N-CSRS 1 primary-document.htm
 
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: 10/31/2023
 
Item 1 – Report to Stockholders
(a)
   
The Report to Shareholders is attached herewith.
(b)
   
Not Applicable
 
 
 
 
 
 
                                                                                           

 
OCTOBER
31,
2023
Not
FDIC
Insured
-
May
Lose
Value
-
No
Bank
Guarantee
2023
Semi-Annual
Report
(Unaudited)
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
October
31,
2023.
Significantly
tighter
monetary
policy
helped
to
rein
in
inflation,
as
the
annual
increase
in
the
Consumer
Price
Index
declined
to
its
long-term
average
of
approximately
3%
in
October
2023.
Meanwhile,
real
economic
growth
proved
more
resilient
than
many
investors
anticipated.
A
moderating
labor
market
also
helped
ease
inflationary
pressure,
although
wages
continued
to
grow
and
unemployment
rates
touched
the
lowest
levels
in
decades
before
rising
slightly.
This
robust
labor
market
powered
further
growth
in
consumer
spending,
backstopping
the
economy.
On
October
7,
2023,
Hamas
launched
a
horrific
attack
on
Israel.
The
ensuing
war
will
have
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
solid
during
the
period,
as
the
durability
of
consumer
spending
mitigated
investors’
concerns
about
the
economy’s
trajectory.
The
U.S.
economy
continued
to
show
strength,
and
growth
further
accelerated
in
the
third
quarter
of
2023.
However,
equity
returns
were
uneven,
as
the
performance
of
a
few
notable
technology
companies
supported
gains
among
large-capitalization
U.S.
stocks,
while
small-capitalization
U.S.
stocks
declined
overall.
Meanwhile,
international
developed
market
equities
advanced,
and
emerging
market
equities
posted
solid
gains.
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.
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
six
times
during
the
12-month
period,
but
slowed
and
then
paused
its
tightening
later
in
the
period.
The
Fed
also
wound
down
its
bond-buying
programs
and
incrementally
reduced
its
balance
sheet
by
not
replacing
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
decelerated
the
pace
of
interest
rate
hikes
and
recently
opted
for
several
pauses,
we
believe
that
the
new
economic
regime
means
that
the
Fed
will
need
to
maintain
high
rates
for
an
extended
period
to
keep
inflation
under
control.
Furthermore,
ongoing
structural
changes
may
mean
that
the
Fed
will
be
hesitant
to
cut
interest
rates
in
the
event
of
faltering
economic
activity
lest
inflation
accelerate
again.
While
we
favor
an
overweight
position
in
developed
market
equities
in
the
long
term,
we
prefer
an
underweight
stance
in
the
near
term.
Expectations
for
corporate
earnings
remain
elevated,
which
seems
inconsistent
with
macroeconomic
constraints.
Nevertheless,
we
are
overweight
on
Japanese
stocks
in
the
near
term
as
shareholder-friendly
policies
generate
increased
investor
interest.
We
also
believe
that
stocks
with
an
AI
tilt
should
benefit
from
an
investment
cycle
that
is
set
to
support
revenues
and
margins.
In
credit,
there
are
selective
opportunities
in
the
near
term
despite
tightening
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,
U.S.
inflation-linked
bonds,
euro
area
government
bonds
and
gilts,
U.S.
mortgage-backed
securities,
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
October
31,
2023
6-Month
12-Month
U.S.
large
cap
equities
(S&P
500
®
Index)
1.39
%
10.14
%
U.S.
small
cap
equities
(Russell
2000
®
Index)
(5.29
)
(8.56
)
International
equities
(MSCI
Europe,
Australasia,
Far
East
Index)
(7.88
)
14.40
Emerging
market
equities
(MSCI
Emerging
Markets
Index)
(4.78
)
10.80
3-month
Treasury
bills
(ICE
BofA
3-Month
U.S.
Treasury
Bill
Index)
2.63
4.77
U.S.
Treasury
securities
(ICE
BofA
10-Year
U.S.
Treasury
Index)
(9.70
)
(3.25
)
U.S.
investment
grade
bonds
(Bloomberg
U.S.
Aggregate
Bond
Index)
(6.13
)
0.36
Tax-exempt
municipal
bonds
(Bloomberg
Municipal
Bond
Index)
(4.65
)
2.64
U.S.
high
yield
bonds
(Bloomberg
U.S.
Corporate
High
Yield
2%
Issuer
Capped
Index)
0.02
6.23
This
Page
is
not
Part
of
Your
Fund
Report
2
Table
of
Contents
Page
3
The
Markets
in
Review
...................................................................................................
2
Semi-Annual
Report:
Fund
Summary
........................................................................................................
4
The
Benefits
and
Risks
of
Leveraging
..........................................................................................
6
About
Fund
Performance 
.................................................................................................
6
Disclosure
of
Expenses
...................................................................................................
7
Derivative
Financial
Instruments
.............................................................................................
7
Financial
Statements:
Schedule
of
Investments
................................................................................................
8
Statement
of
Assets
and
Liabilities
..........................................................................................
21
Statement
of
Operations
................................................................................................
23
Statements
of
Changes
in
Net
Assets
........................................................................................
24
Financial
Highlights
.....................................................................................................
25
Notes
to
Financial
Statements
...............................................................................................
28
Disclosure
of
Investment
Advisory
Agreement
.....................................................................................
38
Additional
Information
....................................................................................................
41
Glossary
of
Terms
Used
in
this
Report
..........................................................................................
43
Fund
Summary
as
of
October
31,
2023
2023
BlackRock
Semi-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
six-month
period
ending
October
31,
2023,
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
were
out-of-benchmark
allocations
to
commercial
mortgage-backed
securities
(“CMBS”)
and
non-agency
residential
mortgage-backed
securities
(“RMBS”).
In
addition,
allocations
to
seasoned
MBS
pools
and
collateralized
mortgage
obligations
were
sources
of
stable
income.
The
Fund’s
overweight
in
agency
MBS
to-be-announced
("TBA"),
and
underweight
in
pools,
detracted
from
performance
vs.
the
benchmark.
Interest
rate
volatility
strategies
also
detracted
from
relative
performance.
Describe
recent
portfolio
activity.
The
Fund
continued
to
hold
a
core
allocation
to
securitized
sectors
such
as
non-agency
RMBS
and
CMBS
alongside
agency
MBS.
Within
CMBS,
the
Fund
continued
to
hold
a
core
allocation
in
the
single-asset,
single-borrower
(“SASB”)
subsector.
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
reporting
period.
Describe
portfolio
positioning
at
period
end.
The
Fund
continues
to
hold
higher
yielding
assets
in
CMBS
and
non-agency
RMBS
sectors,
such
as
single
family
rentals
and
non-performing
and
re-performing
loans.
Within
CMBS
the
Fund
continued
to
favor
the
top
of
the
capital
stack
and
SASB
issues
where
there
is
more
transparency
on
the
underlying
collateral.
The
Fund
was
positioned
constructively
with
respect
to
agency
MBS
via
TBA
securities
based
on
attractive
valuations.
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.
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)(b)
1
Year
5
Years
10
Years
Standardized
30-Day
Yields
Unsubsidized
30-Day
Yields
6-Month
Total
Returns
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Institutional
..............
5.51‌%
5.31‌%
(4.60‌)%
1.32‌%
N/A‌
0.14‌%
N/A‌
1.25‌%
N/A‌
Investor
A
...............
5.04‌
4.84‌
(4.72‌)
1.18‌
(2.86‌)%
(0.09‌)
(0.90‌)%
1.00‌
0.59‌%
Investor
C
...............
4.50‌
4.30‌
(5.08‌)
0.31‌
(0.65‌)
(0.86‌)
(0.86‌)
0.41‌
0.41‌
Bloomberg
U.S.
Mortgage-
Backed
Securities
Index
(c)
...
—‌
—‌
(7.12‌)
(0.82‌)
N/A‌
(1.06‌)
N/A‌
0.34‌
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.
(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.
Fund
Summary
as
of
October
31,
2023
(continued)
5
Fund
Summary
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
(05/01/23)
Ending
Account
Value
(10/31/23)
Expenses
Paid
During
the
Period
(a)
Beginning
Account
Value
(05/01/23)
Ending
Account
Value
(10/31/23)
Expenses
Paid
During
the
Period
(a)
Annualized
Expense
Ratio
Institutional
...............................
$
1,000.00‌
$
954.00‌
$
2.36‌
$
1,000.00‌
$
1,022.72‌
$
2.44‌
0.48‌%
Investor
A
................................
1,000.00‌
952.80‌
3.58‌
1,000.00‌
1,021.47‌
3.71‌
0.73‌
Investor
C
................................
1,000.00‌
949.20‌
7.30‌
1,000.00‌
1,017.65‌
7.56‌
1.49‌
(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
184/366
(to
reflect
the
one-half
year
period
shown).
PORTFOLIO
COMPOSITION
Asset
Type
Percent
of
at
Total
Investments
(a)
U.S.
Government
Sponsored
Agency
Securities
..............
51.3‌
%
Non-Agency
Mortgage-Backed
Securities
..................
34.5‌
Asset-Backed
Securities
..............................
14.1‌
Corporate
Bonds
...................................
0.1‌
CREDIT
QUALITY
ALLOCATION
Credit
Rating
(b)
Percent
of
Total
Investments
(a)
AAA/
Aaa
(c)
......................................
63.6‌
%
AA/Aa
.........................................
1.8‌
A
.............................................
1.7‌
BBB/Baa
.......................................
1.
6‌ 
BB/Ba
.........................................
0.6‌
B
............................................
0.8‌
CCC/
Caa
.......................................
2.4‌
CC/Ca
.........................................
3.4‌
C
............................................
1.9‌
D
............................................
0.0‌
(d)
NR
...........................................
22.2‌
(a)
Excludes
short-term
securities
and
options
written.
(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
2023
BlackRock
Semi-Annual
Report
To
Shareholders
6
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
7
Disclosure
of
Expenses
/
Derivative
Financial
Instruments
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.
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
8
(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
1,007
$
990,202
Ajax
Mortgage
Loan
Trust
(b)
Series
2020-C,
Class
A,
2.25%,
09/27/60
(a)
36
35,148
Series
2020-C,
Class
B,
5.00%,
09/27/60
(a)
150
146,847
Series
2020-C,
Class
C,
0.00%,
09/27/60
470
429,287
Series
2020-D,
Class
A,
2.25%,
06/25/60
(a)
269
259,123
Series
2020-D,
Class
B,
5.00%,
06/25/60
(a)
210
203,287
Series
2020-D,
Class
C,
0.00%,
06/25/60
495
465,948
Series
2021-E,
Class
B3,
3.99%,
12/25/60
(c)
381
154,397
Series
2021-E,
Class
XS,
0.00%,
12/25/60
(c)
5,331
217,695
Series
2021-F,
Class
A,
1.87%,
06/25/61
(a)
2,343
2,116,927
Series
2021-F,
Class
B,
3.75%,
06/25/61
(a)
216
201,714
Series
2021-F,
Class
C,
0.00%,
06/25/61
.
401
368,201
Series
2021-G,
Class
A,
1.87%,
06/25/61
(c)
1,648
1,487,354
Series
2021-G,
Class
B,
3.75%,
06/25/61
(c)
256
221,717
Series
2021-G,
Class
C,
0.00%,
06/25/61
462
439,653
AMSR
Trust
(b)
Series
2020-SFR4,
Class
G2,
4.87%,
11/17/37
....................
850
781,374
Series
2023-SFR2,
Class
F1,
3.95%,
06/17/40
....................
600
446,106
AREIT
LLC,
Series
2023-CRE8,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.11%
Floor
+
2.11%),
7.45%,
02/17/28
(b)(c)
.........
560
553,005
AREIT
Trust
(b)(c)
Series
2021-CRE5,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.08%
Floor
+
1.19%),
6.53%,
11/17/38
...............
475
462,031
Series
2022-CRE6,
Class
A,
(SOFR
30
day
Average
at
1.25%
Floor
+
1.25%),
6.57%,
01/20/37
...............
581
565,220
Bayview
Financial
Revolving
Asset
Trust,
Series
2004-B,
Class
A1,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.11%),
6.44%,
05/28/39
(b)(c)
....................
1,799
1,405,845
BDS
Ltd.,
Series
2021-FL9,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.07%
Floor
+
1.18%),
6.52%,
11/16/38
(b)(c)
...............
680
662,995
Bear
Stearns
Asset-Backed
Securities
I
Trust
(c)
Series
2006-HE8,
Class
1A3,
(1-mo.
CME
Term
SOFR
at
0.52%
Floor
+
0.63%),
5.96%,
10/25/36
...............
1,200
1,033,988
Series
2007-HE2,
Class
1A4,
(1-mo.
CME
Term
SOFR
at
0.32%
Floor
+
0.43%),
5.76%,
03/25/37
...............
854
702,597
Series
2007-HE2,
Class
22A,
(1-mo.
CME
Term
SOFR
at
0.14%
Floor
+
0.25%),
5.58%,
03/25/37
...............
505
448,905
BSPRT
Issuer
Ltd.,
Series
2022-FL8,
Class
A,
(SOFR
30
day
Average
at
1.50%
Floor
+
1.50%),
6.82%,
02/15/37
(b)(c)
.........
730
713,593
Carrington
Mortgage
Loan
Trust,
Series
2007-
FRE1,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.50%
Floor
and
14.50%
Cap
+
0.61%),
5.94%,
02/25/37
(c)
................
1,788
1,266,820
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
(c)
.....................
1,089
1,028,444
Credit-Based
Asset
Servicing
&
Securitization
LLC,
Series
2007-CB6,
Class
A4,
(1-mo.
CME
Term
SOFR
at
0.34%
Floor
+
0.45%),
5.78%,
07/25/37
(b)(c)
...............
1,511
934,458
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
(continued)
CWABS
Asset-Backed
Certificates
Trust
(c)
Series
2006-18,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.45%
Floor
+
0.56%),
5.89%,
03/25/37
...............
USD
1,555
$
1,117,652
Series
2006-22,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.23%
Floor
+
0.34%),
5.67%,
05/25/47
...............
2,113
1,571,996
Series
2007-BC3,
Class
1A,
(1-mo.
CME
Term
SOFR
at
0.18%
Floor
+
0.29%),
5.62%,
11/25/47
...............
635
585,374
CWABS,
Inc.
Asset-Backed
Certificates
Trust,
Series
2004-6,
Class
2A4,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.34%,
11/25/34
(c)
......................
8
7,240
Dryden
XXVIII
Senior
Loan
Fund,
Series
2013-
28A,
Class
A1LR,
(3-mo.
CME
Term
SOFR
at
1.20%
Floor
+
1.46%),
6.83%,
08/15/30
(b)
(c)
...........................
930
927,942
FS
Rialto
Issuer
LLC
(b)(c)
Series
2022-FL6,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.58%
Floor
+
2.58%),
7.91%,
08/17/37
....................
350
350,000
Series
2022-FL7,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.90%
Floor
+
2.90%),
8.23%,
10/19/39
....................
540
540,337
GITSIT
Mortgage
Loan
Trust,
Series
2023-
NPL1,
Class
A1,
8.35%,
05/25/53
(a)(b)(c)
..
760
761,318
GSAA
Home
Equity
Trust,
Series
2006-5,
Class
1A1,
(1-mo.
CME
Term
SOFR
at
0.36%
Floor
+
0.47%),
5.80%,
03/25/36
(c)
.....
99
29,772
Home
Partners
of
America
Trust,
Series
2021-
3,
Class
F,
4.24%,
01/17/41
(b)
.........
1,841
1,498,819
KREF
Ltd.,
Series
2022-FL3,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.45%
Floor
+
1.45%),
6.78%,
02/17/39
(b)(c)
...............
2,950
2,883,625
Legacy
Mortgage
Asset
Trust,
Series
2019-
SL2,
Class
A,
3.38%,
02/25/59
(b)(c)
.....
1,044
974,137
Long
Beach
Mortgage
Loan
Trust
(c)
Series
2006-1,
Class
2A4,
(1-mo.
CME
Term
SOFR
at
0.60%
Floor
+
0.71%),
6.04%,
02/25/36
....................
643
491,313
Series
2006-7,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.32%
Floor
+
0.43%),
5.76%,
08/25/36
....................
1,595
591,689
Morgan
Stanley
IXIS
Real
Estate
Capital
Trust,
Series
2006-1,
Class
A3,
(1-mo.
CME
Term
SOFR
at
0.30%
Floor
+
0.41%),
5.74%,
07/25/36
(c)
.....................
413
160,697
Mosaic
Solar
Loan
Trust,
Series
2019-2A,
Class
A,
2.88%,
09/20/40
(b)
..........
40
33,733
New
Residential
Mortgage
Loan
Trust,
Series
2022-SFR1,
Class
F,
4.44%,
02/17/39
(b)
..
2,739
2,327,044
Option
One
Mortgage
Loan
Trust,
Series
2007-
FXD1,
Class
2A1,
5.87%,
01/25/37
(a)
....
982
766,524
Progress
Residential
Trust
(b)
Series
2019-SFR4,
Class
G,
3.93%,
10/17/36
....................
2,000
1,918,783
Series
2020-SFR3,
Class
G,
4.11%,
10/17/27
....................
2,750
2,518,701
Series
2021-SFR10,
Class
F,
4.61%,
12/17/40
....................
1,493
1,233,500
Series
2021-SFR11,
Class
F,
4.42%,
01/17/39
....................
2,000
1,627,316
Series
2022-SFR1,
Class
F,
4.88%,
02/17/41
....................
2,500
2,007,056
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
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
(continued)
Series
2023-SFR1,
Class
E1,
6.15%,
03/17/40
....................
USD
925
$
849,361
RASC
Series
Trust,
Series
2006-EMX9,
Class
1A4,
(1-mo.
CME
Term
SOFR
at
0.24%
Floor
and
14.00%
Cap
+
0.35%),
5.92%,
11/25/36
(c)
......................
1,196
932,953
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR1,
Class
A2B,
(1-mo.
CME
Term
SOFR
at
0.54%
Floor
+
0.65%),
5.98%,
02/25/37
(c)
................
1,966
799,687
Structured
Asset
Securities
Corp.
Mortgage
Loan
Trust,
Series
2007-MN1A,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.23%
Floor
+
0.34%),
5.67%,
01/25/37
(b)(c)
.........
1,153
622,692
Tricon
American
Homes
Trust,
Series
2020-
SFR1,
Class
F,
4.88%,
07/17/38
(b)
.....
1,050
977,947
WaMu
Asset-Backed
Certificates
Trust
(c)
Series
2007-HE1,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.26%
Floor
+
0.26%),
5.59%,
01/25/37
...............
1,215
545,616
Series
2007-HE2,
Class
2A3,
(1-mo.
CME
Term
SOFR
at
0.36%
Floor
+
0.36%),
5.69%,
04/25/37
...............
1,354
467,326
Washington
Mutual
Asset-Backed
CertificatesTrust,
Series
2007-HE2,
Class
2A1,
(1-mo.
CME
Term
SOFR
at
0.10%
Floor
+
0.21%),
5.54%,
02/25/37
(c)
.....
2,937
791,158
Total
Asset-Backed
Securities
—
18.9%
(Cost:
$53,545,701)
..............................
49,654,189
Corporate
Bonds
Financial
Services
—
0.2%
CRSO
Trust,
7.12%,
07/10/28
(b)
........
427
417,624
Total
Corporate
Bonds
—
0.2%
(Cost:
$427,564)
................................
417,624
Non-Agency
Mortgage-Backed
Securities
Collateralized
Mortgage
Obligations
—
20.0%
Alternative
Loan
Trust
Series
2005-54CB,
Class
3A1,
5.13%,
11/25/35
....................
1,111
564,383
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
(c)
....
1,820
933,014
Series
2006-45T1,
Class
2A7,
(1-mo.
CME
Term
SOFR
at
0.34%
Floor
and
7.00%
Cap
+
0.45%),
5.78%,
02/25/37
(c)
....
1,485
592,794
Series
2006-6CB,
Class
2A10,
6.00%,
05/25/36
....................
1,976
771,571
Series
2006-9T1,
Class
A4,
5.75%,
05/25/36
1,714
657,284
Series
2006-OC11,
Class
2A2A,
(1-mo.
CME
Term
SOFR
at
0.34%
Floor
+
0.45%),
5.78%,
01/25/37
(c)(d)
.......
—
(e)
66
Series
2007-19,
Class
1A34,
6.00%,
08/25/37
....................
758
369,859
Banc
of
America
Mortgage
Trust,
Series
2005-I,
Class
2A5,
4.75%,
10/25/35
(c)
........
76
68,511
Barclays
Mortgage
Trust
(b)
Series
2021-NPL1,
Class
A,
2.00%,
11/25/51
(a)
...................
2,467
2,211,964
Series
2021-NPL1,
Class
B,
4.62%,
11/25/51
(a)
...................
177
150,645
Series
2021-NPL1,
Class
C,
0.00%,
11/25/51
(d)
...................
390
383,850
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
BCAP
LLC
Trust,
Series
2012-RR3,
Class
3A8,
3.76%,
07/26/37
(b)(c)
...............
USD
1,360
$
1,149,092
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%),
5.76%,
01/25/47
(c)
.....................
648
508,422
CFMT
LLC,
Series
2023-HB11,
Class
M2,
4.00%,
02/25/37
(b)(c)
...............
1,250
1,060,785
Chase
Mortgage
Finance
Trust,
Series
2007-
S2,
Class
1A9,
6.00%,
03/25/37
.......
1,736
933,555
ChaseFlex
Trust,
Series
2007-1,
Class
2A7,
6.00%,
02/25/37
.................
1,918
691,573
CHL
Mortgage
Pass-Through
Trust
Series
2005-17,
Class
1A6,
5.50%,
09/25/35
24
21,719
Series
2006-21,
Class
A11,
5.75%,
02/25/37
1,175
510,363
Series
2006-OA4,
Class
A1,
(Federal
Reserve
US
12
Month
Cumulative
Average
1
Year
CMT
at
0.96%
Floor
+
0.96%),
5.76%,
04/25/46
(c)
........
1,241
371,436
Series
2007-8,
Class
1A4,
6.00%,
01/25/38
322
140,833
Citigroup
Mortgage
Loan
Trust
(c)
Series
2004-UST1,
Class
A4,
5.79%,
08/25/34
....................
436
395,731
Series
2015-A,
Class
B4,
4.50%,
06/25/58
(b)
1,230
1,060,238
CitiMortgage
Alternative
Loan
Trust,
Series
2007-A5,
Class
1A6,
6.00%,
05/25/37
...
515
431,102
CSMC
Trust
(b)
Series
2010-6R,
Class
2A6B,
6.25%,
07/26/37
....................
623
610,772
Series
2022-ATH2,
Class
A1,
4.55%,
05/25/67
(c)
...................
1,066
992,229
GSMPS
Mortgage
Loan
Trust,
Series
2005-
RP2,
Class
1AF,
(1-mo.
CME
Term
SOFR
at
0.35%
Floor
+
0.46%),
5.79%,
03/25/35
(b)(c)
833
722,351
GSR
Mortgage
Loan
Trust,
Series
2006-9F,
Class
3A1,
6.25%,
10/25/36
.........
567
480,819
Homeward
Opportunities
Fund
I
Trust
(b)(c)
Series
2020-2,
Class
B1,
5.45%,
05/25/65
1,985
1,713,394
Series
2020-2,
Class
M1,
3.90%,
05/25/65
2,625
2,328,206
Impac
Secured
Assets
Trust,
Series
2006-1,
Class
1A2B,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
and
11.50%
Cap
+
0.51%),
5.84%,
05/25/36
(c)
................
1,000
746,829
IndyMac
IMSC
Mortgage
Loan
Trust,
Series
2007-F2,
Class
1A4,
6.00%,
07/25/37
...
736
497,389
IndyMac
INDX
Mortgage
Loan
Trust,
Series
2006-AR15,
Class
A1,
(1-mo.
CME
Term
SOFR
at
0.24%
Floor
+
0.35%),
5.68%,
07/25/36
(c)
.....................
571
547,620
Lehman
XS
Trust,
Series
2007-16N,
Class
AF2,
(1-mo.
CME
Term
SOFR
at
1.90%
Floor
+
2.01%),
7.34%,
09/25/47
(c)
..........
933
1,167,062
MCM
Trust
(d)
Series
2021-VFN1,  3.00%,
08/25/28
...
641
615,833
Series
2021-VFN1,  3.00%,
08/28/28
...
405
266,920
New
Residential
Mortgage
Loan
Trust
(b)(c)
Series
2019-NQM5,
Class
A1,
2.71%,
11/25/59
....................
2,020
1,782,748
Series
2020-RPL1,
Class
B3,
3.88%,
11/25/59
....................
2,500
1,627,002
PRPM
LLC,
Series
2022-1,
Class
A1,
3.72%,
02/25/27
(a)(b)(c)
...................
1,553
1,474,818
RALI
Trust
(c)
Series
2005-QA4,
Class
A11,
4.43%,
04/25/35
....................
2,120
888,896
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
10
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Collateralized
Mortgage
Obligations
(continued)
Series
2007-QS1,
Class
1A5,
(1-mo.
CME
Term
SOFR
at
0.55%
Floor
and
6.00%
Cap
+
0.66%),
5.99%,
01/25/37
.....
USD
987
$
699,436
Reperforming
Loan
REMIC
Trust,
Series
2005-R3,
Class
AF,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
and
9.50%
Cap
+
0.51%),
5.84%,
09/25/35
(b)(c)
...............
146
121,564
Residential
Asset
Securitization
Trust
(c)
Series
2006-A7CB,
Class
2A2,
(1-mo.
CME
Term
SOFR
at
0.55%
Floor
and
6.50%
Cap
+
0.66%),
5.99%,
07/25/36
.....
2,605
508,152
Series
2006-A7CB,
Class
2A5,
(1-mo.
CME
Term
SOFR
at
0.25%
Floor
and
7.00%
Cap
+
0.36%),
5.69%,
07/25/36
.....
570
104,670
Series
2006-A7CB,
Class
2A6,
(1-mo.
CME
Term
SOFR
at
54.00%
Cap
+
53.08%),
10.49%,
07/25/36
..............
458
304,659
RFMSI
Trust
(c)
Series
2005-SA3,
Class
1A,
4.15%,
08/25/35
....................
1,699
781,224
Series
2006-SA2,
Class
2A1,
5.35%,
08/25/36
....................
100
68,205
RMF
Buyout
Issuance
Trust,
Series
2021-HB1,
Class
M6,
6.00%,
11/25/31
(b)(c)(d)
.......
1,683
1,007,712
Seasoned
Loans
Structured
Transaction
Trust
(b)
(c)
Series
2020-2,
Class
M1,
4.75%,
09/25/60
2,926
2,804,852
Series
2020-3,
Class
M1,
4.75%,
04/26/60
3,071
2,952,011
Spruce
Hill
Mortgage
Loan
Trust
(b)(c)
Series
2020-SH2,
Class
B1,
5.00%,
06/25/55
....................
2,764
2,526,625
Series
2022-SH1,
Class
A1A,
4.10%,
07/25/57
(a)
...................
1,247
1,130,645
TVC
Mortgage
Trust,
Series
2023-RTL1,
Class
A1,
8.25%,
11/25/27
(a)(b)
............
395
392,854
Verus
Securitization
Trust
(b)(c)
Series
2020-INV1,
Class
B1,
5.75%,
03/25/60
....................
1,100
955,216
Series
2023-INV1,
Class
M1,
7.60%,
02/25/68
....................
1,200
1,176,818
WaMu
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%),
5.60%,
06/25/47
(c)
................
1,705
1,257,587
Washington
Mutual
Mortgage
Pass-Through
Certificates
WMALT
Trust
Series
2005-11,
Class
A7,
5.75%,
01/25/36
1,157
928,039
Series
2005-9,
Class
5A1,
5.50%,
11/25/35
1,083
778,772
Series
2006-2,
Class
2CB,
6.50%,
03/25/36
722
426,372
Series
2006-2,
Class
3CB,
6.00%,
03/25/36
1,065
753,002
Series
2006-6,
Class
3CB1,
7.00%,
08/25/36
....................
2,816
1,114,907
Series
2006-AR8,
Class
2A,
(Federal
Reserve
US
12
Month
Cumulative
Average
1
Year
CMT
at
0.85%
Floor
+
0.85%),
5.65%,
10/25/46
(c)
........
106
84,863
Series
2007-5,
Class
A3,
7.00%,
06/25/37
208
156,380
Western
Mortgage
Reference
Notes
(b)(c)
Series
2021-CL2,
Class
M1,
(SOFR
30
day
Average
+
3.15%),
8.47%,
07/25/59
..
476
491,093
Series
2021-CL2,
Class
M2,
(SOFR
30
day
Average
+
3.70%),
9.02%,
07/25/59
..
681
683,239
52,650,575
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
—
24.6%
1211
Avenue
of
the
Americas
Trust,
Series
2015-1211,
Class
A1A2,
3.90%,
08/10/35
(b)
USD
370
$
345,876
280
Park
Avenue
Mortgage
Trust,
Series
2017-
280P,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.37%
Floor
+
2.42%),
7.75%,
09/15/34
(b)(c)
137
115,817
Alen
Mortgage
Trust,
Series
2021-ACEN,
Class
D,
(1-mo.
CME
Term
SOFR
at
3.10%
Floor
+
3.21%),
8.55%,
04/15/34
(b)(c)
........
276
187,798
Arbor
Multifamily
Mortgage
Securities
Trust,
Series
2020-MF1,
Class
E,
1.75%,
05/15/53
(b)
.....................
750
378,198
Ashford
Hospitality
Trust
(b)(c)
Series
2018-ASHF,
Class
D,
(1-mo.
CME
Term
SOFR
at
2.23%
Floor
+
2.27%),
7.61%,
04/15/35
...............
280
269,736
Series
2018-ASHF,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.23%
Floor
+
3.27%),
8.61%,
04/15/35
...............
229
220,176
BAMLL
Commercial
Mortgage
Securities
Trust
(b)(c)
Series
2018-DSNY,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.10%
Floor
+
1.15%),
6.48%,
09/15/34
...............
529
523,676
Series
2018-DSNY,
Class
D,
(1-mo.
CME
Term
SOFR
at
1.95%
Floor
+
2.00%),
7.33%,
09/15/34
...............
160
157,273
BANK
Series
2021-BN35,
Class
A5,
2.29%,
06/15/64
....................
730
549,373
Series
2021-BN38,
Class
A5,
2.52%,
12/15/64
....................
1,700
1,285,368
Bayview
Commercial
Asset
Trust
(b)(c)
Series
2006-3A,
Class
A2,
(1-mo.
CME
Term
SOFR
+
0.56%),
5.89%,
10/25/36
...
714
652,305
Series
2006-4A,
Class
A1,
(1-mo.
CME
Term
SOFR
+
0.46%),
5.78%,
12/25/36
...
592
539,260
BBCMS
Mortgage
Trust
Series
2018-TALL,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.87%
Floor
+
0.92%),
6.25%,
03/15/37
(b)(c)
.............
296
273,677
Series
2018-TALL,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.12%
Floor
+
1.17%),
6.50%,
03/15/37
(b)(c)
.............
150
130,125
Series
2020-C7,
Class
A5,
2.04%,
04/15/53
1,950
1,514,976
Series
2022-C18,
Class
ASB,
5.95%,
12/15/55
(c)
...................
650
637,966
Beast
Mortgage
Trust,
Series
2021-SSCP,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.75%
Floor
+
0.86%),
6.20%,
04/15/36
(b)(c)
....
691
673,672
BFLD
Trust,
Series
2020-EYP,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.70%
Floor
+
3.81%),
9.15%,
10/15/35
(b)(c)
...............
120
40,320
BHMS,
Series
2018-ATLS,
Class
C,
(1-mo.
CME
Term
SOFR
at
2.15%
Floor
+
2.20%),
7.53%,
07/15/35
(b)(c)
...............
269
261,234
BPR
Trust
(b)(c)
Series
2021-TY,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.05%
Floor
+
1.16%),
6.50%,
09/15/38
....................
1,000
962,141
Series
2021-TY,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.60%
Floor
+
3.71%),
9.05%,
09/15/38
....................
750
692,175
Series
2022-SSP,
Class
A,
(1-mo.
CME
Term
SOFR
at
3.00%
Floor
+
3.00%),
8.33%,
05/15/39
...............
370
366,534
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
11
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
BX
Commercial
Mortgage
Trust
(b)
Series
2019-XL,
Class
D,
(1-mo.
CME
Term
SOFR
at
1.45%
Floor
+
1.56%),
6.90%,
10/15/36
(c)
...................
USD
1,190
$
1,177,251
Series
2020-VIV3,
Class
B,
3.54%,
03/09/44
(c)
...................
683
553,294
Series
2020-VIV4,
Class
A,
2.84%,
03/09/44
1,370
1,087,631
Series
2021-SOAR,
Class
G,
(1-mo.
CME
Term
SOFR
at
2.80%
Floor
+
2.91%),
8.25%,
06/15/38
(c)
..............
139
131,709
Series
2021-VINO,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.77%
Floor
+
0.77%),
6.10%,
05/15/38
(c)
..............
620
606,958
Series
2021-VINO,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.92%
Floor
+
2.92%),
8.25%,
05/15/38
(c)
..............
132
124,975
Series
2021-XL2,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.69%
Floor
+
0.80%),
6.14%,
10/15/38
(c)
...................
2,692
2,626,400
Series
2022-CSMO,
Class
C,
(1-mo.
CME
Term
SOFR
at
3.89%
Floor
+
3.89%),
9.22%,
06/15/27
(c)
..............
260
259,674
Series
2022-LP2,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.01%
Floor
+
1.01%),
6.35%,
02/15/39
(c)
...................
1,369
1,328,714
Series
2022-LP2,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.31%
Floor
+
1.31%),
6.65%,
02/15/39
(c)
..............
1,256
1,214,712
BX
Trust
(b)
Series
2019-OC11,
Class
A,
3.20%,
12/09/41
....................
826
681,602
Series
2019-OC11,
Class
E,
3.94%,
12/09/41
(c)
...................
71
55,127
Series
2021-ARIA,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.35%,
10/15/36
(c)
..............
300
290,239
Series
2021-ARIA,
Class
G,
(1-mo.
CME
Term
SOFR
at
3.14%
Floor
+
3.26%),
8.59%,
10/15/36
(c)
..............
128
116,256
Series
2021-LBA,
Class
AJV,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.91%),
6.25%,
02/15/36
(c)
..............
705
689,764
Series
2021-MFM1,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.70%
Floor
+
0.81%),
6.15%,
01/15/34
(c)
..............
383
376,643
Series
2021-VIEW,
Class
D,
(1-mo.
CME
Term
SOFR
at
2.90%
Floor
+
3.01%),
8.35%,
06/15/36
(c)
..............
275
252,300
Series
2022-GPA,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.17%
Floor
+
2.17%),
7.50%,
08/15/39
(c)
..............
170
170,106
Series
2022-GPA,
Class
B,
(1-mo.
CME
Term
SOFR
at
2.66%
Floor
+
2.66%),
8.00%,
08/15/41
(c)
..............
700
700,438
Series
2022-GPA,
Class
D,
(1-mo.
CME
Term
SOFR
at
4.06%
Floor
+
4.06%),
9.40%,
08/15/43
(c)
..............
300
300,188
Series
2022-IND,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.49%
Floor
+
1.49%),
6.83%,
04/15/37
(c)
...................
112
110,511
Series
2022-LBA6,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.00%),
6.33%,
01/15/39
(c)
..............
700
682,899
Series
2022-VAMF,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.30%
Floor
+
3.30%),
8.63%,
01/15/39
(c)
..............
450
412,544
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
BXP
Trust,
Series
2021-601L,
Class
D,
2.78%,
01/15/44
(b)(c)
....................
USD
540
$
303,056
CFCRE
Commercial
Mortgage
Trust,
Series
2016-C7,
Class
A3,
3.84%,
12/10/54
....
600
560,105
CFK
Trust,
Series
2020-MF2,
Class
B,
2.79%,
03/15/39
(b)
.....................
336
283,131
Citigroup
Commercial
Mortgage
Trust,
Series
2019-PRM,
Class
E,
4.73%,
05/10/36
(b)(c)
.
100
99,736
COAST
Commercial
Mortgage
Trust,
Series
2023-2HTL,
Class
B,
(1-mo.
CME
Term
SOFR
at
3.34%
Floor
+
3.34%),
8.67%,
08/15/36
(b)(c)
....................
250
249,193
Cold
Storage
Trust
(b)(c)
Series
2020-ICE5,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.01%),
6.35%,
11/15/37
...............
688
680,431
Series
2020-ICE5,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.49%
Floor
+
3.61%),
8.94%,
11/15/37
...............
703
692,063
Commercial
Mortgage
Trust
Series
2014-UBS2,
Class
A5,
3.96%,
03/10/47
....................
306
304,167
Series
2015-CR25,
Class
A3,
3.51%,
08/10/48
....................
492
473,547
Series
2015-CR25,
Class
C,
4.52%,
08/10/48
(c)
...................
255
229,533
Series
2015-LC19,
Class
B,
3.83%,
02/10/48
(c)
...................
806
736,674
Series
2017-PANW,
Class
A,
3.24%,
10/10/29
(b)
...................
1,580
1,443,967
Credit
Suisse
Mortgage
Capital
Certificates
(b)(c)
Series
2019-ICE4,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.98%
Floor
+
1.03%),
6.36%,
05/15/36
...............
549
546,547
Series
2019-ICE4,
Class
E,
(1-mo.
CME
Term
SOFR
at
2.15%
Floor
+
2.20%),
7.53%,
05/15/36
...............
279
274,875
CSAIL
Commercial
Mortgage
Trust,
Series
2019-C16,
Class
C,
4.24%,
06/15/52
(c)
..
251
186,837
CSMC
Trust
(b)
Series
2020-FACT,
Class
F,
(1-mo.
CME
Term
SOFR
at
6.16%
Floor
+
6.27%),
11.86%,
10/15/37
(c)
.............
600
509,050
Series
2020-NET,
Class
C,
3.53%,
08/15/37
100
88,271
Series
2021-980M,
Class
E,
3.54%,
07/15/31
(c)
...................
365
295,201
Series
2021-BHAR,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.50%
Floor
+
3.61%),
8.95%,
11/15/38
(c)
..............
300
289,855
Series
2022-NWPT,
Class
A,
(1-mo.
CME
Term
SOFR
at
3.14%
Floor
+
3.14%),
8.48%,
09/09/24
(c)
..............
380
382,349
DBGS
Mortgage
Trust,
Series
2018-BIOD,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.00%
Floor
+
2.30%),
7.63%,
05/15/35
(b)(c)
....
210
202,903
Extended
Stay
America
Trust
(b)(c)
Series
2021-ESH,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.08%
Floor
+
1.19%),
6.53%,
07/15/38
...............
366
361,403
Series
2021-ESH,
Class
F,
(1-mo.
CME
Term
SOFR
at
3.70%
Floor
+
3.81%),
9.15%,
07/15/38
...............
766
743,353
Great
Wolf
Trust,
Series
2019-WOLF,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.03%
Floor
+
1.15%),
6.48%,
12/15/36
(b)(c)
.........
608
604,620
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
12
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
GS
Mortgage
Securities
Corp.
II
(b)
Series
2005-ROCK,
Class
A,
5.37%,
05/03/32
....................
USD
335
$
324,246
Series
2023-SHIP,
Class
E,
7.43%,
09/10/38
(c)
...................
700
673,874
GS
Mortgage
Securities
Corp.
Trust
(b)(c)
Series
2021-IP,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.55%
Floor
+
3.66%),
9.00%,
10/15/36
....................
300
267,060
Series
2021-STAR,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.40%
Floor
+
1.51%),
6.85%,
12/15/36
...............
870
848,193
Series
2022-AGSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.69%),
8.03%,
11/15/27
...............
380
378,662
Series
2023-FUN,
Class
B,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.79%),
8.12%,
03/15/28
...............
280
276,845
Hawaii
Hotel
Trust,
Series
2019-MAUI,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.15%
Floor
+
1.20%),
6.53%,
05/15/38
(b)(c)
.........
250
247,018
Hilton
USA
Trust,
Series
2016-HHV,
Class
C,
4.19%,
11/05/38
(b)(c)
...............
519
477,096
HONO
Mortgage
Trust
(b)(c)
Series
2021-LULU,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.35%
Floor
+
3.46%),
8.80%,
10/15/36
...............
590
536,956
Series
2021-LULU,
Class
F,
(1-mo.
CME
Term
SOFR
at
4.40%
Floor
+
4.51%),
9.85%,
10/15/36
...............
410
370,582
Hudson
Yards
Mortgage
Trust,
Series
2019-
30HY,
Class
D,
3.44%,
07/10/39
(b)(c)
....
208
158,159
IMT
Trust,
Series
2017-APTS,
Class
BFX,
3.50%,
06/15/34
(b)(c)
...............
1,250
1,214,648
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
(b)(c)
Series
2016-NINE,
Class
A,
2.85%,
09/06/38
....................
640
566,463
Series
2016-NINE,
Class
B,
2.85%,
09/06/38
....................
654
557,255
Series
2021-MHC,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.91%),
6.25%,
04/15/38
...............
576
568,789
Series
2022-CGSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.97%
Floor
+
2.47%),
7.81%,
12/15/36
...............
560
559,989
Series
2022-NXSS,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.18%
Floor
+
2.18%),
7.51%,
09/15/39
...............
539
538,996
Series
2022-OPO,
Class
D,
3.45%,
01/05/39
350
176,750
Lehman
Brothers
Small
Balance
Commercial
Mortgage
Trust,
Series
2007-2A,
Class
M1,
(1-mo.
CME
Term
SOFR
at
0.40%
Floor
+
0.51%),
5.84%,
06/25/37
(b)(c)
.........
763
752,997
Life
Mortgage
Trust,
Series
2021-BMR,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.35%
Floor
+
2.46%),
7.80%,
03/15/38
(b)(c)
.........
164
155,970
LUX
Trust,
Series
2023-LION,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.69%
Floor
+
2.69%),
8.02%,
08/15/40
(b)(c)
...............
128
128,646
Med
Trust
(b)(c)
Series
2021-MDLN,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.95%
Floor
+
1.06%),
6.40%,
11/15/38
...............
554
538,017
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
Series
2021-MDLN,
Class
E,
(1-mo.
CME
Term
SOFR
at
3.15%
Floor
+
3.26%),
8.60%,
11/15/38
...............
USD
146
$
138,966
Series
2021-MDLN,
Class
G,
(1-mo.
CME
Term
SOFR
at
5.25%
Floor
+
5.36%),
10.70%,
11/15/38
..............
244
228,907
MF1
Multifamily
Housing
Mortgage
Loan
Trust
(b)
(c)
Series
2021-W10,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.07%
Floor
+
1.07%),
6.40%,
12/15/34
...............
470
456,947
Series
2021-W10,
Class
G,
(1-mo.
CME
Term
SOFR
at
4.22%
Floor
+
4.22%),
9.55%,
12/15/34
...............
300
279,345
MFT
Trust,
Series
2020-ABC,
Class
C,
3.48%,
02/10/42
(b)(c)
....................
192
102,453
MHC
Commercial
Mortgage
Trust,
Series
2021-
MHC,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.80%
Floor
+
0.92%),
6.25%,
04/15/38
(b)(c)
351
345,966
MIRA
Trust,
Series
2023-MILE,
Class
A,
6.75%,
06/10/38
(b)
.....................
128
124,419
Morgan
Stanley
Capital
I
Trust
Series
2014-150E,
Class
A,
3.91%,
09/09/32
(b)
...................
595
452,200
Series
2017-HR2,
Class
D,
2.73%,
12/15/50
(b)
...................
555
371,678
Series
2018-H4,
Class
A4,
4.31%,
12/15/51
1,824
1,653,392
Series
2018-SUN,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.90%
Floor
+
1.20%),
6.54%,
07/15/35
(b)(c)
.............
595
587,555
Natixis
Commercial
Mortgage
Securities
Trust,
Series
2018-FL1,
Class
A,
(US
Prime
Rate
+
1.06%),
8.50%,
06/15/35
(b)(c)
.........
48
45,784
One
Bryant
Park
Trust,
Series
2019-OBP,
Class
A,
2.52%,
09/15/54
(b)
..............
1,072
839,453
PKHL
Commercial
Mortgage
Trust,
Series
2021-MF,
Class
NR,
(1-mo.
CME
Term
SOFR
at
6.00%
Floor
+
6.11%),
11.45%,
07/15/38
(b)(c)
....................
300
220,719
SMRT,
Series
2022-MINI,
Class
A,
(1-mo.
CME
Term
SOFR
at
1.00%
Floor
+
1.00%),
6.33%,
01/15/39
(b)(c)
...............
566
549,691
SREIT
Trust
(b)(c)
Series
2021-MFP,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.73%
Floor
+
0.85%),
6.18%,
11/15/38
...............
600
587,031
Series
2021-MFP,
Class
F,
(1-mo.
CME
Term
SOFR
at
2.63%
Floor
+
2.74%),
8.07%,
11/15/38
...............
750
712,414
Series
2021-MFP2,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.82%
Floor
+
0.94%),
6.27%,
11/15/36
...............
1,255
1,231,018
STWD
Trust,
Series
2021-FLWR,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.58%
Floor
+
0.69%),
6.03%,
07/15/36
(b)(c)
.........
1,208
1,177,717
Taubman
Centers
Commercial
Mortgage
Trust,
Series
2022-DPM,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.19%
Floor
+
2.19%),
7.52%,
05/15/37
(b)(c)
...............
500
492,344
TPGI
Trust,
Series
2021-DGWD,
Class
A,
(1-mo.
CME
Term
SOFR
at
0.70%
Floor
+
0.81%),
6.15%,
06/15/26
(b)(c)
.........
547
536,907
Velocity
Commercial
Capital
Loan
Trust
(b)(c)
Series
2019-3,
Class
M4,
3.68%,
10/25/49
1,239
975,984
Series
2019-3,
Class
M6,
6.03%,
10/25/49
1,348
929,235
Series
2020-1,
Class
M4,
3.54%,
02/25/50
641
493,690
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
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)
Series
2021-4,
Class
M5,
5.68%,
12/26/51
USD
1,970
$
1,374,905
Wells
Fargo
Commercial
Mortgage
Trust
(c)
Series
2015-C30,
Class
B,
4.40%,
09/15/58
500
460,716
Series
2016-C32,
Class
B,
4.73%,
01/15/59
500
453,751
Series
2016-NXS5,
Class
C,
4.98%,
01/15/59
....................
133
101,620
Series
2018-1745,
Class
A,
3.75%,
06/15/36
(b)
...................
1,990
1,639,791
Series
2018-AUS,
Class
A,
4.06%,
08/17/36
(b)
...................
620
547,218
Series
2020-SDAL,
Class
B,
(1-mo.
CME
Term
SOFR
at
1.34%
Floor
+
1.45%),
6.79%,
02/15/37
(b)
..............
405
399,217
WMRK
Commercial
Mortgage
Trust,
Series
2022-WMRK,
Class
A,
(1-mo.
CME
Term
SOFR
at
2.79%
Floor
+
2.79%),
8.12%,
11/15/27
(b)(c)
....................
660
659,170
64,755,892
Interest
Only
Collateralized
Mortgage
Obligations
—
0.1%
(c)
Alternative
Loan
Trust,
Series
2006-45T1,
Class
2A8,
(1-mo.
CME
Term
SOFR
at
6.60%
Cap
+
6.49%),
1.16%,
02/25/37
..
742
83,197
GSR
Mortgage
Loan
Trust,
Series
2007-3F,
Class
4A2,
(1-mo.
CME
Term
SOFR
at
6.70%
Cap
+
6.59%),
1.26%,
05/25/37
..
3,866
345,813
429,010
Interest
Only
Commercial
Mortgage-Backed
Securities
—
1.3%
(c)
BANK,
Series
2017-BNK9,
Class
XA,
0.76%,
11/15/54
.......................
3,407
77,081
BBCMS
Mortgage
Trust
Series
2020-C7,
Class
XA,
1.62%,
04/15/53
2,990
188,451
Series
2020-C7,
Class
XB,
0.99%,
04/15/53
1,000
53,866
Series
2023-C20,
Class
XA,
0.85%,
07/15/56
....................
12,003
645,594
Benchmark
Mortgage
Trust
Series
2020-B17,
Class
XB,
(1-mo.
LIBOR
USD
+
0.00%),
0.53%,
03/15/53
....
15,395
371,848
Series
2023-V3,
Class
XA,
0.81%,
07/15/56
19,998
658,405
Citigroup
Commercial
Mortgage
Trust,
Series
2020-420K,
Class
X,
0.80%,
11/10/42
(b)
..
3,975
181,043
CSAIL
Commercial
Mortgage
Trust
Series
2018-C14,
Class
XA,
0.54%,
11/15/51
....................
1,076
23,075
Series
2019-C16,
Class
XA,
1.54%,
06/15/52
....................
3,888
243,322
MIRA
Trust,
Series
2023-MILE,
Class
X,
0.02%,
06/10/38
(b)
.....................
28,000
110,493
ORL
Trust,
Series
2023-GLKS,
Class
XCP,
0.48%,
10/15/28
(b)(d)
...............
115,920
525,002
UBS
Commercial
Mortgage
Trust,
Series
2019-
C17,
Class
XA,
1.46%,
10/15/52
......
3,191
196,381
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2017-C41,
Class
XA,
1.15%,
11/15/50
.......................
3,608
132,335
3,406,896
Total
Non-Agency
Mortgage-Backed
Securities
—
46.0%
(Cost:
$132,117,117)
.............................
121,242,373
Security
Par
(000)
Par
(000)
Value
U.S.
Government
Sponsored
Agency
Securities
Collateralized
Mortgage
Obligations
—
0.3%
Federal
Home
Loan
Mortgage
Corp.,
Series
4161,
Class
BW,
2.50%, 02/15/43
.....
USD
200
$
158,333
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%),
5.78%, 12/15/29
(c)
......
2
1,862
Federal
National
Mortgage
Association
Series
2010-134,
Class
KZ,
4.50%, 12/25/40
105
82,562
Series
2010-141,
Class
LZ,
4.50%, 12/25/40
217
188,069
Series
2011-131,
Class
LZ,
4.50%, 12/25/41
150
121,290
Federal
National
Mortgage
Association
Variable
Rate
Notes,
Series
2018-32,
Class
PS,
(SOFR
30
day
Average
at
7.23%
Cap
+
7.10%),
0.89%, 05/25/48
(c)
..........
162
122,653
Government
National
Mortgage
Association,
Series
2019-29,
Class
HY,
3.50%, 03/20/49
100
71,404
Government
National
Mortgage
Association
Variable
Rate
Notes,
Series
2014-107,
Class
WX,
6.69%, 07/20/39
(c)
.............
155
155,382
901,555
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%),
3.66%, 04/25/28
(b)(c)
...............
288
235,682
Government
National
Mortgage
Association,
Series
2019-53,
Class
V,
2.75%, 08/16/31
169
149,682
385,364
Interest
Only
Collateralized
Mortgage
Obligations
—
5.9%
Federal
Home
Loan
Mortgage
Corp.
Series
4062,
Class
GI,
4.00%, 02/15/41
.
82
3,942
Series
5159,
Class
KI,
3.00%, 11/25/51
..
567
76,865
Series
5159,
Class
PI,
3.00%, 11/25/51
..
873
130,882
Series
5176,
Class
QI,
3.00%, 12/25/51
.
568
87,947
Federal
Home
Loan
Mortgage
Corp.
Variable
Rate
Notes
(c)
Series
4119,
Class
SC,
(SOFR
30
day
Average
at
6.15%
Cap
+
6.04%),
0.72%, 10/15/42
...............
643
49,666
Series
4901,
Class
CS,
(SOFR
30
day
Average
at
6.10%
Cap
+
5.99%),
0.66%, 07/25/49
...............
459
33,038
Series
4941,
Class
SH,
(SOFR
30
day
Average
at
5.95%
Cap
+
5.84%),
0.51%, 12/25/49
...............
424
27,365
Federal
National
Mortgage
Association
Series
2013-10,
Class
PI,
3.00%, 02/25/43
463
55,134
Series
2014-68,
Class
YI,
4.50%, 11/25/44
204
41,824
Series
2017-68,
Class
IE,
4.50%, 09/25/47
600
109,505
Series
2021-23,
Class
CI,
3.50%, 07/25/46
608
102,246
Series
2021-41,
3.50%, 07/25/51
......
726
128,001
Federal
National
Mortgage
Association
Variable
Rate
Notes
(c)
Series
2016-60,
Class
SD,
(SOFR
30
day
Average
at
6.10%
Cap
+
5.99%),
0.66%, 09/25/46
...............
905
48,556
Series
2016-78,
Class
CS,
(SOFR
30
day
Average
at
6.10%
Cap
+
5.99%),
0.66%, 05/25/39
...............
1,156
60,718
Series
2017-70,
Class
SA,
(SOFR
30
day
Average
at
6.15%
Cap
+
6.04%),
0.71%, 09/25/47
...............
587
48,560
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
14
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Interest
Only
Collateralized
Mortgage
Obligations
(continued)
Series
2019-5,
Class
SA,
(SOFR
30
day
Average
at
6.10%
Cap
+
5.99%),
0.66%, 03/25/49
...............
USD
721
$
51,411
Government
National
Mortgage
Association
Series
2021-58,
Class
IY,
3.00%, 02/20/51
18,599
2,857,400
Series
2021-64,
Class
IH,
3.00%, 02/20/51
20,097
3,214,275
Series
2021-97,
Class
LI,
3.00%, 08/20/50
22,234
3,423,017
Series
2021-104,
Class
IH,
3.00%, 06/20/51
1,037
158,661
Series
2022-88,
Class
IA,
3.00%, 08/20/50
29,226
4,676,415
Government
National
Mortgage
Association
Variable
Rate
Notes,
Series
2017-101,
Class
SL,
(1-mo.
CME
Term
SOFR
at
6.20%
Cap
+
6.09%),
0.75%, 07/20/47
(c)
.........
391
30,761
15,416,189
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.5%
(c)
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes
Series
K110,
Class
X1,
1.70%, 04/25/30
.
5,315
430,345
Series
KPLB2,
Class
X,
0.26%, 06/25/33
.
16,982
373,556
Government
National
Mortgage
Association
Variable
Rate
Notes
Series
2016-151,
0.81%, 06/16/58
.....
8,659
323,797
Series
2020-43,
1.26%, 11/16/61
......
2,127
149,446
1,277,144
Mortgage-Backed
Securities
—
61.0%
Federal
Home
Loan
Mortgage
Corp.
2.50%, 03/01/30
-
04/01/31
..........
522
484,589
3.00%, 09/01/27
-
12/01/46
..........
862
731,271
3.50%, 12/01/41
-
01/01/48
..........
1,105
958,863
4.00%, 08/01/40
-
12/01/45
..........
329
293,616
4.50%, 07/01/26
-
09/01/48
..........
456
420,581
5.00%, 05/01/35
-
02/01/42
..........
592
567,270
5.50%, 02/01/35
-
06/01/41
..........
320
314,692
6.00%, 08/01/28
-
11/01/39
..........
14
14,114
Federal
National
Mortgage
Association
3.50%, 11/01/46
.................
326
278,492
4.00%, 01/01/41
.................
27
23,525
6.00%, 07/01/39
.................
243
242,861
Federal
National
Mortgage
Association
Variable
Rate
Notes
(c)
3.06%, 09/01/27
.................
161
149,090
3.22%, 03/01/27
.................
490
459,012
Government
National
Mortgage
Association
3.00%, 02/15/45
-
01/20/51
..........
686
572,670
3.50%, 01/15/42
-
10/20/46
..........
828
723,458
4.00%, 04/20/39
-
06/20/50
..........
2,642
2,355,687
4.50%, 09/20/39
-
04/20/47
..........
1,478
1,380,976
5.00%, 12/15/34
-
07/20/44
..........
1,022
984,268
5.50%, 07/15/38
-
12/20/41
..........
350
345,001
6.50%, 10/15/38
-
02/20/41
..........
113
115,359
Uniform
Mortgage-Backed
Securities
1.50%, 11/25/38
-
11/25/53
(f)
.........
8,437
6,371,891
2.00%, 10/01/31
-
03/01/52
..........
8,436
6,326,239
2.00%, 11/25/53
(f)
................
13,801
10,132,953
2.50%, 04/01/30
-
03/01/32
..........
841
778,006
2.50%, 11/25/38
-
11/25/53
(f)
.........
24,981
19,323,673
Security
Par
(000)
Par
(000)
Value
Mortgage-Backed
Securities
(continued)
3.00%, 04/01/28
-
08/01/50
..........
USD
2,604
$
2,306,608
3.00%, 11/25/53
(f)
................
10,806
8,644,907
3.50%, 11/01/27
-
06/01/52
..........
9,617
8,086,851
4.00%, 08/01/31
-
05/01/52
..........
5,290
4,671,320
4.00%, 11/25/53
(f)
................
2,697
2,329,783
4.50%, 07/01/24
-
07/01/48
..........
1,615
1,485,824
4.50%, 10/01/52
(g)
................
11,291
10,147,427
4.50%, 11/25/53
(f)
................
25,611
22,867,597
5.00%, 06/01/26
-
10/01/52
..........
7,207
6,729,609
5.00%, 11/25/53
(f)
................
16,429
15,145,577
5.50%, 06/01/24
-
03/01/40
..........
481
472,685
5.50%, 03/01/53
(g)
................
11,716
11,157,449
6.00%, 12/01/32
-
09/01/40
..........
321
321,912
6.00%, 11/25/53
(f)
................
12,251
11,920,621
6.50%, 09/01/36
-
05/01/40
..........
85
86,438
160,722,765
Principal
Only
Collateralized
Mortgage
Obligations
—
0.6%
Government
National
Mortgage
Association,
Series
2023-130,
Class
OD,
5.93%, 09/20/53
.................
2,190
1,519,814
Total
U.S.
Government
Sponsored
Agency
Securities
—
68.4%
(Cost:
$188,708,764)
.............................
180,222,831
Total
Long-Term
Investments
—
133.5%
(Cost:
$374,799,146)
.............................
351,537,017
Shares
Shares
Short-Term
Securities
Money
Market
Funds
—
0.8%
Dreyfus
Treasury
Prime
Cash
Management
Institutional
Shares,
5.29%
(h)
.........
2,171,816
2,171,816
Total
Money
Market
Funds
—
0.8%
(Cost:
$2,171,816)
..............................
2,171,816
Par
(000)
Pa
r
(
000)
U.S.
Treasury
Obligations
—
2.5%
U.S.
Treasury
Bills
,
5.34%, 12/14/23
(i)
.....
6,663
6,620,879
Total
U.S.
Treasury
Obligations
—
2.5%
(Cost:
$6,620,913)
..............................
6,620,879
Total
Short-Term
Securities
—
3.3%
(Cost:
$8,792,729)
..............................
8,792,695
Total
Investments
Before
Options
Written
—
136.8%
(Cost:
$383,591,875
)
.............................
360,329,712
Total
Options
Written
—
(0.3)%
(Premium
Received
—
$(450,347))
...................
(729,744)
Total
Investments
Net
of
Options
Written
—
136.5%
(Cost:
$383,141,528
)
.............................
359,599,968
Liabilities
in
Excess
of
Other
Assets
—
(36.5)%
...........
(96,191,157)
Net
Assets
—
100.0%
..............................
$
263,408,811
(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)
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.
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
15
(d)
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
(e)
Rounds
to
less
than
1,000.
(f)
Represents
or
includes
a
TBA
transaction.
(g)
All
or
a
portion
of
the
security
has
been
pledged
as
collateral
in
connection
with
outstanding
TBA
commitments.
(h)
Annualized
7-day
yield
as
of
period
end.
(i)
Rates
are
discount
rates
or
a
range
of
discount
rates
as
of
period
end.
For
Fund
compliance
purposes,
the
Fund's
industry
classifications
refer
to
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
rating
group
indexes,
and/or
as
defined
by
the
investment
adviser.
These
definitions
may
not
apply
for
purposes
of
this
report,
which
may
combine
such
industry
sub-classifications
for
reporting
ease.
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
16
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
Long
Bond
.....................................................
67
12/19/23
$
7,299
$
(737,649)
U.S.
Treasury
Ultra
Bond
.....................................................
58
12/19/23
6,472
(933,419)
U.S.
Treasury
2-Year
Note
....................................................
61
12/29/23
12,350
(50,500)
(1,721,568)
Short
Contracts
3-mo.
SOFR
.............................................................
2
12/19/23
473
3,134
U.S.
Treasury
10-Year
Note
...................................................
125
12/19/23
13,254
301,393
U.S.
Treasury
10-Year
Ultra
Note
...............................................
30
12/19/23
3,256
87,563
U.S.
Treasury
5-Year
Note
....................................................
515
12/29/23
53,789
365,325
3-mo.
SOFR
.............................................................
2
03/19/24
473
8,475
3-mo.
SOFR
.............................................................
2
06/18/24
473
822
3-mo.
SOFR
.............................................................
2
09/17/24
474
(428)
766,284
$
(955,284)
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
$
(45,603)
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
(48,381)
(93,984)
Put
2-Year
Interest
Rate
Swap
(a)
.
1-day
SOFR
Annual
3.41%
Semi-Annual
Deutsche
Bank
AG
11/17/23
3.41
USD
9,400
(266,816)
2-Year
Interest
Rate
Swap
(a)
.
1-day
SOFR
Annual
4.15%
Semi-Annual
Deutsche
Bank
AG
12/11/23
4.15
USD
10,300
(144,359)
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
(114,000)
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
(110,585)
(635,760)
$
(729,744)
(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)
1-day
SOFR
Annual
4.18%
Annual
03/23/25
USD
5,800
$
(118,243)
$
—
$
(118,243)
1-day
SOFR
Annual
3.99%
Annual
08/10/25
USD
7,700
(161,524)
—
(161,524)
1-day
SOFR
Annual
4.07%
Annual
08/16/25
USD
7,700
(148,146)
—
(148,146)
0.18%
Quarterly
1-day
EFFR
Quarterly
10/21/25
USD
159
14,247
—
14,247
1-day
SOFR
Quarterly
0.17%
Quarterly
10/21/25
USD
159
(14,349)
—
(14,349)
0.56%
Quarterly
1-day
EFFR
Quarterly
10/21/30
USD
47
10,886
—
10,886
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
17
Centrally
Cleared
Interest
Rate
Swaps
(continued)
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)
1-day
SOFR
Quarterly
0.53%
Quarterly
10/21/30
USD
47
$
(11,089)
$
—
$
(11,089)
$
(428,218)
$
—
$
(428,218)
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
$
730,592
$
289,397
$
441,195
$
–
$
–
$
–
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
$
(30,215)
$
(4,822)
$
(25,393)
CMBX.NA.9.A
........
2.00
Monthly
Morgan
Stanley
&
Co.
International
plc
09/17/58
A
USD
275
(30,215)
(4,898)
(25,317)
CMBX.NA.9.BBB-
.....
3.00
Monthly
Deutsche
Bank
AG
09/17/58
BBB-
USD
2,197
(517,778)
(224,481)
(293,297)
CMBX.NA.9.BBB-
.....
3.00
Monthly
Goldman
Sachs
International
09/17/58
BBB-
USD
1,012
(238,503)
(40,875)
(197,628)
CMBX.NA.15.BBB-
....
3.00
Monthly
Morgan
Stanley
&
Co.
International
plc
11/18/64
BBB-
USD
500
(136,125)
(90,416)
(45,709)
$
(952,836)
$
(365,492)
$
(587,344)
(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
5.32
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)
............................................
$
—
$
—
$
25,133
$
(453,351)
$
—
OTC
Swaps
.....................................................
289,397
(365,492)
441,195
(587,344)
—
Options
Written
...................................................
N/A
N/A
62,106
(341,503)
(729,744)
(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.
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
18
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)
......
$
—
$
—
$
—
$
—
$
766,712
$
—
$
766,712
Swaps
—
centrally
cleared
Unrealized
appreciation
on
centrally
cleared
swaps
(a)
.
—
—
—
—
25,133
—
25,133
Swaps
—
OTC
Unrealized
appreciation
on
OTC
swaps;
Swap
premiums
paid
................................
—
730,592
—
—
—
—
730,592
$
—
$
730,592
$
—
$
—
$
791,845
$
—
$
1,522,437
Liabilities
—
Derivative
Financial
Instruments
Futures
contracts
Unrealized
depreciation
on
futures
contracts
(a)
......
$
—
$
—
$
—
$
—
$
1,721,996
$
—
$
1,721,996
Options
written
(b)
Options
written
at
value
.....................
—
—
—
—
729,744
—
729,744
Swaps
—
centrally
cleared
Unrealized
depreciation
on
centrally
cleared
swaps
(a)
.
—
—
—
—
453,351
—
453,351
Swaps
—
OTC
Unrealized
depreciation
on
OTC
swaps;
Swap
premiums
received
.............................
—
952,836
—
—
—
—
952,836
$
—
$
952,836
$
—
$
—
$
2,905,091
$
—
$
3,857,927
(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
October
31,
2023,
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
contracts
.......................
$
—
$
—
$
—
$
—
$
781,091
$
—
$
781,091
Options
written
........................
—
—
—
—
324,810
—
324,810
Swaps
..............................
—
15,950
—
—
1,780
—
17,730
$
—
$
15,950
$
—
$
—
$
1,107,681
$
—
$
1,123,631
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Futures
contracts
.......................
$
—
$
—
$
—
$
—
$
(413,788)
$
—
$
(413,788)
Options
written
........................
—
—
—
—
(268,995)
—
(268,995)
Swaps
..............................
—
(20,677)
—
—
(487,082)
—
(507,759)
$
—
$
(20,677)
$
—
$
—
$
(1,169,865)
$
—
$
(1,190,542)
Average
Quarterly
Balances
of
Outstanding
Derivative
Financial
Instruments
Futures
contracts
Average
notional
value
of
contracts
—
long
..................................................................................
$
31,606,493
Average
notional
value
of
contracts
—
short
.................................................................................
$
73,633,421
Options
Average
notional
value
of
swaption
contracts
written
...........................................................................
$
43,450,000
Credit
default
swaps
Average
notional
value
—
buy
protection
...................................................................................
$
3,100,000
Average
notional
value
—
sell
protection
...................................................................................
$
4,259,000
Interest
rate
swaps
Average
notional
value
—
pays
fixed
rate
...................................................................................
$
206,279
Average
notional
value
—
receives
fixed
rate
................................................................................
$
13,706,279
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
Schedule
of
Investments
19
Derivative
Financial
Instruments
—
Offsetting
as
of
Period
End
The
Fund's
derivative
assets
and
liabilities
(by
type)
were
as
follows:
Assets
Liabilities
Derivative
Financial
Instruments
$
—
Futures
contracts
....................................................................................
$
70,131
$
54,211
Options
(a)
.........................................................................................
—
729,744
Swaps
—
centrally
cleared
..............................................................................
—
25,936
Swaps
—
OTC
(b)
.....................................................................................
730,592
952,836
Total
derivative
assets
and
liabilities
in
the
Statement
of
Assets
and
Liabilities
.............................................
$
800,723
$
1,762,727
Derivatives
not
subject
to
a
Master
Netting
Agreement
or
similar
agreement
("MNA")
........................................
(70,131)
(80,147)
Total
derivative
assets
and
liabilities
subject
to
an
MNA
............................................................
$
730,592
$
1,682,580
(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
Non-cash
Collateral
Received
Cash
Collateral
Received
(a)
Net
Amount
of
Derivative
Assets
JPMorgan
Securities
LLC
...........................
$
730,592
$
—
$
—
$
(730,592)
$
—
Counterparty
Derivative
Liabilities
Subject
to
an
MNA
by
Counterparty
Derivatives
Available
for
Offset
Non-cash
Collateral
Pledged
Cash
Collateral
Pledged
(a)
Net
Amount
of
Derivative
Liabilities
(b)
Bank
of
America
NA
..............................
$
158,966
$
—
$
—
$
—
$
158,966
Deutsche
Bank
AG
...............................
928,953
—
—
(852,000)
76,953
Goldman
Sachs
International
........................
428,321
—
—
(428,321)
—
Morgan
Stanley
&
Co.
International
plc
..................
166,340
—
—
(100,000)
66,340
$
1,682,580
$
—
$
—
$
(1,380,321)
$
302,259
(a)
Excess
of
collateral
received/pledged,
if
any,
from
the
individual
counterparty
is
not
shown
for
financial
reporting
purposes.
(b)
Net
amount
represents
the
net
amount
payable
due
to
the
counterparty
in
the
event
of
default.
Net
amount
may
be
offset
further
by
the
options
receivable/payable
on
the
Statement
of
Assets
and
Liabilities.
2023
BlackRock
Semi-Annual
Report
To
Shareholders
Schedule
of
Investments
(unaudited)
(continued)
October
31,
2023
BlackRock
U.S.
Mortgage
Portfolio
20
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.
See
notes
to
financial
statements.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Asset-Backed
Securities
...................................
$
—
$
49,654,189
$
—
$
49,654,189
Corporate
Bonds
........................................
—
417,624
—
417,624
Non-Agency
Mortgage-Backed
Securities
........................
—
118,442,990
2,799,383
121,242,373
U.S.
Government
Sponsored
Agency
Securities
....................
—
180,222,831
—
180,222,831
Short-Term
Securities
Money
Market
Funds
......................................
2,171,816
—
—
2,171,816
U.S.
Treasury
Obligations
...................................
—
6,620,879
—
6,620,879
$
2,171,816
$
355,358,513
$
2,799,383
$
360,329,712
Derivative
Financial
Instruments
(a)
Assets
Credit
contracts
...........................................
$
—
$
441,195
$
—
$
441,195
Interest
rate
contracts
.......................................
766,712
25,133
—
791,845
Liabilities
Credit
contracts
...........................................
—
(587,344)
—
(587,344)
Interest
rate
contracts
.......................................
(1,721,996)
(1,183,095)
—
(2,905,091)
$
(955,284)
$
(1,304,111)
$
—
$
(2,259,395)
(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.
A
reconciliation
of
Level
3
financial
instruments
is
presented
when
the
Fund
had
a
significant
amount
of
Level
3
investments
and
derivative
financial
instruments
at
the
beginning
and/or
end
of
the
period
in
relation
to
net
assets.
The
following
table
is
a
reconciliation
of
Level
3
investments
for
which
significant
unobservable
inputs
were
used
in
determining
fair
value:
Asset-
Backed
Securities
Non-Agency
Mortgage-
Backed
Securities
U.S.
Government
Sponsored
Agency
Securities
Total
Investments
Assets/Liabilities
Opening
balance,
as
of
April
30,
2023
....................................................................
$
386,024
$
1,958,380
$
77,040
$
2,421,444
Transfers
into
Level
3
..............................................................................
—
—
—
—
Transfers
out
of
Level
3
.............................................................................
(386,024)
—
(77,040)
(463,064)
Accrued
discounts/premiums
..........................................................................
—
(12,586)
—
(12,586)
Net
realized
loss
..................................................................................
—
(2,749)
—
(2,749)
Net
change
in
unrealized
appreciation
(a)(b)
.................................................................
—
57,901
—
57,901
Purchases
......................................................................................
—
914,610
—
914,610
Sales
.........................................................................................
—
(116,173)
—
(116,173)
Closing
balance,
as
of
October
31,
2023
..................................................................
$
—
$
2,799,383
$
—
$
2,799,383
Net
change
in
unrealized
appreciation
on
investments
still
held
at
October
31,
2023
(b)
.....................................
$
—
$
57,901
$
—
$
57,901
(a)
Included
in
the
related
net
change
in
unrealized
appreciation
(depreciation)
in
the
Statement
of
Operations.
(b)
Any
difference
between
net
change
in
unrealized
appreciation
(depreciation)
and
net
change
in
unrealized
appreciation
(depreciation)
on
investments
still
held
at
October
31,
2023
is
generally
due
to
investments
no
longer
held
or
categorized
as
Level
3
at
period
end.
The
Fund’s
financial
instruments
that
are
categorized
as
Level
3
were
valued
utilizing
third
party
pricing
information
without
adjustment.
Such
valuations
are
based
on
unobservable
inputs.
A
significant
change
in
third
party
information
could
result
in
a
significantly
lower
or
higher
value
of
such
Level
3
financial
instruments.
Statement
of
Assets
and
Liabilities
(unaudited)

October
31,
2023
21
Financial
Statements
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
ASSETS
Investments,
at
value
—
unaffiliated
(a)
........................................................................................
$
360,329,712‌
Cash
pledged:
–‌
Collateral
—
OTC
derivatives
............................................................................................
1,482,000‌
Futures
contracts
....................................................................................................
656,000‌
Centrally
cleared
swaps
................................................................................................
323,150‌
Receivables:
–‌
Swaps  
..........................................................................................................
68‌
Capital
shares
sold
...................................................................................................
183,407‌
Dividends
—
unaffiliated
...............................................................................................
10,046‌
Interest
—
unaffiliated
.................................................................................................
1,211,945‌
From
the
Manager
...................................................................................................
25,146‌
Variation
margin
on
futures
contracts
.......................................................................................
70,131‌
Swap
premiums
paid
...................................................................................................
289,397‌
Unrealized
appreciation
on:
–‌
OTC
swaps
........................................................................................................
441,195‌
Prepaid
expenses
.....................................................................................................
76,968‌
Total
assets
.........................................................................................................
365,099,165‌
LIABILITIES
Bank
overdraft
........................................................................................................
60,960‌
Cash
received:
–‌
Collateral
—
OTC
derivatives
............................................................................................
760,000‌
Options
written,
at
value
(b)
................................................................................................
729,744‌
Payables:
–‌
Investments
purchased
................................................................................................
98,114,992‌
Capital
shares
redeemed
...............................................................................................
600,389‌
Income
dividend
distributions
............................................................................................
80,224‌
Investment
advisory
fees
..............................................................................................
72,139‌
Trustees'
and
Officer's
fees
.............................................................................................
942‌
Professional
fees
....................................................................................................
27,795‌
Service
and
distribution
fees
.............................................................................................
4,458‌
Variation
margin
on
futures
contracts
.......................................................................................
54,211‌
Variation
margin
on
centrally
cleared
swaps
..................................................................................
25,936‌
Other
accrued
expenses
...............................................................................................
205,728‌
Swap
premiums
received
................................................................................................
365,492‌
Unrealized
depreciation
on:
–‌
OTC
swaps
........................................................................................................
587,344‌
Total
liabilities
........................................................................................................
101,690,354‌
Commitments
and
contingent
liabilities
$
–‌
NET
ASSETS
........................................................................................................
$
263,408,811‌
NET
ASSETS
CONSIST
OF:
Paid-in
capital
........................................................................................................
$
320,168,226‌
Accumulated
loss
.....................................................................................................
(56,759,415‌)
NET
ASSETS
........................................................................................................
$
263,408,811‌
(a)
  Investments,
at
cost
—
unaffiliated
.................................................................................
$
383,591,875
(b)
  Premiums
received
...........................................................................................
$
450,347
Statement
of
Assets
and
Liabilities
(unaudited)
(continued)
October
31,
2023
2023
BlackRock
Semi-Annual
Report
To
Shareholders
22
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
NET
ASSET
VALUE
Institutional
Net
assets
.........................................................................................................
$
244,901,836‌
Shares
outstanding
..................................................................................................
29,471,815‌
Net
asset
value
.....................................................................................................
$
8.31‌
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001‌
Investor
A
Net
assets
.........................................................................................................
$
17,454,747‌
Shares
outstanding
..................................................................................................
2,103,993‌
Net
asset
value
.....................................................................................................
$
8.30‌
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001‌
Investor
C
Net
assets
.........................................................................................................
$
1,052,228‌
Shares
outstanding
..................................................................................................
126,822‌
Net
asset
value
.....................................................................................................
$
8.30‌
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001‌
Statement
of
Operations
(unaudited)

Six
Months
Ended
October
31,
2023
23
Financial
Statements
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
INVESTMENT
INCOME
Dividends
—
unaffiliated
...............................................................................................
$
61,705‌
Interest
—
unaffiliated
.................................................................................................
7,729,399‌
Total
investment
income
.................................................................................................
7,791,104‌
EXPENSES
Investment
advisory
..................................................................................................
548,442‌
Transfer
agent
—
class
specific
..........................................................................................
121,464‌
Registration
.......................................................................................................
43,791‌
Professional
.......................................................................................................
38,330‌
Accounting
services
..................................................................................................
32,533‌
Service
and
distribution
—
class
specific
....................................................................................
28,419‌
Printing
and
postage
.................................................................................................
13,370‌
Custodian
.........................................................................................................
6,978‌
Trustees
and
Officer
..................................................................................................
2,612‌
Miscellaneous
......................................................................................................
75,346‌
Total
expenses
excluding
interest
expense
.....................................................................................
911,285‌
Interest
expense
....................................................................................................
348‌
Total
expenses
.......................................................................................................
911,633‌
Less:
–‌
Fees
waived
and/or
reimbursed
by
the
Manager
...............................................................................
(99,487‌)
Transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
—
class
specific
..........................................................
(120,199‌)
Total
expenses
after
fees
waived
and/or
reimbursed
..............................................................................
691,947‌
Net
investment
income
..................................................................................................
7,099,157‌
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
$
(20,130,280‌)
Net
realized
gain
(loss)
from:
$
–‌
Investments
—
unaffiliated
...........................................................................................
(10,956,525‌)
Futures
contracts
..................................................................................................
781,091‌
Options
written
...................................................................................................
324,810‌
Swaps
.........................................................................................................
17,730‌
A
(9,832,894‌)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investments
—
unaffiliated
...........................................................................................
(9,106,843‌)
Futures
contracts
..................................................................................................
(413,788‌)
Options
written
...................................................................................................
(268,995‌)
Swaps
.........................................................................................................
(507,759‌)
A
(10,297,385‌)
Net
realized
and
unrealized
loss
............................................................................................
(20,130,279‌)
NET
DECREASE
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
.................................................................
$
(13,031,122‌)
Statements
of
Changes
in
Net
Assets

2023
BlackRock
Semi-Annual
Report
To
Shareholders
24
See
notes
to
financial
statements.
BlackRock
U.S.
Mortgage
Portfolio
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
INCREASE
(DECREASE)
IN
NET
ASSETS
OPERATIONS
Net
investment
income
..............................................................................
$
7,099,157
‌
$
10,277,376
‌
Net
realized
loss
..................................................................................
(9,832,894
)
(9,848,369
)
Net
change
in
unrealized
appreciation
(depreciation)
..........................................................
(10,297,385
)
(1,894,409
)
Net
decrease
in
net
assets
resulting
from
operations
............................................................
(13,031,122
)
(1,465,402
)
DISTRIBUTIONS
TO
SHAREHOLDERS
(a)
  Institutional
.....................................................................................
(6,296,327
)
(9,669,534
)
  Investor
A
......................................................................................
(433,651
)
(739,871
)
  Investor
C
......................................................................................
(21,042
)
(51,980
)
Decrease
in
net
assets
resulting
from
distributions
to
shareholders
...................................................
(6,751,020
)
(10,461,385
)
CAPITAL
SHARE
TRANSACTIONS
Net
increase
in
net
assets
derived
from
capital
share
transactions
...................................................
3,640,519
‌
37,352,511
‌
NET
ASSETS
Total
increase
(decrease)
in
net
assets
.....................................................................
(16,141,623
)
25,425,724
‌
Beginning
of
period
..................................................................................
279,550,434
‌
254,124,710
‌
End
of
period
......................................................................................
$
263,408,811
‌
$
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)
25
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)
Not
annualized.
(e)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(f)
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
0.61%,
0.45%
and
0.45%,
respectively.
(g)
Annualized.
(h)
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.
(i)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Institutional
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Net
asset
value,
beginning
of
period
...........
$
8.93
‌
$
9.47
‌
$
10.46
‌
$
10.07
‌
$
10.04
‌
$
9.96
‌
Net
investment
income
(a)
...................
0.23
‌
0.36
‌
0.22
‌
0.27
‌
0.28
‌
0.32
‌
Net
realized
and
unrealized
gain
(loss)
..........
(0.63
)
(0.55
)
(0.97
)
0.43
‌
0.08
‌
0.14
‌
Net
increase
(decrease)
from
investment
operations
..
(0.40
)
(0.19
)
(0.75
)
0.70
‌
0.36
‌
0.46
‌
Distributions
from
net
investment
income
(b)
......
(0.22
)
(0.35
)
(0.24
)
(0.31
)
(0.33
)
(0.38
)
Net
asset
value,
end
of
period
................
$
8.31
‌
$
8.93
‌
$
9.47
‌
$
10.46
‌
$
10.07
‌
$
10.04
‌
Total
Return
(c)
—
—
—
—
—
—
Based
on
net
asset
value
....................
(4.60
)%
(d)
(1.91
)%
(7.33
)%
7.07
%
3.61
%
4.73
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................
0.64
%
(f)(g)
0.59
%
0.58
%
(h)
0.58
%
0.81
%
1.62
%
Total
expenses
after
fees
waived
and/or
reimbursed
..
0.48
%
(f)(g)
0.45
%
0.47
%
(h)
0.45
%
0.68
%
1.44
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..................
0.48
%
(f)(g)
0.45
%
0.47
%
(h)
0.45
%
0.45
%
0.45
%
Net
investment
income
.....................
5.20
%
(g)
3.94
%
2.10
%
2.65
%
2.73
%
3.26
%
Supplemental
Data
Net
assets,
end
of
period
(000)
................
$
244,902
‌
$
259,479
‌
$
227,622
‌
$
242,171
‌
$
221,437
‌
$
211,534
‌
Portfolio
turnover
rate
(
i
)
......................
165
%
533
%
937
%
1,196
%
1,334
%
1,580
%
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Portfolio
turnover
rate
(excluding
MDRs)
...............................
36%
140%
378%
654%
860%
841%
See
notes
to
financial
statements.
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
26
(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)
Not
annualized.
(e)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(f)
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
0.90%,
0.70%
and
0.70%,
respectively.
(g)
Annualized.
(h)
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.
(i)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Investor
A
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Net
asset
value,
beginning
of
period
...........
$
8.92
‌
$
9.46
‌
$
10.44
‌
$
10.05
‌
$
10.02
‌
$
9.94
‌
Net
investment
income
(a)
...................
0.22
‌
0.32
‌
0.19
‌
0.25
‌
0.25
‌
0.30
‌
Net
realized
and
unrealized
gain
(loss)
..........
(0.64
)
(0.53
)
(0.96
)
0.43
‌
0.09
‌
0.14
‌
Net
increase
(decrease)
from
investment
operations
..
(0.42
)
(0.21
)
(0.77
)
0.68
‌
0.34
‌
0.44
‌
Distributions
from
net
investment
income
(b)
......
(0.20
)
(0.33
)
(0.21
)
(0.29
)
(0.31
)
(0.36
)
Net
asset
value,
end
of
period
................
$
8.30
‌
$
8.92
‌
$
9.46
‌
$
10.44
‌
$
10.05
‌
$
10.02
‌
Total
Return
(c)
—
—
—
—
—
—
Based
on
net
asset
value
....................
(4.72
)%
(d)
(2.16
)%
(7.49
)%
6.81
%
3.35
%
4.47
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................
0.93
%
(f)(g)
0.92
%
0.92
%
(h)
0.90
%
1.14
%
1.94
%
Total
expenses
after
fees
waived
and/or
reimbursed
..
0.73
%
(f)(g)
0.70
%
0.72
%
(h)
0.70
%
0.93
%
1.69
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..................
0.73
%
(f)(g)
0.70
%
0.72
%
(h)
0.70
%
0.70
%
0.70
%
Net
investment
income
.....................
4.95
%
(g)
3.59
%
1.86
%
2.43
%
2.50
%
3.01
%
Supplemental
Data
Net
assets,
end
of
period
(000)
................
$
17,455
‌
$
18,940
‌
$
23,728
‌
$
25,047
‌
$
21,913
‌
$
26,577
‌
Portfolio
turnover
rate
(
i
)
......................
165
%
533
%
937
%
1,196
%
1,334
%
1,580
%
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Portfolio
turnover
rate
(excluding
MDRs)
...............................
36%
140%
378%
654%
860%
841%
See
notes
to
financial
statements.
Financial
Highlights
(continued)
(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,
excludes
the
effects
of
any
sales
charges
and
assumes
the
reinvestment
of
distributions.
(d)
Not
annualized.
(e)
Excludes
fees
and
expenses
incurred
indirectly
as
a
result
of
investments
in
underlying
funds.
(f)
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
1.66%,
1.45%
and
1.45%,
respectively.
(g)
Annualized.
(h)
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.
(i)
Includes
mortgage
dollar
roll
transactions
("MDRs").
Additional
information
regarding
portfolio
turnover
rate
is
as
follows:
BlackRock
U.S.
Mortgage
Portfolio
Investor
C
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Net
asset
value,
beginning
of
period
...........
$
8.92
‌
$
9.46
‌
$
10.44
‌
$
10.05
‌
$
10.02
‌
$
9.94
‌
Net
investment
income
(a)
...................
0.18
‌
0.24
‌
0.12
‌
0.18
‌
0.18
‌
0.22
‌
Net
realized
and
unrealized
gain
(loss)
..........
(0.63
)
(0.52
)
(0.96
)
0.42
‌
0.08
‌
0.14
‌
Net
increase
(decrease)
from
investment
operations
..
(0.45
)
(0.28
)
(0.84
)
0.60
‌
0.26
‌
0.36
‌
Distributions
from
net
investment
income
(b)
......
(0.17
)
(0.26
)
(0.14
)
(0.21
)
(0.23
)
(0.28
)
Net
asset
value,
end
of
period
................
$
8.30
‌
$
8.92
‌
$
9.46
‌
$
10.44
‌
$
10.05
‌
$
10.02
‌
Total
Return
(c)
—
—
—
—
—
—
Based
on
net
asset
value
....................
(5.08
)%
(d)
(2.89
)%
(8.18
)%
6.01
%
2.58
%
3.70
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................
1.70
%
(f)(g)
1.69
%
1.67
%
(h)
1.66
%
1.89
%
2.69
%
Total
expenses
after
fees
waived
and/or
reimbursed
..
1.49
%
(f)(g)
1.45
%
1.47
%
(h)
1.45
%
1.68
%
2.44
%
Total
expenses
after
fees
waived
and/or
reimbursed
and
excluding
interest
expense
..................
1.49
%
(f)(g)
1.45
%
1.47
%
(h)
1.45
%
1.45
%
1.45
%
Net
investment
income
.....................
4.20
%
(g)
2.68
%
1.12
%
1.72
%
1.75
%
2.25
%
Supplemental
Data
Net
assets,
end
of
period
(000)
................
$
1,052
‌
$
1,132
‌
$
2,775
‌
$
4,177
‌
$
6,258
‌
$
7,786
‌
Portfolio
turnover
rate
(
i
)
......................
165
%
533
%
937
%
1,196
%
1,334
%
1,580
%
Six
Months
Ended
10/31/23
(unaudited)
Year
Ended
04/30/23
Year
Ended
04/30/22
Year
Ended
04/30/21
Year
Ended
04/30/20
Year
Ended
04/30/19
Portfolio
turnover
rate
(excluding
MDRs)
...............................
36%
140%
378%
654%
860%
841%
See
notes
to
financial
statements.
Notes
to
Financial
Statements
(unaudited)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
28
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.
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
and/or
as
of
the
report
date.
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
(unaudited)
(continued)
29
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
(unaudited)
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
30
appropriate
under
the
circumstances.
The
use
of these
valuation techniques
involve
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
(unaudited)
(continued)
31
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
(unaudited)
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
32
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
(unaudited)
(continued)
33
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 six
months
ended
October
31,
2023,
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
six
months ended October
31,
2023,
the
Fund
did
not
pay
any
amounts
to
affiliates
in
return
for
these
services.
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 six
months
ended
October
31,
2023,
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:
For
the
six
months ended
October
31,
2023,
the
following
table
shows
the
class
specific
transfer
agent
fees
borne
directly
by
each
share
class
of
the
Fund:
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
........................................................................................................
$
23,078‌
Investor
C
........................................................................................................
5,341‌
$
28,419‌
Institutional
Investor
A
Investor
C
Total
Reimbursed
Amount
.................................................................
$
986
$
244
$
78
$
1,308
Institutional
Investor
A
Investor
C
Total
Transfer
agent
fees
-
class
specific
.......................................................
$
108,860‌
$
11,859‌
$
745‌
$
121,464‌
Notes
to
Financial
Statements
(unaudited)
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
34
Other
Fees:
For
the
six
months
 ended 
October
31,
2023
,
affiliates
earned
underwriting
discounts,
direct
commissions
and
dealer
concessions
on
sales
of
the Fund's
Investor
A
Shares for
a
total
of
$354
.
For
the six
months
ended
October
31,
2023,
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
six
months
ended
October
31,
2023,
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
six
months
ended
October
31,
2023,
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
six
months ended
October
31,
2023,
the
Manager
waived
and/
or
reimbursed
investment
advisory
fees
of
$99,487 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
six
months ended
October
31,
2023,
class
specific
expense
waivers
and/or
reimbursements are 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
period
ended
October
31,
2023,
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 six
months
ended
October
31,
2023,
purchases
and
sales
of
investments,
including
paydowns/payups and
mortgage
dollar
rolls,
excluding
short-term
securities, were $606,255,729
and
$568,097,579,
respectively.
For
the
six
months ended
October
31,
2023,
purchases
and
sales
related
to
mortgage
dollar
rolls
were
$446,033,120
and
$445,585,829,
respectively. 
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
.......................................................................................................
$
107,644‌
Investor
A
........................................................................................................
11,817‌
Investor
C
........................................................................................................
738‌
$
120,199‌
Notes
to
Financial
Statements
(unaudited)
(continued)
35
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
October
31,
2023,
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.
As
of
April
30,
2023, the Fund
had
non-expiring
capital
loss
carryforwards
available
to
offset
future
realized
capital
gains
of
$21,775,703. 
As
of
October
31,
2023, 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,
$2.50
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
2024
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
six
months ended
October
31,
2023,
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.
Infectious
Illness
Risk:
An
outbreak
of
an
infectious
illness,
such
as
the
COVID-19
pandemic,
may
adversely
impact
the
economies
of
many
nations
and
the
global
economy,
and
may
impact
individual
issuers
and
capital
markets
in
ways
that
cannot
be
foreseen.
An
infectious
illness
outbreak
may
result
in,
among
other
things,
closed
international
borders,
prolonged
quarantines,
supply
chain
disruptions,
market
volatility
or
disruptions
and
other
significant
economic,
social
and
political
impacts.
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
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. 
Fund
Name
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Appreciation
(Depreciation)
BlackRock
U.S.
Mortgage
Portfolio
.....................................
$
384,702,913‌
$
3,110,490‌
$
(29,292,739‌)
$
(26,182,249‌)
Notes
to
Financial
Statements
(unaudited)
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
36
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(s) 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
recently been
raising 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
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.
Notes
to
Financial
Statements
(unaudited)
(continued)
37
Notes
to
Financial
Statements
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.
Six
Months
Ended
10/31/23
Year
Ended
04/30/23
Fund
Name/Share
Class
Shares
Amount
Shares
Amount
BlackRock
U.S.
Mortgage
Portfolio
Institutional
Shares
sold
.............................................
5,466,278‌
$
47,933,698‌
18,643,231‌
$
164,373,933‌
Shares
issued
in
reinvestment
of
distributions
........................
678,746‌
5,875,416‌
948,944‌
8,506,037‌
Shares
redeemed
.........................................
(5,715,658‌)
(50,008,973‌)
(14,573,216‌)
(130,448,672‌)
429,366‌
$
3,800,141‌
5,018,959‌
$
42,431,298‌
Investor
A
Shares
sold
and
automatic
conversion
of
shares
.......................
334,078‌
$
2,914,924‌
677,781‌
$
5,987,452‌
Shares
issued
in
reinvestment
of
distributions
........................
47,749‌
412,695‌
79,052‌
708,793‌
Shares
redeemed
.........................................
(401,460‌)
(3,483,153‌)
(1,141,726‌)
(10,273,579‌)
(19,633‌)
$
(155,534‌)
(384,893‌)
$
(3,577,334‌)
Investor
C
Shares
sold
.............................................
27,141‌
$
234,301‌
623‌
$
5,833‌
Shares
issued
in
reinvestment
of
distributions
........................
2,394‌
20,674‌
5,634‌
50,685‌
Shares
redeemed
and
automatic
conversion
of
shares
..................
(29,566‌)
(259,063‌)
(172,695‌)
(1,557,971‌)
(31‌)
$
(4,088‌)
(166,438‌)
$
(1,501,453‌)
409,702‌
$
3,640,519‌
4,467,628‌
$
37,352,511‌
Disclosure
of
Investment
Advisory
Agreement
2023
BlackRock
Semi-Annual
Report
To
Shareholders
38
The
Board
of
Trustees
(the
“Board,”
the
members
of
which
are
referred
to
as
“Board
Members”)
of
Managed
Account
Series
II
(the
“Trust”)
met
on
May
4,
2023
(the
“May
Meeting”)
and
June
1-2,
2023
(the
“June
Meeting”)
to
consider
the
approval
to
continue
the
investment
advisory
agreement
(the
“Agreement”)
between
the
Trust,
on
behalf
of
BlackRock
U.S.
Mortgage
Portfolio
(the
“Fund”),
and
BlackRock
Advisors,
LLC
(the
“Manager”
or
“BlackRock”),
the
Fund’s
investment
adviser.
The
Approval
Process
Consistent
with
the
requirements
of
the
Investment
Company
Act
of
1940
(the
“1940
Act”),
the
Board
considers
the
approval
of
the
continuation
of
the
Agreement
for
the
Fund
on
an
annual
basis.
The
Board
members
who
are
not
“interested
persons”
of
the
Trust,
as
defined
in
the
1940
Act,
are
considered
independent
Board
members
(the
“Independent
Board
Members”).
The
Board’s
consideration
entailed
a
year-long
deliberative
process
during
which
the
Board
and
its
committees
assessed
BlackRock’s
various
services
to
the
Fund,
including
through
the
review
of
written
materials
and
oral
presentations,
and
the
review
of
additional
information
provided
in
response
to
requests
from
the
Independent
Board
Members.
The
Board
had
four
quarterly
meetings
per
year,
each
of
which
extended
over
a
two-day
period,
as
well
as
additional
ad
hoc
meetings
and
executive
sessions
throughout
the
year,
as
needed.
The
committees
of
the
Board
similarly
met
throughout
the
year.
The
Board
also
had
an
additional
one-day
meeting
to
consider
specific
information
regarding
the
renewal
of
the
Agreement.
In
considering
the
renewal
of
the
Agreement,
the
Board
assessed,
among
other
things,
the
nature,
extent
and
quality
of
the
services
provided
to
the
Fund
by
BlackRock,
BlackRock’s
personnel
and
affiliates,
including
(as
applicable):
investment
management
services;
accounting
oversight;
administrative
and
shareholder
services;
oversight
of
the
Fund’s
service
providers;
risk
management
and
oversight;
and
legal,
regulatory
and
compliance
services.
Throughout
the
year,
including
during
the
contract
renewal
process,
the
Independent
Board
Members
were
advised
by
independent
legal
counsel,
and
met
with
independent
legal
counsel
in
various
executive
sessions
outside
of
the
presence
of
BlackRock’s
management.
During
the
year,
the
Board,
acting
directly
and
through
its
committees,
considered
information
that
was
relevant
to
its
annual
consideration
of
the
renewal
of
the
Agreement,
including
the
services
and
support
provided
by
BlackRock
to
the
Fund
and
its
shareholders.
BlackRock
also
furnished
additional
information
to
the
Board
in
response
to
specific
questions
from
the
Board.
Among
the
matters
the
Board
considered
were:
(a)
investment
performance
for
one-year,
three-year,
five-year,
and/or
since
inception
periods,
as
applicable,
against
peer
funds,
relevant
benchmarks,
and
other
performance
metrics,
as
applicable,
as
well
as
BlackRock
senior
management’s
and
portfolio
managers’
analyses
of
the
reasons
for
any
outperformance
or
underperformance
relative
to
its
peers,
benchmarks,
and
other
performance
metrics,
as
applicable;
(b)
fees,
including
advisory,
administration,
if
applicable,
and
other
amounts
paid
to
BlackRock
and
its
affiliates
by
the
Fund
for
services;
(c)
Fund
operating
expenses
and
how
BlackRock
allocates
expenses
to
the
Fund;
(d)
the
resources
devoted
to,
risk
oversight
of,
and
compliance
reports
relating
to,
implementation
of
the
Fund’s
investment
objective,
policies
and
restrictions,
and
meeting
regulatory
requirements;
(e)
BlackRock’s
and
the
Fund’s
adherence
to
applicable
compliance
policies
and
procedures;
(f)
the
nature,
character
and
scope
of
non-investment
management
services
provided
by
BlackRock
and
its
affiliates
and
the
estimated
cost
of
such
services,
as
applicable;
(g)
BlackRock’s
and
other
service
providers’
internal
controls
and
risk
and
compliance
oversight
mechanisms;
(h)
BlackRock’s
implementation
of
the
proxy
voting
policies
approved
by
the
Board;
(i)
execution
quality
of
portfolio
transactions;
(j)
BlackRock’s
implementation
of
the
Fund’s
valuation
and
liquidity
procedures;
(k)
an
analysis
of
management
fees
paid
to
BlackRock
for
products
with
similar
investment
mandates
across
the
open-end
fund,
exchange-traded
fund
(“ETF”),
closed-end
fund,
sub-advised
mutual
fund,
separately
managed
account,
collective
investment
trust,
and
institutional
separate
account
product
channels,
as
applicable,
and
the
similarities
and
differences
between
these
products
and
the
services
provided
as
compared
to
the
Fund;
(l)
BlackRock’s
compensation
methodology
for
its
investment
professionals
and
the
incentives
and
accountability
it
creates,
along
with
investment
professionals’
investments
in
the
fund(s)
they
manage;
and
(m)
periodic
updates
on
BlackRock’s
business.
Prior
to
and
in
preparation
for
the
May
Meeting,
the
Board
received
and
reviewed
materials
specifically
relating
to
the
renewal
of
the
Agreement.
The
Independent
Board
Members
are
continuously
engaged
in
a
process
with
their
independent
legal
counsel
and
BlackRock
to
review
the
nature
and
scope
of
the
information
provided
to
the
Board
to
better
assist
its
deliberations.
The
materials
provided
in
connection
with
the
May
Meeting
included,
among
other
things:
(a)
information
independently
compiled
and
prepared
by
Broadridge
Financial
Solutions,
Inc.
(“Broadridge”),
based
on
either
a
Lipper
classification
or
Morningstar
category,
regarding
the
Fund’s
fees
and
expenses
as
compared
with
a
peer
group
of
funds
as
determined
by
Broadridge
(“Expense
Peers”)
and
the
investment
performance
of
the
Fund
as
compared
with
a
peer
group
of
funds
(“Performance
Peers”);
(b)
information
on
the
composition
of
the
Expense
Peers
and
Performance
Peers
and
a
description
of
Broadridge’s
methodology;
(c)
information
on
the
estimated
profits
realized
by
BlackRock
and
its
affiliates
pursuant
to
the
Agreement
and
a
discussion
of
fall-out
benefits
to
BlackRock
and
its
affiliates;
(d)
a
general
analysis
provided
by
BlackRock
concerning
investment
management
fees
received
in
connection
with
other
types
of
investment
products,
such
as
institutional
accounts,
sub-advised
mutual
funds,
ETFs,
closed-end
funds,
open-end
funds,
and
separately
managed
accounts,
under
similar
investment
mandates,
as
well
as
the
performance
of
such
other
products,
as
applicable;
(e)
a
review
of
non-management
fees;
(f)
the
existence,
impact
and
sharing
of
potential
economies
of
scale,
if
any,
with
the
Fund;
(g)
a
summary
of
aggregate
amounts
paid
by
the
Fund
to
BlackRock;
(h)
sales
and
redemption
data
regarding
the
Fund’s
shares;
and
(i)
various
additional
information
requested
by
the
Board
as
appropriate
regarding
BlackRock’s
and
the
Fund’s
operations.
At
the
May
Meeting,
the
Board
reviewed
materials
relating
to
its
consideration
of
the
Agreement
and
the
Independent
Board
Members
presented
BlackRock
with
questions
and
requests
for
additional
information.
BlackRock
responded
to
these
questions
and
requests
with
additional
written
information
in
advance
of
the
June
Meeting.
At
the
June
Meeting,
the
Board
concluded
its
assessment
of,
among
other
things:
(a)
the
nature,
extent
and
quality
of
the
services
provided
by
BlackRock;
(b)
the
investment
performance
of
the
Fund
as
compared
to
its
Performance
Peers
and
to
other
metrics,
as
applicable;
(c)
the
advisory
fee
and
the
estimated
cost
of
the
services
and
estimated
profits
realized
by
BlackRock
and
its
affiliates
from
their
relationship
with
the
Fund;
(d)
the
Fund’s
fees
and
expenses
compared
to
its
Expense
Peers;
(e)
the
existence
and
sharing
of
potential
economies
of
scale;
(f)
any
fall-out
benefits
to
BlackRock
and
its
affiliates
as
a
result
of
BlackRock’s
relationship
with
the
Fund;
and
(g)
other
factors
deemed
relevant
by
the
Board
Members.
The
Board
also
considered
other
matters
it
deemed
important
to
the
approval
process,
such
as
other
payments
made
to
BlackRock
or
its
affiliates
relating
to
securities
lending
and
cash
management,
and
BlackRock’s
services
related
to
the
valuation
and
pricing
of
Fund
portfolio
holdings.
The
Board
noted
the
willingness
of
BlackRock’s
personnel
to
engage
in
open,
candid
discussions
with
the
Board.
The
Board
Members
evaluated
the
information
available
to
them
on
a
fund-by-fund
basis.
The
following
paragraphs
provide
more
information
about
some
of
the
primary
factors
that
were
relevant
to
the
Board’s
decision.
The
Board
Members
did
not
identify
any
particular
information,
or
any
single
factor
as
determinative,
and
each
Board
Member
may
have
attributed
different
weights
to
the
various
items
and
factors
considered.
Disclosure
of
Investment
Advisory
Agreement
(continued)
39
Disclosure
of
Investment
Advisory
Agreement
A.
Nature,
Extent
and
Quality
of
the
Services
Provided
by
BlackRock
The
Board,
including
the
Independent
Board
Members,
reviewed
the
nature,
extent
and
quality
of
services
provided
by
BlackRock,
including
the
investment
advisory
services,
and
the
resulting
performance
of
the
Fund.
Throughout
the
year,
the
Board
compared
Fund
performance
to
the
performance
of
a
comparable
group
of
mutual
funds,
relevant
benchmarks,
and
performance
metrics,
as
applicable.
The
Board
met
with
BlackRock’s
senior
management
personnel
responsible
for
investment
activities,
including
the
senior
investment
officers.
The
Board
also
reviewed
the
materials
provided
by
the
Fund’s
portfolio
management
team
discussing
the
Fund’s
performance,
investment
strategies
and
outlook.
The
Board
considered,
among
other
factors,
with
respect
to
BlackRock:
the
experience
of
investment
personnel
generally
and
the
Fund’s
portfolio
management
team;
research
capabilities;
investments
by
portfolio
managers
in
the
funds
they
manage;
portfolio
trading
capabilities;
use
of
technology;
commitment
to
compliance;
credit
analysis
capabilities;
risk
analysis
and
oversight
capabilities;
and
the
approach
to
training
and
retaining
portfolio
managers
and
other
research,
advisory
and
management
personnel.
The
Board
also
considered
BlackRock’s
overall
risk
management
program,
including
the
continued
efforts
of
BlackRock
and
its
affiliates
to
address
cybersecurity
risks
and
the
role
of
BlackRock’s
Risk
&
Quantitative
Analysis
Group.
The
Board
engaged
in
a
review
of
BlackRock’s
compensation
structure
with
respect
to
the
Fund’s
portfolio
management
team
and
BlackRock’s
ability
to
attract
and
retain
high-quality
talent
and
create
performance
incentives.
In
addition
to
investment
advisory
services,
the
Board
considered
the
nature
and
quality
of
the
administrative
and
other
non-investment
advisory
services
provided
to
the
Fund.
BlackRock
and
its
affiliates
provide
the
Fund
with
certain
administrative,
shareholder
and
other
services
(in
addition
to
any
such
services
provided
to
the
Fund
by
third
parties)
and
officers
and
other
personnel
as
are
necessary
for
the
operations
of
the
Fund.
In
particular,
BlackRock
and
its
affiliates
provide
the
Fund
with
administrative
services
including,
among
others:
(i)
responsibility
for
disclosure
documents,
such
as
the
prospectus,
the
summary
prospectus
(as
applicable),
the
statement
of
additional
information
and
periodic
shareholder
reports;
(ii)
oversight
of
daily
accounting
and
pricing;
(iii)
responsibility
for
periodic
filings
with
regulators;
(iv)
overseeing
and
coordinating
the
activities
of
third-party
service
providers
including,
among
others,
the
Fund’s
custodian,
fund
accountant,
transfer
agent,
and
auditor;
(v)
organizing
Board
meetings
and
preparing
the
materials
for
such
Board
meetings;
(vi)
providing
legal
and
compliance
support;
(vii)
furnishing
analytical
and
other
support
to
assist
the
Board
in
its
consideration
of
strategic
issues
such
as
the
merger,
consolidation
or
repurposing
of
certain
open-end
funds;
and
(viii)
performing
or
managing
administrative
functions
necessary
for
the
operation
of
the
Fund,
such
as
tax
reporting,
expense
management,
fulfilling
regulatory
filing
requirements,
overseeing
the
Fund’s
distribution
partners,
and
shareholder
call
center
and
other
services.
The
Board
reviewed
the
structure
and
duties
of
BlackRock’s
fund
administration,
shareholder
services,
and
legal
and
compliance
departments
and
considered
BlackRock’s
policies
and
procedures
for
assuring
compliance
with
applicable
laws
and
regulations.
The
Board
considered
the
operation
of
BlackRock’s
business
continuity
plans.
B.
The
Investment
Performance
of
the
Fund
and
BlackRock
The
Board,
including
the
Independent
Board
Members,
reviewed
and
considered
the
performance
history
of
the
Fund
throughout
the
year
and
at
the
May
Meeting.
In
preparation
for
the
May
Meeting,
the
Board
was
provided
with
reports
independently
prepared
by
Broadridge,
which
included
an
analysis
of
the
Fund’s
performance
as
of
December
31,
2022,
as
compared
to
its
Performance
Peers.
Broadridge
ranks
funds
in
quartiles,
ranging
from
first
to
fourth,
where
first
is
the
most
desirable
quartile
position
and
fourth
is
the
least
desirable.
In
connection
with
its
review,
the
Board
received
and
reviewed
information
regarding
the
investment
performance
of
the
Fund
as
compared
to
its
Performance
Peers
and
its
Morningstar
Category
(“Morningstar
Category”).
The
Board
and
its
Performance
Oversight
Committee
regularly
review
and
meet
with
Fund
management
to
discuss
the
performance
of
the
Fund
throughout
the
year.
In
evaluating
performance,
the
Board
focused
particular
attention
on
funds
with
less
favorable
performance
records.
The
Board
also
noted
that
while
it
found
the
data
provided
by
Broadridge
generally
useful,
it
recognized
the
limitations
of
such
data,
including
in
particular,
that
notable
differences
may
exist
between
a
fund
and
its
Performance
Peers
(for
example,
the
investment
objectives
and
strategies).
Further,
the
Board
recognized
that
the
performance
data
reflects
a
snapshot
of
a
period
as
of
a
particular
date
and
that
selecting
a
different
performance
period
could
produce
significantly
different
results.
The
Board
also
acknowledged
that
long-term
performance
could
be
impacted
by
even
one
period
of
significant
outperformance
or
underperformance,
and
that
a
single
investment
theme
could
have
the
ability
to
disproportionately
affect
long-term
performance.
The
Board
noted
that
for
each
of
the
one-,
three-
and
five-year
periods
reported,
the
Fund
ranked
in
the
fourth
quartile
against
its
Morningstar
Category.
The
Board
noted
that
BlackRock
believes
that
the
Morningstar
Category
is
an
appropriate
performance
metric
for
the
Fund,
and
that
BlackRock
has
explained
its
rationale
for
this
belief
to
the
Board.
The
Board
and
BlackRock
reviewed
the
Fund’s
underperformance
relative
to
its
Morningstar
Category
during
the
applicable
periods.
C.
Consideration
of
the
Advisory/Management
Fees
and
the
Estimated
Cost
of
the
Services
and
Estimated
Profits
Realized
by
BlackRock
and
its
Affiliates
from
their
Relationship
with
the
Fund
The
Board,
including
the
Independent
Board
Members,
reviewed
the
Fund’s
contractual
management
fee
rate
compared
with
those
of
its
Expense
Peers.
The
contractual
management
fee
rate
represents
a
combination
of
the
advisory
fee
and
any
administrative
fees,
before
taking
into
account
any
reimbursements
or
fee
waivers.
The
Board
also
compared
the
Fund’s
total
expense
ratio,
as
well
as
its
actual
management
fee
rate,
to
those
of
its
Expense
Peers.
The
total
expense
ratio
represents
a
fund’s
total
net
operating
expenses,
including
any
12b-1
or
non-12b-1
service
fees.
The
total
expense
ratio
gives
effect
to
any
expense
reimbursements
or
fee
waivers,
and
the
actual
management
fee
rate
gives
effect
to
any
management
fee
reimbursements
or
waivers.
The
Board
considered
that
the
fee
and
expense
information
in
the
Broadridge
report
for
the
Fund
reflected
information
for
a
specific
period
and
that
historical
asset
levels
and
expenses
may
differ
from
current
levels,
particularly
in
a
period
of
market
volatility.
The
Board
considered
the
services
provided
and
the
fees
charged
by
BlackRock
and
its
affiliates
to
other
types
of
clients
with
similar
investment
mandates,
as
applicable,
including
institutional
accounts
and
sub-advised
mutual
funds
(including
mutual
funds
sponsored
by
third
parties).
The
Board
received
and
reviewed
statements
relating
to
BlackRock’s
financial
condition.
The
Board
reviewed
BlackRock’s
profitability
methodology
and
was
also
provided
with
an
estimated
profitability
analysis
that
detailed
the
revenues
earned
and
the
expenses
incurred
by
BlackRock
for
services
provided
to
the
Fund.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
the
Fund
and
other
funds
the
Board
currently
oversees
for
the
year
ended
December
31,
2022
compared
to
available
aggregate
estimated
profitability
data
provided
for
the
prior
two
years.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
certain
other
U.S.
fund
complexes
managed
by
the
Manager
and/or
its
affiliates.
The
Board
reviewed
BlackRock’s
assumptions
and
methodology
of
allocating
expenses
in
the
estimated
profitability
analysis,
noting
the
inherent
limitations
in
allocating
costs
among
various
advisory
products.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
Disclosure
of
Investment
Advisory
Agreement
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
40
including,
among
other
things,
fee
waivers
and
expense
reimbursements
by
the
Manager,
the
types
of
funds
managed,
precision
of
expense
allocations
and
business
mix.
The
Board
thus
recognized
that
calculating
and
comparing
profitability
at
the
individual
fund
level
is
difficult.
The
Board
noted
that,
in
general,
individual
fund
or
product
line
profitability
of
other
advisors
is
not
publicly
available.
The
Board
reviewed
BlackRock’s
overall
operating
margin,
in
general,
compared
to
that
of
certain
other
publicly
traded
asset
management
firms.
The
Board
considered
the
differences
between
BlackRock
and
these
other
firms,
including
the
contribution
of
technology
at
BlackRock,
BlackRock’s
expense
management,
and
the
relative
product
mix.
The
Board
considered
whether
BlackRock
has
the
financial
resources
necessary
to
attract
and
retain
high
quality
investment
management
personnel
to
perform
its
obligations
under
the
Agreement
and
to
continue
to
provide
the
high
quality
of
services
that
is
expected
by
the
Board.
The
Board
further
considered
factors
including
but
not
limited
to
BlackRock’s
commitment
of
time
and
resources,
assumption
of
risk,
and
liability
profile
in
servicing
the
Fund,
including
in
contrast
to
what
is
required
of
BlackRock
with
respect
to
other
products
with
similar
investment
mandates
across
the
open-end
fund,
ETF,
closed-end
fund,
sub-advised
mutual
fund,
separately
managed
account,
collective
investment
trust,
and
institutional
separate
account
product
channels,
as
applicable.
The
Board
noted
that
the
Fund’s
contractual
management
fee
rate
ranked
in
the
first
quartile,
and
that
the
actual
management
fee
rate
and
total
expense
ratio
each
ranked
in
the
first
quartile
relative
to
the
Fund’s
Expense
Peers.
The
Board
also
noted
that
the
Fund
has
an
advisory
fee
arrangement
that
includes
breakpoints
that
adjust
the
fee
rate
downward
as
the
size
of
the
Fund
increases
above
certain
contractually
specified
levels.
The
Board
additionally
noted
that
the
breakpoints
can,
conversely,
adjust
the
advisory
fee
rate
upward
as
the
size
of
the
Fund
decreases
below
certain
contractually
specified
levels.
The
Board
further
noted
that
BlackRock
and
the
Board
have
contractually
agreed
to
a
cap
on
the
Fund’s
total
expenses
as
a
percentage
of
the
Fund’s
average
daily
net
assets
on
a
class-by-class
basis.
D.
Economies
of
Scale
The
Board,
including
the
Independent
Board
Members,
considered
the
extent
to
which
economies
of
scale
might
be
realized
as
the
assets
of
the
Fund
increase,
including
the
existence
of
fee
waivers
and/or
expense
caps,
as
applicable,
noting
that
any
contractual
fee
waivers
and
contractual
expense
caps
had
been
approved
by
the
Board.
In
its
consideration,
the
Board
further
considered
the
continuation
and/or
implementation
of
fee
waivers
and/or
expense
caps,
as
applicable.
The
Board
also
considered
the
extent
to
which
the
Fund
benefits
from
such
economies
of
scale
in
a
variety
of
ways,
and
whether
there
should
be
changes
in
the
advisory
fee
rate
or
breakpoint
structure
in
order
to
enable
the
Fund
to
more
fully
participate
in
these
economies
of
scale.
The
Board
considered
the
Fund’s
asset
levels
and
whether
the
current
fee
schedule
was
appropriate.
E.
Other
Factors
Deemed
Relevant
by
the
Board
Members
The
Board,
including
the
Independent
Board
Members,
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
BlackRock
or
its
affiliates
may
derive
from
BlackRock’s
respective
relationships
with
the
Fund,
both
tangible
and
intangible,
such
as
BlackRock’s
ability
to
leverage
its
investment
professionals
who
manage
other
portfolios
and
its
risk
management
personnel,
an
increase
in
BlackRock’s
profile
in
the
investment
advisory
community,
and
the
engagement
of
BlackRock’s
affiliates
as
service
providers
to
the
Fund,
including
for
administrative,
distribution,
securities
lending,
and
cash
management
services.
With
respect
to
securities
lending,
during
the
year
the
Board
also
considered
information
provided
by
independent
third-party
consultants
related
to
the
performance
of
each
BlackRock
affiliate
as
securities
lending
agent.
The
Board
also
considered
BlackRock’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
improve
the
quality
of,
its
operations.
The
Board
also
noted
that,
subject
to
applicable
law,
BlackRock
may
use
and
benefit
from
third-party
research
obtained
by
soft
dollars
generated
by
certain
registered
fund
transactions
to
assist
in
managing
all
or
a
number
of
its
other
client
accounts.
In
connection
with
its
consideration
of
the
Agreement,
the
Board
also
received
information
regarding
BlackRock’s
brokerage
and
soft
dollar
practices.
The
Board
received
reports
from
BlackRock
which
included
information
on
brokerage
commissions
and
trade
execution
practices
throughout
the
year.
The
Board
noted
the
competitive
nature
of
the
open-end
fund
marketplace,
and
that
shareholders
are
able
to
redeem
their
Fund
shares
if
they
believe
that
the
Fund’s
fees
and
expenses
are
too
high
or
if
they
are
dissatisfied
with
the
performance
of
the
Fund.
Conclusion
At
the
June
Meeting,
in
a
continuation
of
the
discussions
that
occurred
during
the
May
Meeting,
and
as
a
culmination
of
the
Board’s
year-long
deliberative
process,
the
Board,
including
the
Independent
Board
Members,
unanimously
approved
the
continuation
of
the
Advisory
Agreement
between
the
Manager
and
the
Trust,
on
behalf
of
the
Fund,
for
a
one-year
term
ending
June
30,
2024.
Based
upon
its
evaluation
of
all
of
the
aforementioned
factors
in
their
totality,
as
well
as
other
information,
the
Board,
including
the
Independent
Board
Members,
was
satisfied
that
the
terms
of
the
Agreement
were
fair
and
reasonable
and
in
the
best
interest
of
the
Fund
and
its
shareholders.
In
arriving
at
its
decision
to
approve
the
Agreement,
the
Board
did
not
identify
any
single
factor
or
group
of
factors
as
all-important
or
controlling,
but
considered
all
factors
together,
and
different
Board
Members
may
have
attributed
different
weights
to
the
various
factors
considered.
The
Independent
Board
Members
were
advised
by
independent
legal
counsel
throughout
the
deliberative
process.
Additional
Information
41
Additional
Information
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.
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.
Additional
Information
(continued)
2023
BlackRock
Semi-Annual
Report
To
Shareholders
42
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
43
Glossary
of
Terms
Used
in
this
Report
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-10/23-SAR
Item 2 –  Code of Ethics – Not Applicable to this semi-annual report
Item 3 –  Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –  Principal Accountant Fees and Services – Not Applicable to this semi-annual report
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 – Exhibits attached hereto
              (a)(1) Code of Ethics – Not Applicable to this semi-annual report
              (a)(2) Section 302 Certifications are attached
           
  <<section302>>
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 –
Not Applicable
(a)(4) Change in Registrant’s independent public accountant –
Not Applicable
(b) Section 906 Certifications are attached
 

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: December 21, 2023
 
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: December 21, 2023
 
By:     /s/ Trent Walker
          Trent Walker
Chief Financial Officer (principal financial officer) of
Managed Account Series II
 
Date: December 21, 2023