2007-BC3,
Class
1A,
(1-mo.
CME
Term
SOFR
at
0.18%
Floor
+
0.29%),
5.61%,
11/25/47
................
606
567,043
CWABS,
Inc.
Asset-Backed
Certificates
Trust,
Series
2004-6,
Class
2A4,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.33%,
11/25/34
(e)
......................
8
7,344
Dryden
XXVIII
Senior
Loan
Fund,
Series
2013-28A,
Class
A1LR,
(3-mo.
CME
Term
SOFR
at
1.20%
Floor
+
1.46%),
6.77%,
08/15/30
(b)
(e)
.....................
850
850,350
FS
Rialto
Issuer
LLC
(b)(e)
Series
2022-FL6,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.58%
Floor
+
2.58%),
7.90%,
08/17/37
.....................
350
351,380
Series
2022-FL7,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.90%
Floor
+
2.90%),
8.22%,
10/19/39
.....................
540
538,650
GSAA
Home
Equity
Trust,
Series
2006-5,
Class
1A1,
(1-mo.
CME
Term
SOFR
at
0.36%
Floor
+
0.47%),
5.79%,
03/25/36
(e)
......
97
28,482
Home
Partners
of
America
Trust,
Series
2021-3,
Class
F,
4.24%,
01/17/41
(b)
...........
1,826
1,548,838
KREF
Ltd.,
Series
2022-FL3,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.45%
Floor
+
1.45%),
6.77%,
02/17/39
(b)
(e)
................
2,950
2,923,338
Legacy
Mortgage
Asset
Trust,
Series
2019-SL2,
Class
A,
3.38%,
02/25/59
(b)
(e)
..........
931
878,627
Long
Beach
Mortgage
Loan
Trust
(e)
Series
2006-1,
Class
2A4,
(1-mo.
CME
Term
SOFR
at
0.60%
Floor
+
0.71%),
6.03%,
02/25/36
.....................
631
511,689
Series
2006-7,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.32%
Floor
+
0.43%),
5.75%,
08/25/36
.....................
1,565
606,988
MF1
Multifamily
Housing
Mortgage
Loan
Trust,
Series
2024-FL14,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.74%
Floor
+
1.74%),
7.06%,
03/19/39
(b)
(e)
................
318
317,304
Morgan
Stanley
IXIS
Real
Estate
Capital
Trust,
Series
2006-1,
Class
A3,
(1-mo.
CME
Term
SOFR
at
0.30%
Floor
+
0.41%),
5.73%,
07/25/36
(e)
......................
408
159,949
Mosaic
Solar
Loan
Trust,
Series
2019-2A,
Class
A,
2.88%,
09/20/40
(b)
...............
38
32,883
New
Residential
Mortgage
Loan
Trust,
Series
2022-SFR1,
Class
F,
4.44%,
02/17/39
(b)
...
2,739
2,388,803
Option
One
Mortgage
Loan
Trust,
Series
2007-
FXD1,
Class
2A1,
5.87%,
01/25/37
(a)
.....
958
777,592
Progress
Residential
Trust
(b)
Series
2020-SFR3,
Class
G,
4.11%,
10/17/27
.....................
2,750
2,604,913
Series
2021-SFR10,
Class
F,
4.61%,
12/17/40
.....................
1,469
1,275,123
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
10
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
(continued)
Series
2021-SFR11,
Class
F,
4.42%,
01/17/39
.....................
USD
2,000
$
1,721,929
Series
2022-SFR1,
Class
F,
4.88%,
02/17/41
.....................
2,500
2,136,781
Series
2023-SFR1,
Class
E1,
6.15%,
03/17/40
.....................
925
889,886
RASC
Trust,
Series
2006-EMX9,
Class
1A4,
(1-mo.
CME
Term
SOFR
at
0.24%
Floor
and
14.00%
Cap
+
0.35%),
5.91%,
11/25/36
(e)
.
1,155
905,879
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR1,
Class
A2B,
(1-mo.
CME
Term
SOFR
at
0.54%
Floor
+
0.65%),
5.97%,
02/25/37
(e)
.................
1,931
811,929
Structured
Asset
Securities
Corp.
Mortgage
Loan
Trust,
Series
2007-MN1A,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.23%
Floor
+
0.34%),
5.66%,
01/25/37
(b)
(e)
..........
1,117
633,153
Tricon
American
Homes
Trust,
Series
2020-
SFR1,
Class
F,
4.88%,
07/17/38
(b)
......
1,050
1,002,290
Washington
Mutual
Asset-Backed
Certificates
Trust
(e)
Series
2007-HE1,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.26%
Floor
+
0.26%),
5.58%,
01/25/37
................
1,188
538,456
Series
2007-HE2,
Class
2A1,
(1-mo.
CME
Term
SOFR
at
0.10%
Floor
+
0.21%),
5.53%,
02/25/37
................
2,890
798,560
Washington
Mutual
Mortgage
Pass-Through
Certificates
Trust,
Series
2007-HE2,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.36%
Floor
+
0.36%),
5.68%,
04/25/37
(e)
......
1,345
495,903
Total
Asset-Backed
Securities
-
12
.4
%
(Cost:
$
49,111,867
)
...............................
46,498,022
Corporate
Bonds
Financial
Services
-
0.1%
CRSO
Trust,
7.12%,
07/10/28
(b)
.........
427
438,062
Total
Corporate
Bonds
-
0
.1
%
(Cost:
$
427,576
)
.................................
438,062
Non-Agency
Mortgage-Backed
Securities
Collateralized
Mortgage
Obligations
-
13.7%
Alternative
Loan
Trust
Series
2005-54CB,
Class
3A1,
5.13%,
11/25/35
.....................
1,111
574,565
Series
2005-79CB,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.55%
Floor
and
5.50%
Cap
+
0.66%),
5.50%,
01/25/36
(e)
.....
1,781
891,480
Series
2006-45T1,
Class
2A7,
(1-mo.
CME
Term
SOFR
at
0.34%
Floor
and
7.00%
Cap
+
0.45%),
5.77%,
02/25/37
(e)
.....
1,483
586,145
Series
2006-6CB,
Class
2A10,
6.00%,
05/25/36
.....................
1,967
785,653
Series
2006-9T1,
Class
A4,
5.75%,
05/25/36
1,708
631,190
Series
2007-19,
Class
1A34,
6.00%,
08/25/37
.....................
755
355,803
Banc
of
America
Mortgage
Trust,
Series
2005-I,
Class
2A5,
4.68%,
10/25/35
(e)
.........
71
64,922
Barclays
Mortgage
Trust
(b)
Series
2021-NPL1,
Class
A,
2.00%,
11/25/51
(a)
....................
2,035
1,933,702
Series
2021-NPL1,
Class
B,
4.62%,
11/25/51
(a)
....................
177
160,648
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
Series
2021-NPL1,
Class
C,
0.00%,
11/25/51
.....................
USD
385
$
440,129
BCAP
LLC
Trust,
Series
2012-RR3,
Class
3A8,
3.79%,
07/26/37
(b)
(e)
................
1,307
1,123,292
Bear
Stearns
ALT-A
Trust,
Series
2007-1,
Class
1A1,
(1-mo.
CME
Term
SOFR
at
0.32%
Floor
and
11.50%
Cap
+
0.43%),
5.75%,
01/25/47
(e)
......................
571
453,029
CFMT
LLC,
Series
2023-HB11,
Class
M2,
4.00%,
02/25/37
(b)
(e)
................
1,250
1,082,707
Chase
Mortgage
Finance
Trust,
Series
2007-
S2,
Class
1A9,
6.00%,
03/25/37
........
1,736
930,588
ChaseFlex
Trust,
Series
2007-1,
Class
2A7,
6.00%,
02/25/37
..................
1,919
705,237
CHL
Mortgage
Pass-Through
Trust
Series
2005-17,
Class
1A6,
5.50%,
09/25/35
19
17,621
Series
2006-21,
Class
A11,
5.75%,
02/25/37
1,158
487,529
Series
2006-OA4,
Class
A1,
(Federal
Reserve
US
12
Month
Cumulative
Average
1
Year
CMT
at
0.96%
Floor
+
0.96%),
6.05%,
04/25/46
(e)
.........
1,242
369,313
Series
2007-8,
Class
1A4,
6.00%,
01/25/38
321
137,522
Citigroup
Mortgage
Loan
Trust
(e)
Series
2004-UST1,
Class
A4,
6.10%,
08/25/34
.....................
385
355,949
Series
2015-A,
Class
B4,
4.50%,
06/25/58
(b)
1,112
998,506
CitiMortgage
Alternative
Loan
Trust,
Series
2007-A5,
Class
1A6,
6.00%,
05/25/37
....
489
426,495
CSMC
Trust
(b)
Series
2010-6R,
Class
2A6B,
6.25%,
07/26/37
.....................
605
596,907
Series
2015-6R,
Class
5A2,
(1-mo.
CME
Term
SOFR
at
0.18%
Floor
+
0.29%),
5.61%,
03/27/36
(e)
...............
1,445
1,053,536
Series
2022-ATH2,
Class
A1,
4.55%,
05/25/67
(e)
....................
1,001
956,814
GSMPS
Mortgage
Loan
Trust,
Series
2005-
RP2,
Class
1AF,
(1-mo.
CME
Term
SOFR
at
0.35%
Floor
+
0.46%),
5.78%,
03/25/35
(b)
(e)
797
723,116
GSR
Mortgage
Loan
Trust,
Series
2006-9F,
Class
3A1,
6.25%,
10/25/36
..........
556
482,806
Homeward
Opportunities
Fund
I
Trust
(b)(e)
Series
2020-2,
Class
B1,
5.45%,
05/25/65
.
1,985
1,872,657
Series
2020-2,
Class
M1,
3.90%,
05/25/65
.
2,625
2,400,363
Impac
Secured
Assets
Trust,
Series
2006-1,
Class
1A2B,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
and
11.50%
Cap
+
0.51%),
5.83%,
05/25/36
(e)
.................
856
655,527
IndyMac
IMSC
Mortgage
Loan
Trust,
Series
2007-F2,
Class
1A4,
6.00%,
07/25/37
....
742
507,975
IndyMac
INDX
Mortgage
Loan
Trust,
Series
2006-AR15,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.24%
Floor
+
0.35%),
5.67%,
07/25/36
(e)
......................
554
532,385
Lehman
XS
Trust,
Series
2007-16N,
Class
AF2,
(1-mo.
CME
Term
SOFR
at
1.90%
Floor
+
2.01%),
7.33%,
09/25/47
(e)
...........
903
1,152,787
MCM
Trust
(d)
Series
2018-NPL2, 3.00%,
08/25/28
(b)
...
495
475,529
Series
2021-VFN1, 3.00%,
09/25/31
....
405
265,508
MFA
Trust,
Series
2022-NQM1,
Class
M1,
4.26%,
12/25/66
(b)
(e)
................
500
412,543
New
Residential
Mortgage
Loan
Trust,
Series
2020-RPL1,
Class
B3,
3.87%,
11/25/59
(b)
(e)
.
2,500
1,685,592
PRET
LLC,
Series
2024-NPL2,
Class
A1,
7.02%,
02/25/54
(a)
(b)
................
965
956,893
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
11
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
PRPM
LLC,
Series
2022-1,
Class
A1,
3.72%,
02/25/27
(a)
(b)
.....................
USD
1,457
$
1,423,231
RALI
Trust
(e)
Series
2005-QA4,
Class
A11,
4.79%,
04/25/35
.....................
2,112
860,802
Series
2007-QS1,
Class
1A5,
(1-mo.
CME
Term
SOFR
at
0.55%
Floor
and
6.00%
Cap
+
0.66%),
5.98%,
01/25/37
......
930
655,070
Reperforming
Loan
REMIC
Trust,
Series
2005-R3,
Class
AF,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
and
9.50%
Cap
+
0.51%),
5.83%,
09/25/35
(b)
(e)
................
130
108,325
Residential
Asset
Securitization
Trust
(e)
Series
2006-A7CB,
Class
2A2,
(1-mo.
CME
Term
SOFR
at
0.55%
Floor
and
6.50%
Cap
+
0.66%),
5.98%,
07/25/36
......
2,608
488,338
Series
2006-A7CB,
Class
2A5,
(1-mo.
CME
Term
SOFR
at
0.25%
Floor
and
7.00%
Cap
+
0.36%),
5.68%,
07/25/36
......
571
99,019
Series
2006-A7CB,
Class
2A6,
(1-mo.
CME
Term
SOFR
at
0.00%
Floor
and
54.00%
Cap
+
53.08%),
10.55%,
07/25/36
....
459
342,223
RFMSI
Trust
(e)
Series
2005-SA3,
Class
1A,
4.13%,
08/25/35
.....................
1,593
683,160
Series
2006-SA2,
Class
2A1,
5.44%,
08/25/36
.....................
97
66,718
RMF
Buyout
Issuance
Trust,
Series
2021-HB1,
Class
M6,
6.00%,
11/25/31
(b)
(d)
(e)
........
925
656,611
Seasoned
Loans
Structured
Transaction
Trust
(b)
(e)
Series
2020-2,
Class
M1,
4.75%,
09/25/60
.
2,449
2,339,162
Series
2020-3,
Class
M1,
4.75%,
04/26/60
.
2,531
2,450,415
Spruce
Hill
Mortgage
Loan
Trust
(b)
Series
2020-SH2,
Class
B1,
5.00%,
06/25/55
(e)
....................
2,764
2,567,208
Series
2022-SH1,
Class
A1A,
4.10%,
07/25/57
(a)
....................
1,215
1,119,339
TVC
Mortgage
Trust,
Series
2023-RTL1,
Class
A1,
8.25%,
11/25/27
(a)
(b)
.............
395
393,878
Verus
Securitization
Trust
(b)(e)
Series
2020-INV1,
Class
B1,
5.75%,
03/25/60
.....................
1,100
1,057,734
Series
2023-INV1,
Class
M1,
7.59%,
02/25/68
.....................
1,200
1,201,060
Washington
Mutual
Mortgage
Pass-Through
Certificates
Trust,
Series
2007-OA5,
Class
2A,
(Federal
Reserve
US
12
Month
Cumulative
Average
1
Year
CMT
at
1.25%
Floor
+
0.80%),
5.89%,
06/25/47
(e)
......
1,606
1,248,075
Washington
Mutual
Mortgage
Pass-Through
Certificates
WMALT
Trust
Series
2005-11,
Class
A7,
5.75%,
01/25/36
1,134
924,202
Series
2005-9,
Class
5A1,
5.50%,
11/25/35
1,047
773,721
Series
2006-2,
Class
2CB,
6.50%,
03/25/36
696
432,231
Series
2006-2,
Class
3CB,
6.00%,
03/25/36
1,047
752,751
Series
2006-6,
Class
3CB1,
7.00%,
08/25/36
.....................
2,792
1,070,870
Series
2006-AR8,
Class
2A,
(Federal
Reserve
US
12
Month
Cumulative
Average
1
Year
CMT
at
0.85%
Floor
+
0.85%),
5.94%,
10/25/46
(e)
.........
104
84,785
Series
2007-5,
Class
A3,
7.00%,
06/25/37
.
203
149,064
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
Western
Alliance
Bank
(b)(e)
Series
2021-CL2,
Class
M1,
(SOFR
30
day
Average
at
0.00%
Floor
+
3.15%),
8.48%,
07/25/59
.....................
USD
463
$
478,777
Series
2021-CL2,
Class
M2,
(SOFR
30
day
Average
at
0.00%
Floor
+
3.70%),
9.03%,
07/25/59
.....................
662
678,767
51,348,499
Commercial
Mortgage-Backed
Securities
-
23.6%
1211
Avenue
of
the
Americas
Trust,
Series
2015-1211,
Class
A1A2,
3.90%,
08/10/35
(b)
370
355,098
2023-MIC
Trust,
Series
2023-MIC,
Class
A,
8.73%,
12/05/38
(b)
(e)
................
240
253,795
280
Park
Avenue
Mortgage
Trust,
Series
2017-
280P,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.37%
Floor
+
2.42%),
7.74%,
09/15/34
(b)
(e)
237
213,330
Alen
Mortgage
Trust,
Series
2021-ACEN,
Class
D,
(1-mo.
CME
Term
SOFR
at
3.10%
Floor
+
3.21%),
8.54%,
04/15/34
(b)
(e)
..........
276
177,727
Arbor
Multifamily
Mortgage
Securities
Trust,
Series
2020-MF1,
Class
E,
1.75%,
05/15/53
(b)
......................
750
480,210
Ashford
Hospitality
Trust
(b)(e)
Series
2018-ASHF,
Class
D,
(1-mo.
CME
Term
SOFR
at
2.23%
Floor
+
2.27%),
7.59%,
04/15/35
................
280
274,102
Series
2018-ASHF,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.23%
Floor
+
3.27%),
8.59%,
04/15/35
................
229
223,589
BAMLL
Commercial
Mortgage
Securities
Trust
(b)
(e)
Series
2018-DSNY,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.10%
Floor
+
1.15%),
6.47%,
09/15/34
................
529
528,670
Series
2018-DSNY,
Class
D,
(1-mo.
CME
Term
SOFR
at
1.95%
Floor
+
2.00%),
7.32%,
09/15/34
................
160
160,044
BANK
Series
2021-BN35,
Class
A5,
2.29%,
06/15/64
.....................
730
584,335
Series
2021-BN38,
Class
A5,
2.52%,
12/15/64
.....................
1,700
1,368,795
BANK5
Trust,
Series
2024-5YR6,
Class
A3,
6.23%,
05/15/57
..................
470
478,672
Bayview
Commercial
Asset
Trust
(b)(e)
Series
2006-3A,
Class
A2,
(1-mo.
CME
Term
SOFR
at
0.00%
Floor
+
0.56%),
5.88%,
10/25/36
.....................
623
595,550
Series
2006-4A,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.23%
Floor
+
0.46%),
5.78%,
12/25/36
.....................
553
526,218
BBCMS
Mortgage
Trust
Series
2018-TALL,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.87%
Floor
+
0.92%),
6.24%,
03/15/37
(b)
(e)
..............
296
281,200
Series
2018-TALL,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.12%
Floor
+
1.17%),
6.49%,
03/15/37
(b)
(e)
..............
150
138,375
Series
2020-C7,
Class
A5,
2.04%,
04/15/53
1,950
1,600,602
Series
2022-C18,
Class
ASB,
5.95%,
12/15/55
(e)
....................
650
667,594
Series
2024-5C25,
Class
A3,
5.95%,
03/15/57
.....................
1,810
1,828,457
Benchmark
Mortgage
Trust,
Series
2018-B5,
Class
A4,
4.21%,
07/15/51
...........
550
518,690
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
12
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
BFLD
Trust,
Series
2020-EYP,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.70%
Floor
+
3.81%),
9.14%,
10/15/35
(b)
(e)
................
USD
120
$
9,000
BHMS,
Series
2018-ATLS,
Class
C,
(1-mo.
CME
Term
SOFR
at
2.15%
Floor
+
2.20%),
7.52%,
07/15/35
(b)
(e)
................
269
264,936
BPR
Trust
(b)(e)
Series
2021-TY,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.05%
Floor
+
1.16%),
6.49%,
09/15/38
.....................
1,000
992,812
Series
2021-TY,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.60%
Floor
+
3.71%),
9.04%,
09/15/38
.....................
750
740,625
Series
2022-SSP,
Class
A,
(1-mo.
CME
Term
SOFR
at
3.00%
Floor
+
3.00%),
8.32%,
05/15/39
.....................
370
373,833
BSST
Mortgage
Trust,
Series
2021-SSCP,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.75%
Floor
+
0.86%),
6.19%,
04/15/36
(b)
(e)
.....
666
658,955
BX
Commercial
Mortgage
Trust
(b)
Series
2020-VIV3,
Class
B,
3.66%,
03/09/44
(e)
....................
683
585,403
Series
2020-VIV4,
Class
A,
2.84%,
03/09/44
1,370
1,156,955
Series
2021-SOAR,
Class
G,
(1-mo.
CME
Term
SOFR
at
2.80%
Floor
+
2.91%),
8.24%,
06/15/38
(e)
...............
132
131,852
Series
2021-VINO,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.77%
Floor
+
0.77%),
6.09%,
05/15/38
(e)
...............
707
701,674
Series
2021-VINO,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.92%
Floor
+
2.92%),
8.24%,
05/15/38
(e)
...............
126
124,826
Series
2021-VOLT,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.70%
Floor
+
0.81%),
6.14%,
09/15/36
(e)
...............
752
744,480
Series
2021-XL2,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.69%
Floor
+
0.80%),
6.12%,
10/15/38
(e)
....................
2,556
2,532,014
Series
2022-CSMO,
Class
C,
(1-mo.
CME
Term
SOFR
at
3.89%
Floor
+
3.89%),
9.21%,
06/15/27
(e)
...............
260
261,300
Series
2022-LP2,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.01%
Floor
+
1.01%),
6.33%,
02/15/39
(e)
....................
1,427
1,420,340
Series
2022-LP2,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.31%
Floor
+
1.31%),
6.63%,
02/15/39
(e)
....................
1,236
1,223,444
Series
2023-XL3,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.76%
Floor
+
1.76%),
7.08%,
12/09/40
(e)
....................
945
950,906
Series
2024-MF,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.44%
Floor
+
1.44%),
6.76%,
02/15/39
(e)
....................
590
590,175
Series
2024-MF,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.74%
Floor
+
3.74%),
9.06%,
02/15/39
(e)
....................
284
284,506
Series
2024-XL4,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.44%
Floor
+
1.44%),
6.76%,
02/15/39
(e)
....................
915
915,000
Series
2024-XL4,
Class
D,
(1-mo.
CME
Term
SOFR
at
3.14%
Floor
+
3.14%),
8.46%,
02/15/39
(e)
....................
256
256,000
BX
Trust
(b)
Series
2019-OC11,
Class
A,
3.20%,
12/09/41
.....................
826
719,700
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
Series
2019-OC11,
Class
E,
4.08%,
12/09/41
(e)
....................
USD
71
$
59,479
Series
2021-ARIA,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.33%,
10/15/36
(e)
...............
400
395,000
Series
2021-ARIA,
Class
G,
(1-mo.
CME
Term
SOFR
at
3.14%
Floor
+
3.26%),
8.58%,
10/15/36
(e)
...............
128
123,040
Series
2021-LBA,
Class
AJV,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.91%),
6.24%,
02/15/36
(e)
...............
705
701,034
Series
2021-MFM1,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.70%
Floor
+
0.81%),
6.14%,
01/15/34
(e)
...............
383
380,257
Series
2021-MFM1,
Class
G,
(1-mo.
CME
Term
SOFR
at
3.90%
Floor
+
4.01%),
9.34%,
01/15/34
(e)
...............
134
131,365
Series
2021-VIEW,
Class
D,
(1-mo.
CME
Term
SOFR
at
2.90%
Floor
+
3.01%),
8.34%,
06/15/36
(e)
...............
275
258,859
Series
2021-VIEW,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.93%
Floor
+
4.04%),
9.37%,
06/15/36
(e)
...............
350
310,612
Series
2022-GPA,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.17%
Floor
+
2.17%),
7.49%,
08/15/39
(e)
...............
168
168,047
Series
2022-GPA,
Class
B,
(1-mo.
CME
Term
SOFR
at
2.66%
Floor
+
2.66%),
7.98%,
08/15/41
(e)
...............
690
692,390
Series
2022-GPA,
Class
D,
(1-mo.
CME
Term
SOFR
at
4.06%
Floor
+
4.06%),
9.38%,
08/15/43
(e)
...............
296
296,554
Series
2022-IND,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.49%
Floor
+
1.49%),
6.81%,
04/15/37
(e)
....................
104
103,660
Series
2022-LBA6,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.00%),
6.32%,
01/15/39
(e)
...............
880
873,950
Series
2022-VAMF,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.30%
Floor
+
3.30%),
8.62%,
01/15/39
(e)
...............
450
419,587
Series
2023-DELC,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.69%
Floor
+
2.69%),
8.01%,
05/15/38
(e)
...............
360
363,600
Series
2023-DELC,
Class
B,
(1-mo.
CME
Term
SOFR
at
3.34%
Floor
+
3.34%),
8.66%,
05/15/38
(e)
...............
440
442,750
Series
2024-BIO,
Class
A,
(1-mo.
CME
Term
SOFR
+
1.64%),
6.96%,
02/15/41
(e)
...
735
735,456
Series
2024-CNYN,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.44%
Floor
+
1.44%),
6.76%,
04/15/29
(e)
...............
1,000
998,750
Series
2024-CNYN,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.69%
Floor
+
3.69%),
9.01%,
04/15/29
(e)
...............
295
294,631
Series
2024-PAT,
Class
C,
(1-mo.
CME
Term
SOFR
at
4.44%
Floor
+
4.44%),
9.76%,
03/15/41
(e)
....................
438
436,363
Series
2024-PAT,
Class
D,
(1-mo.
CME
Term
SOFR
at
5.39%
Floor
+
5.39%),
10.71%,
03/15/41
(e)
....................
146
145,992
BXP
Trust,
Series
2021-601L,
Class
D,
2.87%,
01/15/44
(b)
(e)
.....................
540
356,816
CFCRE
Commercial
Mortgage
Trust,
Series
2016-C7,
Class
A3,
3.84%,
12/10/54
.....
600
565,970
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
13
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
CFK
Trust,
Series
2020-MF2,
Class
B,
2.79%,
03/15/39
(b)
......................
USD
336
$
283,550
Citigroup
Commercial
Mortgage
Trust,
Series
2023-SMRT,
Class
A,
6.01%,
10/12/40
(b)
(e)
.
435
432,770
COAST
Commercial
Mortgage
Trust,
Series
2023-2HTL,
Class
B,
(1-mo.
CME
Term
SOFR
at
3.34%
Floor
+
3.34%),
8.66%,
08/15/36
(b)
(e)
.....................
250
249,062
Cold
Storage
Trust
(b)(e)
Series
2020-ICE5,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.33%,
11/15/37
................
688
686,588
Series
2020-ICE5,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.49%
Floor
+
3.61%),
8.93%,
11/15/37
................
703
701,301
Commercial
Mortgage
Trust
Series
2015-CR25,
Class
A3,
3.51%,
08/10/48
.....................
469
458,260
Series
2015-CR25,
Class
C,
4.67%,
08/10/48
(e)
....................
255
243,816
Series
2015-LC19,
Class
A4,
3.18%,
02/10/48
.....................
605
593,305
Series
2015-LC19,
Class
B,
3.83%,
02/10/48
(e)
....................
806
758,614
Series
2017-PANW,
Class
A,
3.24%,
10/10/29
(b)
....................
1,580
1,453,916
CSAIL
Commercial
Mortgage
Trust,
Series
2019-C16,
Class
C,
4.24%,
06/15/52
(e)
...
251
207,528
CSMC
Trust
(b)
Series
2020-FACT,
Class
F,
(1-mo.
CME
Term
SOFR
at
6.16%
Floor
+
6.52%),
11.84%,
10/15/37
(e)
..............
600
528,974
Series
2020-NET,
Class
C,
3.53%,
08/15/37
100
92,974
Series
2021-980M,
Class
E,
3.65%,
07/15/31
(e)
....................
365
320,589
Series
2021-BHAR,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.50%
Floor
+
3.61%),
8.94%,
11/15/38
(e)
...............
300
295,969
Series
2022-NWPT,
Class
A,
(1-mo.
CME
Term
SOFR
at
3.14%
Floor
+
3.14%),
8.46%,
09/09/24
(e)
...............
380
382,319
DBGS
Mortgage
Trust,
Series
2018-BIOD,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.00%
Floor
+
2.30%),
7.62%,
05/15/35
(b)
(e)
.....
210
205,906
DBWF
Mortgage
Trust,
Series
2024-LCRS,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.74%
Floor
+
1.74%),
7.04%,
04/15/37
(b)
(e)
.....
360
359,103
DC
Trust,
Series
2024-HLTN,
Class
F,
10.31%,
04/13/28
(b)
(e)
.....................
365
360,924
DK
Trust
(b)(e)
Series
2024-SPBX,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.50%
Floor
+
1.50%),
6.82%,
03/15/34
................
590
589,263
Series
2024-SPBX,
Class
E,
(1-mo.
CME
Term
SOFR
at
1.50%
Floor
+
4.00%),
9.32%,
03/15/34
................
439
438,724
Extended
Stay
America
Trust
(b)(e)
Series
2021-ESH,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.08%
Floor
+
1.19%),
6.52%,
07/15/38
................
719
717,707
Series
2021-ESH,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.85%
Floor
+
2.96%),
8.29%,
07/15/38
................
366
365,244
Series
2021-ESH,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.70%
Floor
+
3.81%),
9.14%,
07/15/38
................
740
738,708
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
Great
Wolf
Trust
(b)(e)
Series
2019-WOLF,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.12%
Floor
+
1.35%),
6.67%,
12/15/36
................
USD
179
$
178,694
Series
2024-WLF2,
Class
A,
(1-mo.
CME
Term
SOFR
+
1.69%),
6.99%,
05/15/41
.
565
563,588
Series
2024-WOLF,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.54%
Floor
+
1.54%),
6.86%,
03/15/39
................
540
539,662
GS
Mortgage
Securities
Corp.
II
(b)
Series
2005-ROCK,
Class
A,
5.37%,
05/03/32
.....................
335
327,756
Series
2023-SHIP,
Class
E,
7.68%,
09/10/38
(e)
....................
700
689,851
GS
Mortgage
Securities
Corp.
Trust
(b)(e)
Series
2021-IP,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.55%
Floor
+
3.66%),
8.99%,
10/15/36
.....................
300
286,031
Series
2021-STAR,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.40%
Floor
+
1.51%),
6.84%,
12/15/36
................
870
859,941
Series
2022-AGSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.69%),
8.01%,
11/15/27
................
367
367,097
Series
2023-FUN,
Class
B,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.79%),
8.11%,
03/15/28
................
520
520,650
Hawaii
Hotel
Trust,
Series
2019-MAUI,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.15%
Floor
+
1.20%),
6.52%,
05/15/38
(b)
(e)
..........
250
249,375
Hilton
USA
Trust,
Series
2016-HHV,
Class
C,
4.33%,
11/05/38
(b)
(e)
................
519
487,835
HONO
Mortgage
Trust
(b)(e)
Series
2021-LULU,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.15%
Floor
+
1.26%),
6.59%,
10/15/36
................
772
744,499
Series
2021-LULU,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.35%
Floor
+
3.46%),
8.79%,
10/15/36
................
590
552,114
Series
2021-LULU,
Class
F,
(1-mo.
CME
Term
SOFR
at
4.40%
Floor
+
4.51%),
9.84%,
10/15/36
................
410
377,870
HTL
Commercial
Mortgage
Trust
(b)(e)
Series
2024-T53,
Class
A,
5.88%,
05/10/39
180
178,389
Series
2024-T53,
Class
E,
10.26%,
05/10/39
365
362,358
Hudson
Yards
Mortgage
Trust,
Series
2019-
30HY,
Class
D,
3.56%,
07/10/39
(b)
(e)
.....
208
169,405
IMT
Trust,
Series
2017-APTS,
Class
BFX,
3.61%,
06/15/34
(b)
(e)
................
1,250
1,242,202
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
(b)(e)
Series
2016-NINE,
Class
A,
2.95%,
09/06/38
640
593,021
Series
2016-NINE,
Class
B,
(1-mo.
LIBOR
USD
+
0.00%),
2.95%,
09/06/38
.....
654
595,434
Series
2021-MHC,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.91%),
6.49%,
04/15/38
................
576
574,946
Series
2021-MHC,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.45%
Floor
+
2.56%),
8.14%,
04/15/38
................
300
297,750
Series
2022-CGSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.97%
Floor
+
2.87%),
8.19%,
12/15/36
................
532
533,137
Series
2022-NXSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.18%
Floor
+
2.18%),
7.50%,
09/15/39
................
539
539,502
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
14
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
Series
2022-OPO,
Class
D,
3.56%,
01/05/39
USD
350
$
253,750
KSL
Commercial
Mortgage
Trust,
Series
2023-
HT,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.29%
Floor
+
2.29%),
7.61%,
12/15/36
(b)
(e)
895
899,195
Lehman
Brothers
Small
Balance
Commercial
Mortgage
Trust,
Series
2007-2A,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
+
0.51%),
5.83%,
06/25/37
(b)
(e)
..........
632
623,340
Life
Mortgage
Trust,
Series
2021-BMR,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.35%
Floor
+
2.46%),
7.79%,
03/15/38
(b)
(e)
..........
164
158,411
LUX
Trust,
Series
2023-LION,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.69%
Floor
+
2.69%),
8.01%,
08/15/40
(b)
(e)
................
128
129,511
MCR
Mortgage
Trust
(b)(e)
Series
2024-HTL,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.76%
Floor
+
1.76%),
7.08%,
02/15/37
.....................
621
620,721
Series
2024-HTL,
Class
E,
(1-mo.
CME
Term
SOFR
at
4.65%
Floor
+
4.65%),
9.98%,
02/15/37
................
284
283,645
Med
Trust
(b)(e)
Series
2021-MDLN,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.95%
Floor
+
1.06%),
6.39%,
11/15/38
................
554
551,914
Series
2021-MDLN,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.15%
Floor
+
3.26%),
8.59%,
11/15/38
................
146
145,566
Series
2021-MDLN,
Class
F,
(1-mo.
CME
Term
SOFR
at
4.00%
Floor
+
4.11%),
9.44%,
11/15/38
................
141
140,969
Series
2021-MDLN,
Class
G,
(1-mo.
CME
Term
SOFR
at
5.25%
Floor
+
5.36%),
10.69%,
11/15/38
...............
244
243,220
MF1
Multifamily
Housing
Mortgage
Loan
Trust
(b)
(e)
Series
2021-W10,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.07%
Floor
+
1.07%),
6.39%,
12/15/34
................
470
467,650
Series
2021-W10,
Class
G,
(1-mo.
CME
Term
SOFR
at
4.22%
Floor
+
4.22%),
9.54%,
12/15/34
................
300
282,294
MFT
Trust,
Series
2020-ABC,
Class
C,
3.59%,
02/10/42
(b)
(e)
.....................
192
114,059
MHC
Commercial
Mortgage
Trust,
Series
2021-
MHC,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.92%),
6.24%,
04/15/38
(b)
(e)
882
876,149
MHP
2022-MHIL,
Series
2022-MHIL,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.82%
Floor
+
0.81%),
6.14%,
01/15/27
(b)
(e)
..........
893
885,285
MIRA
Trust,
Series
2023-MILE,
Class
A,
6.75%,
06/10/38
(b)
......................
628
639,495
Morgan
Stanley
Capital
I
Trust
Series
2014-150E,
Class
A,
3.91%,
09/09/32
(b)
....................
595
518,580
Series
2017-HR2,
Class
D,
2.73%,
12/15/50
(b)
....................
555
438,383
Series
2018-H4,
Class
A4,
4.31%,
12/15/51
1,824
1,723,665
Series
2018-MP,
Class
A,
4.42%,
07/11/40
(b)
(e)
...................
150
129,382
Series
2018-SUN,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.20%),
6.52%,
07/15/35
(b)
(e)
..............
595
593,884
Series
2019-H6,
Class
D,
3.00%,
06/15/52
(b)
460
340,962
One
Bryant
Park
Trust,
Series
2019-OBP,
Class
A,
2.52%,
09/15/54
(b)
...............
1,072
889,552
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
One
Market
Plaza
Trust,
Series
2017-1MKT,
Class
D,
4.15%,
02/10/32
(b)
...........
USD
415
$
354,552
One
New
York
Plaza
Trust
(b)(e)
Series
2020-1NYP,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.95%
Floor
+
1.06%),
6.39%,
01/15/36
................
185
178,987
Series
2020-1NYP,
Class
AJ,
(1-mo.
CME
Term
SOFR
at
1.25%
Floor
+
1.36%),
6.69%,
01/15/36
................
100
94,000
OPEN
Trust,
Series
2023-AIR,
Class
A,
(1-mo.
CME
Term
SOFR
at
3.09%
Floor
+
3.09%),
8.41%,
10/15/28
(b)
(e)
................
712
720,271
PKHL
Commercial
Mortgage
Trust,
Series
2021-MF,
Class
NR,
(1-mo.
CME
Term
SOFR
at
6.00%
Floor
+
6.11%),
11.44%,
07/15/38
(b)
(e)
.....................
300
52,276
SCG
Mortgage
Trust,
Series
2024-MSP,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.74%
Floor
+
1.74%),
7.04%,
04/15/41
(b)
(e)
..........
400
399,374
SHER
Trust,
Series
2024-DAL,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.64%
Floor
+
1.64%),
6.97%,
04/15/29
(b)
(e)
................
450
448,875
SMRT,
Series
2022-MINI,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.00%),
6.32%,
01/15/39
(b)
(e)
................
566
559,986
SREIT
Trust
(b)(e)
Series
2021-MFP,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.73%
Floor
+
0.85%),
6.17%,
11/15/38
................
574
570,171
Series
2021-MFP,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.63%
Floor
+
2.74%),
8.06%,
11/15/38
.....................
718
709,573
Series
2021-MFP2,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.82%
Floor
+
0.94%),
6.26%,
11/15/36
................
1,255
1,244,803
STWD
Trust,
Series
2021-FLWR,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.58%
Floor
+
0.69%),
6.01%,
07/15/36
(b)
(e)
..........
1,243
1,230,570
Taubman
Centers
Commercial
Mortgage
Trust,
Series
2022-DPM,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.19%
Floor
+
2.19%),
7.51%,
05/15/37
(b)
(e)
................
500
502,812
TPGI
Trust,
Series
2021-DGWD,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.35%
Floor
+
2.46%),
7.79%,
06/15/26
(b)
(e)
..........
740
738,150
TTAN
MHC,
Series
2021-MHC,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.85%
Floor
+
0.96%),
6.29%,
03/15/38
(b)
(e)
................
714
709,615
Velocity
Commercial
Capital
Loan
Trust
(b)(e)
Series
2019-3,
Class
M4,
3.68%,
10/25/49
.
1,181
1,015,561
Series
2019-3,
Class
M6,
6.03%,
10/25/49
.
1,238
983,670
Series
2020-1,
Class
M4,
3.54%,
02/25/50
.
600
482,001
Series
2021-4,
Class
M5,
5.68%,
12/26/51
.
1,970
1,445,091
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-C26,
Class
AS,
3.58%,
02/15/48
.....................
408
397,372
Series
2015-C30,
Class
B,
4.40%,
09/15/58
(e)
....................
500
480,426
Series
2016-C32,
Class
B,
4.89%,
01/15/59
(e)
....................
500
474,004
Series
2018-1745,
Class
A,
3.87%,
06/15/36
(b)
(e)
...................
1,990
1,710,252
Series
2018-AUS,
Class
A,
4.19%,
08/17/36
(b)
(e)
...................
620
564,818
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
15
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
WMRK
Commercial
Mortgage
Trust,
Series
2022-WMRK,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.79%),
8.11%,
11/15/27
(b)
(e)
.....................
USD
660
$
663,300
88,124,264
Interest
Only
Collateralized
Mortgage
Obligations
-
0.1%
(e)
Alternative
Loan
Trust,
Series
2006-45T1,
Class
2A8,
(1-mo.
CME
Term
SOFR
at
0.00%
Floor
and
6.60%
Cap
+
6.49%),
1.17%,
02/25/37
.......................
742
95,322
GSR
Mortgage
Loan
Trust,
Series
2007-3F,
Class
4A2,
(1-mo.
CME
Term
SOFR
at
0.00%
Floor
and
6.70%
Cap
+
6.59%),
1.27%,
05/25/37
..................
3,851
371,955
467,277
Interest
Only
Commercial
Mortgage-Backed
Securities
-
0.8%
(e)
BANK,
Series
2017-BNK9,
Class
XA,
0.90%,
11/15/54
........................
3,381
72,711
BBCMS
Mortgage
Trust
Series
2020-C7,
Class
XA,
1.73%,
04/15/53
2,977
173,932
Series
2020-C7,
Class
XB,
1.10%,
04/15/53
1,000
51,348
Series
2023-C20,
Class
XA,
1.07%,
07/15/56
.....................
11,994
640,279
Benchmark
Mortgage
Trust
Series
2020-B17,
Class
XB,
(1-mo.
LIBOR
USD
at
0.00%
Floor
+
0.00%),
0.65%,
03/15/53
.....................
15,395
344,127
Series
2023-V3,
Class
XA,
1.05%,
07/15/56
19,994
596,708
Citigroup
Commercial
Mortgage
Trust,
Series
2020-420K,
Class
X,
0.91%,
11/10/42
(b)
...
3,975
171,009
CSAIL
Commercial
Mortgage
Trust
Series
2018-C14,
Class
XA,
0.67%,
11/15/51
.....................
1,041
19,754
Series
2019-C16,
Class
XA,
1.70%,
06/15/52
.....................
3,872
231,853
MIRA
Trust,
Series
2023-MILE,
Class
X,
0.25%,
06/10/38
(b)
......................
28,000
102,771
ORL
Trust,
Series
2023-GLKS,
Class
XCP,
0.50%,
10/19/36
(b)
.................
115,920
254,839
UBS
Commercial
Mortgage
Trust,
Series
2019-
C17,
Class
XA,
1.58%,
10/15/52
.......
3,117
186,130
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2017-C41,
Class
XA,
1.30%,
11/15/50
....
3,572
115,483
2,960,944
Total
Non-Agency
Mortgage-Backed
Securities
-
38
.2
%
(Cost:
$
150,518,990
)
..............................
142,900,984
U.S.
Government
Sponsored
Agency
Securities
Collateralized
Mortgage
Obligations
-
0.2%
Federal
Home
Loan
Mortgage
Corp.
,
Series
4161
,
Class
BW
,
2.50
%
,
02/15/43
......
200
164,005
Federal
Home
Loan
Mortgage
Corp.
Variable
Rate
Notes
,
Series
2411
,
Class
FJ
,
(SOFR
30
day
Average
at
0.35%
Floor
and
9.00%
Cap
+
0.46%),
5.79
%
,
12/15/29
(e)
.......
2
1,630
Federal
National
Mortgage
Association
Series
2010-134
,
Class
KZ
,
4.50
%
,
12/25/40
108
92,635
Series
2010-141
,
Class
LZ
,
4.50
%
,
12/25/40
222
198,530
Series
2011-131
,
Class
LZ
,
4.50
%
,
12/25/41
153
134,600
Federal
National
Mortgage
Association
Variable
Rate
Notes
,
Series
2018-32
,
Class
PS
,
(SOFR
30
day
Average
at
0.00%
Floor
and
7.23%
Cap
+
7.10%),
0.88
%
,
05/25/48
(e)
..
155
123,035
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
Government
National
Mortgage
Association
,
Series
2019-29
,
Class
HY
,
3.50
%
,
03/20/49
USD
100
$
75,998
Government
National
Mortgage
Association
Variable
Rate
Notes
,
Series
2014-107
,
Class
WX
,
6.63
%
,
07/20/39
(e)
..............
140
141,626
932,059
Commercial
Mortgage-Backed
Securities
-
0.1%
Federal
Home
Loan
Mortgage
Corp.
Variable
Rate
Notes
,
Series
2018-W5FX
,
Class
CFX
,
(1-mo.
LIBOR
USD
+
0.00%),
3.79
%
,
04/25/28
(b)
(e)
................
288
243,614
Government
National
Mortgage
Association
,
Series
2019-53
,
Class
V
,
2.75
%
,
08/16/31
.
159
142,321
385,935
Interest
Only
Collateralized
Mortgage
Obligations
-
5.0%
Federal
Home
Loan
Mortgage
Corp.
Series
4062
,
Class
GI
,
4.00
%
,
02/15/41
..
71
2,641
Series
5159
,
Class
PI
,
3.00
%
,
11/25/51
...
843
123,566
Federal
Home
Loan
Mortgage
Corp.
Variable
Rate
Notes
(e)
Series
4119
,
Class
SC
,
(SOFR
30
day
Average
at
0.00%
Floor
and
6.15%
Cap
+
6.04%),
0.71
%
,
10/15/42
..........
610
49,881
Series
4901
,
Class
CS
,
(SOFR
30
day
Average
at
0.00%
Floor
and
6.10%
Cap
+
5.99%),
0.66
%
,
07/25/49
..........
435
32,556
Series
4941
,
Class
SH
,
(SOFR
30
day
Average
at
0.00%
Floor
and
5.95%
Cap
+
5.84%),
0.51
%
,
12/25/49
..........
416
31,121
Federal
National
Mortgage
Association
Series
2013-10
,
Class
PI
,
3.00
%
,
02/25/43
444
50,962
Series
2014-68
,
Class
YI
,
4.50
%
,
11/25/44
.
196
38,660
Series
2017-68
,
Class
IE
,
4.50
%
,
09/25/47
565
99,506
Series
2020-32
,
Class
PI
,
4.00
%
,
05/25/50
5,101
1,073,830
Series
2021-23
,
Class
CI
,
3.50
%
,
07/25/46
578
101,640
Series
2021-41
,
3.50
%
,
07/25/51
.......
690
121,496
Series
2024-7
,
Class
IA
,
3.50
%
,
11/25/49
.
24,689
3,098,026
Federal
National
Mortgage
Association
Variable
Rate
Notes
(e)
Series
2016-60
,
Class
SD
,
(SOFR
30
day
Average
at
0.00%
Floor
and
6.10%
Cap
+
5.99%),
0.66
%
,
09/25/46
..........
830
38,608
Series
2016-78
,
Class
CS
,
(SOFR
30
day
Average
at
0.00%
Floor
and
6.10%
Cap
+
5.99%),
0.66
%
,
05/25/39
..........
1,057
49,205
Government
National
Mortgage
Association
Series
2021-58
,
Class
IY
,
3.00
%
,
02/20/51
.
17,643
2,771,916
Series
2021-64
,
Class
IH
,
3.00
%
,
02/20/51
19,389
2,969,638
Series
2021-97
,
Class
LI
,
3.00
%
,
08/20/50
.
21,130
3,330,233
Series
2021-104
,
Class
IH
,
3.00
%
,
06/20/51
1,007
161,002
Series
2022-88
,
Class
IA
,
3.00
%
,
08/20/50
28,368
4,493,452
Government
National
Mortgage
Association
Variable
Rate
Notes
,
Series
2017-101
,
Class
SL
,
(1-mo.
CME
Term
SOFR
at
0.00%
Floor
and
6.20%
Cap
+
6.09%),
0.77
%
,
07/20/47
(e)
371
34,491
18,672,430
Interest
Only
Commercial
Mortgage-Backed
Securities
-
0.3%
(e)
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes
Series
K110
,
Class
X1
,
1.81
%
,
04/25/30
..
5,303
402,551
Series
KPLB2
,
Class
X
,
0.44
%
,
06/25/33
..
16,982
364,427
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
16
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Interest
Only
Commercial
Mortgage-Backed
Securities
(continued)
Government
National
Mortgage
Association
Variable
Rate
Notes
Series
2016-151
,
0.85
%
,
06/16/58
......
USD
6,985
$
296,728
Series
2020-43
,
1.26
%
,
11/16/61
.......
2,103
155,723
1,219,429
Mortgage-Backed
Securities
-
48.8%
Federal
Home
Loan
Mortgage
Corp.
2.50
%
,
03/01/30
-
04/01/31
...........
461
429,849
3.00
%
,
09/01/27
-
12/01/46
...........
295
263,592
3.50
%
,
12/01/41
-
01/01/48
...........
1,045
934,914
4.00
%
,
08/01/40
-
12/01/45
...........
312
287,240
4.50
%
,
07/01/26
-
09/01/48
...........
431
409,055
5.00
%
,
05/01/35
-
02/01/42
...........
563
547,417
5.50
%
,
02/01/35
-
06/01/41
...........
301
299,901
6.00
%
,
08/01/28
-
11/01/39
...........
11
11,021
Federal
National
Mortgage
Association
3.50
%
,
11/01/46
..................
307
274,276
4.00
%
,
01/01/41
..................
26
23,598
6.00
%
,
07/01/39
..................
230
230,629
Federal
National
Mortgage
Association
Variable
Rate
Notes
(e)
3.07
%
,
09/01/27
..................
159
149,678
3.22
%
,
03/01/27
..................
485
460,888
Government
National
Mortgage
Association
2.00
%
,
05/15/54
(g)
.................
6,013
4,730,830
2.50
%
,
05/15/54
(g)
.................
6,080
4,983,708
3.00
%
,
02/15/45
-
01/20/51
...........
656
560,484
3.50
%
,
01/15/42
-
10/20/46
...........
794
713,018
3.50
%
,
05/15/54
(g)
.................
2,498
2,200,199
4.00
%
,
04/20/39
-
06/20/50
...........
2,484
2,278,030
4.50
%
,
09/20/39
-
04/20/47
...........
1,410
1,345,335
5.00
%
,
12/15/34
-
07/20/44
...........
964
946,122
5.50
%
,
07/15/38
-
12/20/41
...........
328
331,024
6.50
%
,
10/15/38
-
02/20/41
...........
105
107,904
Uniform
Mortgage-Backed
Securities
1.50
%
,
05/25/39
-
05/25/54
(g)
..........
8,437
6,541,799
2.00
%
,
10/01/31
-
03/01/32
...........
403
365,615
2.00
%
,
05/25/39
-
05/25/54
(g)
..........
24,410
18,732,388
2.50
%
,
04/01/30
-
03/01/32
...........
754
700,761
2.50
%
,
05/25/39
-
05/25/54
(g)
..........
24,981
19,908,286
3.00
%
,
04/01/28
-
08/01/50
...........
1,943
1,768,391
3.00
%
,
05/25/54
(g)
.................
11,620
9,593,336
3.50
%
,
11/01/27
-
06/01/52
...........
6,976
6,077,489
3.50
%
,
05/25/54
(g)
.................
12,068
10,400,584
4.00
%
,
08/01/31
-
05/01/52
...........
5,100
4,648,882
4.00
%
,
05/25/54
(g)
.................
5,178
4,631,073
4.50
%
,
07/01/24
-
07/01/53
...........
18,231
16,876,351
4.50
%
,
05/25/54
(g)
.................
3,082
2,839,799
5.00
%
,
06/01/26
-
02/01/54
...........
21,091
20,076,953
5.50
%
,
05/01/34
-
03/01/53
...........
11,661
11,435,517
6.00
%
,
12/01/32
-
09/01/40
...........
296
299,407
6.50
%
,
09/01/36
-
02/01/54
(h)
..........
14,907
15,091,937
7.00
%
,
02/01/54
..................
9,912
10,151,575
182,658,855
Principal
Only
Collateralized
Mortgage
Obligations
-
0.5%
Government
National
Mortgage
Association
,
Series
2023-130
,
Class
OD
,
0.00
%
,
09/20/53
..................
2,162
1,735,767
Total
U.S.
Government
Sponsored
Agency
Securities
-
54
.9
%
(Cost:
$
212,263,307
)
..............................
205,604,475
Total
Long-Term
Investments
-
105.6%
(Cost:
$
412,321,740
)
..............................
395,441,543
Security
Shares
Shares
Value
Short-Term
Securities
Money
Market
Funds
-
0.6%
Dreyfus
Treasury
Prime
Cash
Management
Institutional
Shares
,
5.21
%
(i)
..........
2,343,007
$
2,343,007
Total
Money
Market
Funds
-
0
.6
%
(Cost:
$
2,343,007
)
...............................
2,343,007
Par
(000)
Pa
r
(
000)
U.S.
Treasury
Obligations
-
14.7%
U.S.
Treasury
Bills
,
5.26
%
,
05/14/24
(j)
......
USD
55,049
54,944,238
Total
U.S.
Treasury
Obligations
-
14
.7
%
(Cost:
$
54,945,110
)
...............................
54,944,238
Total
Short-Term
Securities
-
15.3%
(Cost:
$
57,288,117
)
...............................
57,287,245
Total
Investments
Before
Options
Written
and
TBA
Sale
Commitments
-
120
.9
%
(Cost:
$
469,609,857
)
..............................
452,728,788
Total
Options
Written
-
(
0
.1
)
%
(Premium
Received
-
$
(
312,180
)
)
....................
(
192,555
)
TBA
Sale
Commitments
(g)
Mortgage-Backed
Securities
-
(
2
.1
)
%
Government
National
Mortgage
Association
,
6.00
%
,
05/15/54
..................
(
5,160
)
(
5,173,003
)
Uniform
Mortgage-Backed
Securities
,
4.50
%
,
05/25/54
..................
(
3,082
)
(
2,839,799
)
Total
TBA
Sale
Commitments
-
(
2
.1
)
%
(Proceeds:
$
(
8,026,350
)
)
...........................
(8,012,802)
Total
Investments
Net
of
Options
Written
and
TBA
Sale
Commitments
-
118
.7
%
(Cost:
$
461,271,327
)
..............................
444,523,431
Liabilities
in
Excess
of
Other
Assets
-
(
18.7
)
%
............
(
69,965,315
)
Net
Assets
-
100.0%
...............................
$
374,558,116
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
17
(a)
Step
coupon
security.
Coupon
rate
will
either
increase
(step-up
bond)
or
decrease
(step-down
bond)
at
regular
intervals
until
maturity.
Interest
rate
shown
reflects
the
rate
currently
in
effect.
(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)
Zero-coupon
bond.
(d)
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
(e)
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.
(f)
This
security
may
be
resold
to
qualified
foreign
investors
and
foreign
institutional
buyers
under
Regulation
S
of
the
Securities
Act
of
1933.
(g)
Represents
or
includes
a
TBA
transaction.
(h)
All
or
a
portion
of
the
security
has
been
pledged
as
collateral
in
connection
with
outstanding
TBA
commitments.
(i)
Annualized
7-day
yield
as
of
period
end.
(j)
Rates
are
discount
rates
or
a
range
of
discount
rates
as
of
period
end.
For
purposes
of
this
report,
industry
and
sector
sub-classifications
may
differ
from
those
utilized
by
the
Fund
for
compliance
purposes.
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
18
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
Ultra
Bond
.....................................................
35
06/18/24
$
4,188
$
(
224,723
)
U.S.
Treasury
2-Year
Note
....................................................
426
06/28/24
86,348
(
624,161
)
U.S.
Treasury
5-Year
Note
....................................................
537
06/28/24
56,268
(
246,308
)
(
1,095,192
)
Short
Contracts
3-mo.
SOFR
.............................................................
2
06/18/24
473
672
U.S.
Treasury
10-Year
Note
...................................................
303
06/18/24
32,563
379,749
U.S.
Treasury
10-Year
Ultra
Note
...............................................
84
06/18/24
9,262
304,865
U.S.
Treasury
Long
Bond
.....................................................
25
06/18/24
2,848
16,369
3-mo.
SOFR
.............................................................
2
09/17/24
473
297
3-mo.
SOFR
.............................................................
2
12/17/24
474
5,035
706,987
$
(
388,205
)
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
10-Year
Interest
Rate
Swap
(a)
4.04%
Semi-Annual
1-day
SOFR
Annual
Goldman
Sachs
International
09/26/24
4
.04
%
USD
2,150
$
(
28,775
)
10-Year
Interest
Rate
Swap
(a)
4.08%
Semi-Annual
1-day
SOFR
Annual
Bank
of
America
NA
09/30/24
4
.08
USD
2,150
(
31,848
)
(
60,623
)
Put
10-Year
Interest
Rate
Swap
(a)
1-day
SOFR
Annual
4.04%
Semi-Annual
Goldman
Sachs
International
09/26/24
4
.04
USD
2,150
(
67,658
)
10-Year
Interest
Rate
Swap
(a)
1-day
SOFR
Annual
4.08%
Semi-Annual
Bank
of
America
NA
09/30/24
4
.08
USD
2,150
(
64,274
)
(
131,932
)
$
(
192,555
)
(a)
Forward
settling
swaption.
Centrally
Cleared
Interest
Rate
Swap
s
Paid
by
the
Fund
Received
by
the
Fund
Rate
Frequency
Rate
Frequency
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
0.18%
Quarterly
1-day
EFFR
Quarterly
10/21/25
USD
159
$
11,244
$
-
$
11,244
1-day
SOFR
Quarterly
0.17%
Quarterly
10/21/25
USD
159
(
11,285
)
-
(
11,285
)
1-day
SOFR
Annual
4.15%
Annual
12/13/25
USD
10,300
(
199,784
)
-
(
199,784
)
0.56%
Quarterly
1-day
EFFR
Quarterly
10/21/30
USD
47
9,929
-
9,929
1-day
SOFR
Quarterly
0.53%
Quarterly
10/21/30
USD
47
(
10,100
)
-
(
10,100
)
1-day
SOFR
Annual
3.80%
Annual
02/07/34
USD
1,400
(
62,647
)
-
(
62,647
)
$
(
262,643
)
$
-
$
(
262,643
)
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
19
OTC
Credit
Default
Swap
s
-
Buy
Protection
Reference
Obligation/Index
Financing
Rate
Paid
by
the
Fund
Payment
Frequency
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
CMBX.NA.9.BBB-
.........
3
.00
%
Monthly
JPMorgan
Securities
LLC
09/17/58
USD
3,100
$
533,458
$
285,263
$
248,195
$
-
$
-
$
-
OTC
Credit
Default
Swap
s
-
Sell
Protection
Reference
Obligation/Index
Financing
Rate
Received
by
the
Fund
Payment
Frequency
Counterparty
Termination
Date
Credit
Rating
(a)
Notional
Amount
(000)
(b)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
CMBX.NA.9.A
........
2
.00
%
Monthly
Goldman
Sachs
International
09/17/58
A
USD
275
$
(
15,651
)
$
(
4,754
)
$
(
10,897
)
CMBX.NA.9.A
........
2
.00
Monthly
Morgan
Stanley
&
Co.
International
plc
09/17/58
A
USD
275
(
15,651
)
(
4,828
)
(
10,823
)
CMBX.NA.9.BBB-
.....
3
.00
Monthly
Deutsche
Bank
AG
09/17/58
BBB-
USD
2,197
(
378,067
)
(
221,274
)
(
156,793
)
CMBX.NA.9.BBB-
.....
3
.00
Monthly
Goldman
Sachs
International
09/17/58
BBB-
USD
903
(
155,391
)
(
35,951
)
(
119,440
)
CMBX.NA.15.BBB-
....
3
.00
Monthly
Morgan
Stanley
&
Co.
International
plc
11/18/64
BBB-
USD
500
(
83,541
)
(
89,318
)
5,777
$
(
648,301
)
$
(
356,125
)
$
(
292,176
)
(a)
Using
the
rating
of
the
issuer
or
the
underlying
securities
of
the
index,
as
applicable,
provided
by
S&P
Global
Ratings.
(b)
The
maximum
potential
amount
the
Fund
may
pay
should
a
negative
credit
event
take
place
as
defined
under
the
terms
of
the
agreement.
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1-day
EFFR
.........................................
Effective
Federal
Funds
Rate
5
.33
%
1-day
SOFR
.........................................
Secured
Overnight
Financing
Rate
5
.33
Balances
Reported
in
the
Statement
of
Assets
and
Liabilities
for
Centrally
Cleared
Swaps,
OTC
Swaps
and
Options
Written
Description
Swap
Premiums
Paid
Swap
Premiums
Received
Unrealized
Appreciation
Unrealized
Depreciation
Value
Centrally
Cleared
Swaps
(a)
............................................
$
-
$
-
$
21,173
$
(
283,816
)
$
-
OTC
Swaps
.....................................................
285,263
(
356,125
)
253,972
(
297,953
)
-
Options
Written
...................................................
N/A
N/A
119,625
-
(
192,555
)
(a)
Includes
cumulative
appreciation
(depreciation)
on
centrally
cleared
swaps,
as
reported
in
the
Schedule
of
Investments.
Only
current
day's
variation
margin
is
reported
within
the
Statement
of
Assets
and
Liabilities
and
is
net
of
any
previously
paid
(received)
swap
premium
amounts.
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
20
Derivative
Financial
Instruments
Categorized
by
Risk
Exposure
For
more
information
about
the
Fund's
investment
risks
regarding
derivative
financial
instruments,
refer
to
the
Notes
to
Financial
Statements.
As
of
period
end,
the
fair
values
of
derivative
financial
instruments
located
in
the
Statement
of
Assets
and
Liabilities
were
as
follows:
Commodity
Contracts
Credit
Contracts
Equity
Contracts
Foreign
Currency
Exchange
Contracts
Interest
Rate
Contracts
Other
Contracts
Total
Assets
-
Derivative
Financial
Instruments
Futures
contracts
Unrealized
appreciation
on
futures
contracts
(a)
......
$
-
$
-
$
-
$
-
$
706,987
$
-
$
706,987
Swaps
-
centrally
cleared
Unrealized
appreciation
on
centrally
cleared
swaps
(a)
.
-
-
-
-
21,173
-
21,173
Swaps
-
OTC
Unrealized
appreciation
on
OTC
swaps;
Swap
premiums
paid
................................
-
539,235
-
-
-
-
539,235
$
-
$
539,235
$
-
$
-
$
728,160
$
-
$
1,267,395
Liabilities
-
Derivative
Financial
Instruments
Futures
contracts
Unrealized
depreciation
on
futures
contracts
(a)
......
$
-
$
-
$
-
$
-
$
1,095,192
$
-
$
1,095,192
Options
written
(b)
Options
written
at
value
.....................
-
-
-
-
192,555
-
192,555
Swaps
-
centrally
cleared
Unrealized
depreciation
on
centrally
cleared
swaps
(a)
.
-
-
-
-
283,816
-
283,816
Swaps
-
OTC
Unrealized
depreciation
on
OTC
swaps;
Swap
premiums
received
.............................
-
654,078
-
-
-
-
654,078
$
-
$
654,078
$
-
$
-
$
1,571,563
$
-
$
2,225,641
(a)
Net
cumulative
unrealized
appreciation
(depreciation)
on
futures
contracts
and
centrally
cleared
swaps,
if
any,
are
reported
in
the
Schedule
of
Investments.
In
the
Statement
of
Assets
and
Liabilities,
only
current
day's
variation
margin
is
reported
in
receivables
or
payables
and
the
net
cumulative
unrealized
appreciation
(depreciation)
is
included
in
accumulated
earnings
(loss).
(b)
Includes
forward
settling
swaptions.
For
the
period
ended
April
30,
2024,
the
effect
of
derivative
financial
instruments
in
the
Statement
of
Operations
was
as
follows:
Commodity
Contracts
Credit
Contracts
Equity
Contracts
Foreign
Currency
Exchange
Contracts
Interest
Rate
Contracts
Other
Contracts
Total
Net
Realized
Gain
(Loss)
from
Futures
c
ontracts
.......................
$
-
$
-
$
-
$
-
$
(
118,436
)
$
-
$
(
118,436
)
Options
written
........................
-
-
-
-
462,976
-
462,976
Swaps
..............................
-
96,156
-
-
(
711,019
)
-
(
614,863
)
$
-
$
96,156
$
-
$
-
$
(366,479)
$
-
$
(270,323)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Futures
c
ontracts
.......................
$
-
$
-
$
-
$
-
$
153,291
$
-
$
153,291
Options
written
........................
-
-
-
-
130,027
-
130,027
Swaps
..............................
-
81,491
-
-
(
321,507
)
-
(
240,016
)
$
-
$
81,491
$
-
$
-
$
(38,189)
$
-
$
43,302
Average
Quarterly
Balances
of
Outstanding
Derivative
Financial
Instruments
Futures
contracts
Average
notional
value
of
contracts
-
long
..................................................................................
$
54,069,571
Average
notional
value
of
contracts
-
short
.................................................................................
$
58,178,377
Options
Average
notional
value
of
swaption
contracts
written
...........................................................................
$
26,025,000
Credit
default
swaps
Average
notional
value
-
buy
protection
...................................................................................
$
3,100,000
Average
notional
value
-
sell
protection
...................................................................................
$
4,231,750
Interest
rate
swaps
Average
notional
value
-
pays
fixed
rate
...................................................................................
$
206,279
Average
notional
value
-
receives
fixed
rate
................................................................................
$
17,031,279
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
21
Derivative
Financial
Instruments
-
Offsetting
as
of
Period
End
Fair
Value
Hierarchy
as
of Period
End
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
For
a
description
of
the
input
levels
and
information
about
the
Fund's
policy
regarding
valuation
of
financial
instruments,
refer
to
the
Notes
to
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.
The
Fund's
derivative
assets
and
liabilities
(by
type)
were
as
follows:
Assets
Liabilities
Derivative
Financial
Instruments
$
-
Futures
contracts
....................................................................................
$
231,385
$
319,462
Options
(a)
.........................................................................................
-
192,555
Swaps
-
centrally
cleared
..............................................................................
-
10,013
Swaps
-
OTC
(b)
.....................................................................................
539,235
654,078
Total
derivative
assets
and
liabilities
in
the
Statement
of
Assets
and
Liabilities
.............................................
$
770,620
$
1,176,108
Derivatives
not
subject
to
a
Master
Netting
Agreement
or
similar
agreement
("MNA")
........................................
(
231,385
)
(
329,475
)
Total
derivative
assets
and
liabilities
subject
to
an
MNA
............................................................
$
539,235
$
846,633
(a)
Includes
forward
settling
swaptions.
(b)
Includes
unrealized
appreciation
(depreciation)
on
OTC
swaps
and
swap
premiums
(paid/received)
in
the
Statement
of
Assets
and
Liabilities.
The
following
tables
present
the
Fund's
derivative
assets
and
liabilities
by
counterparty
net
of
amounts
available
for
offset
under
an
MNA
and
net
of
the
related
collateral
received
and
pledged
by
the
Fund:
Counterparty
Derivative
Assets
Subject
to
an
MNA
by
Counterparty
Derivatives
Available
for
Offset
(a)
Non-cash
Collateral
Received
Cash
Collateral
Received
(b)
Net
Amount
of
Derivative
Assets
JPMorgan
Securities
LLC
...........................
$
533,458
$
-
$
-
$
(
533,458
)
$
-
Morgan
Stanley
&
Co.
International
plc
..................
5,777
(
5,777
)
-
-
-
$
539,235
$
(
5,777
)
$
-
$
(
533,458
)
$
-
Counterparty
Derivative
Liabilities
Subject
to
an
MNA
by
Counterparty
Derivatives
Available
for
Offset
(a)
Non-cash
Collateral
Pledged
Cash
Collateral
Pledged
(b)
Net
Amount
of
Derivative
Liabilities
(c)
Bank
of
America
NA
..............................
$
96,122
$
-
$
-
$
-
$
96,122
Deutsche
Bank
AG
...............................
378,067
-
-
(
378,067
)
-
Goldman
Sachs
International
........................
267,475
-
-
(
267,475
)
-
Morgan
Stanley
&
Co.
International
plc
..................
104,969
(
5,777
)
-
(
99,192
)
-
$
846,633
$
(
5,777
)
$
-
$
(
744,734
)
$
96,122
(a)
The
amount
of
derivatives
available
for
offset
is
limited
to
the
amount
of
derivative
assets
and/or
liabilities
that
are
subject
to
an
MNA.
(b)
Excess
of
collateral
received/pledged,
if
any,
from
the
individual
counterparty
is
not
shown
for
financial
reporting
purposes.
(c)
Net
amount
represents
the
net
amount
payable
due
to
the
counterparty
in
the
event
of
default.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Asset-Backed
Securities
....................................
$
-
$
46,485,047
$
12,975
$
46,498,022
Corporate
Bonds
........................................
-
438,062
-
438,062
Non-Agency
Mortgage-Backed
Securities
........................
-
141,503,336
1,397,648
142,900,984
U.S.
Government
Sponsored
Agency
Securities
....................
-
205,604,475
-
205,604,475
Short-Term
Securities
Money
Market
Funds
......................................
2,343,007
-
-
2,343,007
U.S.
Treasury
Obligations
...................................
-
54,944,238
-
54,944,238
2024
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
April
30,
2024
BlackRock
U.S.
Mortgage
Portfolio
22
See
notes
to
financial
statements.
Level
1
Level
2
Level
3
Total
Liabilities
Investments
TBA
Sale
Commitments
....................................
$
-
$
(
8,012,802
)
$
-
$
(
8,012,802
)
$
2,343,007
$
440,962,356
$
1,410,623
$
444,715,986
Derivative
Financial
Instruments
(a)
Assets
Credit
contracts
...........................................
$
-
$
253,972
$
-
$
253,972
Interest
rate
contracts
.......................................
706,987
21,173
-
728,160
Liabilities
Credit
contracts
...........................................
-
(
297,953
)
-
(
297,953
)
Interest
rate
contracts
.......................................
(
1,095,192
)
(
476,371
)
-
(
1,571,563
)
$
(
388,205
)
$
(
499,179
)
$
-
$
(
887,384
)
(a)
Derivative
financial
instruments
are
swaps,
futures
contracts
and
options
written.
Swaps
and
futures
contracts
are
valued
at
the
unrealized
appreciation
(depreciation)
on
the
instrument
and
options
written
are
shown
at
value.
Fair
Value
Hierarchy
as
of Period
End
(continued)
Statement
of
Assets
and
Liabilities
April
30,
2024
23
Financial
Statements
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
ASSETS
Investments,
at
value
-
unaffiliated
(a)
........................................................................................
$
452,728,788
Cash
.............................................................................................................
5,028
Cash
pledged:
-
Collateral
-
OTC
derivatives
............................................................................................
1,042,000
Futures
contracts
....................................................................................................
814,000
Centrally
cleared
swaps
................................................................................................
197,150
Receivables:
-
Investments
sold
....................................................................................................
7,788,667
Swaps
..........................................................................................................
37
TBA
sale
commitments
................................................................................................
8,026,350
Capital
shares
sold
...................................................................................................
561,533
Dividends
-
unaffiliated
...............................................................................................
9,825
Interest
-
unaffiliated
.................................................................................................
1,573,955
From
the
Manager
...................................................................................................
29,061
Variation
margin
on
futures
contracts
.......................................................................................
231,385
Swap
premiums
paid
...................................................................................................
285,263
Unrealized
appreciation
on:
-
OTC
swaps
........................................................................................................
253,972
Prepaid
e
xpenses
.....................................................................................................
39,844
Total
a
ssets
.........................................................................................................
473,586,858
LIABILITIES
Cash
received:
-
Collateral
-
OTC
derivatives
............................................................................................
560,000
Options
written,
at
value
(b)
................................................................................................
192,555
TBA
sale
commitments,
at
value
(c)
...........................................................................................
8,012,802
Payables:
-
Investments
purchased
................................................................................................
87,965,919
Capital
shares
redeemed
...............................................................................................
831,978
Income
dividend
distributions
............................................................................................
95,161
Investment
advisory
fees
..............................................................................................
98,466
Trustees'
and
Officer's
fees
.............................................................................................
4
Professional
fees
....................................................................................................
57,445
Service
and
distribution
fees
.............................................................................................
3,539
Variation
margin
on
futures
contracts
.......................................................................................
319,462
Variation
margin
on
centrally
cleared
swaps
..................................................................................
10,013
Other
accrued
expenses
...............................................................................................
227,320
Swap
premiums
received
................................................................................................
356,125
Unrealized
depreciation
on:
-
OTC
swaps
........................................................................................................
297,953
Total
li
abilities
........................................................................................................
99,028,742
Commitments
and
contingent
liabilities
$
-
NET
ASSETS
........................................................................................................
$
374,558,116
NET
ASSETS
CONSIST
OF:
Paid-in
capital
........................................................................................................
$
422,638,956
Accumulated
loss
.....................................................................................................
(
48,080,840
)
NET
ASSETS
........................................................................................................
$
374,558,116
(a)
Investments,
at
cost
-
unaffiliated
.................................................................................
$
469,609,857
(b)
Premiums
received
...........................................................................................
$
312,180
(c)
Proceeds
received
from
TBA
sale
commitments
.........................................................................
$
8,026,350
Statement
of
Assets
and
Liabilities
(continued)
April
30,
2024
2024
BlackRock
Annual
Report
to
Shareholders
24
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
NET
ASSET
VALUE
Institutional
Net
assets
.........................................................................................................
$
359,472,441
Shares
outstanding
..................................................................................................
41,545,399
Net
asset
value
.....................................................................................................
$
8.65
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Investor
A
Net
assets
.........................................................................................................
$
14,099,515
Shares
outstanding
..................................................................................................
1,632,380
Net
asset
value
.....................................................................................................
$
8.64
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Investor
C
Net
assets
.........................................................................................................
$
986,160
Shares
outstanding
..................................................................................................
114,151
Net
asset
value
.....................................................................................................
$
8.64
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Statement
of
Operations
Year
Ended
April
30,
2024
25
Financial
Statements
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
INVESTMENT
INCOME
Dividends
-
unaffiliated
...............................................................................................
$
137,013
Interest
-
unaffiliated
.................................................................................................
16,683,558
Total
investment
income
.................................................................................................
16,820,571
EXPENSES
Investment
advisory
..................................................................................................
1,135,498
Transfer
agent
-
class
specific
..........................................................................................
288,710
Registration
.......................................................................................................
93,807
Professional
.......................................................................................................
84,977
Accounting
services
..................................................................................................
64,486
Service
and
distribution
-
class
specific
....................................................................................
53,093
Printing
and
postage
.................................................................................................
27,381
Custodian
.........................................................................................................
14,134
Trustees
and
Officer
..................................................................................................
4,811
Miscellaneous
......................................................................................................
82,965
Total
expenses
excluding
interest
expense
.....................................................................................
1,849,862
Interest
expense
....................................................................................................
1,499
Total
expenses
.......................................................................................................
1,851,361
Less:
-
Fees
waived
and/or
reimbursed
by
the
Manager
...............................................................................
(
211,435
)
Transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
-
class
specific
..........................................................
(
285,429
)
Total
expenses
after
fees
waived
and/or
reimbursed
..............................................................................
1,354,497
Net
investment
income
..................................................................................................
15,466,074
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
$
(
11,416,692
)
Net
realized
gain
(loss)
from:
$
-
Investments
-
unaffiliated
...........................................................................................
(
8,477,469
)
Futures
contracts
..................................................................................................
(
118,436
)
Options
written
...................................................................................................
462,976
Swaps
.........................................................................................................
(
614,863
)
A
(8,747,792)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investments
-
unaffiliated
...........................................................................................
(
2,712,201
)
Futures
contracts
..................................................................................................
153,291
Options
written
...................................................................................................
130,027
Swaps
.........................................................................................................
(
240,016
)
A
(2,668,899)
Net
realized
and
unrealized
loss
............................................................................................
(11,416,691)
NET
INCREASE
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
..................................................................
$
4,049,383
Statements
of
Changes
in
Net
Assets
2024
BlackRock
Annual
Report
to
Shareholders
26
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
Year
Ended
04/30/24
Year
Ended
04/30/23
INCREASE
(DECREASE)
IN
NET
ASSETS
OPERATIONS
Net
investment
income
..............................................................................
$
15,466,074
$
10,277,376
Net
realized
loss
..................................................................................
(
8,747,792
)
(
9,848,369
)
Net
change
in
unrealized
appreciation
(depreciation)
..........................................................
(
2,668,899
)
(
1,894,409
)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
.....................................................
4,049,383
(1,465,402
)
DISTRIBUTIONS
TO
SHAREHOLDERS
(a)
Institutional
.....................................................................................
(
14,247,700
)
(
9,669,534
)
Investor
A
......................................................................................
(
858,680
)
(
739,871
)
Investor
C
......................................................................................
(
46,570
)
(
51,980
)
Decrease
in
net
assets
resulting
from
distributions
to
shareholders
...................................................
(15,152,950
)
(10,461,385
)
CAPITAL
SHARE
TRANSACTIONS
Net
increase
in
net
assets
derived
from
capital
share
transactions
...................................................
106,111,249
37,352,511
NET
ASSETS
Total
increase
in
net
assets
.............................................................................
95,007,682
25,425,724
Beginning
of
year
....................................................................................
279,550,434
254,124,710
End
of
year
........................................................................................
$
374,558,116
$
279,550,434
(a)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
Financial
Highlights
(For
a
share
outstanding
throughout
each
period)
27
Financial
Highlights
(a)
Based
on
average
shares
outstanding.
(b)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
(c)
Where
applicable,
assumes
the
reinvestment
of
distributions.
(d)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(e)
Includes
non-recurring
expenses
of
proxy costs.
Without
these
costs,
total
expenses,
total
expenses
after
fees
waived
and/or
reimbursed,
and
total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense would
have
been
0.56%,
0.45%
and
0.45%,
respectively.
(f)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Institutional
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Net
asset
value,
beginning
of
year
.............................
$
8.93
$
9.47
$
10.46
$
10.07
$
10.04
Net
investment
income
(a)
...................................
0
.48
0
.36
0
.22
0
.27
0
.28
Net
realized
and
unrealized
gain
(loss)
..........................
(
0
.29
)
(
0
.55
)
(
0
.97
)
0
.43
0
.08
Net
increase
(decrease)
from
investment
operations
..................
0.19
(0.19
)
(0.75
)
0.70
0.36
Distributions
from
net
investment
income
(b)
......................
(0.47
)
(0.35
)
(0.24
)
(0.31
)
(0.33
)
Net
asset
value,
end
of
year
.................................
$
8.65
$
8.93
$
9.47
$
10.46
$
10.07
Total
Return
(c)
Based
on
net
asset
value
....................................
2.18
%
(1.91
)%
(7.33
)%
7.07
%
3.61
%
Ratios
to
Average
Net
Assets
(d)
Total
expen
ses
...........................................
0.63
%
0.59
%
0.58
%
(e)
0.58
%
0.81
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.46
%
0.45
%
0.47
%
(e)
0.45
%
0.68
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..............................................
0.46
%
0.45
%
0.47
%
(e)
0.45
%
0.45
%
Net
investment
income
.....................................
5.47
%
3.94
%
2.10
%
2.65
%
2.73
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
359,472
$
259,479
$
227,622
$
242,171
$
221,437
Portfolio
turnover
rate
(f)
......................................
361
%
533
%
937
%
1,196
%
1,334
%
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Portfolio
turnover
rate
(excluding
MDRs)
...........................................
72%
140%
378%
654%
860%
See
notes
to
financial
statements.
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
2024
BlackRock
Annual
Report
to
Shareholders
28
(a)
Based
on
average
shares
outstanding.
(b)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
(c)
Where
applicable,
excludes
the
effects
of
any
sales
charges
and
assumes
the
reinvestment
of
distributions.
(d)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(e)
Includes
non-recurring
expenses
of
proxy costs.
Without
these
costs,
total
expenses,
total
expenses
after
fees
waived
and/or
reimbursed,
and
total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense would
have
been
0.89%,
0.70%
and
0.70%,
respectively.
(f)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Investor
A
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Net
asset
value,
beginning
of
year
.............................
$
8.92
$
9.46
$
10.44
$
10.05
$
10.02
Net
investment
income
(a)
...................................
0
.45
0
.32
0
.19
0
.25
0
.25
Net
realized
and
unrealized
gain
(loss)
..........................
(
0
.29
)
(
0
.53
)
(
0
.96
)
0
.43
0
.09
Net
increase
(decrease)
from
investment
operations
..................
0.16
(0.21
)
(0.77
)
0.68
0.34
Distributions
from
net
investment
income
(b)
......................
(0.44
)
(0.33
)
(0.21
)
(0.29
)
(0.31
)
Net
asset
value,
end
of
year
.................................
$
8.64
$
8.92
$
9.46
$
10.44
$
10.05
Total
Return
(c)
Based
on
net
asset
value
....................................
1.92
%
(2.16
)%
(7.49
)%
6.81
%
3.35
%
Ratios
to
Average
Net
Assets
(d)
Total
expen
ses
...........................................
0.92
%
0.92
%
0.92
%
(e)
0.90
%
1.14
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.71
%
0.70
%
0.72
%
(e)
0.70
%
0.93
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..............................................
0.71
%
0.70
%
0.72
%
(e)
0.70
%
0.70
%
Net
investment
income
.....................................
5.18
%
3.59
%
1.86
%
2.43
%
2.50
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
14,100
$
18,940
$
23,728
$
25,047
$
21,913
Portfolio
turnover
rate
(f)
......................................
361
%
533
%
937
%
1,196
%
1,334
%
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Portfolio
turnover
rate
(excluding
MDRs)
...........................................
72%
140%
378%
654%
860%
See
notes
to
financial
statements.
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
29
Financial
Highlights
(a)
Based
on
average
shares
outstanding.
(b)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
(c)
Where
applicable,
excludes
the
effects
of
any
sales
charges
and
assumes
the
reinvestment
of
distributions.
(d)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(e)
Includes
non-recurring
expenses
of
proxy costs.
Without
these
costs,
total
expenses,
total
expenses
after
fees
waived
and/or
reimbursed,
and
total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense would
have
been
1.64%,
1.45%
and
1.45%,
respectively.
(f)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Investor
C
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Net
asset
value,
beginning
of
year
.............................
$
8.92
$
9.46
$
10.44
$
10.05
$
10.02
Net
investment
income
(a)
...................................
0
.39
0
.24
0
.12
0
.18
0
.18
Net
realized
and
unrealized
gain
(loss)
..........................
(
0
.29
)
(
0
.52
)
(
0
.96
)
0
.42
0
.08
Net
increase
(decrease)
from
investment
operations
..................
0.10
(0.28
)
(0.84
)
0.60
0.26
Distributions
from
net
investment
income
(b)
......................
(0.38
)
(0.26
)
(0.14
)
(0.21
)
(0.23
)
Net
asset
value,
end
of
year
.................................
$
8.64
$
8.92
$
9.46
$
10.44
$
10.05
Total
Return
(c)
Based
on
net
asset
value
....................................
1.16
%
(2.89
)%
(8.18
)%
6.01
%
2.58
%
Ratios
to
Average
Net
Assets
(d)
Total
expen
ses
...........................................
1.67
%
1.69
%
1.67
%
(e)
1.66
%
1.89
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
1.46
%
1.45
%
1.47
%
(e)
1.45
%
1.68
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..............................................
1.46
%
1.45
%
1.47
%
(e)
1.45
%
1.45
%
Net
investment
income
.....................................
4.45
%
2.68
%
1.12
%
1.72
%
1.75
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
986
$
1,132
$
2,775
$
4,177
$
6,258
Portfolio
turnover
rate
(f)
......................................
361
%
533
%
937
%
1,196
%
1,334
%
Year
Ended
04/30/24
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Portfolio
turnover
rate
(excluding
MDRs)
...........................................
72%
140%
378%
654%
860%
See
notes
to
financial
statements.
Notes
to
Financial
Statements
2024
BlackRock
Annual
Report
to
Shareholders
30
1.
ORGANIZATION
Managed
Account
Series
II (the
"Trust")
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
"1940
Act"),
as
an
open-end
management
investment
company.
The Trust
is
organized
as
a Delaware
statutory trust.
BlackRock
U.S.
Mortgage
Portfolio
(the
"Fund")
is
a
series
of
the
Trust.
The
Fund
is
classified
as
diversified.
The
Fund
offers
multiple
classes
of
shares.
All
classes
of
shares
have
identical
voting,
dividend,
liquidation
and
other
rights
and
are
subject
to
the
same
terms
and
conditions,
except
that
certain
classes
bear
expenses
related
to
the
shareholder
servicing
and
distribution
of
such
shares.
Institutional
Shares
are
sold
only
to
certain
eligible
investors.
Investor
A
and
Investor
C
Shares
bear
certain
expenses
related
to
shareholder
servicing
of
such
shares,
and
Investor
C
Shares
also
bear
certain
expenses
related
to
the
distribution
of
such
shares.
Investor
A
and
Investor
C
Shares
are
generally
available
through
financial
intermediaries.
Each
class
has
exclusive
voting
rights
with
respect
to
matters
relating
to
its
shareholder
servicing
and
distribution
expenditures
(except
that
Investor
C
shareholders
may
vote
on
material
changes
to
the
Investor
A
Shares
distribution
and
service
plan).
(a)
Investor
A
Shares
may
be
subject
to
a
CDSC
for
certain
redemptions
where
no
initial
sales
charge
was
paid
at
the
time
of
purchase.
(b)
A
CDSC
of
1.00%
is
assessed
on
certain
redemptions
of
Investor
C
Shares
made
within
one
year
after
purchase.
The
Fund,
together
with
certain
other
registered
investment
companies
advised
by
BlackRock
Advisors,
LLC
(the
"Manager") or
its
affiliates,
is
included
in
a
complex
of
funds
referred
to
as
the BlackRock
Fixed-Income
Complex.
2.
SIGNIFICANT
ACCOUNTING
POLICIES
The
financial
statements
are
prepared
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America
("U.S.
GAAP"),
which
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities
in
the
financial
statements,
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
increases
and
decreases
in
net
assets
from
operations
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
Fund
is
considered
an
investment
company
under
U.S.
GAAP
and
follows
the
accounting
and
reporting
guidance
applicable
to
investment
companies.
Below
is
a
summary
of
significant
accounting
policies:
Investment
Transactions
and
Income
Recognition:
For
financial
reporting
purposes,
investment
transactions
are
recorded
on
the
dates
the
transactions
are
executed
(the
"trade
dates")
.
Realized
gains
and
losses
on
investment
transactions
are
determined
using
the
specific
identification
method.
Dividend
income
and
capital
gain
distributions,
if
any,
are
recorded
on
the
ex-dividend
dates.
Non-cash
dividends,
if
any,
are
recorded
on
the
ex-dividend
dates
at
fair
value.
Interest
income,
including
amortization
and
accretion
of
premiums
and
discounts
on
debt
securities,
is
recognized
daily
on
an
accrual
basis.
Income,
expenses
and
realized
and
unrealized
gains
and
losses
are
allocated
daily
to
each
class
based
on
its
relative
net
assets.
Bank
Overdraft:
The
Fund
had
outstanding
cash
disbursements
exceeding
deposited
cash
amounts
at
the
custodian
during
the
reporting
period.
The
Fund
is
obligated
to
repay
the
custodian
for
any
overdraft,
including
any
related
costs
or
expenses,
where
applicable.
For
financial
reporting
purposes,
overdraft
fees,
if
any,
are
included
in
interest
expense
in
the
Statement
of
Operations.
Collateralization:
If
required
by
an
exchange
or
counterparty
agreement,
the
Fund
may
be
required
to
deliver/deposit
cash
and/or
securities
to/with
an
exchange,
or
broker-
dealer
or
custodian
as
collateral
for
certain
investments.
Distributions:
Distributions
from
net
investment
income
are
declared daily
and
paid
monthly.
Distributions
of
capital
gains
are
recorded
on
the
ex-dividend
dates
and
made
at
least
annually.
The
character
and
timing
of
distributions
are
determined
in
accordance
with
U.S.
federal
income
tax
regulations,
which
may
differ
from
U.S.
GAAP.
Deferred
Compensation
Plan:
Under
the
Deferred
Compensation
Plan
(the
"Plan")
approved
by
the
Board
of
Trustees
of
the
Trust
(the
"Board"), the
trustees
who
are
not
"interested
persons"
of
the
Fund,
as
defined
in
the
1940
Act
("Independent
Trustees
"),
may
defer
a
portion
of
their
annual
complex-wide
compensation.
Deferred
amounts
earn
an
approximate
return
as
though
equivalent
dollar
amounts
had
been
invested
in
common
shares
of
certain
funds
in
the
BlackRock
Fixed-Income
Complex
selected
by
the
Independent
Trustees
.
This
has
the
same
economic
effect
for
the
Independent
Trustees
as
if
the
Independent
Trustees
had
invested
the
deferred
amounts
directly
in
certain
funds
in
the
BlackRock
Fixed-Income
Complex.
The
Plan
is
not
funded
and
obligations
thereunder
represent
general
unsecured
claims
against
the
general
assets
of
the
Fund,
as
applicable.
Deferred
compensation
liabilities,
if
any, are
included
in
the Trustees'
and
Officer's
fees
payable
in
the
Statement
of
Assets
and
Liabilities
and
will
remain
as
a
liability
of
the
Fund
until
such
amounts
are
distributed
in
accordance
with
the
Plan.
Net
appreciation
(depreciation)
in
the
value
of
participants'
deferral
accounts
is
allocated
among
the
participating
funds
in
the
BlackRock
Fixed-Income
Complex
and
reflected
as
Trustee
and
Officer
expense
on
the
Statement
of
Operations.
The
Trustee
and
Officer
expense
may
be
negative
as
a
result
of
a
decrease
in
value
of
the
deferred
accounts.
Indemnifications:
In
the
normal
course
of
business,
the
Fund
enters
into
contracts
that
contain
a
variety
of
representations
that
provide
general
indemnification.
The
Fund's
maximum
exposure
under
these
arrangements
is
unknown
because
it
involves
future
potential
claims
against
the
Fund,
which
cannot
be
predicted
with
any
certainty.
Other:
Expenses
directly
related
to the
Fund
or
its
classes
are
charged
to
the
Fund
or
the
applicable
class.
Expenses
directly
related
to
the
Fund
and
other
shared
expenses
prorated
to
the
Fund
are
allocated
daily
to
each
class
based
on
its
relative
net
assets
or
other
appropriate
methods.
Other
operating
expenses
shared
by
several
funds,
including
other
funds
managed
by
the
Manager,
are
prorated
among
those
funds
on
the
basis
of
relative
net
assets
or
other
appropriate
methods.
Share
Class
Initial
Sales
Charge
Contingent
Deferred
Sales
Charge
("CDSC")
Conversion
Privilege
Institutional
Shares
...........................................
No
No
None
Investor
A
Shares
............................................
Yes
No
(a)
None
Investor
C
Shares
...........................................
No
Yes
(b)
To
Investor
A
Shares
after
approximately
8
years
Notes
to
Financial
Statements
(continued)
31
Notes
to
Financial
Statements
3.
INVESTMENT
VALUATION
AND
FAIR
VALUE
MEASUREMENTS
Investment
Valuation
Policies:
The
Fund's
investments
are
valued
at
fair
value
(also
referred
to
as
"market
value"
within
the
financial
statements)
each
day
that
the
Fund
is
open
for
business
and,
for
financial
reporting
purposes,
as
of
the
report
date.
U.S.
GAAP
defines
fair
value
as
the
price
a
fund
would
receive
to
sell
an
asset
or
pay
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
The
Board
has
approved
the
designation
of
the
Fund's
Manager
as
the
valuation
designee
for
the
Fund.
The
Fund
determines
the
fair
values
of
its
financial
instruments
using
various
independent
dealers
or
pricing
services
under
the
Manager's
policies.
If
a
security's
market
price
is
not
readily
available
or
does
not
otherwise
accurately
represent
the
fair
value
of
the
security,
the
security
will
be
valued
in
accordance
with
the
Manager's
policies
and
procedures
as
reflecting
fair
value.
The
Manager
has
formed
a
committee
(the
"Valuation
Committee")
to
develop
pricing
policies
and
procedures
and
to
oversee
the
pricing
function
for
all
financial
instruments,
with
assistance
from
other
BlackRock
pricing
committees.
Fair
Value
Inputs
and
Methodologies:
The
following
methods
and
inputs
are
used
to
establish
the
fair
value
of
the
Fund's
assets
and
liabilities:
Fixed-income investments
for
which
market
quotations
are
readily
available
are
generally
valued
using
the
last
available
bid
price
or
current
market
quotations
provided
by
independent
dealers
or
third-party
pricing
services. Pricing
services
generally
value
fixed-income
securities
assuming
orderly
transactions
of
an
institutional
round
lot
size,
but
a
fund
may
hold
or
transact
in
such
securities
in
smaller,
odd
lot
sizes.
Odd
lots
may
trade
at
lower
prices
than
institutional
round
lots.
The
pricing
services
may
use
matrix
pricing
or
valuation
models
that
utilize
certain
inputs
and
assumptions
to
derive
values,
including
transaction
data
(e.g.,
recent
representative
bids
and
offers),
market
data, credit
quality
information,
perceived
market
movements,
news,
and
other
relevant
information.
Certain
fixed-income
securities,
including
asset-
backed
and
mortgage
related
securities
may
be
valued
based
on
valuation
models
that
consider
the
estimated
cash
flows
of
each
tranche
of
the
entity,
establish
a
benchmark
yield
and
develop
an
estimated
tranche
specific
spread
to
the
benchmark
yield
based
on
the
unique
attributes
of
the
tranche.
The
amortized
cost
method
of
valuation
may
be
used
with
respect
to
debt
obligations
with
sixty
days
or
less
remaining
to
maturity
unless
the
Manager
determines
such
method
does
not
represent
fair
value.
Investments
in
open-end
U.S.
mutual
funds
(including
money
market
funds) are
valued
at
that
day's
published net
asset
value
("NAV").
Futures
contracts
are valued
based
on
that
day's
last
reported
settlement
or
trade price
on
the
exchange
where
the
contract
is
traded.
Exchange-traded
options
are
valued
at
the
mean
between
the
last bid
and
ask
prices
at
the
close
of
the
options
market in
which
the
options
trade.
An
exchange-
traded
option
for
which there
is
no
mean
price
is
valued
at
the
last
bid
(long
positions)
or
ask
(short
positions)
price.
If
no
bid
or
ask
price
is
available,
the
prior
day's
price will
be
used,
unless
it
is
determined
that
the
prior
day's
price
no
longer
reflects
the
fair
value
of
the
option.
Over-the-counter
("OTC")
options
and
options
on
swaps
("swaptions")
are
valued
by
an
independent
pricing
service
using
a
mathematical
model,
which
incorporates
a
number
of
market
data
factors,
such
as
the
trades
and
prices
of
the
underlying
instruments.
Swap
agreements
are
valued
utilizing
quotes
received
daily
by
independent pricing
services
or
through
brokers,
which
are
derived
using
daily
swap
curves
and
models
that
incorporate
a
number
of
market
data
factors,
such
as
discounted
cash
flows,
trades
and
values
of
the
underlying
reference
instruments.
If
events
(e.g.,
market
volatility,
company
announcement or
a
natural
disaster)
occur
that
are
expected
to
materially
affect
the
value
of
such
investment,
or
in
the
event
that application
of
these
methods
of
valuation
results
in
a
price
for
an
investment
that
is
deemed
not
to
be
representative
of
the
market
value
of
such
investment,
or
if
a
price
is
not
available,
the
investment
will
be
valued
by
the
Valuation
Committee
in
accordance
with the
Manager's policies
and
procedures
as
reflecting
fair
value
("Fair
Valued
Investments").
The
fair
valuation
approaches
that
may
be
used
by
the
Valuation
Committee include
market
approach,
income
approach
and
cost
approach.
Valuation
techniques
such
as
discounted
cash
flow,
use
of
market
comparables
and
matrix
pricing
are
types
of
valuation
approaches
and
are
typically
used
in
determining
fair
value.
When
determining
the
price
for
Fair
Valued
Investments,
the
Valuation
Committee
seeks
to
determine
the
price
that
the
Fund
might
reasonably
expect
to
receive
or
pay
from
the
current
sale
or
purchase
of
that
asset
or
liability
in
an
arm's-length
transaction.
Fair
value
determinations
shall
be
based
upon
all
available
factors
that
the
Valuation
Committee
deems
relevant
and
consistent
with
the
principles
of
fair
value
measurement.
For
investments
in
equity
or
debt
issued
by
privately
held
companies
or
funds
("Private
Company"
or
collectively,
the
"Private
Companies")
and
other
Fair
Valued
Investments,
the
fair
valuation
approaches
that
are
used
by
the
Valuation
Committee
and
third-party
pricing
services
utilized
by
the
Valuation
Committee
include one
or
a
combination
of,
but
not
limited
to,
the
following
inputs.
Investments
in
series
of
preferred
stock
issued
by
Private
Companies
are
typically
valued
utilizing
market
approach
in
determining
the
enterprise
value
of
the
company.
Such
investments
often
contain
rights
and
preferences
that
differ
from
other
series
of
preferred
and
common
stock
of
the
same
issuer.
Enterprise
valuation
techniques
such
as
an
option
pricing
model
("OPM"),
a
probability
weighted
expected
return
model
("PWERM"),
current
value
method or
a
hybrid
of
those
techniques
are
used
as
deemed
Standard
Inputs
Generally
Considered
By
The
Valuation
Committee
And
Third-Party
Pricing
Services
Market
approach
........................
(i)
recent
market
transactions,
including
subsequent
rounds
of
financing,
in
the
underlying
investment
or
comparable
issuers;
(ii) recapitalizations
and
other
transactions
across
the
capital
structure;
and
(iii)
market
multiples
of
comparable
issuers.
Income
approach
..........................
(i)
future
cash
flows
discounted
to
present
and
adjusted
as
appropriate
for
liquidity,
credit,
and/or
market
risks;
(ii) quoted
prices
for
similar
investments
or
assets
in
active
markets;
and
(iii)
other
risk
factors,
such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
loss
severities,
credit
risks,
recovery
rates,
liquidation
amounts
and/or
default
rates.
Cost
approach
............................
(i)
audited
or
unaudited
financial
statements,
investor
communications
and
financial
or
operational
metrics
issued
by
the
Private
Company;
(ii) changes
in
the
valuation
of
relevant
indices
or
publicly
traded
companies
comparable
to
the
Private
Company;
(iii)
relevant
news
and
other
public
sources;
and
(iv)
known
secondary
market
transactions
in
the
Private
Company's
interests
and
merger
or
acquisition
activity
in
companies
comparable
to
the
Private
Company.
Notes
to
Financial
Statements
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
32
appropriate
under
the
circumstances.
The
use
of these
valuation techniques
involves
a
determination
of
the
exit
scenarios
of
the
investment
in
order
to
appropriately
allocate
the
enterprise
value
of
the
company
among
the
various
parts
of
its
capital
structure.
The
Private
Companies
are
not
subject
to
the
public
company
disclosure,
timing,
and
reporting
standards
applicable
to other
investments
held
by the
Fund.
Typically,
the
most
recently
available
information
by
a
Private
Company
is
as
of
a
date
that
is
earlier
than
the
date the
Fund
is
calculating
its
NAV.
This
factor
may
result
in
a
difference
between
the
value
of
the
investment
and
the
price the
Fund
could
receive
upon
the
sale
of
the
investment.
Fair
Value
Hierarchy:
Various
inputs
are
used
in
determining
the
fair
value
of
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
Private
Companies
that
may
not
have
a
secondary
market
and/or
may
have
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.
4.
SECURITIES
AND
OTHER
INVESTMENTS
Asset-Backed
and
Mortgage-Backed
Securities:
Asset-backed
securities
are
generally
issued
as
pass-through
certificates
or
as
debt
instruments.
Asset-backed
securities
issued
as
pass-through
certificates
represent
undivided
fractional
ownership
interests
in
an
underlying
pool
of
assets.
Asset-backed
securities
issued
as
debt
instruments,
which
are
also
known
as
collateralized
obligations,
are
typically
issued
as
the
debt
of
a
special
purpose
entity
organized
solely
for
the
purpose
of
owning
such
assets
and
issuing
such
debt.
Asset-backed
securities
are
often
backed
by
a
pool
of
assets
representing
the
obligations
of
a
number
of
different
parties.
The
yield
characteristics
of
certain
asset-backed
securities
may
differ
from
traditional
debt
securities.
One
such
major
difference
is
that
all
or
a
principal
part
of
the
obligations
may
be
prepaid
at
any
time
because
the
underlying
assets
(i.e.,
loans)
may
be
prepaid
at
any
time.
As
a
result,
a
decrease
in
interest
rates
in
the
market
may
result
in
increases
in
the
level
of
prepayments
as
borrowers,
particularly
mortgagors,
refinance
and
repay
their
loans.
An
increased
prepayment
rate
with
respect
to
an
asset-backed
security
will
have
the
effect
of
shortening
the
maturity
of
the
security.
In
addition,
a
fund
may
subsequently
have
to
reinvest
the
proceeds
at
lower
interest
rates.
If
a
fund
has
purchased
such
an
asset-backed
security
at
a
premium,
a
faster
than
anticipated
prepayment
rate
could
result
in
a
loss
of
principal
to
the
extent
of
the
premium
paid.
For
mortgage
pass-through
securities
(the
"Mortgage
Assets")
there
are
a
number
of
important
differences
among
the
agencies
and
instrumentalities
of
the
U.S.
Government
that
issue
mortgage-related
securities
and
among
the
securities
that
they
issue.
For
example,
mortgage-related
securities
guaranteed
by
Ginnie
Mae
are
guaranteed
as
to
the
timely
payment
of
principal
and
interest
by
Ginnie
Mae
and
such
guarantee
is
backed
by
the
full
faith
and
credit
of
the
United
States.
However,
mortgage-related
securities
issued
by
Freddie
Mac
and
Fannie
Mae,
including
Freddie
Mac
and
Fannie
Mae
guaranteed
mortgage
pass-through
certificates,
which
are
solely
the
obligations
of
Freddie
Mac
and
Fannie
Mae,
are
not
backed
by
or
entitled
to
the
full
faith
and
credit
of
the
United
States,
but
are
supported
by
the
right
of
the
issuer
to
borrow
from
the
U.S.
Treasury.
Non-agency
mortgage-backed
securities
are
securities
issued
by
non-governmental
issuers
and
have
no
direct
or
indirect
government
guarantees
of
payment
and
are
subject
to
various
risks.
Non-agency
mortgage
loans
are
obligations
of
the
borrowers
thereunder
only
and
are
not
typically
insured
or
guaranteed
by
any
other
person
or
entity.
The
ability
of
a
borrower
to
repay
a
loan
is
dependent
upon
the
income
or
assets
of
the
borrower.
A
number
of
factors,
including
a
general
economic
downturn,
acts
of
God,
terrorism,
social
unrest
and
civil
disturbances,
may
impair
a
borrower's
ability
to
repay
its
loans.
Collateralized
Debt
Obligations:
Collateralized
debt
obligations
("CDOs"),
including
collateralized
bond
obligations
("CBOs")
and
collateralized
loan
obligations
("CLOs"),
are
types
of
asset-backed
securities.
A
CDO
is
an
entity
that
is
backed
by
a
diversified
pool
of
debt
securities
(CBOs)
or
syndicated
bank
loans
(CLOs).
The
cash
flows
of
the
CDO
can
be
split
into
multiple
segments,
called
"tranches,"
which
will
vary
in
risk
profile
and
yield.
The
riskiest
segment
is
the
subordinated
or
"equity"
tranche.
This
tranche
bears
the
greatest
risk
of
defaults
from
the
underlying
assets
in
the
CDO
and
serves
to
protect
the
other,
more
senior,
tranches
from
default
in
all
but
the
most
severe
circumstances.
Since
it
is
shielded
from
defaults
by
the
more
junior
tranches,
a
"senior"
tranche
will
typically
have
higher
credit
ratings
and
lower
yields
than
their
underlying
securities,
and
often
receive
investment
grade
ratings
from
one
or
more
of
the
nationally
recognized
rating
agencies.
Despite
the
protection
from
the
more
junior
tranches,
senior
tranches
can
experience
substantial
losses
due
to
actual
defaults,
increased
sensitivity
to
future
defaults
and
the
disappearance
of
one
or
more
protecting
tranches
as
a
result
of
changes
in
the
credit
profile
of
the
underlying
pool
of
assets.
Multiple
Class
Pass-Through
Securities:
Multiple
class
pass-through
securities,
including
collateralized
mortgage
obligations
("CMOs")
and
commercial
mortgage-backed
securities,
may
be
issued
by
Ginnie
Mae,
U.S.
Government
agencies
or
instrumentalities
or
by
trusts
formed
by
private
originators
of,
or
investors
in,
mortgage
loans.
In
general,
CMOs
are
debt
obligations
of
a
legal
entity
that
are
collateralized
by
a
pool
of
residential
or
commercial
mortgage
loans
or
Mortgage
Assets.
The
payments
on
these
are
used
to
make
payments
on
the
CMOs
or
multiple
pass-through
securities.
Multiple
class
pass-through
securities
represent
direct
ownership
interests
in
the
Mortgage
Assets.
Classes
of
CMOs
include
interest
only
("IOs"),
principal
only
("POs"),
planned
amortization
classes
and
targeted
amortization
classes.
IOs
and
POs
are
stripped
mortgage-backed
securities
representing
interests
in
a
pool
of
mortgages,
the
cash
flow
from
which
has
been
separated
into
interest
and
principal
components.
IOs
receive
Notes
to
Financial
Statements
(continued)
33
Notes
to
Financial
Statements
the
interest
portion
of
the
cash
flow
while
POs
receive
the
principal
portion.
IOs
and
POs
can
be
extremely
volatile
in
response
to
changes
in
interest
rates.
As
interest
rates
rise
and
fall,
the
value
of
IOs
tends
to
move
in
the
same
direction
as
interest
rates.
POs
perform
best
when
prepayments
on
the
underlying
mortgages
rise
since
this
increases
the
rate
at
which
the
principal
is
returned
and
the
yield
to
maturity
on
the
PO.
When
payments
on
mortgages
underlying
a
PO
are
slower
than
anticipated,
the
life
of
the
PO
is
lengthened
and
the
yield
to
maturity
is
reduced.
If
the
underlying
Mortgage
Assets
experience
greater
than
anticipated
prepayments
of
principal,
a
fund's
initial
investment
in
the
IOs
may
not
fully
recoup.
Stripped
Mortgage-Backed
Securities:
Stripped
mortgage-backed
securities
are
typically
issued
by
the
U.S.
Government,
its
agencies
and
instrumentalities.
Stripped
mortgage-backed
securities
are
usually
structured
with
two
classes
that
receive
different
proportions
of
the
interest
(IOs)
and
principal
(POs)
distributions
on
a
pool
of
Mortgage
Assets.
Stripped
mortgage-backed
securities
may
be
privately
issued.
TBA
Commitments:
TBA
commitments
are
forward
agreements
for
the
purchase
or
sale
of
securities,
including
mortgage-backed
securities
for
a
fixed
price,
with
payment
and
delivery
on
an
agreed
upon
future
settlement
date.
The
specific
securities
to
be
delivered
are
not
identified
at
the
trade
date.
However,
delivered
securities
must
meet
specified
terms,
including
issuer,
rate
and
mortgage
terms.
When
entering
into
TBA
commitments,
a
fund
may
take
possession
of
or
deliver
the
underlying
mortgage-backed
securities
but
can
extend
the
settlement
or
roll
the
transaction.
TBA
commitments
involve
a
risk
of
loss
if
the
value
of
the
security
to
be
purchased
or
sold
declines
or
increases,
respectively,
prior
to
settlement
date,
if
there
are
expenses
or
delays
in
connection
with
the
TBA
transactions,
or
if
the
counterparty
fails
to
complete
the
transaction.
In
order
to
better
define
contractual
rights
and
to
secure
rights
that
will
help
a
fund
mitigate its
counterparty
risk,
TBA
commitments
may
be
entered
into
by
a
fund
under
Master
Securities
Forward
Transaction
Agreements
(each,
an
"MSFTA").
An
MSFTA
typically
contains,
among
other
things,
collateral
posting
terms
and
netting
provisions
in
the
event
of
default
and/or
termination
event. The
collateral
requirements
are
typically
calculated
by
netting
the
mark-to-market
amount
for
each
transaction
under
such
agreement
and
comparing
that
amount
to
the
value
of
the
collateral
currently
pledged
by
a
fund
and
the
counterparty. Cash
collateral
that
has
been
pledged
to
cover
the
obligations
of
a
fund
and
cash
collateral
received
from
the
counterparty,
if
any,
is
reported
separately
in
the
Statement
of
Assets
and
Liabilities
as
cash
pledged
as
collateral
for
TBA
commitments
or
cash
received
as
collateral
for
TBA
commitments,
respectively.
Non-cash
collateral
pledged
by
a
fund,
if
any,
is
noted
in
the
Schedule
of
Investments. Typically,
a
fund
is
permitted
to
sell,
re-pledge
or
use
the
collateral
it
receives;
however,
the
counterparty
is
not
permitted
to
do
so.
To
the
extent
amounts
due
to
a
fund
are
not
fully
collateralized,
contractually
or
otherwise,
a
fund
bears
the
risk
of
loss
from
counterparty
non-performance.
Mortgage
Dollar
Roll
Transactions
:
The
Fund
may
sell
TBA
mortgage-backed
securities
and
simultaneously
contract
to
repurchase
substantially
similar
(i.e.,
same
type,
coupon
and
maturity)
securities
on
a
specific
future
date
at
an
agreed
upon
price.
During
the
period
between
the
sale
and
repurchase,
a
fund
is
not
entitled
to
receive
interest
and
principal
payments
on
the
securities
sold.
Mortgage
dollar
roll
transactions
are
treated
as
purchases
and
sales
and
a
fund realizes
gains
and
losses
on
these
transactions.
Mortgage
dollar
rolls
involve
the
risk
that
the
market
value
of
the
securities
that
a
fund
is
required
to
purchase
may
decline
below
the
agreed
upon
repurchase
price
of
those
securities.
5.
Derivative
Financial
Instruments
The
Fund
engages
in
various
portfolio
investment
strategies
using
derivative
contracts
both
to
increase
the
returns
of
the
Fund
and/or
to
manage
its
exposure
to
certain
risks
such
as
credit
risk,
equity
risk,
interest
rate
risk,
foreign
currency
exchange
rate
risk,
commodity
price
risk
or
other
risks
(e.g.,
inflation
risk).
Derivative
financial
instruments
categorized
by
risk
exposure
are
included
in
the
Schedule
of
Investments.
These
contracts
may
be
transacted
on
an
exchange or
OTC.
Futures
Contracts:
Futures
contracts
are
purchased
or
sold
to
gain
exposure
to,
or
manage
exposure
to,
changes
in
interest
rates
(interest
rate
risk)
and
changes
in
the
value
of
equity
securities
(equity
risk)
or
foreign
currencies
(foreign
currency
exchange
rate
risk)
.
Futures
contracts
are
exchange-traded agreements
between
the
Fund
and
a
counterparty
to
buy
or
sell
a
specific
quantity
of
an
underlying
instrument
at
a
specified
price
and
on
a
specified
date.
Depending
on
the
terms
of
a
contract,
it
is
settled
either
through
physical
delivery
of
the
underlying
instrument
on
the
settlement
date
or
by
payment
of
a
cash
amount
on
the
settlement
date.
Upon
entering
into
a
futures
contract,
the
Fund
is
required
to
deposit
initial
margin
with
the
broker
in
the
form
of
cash
or
securities
in
an
amount
that
varies
depending
on
a
contract's
size
and
risk
profile.
The
initial
margin
deposit
must
then
be
maintained
at
an
established
level
over
the
life
of
the
contract.
Amounts
pledged,
which
are
considered
restricted,
are
included
in
cash
pledged
for
futures
contracts
in
the Statement
of
Assets
and
Liabilities.
Securities
deposited
as
initial
margin
are
designated
in
the
Schedule
of
Investments
and
cash
deposited,
if
any, are
shown
as
cash
pledged
for
futures
contracts
in
the
Statement
of
Assets
and
Liabilities.
Pursuant
to
the
contract,
the
Fund
agrees
to
receive
from
or
pay
to
the
broker
an
amount
of
cash
equal
to
the
daily
fluctuation
in
market
value
of
the
contract
("variation
margin").
Variation
margin
is
recorded
as
unrealized
appreciation
(depreciation)
and,
if
any,
shown
as
variation
margin
receivable
(or
payable)
on
futures
contracts
in
the
Statement
of
Assets
and
Liabilities.
When
the
contract
is
closed,
a
realized
gain
or
loss
is
recorded
in
the
Statement
of
Operations
equal
to
the
difference
between
the
notional
amount
of
the
contract
at
the
time
it
was
opened
and
the
notional
amount
at
the
time
it
was
closed.
The
use
of
futures
contracts
involves
the
risk
of
an
imperfect
correlation
in
the
movements
in
the
price
of
futures
contracts
and
interest
rates,
foreign
currency
exchange
rates
or
underlying
assets.
Options:
The
Fund
may purchase
and
write
call
and
put
options
to
increase
or
decrease
its
exposure
to
the
risks
of
underlying
instruments,
including
equity
risk,
interest
rate
risk
and/or
commodity
price
risk
and/or,
in
the
case
of
options
written,
to
generate
gains
from
options
premiums.
A
call
option
gives
the
purchaser
(holder)
of
the
option
the
right
(but
not
the
obligation)
to
buy,
and
obligates
the
seller
(writer)
to
sell
(when
the
option
is
exercised)
the
underlying
instrument
at
the
exercise
or
strike
price
at
any
time
or
at
a
specified
time
during
the
option
period.
A
put
option
gives
the
holder
the
right
to
sell
and
obligates
the
writer
to
buy
the
underlying
instrument
at
the
exercise
or
strike
price
at
any
time
or
at
a
specified
time
during
the
option
period.
Premiums
paid
on
options
purchased
and
premiums
received
on
options
written,
as
well
as
the
daily
fluctuation
in
market
value,
are
included
in
investments
at
value
-
unaffiliated
and
options
written
at
value,
respectively,
in
the
Statement
of
Assets
and
Liabilities.
When
an
instrument
is
purchased
or
sold
through
the
exercise
of
an
option,
the
premium
is
offset
against
the
cost
or
proceeds
of
the
underlying
instrument.
When
an
option
expires,
a
realized
gain
or
loss
is
recorded
in
the
Statement
of
Operations
to
the
extent
of
the
premiums
received
or
paid.
When
an
option
is
closed
or
sold,
a
gain
or
loss
is
recorded
in
the
Statement
of
Operations
to
the
extent
the
cost
of
the
closing
transaction
exceeds
the
premiums
received
or
paid.
When
the
Fund
writes
a
call
option,
such
option
is
typically
"covered,"
meaning
that
it
holds
the
underlying
instrument
Notes
to
Financial
Statements
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
34
subject
to
being
called
by
the
option
counterparty.
When
the
Fund
writes
a
put
option,
cash
is
segregated in
an
amount
sufficient
to
cover
the
obligation.
These
amounts,
which
are
considered
restricted,
are
included
in
cash
pledged
as
collateral
for
options
written
in
the
Statement
of
Assets
and
Liabilities.
Swaptions
-
The
Fund
may purchase
and
write
options
on
swaps
("swaptions")
primarily
to
preserve
a
return
or
spread
on
a
particular
investment
or
portion
of
the
Fund's
holdings,
as
a
duration
management
technique
or
to
protect
against
an
increase
in
the
price
of
securities
it
anticipates
purchasing
at
a
later
date.
The
purchaser
and
writer
of
a
swaption
is
buying
or
granting
the
right
to
enter
into
a
previously
agreed
upon
interest
rate
or
credit
default
swap
agreement
(interest
rate
risk
and/or
credit
risk)
at
any
time
before
the
expiration
of
the
option.
In
purchasing
and
writing
options,
the
Fund
bears
the
risk
of
an
unfavorable
change
in
the
value
of
the
underlying
instrument
or
the
risk
that
it
may
not
be
able
to
enter
into
a
closing
transaction
due
to
an
illiquid
market.
Exercise
of
a
written
option
could
result
in
the
Fund
purchasing
or
selling
a
security
when
it
otherwise
would
not,
or
at
a
price
different
from
the
current
market
value.
Swaps:
Swap
contracts
are
entered
into
to
manage
exposure
to
issuers,
markets
and
securities.
Such
contracts
are
agreements
between
the
Fund
and
a
counterparty
to
make
periodic
net
payments
on
a
specified
notional
amount
or
a
net
payment
upon
termination.
Swap
agreements
are
privately
negotiated
in
the
OTC
market
and
may
be
entered
into
as
a
bilateral
contract
("OTC
swaps")
or
centrally
cleared
("centrally
cleared
swaps").
For
OTC
swaps,
any
upfront
premiums
paid
and
any
upfront
fees
received
are
shown
as
swap
premiums
paid
and
swap
premiums
received,
respectively,
in
the
Statement
of
Assets
and
Liabilities
and
amortized
over
the
term
of
the
contract.
The
daily
fluctuation
in
market
value
is
recorded
as
unrealized
appreciation
(depreciation)
on
OTC
swaps
in
the
Statement
of
Assets
and
Liabilities.
Payments
received
or
paid
are
recorded
in
the
Statement
of
Operations
as
realized
gains
or
losses,
respectively.
When
an
OTC
swap
is
terminated,
a
realized
gain
or
loss
is
recorded
in
the
Statement
of
Operations
equal
to
the
difference
between
the
proceeds
from
(or
cost
of)
the
closing
transaction
and
the
Fund's
basis
in
the
contract,
if
any.
Generally,
the
basis
of
the
contract
is
the
premium
received
or
paid.
In
a
centrally
cleared
swap,
immediately
following
execution
of
the
swap
contract,
the
swap
contract
is
novated
to
a
central
counterparty
(the
"CCP")
and
the
CCP
becomes
the Fund's
counterparty
on
the
swap.
The
Fund
is
required
to
interface
with
the
CCP
through
the
broker.
Upon
entering
into
a
centrally
cleared
swap,
the
Fund
is
required
to
deposit
initial
margin
with
the
broker
in
the
form
of
cash
or
securities
in
an
amount
that
varies
depending
on
the
size
and
risk
profile
of
the
particular
swap. Securities
deposited
as
initial
margin
are
designated
in
the
Schedule
of
Investments
and
cash
deposited
is
shown
as
cash
pledged
for
centrally
cleared
swaps
in
the
Statement
of
Assets
and
Liabilities. Amounts
pledged,
which
are
considered
restricted
cash,
are
included
in
cash
pledged
for
centrally
cleared
swaps
in
the
Statement
of
Assets
and
Liabilities.
Pursuant
to
the
contract,
the
Fund
agrees
to
receive
from
or
pay
to
the
broker
variation
margin.
Variation
margin
is
recorded
as
unrealized
appreciation
(depreciation)
and
shown
as
variation
margin
receivable
(or
payable)
on
centrally
cleared
swaps
in
the
Statement
of
Assets
and
Liabilities.
Payments
received
from
(paid
to)
the
counterparty
are
amortized
over
the
term
of
the
contract
and
recorded
as
realized
gains
(losses)
in
the
Statement
of
Operations,
including
those
at
termination.
Credit
default
swaps
-
Credit
default
swaps
are
entered
into
to
manage
exposure
to
the
market
or
certain
sectors
of
the
market,
to
reduce
risk
exposure
to
defaults
of
corporate
and/or
sovereign
issuers
or
to
create
exposure
to
corporate
and/or
sovereign
issuers
to
which
a
fund
is
not
otherwise
exposed
(credit
risk).
The
Fund
may
either
buy
or
sell
(write)
credit
default
swaps
on
single-name
issuers
(corporate
or
sovereign),
a
combination
or
basket
of
single-name
issuers
or
traded
indexes.
Credit
default
swaps
are
agreements
in
which
the
protection
buyer
pays
fixed
periodic
payments
to
the
seller
in
consideration
for
a
promise
from
the
protection
seller
to
make
a
specific
payment
should
a
negative
credit
event
take
place
with
respect
to
the
referenced
entity
(e.g.,
bankruptcy,
failure
to
pay,
obligation
acceleration,
repudiation,
moratorium
or
restructuring).
As
a
buyer,
if
an
underlying
credit
event
occurs,
the
Fund
will
either
(i)
receive
from
the
seller
an
amount
equal
to
the
notional
amount
of
the
swap
and
deliver
the
referenced
security
or
underlying
securities
comprising
the
index,
or
(ii)
receive
a
net
settlement
of
cash
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
security
or
underlying
securities
comprising
the
index.
As
a
seller
(writer),
if
an
underlying
credit
event
occurs,
the
Fund
will
either
pay
the
buyer
an
amount
equal
to
the
notional
amount
of
the
swap
and
take
delivery
of
the
referenced
security
or
underlying
securities
comprising
the
index
or
pay
a
net
settlement
of
cash
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
security
or
underlying
securities
comprising
the
index.
Interest
rate
swaps
-
Interest
rate
swaps
are
entered
into
to
gain
or
reduce
exposure
to
interest
rates
or
to
manage
duration,
the
yield
curve
or
interest
rate
(interest
rate
risk).
Interest
rate
swaps
are
agreements
in
which
one
party
pays
a
stream
of
interest
payments,
either
fixed
or
floating,
in
exchange
for
another
party's
stream
of
interest
payments,
either
fixed
or
floating,
on
the
same
notional
amount
for
a
specified
period
of
time.
In
more
complex
interest
rate
swaps,
the
notional
principal
amount
may
decline
(or
amortize)
over
time.
Swap
transactions
involve,
to
varying
degrees,
elements
of
interest
rate,
credit
and
market
risks
in
excess
of
the
amounts
recognized
in
the
Statement
of
Assets
and
Liabilities.
Such
risks
involve
the
possibility
that
there
will
be
no
liquid
market
for
these
agreements,
that
the
counterparty
to
the
agreements
may
default
on
its
obligation
to
perform
or
disagree
as
to
the
meaning
of
the
contractual
terms
in
the
agreements,
and
that
there
may
be
unfavorable
changes
in
interest
rates
and/or
market
values
associated
with
these
transactions.
Master
Netting
Arrangements:
In
order
to
define
its
contractual
rights
and
to
secure
rights
that
will
help
it mitigate its
counterparty
risk, the
Fund
may
enter
into
an
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreement
("ISDA
Master
Agreement")
or
similar
agreement
with
its
derivative
contract
counterparties.
An
ISDA
Master
Agreement
is
a
bilateral
agreement
between a
Fund
and
a
counterparty
that
governs
certain
OTC
derivatives
and
typically
contains,
among
other
things,
collateral
posting
terms
and
netting
provisions
in
the
event
of
a
default
and/or
termination
event.
Under
an
ISDA
Master
Agreement, a
Fund
may,
under
certain
circumstances,
offset
with
the
counterparty
certain
derivative
financial
instruments'
payables
and/or
receivables
with
collateral
held
and/or
posted
and
create
one
single
net
payment.
The
provisions
of
the
ISDA
Master
Agreement
typically
permit
a
single
net
payment
in
the
event
of
default
including
the
bankruptcy
or
insolvency
of
the
counterparty.
However,
bankruptcy
or
insolvency
laws
of
a
particular
jurisdiction
may
impose
restrictions
on
or
prohibitions
against
the
right
of
offset
in
bankruptcy,
insolvency
or
other
events.
Collateral
Requirements:
For
derivatives
traded
under
an
ISDA
Master
Agreement,
the
collateral
requirements
are
typically
calculated
by
netting
the
mark-to-market
amount
for
each
transaction
under
such
agreement
and
comparing
that
amount
to
the
value
of
any
collateral
currently
pledged
by
the
Fund(s)
and
the
counterparty.
Notes
to
Financial
Statements
(continued)
35
Notes
to
Financial
Statements
Cash
collateral
that
has
been
pledged
to
cover
obligations
of
the
Fund
and
cash
collateral
received
from
the
counterparty,
if
any,
is
reported
separately
in
the
Statement
of
Assets
and
Liabilities
as
cash
pledged
as
collateral
and
cash
received
as
collateral,
respectively.
Non-cash
collateral
pledged
by
the
Fund,
if
any,
is
noted
in
the
Schedule
of
Investments.
Generally,
the
amount
of
collateral
due
from
or
to
a
counterparty
is
subject
to
a
certain
minimum
transfer
amount
threshold
before
a
transfer
is
required,
which
is
determined
at
the
close
of
business
of
the
Fund.
Any
additional
required
collateral
is
delivered
to/pledged
by
the
Fund
on
the
next
business
day.
Typically,
the
counterparty
is
not
permitted
to
sell,
re-pledge
or
use
cash
and
non-cash
collateral
it
receives.
The
Fund
generally
agrees
not
to
use
non-cash
collateral
that
it
receives
but
may,
absent
default
or
certain
other
circumstances
defined
in
the
underlying
ISDA
Master
Agreement,
be
permitted
to
use
cash
collateral
received.
In
such
cases,
interest
may
be
paid
pursuant
to
the
collateral
arrangement
with
the
counterparty.
To
the
extent
amounts
due
to
the
Fund
from the
counterparties
are
not
fully
collateralized, the
Fund bears
the
risk
of
loss
from
counterparty
non-performance.
Likewise,
to
the
extent
the
Fund
has
delivered
collateral
to
a
counterparty
and
stands
ready
to
perform
under
the
terms
of
its
agreement
with
such
counterparty, the
Fund bears the
risk
of
loss
from
a
counterparty
in
the
amount
of
the
value
of
the
collateral
in
the
event
the
counterparty
fails
to
return
such
collateral.
Based
on
the
terms
of
agreements,
collateral
may
not
be
required
for
all
derivative
contracts.
For
financial
reporting
purposes,
the
Fund
does
not
offset
derivative
assets
and
derivative
liabilities
that
are
subject
to
netting
arrangements,
if
any,
in
the
Statement
of
Assets
and
Liabilities.
6.
INVESTMENT
ADVISORY
AGREEMENT
AND
OTHER
TRANSACTIONS
WITH
AFFILIATES
Investment
Advisory:
The
Trust,
on
behalf
of
the
Fund,
entered
into
an
Investment
Advisory
Agreement
with
the
Manager,
the
Fund's
investment
adviser
and
an
indirect,
wholly-owned
subsidiary
of
BlackRock,
Inc.
("BlackRock"),
to
provide
investment
advisory
and
administrative
services.
The
Manager
is
responsible
for
the
management
of the
Fund's
portfolio
and
provides
the
personnel,
facilities,
equipment
and
certain
other
services
necessary
to
the
operations
of the
Fund.
For
such
services,
the
Fund
pays
the
Manager
a
monthly
fee
at
an
annual
rate
equal
to
the
following
percentages
of
the
average
daily
value
of
the
Fund's
net
assets:
Service
and
Distribution
Fees:
The
Trust
,
on behalf
of
the
Fund,
entered
into
a
Distribution
Agreement
and
a Distribution and
Service
Plan
with
BlackRock
Investments,
LLC
("BRIL"),
an
affiliate
of
the
Manager.
Pursuant
to
the
Distribution
and
Service Plan
and
in
accordance
with
Rule
12b-1
under
the
1940
Act, the
Fund
pays
BRIL
ongoing
service
and
distribution
fees.
The
fees
are
accrued
daily
and
paid
monthly
at
annual
rates
based
upon
the
average
daily
net
assets
of
the
relevant
share
class
of the
Fund
as
follows:
BRIL
and
broker-dealers,
pursuant
to
sub-agreements
with
BRIL,
provide
shareholder
servicing
and
distribution
services to
the
Fund.
The
ongoing
service and/or
distribution
fee compensates BRIL
and
each
broker-dealer
for
providing
shareholder
servicing
and/or
distribution related
services
to
shareholders.
For
the year
ended
April
30,
2024,
the
following
table
shows
the
class
specific
service
and
distribution
fees
borne
directly
by
each
share
class
of
the
Fund:
Transfer
Agent:
Pursuant
to
written
agreements,
certain
financial
intermediaries,
some
of
which
may
be
affiliates,
provide
the
Fund
with
sub-accounting,
recordkeeping,
sub-
transfer
agency
and
other
administrative
services
with
respect
to
servicing
of
underlying
investor
accounts.
For
these
services,
these
entities
receive
an
asset-based
fee
or
an
annual
fee
per
shareholder
account,
which
will
vary
depending
on
share
class
and/or
net
assets.
For
the
year ended April
30,
2024,
the
Fund
paid
the
following
amounts
to
affiliates
of
BlackRock
in
return
for
these
services,
which
are
included
in
transfer
agent
-
class
specific
in
the
Statement
of
Operations:
The
Manager
maintains
a
call
center
that
is
responsible
for
providing
certain
shareholder
services
to
the
Fund.
Shareholder
services
include
responding
to
inquiries
and
processing
purchases
and
sales
based
upon
instructions
from
shareholders.
For
the year
ended
April
30,
2024,
the
Fund
reimbursed
the
Manager
the
following
amounts
for
costs
incurred
in
running
the
call
center,
which
are
included
in
transfer
agent
-
class
specific
in
the
Statement
of
Operations:
Average
Daily
Net
Assets
Investment
Advisory
Fees
First
$1
billion
.........................................................................................................
0.40%
$1
billion
-
$3
billion
.....................................................................................................
0.38
$3
billion
-
$5
billion
.....................................................................................................
0.36
$5
billion
-
$10
billion
....................................................................................................
0.35
Greater
than
$10
billion
...................................................................................................
0.34
Share
Class
Service
Fees
Distribution
Fees
Investor
A
.................................................................................................
0.25
%
-
Investor
C
.................................................................................................
0.25
0.75
%
Share
Class
Service
and
Distribution
Fees
-
Class
Specific
Investor
A
........................................................................................................
$
42,380
Investor
C
........................................................................................................
10,713
$
53,093
Institutional
.............................................................................................................
$
412
Investor
A
..............................................................................................................
11
$
423
Institutional
Investor
A
Investor
C
Total
Reimbursed
Amount
.................................................................
$
5,595
$
564
$
132
$
6,291
Notes
to
Financial
Statements
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
36
For
the
year ended
April
30,
2024,
the
following
table
shows
the
class
specific
transfer
agent
fees
borne
directly
by
each
share
class
of
the
Fund:
Other
Fees:
For
the
year
ended
April
30,
2024
,
affiliates
earned
underwriting
discounts,
direct
commissions
and
dealer
concessions
on
sales
of
the Fund's
Investor
A
Shares for
a
total
of
$422
.
For
the year
ended
April
30,
2024,
affiliates
received
CDSCs
as
follows:
Expense
Limitations,
Waivers
and
Reimbursements:
The
Manager
contractually
agreed
to
waive
its
investment
advisory
fees
by
the
amount
of
investment
advisory
fees
the
Fund
pays
to
the
Manager
indirectly
through
its
investment
in
affiliated
money
market
funds
(the
"affiliated
money
market
fund
waiver")
through
June
30,
2025.
The
contractual
agreement
may
be
terminated upon
90
days'
notice
by
a
majority
of
the
Independent
Trustees,
or
by
a
vote
of
a
majority
of
the
outstanding
voting
securities
of
the
Fund.
The
amount
of
waivers
and/or
reimbursements
of
fees
and
expenses
made
pursuant
to
the
expense
limitation
described
below
will
be
reduced
by
the
amount
of
the
affiliated
money
market
fund
waiver. For
the
year
ended
April
30,
2024,
there
were
no
fees
waived
and/or
reimbursed
by
the
Manager
pursuant
to
this
agreement.
The
Manager
has
contractually
agreed
to
waive
its
investment
advisory
fee
with
respect
to
any
portion
of
the
Fund's
assets
invested
in
affiliated
equity
and
fixed-income mutual
funds
and
affiliated
exchange-traded
funds
that
have
a
contractual
management
fee
through
June
30,
2025.
The
contractual
agreement
may
be
terminated
upon
90
days'
notice
by
a
majority
of
the
Independent
Trustees,
or
by
a
vote
of
a
majority
of
the
outstanding
voting
securities
of
the
Fund.
For
the
year
ended
April
30,
2024,
there
were
no
fees
waived
and/or
reimbursed
by
the
Manager
pursuant
to
this
arrangement.
The
Manager
contractually
agreed
to
waive
and/or
reimburse
fees
or
expenses
in
order
to
limit
expenses,
excluding
interest
expense,
dividend
expense,
tax
expense,
acquired
fund
fees
and
expenses,
and
certain
other
fund
expenses,
which
constitute
extraordinary
expenses
not
incurred
in
the
ordinary
course
of
the
Fund's
business
("expense
limitation").
The
expense
limitations
as
a
percentage
of
average
daily
net
assets
are
as
follows:
The
Manager
has
agreed
not
to
reduce
or
discontinue
the
contractual
expense
limitations
through
June
30,
2025,
unless
approved
by
the
Board,
including
a
majority
of
the Independent
Trustees,
or
by
a
vote
of
a
majority
of
the
outstanding
voting
securities
of the
Fund.
For
the
year ended
April
30,
2024,
the
Manager
waived
and/or
reimbursed
investment
advisory
fees
of
$211,435
which
is
included
in
fees
waived
and/or
reimbursed
by
the
Manager
in
the
Statement
of
Operations.
In
addition,
these
amounts
waived
and/or
reimbursed
by
the
Manager are
included
in transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
-
class
specific
in
the
Statement
of
Operations.
For
the
year ended
April
30,
2024,
class
specific
expense
waivers
and/or
reimbursements were as
follows:
Interfund
Lending:
In
accordance
with
an
exemptive
order
(the
"Order")
from
the
U.S.
Securities
and
Exchange
Commission
("SEC"),
the
Fund
may
participate
in
a
joint
lending
and
borrowing
facility
for
temporary
purposes
(the
"Interfund
Lending
Program"),
subject
to
compliance
with
the
terms
and
conditions
of
the
Order,
and
to
the
extent
permitted
by
the
Fund's
investment
policies
and
restrictions.
The
Fund
is
currently
permitted
to
borrow
and
lend
under
the
Interfund
Lending
Program.
A
lending
BlackRock
fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
fund
through
the
Interfund
Lending
Program.
A
borrowing
BlackRock
fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets
(or
any
lower
threshold
provided
for
by
the fund's
investment
restrictions).
If
a
borrowing
BlackRock
fund's
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
each
of
its
outstanding
interfund
loans
will
be
subject
to
collateralization
of
at
least
102%
of
the
outstanding
principal
value
of
the
loan.
All
interfund
loans
are
for
temporary
or
emergency
purposes
and
the
interest
rate
to
be
charged
will
be
the
average
of
the
highest
current
overnight
repurchase
agreement
rate
available
to
a
lending
fund
and
the
bank
loan
rate,
as
calculated
according
to
a
formula
established
by
the
Board.
During the
year
ended
April
30,
2024,
the
Fund
did
not
participate
in
the
Interfund
Lending
Program.
Trustees
and
Officers:
Certain
trustees
and/or
officers
of
the Trust are directors and/or
officers
of BlackRock
or
its
affiliates.
The
Fund
reimburses
the
Manager
for
a
portion
of
the
compensation
paid
to
the
Trust's
Chief
Compliance
Officer,
which
is
included
in
Trustees and
Officer
in
the
Statement
of
Operations.
7.
PURCHASES
AND
SALES
For
the
year ended
April
30,
2024,
purchases
and
sales
of
investments,
including
paydowns/payups
and
mortgage
dollar
rolls,
excluding
short-term
securities,
were $1,345,061,658
and
$1,278,995,299,
respectively.
For
the
year ended
April
30,
2024,
purchases
and
sales
related
to
mortgage
dollar
rolls
were
$1,026,206,602
and
$1,025,147,734,
respectively.
Institutional
Investor
A
Investor
C
Total
Transfer
agent
fees
-
class
specific
.......................................................
$
265,801
$
21,522
$
1,387
$
288,710
Investor
C
$
7
Institutional
Investor
A
Investor
C
Expense
Limitations
.................................................................
0.45%
0.70%
1.45%
Share
Class
Transfer
Agent
Fees
Waived
and/or
Reimbursed
by
the
Manager
-
Class
Specific
Institutional
.......................................................................................................
$
262,651
Investor
A
........................................................................................................
21,401
Investor
C
........................................................................................................
1,377
$
285,429
Notes
to
Financial
Statements
(continued)
37
Notes
to
Financial
Statements
8.
INCOME
TAX
INFORMATION
It
is
the
Fund's
policy
to
comply
with
the
requirements
of
the
Internal
Revenue
Code
of
1986,
as
amended,
applicable
to
regulated
investment
companies,
and
to
distribute
substantially
all
of
its
taxable
income
to
its
shareholders.
Therefore,
no
U.S.
federal
income
tax
provision
is
required.
The
Fund
files
U.S.
federal
and
various
state
and
local
tax
returns.
No
income
tax
returns
are
currently
under
examination.
The
statute
of
limitations
on
the
Fund's
U.S.
federal
tax
returns
generally
remains
open
for
a
period
of
three
years
after
they
are
filed.
The
statutes
of
limitations
on
the
Fund's
state
and
local
tax
returns
may
remain
open
for
an
additional
year
depending
upon
the
jurisdiction.
Management
has
analyzed
tax
laws
and
regulations
and
their
application
to
the Fund
as
of
April
30,
2024,
inclusive
of
the
open
tax
return
years,
and
does
not
believe
that
there
are
any
uncertain
tax
positions
that
require
recognition
of
a
tax
liability
in
the
Fund's
financial
statements.
The
tax
character
of
distributions
paid
was
as
follows:
As
of
April
30,
2024,
the
tax
components
of
accumulated earnings
(loss) were
as
follows:
(a)
Amounts
available
to
offset
future
realized
capital
gains.
(b)
The
difference
between
book-basis
and
tax-basis
net
unrealized
gains
(losses)
was
attributable
primarily
to
the
tax
deferral
of
losses
on
wash
sales,
amortization
and
accretion
methods
of
premiums
and
discounts
on
fixed
income
securities,
the
realization
for
tax
purposes
of
unrealized
gains
(losses)
on
certain
futures
contracts,
the
timing
and
recognition
of
partnership
income
and
the
accounting
for
swap
agreements.
As
of
April
30,
2024, gross
unrealized
appreciation
and
depreciation
based
on
cost
of
investments
(including
short
positions
and
derivatives,
if
any)
for
U.S.
federal
income
tax
purposes
were
as
follows:
9.
BANK
BORROWINGS
The
Trust,
on
behalf
of
the
Fund,
along
with
certain
other
funds
managed
by
the
Manager
and
its
affiliates
("Participating
Funds"), is
party
to
a
364-day,
$2.40
billion
credit
agreement
with
a
group
of
lenders.
Under
this
agreement,
the
Fund
may
borrow
to
fund
shareholder
redemptions.
Excluding
commitments
designated
for
certain
individual
funds,
the
Participating
Funds,
including
the
Fund,
can
borrow
up
to
an
aggregate
commitment
amount
of
$1.75
billion
at
any
time
outstanding,
subject
to
asset
coverage
and
other
limitations
as
specified
in
the
agreement.
The
credit
agreement
has
the
following
terms:
a
fee
of
0.10%
per
annum
on
unused
commitment
amounts
and
interest
at
a
rate
equal
to
the
higher
of
(a)
Overnight
Bank
Funding
Rate
("OBFR")
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.80%
per
annum,
(b)
the
Fed
Funds
rate
(but,
in
any
event,
not
less
than
0.00%)
in
effect
from
time
to
time
plus
0.80%
per
annum
on
amounts
borrowed
or
(c)
the
sum
of
(x)
Daily
Simple
Secured
Overnight
Financing
Rate
("SOFR")
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.10%
and
(y)
0.80%
per
annum. The
agreement
expires
in
April
2025
unless
extended
or
renewed. These
fees
were
allocated
among
such
funds
based
upon
portions
of
the
aggregate
commitment
available
to
them
and
relative
net
assets
of
Participating
Funds.
During
the
year ended
April
30,
2024,
the
Fund
did
not
borrow
under
the
credit
agreement.
10.
PRINCIPAL
RISKS
In
the
normal
course
of
business,
the
Fund
invests
in
securities
or
other
instruments
and
may
enter
into
certain
transactions,
and
such
activities
subject
the
Fund
to
various
risks,
including
among
others,
fluctuations
in
the
market
(market
risk)
or
failure
of
an
issuer
to
meet
all
of
its
obligations.
The
value
of
securities
or
other
instruments
may
also
be
affected
by
various
factors,
including,
without
limitation:
(i)
the
general
economy;
(ii)
the
overall
market
as
well
as
local,
regional
or
global
political
and/or
social
instability;
(iii)
regulation,
taxation
or
international
tax
treaties
between
various
countries;
or
(iv)
currency,
interest
rate
and
price
fluctuations.
Local,
regional
or
global
events
such
as
war,
acts
of
terrorism,
the
spread
of
infectious
illness
or
other
public
health
issues,
recessions,
or
other
events
could
have
a
significant
impact
on
the
Fund
and its
investments.
The
Fund's
prospectus
provides
details
of
the
risks
to
which
the
Fund
is
subject.
Market Risk:
The
Fund
may
be
exposed
to
prepayment
risk,
which
is
the
risk
that
borrowers
may
exercise
their
option
to
prepay
principal
earlier
than
scheduled
during
periods
of
declining
interest
rates,
which
would
force
the
Fund
to
reinvest
in
lower
yielding
securities. The
Fund
may
also
be
exposed
to
reinvestment
risk,
which
is
the
risk
that
income
from
the
Fund's
portfolio
will
decline
if
the Fund
invests
the
proceeds
from
matured,
traded
or
called
fixed-income
securities
at
market
interest
rates
that
are
below
the
Fund
portfolio's
current
earnings
rate.
Valuation
Risk:
The
price the
Fund
could
receive
upon
the
sale
of
any
particular
portfolio
investment
may
differ
from the
Fund's
valuation
of
the
investment,
particularly
for
securities
that
trade
in
thin
or
volatile
markets
or
that
are
valued
using
a
fair
valuation
technique
or
a
price
provided
by
an
independent
pricing
service.
Changes
to
significant
Fund
Name
Year
Ended
04/30/24
Year
Ended
04/30/23
BlackRock
U.S.
Mortgage
Portfolio
Ordinary
income
...........................................................................................
$
15,152,950
$
10,461,385
Fund
Name
Undistributed
Ordinary
Income
Non-Expiring
Capital
Loss
Carryforwards
(a)
Net
Unrealized
Gains
(Losses)
(b)
Total
BlackRock
U.S.
Mortgage
Portfolio
...........................................
$
544,759
$
(30,515,745)
$
(18,109,854)
$
(48,080,840)
Fund
Name
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Appreciation
(Depreciation)
BlackRock
U.S.
Mortgage
Portfolio
.....................................
$
470,718,421
$
4,673,087
$
(22,782,941)
$
(18,109,854)
Notes
to
Financial
Statements
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
38
unobservable
inputs
and
assumptions
(i.e.,
publicly
traded
company
multiples,
growth
rate,
time
to
exit)
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
resulting
fair
value
and
therefore
the
Fund's
results
of
operations.
As
a
result,
the
price
received
upon
the
sale
of
an
investment
may
be
less
than
the
value
ascribed
by the
Fund,
and the
Fund
could
realize
a
greater
than
expected
loss
or
lesser
than
expected
gain
upon
the
sale
of
the
investment. The
Fund's
ability
to
value
its
investments
may
also
be
impacted
by
technological
issues
and/or
errors
by
pricing
services
or
other
third-party
service
providers.
Counterparty
Credit
Risk:
The
Fund
may
be
exposed
to
counterparty
credit
risk,
or
the
risk
that
an
entity
may
fail
to
or
be
unable
to
perform
on
its
commitments
related
to
unsettled
or
open
transactions,
including
making
timely
interest
and/or
principal
payments
or
otherwise
honoring
its
obligations.
The
Fund
manages
counterparty
credit
risk
by
entering
into
transactions
only
with
counterparties
that
the
Manager
believes
have
the
financial
resources
to
honor
their
obligations
and
by
monitoring
the
financial
stability
of
those
counterparties.
Financial
assets,
which
potentially
expose
the
Fund
to
market,
issuer
and
counterparty
credit
risks,
consist
principally
of
financial
instruments
and
receivables
due
from
counterparties.
The
extent
of
the
Fund's
exposure
to
market,
issuer
and
counterparty
credit
risks
with
respect
to
these
financial
assets
is
approximately
their
value
recorded
in
the
Statement
of
Assets
and
Liabilities,
less
any
collateral
held
by
the
Fund.
A
derivative
contract
may
suffer
a
mark-to-market
loss
if
the
value
of
the
contract
decreases
due
to
an
unfavorable
change
in
the
market
rates
or
values
of
the
underlying
instrument.
Losses
can
also
occur
if
the
counterparty
does
not
perform
under
the
contract.
For
OTC
options
purchased,
the
Fund
bears
the
risk
of
loss
in
the
amount
of
the
premiums
paid
plus
the
positive
change
in
market
values
net
of
any
collateral
held
by
the
Fund
should
the
counterparty
fail
to
perform
under
the
contracts.
Options
written
by
the
Fund
do
not
typically
give
rise
to
counterparty
credit
risk,
as
options
written
generally
obligate
the
Fund,
and
not
the
counterparty,
to
perform.
The
Fund
may
be
exposed
to
counterparty
credit
risk
with
respect
to
options
written
to
the
extent
the
Fund
deposits
collateral
with
its
counterparty
to
a
written
option.
With
exchange-traded
futures
and
centrally
cleared
swaps,
there
is
less
counterparty
credit
risk
to
the
Fund
since
the
exchange
or
clearinghouse,
as
counterparty
to
such
instruments,
guarantees
against
a
possible
default.
The
clearinghouse
stands
between
the
buyer
and
the
seller
of
the
contract;
therefore,
credit
risk
is
limited
to
failure
of
the
clearinghouse.
While
offset
rights
may
exist
under
applicable
law, the
Fund
does
not
have
a
contractual
right
of
offset
against
a
clearing
broker
or
clearinghouse
in
the
event
of
a
default
(including
the
bankruptcy
or
insolvency).
Additionally,
credit
risk
exists
in exchange-traded
futures
and
centrally
cleared
swaps with
respect
to
initial
and
variation
margin
that
is
held
in
a
clearing
broker's
customer
accounts.
While
clearing
brokers
are
required
to
segregate
customer
margin
from
their
own
assets,
in
the
event
that
a
clearing
broker
becomes
insolvent
or
goes
into
bankruptcy
and
at
that
time
there
is
a
shortfall
in
the
aggregate
amount
of
margin
held
by
the
clearing
broker
for
all
its
clients,
typically
the
shortfall
would
be
allocated
on
a
pro
rata
basis
across
all
the
clearing
broker's
customers,
potentially
resulting
in
losses
to
the
Fund.
Geographic/Asset
Class
Risk:
A
diversified
portfolio,
where
this
is appropriate
and
consistent
with
a
fund's
objectives,
minimizes
the
risk
that
a
price
change
of
a
particular
investment
will
have
a
material
impact
on
the
NAV
of
a
fund.
The
investment
concentrations
within
the
Fund's
portfolio
are
disclosed
in
its Schedule
of
Investments.
The
Fund
invests
a
significant
portion
of
its
assets
in
high
yield
securities.
High
yield
securities
that
are
rated
below
investment-grade
(commonly
referred
to
as
"junk
bonds")
or
are
unrated
may
be
deemed
speculative,
involve
greater
levels
of
risk
than
higher-rated
securities
of
similar
maturity
and
are
more
likely
to
default.
High
yield
securities
may
be
issued
by
less
creditworthy
issuers,
and
issuers
of
high
yield
securities
may
be
unable
to
meet
their
interest
or
principal
payment
obligations.
High
yield
securities
are
subject
to
extreme
price
fluctuations,
may
be
less
liquid
than
higher
rated
fixed-income
securities,
even
under
normal
economic
conditions,
and
frequently
have
redemption
features.
The
Fund
invests
a
significant
portion
of
its
assets
in fixed-income securities and/or uses
derivatives tied
to
the
fixed-income
markets.
Changes
in
market
interest
rates
or
economic
conditions
may affect
the
value
and/or
liquidity
of
such investments.
Interest
rate
risk
is
the
risk
that
prices
of
bonds
and
other
fixed-income
securities
will
decrease
as
interest
rates
rise
and
increase
as
interest
rates
fall.
The
Fund may
be
subject
to
a
greater
risk
of
rising
interest
rates
due
to
the period
of
historically
low
interest
rates
that
ended
in
March
2022. The
Federal
Reserve
has
raised
the
federal
funds
rate
as
part
of
its
efforts
to
address
inflation.
There
is
a
risk
that
interest
rates
will
continue
to
rise,
which
will
likely
drive
down
the
prices
of
bonds
and
other
fixed-income
securities,
and
could
negatively
impact
the
Fund's
performance.
The
Fund
invests
a
significant
portion
of
its
assets
in
securities
of
issuers
located
in
the
United
States.
A
decrease
in
imports
or
exports,
changes
in
trade
regulations,
inflation
and/or
an
economic
recession
in
the
United
States
may
have
a
material
adverse
effect
on
the
U.S.
economy
and
the
securities
listed
on
U.S.
exchanges.
Proposed
and
adopted
policy
and
legislative
changes
in
the
United
States
may
also
have
a
significant
effect
on
U.S.
markets
generally,
as
well
as
on
the
value
of
certain
securities.
Governmental
agencies
project
that
the
United
States
will
continue
to
maintain
elevated
public
debt
levels
for
the
foreseeable
future
which
may
constrain
future
economic
growth.
Circumstances
could
arise
that
could
prevent
the
timely
payment
of
interest
or
principal
on
U.S.
government
debt,
such
as
reaching
the
legislative
"debt
ceiling."
Such
non-payment
would
result
in
substantial
negative
consequences
for
the
U.S.
economy
and
the
global
financial
system.
If
U.S.
relations
with
certain
countries
deteriorate,
it
could
adversely
affect
issuers
that
rely
on
the
United
States
for
trade.
The
United
States
has
also
experienced
increased
internal
unrest
and
discord.
If
these
trends
were
to
continue,
they
may
have
an
adverse
impact
on
the
U.S.
economy
and
the
issuers
in
which
the
Fund
invests.
The
Fund
invests
a
significant
portion
of
its
assets
in
securities
backed
by
commercial
or
residential
mortgage
loans
or
in
issuers
that
hold
mortgage
and
other
asset-backed
securities.
When
a
fund
concentrates
its
investments
in
this
manner,
it
assumes
a
greater
risk
of
prepayment
or
payment
extension
by
securities
issuers. Changes
in
economic
conditions,
including
delinquencies
and/or
defaults
on
assets
underlying
these
securities,
can
affect
the
value,
income
and/or
liquidity
of
such
positions.
Investment
percentages
in
these
securities
are
presented
in
the
Schedule
of
Investments.
Significant
Shareholder
Redemption
Risk:
Certain
shareholders
may
own
or
manage
a
substantial
amount
of
fund
shares
and/or
hold
their
fund
investments
for
a
limited
period
of
time.
Large
redemptions
of
fund
shares
by
these
shareholders
may
force
a
fund
to
sell
portfolio
securities,
which
may
negatively
impact
the
fund's
NAV,
increase
the
fund's
brokerage
costs,
and/or
accelerate
the
realization
of
taxable
income/gains
and
cause
the
fund
to
make
additional
taxable
distributions
to
shareholders.
LIBOR
Transition
Risk:
The
Fund
may
be
exposed
to
financial
instruments
that
recently
transitioned
from,
or
continue
to
be
tied
to,
the
London
Interbank
Offered
Rate
("LIBOR")
to
determine
payment
obligations,
financing
terms,
hedging
strategies
or
investment
value.
The
United
Kingdom's
Financial
Conduct
Authority,
which
regulates
LIBOR,
has
ceased
publishing
all
LIBOR
settings,
but
some
USD
LIBOR
settings
will
continue
to
be
published
under
a
synthetic
methodology
until
September
30,
2024
for
certain
legacy
contracts.
SOFR
has
been
used
increasingly
on
a
voluntary
basis
in
new
instruments
and
transactions.
Under
U.S.
regulations
that
implement
a
statutory
Notes
to
Financial
Statements
(continued)
39
Notes
to
Financial
Statements
fallback
mechanism
to
replace
LIBOR,
benchmark
rates
based
on
SOFR
have
replaced
LIBOR
in
certain
financial
contracts.
The
ultimate
effect
of
the
LIBOR
transition
process
on
the
Fund
is
uncertain.
11.
CAPITAL
SHARE
TRANSACTIONS
Transactions
in
capital
shares
for
each
class
were
as
follows:
12.
SUBSEQUENT
EVENTS
Management
has
evaluated
the
impact
of
all
subsequent
events
on
the
Fund
through
the
date
the
financial
statements
were
issued
and
has
determined
that
there
were
no
subsequent
events
requiring
adjustment
or
additional
disclosure
in
the
financial
statements.
Year
Ended
04/30/24
Year
Ended
04/30/23
Fund
Name/Share
Class
Shares
Amount
Shares
Amount
BlackRock
U.S.
Mortgage
Portfolio
Institutional
Shares
sold
.............................................
22,346,841
$
196,339,316
18,643,231
$
164,373,933
Shares
issued
in
reinvestment
of
distributions
........................
1,534,482
13,389,288
948,944
8,506,037
Shares
redeemed
.........................................
(11,378,373)
(99,203,316)
(14,573,216)
(130,448,672)
12,502,950
$
110,525,288
5,018,959
$
42,431,298
Investor
A
Shares
sold
and
automatic
conversion
of
shares
.......................
473,339
$
4,131,910
677,781
$
5,987,452
Shares
issued
in
reinvestment
of
distributions
........................
91,968
800,390
79,052
708,793
Shares
redeemed
.........................................
(1,056,553)
(9,232,498)
(1,141,726)
(10,273,579)
(491,246)
$
(4,300,198)
(384,893)
$
(3,577,334)
Investor
C
Shares
sold
.............................................
38,052
$
330,854
623
$
5,833
Shares
issued
in
reinvestment
of
distributions
........................
5,292
46,108
5,634
50,685
Shares
redeemed
and
automatic
conversion
of
shares
..................
(56,046)
(490,803)
(172,695)
(1,557,971)
(12,702)
$
(113,841)
(166,438)
$
(1,501,453)
11,999,002
$
106,111,249
4,467,628
$
37,352,511
Report
of
Independent
Registered
Public
Accounting
Firm
2024
BlackRock
Annual
Report
to
Shareholders
40
To
the
Shareholders
of
BlackRock
U.S.
Mortgage
Portfolio
and
the
Board
of
Trustees
of
Managed
Account
Series
II:
Opinion
on
the
Financial
Statements
and
Financial
Highlights
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
BlackRock
U.S.
Mortgage
Portfolio
of
Managed
Account
Series
II
(the
"Fund"),
including
the
schedule
of
investments,
as
of
April
30,
2024,
the
related
statement
of
operations
for
the
year
then
ended,
the
statements
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
then
ended,
the
financial
highlights
for
each
of
the
five
years
in
the
period
then
ended,
and
the
related
notes.
In
our
opinion,
the
financial
statements
and
financial
highlights
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
as
of
April
30,
2024,
and
the
results
of
its
operations
for
the
year
then
ended,
the
changes
in
its
net
assets
for
each
of
the
two
years
in
the
period
then
ended,
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
then
ended,
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinion
These
financial
statements
and
financial
highlights
are
the
responsibility
of
the
Fund's
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund's
financial
statements
and
financial
highlights
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
in
accordance
with
the
standards
of
the
PCAOB.
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,
whether
due
to
error
or
fraud.
The
Fund
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
its
internal
control
over
financial
reporting.
As
part
of
our
audits
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting
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.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements
and
financial
highlights,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements
and
financial
highlights.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements
and
financial
highlights.
Our
procedures
included
confirmation
of
securities
owned
as
of
April
30,
2024,
by
correspondence
with
custodians
or
counterparties;
when
replies
were
not
received,
we
performed
other
auditing
procedures.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
Deloitte
&
Touche
LLP
Boston,
Massachusetts
June
24,
2024
We
have
served
as
the
auditor
of
one
or
more
BlackRock
investment
companies
since
1992.
Important
Tax
Information
(unaudited)
41
Important
Tax
Information
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
of
distributions
from
direct
federal
obligation
interest
for
the
fiscal
year
ended
April
30,
2024:
The
law
varies
in
each
state
as
to
whether
and
what
percent
of
ordinary
income
dividends
attributable
to
federal
obligations
is
exempt
from
state
income
tax.
Shareholders
are
advised
to
check
with
their
tax
advisers
to
determine
if
any
portion
of
the
dividends
received
is
exempt
from
state
income
tax.
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest
income
eligible
to
be
treated
as
a
Section
163(j)
interest
dividend
for
the
fiscal
year
ended
April
30,
2024:
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest-related
dividends
eligible
for
exemption
from
U.S.
withholding
tax
for
nonresident
aliens
and
foreign
corporations
for
the
fiscal
year
ended
April
30,
2024:
Fund
Name
Federal
Obligation
Interest
BlackRock
U.S.
Mortgage
Portfolio
.......................................................................................
$
673,458
Fund
Name
Interest
Dividends
BlackRock
U.S.
Mortgage
Portfolio
.......................................................................................
$
15,523,141
Fund
Name
Interest-Related
Dividends
BlackRock
U.S.
Mortgage
Portfolio
.......................................................................................
$
15,423,506
Statement
Regarding
Liquidity
Risk
Management
Program
2024
BlackRock
Annual
Report
to
Shareholders
42
In
compliance
with
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended
(the
"Liquidity
Rule"),
Managed
Account
Series
II
(the
"Trust")
has
adopted
and
implemented
a
liquidity
risk
management
program
(the
"Program")
for
BlackRock
U.S.
Mortgage
Portfolio
(the
"Fund"),
a
series
of
the
Trust,
which
is
reasonably
designed
to
assess
and
manage
the
Fund's
liquidity
risk.
The
Board
of
Trustees
(the
"Board")
of
the
Trust,
on
behalf
of
the
Fund,
met
on
November
14-15,
2023
(the
"Meeting")
to
review
the
Program.
The
Board
previously
appointed
BlackRock
Advisors,
LLC,
the
investment
adviser
to
the
Fund,
as
the
program
administrator
for
the
Fund's
Program.
BlackRock
also
previously
delegated
oversight
of
the
Program
to
the
40
Act
Liquidity
Risk
Management
Committee
(the
"Committee").
At
the
Meeting,
the
Committee,
on
behalf
of
BlackRock,
provided
the
Board
with
a
report
that
addressed
the
operation
of
the
Program
and
assessed
its
adequacy
and
effectiveness
of
implementation,
including
the
management
of
the
Fund's
Highly
Liquid
Investment
Minimum
("HLIM")
where
applicable,
and
any
material
changes
to
the
Program
(the
"Report").
The
Report
covered
the
period
from
October
1,
2022
through
September
30,
2023
(the
"Program
Reporting
Period").
The
Report
described
the
Program's
liquidity
classification
methodology
for
categorizing
the
Fund's
investments
(including
derivative
transactions)
into
one
of
four
liquidity
buckets.
It
also
referenced
the
methodology
used
by
BlackRock
to
establish
the
Fund's
HLIM
and
noted
that
the
Committee
reviews
and
ratifies
the
HLIM
assigned
to
the
Fund
no
less
frequently
than
annually.
The
Report
also
discussed
notable
events
affecting
liquidity
over
the
Program
Reporting
Period,
including
the
imposition
of
capital
controls
in
certain
countries.
The
Report
noted
that
the
Program
complied
with
the
key
factors
for
consideration
under
the
Liquidity
Rule
for
assessing,
managing
and
periodically
reviewing
the
Fund's
liquidity
risk,
as
follows:
a)
The
Fund's
investment
strategy
and
liquidity
of
portfolio
investments
during
both
normal
and
reasonably
foreseeable
stressed
conditions
.
During
the
Program
Reporting
Period,
the
Committee
reviewed
whether
the
Fund's
strategy
is
appropriate
for
an
open-end
fund
structure
with
a
focus
on
funds
with
more
significant
and
consistent
holdings
of
less
liquid
and
illiquid
assets.
The
Committee
also
factored
a
fund's
concentration
in
an
issuer
into
the
liquidity
classification
methodology
by
taking
issuer
position
sizes
into
account.
Where
a
fund
participated
in
borrowings
for
investment
purposes
(such
as
tender
option
bonds
or
reverse
repurchase
agreements),
such
borrowings
were
factored
into
the
Program's
calculation
of
a
fund's
liquidity
bucketing.
A
fund's
derivative
exposure
was
also
considered
in
such
calculation.
b)
Short-term
and
long-term
cash
flow
projections
during
both
normal
and
reasonably
foreseeable
stressed
conditions
.
During
the
Program
Reporting
Period,
the
Committee
reviewed
historical
redemption
activity
and
used
this
information
as
a
component
to
establish
the
Fund's
reasonably
anticipated
trading
size
utilized
for
liquidity
classifications.
The
Fund
has
adopted
an
in-kind
redemption
policy
which
may
be
utilized
to
meet
larger
redemption
requests.
The
Committee
may
also
take
into
consideration
a
fund's
shareholder
ownership
concentration
(which,
depending
on
product
type
and
distribution
channel,
may
or
may
not
be
available),
a
fund's
distribution
channels,
and
the
degree
of
certainty
associated
with
a
fund's
short-term
and
long-term
cash
flow
projections.
c)
Holdings
of
cash
and
cash
equivalents,
as
well
as
borrowing
arrangements
.
The
Committee
considered
the
terms
of
the
credit
facility
committed
to
the
Fund,
the
financial
health
of
the
institution
providing
the
facility
and
the
fact
that
the
credit
facility
is
shared
among
multiple
funds
(including
that
a
portion
of
the
aggregate
commitment
amount
is
specifically
designated
for
BlackRock
Floating
Rate
Income
Portfolio,
a
series
of
BlackRock
Funds
V,
and
BlackRock
Floating
Rate
Loan
ETF,
a
series
of
BlackRock
ETF
Trust
II).
The
Committee
also
considered
other
types
of
borrowing
available
to
the
funds,
such
as
the
ability
to
use
reverse
repurchase
agreements
and
interfund
lending,
as
applicable.
There
were
no
material
changes
to
the
Program
during
the
Program
Reporting
Period
other
than
the
enhancement
of
certain
model
components
in
the
Program's
classification
methodology.
The
Report
provided
to
the
Board
stated
that
the
Committee
concluded
that
based
on
the
operation
of
the
functions,
as
described
in
the
Report,
the
Program
is
operating
as
intended
and
is
effective
in
implementing
the
requirements
of
the
Liquidity
Rule.
Trustee
and
Officer
Information
43
Trustee
and
Officer
Information
Independent
Trustees
(a)
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
Years
Number
of
BlackRock-Advised
Registered
Investment
Companies
("RICs")
Consisting
of
Investment
Portfolios
("Portfolios")
Overseen
Public
Company
and
Other
Investment
Company
Directorships
Held
During
Past
5
Years
R.
Glenn
Hubbard
1958
Chair
of
the
Board
(Since
2022)
Trustee
(Since
2019)
Dean,
Columbia
Business
School
from
2004
to
2019;
Faculty
member,
Columbia
Business
School
since
1988.
68
RICs
consisting
of
102
Portfolios
ADP
(data
and
information
services)
from
2004
to
2020;
Metropolitan
Life
Insurance
Company
(insurance);
TotalEnergies
SE
(multi-energy)
W.
Carl
Kester
(d)
1951
Vice
Chair
of
the
Board
(Since
2022)
Trustee
(Since
2019)
Baker
Foundation
Professor
and
George
Fisher
Baker
Jr.
Professor
of
Business
Administration,
Emeritus,
Harvard
Business
School
since
2022;
George
Fisher
Baker
Jr.
Professor
of
Business
Administration,
Harvard
Business
School
from
2008
to
2022;
Deputy
Dean
for
Academic
Affairs
from
2006
to
2010;
Chairman
of
the
Finance
Unit,
from
2005
to
2006;
Senior
Associate
Dean
and
Chairman
of
the
MBA
Program
from
1999
to
2005;
Member
of
the
faculty
of
Harvard
Business
School
since
1981.
70
RICs
consisting
of
104
Portfolios
None
Cynthia
L.
Egan
(d)
1955
Trustee
(Since
2019)
Advisor,
U.S.
Department
of
the
Treasury
from
2014
to
2015;
President,
Retirement
Plan
Services,
for
T.
Rowe
Price
Group,
Inc.
from
2007
to
2012;
executive
positions
within
Fidelity
Investments
from
1989
to
2007.
70
RICs
consisting
of
104
Portfolios
Unum
(insurance);
The
Hanover
Insurance
Group
(Board
Chair);
Huntsman
Corporation
(Lead
Independent
Director
and
non-Executive
Vice
Chair
of
the
Board)
(chemical
products)
Lorenzo
A.
Flores
1964
Trustee
(Since
2021)
Chief
Financial
Officer,
Intel
Foundry
since
2024;
Vice
Chairman,
Kioxia,
Inc.
since
2019;
Chief
Financial
Officer,
Xilinx,
Inc.
from
2016
to
2019;
Corporate
Controller,
Xilinx,
Inc.
from
2008
to
2016.
68
RICs
consisting
of
102
Portfolios
None
Stayce
D.
Harris
1959
Trustee
(Since
2021)
Lieutenant
General,
Inspector
General
of
the
United
States
Air
Force
from
2017
to
2019;
Lieutenant
General,
Assistant
Vice
Chief
of
Staff
and
Director,
Air
Staff,
United
States
Air
Force
from
2016
to
2017;
Major
General,
Commander,
22nd
Air
Force,
AFRC,
Dobbins
Air
Reserve
Base,
Georgia
from
2014
to
2016;
Pilot,
United
Airlines
from
1990
to
2020.
68
RICs
consisting
of
102
Portfolios
KULR
Technology
Group,
Inc.
in
2021;
The
Boeing
Company
(airplane
manufacturer)
J.
Phillip
Holloman
1955
Trustee
(Since
2021)
President
and
Chief
Operating
Officer,
Cintas
Corporation
from
2008
to
2018.
68
RICs
consisting
of
102
Portfolios
PulteGroup,
Inc.
(home
construction);
Rockwell
Automation
Inc.
(industrial
automation);
Vestis
Corporation
(uniforms
and
facilities
services)
Catherine
A.
Lynch
(d)
1961
Trustee
(Since
2019)
Chief
Executive
Officer,
Chief
Investment
Officer
and
various
other
positions,
National
Railroad
Retirement
Investment
Trust
from
2003
to
2016;
Associate
Vice
President
for
Treasury
Management,
The
George
Washington
University
from
1999
to
2003;
Assistant
Treasurer,
Episcopal
Church
of
America
from
1995
to
1999.
70
RICs
consisting
of
104
Portfolios
PennyMac
Mortgage
Investment
Trust
Arthur
P.
Steinmetz
(d)
1958
Trustee
(Since
2023)
Consultant,
Posit
PBC
(enterprise
data
science)
since
2020;
Director,
ScotiaBank
(U.S.)
from
2020
to
2023;
Chairman,
Chief
Executive
Officer
and
President
of
OppenheimerFunds,
Inc.
from
2015,
2014
and
2013,
respectively
to
2019;
Trustee,
President
and
Principal
Executive
Officer
of
104
OppenheimerFunds
funds
from
2014
to
2019;
Portfolio
manager
of
various
OppenheimerFunds
fixed
income
mutual
funds
from
1986
to
2014.to
1999.
70
RICs
consisting
of
104
Portfolios
Trustee
of
104
OppenheimerFunds
funds
from
2014
to
2019
Trustee
and
Officer
Information
(continued)
2024
BlackRock
Annual
Report
to
Shareholders
44
Interested
Trustees
(a)(e)
(a)
The
address
of
each
Trustee
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(b)
Each
Independent
Trustee
holds
office
until
his
or
her
successor
is
duly
elected
and
qualifies
or
until
his
or
her
earlier
death,
resignation,
retirement
or
removal
as
provided
by
the
Trust's
by-laws
or
charter
or
statute,
or
until
December
31
of
the
year
in
which
he
or
she
turns
75.
Trustees
who
are
"interested
persons,"
as
defined
in
the
Investment
Company
Act
serve
until
their
successor
is
duly
elected
and
qualifies
or
until
their
earlier
death,
resignation,
retirement
or
removal
as
provided
by
the
Trust's
by-laws
or
statute,
or
until
December
31
of
the
year
in
which
they
turn
72.
The
Board
may
determine
to
extend
the
terms
of
Independent
Trustees
on
a
case-by-case
basis,
as
appropriate.
(c)
Following
the
combination
of
Merrill
Lynch
Investment
Managers,
L.P.
("MLIM")
and
BlackRock,
Inc.
in
September
2006,
the
various
legacy
MLIM
and
legacy
BlackRock
fund
boards
were
realigned
and
consolidated
into
three
new
fund
boards
in
2007.
Certain
Independent
Trustees
first
became
members
of
the
boards
of
other
legacy
MLIM
or
legacy
BlackRock
funds
as
follows:
R.
Glenn
Hubbard,
2004
and
W.
Carl
Kester,
1995.
Certain
other
Independent
Trustees
became
members
of
the
boards
of
the
closed-end
funds
in
the
Fixed-Income
Complex
as
follows:
Cynthia
L.
Egan,
2016;
and
Catherine
A.
Lynch,
2016.
(d)
Ms.
Egan,
Dr.
Kester,
Ms.
Lynch,
Mr.
Steinmetz
and
Mr.
Perlowski
are
also
trustees
of
the
BlackRock
Credit
Strategies
Fund
and
BlackRock
Private
Investments
Fund.
(e)
Mr.
Fairbairn
and
Mr.
Perlowski
are
both
"interested
persons,"
as
defined
in
the
1940
Act,
of
the
Trust
based
on
their
positions
with
BlackRock,
Inc.
and
its
affiliates.
Mr.
Fairbairn
and
Mr.
Perlowski
are
also
board
members
of
the
BlackRock
Multi-Asset
Complex.
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
Years
Number
of
BlackRock-Advised
Registered
Investment
Companies
("RICs")
Consisting
of
Investment
Portfolios
("Portfolios")
Overseen
Public
Company
and
Other
Investment
Company
Directorships
Held
During
Past
5
Years
Robert
Fairbairn
1965
Trustee
(Since
2015)
Vice
Chairman
of
BlackRock,
Inc.
since
2019;
Member
of
BlackRock's
Global
Executive
and
Global
Operating
Committees;
Co-Chair
of
BlackRock's
Human
Capital
Committee;
Senior
Managing
Director
of
BlackRock,
Inc.
from
2010
to
2019;
oversaw
BlackRock's
Strategic
Partner
Program
and
Strategic
Product
Management
Group
from
2012
to
2019;
Member
of
the
Board
of
Managers
of
BlackRock
Investments,
LLC
from
2011
to
2018;
Global
Head
of
BlackRock's
Retail
and
iShares
®
businesses
from
2012
to
2016.
96
RICs
consisting
of
266
Portfolios
None
John
M.
Perlowski
(d)
1964
Trustee
(Since
2015);
President
and
Chief
Executive
Officer
(Since
2010)
Managing
Director
of
BlackRock,
Inc.
since
2009;
Head
of
BlackRock
Global
Accounting
and
Product
Services
since
2009;
Advisory
Director
of
Family
Resource
Network
(charitable
foundation)
since
2009.
98
RICs
consisting
of
268
Portfolios
None
Trustee
and
Officer
Information
(continued)
45
Trustee
and
Officer
Information
Officers
Who
Are
Not
Trustees
(a)
(a)
The
address
of
each
Officer
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(b)
Officers
of
the
Trust
serve
at
the
pleasure
of
the
Board.
Further
information
about
the
Trust's
Trustees
and
Officers
is
available
in
the
Trust's
Statement
of
Additional
Information,
which
can
be
obtained
without
charge
by
calling
(800)
441-7762.
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
Principal
Occupation(s)
During
Past
5
Years
Jennifer
McGovern
1977
Vice
President
(Since
2014)
Managing
Director
of
BlackRock,
Inc.
since
2016.
Trent
Walker
1974
Chief
Financial
Officer
(Since
2021)
Managing
Director
of
BlackRock,
Inc.
since
September
2019;
Executive
Vice
President
of
PIMCO
from
2016
to
2019.
Jay
M.
Fife
1970
Treasurer
(Since
2007)
Managing
Director
of
BlackRock,
Inc.
since
2007.
Aaron
Wasserman
1974
Chief
Compliance
Officer
(Since
2023)
Managing
Director
of
BlackRock,
Inc.
since
2018;
Chief
Compliance
Officer
of
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-Income
Complex
and
the
iShares
Complex
since
2023;
Deputy
Chief
Compliance
Officer
for
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-
Income
Complex
and
the
iShares
Complex
from
2014
to
2023.
Lisa
Belle
1968
Anti-Money
Laundering
Compliance
Officer
(Since
2019)
Managing
Director
of
BlackRock,
Inc.
since
2019;
Global
Financial
Crime
Head
for
Asset
and
Wealth
Management
of
JP
Morgan
from
2013
to
2019.
Janey
Ahn
1975
Secretary
(Since
2019)
Managing
Director
of
BlackRock,
Inc.
since
2018.
Effective
July
1,
2023,
Aaron
Wasserman
replaced
Charles
Park
as
Chief
Compliance
Officer
of
the
Trust.
Effective
December
31,
2023,
Frank
Fabozzi
retired
as
Trustee
of
the
Trust.
Effective
January
19,
2024,
Arthur
Steinmetz
became
an
Independent
Trustee
of
the
Trust.
Additional
Information
2024
BlackRock
Annual
Report
to
Shareholders
46
Proxy
Results
BlackRock
U.S.
Mortgage
Portfolio
(Managed
Account
Series
II)
A
Special
Meeting
of
Shareholders
was
held
on
November
9,
2023
for
shareholders
of
record
on
September
11,
2023,
to
elect
a
Board
of
Trustees
of
BlackRock
U.S.
Mortgage
Portfolio.
Shareholders
elected
the
Trustees*
as
follows:
*
Denotes
Trust-wide
proposal
and
voting
results.
Board
Members
whose
term
of
office
continued
after
the
Special
Meeting
of
Shareholders
because
they
were
not
up
for
election
are
R.
Glenn
Hubbard,
W.
Carl
Kester,
Cynthia
L.
Egan,
Frank
J.
Fabozzi,
Catherine
A.
Lynch,
Robert
Fairbairn
and
John
M.
Perlowski.
Frank
J.
Fabozzi's
term
as
a
Board
Member
of
the
Funds
ended
on
December
31,
2023.
Tailored
Shareholder
Reports
for
Open-End Mutual
Funds
and
ETFs
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Fund.
General
Information
Quarterly
performance,
semi-annual
and
annual
reports,
current
net
asset
value
and
other
information
regarding
the
Fund
may
be
found
on
BlackRock's
website,
which
can
be
accessed
at
blackrock.com
.
Any
reference
to
BlackRock's
website
in
this
report
is
intended
to
allow
investors
public
access
to
information
regarding
the
Fund
and
does
not,
and
is
not
intended
to,
incorporate
BlackRock's
website
in
this
report.
Householding
The
Fund
will
mail
only
one
copy
of
shareholder
documents,
including
prospectuses,
annual
and
semi-annual
reports,
Rule
30e-3
notices
and
proxy
statements,
to
shareholders
with
multiple
accounts
at
the
same
address.
This
practice
is
commonly
called
"householding"
and
is
intended
to
reduce
expenses
and
eliminate
duplicate
mailings
of
shareholder
documents.
Mailings
of
your
shareholder
documents
may
be
householded
indefinitely
unless
you
instruct
us
otherwise.
If
you
do
not
want
the
mailing
of
these
documents
to
be
combined
with
those
for
other
members
of
your
household,
please
call
the
Fund at
(800)
441-7762.
Availability
of
Quarterly
Schedule
of
Investments
The
Fund
files
its
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
Fund's
Form
N-PORT is
available
on
the
SEC's
website
at
sec.gov
.
Additionally,
the
Fund
makes
its
portfolio
holdings
for
the
first
and
third
quarters
of
each
fiscal
year
available
at
blackrock.com/fundreports
.
Availability
of
Proxy
Voting
Policies,
Procedures and
Voting
Records
A
description
of
the
policies
and
procedures
that
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
information
about
how
the
Fund
voted
proxies
relating
to
securities
held
in
the
Fund's
portfolio
during
the
most
recent
12-month
period
ended
June
30 is
available
without
charge,
upon
request (1)
by
calling
(800)
441-7762
;
(2)
on
the
BlackRock
website
at
blackrock.com
;
and
(3)
on
the
SEC's
website
at
sec.gov
.
BlackRock's
Mutual
Fund
Family
BlackRock
offers
a
diverse
lineup
of
open-end
mutual
funds
crossing
all
investment
styles
and
managed
by
experts
in
equity,
fixed-income
and
tax-exempt
investing.
Visit
blackrock.com
for
more
information.
Shareholder
Privileges
Account
Information
Call
us
at
(800)
441-7762
from
8:00
AM
to
6:00
PM
ET
on
any
business
day
to
get
information
about
your
account
balances,
recent
transactions
and
share
prices.
You
can
also
visit
blackrock.com
for
more
information.
Votes
For
Votes
Withheld
Lorenzo
A.
Flores
22,667,158
120,197
Stayce
D.
Harris
22,671,301
116
,054
J.
Phillip
Holloman
22,664,589
122,766
Arthur
P.
Steinmetz
22,667,241
120
,
114
Additional
Information
(continued)
47
Additional
Information
Automatic
Investment
Plans
Investor
class
shareholders
who
want
to
invest
regularly
can
arrange
to
have
$50
or
more
automatically
deducted
from
their
checking
or
savings
account
and
invested
in
any
of
the
BlackRock
funds.
Systematic
Withdrawal
Plans
Investor
class
shareholders
can
establish
a
systematic
withdrawal
plan
and
receive
periodic
payments
of
$50
or
more
from
their
BlackRock
funds,
as
long
as
their
account
balance
is
at
least
$10,000.
Retirement
Plans
Shareholders
may
make
investments
in
conjunction
with
Traditional,
Rollover,
Roth,
Coverdell,
Simple
IRAs,
SEP
IRAs
and
403(b)
Plans.
BlackRock
Privacy
Principles
BlackRock
is
committed
to
maintaining
the
privacy
of
its
current
and
former
fund
investors
and
individual
clients
(collectively,
"Clients")
and
to
safeguarding
their
non-public
personal
information.
The
following
information
is
provided
to
help
you
understand
what
personal
information
BlackRock
collects,
how
we
protect
that
information
and
why
in
certain
cases
we
share
such
information
with
select
parties.
If
you
are
located
in
a
jurisdiction
where
specific
laws,
rules
or
regulations
require
BlackRock
to
provide
you
with
additional
or
different
privacy-related
rights
beyond
what
is
set
forth
below,
then
BlackRock
will
comply
with
those
specific
laws,
rules
or
regulations.
BlackRock
obtains
or
verifies
personal
non-public
information
from
and
about
you
from
different
sources,
including
the
following:
(i)
information
we
receive
from
you
or,
if
applicable,
your
financial
intermediary,
on
applications,
forms
or
other
documents;
(ii)
information
about
your
transactions
with
us,
our
affiliates,
or
others;
(iii)
information
we
receive
from
a
consumer
reporting
agency;
and
(iv)
from
visits
to
our
websites.
BlackRock
does
not
sell
or
disclose
to
non-affiliated
third
parties
any
non-public
personal
information
about
its
Clients,
except
as
permitted
by
law
or
as
is
necessary
to
respond
to
regulatory
requests
or
to
service
Client
accounts.
These
non-affiliated
third
parties
are
required
to
protect
the
confidentiality
and
security
of
this
information
and
to
use
it
only
for
its
intended
purpose.
We
may
share
information
with
our
affiliates
to
service
your
account
or
to
provide
you
with
information
about
other
BlackRock
products
or
services
that
may
be
of
interest
to
you.
In
addition,
BlackRock
restricts
access
to
non-public
personal
information
about
its
Clients
to
those
BlackRock
employees
with
a
legitimate
business
need
for
the
information.
BlackRock
maintains
physical,
electronic
and
procedural
safeguards
that
are
designed
to
protect
the
non-public
personal
information
of
its
Clients,
including
procedures
relating
to
the
proper
storage
and
disposal
of
such
information.
Fund
and
Service
Providers
Investment
Adviser
BlackRock
Advisors,
LLC
Wilmington,
DE
19809
Accounting
Agent
JPMorgan
Chase
Bank,
N.A.
New
York,
NY
10179
Custodian
JPMorgan
Chase
Bank,
N.A.
New
York,
NY
10179
Transfer
Agent
BNY
Mellon
Investment
Servicing
(US)
Inc.
Wilmington,
DE
19809
Independent
Registered
Public
Accounting
Firm
Deloitte
&
Touche
LLP
Boston,
MA
02116
Distributor
BlackRock
Investments,
LLC
New
York,
NY
10001
Legal
Counsel
Willkie
Farr
&
Gallagher
LLP
New
York,
NY
10019
Address
of
the
Trust
100
Bellevue
Parkway
Wilmington,
DE
19809
Glossary
of
Terms
Used
in
this
Report
2024
BlackRock
Annual
Report
to
Shareholders
48
Currency
Abbreviation
USD
United
States
Dollar
Portfolio
Abbreviation
CMT
Constant
Maturity
Treasury
CSMC
Credit
Suisse
Mortgage
Capital
CWABS
Countrywide
Asset-Backed
Certificates
EFFR
Effective
Federal
Funds
Rate
LIBOR
London
Interbank
Offered
Rate
OTC
Over-the-counter
REMIC
Real
Estate
Mortgage
Investment
Conduit
SOFR
Secured
Overnight
Financing
Rate
TBA
To-be-announced
Want
to
know
more?
blackrock.com
|
800-441-7762
This
report
is
intended
for
current
holders.
It
is
not
authorized
for
use
as
an
offer
of
sale
or
a
solicitation
of
an
offer
to
buy
shares
of
the
Fund
unless
preceded
or
accompanied
by
the
Fund's
current
prospectus.
Past
performance
results
shown
in
this
report
should
not
be
considered
a
representation
of
future
performance.
Investment
returns
and
principal
value
of
shares
will
fluctuate
so
that
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Statements
and
other
information
herein
are
as
dated
and
are
subject
to
change.
MAS-04/24-AR
Item 2 - Code of Ethics -
The registrant (or the "Fund") has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The
registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.
Item 3 - Audit Committee Financial Expert - The registrant's board of trustees (the "board of trustees"), 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:
Lorenzo A. Flores
Catherine A. Lynch
Catherine A. Lynch
Arthur P. Steinmetz
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of trustees.
Item 4 - Principal Accountant Fees and Services
The following table presents fees billed by Deloitte & Touche LLP ("D&T") in each of the last two fiscal years for the services rendered to the Fund:
|
(a) Audit Fees
|
(b) Audit-Related Fees1
|
(c) Tax Fees2
|
(d) All Other Fees
|
|||||
|
Entity Name
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
|
BlackRock U.S. Mortgage Portfolio
|
$32,436
|
$32,436
|
$407
|
$44
|
$17,056
|
$18,300
|
$0
|
$218
|
The following table presents fees billed by D&T that were required to be approved by the registrant's audit committee (the "Committee") for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC ( the "Investment Adviser" or "BlackRock") and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Affiliated Service Providers"):
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
|
|
(b) Audit-Related Fees1
|
$0
|
$0
|
|
(c) Tax Fees2
|
$0
|
$0
|
|
(d) All Other Fees3
|
$2,149,000
|
$2,154,000
|
1
The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2
The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3
Non-audit fees of $2,149,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund's principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
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 Investment Adviser and 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"). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
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. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g)
(f) Not Applicable
(g)
The aggregate non-audit fees, defined as the sum of the fees shown under "Audit-Related Fees," "Tax Fees" and "All Other Fees," paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
|
Entity Name
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
|
BlackRock U.S. Mortgage Portfolio
|
$17,463
|
$18,562
|
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
|
Current Fiscal Year End
|
Previous Fiscal Year End
|
|
$2,149,000
|
$2,154,000
|
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and
the Affiliated Service Providers
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.
(i) - Not Applicable
(j) - Not Applicable
Item 5 - Audit Committee of Listed Registrant - Not Applicable
Item 6 - Investments
(a) The registrant's Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
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 - There have been no material changes to these procedures.
Item 11 - Controls and Procedures
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12 - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies - Not Applicable
Item 13 - Recovery of Erroneously Awarded Compensation - Not Applicable
Item 14 - Exhibits attached hereto
(a)(1) Code of Ethics - See Item 2
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the Registrant's securities are listed - Not Applicable
(a)(3) Section 302 Certifications are attached
«section302»
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 -
Not Applicable
(a)(5) Change in Registrant's independent public accountant -
Not Applicable
(b) Section 906 Certifications are attached
«section906»
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.
Managed Account Series II
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
Managed Account Series II
Date: June 24, 2024
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/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
Managed Account Series II
Date: June 24, 2024
By: /s/ Trent Walker
Trent Walker
Chief Financial Officer (principal financial officer) of
Managed Account Series II
Date: June 24, 2024