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BlackRock Funds II – ‘N-CSR’ for 12/31/17

On:  Thursday, 3/8/18, at 1:25pm ET   ·   Effective:  3/8/18   ·   For:  12/31/17   ·   Accession #:  1193125-18-74817   ·   File #:  811-22061

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 3/08/18  BlackRock Funds II                N-CSR      12/31/17    3:6.7M                                   Donnelley...Solutions/FABlackrock Strategic Income Opportunities Portfolio Class KInstitutional SharesInvestor A SharesInvestor C Shares

Certified Annual Shareholder Report by a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSR       Blackrock Funds Ii                                  HTML   4.42M 
 3: EX-99.906CERT  Certification Pursuant to Section 906            HTML      7K 
 2: EX-99.CERT  Certification Pursuant to Section 302               HTML     13K 


N-CSR   —   Blackrock Funds Ii
Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
"The Markets in Review
"Fund Summary
"About Fund Performance
"Disclosure of Expenses
"The Benefits and Risks of Leveraging
"Derivative Financial Instruments
"Consolidated Schedule of Investments
"Consolidated Statement of Assets and Liabilities
"Consolidated Statement of Operations
"Consolidated Statements of Changes in Net Assets
"Consolidated Financial Highlights
"Notes to Consolidated Financial Statements
"Report of Independent Registered Public Accounting Firm
"Important Tax Information
"Trustee and Officer Information
"Additional Information
"Glossary of Terms Used in This Report

This is an HTML Document rendered as filed.  [ Alternative Formats ]



  BlackRock Funds II  

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: 811-22061

Name of Fund: BlackRock Funds II

BlackRock Strategic Income Opportunities Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds II, 55

East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 12/31/2017

Date of reporting period: 12/31/2017


Item 1 – Report to Stockholders


DECEMBER 31, 2017

 

ANNUAL REPORT

  LOGO

BlackRock Funds II

 

    BlackRock Strategic Income Opportunities Portfolio

 

 

 

 

 

  Not FDIC Insured • May Lose Value • No Bank Guarantee

 


The Markets in Review

Dear Shareholder,

In the 12 months ended December 31, 2017, risk assets, such as stocks and high-yield bonds, continued to deliver strong performance. The equity market advanced, month after month, despite geopolitical uncertainty and relatively high valuations, while bond returns were constrained by higher interest rates.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, longer-term U.S. Treasuries posted modest returns, as rising energy prices, modest wage increases, and steady job growth led to expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries throughout the world experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times and setting expectations for additional interest rate increases. The Fed also began reducing the vast balance sheet reserves that had accumulated in the wake of the financial crisis. In October 2017, the Fed reduced its $4.5 trillion balance sheet by only $10 billion, while setting expectations for additional modest reductions and rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) both continued to expand their balance sheets despite nascent signs of sustained economic growth. The Eurozone and Japan are both approaching the limits of central banks’ ownership share of national debt, which is a structural pressure point that limits their capacity to deliver additional monetary stimulus. In October 2017, the ECB announced plans to cut the amount of its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus until the inflation rate rises to its target of 2%.

Emerging market growth also stabilized, as accelerating growth in China, the second largest economy in the world and the most influential of all developing economies, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment flows.

While escalating tensions between the United States and North Korea and our nation’s divided politics are concerning, benign credit conditions, modest inflation, solid corporate earnings, and the positive outlook for growth in the world’s largest economies have kept markets relatively tranquil.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018.

Further fueling optimism, Congress passed a sweeping tax reform bill in December 2017. The U.S. tax overhaul is likely to accentuate the reflationary themes already in place, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, 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,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2017
     6-month   12-month

U.S. large cap equities
(S&P 500® Index)

    11.42%     21.83%

U.S. small cap equities
(Russell 2000® Index)

  9.20   14.65

International equities
(MSCI Europe, Australasia, Far East Index)

  9.86   25.03

Emerging market equities
(MSCI Emerging Markets Index)

  15.92     37.28

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.55   0.86

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  (0.01)   2.07

U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)

  1.24   3.54

Tax-exempt municipal bonds (S&P Municipal Bond Index)

  1.64   4.95

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)

  2.46   7.50

 

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

Annual Report:

  

Fund Summary

     4  

About Fund Performance

     7  

Disclosure of Expenses

     7  

The Benefits and Risks of Leveraging

     8  

Derivative Financial Instruments

     8  

Financial Statements:

  

Consolidated Schedule of Investments

     9  

Consolidated Statement of Assets and Liabilities

     111  

Consolidated Statement of Operations

     113  

Consolidated Statements of Changes in Net Assets

     114  

Consolidated Financial Highlights

     115  

Notes to Consolidated Financial Statements

     119  

Report of Independent Registered Public Accounting Firm

     136  

Important Tax Information

     136  

Trustee and Officer Information

     137  

Additional Information

     141  

Glossary of Terms Used in This Report

     143  

 

LOGO

 

 

TABLE OF CONTENTS      3  


Fund Summary  as of December 31, 2017    BlackRock Strategic Income Opportunities Portfolio

 

Investment Objective

BlackRock Strategic Income Opportunities Portfolio’s (the “Fund”) investment objective is to seek total return as is consistent with preservation of capital.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended December 31, 2017, the Fund’s Institutional Shares returned 4.88%, the Investor A Shares returned 4.59%, the Investor C Shares returned 3.81%, and the Class K Shares returned 4.97%. For the same period, the Bloomberg Barclays U.S. Universal Index returned 4.09% and the ICE BofAML 3-Month U.S. Treasury Bill Index returned 0.86%.

What factors influenced performance?

The Fund’s performance is reviewed on an absolute basis due to the nature of its strategy. The Fund has an unconstrained strategy (i.e., flexibility to invest across all fixed income asset classes) that is managed within a risk-controlled framework. As such, the Fund is not managed specifically to a benchmark. The index returns listed above are for reference purposes only.

The Fund’s allocation to securitized assets, namely non-agency residential mortgage-backed securities (“MBS”), contributed to performance. Also contributing to performance were allocations to U.S. investment grade and high yield corporate bonds, as well as allocations to European, Asian and emerging market credit. The Fund’s U.S. absolute return strategies added to performance as well during the period.

The Fund’s positioning with respect to duration (and corresponding interest rate sensitivity) and macro strategies modestly detracted from performance during the period. Within macro strategies, the principal detractor was the Fund’s active currency positioning. Specifically, short exposure to the euro as it moved to its highest level against the U.S. dollar since last year’s U.K. referendum on leaving the European Union, on the possibility that the European Central Bank (“ECB”) would remove some of its accommodative monetary policy more rapidly than previously expected, detracted from performance.

The Fund held derivatives during the period as a part of its investment strategy. Derivatives are used by the Fund as a means to manage risk and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the Fund. During the period, the Fund’s use of U.S. Treasury futures, currency forwards, options and swaps had a negative impact on performance. As interest rates stayed in a tight range through much of the period, the use of derivatives to manage duration detracted from performance. The Fund’s cash position did not have a material impact on results for the 12-month period.

Describe recent portfolio activity.

In the first quarter of 2017, the Fund was positioned to benefit from the global reflation theme through allocations to securitized assets, corporate bonds and emerging markets. These securities were supported by strong demand for yield and higher global growth. The Fund also took profits on allocations to inflation-linked securities. In anticipation of global reflation, the Fund maintained a relatively low portfolio duration and corresponding interest rate sensitivity. The Fund implemented a short position in European interest rates as a hedge ahead of the French elections and on the view that rates were poised to rise as the ECB removed its accommodative monetary policy.

During the second quarter of 2017, inflation data began to weaken, volatility was very low, and global growth started to plateau. The Fund increased its allocation to securitized assets, corporate credit and emerging market bonds given the lack of catalysts in the market that could cause volatility to increase substantially. On the same note, the Fund’s duration was increased to two years from close to zero at the beginning of the period. The Fund maintained short exposures to European government bonds and low exposure to inflation-linked securities.

In the second half of the year, the Fund maintained an underweight duration on the belief that strong, synchronized global growth alongside less accommodative monetary policy from developed market central banks would push rates higher into year-end. The Fund maintained a preference for income-oriented opportunities in areas such as securitized assets and emerging markets as the demand for yield kept valuations rich in credit sectors. Given these valuation concerns, the Fund held a preference for idiosyncratic stories with less broad market sensitivity within its investment grade and high yield corporate credit allocations.

Describe Fund positioning at period end.

The Fund was positioned with a focus on generating income through allocations to securitized assets, emerging market bonds and corporate bonds, as accelerating global growth, the prospect of tax reform and low market volatility drove risk assets and rates higher into year-end. The Fund maintained a low duration profile given the potential for higher rates in 2018 from these factors and strengthening inflation. The Fund had exposure to inflation protection on the front end of the curve, as well as to municipals and agency MBS for high-quality diversification away from richly valued corporate sectors. Within corporate credit, the Fund favored idiosyncratic stories in lieu of commonly held names. Additionally, the Fund maintained exposure to emerging markets including Indonesia and Argentina.

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.

 

 

4    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of December 31, 2017 (continued)    BlackRock Strategic Income Opportunities Portfolio

 

TOTAL RETURN BASED ON A $10,000 INVESTMENT

 

LOGO

 

(a)  Commencement of operations.
(b)  Assuming maximum sales charge, if any, transaction costs and other operating expenses, including investment advisory fees and administration fees, if any. Institutional Shares do not have a sales charge.
(c)  Under normal market conditions, the Fund will invest in a combination of fixed income securities, including, but not limited to: high yield securities, international securities, emerging markets debt and mortgages. Depending on market conditions, the Fund may invest in other market sectors.
(d)  An unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt with maturities of at least one year.
(e)  An unmanaged index that tracks 3-month U.S. Treasury securities.

Performance Summary for the Period Ended December 31, 2017

 

                          Average Annual Total Returns(f)  
                          1 Year         5 Years         Since Inception(g)  
     Standardized
30-Day Yields
    Unsubsidized
30-Day Yields
    6-Month
Total Returns
         w/o sales
charge
    w/sales
charge
         w/o sales
charge
    w/sales
charge
         w/o sales
charge
    w/sales
charge
 

Institutional

    3.36     3.35     2.36       4.88     N/A         3.06     N/A         4.39     N/A  

Investor A

    2.97       2.95       2.22         4.59       0.41       2.76       1.93       4.11       3.68

Investor C

    2.35       2.34       1.84         3.81       2.81         2.00       2.00         3.33       3.33  

Class K

    3.46       3.45       2.41         4.97       N/A         3.15       N/A         4.47       N/A  

Bloomberg Barclays U.S. Universal Index

                1.42         4.09       N/A         2.50       N/A         4.19       N/A  

ICE BofAML 3-Month U.S. Treasury Bill Index

                0.55           0.86       N/A           0.27       N/A           0.35       N/A  

 

  (f)  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” on page 7 for a detailed description of share classes, including any related sales charges and fees.  
  (g)  The Fund commenced operations on February 5, 2008.  

N/A — Not applicable as share class and index do not have a sales charge.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

 

    Actual            Hypothetical(c)  
                Including
Interest Expense
    Excluding
Interest Expense
                Including
Interest Expense
    Excluding
Interest Expense
 
     Beginning
Account Value
(07/01/17)
    Ending
Account Value
(12/31/17)
   

Expenses

Paid During

the Period(a)

   

Expenses

Paid During

the Period(b)

          Beginning
Account Value
(07/01/17)
    Ending
Account Value
(12/31/17)
    Expenses
Paid During
the Period(a)
    Ending
Account Value
(12/31/17)
    Expenses
Paid During
the Period(b)
 

Institutional

    $1,000.00       $1,023.60       $5.05       $3.11         $1,000.00       $1,020.21       $5.04       $1,022.13       $3.11  

Investor A

    1,000.00       1,022.20       6.47       4.59         1,000.00       1,018.80       6.46       1,020.67       4.58  

Investor C

    1,000.00       1,018.40       10.28       8.39         1,000.00       1,015.02       10.26       1,016.89       8.39  

Class K

    1,000.00       1,024.10       4.59       2.65               1,000.00       1,020.67       4.58       1,022.58       2.65  

 

  (a)  For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.99% for Institutional, 1.27% for Investor A, 2.02% for Investor C and 0.90% for Class K), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).  
  (b)  For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.61% for Institutional, 0.90% for Investor A, 1.65% for Investor C and 0.52% for Class K), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).  
  (c)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.  

See “Disclosure of Expenses” on page 7 on how expenses were calculated.

 

 

FUND SUMMARY      5  


Fund Summary  as of December 31, 2017 (continued)    BlackRock Strategic Income Opportunities Portfolio

 

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Asset Type  

Percent of

Total Investments(a)

U.S. Government Sponsored Agency Securities

      42 %

U.S. Treasury Obligations

      17

Corporate Bonds

      15

Asset-Backed Securities

      7

Foreign Government Obligations

      5

Non-Agency Mortgage-Backed Securities

      4

Taxable Municipal Bonds

      3

Preferred Securities

      2

Investment Companies

      2

Floating Rate Loan Interests

      1

Foreign Agency Obligations

      1

Common Stocks

      1

 

  (a) Total investments exclude short-term securities and options purchased.  

CREDIT QUALITY ALLOCATION(a)

 

Credit Rating  

Percent of

Total Investments(b)

AAA/Aaa(c)

      63 %

AA/Aa

      3

A

      5

BBB/Baa

      10

BB/Ba

      6

B

      4

CCC/Caa

      1

CC/Ca

      1

N/R

      7

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) 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 N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (b)  Total investments exclude short-term securities and options purchased.  
  (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.  
 

 

 

6    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


About Fund Performance     

 

Institutional and Class K 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. Prior to the Fund’s Class K Shares inception date of March 28, 2016, Class K Share performance results are those of Institutional Shares (which have no distribution or service fees) and were restated to reflect Class K Share fees.

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.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.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 tables on the previous page assume reinvestment of all distributions, if any, at NAV on the ex-dividend/payable date. 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 agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 6 of the Notes to Consolidated 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

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on July 1, 2017 and held through December 31, 2017) 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. 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 headings 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 any 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.

 

 

ABOUT FUND PERFORMANCE      7  


The Benefits and Risks of Leveraging   

 

The Fund may utilize leverage to seek to enhance returns and net asset value (“NAV”). However, these objectives cannot 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.

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. 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 Consolidated Financial Statements.

 

 

8    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities — 13.8%

 

Cayman Islands — 6.5%  

Adams Mill CLO Ltd., Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.100%),
2.46%, 07/15/26 (a)(b)

    USD       6,890     $ 6,910,866  

AIMCO CLO:

     

Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.250%),
4.61%, 07/20/26 (a)(b)

      755       760,278  

Series 2015-AA, Class E, (3 mo. LIBOR US + 7.820%),
9.18%, 01/15/28 (a)(b)

      750       750,091  

Allegro CLO II Ltd.:

     

Series 2014-1A, Class CR, (3 mo. LIBOR US +
3.850%), 5.21%, 01/21/27 (a)(b)

      3,700       3,707,090  

Series 2014-1A, Class D, (3 mo. LIBOR US + 5.800%),
7.16%, 01/21/27 (a)(b)

      970       975,113  

Allegro CLO IV Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.850%),
5.21%, 01/15/29 (a)(b)

      750       765,039  

Allegro CLO V Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.240%),
2.61%, 10/16/30 (a)(b)

      2,300       2,299,039  

Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%),
0.00%, 01/16/30 (a)(b)(c)

      7,560       7,560,000  

ALM V Ltd.:

     

Series 2012-5A, Class A1R3, (3 mo. LIBOR US + 0.910%),
2.26%, 10/18/27 (a)(b)

      6,420       6,424,127  

Series 2012-5A, Class BR3, (3 mo. LIBOR US + 1.650%),
3.00%, 10/18/27 (a)(b)

      1,310       1,311,619  

ALM VI Ltd.:

     

Series 2012-6A, Class A2RR, (3 mo. LIBOR US + 1.600%),
2.96%, 07/15/26 (a)(b)

      2,864       2,865,888  

Series 2012-6A, Class CRR, (3 mo. LIBOR US + 3.200%),
4.56%, 07/15/26 (a)(b)

      5,965       6,049,455  

Series 2012-6A, Class DRR, (3 mo. LIBOR US + 5.450%),
6.81%, 07/15/26 (a)(b)

      3,100       3,125,427  

ALM VII Ltd., Series 2012-7A, Class A1R, (3 mo. LIBOR US + 1.480%),
2.84%, 10/15/28 (a)(b)

      12,430       12,515,871  

ALM XII Ltd.:

     

Series 2015-12A, Class A1R, (3 mo. LIBOR US + 1.050%),
2.41%, 04/16/27 (a)(b)

      21,640       21,688,673  

Series 2015-12A, Class BR, (3 mo. LIBOR US + 2.050%),
3.41%, 04/16/27 (a)(b)

      4,957       4,992,595  

Series 2015-12A, Class C1R, (3 mo. LIBOR US + 3.200%),
4.56%, 04/16/27 (a)(b)

      4,100       4,124,005  

Series 2015-12A, Class C2R, (3 mo. LIBOR US + 3.200%),
4.56%, 04/16/27 (a)(b)

      1,540       1,561,311  

ALM XIV Ltd.:

     

Series 2014-14A, Class A1R, (3 mo. LIBOR US + 1.150%),
2.53%, 07/28/26 (a)(b)

      9,325       9,327,150  

Series 2014-14A, Class BR, (3 mo. LIBOR US + 2.100%),
3.48%, 07/28/26 (a)(b)

      5,169       5,169,467  

Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%),
4.83%, 07/28/26 (a)(b)

      8,017       8,018,160  

Series 2014-14A, Class PS,
0.00%, 07/28/26 (b)(d)

      3,970       2,693,276  

Series 2014-14B, Class PS,
0.00%, 07/28/26 (d)

      1,500       1,017,611  

ALM XVI Ltd./ALM XVI LLC:

     

Series 2015-16A, Class BR, (3 mo. LIBOR US + 2.050%),
3.41%, 07/15/27 (a)(b)

      2,480       2,498,882  
Security         

Par

(000)

    Value  
Cayman Islands (continued)  

ALM XVI Ltd./ALM XVI LLC: (continued)

     

Series 2015-16A, Class C2R, (3 mo. LIBOR US + 3.200%),
4.56%, 07/15/27 (a)(b)

    USD       7,500     $ 7,613,218  

Series 2015-16A, Class D, (3 mo. LIBOR US + 5.350%),
6.71%, 07/15/27 (a)(b)

      1,160       1,165,636  

ALM XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 7.600%),
8.96%, 07/15/27 (a)(b)

      975       1,008,266  

AMMC CLO 15 Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.200%),
5.52%, 12/09/26 (a)(b)

      2,620       2,680,923  

AMMC CLO 17 Ltd.:

     

Series 2015-17A, Class B, (3 mo. LIBOR US + 2.300%),
3.72%, 11/15/27 (a)(b)

      4,755       4,798,147  

Series 2015-17A, Class C, (3 mo. LIBOR US + 3.250%),
4.67%, 11/15/27 (a)(b)

      2,330       2,332,182  

Series 2015-17A, Class E, (3 mo. LIBOR US + 6.750%),
8.17%, 11/15/27 (a)(b)

      2,000       2,015,748  

AMMC CLO 18 Ltd.:

     

Series 2016-18A, Class D, (3 mo. LIBOR US + 5.000%),
6.46%, 05/26/28 (a)(b)

      1,550       1,574,148  

Series 2016-18A, Class E1, (3 mo. LIBOR US + 6.670%),
8.13%, 05/26/28 (a)(b)

      625       635,872  

AMMC CLO 19 Ltd., Series 2016-19A, Class C, (3 mo. LIBOR US + 2.800%),
4.16%, 10/15/28 (a)(b)

      890       904,256  

AMMC CLO 20 Ltd., Series 2017-20A, Class E, (3 mo. LIBOR US + 5.810%),
7.16%, 04/17/29 (a)(b)

      750       746,198  

AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.250%),
2.64%, 11/02/30 (a)(b)

      1,720       1,730,343  

AMMC CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.200%),
2.61%, 11/10/30 (a)(b)

      1,675       1,685,333  

AMMC CLO XIII Ltd., Series 2013-13A, Class A1LR, (3 mo. LIBOR US + 1.260%),
2.62%, 07/24/29 (a)(b)

      2,500       2,518,771  

AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.250%),
2.62%, 07/25/29 (a)(b)

      7,205       7,267,808  

Anchorage Capital CLO 3 Ltd.:

     

Series 2014-3A, Class A2AR, (3 mo. LIBOR US + 2.050%),
3.43%, 04/28/26 (a)(b)

      2,980       2,993,199  

Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.650%),
4.03%, 04/28/26 (a)(b)

      2,375       2,381,106  

Series 2014-3A, Class D, (3 mo. LIBOR US + 4.750%),
6.13%, 04/28/26 (a)(b)

      7,320       7,374,382  

Anchorage Capital CLO 4 Ltd.:

     

Series 2014-4A, Class A1AR, (3 mo. LIBOR US + 1.140%),
2.52%, 07/28/26 (a)(b)

      1,740       1,743,875  

Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.400%),
4.78%, 07/28/26 (a)(b)

      6,720       6,769,733  

Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class E, (3 mo. LIBOR US + 5.000%),
6.36%, 10/15/26 (a)(b)

      750       750,012  

Anchorage Capital CLO 6 Ltd.:

     

Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.270%),
2.63%, 07/15/30 (a)(b)

      5,250       5,287,157  

Series 2015-6A, Class DR, (3 mo. LIBOR US + 3.550%),
4.91%, 07/15/30 (a)(b)

      2,660       2,699,315  

Series 2015-6A, Class ER, (3 mo. LIBOR US + 6.350%),
7.71%, 07/15/30 (a)(b)

      2,250       2,286,623  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      9  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)  

Anchorage Capital CLO 7 Ltd.:

     

Series 2015-7A, Class AR, (3 mo. LIBOR US + 0.960%),
2.32%, 10/15/27 (a)(b)

    USD       39,870     $ 39,888,906  

Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%),
2.66%, 10/15/27 (a)(b)

      1,500       1,502,048  

Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%),
3.06%, 10/15/27 (a)(b)

      2,687       2,691,734  

Series 2015-7A, Class DR, (3 mo. LIBOR US + 2.700%),
4.06%, 10/15/27 (a)(b)

      2,125       2,142,606  

Series 2015-7A, Class ER, (3 mo. LIBOR US + 5.600%),
6.96%, 10/15/27 (a)(b)

      2,250       2,252,252  

Anchorage Capital CLO 8 Ltd.:

     

Series 2016-8A, Class D, (3 mo. LIBOR US + 4.200%),
5.58%, 07/28/28 (a)(b)

      1,360       1,378,857  

Series 2016-8A, Class E, (3 mo. LIBOR US + 6.500%),
7.88%, 07/28/28 (a)(b)

      4,230       4,327,853  

Anchorage Capital CLO 9 Ltd.:

     

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.000%),
5.36%, 01/15/29 (a)(b)

      1,860       1,899,700  

Series 2016-9A, Class E, (3 mo. LIBOR US + 7.250%),
8.61%, 01/15/29 (a)(b)

      1,170       1,219,962  

Anchorage Capital CLO Ltd.:

     

Series 2012-1A, Class DR, (3 mo. LIBOR US + 7.250%),
8.61%, 01/13/27 (a)(b)

      750       754,855  

Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.250%),
2.61%, 10/13/30 (a)(b)

      2,910       2,920,892  

Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%),
3.51%, 10/13/30 (a)(b)

      1,160       1,173,498  

Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.200%),
4.56%, 10/13/30 (a)(b)

      1,333       1,358,470  

Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.800%),
8.16%, 01/13/31 (a)(b)

      1,360       1,376,148  

Series 2014-3A, Class C, (3 mo. LIBOR US + 3.500%),
4.88%, 04/28/26 (a)(b)

      6,301       6,317,048  

Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%),
0.00%, 01/15/30 (a)(b)(c)

      13,860       13,860,000  

Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%),
0.00%, 01/15/30 (a)(b)(c)

      2,960       2,960,000  

Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%),
0.00%, 01/15/30 (a)(b)

      4,140       4,140,000  

Annisa CLO Ltd., Series 2016-2A, Class E, (3 mo. LIBOR US + 7.250%),
8.61%, 07/20/28 (a)(b)

      250       256,701  

Apidos CLO XII, Series 2013-12A, Class A, (3 mo. LIBOR US + 1.100%),
2.46%, 04/15/25 (a)(b)

      49,609       49,707,086  

Apidos CLO XV:

     

Series 2013-15A, Class A1R, (3 mo. LIBOR US + 1.100%),
2.46%, 10/20/25 (a)(b)

      4,630       4,636,692  

Series 2013-15A, Class D, (3 mo. LIBOR US + 4.750%),
6.11%, 10/20/25 (a)(b)

      3,880       3,889,551  

Apidos CLO XVI, Series 2013-16A, Class CR, (3 mo. LIBOR US + 3.000%),
4.36%, 01/19/25 (a)(b)

      2,775       2,785,407  

Apidos CLO XVII, Series 2014-17A, Class A1R, (3 mo. LIBOR US + 1.310%),
2.66%, 04/17/26 (a)(b)

      4,755       4,773,709  

Apidos CLO XVIII:

     

Series 2014-18A, Class A1R, (3 mo. LIBOR US + 1.120%),
2.48%, 07/22/26 (a)(b)

      3,590       3,606,131  

Series 2014-18A, Class CR, (3 mo. LIBOR US + 3.250%),
4.61%, 07/22/26 (a)(b)

      2,900       2,937,812  
Security         

Par

(000)

    Value  
Cayman Islands (continued)  

Apidos CLO XVIII: (continued)

     

Series 2014-18A, Class D, (3 mo. LIBOR US + 5.200%),
6.56%, 07/22/26 (a)(b)

    USD       7,055     $ 7,059,042  

Apidos CLO XX, Series 2015-20A, Class A1R, (3 mo. LIBOR US + 1.330%),
2.69%, 01/16/27 (a)(b)

      1,000       1,008,351  

Apidos CLO XXI, Series 2015-21A, Class C, (3 mo. LIBOR US + 3.550%),
4.90%, 07/18/27 (a)(b)

      500       505,022  

Apidos CLO XXII, Series 2015-22A, Class D, (3 mo. LIBOR US + 6.000%),
7.36%, 10/20/27 (a)(b)

      2,870       2,919,949  

Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.950%),
7.31%, 01/14/27 (a)(b)

      3,752       3,808,395  

Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3, Class A, (1 mo. LIBOR US + 0.990%),
2.23%, 11/15/22 (a)(b)(c)

      9,740       9,746,136  

Arbor Realty Commercial Real Estate Notes Ltd.:

     

Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%),
3.18%, 09/15/26 (a)(b)

      11,470       11,652,271  

Series 2017-FL2, Class A, (1 mo. LIBOR US + 0.990%),
2.47%, 08/15/27 (a)(b)

      4,410       4,416,009  

ARES XL CLO Ltd.:

     

Series 2016-40A, Class C, (3 mo. LIBOR US + 3.700%),
5.06%, 10/15/27 (a)(b)

      3,060       3,096,485  

Series 2016-40A, Class D, (3 mo. LIBOR US + 6.600%),
7.96%, 10/15/27 (a)(b)

      1,470       1,518,684  

ARES XLI CLO Ltd., Series 2016-41A, Class D, (3 mo. LIBOR US + 4.200%),
5.56%, 01/15/29 (a)(b)

      1,400       1,445,828  

ARES XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%),
7.83%, 10/15/29 (a)(b)

      3,380       3,443,414  

ARES XXVIII CLO Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.250%),
4.60%, 10/17/24 (a)(b)

      1,300       1,305,908  

ARES XXXII CLO Ltd.:

     

Series 2014-32A, Class BR, (3 mo. LIBOR US + 2.250%),
3.67%, 11/15/25 (a)(b)

      1,245       1,253,156  

Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.450%),
4.87%, 11/15/25 (a)(b)

      3,485       3,502,254  

Series 2014-32A, Class D, (3 mo. LIBOR US + 5.700%),
7.12%, 11/15/25 (a)(b)

      1,540       1,542,311  

ARES XXXIII CLO Ltd.:

     

Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.950%),
3.44%, 12/05/25 (a)(b)

      1,370       1,385,632  

Series 2015-1A, Class B2R, (3 mo. LIBOR US + 2.800%),
4.29%, 12/05/25 (a)(b)

      750       766,729  

Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.200%),
5.69%, 12/05/25 (a)(b)

      4,175       4,281,836  

Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%),
7.72%, 12/05/25 (a)(b)

      3,200       3,295,705  

ARES XXXIX CLO Ltd., Series 2016-39A, Class E, (3 mo. LIBOR US + 7.250%),
8.60%, 07/18/28 (a)(b)

      2,910       2,992,604  

ARES XXXVII CLO Ltd.:

     

Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%),
2.54%, 10/15/30 (a)(b)

      1,500       1,510,058  

Series 2015-4A, Class CR, (3 mo. LIBOR US + 2.650%),
4.01%, 10/15/30 (a)(b)

      5,005       5,043,981  
 

 

 

10    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)  

ARES XXXVII CLO Ltd.: (continued)

     

Series 2015-4A, Class DR, (3 mo. LIBOR US + 6.150%),
7.51%, 10/15/30 (a)(b)

    USD       5,915     $ 6,040,847  

ARES XXXVIII CLO Ltd., Series 2015-38A, Class D, (3 mo. LIBOR US + 4.150%),
5.51%, 01/20/27 (a)(b)

      970       973,932  

ArrowMark Colorado Holdings:

     

Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.160%),
0.00%, 10/25/30 (a)(b)

      4,440       4,440,000  

Series 2017-8A, Class C, (3 mo. LIBOR US + 2.050%),
0.00%, 10/25/30 (a)(b)

      2,375       2,375,000  

Arrowpoint CLO Ltd., Series 2016-5A, Class D, (3 mo. LIBOR US + 4.650%),
5.95%, 07/15/28 (a)(b)

      2,480       2,519,327  

Atlas Senior Loan Fund II Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 3.900%),
5.28%, 01/30/24 (a)(b)

      1,500       1,507,716  

Atlas Senior Loan Fund IV Ltd.:

     

Series 2013-2A, Class A2LR, (3 mo. LIBOR US + 1.450%),
2.87%, 02/17/26 (a)(b)

      2,750       2,751,737  

Series 2013-2A, Class A3LR, (3 mo. LIBOR US + 1.950%),
3.37%, 02/17/26 (a)(b)

      2,400       2,402,938  

Atlas Senior Loan Fund Ltd., Series 2017-8A, Class E, (3 mo. LIBOR US + 5.950%),
7.26%, 01/15/30 (a)(b)

      1,660       1,628,289  

Atlas Senior Loan Fund VI Ltd.:

     

Series 2014-6A, Class CR, (3 mo. LIBOR US + 2.400%),
3.76%, 10/15/26 (a)(b)

      750       751,867  

Series 2014-6A, Class DR, (3 mo. LIBOR US + 3.600%),
4.96%, 10/15/26 (a)(b)

      750       753,709  

Atrium VIII:

     

Series 8A, Class DR, (3 mo. LIBOR US + 4.000%),
5.36%, 10/23/24 (a)(b)

      12,615       12,819,010  

Series 8A, Class ER, (3 mo. LIBOR US + 7.250%),
8.61%, 10/23/24 (a)(b)

      3,890       4,033,926  

Series 8A, Class SUB,
0.00%, 10/23/24 (b)(e)

      13,300       9,453,587  

Atrium X:

     

Series 10A, Class B1R, (3 mo. LIBOR US + 1.450%),
2.81%, 07/16/25 (a)(b)

      5,570       5,572,590  

Series 10A, Class CR, (3 mo. LIBOR US + 1.950%),
3.31%, 07/16/25 (a)(b)

      3,960       3,976,657  

Series 10A, Class DR, (3 mo. LIBOR US + 3.000%),
4.36%, 07/16/25 (a)(b)

      1,670       1,673,206  

Series 10A, Class E, (3 mo. LIBOR US + 4.500%),
5.86%, 07/16/25 (a)(b)

      1,000       1,000,584  

Atrium XI, Series 11A, Class A1R, (3 mo. LIBOR US + 1.140%),
2.50%, 10/23/25 (a)(b)

      1,730       1,736,515  

Atrium XII, Series 12A, Class CR, (3 mo. LIBOR US + 1.650%),
3.02%, 04/22/27 (a)(b)

      3,865       3,867,964  

Avery Point V CLO Ltd.:

     

Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.980%),
2.33%, 07/17/26 (a)(b)

      7,090       7,111,706  

Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.500%),
2.85%, 07/17/26 (a)(b)

      1,730       1,737,439  

Avery Point VII CLO Ltd., Series 2015-7A, Class A1, (3 mo. LIBOR US + 1.500%),
2.86%, 01/15/28 (a)(b)

      13,670       13,808,424  

Babson CLO Ltd.:

     

Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%),
2.55%, 10/20/30 (a)(b)

      3,750       3,781,131  

Series 2016-1A, Class E, (3 mo. LIBOR US + 6.550%),
7.91%, 04/23/27 (a)(b)

      2,440       2,492,452  
Security         

Par

(000)

    Value  
Cayman Islands (continued)  

Babson CLO Ltd.: (continued)

     

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.900%),
8.26%, 07/20/28 (a)(b)

    USD       1,100     $ 1,136,682  

Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.650%),
5.01%, 10/20/26 (a)(b)

      7,920       7,937,380  

Battalion CLO VII Ltd., Series 2014-7A, Class C, (3 mo. LIBOR US + 3.900%),
5.25%, 10/17/26 (a)(b)

      1,250       1,252,117  

Battalion CLO X Ltd., Series 2016-10A, Class D, (3 mo. LIBOR US + 7.000%),
8.36%, 01/24/29 (a)(b)

      1,250       1,291,337  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, (3 mo. LIBOR US + 3.700%),
5.06%, 07/15/29 (a)(b)

      1,500       1,532,318  

Benefit Street Partners CLO IV Ltd.,

     

Series 2014-IVA, Class A1R, (3 mo. LIBOR US + 1.490%),
2.85%, 01/20/29 (a)(b)

      16,065       16,197,424  

Benefit Street Partners CLO IX Ltd.,

     

Series 2016-9A, Class E, (3 mo. LIBOR US + 6.670%),
8.03%, 07/20/28 (a)(b)

      500       510,682  

Benefit Street Partners CLO VI Ltd.:

     

Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.240%),
2.59%, 10/18/29 (a)(b)

      17,069       17,092,009  

Series 2015-VIA, Class A2R, (3 mo. LIBOR US + 1.720%),
3.07%, 10/18/29 (a)(b)

      3,868       3,907,848  

Series 2015-VIA, Class BR, (3 mo. LIBOR US + 2.400%),
3.75%, 10/18/29 (a)(b)

      2,750       2,795,318  

Series 2015-VIA, Class CR, (3 mo. LIBOR US + 3.450%),
4.80%, 10/18/29 (a)(b)

      2,640       2,686,130  

Benefit Street Partners CLO VII Ltd.,

     

Series 2015-VIIA, Class D, (3 mo. LIBOR US + 5.350%),
6.70%, 07/18/27 (a)(b)

      7,930       7,933,851  

Benefit Street Partners CLO VIII Ltd.:

     

Series 2015-8A, Class B, (3 mo. LIBOR US + 3.000%),
4.36%, 01/20/28 (a)(b)

      1,500       1,502,082  

Series 2015-8A, Class C, (3 mo. LIBOR US + 3.900%),
5.26%, 01/20/28 (a)(b)

      2,320       2,340,202  

Series 2015-8A, Class D, (3 mo. LIBOR US + 5.500%),
6.86%, 01/20/28 (a)(b)

      750       754,568  

Betony CLO Ltd.:

     

Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.850%),
4.21%, 04/15/27 (a)(b)

      2,150       2,157,047  

Series 2015-1A, Class D, (3 mo. LIBOR US + 3.600%),
4.96%, 04/15/27 (a)(b)

      2,040       2,059,889  

Birchwood Park CLO Ltd., Series 2014-1A, Class D1, (3 mo. LIBOR US + 3.450%),
4.81%, 07/15/26 (a)(b)

      970       976,656  

BlueMountain CLO Ltd.:

     

Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.150%),
5.59%, 11/20/28 (a)(b)

      1,170       1,191,888  

Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%),
2.54%, 10/22/30 (a)(b)

      3,520       3,539,964  

Series 2013-3A, Class B1R, (3 mo. LIBOR US + 1.400%),
2.78%, 10/29/25 (a)(b)

      1,550       1,550,524  

Series 2013-3A, Class CR, (3 mo. LIBOR US + 1.900%),
3.28%, 10/29/25 (a)(b)

      6,635       6,639,447  

Series 2014-2A, Class AR, (3 mo. LIBOR US + 0.930%),
2.29%, 07/20/26 (a)(b)

      2,760       2,764,649  

Series 2014-3A, Class D, (3 mo. LIBOR US + 5.100%),
6.46%, 10/15/26 (a)(b)

      5,357       5,380,157  

Series 2014-4A, Class A1R, (3 mo. LIBOR US + 1.350%),
2.82%, 11/30/26 (a)(b)

      2,910       2,928,247  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      11  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

BlueMountain CLO Ltd.: (continued)

     

Series 2014-4A, Class E, (3 mo. LIBOR US + 5.300%),
6.62%, 11/30/26 (a)(b)

    USD       2,345     $ 2,353,102  

Series 2015-1A, Class C, (3 mo. LIBOR US + 3.750%),
5.11%, 04/13/27 (a)(b)

      1,670       1,686,724  

Series 2015-1A, Class D, (3 mo. LIBOR US + 5.450%),
6.81%, 04/13/27 (a)(b)

      3,611       3,640,188  

Series 2015-4A, Class D2, (3 mo. LIBOR US + 4.050%),
5.41%, 01/20/27 (a)(b)

      970       976,586  

Series 2016-2A, Class D, (3 mo. LIBOR US + 7.000%),
8.44%, 08/20/28 (a)(b)

      750       779,155  

Series 2016-3A, Class E, (3 mo. LIBOR US + 6.850%),
8.27%, 11/15/27 (a)(b)

      750       774,299  

Bristol Park CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.250%),
8.61%, 04/15/29 (a)(b)

      750       772,016  

Brookside Mill CLO Ltd., Series 2013-1A, Class A1, (3 mo. LIBOR US + 1.150%),
2.50%, 04/17/25 (a)(b)

      8,210       8,216,813  

BSPRT Issuer Ltd., Series 2017-FL1, Class A, (1 mo. LIBOR US + 1.350%),
2.83%, 06/15/27 (a)(b)(c)

      10,070       10,092,154  

Burnham Park CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 6.850%),
8.21%, 10/20/29 (a)(b)

      750       775,251  

Canyon Capital CLO Ltd.:

     

Series 2012-1A, Class DR, (3 mo. LIBOR US + 4.100%),
5.46%, 01/15/26 (a)(b)

      1,920       1,924,260  

Series 2016-1A, Class E, (3 mo. LIBOR US + 7.500%),
8.86%, 04/15/28 (a)(b)

      750       765,200  

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.750%),
8.11%, 10/15/28 (a)(b)

      4,070       4,176,382  

Carlyle Global Market Strategies CLO Ltd.:

     

Series 2013-2A, Class AR, (3 mo. LIBOR US + 0.890%),
2.24%, 01/18/29 (a)(b)(c)

      3,630       3,630,000  

Series 2014-3A, Class C1R, (3 mo. LIBOR US + 3.270%),
4.64%, 07/27/26 (a)(b)

      750       759,627  

Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.100%),
6.47%, 07/27/26 (a)(b)

      5,382       5,410,274  

Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.000%),
3.36%, 04/20/27 (a)(b)

      3,090       3,098,945  

Series 2015-1A, Class DR, (3 mo. LIBOR US + 3.000%),
4.36%, 04/20/27 (a)(b)

      2,475       2,481,327  

Series 2015-1A, Class E1, (3 mo. LIBOR US + 5.300%),
6.66%, 04/20/27 (a)(b)

      2,265       2,278,503  

Series 2015-4A, Class D, (3 mo. LIBOR US + 6.100%),
7.46%, 10/20/27 (a)(b)

      1,330       1,365,213  

Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%),
9.86%, 10/20/27 (a)(b)

      1,934       1,960,879  

Series 2016-1A, Class D, (3 mo. LIBOR US + 7.600%),
8.96%, 04/20/27 (a)(b)

      2,750       2,817,186  

Series 2016-3A, Class D, (3 mo. LIBOR US + 7.000%),
8.36%, 10/20/29 (a)(b)

      750       779,995  

Carlyle U.S. CLO Ltd., Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.180%),
2.67%, 01/15/30 (a)(b)

      4,750       4,753,066  

Catamaran CLO Ltd., Series 2012-1A, Class BR, (3 mo. LIBOR US + 1.950%),
3.58%, 12/20/23 (a)(b)

      3,900       3,905,552  

CBAM Ltd.:

     

Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%),
2.58%, 07/20/30 (a)(b)

      6,700       6,758,244  
Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

CBAM Ltd.: (continued)

     

Series 2017-2A, Class B1, (3 mo. LIBOR US + 1.750%),
3.14%, 10/17/29 (a)(b)

    USD       2,595     $ 2,615,247  

Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%),
2.60%, 10/17/29 (a)(b)

      3,450       3,469,318  

Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%),
3.07%, 10/17/29 (a)(b)

      450       453,121  

Series 2017-3A, Class E1, (3 mo. LIBOR US + 6.500%),
7.87%, 10/17/29 (a)(b)

      1,530       1,569,081  

Cedar Funding VIII CLO Ltd.:

     

Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%),
2.62%, 10/17/30 (a)(b)

      29,020       29,166,168  

Series 2017-8A, Class B, (3 mo. LIBOR US + 1.700%),
3.07%, 10/17/30 (a)(b)

      1,920       1,934,016  

Series 2017-8A, Class C, (3 mo. LIBOR US + 2.250%),
3.62%, 10/17/30 (a)(b)

      4,665       4,677,318  

Series 2017-8A, Class D, (3 mo. LIBOR US + 3.250%),
4.62%, 10/17/30 (a)(b)

      3,695       3,756,629  

Cent CLO 24 Ltd., Series 2015-24A, Class D2, (3 mo. LIBOR US + 6.780%),
8.14%, 10/15/26 (a)(b)

      1,088       1,104,216  

CIFC Funding Ltd.:

     

Series 13-2AR, Class B-1 L-R, (3 mo. LIBOR US + 3.050%),
4.40%, 10/26/29 (a)(b)

      773       781,651  

Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.750%),
3.11%, 07/16/30 (a)(b)

      500       504,353  

Series 2013-2A, Class A1LR, (3 mo. LIBOR US + 1.210%),
2.56%, 10/18/30 (a)(b)

      7,500       7,562,551  

Series 2013-4A, Class DR, (3 mo. LIBOR US + 3.350%),
4.81%, 11/27/24 (a)(b)

      1,560       1,566,495  

Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.050%),
2.40%, 04/18/25 (a)(b)

      7,200       7,217,348  

Series 2014-1A, Class E, (3 mo. LIBOR US + 4.500%),
5.85%, 04/18/25 (a)(b)

      780       782,376  

Series 2014-2A, Class A1LR, (3 mo. LIBOR US + 1.200%),
2.65%, 05/24/26 (a)(b)

      5,000       5,025,461  

Series 2014-2A, Class B1L, (3 mo. LIBOR US + 3.500%),
4.95%, 05/24/26 (a)(b)

      10,005       10,069,963  

Series 2014-3A, Class B1R, (3 mo. LIBOR US + 1.500%),
2.86%, 07/22/26 (a)(b)

      970       972,622  

Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.900%),
3.26%, 07/22/26 (a)(b)

      3,137       3,149,914  

Series 2014-4A, Class D, (3 mo. LIBOR US + 3.400%),
4.75%, 10/17/26 (a)(b)

      3,755       3,780,848  

Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.400%),
2.75%, 01/17/27 (a)(b)

      19,190       19,257,829  

Series 2014-5A, Class CR, (3 mo. LIBOR US + 2.700%),
4.05%, 01/17/27 (a)(b)

      970       975,534  

Series 2014-5A, Class E2, (3 mo. LIBOR US + 6.250%),
7.60%, 01/17/27 (a)(b)

      1,250       1,274,058  

Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.110%),
2.47%, 01/22/31 (a)(b)(c)

      4,090       4,090,000  

Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.780%),
2.42%, 04/15/27 (a)(b)(c)

      12,130       12,117,821  

Series 2015-2A, Class CR, (3 mo. LIBOR US + 1.700%),
3.34%, 04/15/27 (a)(b)(c)

      5,675       5,675,000  

Series 2015-3A, Class E, (3 mo. LIBOR US + 6.050%),
7.41%, 10/19/27 (a)(b)

      2,000       2,041,939  

Series 2015-5A, Class D, (3 mo. LIBOR US + 6.300%),
7.67%, 10/25/27 (a)(b)

      970       989,866  
 

 

 

12    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

CIFC Funding Ltd.: (continued)

     

Series 2016-1A, Class E, (3 mo. LIBOR US + 6.750%),
8.11%, 10/21/28 (a)(b)

    USD       3,310     $ 3,425,076  

Clear Creek CLO Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.300%),
7.66%, 10/20/30 (a)(b)

      1,375       1,380,338  

Cumberland Park CLO Ltd., Series 2015-2A, Class E, (3 mo. LIBOR US + 5.000%),
6.36%, 07/20/26 (a)(b)

      750       750,582  

Dryden 31 Senior Loan Fund, Series 2014-31A, Class DR, (3 mo. LIBOR US + 3.350%),
4.70%, 04/18/26 (a)(b)

      750       755,291  

Dryden 34 Senior Loan Fund:

     

Series 2014-34A, Class CR, (3 mo. LIBOR US + 2.150%),
3.51%, 10/15/26 (a)(b)

      1,200       1,200,317  

Series 2014-34A, Class DR, (3 mo. LIBOR US + 3.400%),
4.76%, 10/15/26 (a)(b)

      1,190       1,205,988  

Dryden 36 Senior Loan Fund:

     

Series 2014-36A, Class CR, (3 mo. LIBOR US + 2.800%),
4.16%, 01/15/28 (a)(b)

      750       761,202  

Series 2014-36A, Class DR, (3 mo. LIBOR US + 4.240%),
5.60%, 01/15/28 (a)(b)

      2,500       2,559,003  

Dryden 38 Senior Loan Fund, Series 2015-38A, Class E, (3 mo. LIBOR US + 6.050%),
7.41%, 07/15/27 (a)(b)

      425       432,310  

Dryden 41 Senior Loan Fund, Series 2015-41A, Class E, (3 mo. LIBOR US + 5.650%),
7.01%, 01/15/28 (a)(b)

      750       758,704  

Dryden 43 Senior Loan Fund, Series 2016-43A, Class E, (3 mo. LIBOR US + 7.250%),
8.61%, 07/20/29 (a)(b)

      750       779,277  

Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%),
0.00%, 01/15/31 (a)(b)

      58,000       58,000,000  

Dryden XXV Senior Loan Fund:

     

Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.900%),
2.26%, 10/15/27 (a)(b)

      4,950       4,960,033  

Series 2012-25A, Class CRR, (3 mo. LIBOR US + 1.850%),
3.21%, 10/15/27 (a)(b)

      1,500       1,511,386  

Dryden XXVIII Senior Loan Fund,

     

Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.200%),
2.62%, 08/15/30 (a)(b)

      14,365       14,474,674  

Elevation CLO Ltd., Series 2016-5A, Class E, (3 mo. LIBOR US + 6.950%),
8.31%, 07/15/28 (a)(b)

      1,850       1,882,352  

Flatiron CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.890%),
2.25%, 04/15/27 (a)(b)

      4,600       4,606,591  

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class SUBR,
0.00%, 04/20/23 (b)(c)(e)

      4,075       464,553  

Galaxy XIV CLO Ltd., Series 2012-14A, Class DR, (3 mo. LIBOR US + 4.300%),
5.72%, 11/15/26 (a)(b)

      1,155       1,166,624  

Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (3 mo. LIBOR US + 1.200%),
2.56%, 10/15/30 (a)(b)

      5,085       5,125,488  

Galaxy XXI CLO Ltd., Series 2015-21A, Class E2, (3 mo. LIBOR US + 6.500%),
7.86%, 01/20/28 (a)(b)

      500       500,981  

Galaxy XXII CLO Ltd., Series 2016-22A, Class E1, (3 mo. LIBOR US + 7.000%),
8.36%, 07/16/28 (a)(b)

      500       512,143  
Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

Gilbert Park CLO Ltd., Series 17-1A, Class E, (3 mo. LIBOR US + 6.400%),
7.76%, 10/15/30 (a)(b)

    USD       1,500     $ 1,522,211  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, (3 mo. LIBOR US + 3.500%),
4.88%, 10/29/26 (a)(b)

      3,297       3,316,723  

GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.070%),
2.60%, 01/19/31 (a)(b)(c)

      7,620       7,620,000  

Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%),
3.03%, 03/15/27 (a)(b)(c)

      2,870       2,869,713  

Greywolf CLO IV Ltd., Series 2014-2A, Class BR, (3 mo. LIBOR US + 2.350%),
3.70%, 01/17/27 (a)(b)

      2,120       2,128,082  

GT Loan Financing I Ltd., Series 2013-1A, Class A, (3 mo. LIBOR US + 1.270%),
2.65%, 10/28/24 (a)(b)

      11,535       11,554,349  

Highbridge Loan Management Ltd.:

     

Series 2013-2A, Class DR, (3 mo. LIBOR US + 6.600%),
7.96%, 10/20/29 (a)(b)

      500       505,088  

Series 2014-4A, Class B, (3 mo. LIBOR US + 3.000%),
4.38%, 07/28/25 (a)(b)

      3,465       3,474,967  

Series 2016-8A, Class D, (3 mo. LIBOR US + 4.850%),
6.21%, 04/20/27 (a)(b)

      1,560       1,588,843  

Series 2016-8A, Class E, (3 mo. LIBOR US + 7.900%),
9.26%, 04/20/27 (a)(b)

      750       766,190  

Series 5A-2015, Class C1R, (3 mo. LIBOR US + 2.100%),
3.48%, 01/29/26 (a)(b)

      3,080       3,098,632  

Series 5A-2015, Class C2R, (3 mo. LIBOR US + 2.100%),
3.48%, 01/29/26 (a)(b)

      750       752,612  

Series 5A-2015, Class D1R, (3 mo. LIBOR US + 3.300%),
4.68%, 01/29/26 (a)(b)

      3,470       3,478,623  

Series 5A-2015, Class D2R, (3 mo. LIBOR US + 3.300%),
4.68%, 01/29/26 (a)(b)

      750       751,864  

Series 5A-2015, Class E, (3 mo. LIBOR US + 5.350%),
6.73%, 01/29/26 (a)(b)

      2,500       2,513,492  

Series 5X-2015, Class E, (3 mo. LIBOR US + 1.150%),
6.73%, 01/29/26 (a)

      2,330       2,342,575  

Series 6A-2015, Class A, (3 mo. LIBOR US + 1.450%),
2.84%, 05/05/27 (a)(b)

      1,165       1,166,740  

Series 6A-2015, Class D, (3 mo. LIBOR US + 3.650%),
5.04%, 05/05/27 (a)(b)

      2,070       2,082,226  

Series 6A-2015, Class E1, (3 mo. LIBOR US + 5.450%),
6.84%, 05/05/27 (a)(b)

      1,620       1,624,853  

Series 7A-2015, Class C, (3 mo. LIBOR US + 3.380%),
4.80%, 11/15/26 (a)(b)

      1,670       1,677,790  

Series 7A-2015, Class D, (3 mo. LIBOR US + 3.750%),
5.17%, 11/15/26 (a)(b)

      1,160       1,164,342  

Series 7A-2015, Class E, (3 mo. LIBOR US + 5.750%),
7.17%, 11/15/26 (a)(b)

      1,500       1,499,187  

HPS Loan Management Ltd.:

     

Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%),
5.01%, 01/20/28 (a)(b)

      4,912       4,968,251  

Series 10A-16, Class D, (3 mo. LIBOR US + 6.500%),
7.86%, 01/20/28 (a)(b)

      4,000       4,059,792  

Series 9A-2016, Class D2, (3 mo. LIBOR US + 6.450%),
7.81%, 07/19/27 (a)(b)

      3,120       3,182,949  

Jay Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 7.000%),
8.36%, 10/20/27 (a)(b)

      2,230       2,317,454  

LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%),
0.00%, 01/20/31 (a)(b)(c)

      13,480       13,480,000  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      13  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Cayman Islands (continued)                  

LCM XIV LP, Series 14A, Class A, (3 mo. LIBOR US + 1.150%),
2.51%, 07/15/25 (a)(b)

    USD       1,960     $ 1,964,146  

LCM XVI LP, Series 16A, Class AR, (3 mo. LIBOR US + 1.030%),
2.39%, 07/15/26 (a)(b)

      3,330       3,343,404  

LCM XVII LP, Series 17A, Class D, (3 mo. LIBOR US + 3.500%),
4.86%, 10/15/26 (a)(b)

      1,560       1,569,391  

LCM XVIII LP:

     

Series 18A, Class C1, (3 mo. LIBOR US + 3.150%),
4.51%, 04/20/27 (a)(b)

      4,670       4,672,442  

Series 18A, Class D, (3 mo. LIBOR US + 3.800%),
5.16%, 04/20/27 (a)(b)

      2,670       2,688,498  

Series 18A, Class E, (3 mo. LIBOR US + 5.350%),
6.71%, 04/20/27 (a)(b)

      2,430       2,437,705  

Series 18A, Class INC,
0.00%, 04/20/27 (b)

      1,835       1,075,180  

LCM XXIV Ltd., Series 24A, Class A, (3 mo. LIBOR US + 1.310%),
2.67%, 03/20/30 (a)(b)

      1,350       1,355,755  

Lime Street CLO Ltd., Series 2007-1A, Class B, (3 mo. LIBOR US + 0.550%), 2.18%, 06/20/21 (a)(b)

      647       646,484  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.600%), 4.96%, 10/20/26 (a)(b)

      8,490       8,523,372  

Madison Park Funding XII Ltd.,
Series 2014-12A, Class E, (3 mo. LIBOR US + 5.100%), 6.46%, 07/20/26 (a)(b)

      1,140       1,143,731  

Madison Park Funding XIII Ltd.:

     

Series 2014-13A, Class CR, (3 mo. LIBOR US + 2.150%),
3.51%, 01/19/25 (a)(b)

      434       434,222  

Series 2014-13A, Class DR, (3 mo. LIBOR US + 3.270%),
4.63%, 01/19/25 (a)(b)

      1,250       1,261,867  

Series 2014-13A, Class E, (3 mo. LIBOR US + 5.000%),
6.36%, 01/19/25 (a)(b)

      10,110       10,149,652  

Madison Park Funding XIV Ltd.:

     

Series 2014-14A, Class A2R, (3 mo. LIBOR US + 1.120%),
2.48%, 07/20/26 (a)(b)

      18,859       18,927,062  

Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.250%),
4.61%, 07/20/26 (a)(b)

      4,925       4,965,299  

Series 2014-14A, Class E, (3 mo. LIBOR US + 4.750%),
6.11%, 07/20/26 (a)(b)

      1,250       1,260,927  

Madison Park Funding XIX Ltd.,
Series 2015-19A, Class D, (3 mo. LIBOR US + 6.450%),
7.81%, 01/22/28 (a)(b)

      750       757,513  

Madison Park Funding XV Ltd.,
Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%),
4.82%, 01/27/26 (a)(b)

      1,160       1,163,704  

Madison Park Funding XVI Ltd.:

     

Series 2015-16A, Class C, (3 mo. LIBOR US + 3.700%),
5.06%, 04/20/26 (a)(b)

      1,200       1,208,628  

Series 2015-16A, Class D, (3 mo. LIBOR US + 5.500%),
6.86%, 04/20/26 (a)(b)

      4,030       4,042,737  

Madison Park Funding XVIII Ltd.,
Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%),
2.55%, 10/21/30 (a)(b)

      24,930       25,068,364  

Madison Park Funding XX Ltd.,
Series 2016-20A, Class E, (3 mo. LIBOR US + 7.400%), 8.77%, 04/27/27 (a)(b)

      1,740       1,785,437  

Madison Park Funding XXVI Ltd.,
Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%),
2.52%, 07/29/30 (a)(b)

      7,650       7,709,677  

Marble Point CLO XI Ltd.,
Series 2017-2A, Class A, (3 mo. LIBOR US + 1.180%),
2.79%, 12/18/30 (a)(b)

      4,500       4,503,478  
Security          Par
(000)
    Value  
Cayman Islands (continued)                  

Mill Creek CLO Ltd.:

     

Series 2016-1A, Class C, (3 mo. LIBOR US + 3.350%), 4.71%, 04/20/28 (a)(b)

    USD       1,600     $ 1,614,715  

Series 2016-1A, Class E, (3 mo. LIBOR US + 7.750%), 9.11%, 04/20/28 (a)(b)

      1,750       1,764,603  

Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, (3 mo. LIBOR US + 2.180%), 3.54%, 01/20/24 (a)(b)

      5,620       5,686,850  

Mountain Hawk II CLO Ltd., Series 2013-2A, Class A1, (3 mo. LIBOR US + 1.160%), 2.52%, 07/22/24 (a)(b)

      11,500       11,522,699  

MP CLO III Ltd., Series 2013-1A, Class AR, (3 mo. LIBOR US + 1.250%),
2.61%, 10/20/30 (a)(b)

      8,280       8,317,005  

MP CLO VII Ltd.:

     

Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.840%),
2.37%, 04/18/27 (a)(b)

      1,750       1,749,445  

Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.500%),
4.03%, 04/18/27 (a)(b)

      1,750       1,742,854  

Neuberger Berman CLO XIV Ltd.,
Series 2013-14A, Class ER, (3 mo. LIBOR US + 6.450%), 7.83%, 01/28/30 (a)(b)

      2,125       2,158,516  

Neuberger Berman CLO XV,
Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.050%), 4.41%, 10/15/29 (a)(b)

      1,600       1,610,964  

Neuberger Berman CLO XVI Ltd.:

     

Series 2014-16A, Class B2R, (3 mo. LIBOR US + 2.170%),
3.53%, 04/15/26 (a)(b)

      4,700       4,704,590  

Series 2014-16A, Class D, (3 mo. LIBOR US + 3.350%), 4.71%, 04/15/26 (a)(b)

      1,650       1,667,014  

Neuberger Berman CLO XVII Ltd.,
Series 2014-17A, Class DR, (3 mo. LIBOR US + 3.650%),
5.01%, 04/22/29 (a)(b)

      4,833       4,937,603  

Neuberger Berman CLO XVIII Ltd.:

     

Series 2014-18A, Class CR, (3 mo. LIBOR US + 4.250%),
5.66%, 11/14/27 (a)(b)

      2,110       2,167,020  

Series 2014-18A, Class DR, (3 mo. LIBOR US + 7.750%),
9.16%, 11/14/27 (a)(b)

      750       783,746  

Neuberger Berman CLO XVI-S Ltd.:

     

Series 2017-16SA, Class A, (3 mo. LIBOR US + 0.850%),
0.00%, 01/15/28 (a)(b)

      2,220       2,220,000  

Series 2017-16SA, Class D, (3 mo. LIBOR US + 2.500%),
0.00%, 01/15/28 (a)(b)(c)

      1,650       1,650,000  

Neuberger Berman CLO XX Ltd.:

     

Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%),
3.76%, 01/15/28 (a)(b)

      1,750       1,751,501  

Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%),
6.36%, 01/15/28 (a)(b)

      8,103       8,104,014  

Neuberger Berman CLO XXI Ltd.:

     

Series 2016-21A, Class D, (3 mo. LIBOR US + 4.950%), 6.31%, 04/20/27 (a)(b)

      550       559,404  

Series 2016-21A, Class E, (3 mo. LIBOR US + 7.000%), 8.36%, 04/20/27 (a)(b)

      1,920       1,965,580  

Neuberger Berman CLO XXII Ltd.,
Series 2016-22A, Class E, (3 mo. LIBOR US + 6.750%), 8.10%, 10/17/27 (a)(b)

      1,500       1,549,114  

Neuberger Berman CLO XXIII Ltd.,
Series 2016-23A, Class E, (3 mo. LIBOR US + 6.580%), 7.93%, 10/17/27 (a)(b)

      1,360       1,402,808  

Neuberger Berman Loan Advisers CLO 26 Ltd.,
Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), 2.56%, 10/18/30 (a)(b)

      5,170       5,193,063  
 

 

 

14    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Cayman Islands (continued)                  

Oak Hill Credit Partners IX Ltd.,
Series 2013-9A, Class DR, (3 mo. LIBOR US + 1.010%), 2.37%, 10/20/25 (a)(b)

    USD       1,069     $ 1,069,770  

Oak Hill Credit Partners VIII Ltd.,
Series 2013-8A, Class A, (3 mo. LIBOR US + 1.120%), 2.48%, 04/20/25 (a)(b)

      14,930       14,958,256  

Oak Hill Credit Partners X Ltd.:

     

Series 2014-10A, Class CR, (3 mo. LIBOR US + 2.120%),
3.48%, 07/20/26 (a)(b)

      1,200       1,203,873  

Series 2014-10A, Class DR, (3 mo. LIBOR US + 3.250%),
4.61%, 07/20/26 (a)(b)

      250       251,426  

Oak Hill Credit Partners XI Ltd., Series 2015-11A, Class E, (3 mo. LIBOR US + 6.700%), 8.06%, 10/20/28 (a)(b)

      970       1,001,615  

Oak Hill Credit Partners XII Ltd.,
Series 2015-12A, Class D1, (3 mo. LIBOR US + 4.200%), 5.56%, 01/23/27 (a)(b)

      1,520       1,528,726  

Oaktree CLO Ltd.:

     

Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.870%),
0.10%, 10/20/27 (a)(b)(c)

      5,380       5,380,000  

Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.200%),
0.10%, 10/20/27 (a)(b)(c)

      2,000       2,000,000  

OCP CLO Ltd.:

     

Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.470%),
5.92%, 11/22/25 (a)(b)

      1,560       1,588,648  

Series 2014-5A, Class A1, (3 mo. LIBOR US + 1.000%),
2.37%, 04/26/26 (a)(b)

      1,380       1,380,080  

Series 2014-5A, Class A2, (3 mo. LIBOR US + 1.720%),
3.09%, 04/26/26 (a)(b)

      600       600,000  

Series 2014-7A, Class A1AR, (3 mo. LIBOR US + 0.950%),
2.31%, 10/20/26 (a)(b)

      5,490       5,491,924  

Series 2015-10A, Class A1R, (3 mo. LIBOR US + 0.820%),
2.19%, 10/26/27 (a)(b)

      3,400       3,401,837  

Series 2015-10A, Class BR, (3 mo. LIBOR US + 1.850%),
3.22%, 10/26/27 (a)(b)

      1,750       1,750,810  

Series 2015-8A, Class A1R, (3 mo. LIBOR US + 0.850%),
2.20%, 04/17/27 (a)(b)

      8,086       8,088,152  

Series 2016-11A, Class PS,
0.00%, 04/26/28 (b)(d)

      10,020       8,560,226  

Series 2016-12A, Class C, (3 mo. LIBOR US + 4.150%),
5.50%, 10/18/28 (a)(b)

      1,560       1,582,843  

Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.260%),
2.56%, 07/15/30 (a)(b)

      17,540       17,682,200  

Series 2017-13A, Class D, (3 mo. LIBOR US + 6.630%),
7.93%, 07/15/30 (a)(b)

      3,080       3,165,917  

Series 2017-14A, Class B, (3 mo. LIBOR US + 1.950%),
3.49%, 11/20/30 (a)(b)(c)

      750       750,000  

Octagon Investment Partners 22 Ltd.,
Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.300%),
4.66%, 11/25/25 (a)(b)

      2,040       2,040,326  

Octagon Investment Partners 24 Ltd.:

     

Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%),
2.34%, 05/21/27 (a)(b)

      26,030       26,042,658  

Series 2015-1A, Class A2AR, (3 mo. LIBOR US + 1.350%),
2.79%, 05/21/27 (a)(b)

      7,280       7,284,939  

Series 2015-1A, Class D, (3 mo. LIBOR US + 5.500%), 6.94%, 05/21/27 (a)(b)

      3,060       3,093,565  

Octagon Investment Partners 26 Ltd.:

     

Series 2016-1A, Class C, (3 mo. LIBOR US + 3.350%), 4.71%, 04/15/27 (a)(b)

      1,570       1,585,278  

Series 2016-1A, Class D, (3 mo. LIBOR US + 4.950%), 6.31%, 04/15/27 (a)(b)

      2,150       2,179,162  
Security          Par
(000)
    Value  
Cayman Islands (continued)                  

Octagon Investment Partners 26 Ltd.:

     

(continued)

     

Series 2016-1A, Class E, (3 mo. LIBOR US + 7.850%),
9.21%, 04/15/27 (a)(b)

    USD       2,625     $ 2,687,236  

Octagon Investment Partners 27 Ltd.,
Series 2016-1A, Class E, (3 mo. LIBOR US + 7.100%), 8.46%, 07/15/27 (a)(b)

      2,000       2,073,707  

Octagon Investment Partners 31 LLC:

     

Series 2017-1A, Class E, (3 mo. LIBOR US + 6.300%), 7.66%, 07/20/30 (a)(b)

      1,000       1,024,808  

Series 2017-1A, Class F, (3 mo. LIBOR US + 8.200%), 9.56%, 07/20/30 (a)(b)

      1,502       1,493,722  

Octagon Investment Partners 33 Ltd.,
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 2.59%, 01/20/31 (a)(b)

      1,625       1,628,589  

Octagon Investment Partners XVI Ltd.,
Series 2013-1A, Class A, (3 mo. LIBOR US + 1.120%), 2.47%, 07/17/25 (a)(b)

      7,367       7,379,064  

Octagon Investment Partners XVII Ltd.:

     

Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.000%),
2.37%, 10/25/25 (a)(b)

      9,175       9,187,141  

Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.680%),
3.05%, 10/25/25 (a)(b)

      10,990       11,021,462  

Octagon Investment Partners XVIII Ltd.,
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.480%), 4.90%, 12/16/24 (a)(b)

      2,800       2,814,720  

Octagon Investment Partners XXI Ltd.:

     

Series 2014-1A, Class C, (3 mo. LIBOR US + 3.650%), 5.06%, 11/14/26 (a)(b)

      7,475       7,478,887  

Series 2014-1A, Class D, (3 mo. LIBOR US + 6.600%), 8.01%, 11/14/26 (a)(b)

      4,900       4,917,013  

Octagon Investment Partners XXII Ltd.,
Series 2014-1A, Class DRR, (3 mo. LIBOR US + 2.750%), 0.00%, 01/22/30 (a)(b)(c)

      2,040       2,040,000  

OFSI Fund VI Ltd., Series 2014-6A, Class A2, (3 mo. LIBOR US + 1.900%), 3.26%, 03/20/25 (a)(b)

      17,638       17,662,058  

OHA Loan Funding Ltd., Series 2013-2A, Class A, (3 mo. LIBOR US + 1.270%), 2.58%, 08/23/24 (a)(b)

      9,859       9,867,516  

OZLM Funding II Ltd.:

     

Series 2012-2A, Class A1R, (3 mo. LIBOR US + 1.440%),
2.82%, 10/30/27 (a)(b)

      24,637       24,695,683  

Series 2012-2A, Class DR, (3 mo. LIBOR US + 7.300%), 8.68%, 10/30/27 (a)(b)

      3,310       3,390,245  

OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.000%), 4.36%, 01/22/29 (a)(b)

      7,065       7,204,775  

OZLM Funding IV Ltd.:

     

Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%),
2.61%, 10/22/30 (a)(b)

      9,540       9,602,454  

Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%),
3.06%, 10/22/30 (a)(b)

      960       970,412  

OZLM Funding V Ltd.:

     

Series 2013-5A, Class BR, (3 mo. LIBOR US + 2.350%), 3.70%, 01/17/26 (a)(b)

      4,820       4,827,486  

Series 2013-5A, Class CR, (3 mo. LIBOR US + 3.450%), 4.80%, 01/17/26 (a)(b)

      2,970       2,985,323  

Series 2013-5A, Class D, (3 mo. LIBOR US + 4.750%), 6.10%, 01/17/26 (a)(b)

      1,250       1,256,197  

OZLM IX Ltd.:

     

Series 2014-9A, Class BR, (3 mo. LIBOR US + 2.350%), 3.71%, 01/20/27 (a)(b)

      2,530       2,538,077  

Series 2014-9A, Class CR, (3 mo. LIBOR US + 3.550%), 4.91%, 01/20/27 (a)(b)

      8,370       8,396,662  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      15  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Cayman Islands (continued)                  

OZLM VI Ltd.:

     

Series 2014-6A, Class BR, (3 mo. LIBOR US + 2.700%),
4.05%, 04/17/26 (a)(b)

    USD       4,850     $ 4,860,615  

Series 2014-6A, Class SUB,
0.00%, 04/17/26 (b)(e)

      3,200       1,495,526  

OZLM VII Ltd.:

     

Series 2014-7A, Class B1R, (3 mo. LIBOR US + 2.250%),
3.60%, 07/17/26 (a)(b)

      1,360       1,363,456  

Series 2014-7A, Class CR, (3 mo. LIBOR US + 3.500%),
4.85%, 07/17/26 (a)(b)

      1,940       1,952,447  

OZLM VIII Ltd.:

     

Series 2014-8A, Class A1AR, (3 mo. LIBOR US + 1.130%),
2.48%, 10/17/26 (a)(b)

      24,405       24,471,965  

Series 2014-8A, Class BR, (3 mo. LIBOR US + 2.250%),
3.60%, 10/17/26 (a)(b)

      4,750       4,762,249  

Series 2014-8A, Class CR, (3 mo. LIBOR US + 3.400%),
4.75%, 10/17/26 (a)(b)

      4,985       5,013,551  

OZLM XI Ltd.:

     

Series 2015-11A, Class BR, (3 mo. LIBOR US + 2.300%),
3.68%, 10/30/30 (a)(b)

      2,219       2,246,986  

Series 2015-11A, Class CR, (3 mo. LIBOR US + 3.600%),
4.98%, 10/30/30 (a)(b)

      3,876       3,969,971  

OZLM XII Ltd.:

     

Series 2015-12A, Class A1, (3 mo. LIBOR US + 1.450%),
2.83%, 04/30/27 (a)(b)

      2,560       2,576,491  

Series 2015-12A, Class A2, (3 mo. LIBOR US + 2.000%),
3.38%, 04/30/27 (a)(b)

      2,630       2,647,253  

Series 2015-12A, Class B, (3 mo. LIBOR US + 2.900%),
4.28%, 04/30/27 (a)(b)

      1,210       1,221,822  

Series 2015-12A, Class C, (3 mo. LIBOR US + 3.700%),
5.08%, 04/30/27 (a)(b)

      875       881,787  

Series 2015-12A, Class D, (3 mo. LIBOR US + 5.400%),
6.78%, 04/30/27 (a)(b)

      1,030       1,034,616  

OZLM XIII Ltd.,
Series 2015-13A, Class C, (3 mo. LIBOR US + 4.500%), 5.88%, 07/30/27 (a)(b)

      1,165       1,193,383  

OZLM XIV Ltd.: Series 2015-14A, Class B1, (3 mo. LIBOR US + 3.150%),
4.51%, 01/15/29 (a)(b)

      1,250       1,251,086  

Series 2015-14A, Class C, (3 mo. LIBOR US + 4.350%),
5.71%, 01/15/29 (a)(b)

      2,530       2,534,662  

Series 2015-14A, Class D, (3 mo. LIBOR US + 6.350%),
7.71%, 01/15/29 (a)(b)

      2,340       2,350,951  

OZLM XIX Ltd.:

     

Series 2017-19A, Class A1, (3 mo. LIBOR US + 1.220%),
2.59%, 11/22/30 (a)(b)

      2,250       2,253,258  

Series 2017-19A, Class D, (3 mo. LIBOR US + 6.600%),
7.97%, 11/22/30 (a)(b)

      2,000       2,022,269  

OZLM XV Ltd.:

     

Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%),
2.85%, 01/20/29 (a)(b)

      7,880       7,968,447  

Series 2016-15A, Class A2A, (3 mo. LIBOR US + 2.100%),
3.46%, 01/20/29 (a)(b)

      2,920       2,959,121  

Series 2016-15A, Class C, (3 mo. LIBOR US + 4.000%),
5.36%, 01/20/29 (a)(b)

      1,560       1,593,537  

Series 2016-15A, Class D, (3 mo. LIBOR US + 7.150%),
8.51%, 01/20/29 (a)(b)

      1,560       1,625,660  

OZLM XXI Ltd.:

     

Series 2017-21A, Class B, (3 mo. LIBOR US + 1.900%),
0.00%, 01/20/31 (a)(b)

      1,620       1,620,000  

Series 2017-21A, Class C, (3 mo. LIBOR US + 2.670%),
0.00%, 01/20/31 (a)(b)(c)

      6,585       6,519,940  
Security          Par
(000)
    Value  
Cayman Islands (continued)                  

OZLM XXI Ltd.: (continued)

     

Series 2017-21A, Class D, (3 mo. LIBOR US + 5.540%), 0.00%, 01/20/31 (a)(b)

    USD       3,315     $ 3,289,375  

Palmer Square CLO Ltd.:

     

Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.500%),
2.92%, 05/15/25 (a)(b)

      7,767       7,768,528  

Series 2013-2A, Class A1AR, (3 mo. LIBOR US + 1.220%),
2.57%, 10/17/27 (a)(b)

      10,800       10,850,624  

Series 2013-2A, Class CR, (3 mo. LIBOR US + 3.600%), 4.95%, 10/17/27 (a)(b)

      1,360       1,374,302  

Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%),
2.86%, 01/17/31 (a)(b)(c)

      1,670       1,670,000  

Series 2014-1A, Class CR, (3 mo. LIBOR US + 4.000%), 5.35%, 01/17/27 (a)(b)

      3,230       3,230,121  

Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%),
4.38%, 01/17/31 (a)(b)(c)

      3,230       3,230,000  

Series 2014-1A, Class DR, (3 mo. LIBOR US + 6.900%), 8.25%, 01/17/27 (a)(b)

      1,560       1,560,013  

Series 2014-1A, Class DR2, (3 mo. LIBOR US + 5.700%),
0.00%, 01/17/31 (a)(b)(c)

      1,560       1,560,000  

Series 2015-2A, Class DR, (3 mo. LIBOR US + 6.500%), 7.86%, 07/20/30 (a)(b)

      2,120       2,159,934  

Palmer Square Loan Funding Ltd.,
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.300%), 2.62%, 10/15/25 (a)(b)

      4,220       4,228,521  

Parallel Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.650%), 5.01%, 07/20/27 (a)(b)

      3,250       3,270,052  

Park Avenue Institutional Advisers CLO Ltd.:

     

Series 2016-1A, Class D, (3 mo. LIBOR US + 7.000%), 8.31%, 08/23/28 (a)(b)

      2,330       2,360,261  

Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.220%), 2.63%, 11/14/29 (a)(b)

      8,065       8,092,793  

Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.700%), 3.11%, 11/14/29 (a)(b)

      1,500       1,505,098  

Series 2017-1A, Class D, (3 mo. LIBOR US + 6.220%), 7.63%, 11/14/29 (a)(b)

      1,500       1,496,214  

Pinnacle Park CLO Ltd.:

     

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.650%), 4.01%, 04/15/26 (a)(b)

      1,000       1,002,185  

Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%), 4.86%, 04/15/26 (a)(b)

      2,340       2,354,596  

Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (3 mo. LIBOR US + 1.210%), 2.57%, 10/15/30 (a)(b)

      2,070       2,080,099  

Regatta IV Funding Ltd.:

     

Series 14-1AR, Class DR, (3 mo. LIBOR US + 3.300%), 4.67%, 07/25/26 (a)(b)

      1,730       1,734,372  

Series 2014-1AR, Class CR, (3 mo. LIBOR US + 2.000%),
3.37%, 07/25/26 (a)(b)

      950       951,317  

Regatta V Funding Ltd.:

     

Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.300%), 3.67%, 10/25/26 (a)(b)

      2,665       2,674,242  

Series 2014-1A, Class C, (3 mo. LIBOR US + 3.450%), 4.82%, 10/25/26 (a)(b)

      5,475       5,491,620  

Rockford Tower CLO Ltd.:

     

Series 2017-1A, Class B, (3 mo. LIBOR US + 1.800%), 3.16%, 04/15/29 (a)(b)

      4,420       4,446,671  

Series 2017-1A, Class D, (3 mo. LIBOR US + 3.250%), 4.61%, 04/15/29 (a)(b)

      4,450       4,511,943  

Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 6.76%, 04/15/29 (a)(b)

      4,840       4,827,603  
 

 

 

16    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

Rockford Tower CLO Ltd.: (continued)

     

Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 2.99%, 10/15/29 (a)(b)

    USD       2,120     $ 2,137,240  

Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 3.54%, 10/15/29 (a)(b)

      1,250       1,252,768  

Series 2017-2A, Class D, (3 mo. LIBOR US + 3.450%), 4.69%, 10/15/29 (a)(b)

      5,360       5,483,806  

Series 2017-2A, Class E, (3 mo. LIBOR US + 6.080%), 7.32%, 10/15/29 (a)(b)

      7,140       7,189,889  

Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 2.80%, 10/20/30 (a)(b)

      9,940       9,928,504  

Series 2017-3A, Class E, (3 mo. LIBOR US + 5.750%), 7.36%, 10/20/30 (a)(b)

      1,595       1,587,086  

RR 2 Ltd., Series 2017-2A, Class D, (3 mo. LIBOR US + 6.200%),
7.55%, 10/15/29 (a)(b)

      1,340       1,341,198  

Seneca Park CLO Ltd.:

     

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.150%), 3.50%, 07/17/26 (a)(b)

      2,000       2,000,749  

Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%), 4.85%, 07/17/26 (a)(b)

      7,660       7,688,126  

Series 2014-1A, Class SUB, 0.00%, 07/17/26 (b)(e)

      2,000       798,970  

Shackleton CLO Ltd., Series 2014-5A, Class AR, (3 mo. LIBOR US + 1.140%), 2.53%, 05/07/26 (a)(b)

      13,720       13,741,015  

Silver Creek CLO Ltd.:

     

Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%),
2.60%, 07/20/30 (a)(b)

      3,750       3,775,449  

Series 2014-1A, Class DR, (3 mo. LIBOR US + 3.350%),
4.71%, 07/20/30 (a)(b)

      500       509,149  

Sound Point CLO II Ltd.:

     

Series 2013-1A, Class A1L, (3 mo. LIBOR US + 1.200%),
2.57%, 04/26/25 (a)(b)

      750       751,433  

Series 2013-1A, Class A3L, (3 mo. LIBOR US + 2.750%),
4.12%, 04/26/25 (a)(b)

      9,465       9,479,690  

Sound Point CLO III Ltd.:

     

Series 2013-2A, Class C1R, (3 mo. LIBOR US + 2.150%),
3.51%, 07/15/25 (a)(b)

      750       751,365  

Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.350%),
4.71%, 07/15/25 (a)(b)

      2,310       2,314,292  

Series 2013-2A, Class E, (3 mo. LIBOR US + 4.600%), 5.96%, 07/15/25 (a)(b)

      4,660       4,667,392  

Sound Point CLO IV Ltd.:

     

Series 2013-3A, Class CR, (3 mo. LIBOR US + 2.250%),
3.61%, 01/21/26 (a)(b)

      2,320       2,328,158  

Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.400%),
4.76%, 01/21/26 (a)(b)

      3,665       3,673,004  

Sound Point CLO IX Ltd.:

     

Series 2015-2A, Class DR, (3 mo. LIBOR US + 2.650%),
4.01%, 10/20/30 (a)(b)

      1,300       1,302,923  

Series 2015-2A, Class E, (3 mo. LIBOR US + 5.500%), 6.86%, 07/20/27 (a)(b)

      1,300       1,304,179  

Sound Point CLO V Ltd., Series 2014-1A, Class E, (3 mo. LIBOR US + 4.250%), 5.60%, 04/18/26 (a)(b)

      1,551       1,549,105  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 3.600%), 4.96%, 01/23/27 (a)(b)

      2,160       2,166,494  

Sound Point CLO X Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.750%), 8.11%, 01/20/28 (a)(b)

      4,870       4,971,989  

Sound Point CLO XI Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 6.950%), 8.31%, 07/20/28 (a)(b)

      7,200       7,444,327  

Sound Point CLO XII Ltd.:

     

Series 2016-2A, Class A, (3 mo. LIBOR US + 1.660%), 3.02%, 10/20/28 (a)(b)

      4,700       4,747,703  
Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

Sound Point CLO XII Ltd.: (continued)

     

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.400%), 7.76%, 10/20/28 (a)(b)

    USD       2,350     $ 2,416,542  

Sound Point CLO XIV Ltd.:

     

Series 2016-3A, Class C, (3 mo. LIBOR US + 2.650%), 4.01%, 01/23/29 (a)(b)

      1,560       1,587,550  

Series 2016-3A, Class E, (3 mo. LIBOR US + 6.650%), 8.01%, 01/23/29 (a)(b)

      2,340       2,419,189  

Sound Point CLO XVIII Ltd.:

     

Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.120%), 0.00%, 01/20/31 (a)(b)(c)

      6,520       6,520,000  

Series 2017-4A, Class B, (3 mo. LIBOR US + 1.800%), 0.00%, 01/20/31 (a)(b)(c)

      1,010       1,006,465  

Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.250%), 2.88%, 01/15/30 (a)(b)

      3,060       3,061,105  

Stewart Park CLO Ltd.:

     

Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.800%), 3.52%, 01/15/30 (a)(b)(c)

      3,125       3,125,000  

Series 2015-1A, Class E, (3 mo. LIBOR US + 5.450%), 6.81%, 04/15/26 (a)(b)

      4,455       4,454,917  

Symphony CLO VIII LP:

     

Series 2012-8A, Class CR, (3 mo. LIBOR US + 3.050%), 4.75%, 01/09/23 (a)(b)

      750       751,311  

Series 2012-8AR, Class ER, (3 mo. LIBOR US + 6.000%),
7.35%, 01/09/23 (a)(b)

      6,880       6,887,710  

Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 2.39%, 10/15/25 (a)(b)

      1,000       1,001,503  

Symphony CLO XV Ltd.:

     

Series 2014-15A, Class DR, (3 mo. LIBOR US + 3.350%),
4.70%, 10/17/26 (a)(b)

      6,225       6,278,008  

Series 2014-15A, Class E, (3 mo. LIBOR US + 5.050%), 6.40%, 10/17/26 (a)(b)

      2,075       2,078,598  

Symphony CLO XVI Ltd., Series 2015-16A, Class E, (3 mo. LIBOR US + 5.450%), 6.81%, 07/15/28 (a)(b)

      1,170       1,180,108  

Symphony CLO XVII Ltd., Series 2016-17A, Class E, (3 mo. LIBOR US + 7.400%), 8.76%, 04/15/28 (a)(b)

      750       757,957  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.000%), 5.36%, 01/23/28 (a)(b)

      750       769,836  

TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 2.15%, 11/17/30 (a)(b)

      5,440       5,468,680  

TCI-Symphony CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.450%), 7.72%, 07/15/30 (a)(b)

      1,921       1,940,532  

Thacher Park CLO Ltd., Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), 4.76%, 10/20/26 (a)(b)

      4,340       4,370,162  

THL Credit Wind River CLO Ltd.:

     

Series 2014-3A, Class DR, (3 mo. LIBOR US + 3.350%), 4.71%, 01/22/27 (a)(b)

      750       752,805  

Series 2014-3A, Class E, (3 mo. LIBOR US + 5.600%), 6.96%, 01/22/27 (a)(b)

      750       757,794  

Series 2015-1A, Class E1, (3 mo. LIBOR US + 5.550%), 6.91%, 07/20/27 (a)(b)

      2,330       2,337,356  

TIAA CLO II Ltd., Series 2017-1A, Class E,
(3 mo. LIBOR US + 5.850%),
7.21%, 04/20/29 (a)(b)

      500       501,628  

TIAA CLO III Ltd.:

     

Series 2017-2A, Class A, (3 mo. LIBOR US + 1.150%), 2.63%, 01/16/31 (a)(b)(c)

      18,200       18,200,000  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      17  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

TIAA CLO III Ltd.: (continued)

     

Series 2017-2A, Class B,
(3 mo. LIBOR US + 1.500%),
2.98%, 01/16/31 (a)(b)(c)

    USD       750     $ 750,000  

TICP CLO I Ltd.:

     

Series 2015-1A, Class C, (3 mo. LIBOR US + 3.000%), 4.36%, 07/20/27 (a)(b)

      1,210       1,213,819  

Series 2015-1A, Class D, (3 mo. LIBOR US + 3.550%), 4.91%, 07/20/27 (a)(b)

      1,210       1,210,792  

TICP CLO III Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.180%), 2.54%, 01/20/27 (a)(b)

      6,623       6,652,256  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.510%), 7.81%, 07/15/29 (a)(b)

      4,200       4,290,311  

Treman Park CLO Ltd.:

     

Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.370%), 2.73%, 04/20/27 (a)(b)

      875       875,655  

Series 2015-1A, Class D, (3 mo. LIBOR US + 3.860%), 5.22%, 04/20/27 (a)(b)

      7,200       7,240,131  

Triaxx Prime CDO Ltd., Series 2006-1A, Class A2, (3 mo. LIBOR US + 0.450%), 1.77%, 03/03/39 (a)(b)(c)

      50,060       2,903,480  

Venture XIX CLO Ltd.:

     

Series 2014-19A, Class AR, (3 mo. LIBOR US + 1.370%), 2.73%, 01/15/27 (a)(b)

      5,020       5,026,717  

Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.000%), 3.36%, 01/15/27 (a)(b)

      2,350       2,368,259  

Venture XVII CLO Ltd., Series 2014-17A, Class B2R, (3 mo. LIBOR US + 1.600%), 2.96%, 07/15/26 (a)(b)

      4,470       4,484,667  

Venture XXII CLO Ltd., Series 2015-22A, Class E, (3 mo. LIBOR US + 6.750%), 8.11%, 01/15/28 (a)(b)

      780       787,148  

Venture XXIV CLO Ltd., Series 2016-24A, Class E, (3 mo. LIBOR US + 6.720%), 8.08%, 10/20/28 (a)(b)

      2,696       2,767,355  

Venture XXVI CLO Ltd.:

     

Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%), 5.61%, 01/20/29 (a)(b)

      2,650       2,737,758  

Series 2017-26A, Class E, (3 mo. LIBOR US + 6.800%), 8.16%, 01/20/29 (a)(b)

      3,340       3,449,547  

Vibrant CLO III Ltd.:

     

Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.480%), 2.84%, 04/20/26 (a)(b)

      2,315       2,321,764  

Series 2015-3A, Class A2R, (3 mo. LIBOR US + 2.050%), 3.41%, 04/20/26 (a)(b)

      750       754,476  

Series 2015-3A, Class BR, (3 mo. LIBOR US + 2.950%), 4.31%, 04/20/26 (a)(b)

      1,560       1,564,988  

Vibrant CLO IV Ltd.:

     

Series 2016-4A, Class C, (3 mo. LIBOR US + 3.300%), 4.66%, 07/20/28 (a)(b)

      4,440       4,534,581  

Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%), 5.86%, 07/20/28 (a)(b)

      1,680       1,720,185  

Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%), 2.91%, 01/20/29 (a)(b)

      2,920       2,945,708  

Voya CLO Ltd.:

     

Series 2013-2A, Class C, (3 mo. LIBOR US + 3.500%), 4.87%, 04/25/25 (a)(b)

      4,190       4,212,943  

Series 2013-3A, Class A1R, (3 mo. LIBOR US + 1.050%), 2.40%, 01/18/26 (a)(b)

      12,370       12,395,957  

Series 2013-3A, Class A2R, (3 mo. LIBOR US + 1.500%), 2.85%, 01/18/26 (a)(b)

      4,475       4,475,797  
Security         

Par

(000)

    Value  
Cayman Islands (continued)                  

Voya CLO Ltd.: (continued)

     

Series 2013-3A, Class BR, (3 mo. LIBOR US + 2.150%), 3.50%, 01/18/26 (a)(b)

    USD       5,440     $ 5,442,214  

Series 2014-1A, Class C, (3 mo. LIBOR US + 3.400%), 4.75%, 04/18/26 (a)(b)

      2,560       2,576,773  

Series 2014-4A, Class BR, (3 mo. LIBOR US + 2.000%), 3.36%, 10/14/26 (a)(b)

      3,385       3,395,093  

Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.000%), 4.36%, 10/14/26 (a)(b)

      10,035       10,132,040  

Series 2016-2A, Class D, (3 mo. LIBOR US + 6.950%), 8.31%, 07/19/28 (a)(b)

      975       1,009,404  

Series 2016-3A, Class D, (3 mo. LIBOR US + 6.850%), 8.20%, 10/18/27 (a)(b)

      1,170       1,206,026  

Series 2016-4A, Class E2, (3 mo. LIBOR US + 6.650%), 8.01%, 07/20/29 (a)(b)

      750       773,191  

Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 2.51%, 10/15/30 (a)(b)

      3,500       3,505,459  

Washington Mill CLO Ltd., Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.220%), 2.58%, 04/20/26 (a)(b)

      5,750       5,761,981  

Webster Park CLO Ltd.:

     

Series 2015-1A, Class C, (3 mo. LIBOR US + 4.050%), 5.41%, 01/20/27 (a)(b)

      7,760       7,762,454  

Series 2015-1A, Class D, (3 mo. LIBOR US + 6.100%), 7.46%, 01/20/27 (a)(b)

      4,400       4,454,422  

Wellfleet CLO Ltd.:

     

Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.800%), 4.16%, 10/20/27 (a)(b)

      5,750       5,762,205  

Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.800%), 7.16%, 10/20/27 (a)(b)

      2,125       2,128,117  

West CLO Ltd., Series 2013-1A, Class A1AR, (3 mo. LIBOR US + 1.160%), 2.55%, 11/07/25 (a)(b)

      25,889       25,946,890  

Westcott Park CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.200%), 8.56%, 07/20/28 (a)(b)

      4,420       4,541,746  

York CLO 1 Ltd.:

     

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.350%), 3.71%, 01/22/27 (a)(b)

      1,160       1,164,033  

Series 2014-1A, Class DR, (3 mo. LIBOR US + 3.400%), 4.76%, 01/22/27 (a)(b)

      2,150       2,155,190  

Series 2014-1A, Class E, (3 mo. LIBOR US + 5.450%), 6.81%, 01/22/27 (a)(b)

      3,880       3,881,636  

York CLO-2 Ltd.:

     

Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.150%), 2.61%, 01/22/31 (a)(b)(c)

      3,500       3,500,000  

Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 7.11%, 01/22/31 (a)(b)

      4,250       4,250,000  

York CLO-3 Ltd.:

     

Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.750%), 3.11%, 10/20/29 (a)(b)

      3,830       3,850,139  

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.600%), 4.96%, 10/20/29 (a)(b)

      8,758       8,960,713  

Series 2016-1A, Class ER, (3 mo. LIBOR US + 6.400%), 7.76%, 10/20/29 (a)(b)

      7,052       7,088,193  

Series 2016-1A, Class FR, (3 mo. LIBOR US + 7.250%), 8.61%, 10/20/29 (a)(b)

      2,420       2,340,033  

Series 2016-1A, Class SUB, 0.00%, 10/20/29 (b)(e)

      7,254       6,310,429  

York CLO-4 Ltd.:

     

Series 2016-2A, Class D, (3 mo. LIBOR US + 4.100%), 5.46%, 01/20/30 (a)(b)

      2,140       2,206,203  
 

 

 

18    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Cayman Islands (continued)  

York CLO-4 Ltd.: (continued)

     

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.940%), 8.30%, 01/20/30 (a)(b)

    USD       6,180     $ 6,278,535  
     

 

 

 
        2,073,809,032  
Ireland — 0.2%                  

Adagio V CLO Designated Activity Co., Series V-X, Class E, (3 mo. EURIBOR + 6.700%), 6.70%, 10/15/29 (a)

    EUR       700       859,336  

Aqueduct European CLO DAC:

     

Series 2017-2X, Class B1, (3 mo. EURIBOR + 1.200%), 0.10%, 10/15/30 (a)(c)

      2,518       3,024,990  

Series 2017-2X, Class E, (3 mo. EURIBOR + 4.400%), 0.10%, 10/15/30 (a)(c)

      534       621,496  

Arbour CLO IV DAC, Series 4X, Class E, (3 mo. EURIBOR + 5.600%), 5.60%, 01/15/30 (a)

      1,100       1,342,900  

Arbour CLO Ltd., Series 2014-1X, Class E, (3 mo. EURIBOR + 5.000%), 5.00%, 07/15/27 (a)

      2,106       2,543,447  

Avoca Capital CLO X Ltd., Series 10X, Class ER, (3 mo. EURIBOR + 6.050%), 6.05%, 01/15/30 (a)

      1,300       1,610,860  

Avoca CLO XV DAC, Series 15X, Class E, (3 mo. EURIBOR + 5.000%), 5.00%, 01/15/29 (a)

      1,600       1,911,908  

Avoca CLO XV Ltd.:

     

Series 15X, Class F, (3 mo. EURIBOR + 6.750%),
6.75%, 01/15/29 (a)

      1,760       2,067,501  

Series 15X, Class M1, 0.00%, 01/15/29 (e)

      3,100       2,659,791  

Cadogan Square CLO X DAC, Series 10X, Class M, 0.00%, 10/15/30 (c)(e)

      600       665,915  

Carlyle Global Market Strategies Euro CLO DAC, Series 2015-3X, Class D,
(3 mo. EURIBOR + 5.550%), 5.55%, 01/15/29 (a)

      400       480,349  

CVC Cordatus Loan Fund IV Ltd.:

     

Series 4X, Class E, (6 mo. EURIBOR + 5.900%),
5.90%, 01/24/28 (a)

      1,700       2,054,960  

Series 4X, Class SUB, 0.00%, 01/24/28 (e)

      10,200       11,380,776  

CVC Cordatus Loan Fund VI DAC, Series 6X, Class SUB, 0.00%, 04/15/29 (e)

      4,605       4,967,321  

CVC Cordatus Loan Fund VII DAC, Series 7X, Class E, (3 mo. EURIBOR + 7.000%), 7.00%, 08/15/29 (a)

      1,120       1,388,968  

CVC Cordatus Loan Fund VIII DAC, Series 8X, Class E, (3 mo. EURIBOR + 5.700%), 5.70%, 04/23/30 (a)

      700       857,728  

Harvest CLO XVI DAC, Series 16X, Class E, (3 mo. EURIBOR + 6.400%), 6.40%, 10/15/29 (a)

      880       1,065,094  

Oak Hill European Credit Partners IV Designated Activity Co., Series 2015-4X, Class F, (6 mo. EURIBOR + 6.650%), 6.65%, 01/20/30 (a)

      1,730       2,070,167  

OCP Euro CLO DAC:

     

Series 2017-2X, Class A, (3 mo. EURIBOR + 0.820%), 0.10%, 01/15/32 (a)

      1,250       1,503,596  

Series 2017-2X, Class B, (3 mo. EURIBOR + 1.350%), 0.10%, 01/15/32 (a)

      1,500       1,805,540  

Series 2017-2X, Class E, (3 mo. EURIBOR + 5.000%), 0.10%, 01/15/32 (a)

      897       1,057,839  

Series 2017-2X, Class F, (3 mo. EURIBOR + 6.400%), 0.10%, 01/15/32 (a)

      600       677,041  

OCP Euro DAC, Series 2017-1X, Class E, (3 mo. EURIBOR + 5.350%), 5.35%, 06/18/30 (a)

      400       482,715  
Security          Par
(000)
    Value  
Ireland (continued)  

OZLME II DAC, Series 2X, Class E, 4.90%, 10/15/30

    EUR       862     $ 1,001,779  

OZLME III DAC:

     

Series 3X, Class A1, (3 mo. EURIBOR + 0.750%), 0.00%, 02/24/20 (a)

      3,000       3,239,585  

Series 3X, Class E, (3 mo. EURIBOR + 4.800%), 0.00%, 02/24/20 (a)

      1,800       2,106,594  

Series 3X, Class SUB, (3 mo. EURIBOR + 0.000%), 0.00%, 02/24/20 (a)

      4,600       5,519,294  

St. Paul’s CLO VI DAC, Series 6X, Class D, (3 mo. EURIBOR + 6.500%), 6.50%, 07/22/29 (a)

      1,410       1,726,138  
     

 

 

 
        60,693,628  
Italy — 0.0%  

Asset-Backed European Securitisation Transaction Ten Srl, Series 10, Class A,
(1 mo. EURIBOR + 0.550%),
0.18%, 12/10/28 (a)

      1,176       1,412,476  
     

 

 

 
Netherlands — 0.1%  

ALME Loan Funding V BV, Series 5X, Class E, (3 mo. EURIBOR + 6.000%), 6.00%, 07/15/29 (a)

      2,195       2,662,447  

ARES European CLO VIII BV, Series 8X, Class E, (3 mo. EURIBOR + 6.350%), 6.35%, 02/17/30 (a)

      544       669,932  

Avoca CLO XIV Designated Activity Co.:

     

Series 14X, Class ER, (3 mo. EURIBOR + 4.700%), 4.70%, 01/12/31 (a)

      2,240       2,624,361  

Series 14X, Class FR, 0.00%, 01/12/31

      1,100       1,267,352  

Avoca CLO XIV Ltd., Series 14X, Class SUB, 0.00%, 07/12/28 (e)

      4,510       4,303,180  

Avoca CLO XVII DAC, Series 17X, Class E,
(3 mo. EURIBOR + 5.950%), 5.95%, 01/15/30 (a)

      1,096       1,319,300  

Cairn CLO VI BV, Series 2016-6X, Class E, (3 mo. EURIBOR + 6.250%),
6.25%, 07/25/29 (a)

      1,100       1,334,546  

Dryden 46 Euro CLO BV, Series 2016-46X, Class E, (3 mo. EURIBOR + 5.750%), 5.75%, 01/15/30 (a)

      780       950,905  

Dryden 56 Euro CLO BV, Series 2017-56X, Class E, (3 mo. EURIBOR + 4.720%), 0.10%, 01/15/32 (a)

      1,225       1,415,599  

Euro-Galaxy V CLO BV, Series 2016-5X, Class E, (3 mo. EURIBOR + 6.300%), 6.30%, 11/10/30 (a)

      800       983,765  

Jubilee CDO VIII BV, Series VIII-X, Class SUB, (6 mo. EURIBOR + 5.000%), 4.73%, 01/15/24 (a)(c)

      3,067        

OZLME BV, Series 1X, Class E, (3 mo. EURIBOR + 6.450%), 6.45%, 01/18/30 (a)

      950       1,169,863  
     

 

 

 
        18,701,250  
Portugal — 0.2%  

TAGUS-Sociedade de Titularizacao de Creditos SA/Volta II Electricity Receivables, Series 2, Class SNR, 2.98%, 02/16/18

      1,606       1,930,595  

TAGUS-Sociedade de Titularizacao de Creditos SA/Volta IV, Series 4, Class SNR, 2.42%, 02/12/21

      15,684       19,300,635  

TAGUS-Sociedade de Titularizacao de Creditos SA/Volta V, Series 5, Class SEN, 0.85%, 02/12/22

      27,300       32,781,193  
     

 

 

 
        54,012,423  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      19  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
United Kingdom — 0.1%  

E-CARAT 5 PLC, Series 5, Class B, (1 mo. LIBOR GBP + 0.950%),
1.44%, 04/18/23 (a)

    GBP       5,900     $ 7,986,794  

Marketplace Originated Consumer Assets PLC, Series 2016-1, Class B, (1 mo. LIBOR GBP + 2.900%),
3.39%, 10/20/24 (a)

      542       741,052  

Motor PLC:

     

Series 2016-1, Class C,
3.75%, 11/25/25

      6,720       9,216,305  

Series 2016-1, Class D,
4.25%, 11/25/25

      1,325       1,820,665  

Series 2016-1, Class E,
5.25%, 11/25/25

      1,112       1,537,662  

Newday Funding PLC:

     

Series 2017-1, Class C, (1 mo. LIBOR GBP + 1.900%), 2.15%, 07/15/20 (a)

      3,800       5,133,929  

Series 2017-1, Class D, (1 mo. LIBOR GBP + 2.250%), 2.55%, 07/15/20 (a)

      3,900       5,283,813  

PCL Funding II PLC:

     

Series 2017-1, Class B, (1 mo. LIBOR GBP + 1.750%), 2.25%, 06/15/20 (a)

      904       1,220,473  

Series 2017-1, Class C, (1 mo. LIBOR GBP + 2.250%), 2.74%, 06/15/20 (a)

      556       750,636  

PCL Funding III PLC:

     

Series 2017-2, Class B, (1 mo. LIBOR GBP + 1.400%), 1.89%, 06/15/23 (a)

      821       1,109,033  

Series 2017-2, Class C, (1 mo. LIBOR GBP + 1.850%), 2.34%, 06/15/23 (a)

      635       858,629  
     

 

 

 
        35,658,991  
United States — 6.7%  

Accredited Mortgage Loan Trust, Series 2006-1, Class M2, (1 mo. LIBOR US + 0.340%), 1.89%, 04/25/36 (a)

    USD       14,870       7,699,735  

ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A,
(1 mo. LIBOR US + 0.130%), 1.68%, 05/25/37 (a)

      8,896       2,952,779  

ACE Securities Corp. Manufactured Housing Trust, Series 2003-MH1, Class B2, 0.00%, 08/15/30 (b)(c)(d)

      5,206       3,993,621  

Ajax Mortgage Loan Trust:

     

Series 2016-1, Class A,
4.25%, 07/25/47 (b)(f)

      6,976       6,912,729  

Series 2016-B, Class A,
4.00%, 09/25/65 (b)(f)

      8,849       8,837,422  

Series 2016-C, Class A,
4.00%, 10/25/57 (b)(f)

      6,171       6,214,219  

Series 2017-A, Class A,
3.47%, 04/25/57 (b)(f)

      26,755       26,795,197  

Series 2017-D, Class A,
3.75%, 12/25/57 (b)(c)(e)

      36,934       36,933,500  

Series 2017-D, Class B,
0.00%, 12/25/57 (b)(c)(e)

      5,346       3,317,764  

ALM XI Ltd., Series 2014-11A, Class A1R, (3 mo. LIBOR US + 1.140%), 2.49%, 10/17/26 (a)(b)

      46,509       46,685,525  

ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR US + 4.150%), 5.51%, 01/15/28 (a)(b)

      2,530       2,564,795  

American Homes 4 Rent, Series 2014-SFR2, Class E, 6.23%, 10/17/36 (b)

      8,624       9,625,820  

Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.240%), 1.79%, 05/25/35 (a)(c)

      10,261       7,849,645  
Security          Par
(000)
    Value  
United States (continued)  

B2R Mortgage Trust:

     

Series 2015-1, Class A1,
2.52%, 05/15/48 (b)

    USD       3,452     $ 3,435,635  

Series 2015-2, Class A,
3.34%, 11/15/48 (b)

      4,769       4,817,937  

BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1,
7.93%, 12/10/25 (e)

      8,475       6,162,656  

Bayview Financial Revolving Asset Trust:

     

Series 2004-B, Class A1, (1 mo. LIBOR US + 0.500%), 2.56%, 05/28/39 (a)(b)

      34,375       31,501,132  

Series 2004-B, Class A2, (1 mo. LIBOR US + 0.650%), 2.86%, 05/28/39 (a)(b)(c)

      1,905       1,760,908  

Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 2.56%, 02/28/40 (a)(b)

      9,439       8,447,855  

Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 2.56%, 12/28/40 (a)(b)

      4,809       4,349,914  

BCMSC Trust:

     

Series 2000-A, Class A2,
7.58%, 06/15/30 (e)

      7,777       3,202,750  

Series 2000-A, Class A3,
7.83%, 06/15/30 (e)

      7,219       3,073,286  

Series 2000-A, Class A4,
8.29%, 06/15/30 (e)

      12,361       5,571,412  

Bear Stearns Asset-Backed Securities I Trust:

     

Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.730%),
3.28%, 08/25/34 (a)

      784       775,956  

Series 2006-EC2, Class M2, (1 mo. LIBOR US + 0.420%),
1.75%, 02/25/36 (a)

      2,709       2,677,513  

Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 0.680%),
2.23%, 12/25/35 (a)

      5,289       5,968,918  

Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.170%),
1.72%, 09/25/36 (a)

      7,676       8,444,563  

Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.170%),
1.72%, 05/25/35 (a)

      5,444       5,540,534  

Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.160%),
1.71%, 01/25/37 (a)

      3,961       3,871,685  

Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%),
1.87%, 03/25/37 (a)

      2,901       2,121,560  

Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.140%),
1.69%, 03/25/37 (a)

      5,100       4,855,834  

Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%),
1.69%, 03/25/37 (a)

      9,715       9,409,114  

Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.250%),
1.80%, 04/25/37 (a)

      3,080       3,130,083  

Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%),
1.90%, 04/25/37 (a)

      19,498       15,345,673  

Bear Stearns Asset-Backed Securities Trust,
Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 2.53%, 01/25/36 (a)

      1,871       1,835,746  
 

 

 

20    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
United States (continued)                  

Bear Stearns Second Lien Trust,
Series 2007-SV1A, Class M1, (1 mo. LIBOR US + 1.200%),
2.75%, 12/25/36 (a)(b)

    USD       5,370     $   5,198,722  

Canyon Capital CLO Ltd.:

     

Series 2006-1A, Class A1, (3 mo. LIBOR US + 0.250%), 1.84%, 12/15/20 (a)(b)

      1,826       1,826,230  

Series 2006-1A, Class C, (3 mo. LIBOR US + 0.700%), 2.29%, 12/15/20 (a)(b)

      1,000       997,097  

Carlyle Global Market Strategies CLO Ltd.:

     

Series 2012-3A, Class CR, (3 mo. LIBOR US + 4.100%), 5.46%, 10/14/28 (a)(b)

      9,300       9,458,161  

Series 2012-4X, Class INC,
0.00%, 01/20/29 (e)

      2,508       1,946,549  

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%), 4.10%, 04/17/25 (a)(b)

      2,340       2,344,816  

Series 2015-2A, Class C, (3 mo. LIBOR US + 3.750%), 5.12%, 04/27/27 (a)(b)

      750       752,593  

Series 2015-2A, Class D, (3 mo. LIBOR US + 5.300%), 6.67%, 04/27/27 (a)(b)

      1,220       1,229,880  

Series 2015-3A, Class D, (3 mo. LIBOR US + 5.700%), 7.08%, 07/28/28 (a)(b)

      2,070       2,103,294  

Carrington Mortgage Loan Trust:

     

Series 2005-FRE1, Class M1, (1 mo. LIBOR US + 0.470%),
2.02%, 12/25/35 (a)

      6,172       6,132,054  

Series 2006-FRE1, Class A4, (1 mo. LIBOR US + 0.250%),
1.80%, 04/25/36 (a)

      9,244       7,390,515  

Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%),
1.67%, 10/25/36 (a)

      4,328       2,875,896  

Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36 (a)

      11,892       7,940,015  

Series 2006-FRE2, Class A5, (1 mo. LIBOR US + 0.080%),
1.63%, 10/25/36 (a)

      5,076       3,357,508  

Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.420%),
1.97%, 01/25/36 (a)

      1,620       1,179,991  

Series 2006-NC2, Class A3, (1 mo. LIBOR US + 0.150%),
1.70%, 06/25/36 (a)

      2,510       2,481,857  

Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%),
1.79%, 08/25/36 (a)

      9,267       6,011,234  

Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36 (a)

      3,740       3,334,086  

Series 2006-NC5, Class A3, (1 mo. LIBOR US + 0.150%),
1.70%, 01/25/37 (a)

      2,500       1,801,424  

Series 2006-NC5, Class A5, (1 mo. LIBOR US + 0.060%),
1.61%, 01/25/37 (a)

      1,092       1,010,911  

Series 2007-HE1, Class A2, (1 mo. LIBOR US + 0.150%),
1.70%, 06/25/37 (a)

      3,282       3,246,573  

Series 2007-RFC1, Class A4, (1 mo. LIBOR US + 0.220%),
1.77%, 10/25/36 (a)

      5,940       4,175,094  

C-BASS Trust:

     

Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36 (a)

      2,113       1,511,315  

Series 2006-CB9, Class A2, (1 mo. LIBOR US + 0.110%),
1.66%, 11/25/36 (a)

      3,884       2,540,466  

Series 2006-CB9, Class A4, (1 mo. LIBOR US + 0.230%),
1.78%, 11/25/36 (a)

      645       429,816  

Series 2007-CB1, Class AF2,
3.71%, 01/25/37 (f)

      19,390       9,579,061  

Series 2007-CB1, Class AF4,
3.71%, 01/25/37 (f)

      1,323       653,463  
Security          Par
(000)
    Value  
United States (continued)                  

C-BASS Trust: (continued)

     

Series 2007-CB5, Class A2, (1 mo. LIBOR US + 0.170%),
1.50%, 04/25/37 (a)

    USD       3,241     $ 2,443,362  

Citicorp Residential Mortgage Trust,
Series 2007-2, Class M1,
5.24%, 06/25/37 (f)

      7,650       7,361,424  

Citigroup Mortgage Loan Trust:

     

Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.200%),
1.75%, 05/25/37 (a)

      21,170       15,740,997  

Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%),
1.82%, 05/25/37 (a)

      9,617       7,205,346  

Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 1.87%, 11/25/36 (a)

      7,880       6,688,657  

Conseco Finance Corp.:

     

Series 1996-10, Class B1,
7.24%, 11/15/28 (e)

      3,793       3,025,434  

Series 1998-4, Class M1,
6.83%, 04/01/30 (e)

      1,011       894,715  

Series 1998-8, Class M1,
6.98%, 09/01/30 (e)

      7,935       6,615,753  

Conseco Finance Securitizations Corp.:

     

Series 2000-1, Class A5,
8.06%, 09/01/29 (e)

      4,710       2,582,057  

Series 2000-4, Class A5,
7.97%, 05/01/32

      16,500       8,498,280  

Series 2000-4, Class A6,
8.31%, 05/01/32 (e)

      5,826       3,126,557  

Series 2000-5, Class A6,
7.96%, 05/01/31

      7,146       4,723,263  

Series 2000-5, Class A7,
8.20%, 05/01/31

      13,011       8,825,591  

Conseco Financial Corp.:

     

Series 1997-3, Class M1,
7.53%, 03/15/28 (e)

      7,434       7,375,303  

Series 1997-6, Class M1,
7.21%, 01/15/29 (e)

      5,697       5,575,908  

Series 1998-6, Class M1,
6.63%, 06/01/30 (e)

      3,055       2,815,422  

Series 1998-8, Class A1,
6.28%, 09/01/30

      4,772       4,992,576  

Series 1999-5, Class A5,
7.86%, 03/01/30 (e)

      5,201       4,187,832  

Series 1999-5, Class A6,
7.50%, 03/01/30 (e)

      3,808       2,970,701  

Countrywide Asset-Backed Certificates:

     

Series 2005-16, Class 1AF,
5.07%, 05/25/36 (e)

      12,937       16,032,101  

Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%),
1.49%, 09/25/46 (a)

      1,031       1,014,971  

Series 2006-S3, Class A3,
6.79%, 06/25/21 (f)

      22       153,403  

Series 2006-S3, Class A4,
7.02%, 01/25/29 (f)

      2,549       2,836,501  

Series 2007-S3, Class A3, (1 mo. LIBOR US + 0.380%), 1.93%, 05/25/37 (a)

      10,877       9,823,345  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30 (b)

      10,020       9,457,569  

Credit-Based Asset Servicing & Securitization LLC:

     

Series 2006-CB2, Class AF4,
3.43%, 12/25/36 (f)

      1,610       1,347,218  

Series 2006-MH1, Class B1,
6.25%, 10/25/36 (b)(f)

      2,397       2,465,471  

Series 2006-SL1, Class A2,
5.56%, 09/25/36 (b)(f)

      14,233       2,929,485  

Series 2007-CB6, Class A4, (1 mo. LIBOR US + 0.340%),
1.58%, 07/25/37 (a)(b)

      2,599       1,756,382  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      21  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
United States (continued)                  

Credit-Based Asset Servicing & Securitization LLC: (continued)

     

Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%),
1.86%, 05/25/46 (a)(b)

    USD       5,470     $ 4,796,314  

CWABS Asset-Backed Certificates Trust:

     

Series 2005-16, Class 2AF3,
4.59%, 05/25/36 (e)

      3,242       4,064,958  

Series 2005-17, Class 1AF4,
4.61%, 05/25/36 (f)

      7,835       9,306,497  

CWABS Revolving Home Equity Loan Trust,
Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 1.75%, 03/15/34 (a)

      1,050       943,014  

CWHEQ Home Equity Loan Trust:

     

Series 2006-S2, Class A3,
5.84%, 07/25/27

      848       1,131,263  

Series 2006-S5, Class A4,
5.84%, 06/25/35

      2,295       2,677,953  

Series 2006-S5, Class A5,
6.16%, 06/25/35

      2,836       3,144,859  

Series 2007-S1, Class A3,
5.81%, 11/25/36 (e)

      2,566       2,561,177  

CWHEQ Revolving Home Equity Loan Resuritization Trust:

     

Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%),
1.78%, 12/15/33 (a)(b)(c)

      106       97,779  

Series 2006-RES, Class 5B1A, (1 mo. LIBOR US + 0.190%),
1.67%, 05/15/35 (a)(b)

      2,062       1,975,719  

Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%),
1.67%, 05/15/35 (a)(b)(c)

      1,337       1,190,246  

Series 2006-RES, Class 5F1A, (1 mo. LIBOR US + 0.240%),
1.72%, 12/15/35 (a)(b)

      6,865       6,248,314  

CWHEQ Revolving Home Equity Loan Trust:

     

Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.180%), 1.66%, 05/15/35 (a)

      4,314       4,003,698  

Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.150%), 1.63%, 11/15/36 (a)

      7,451       5,943,029  

DCP Rights LLC, Series 2014-1A, Class A,
5.46%, 10/25/44 (b)

      38,727       39,864,770  

First Franklin Mortgage Loan Trust:

     

Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.050%),
2.60%, 10/25/34 (a)

      2,818       2,497,398  

Series 2006-FF16, Class 2A4, (1 mo. LIBOR US + 0.210%),
1.76%, 12/25/36 (a)

      7,857       4,956,656  

Series 2006-FF5, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 04/25/36 (a)

      3,798       3,587,397  

FirstKey Lending Trust, Series 2015-SFR1, Class A,
2.55%, 03/09/47 (b)

      2,839       2,823,278  

Fremont Home Loan Trust:

     

Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 1.69%, 02/25/37 (a)

      21,695       17,452,619  

Series 2006-3, Class 2A3, (1 mo. LIBOR US + 0.170%), 1.72%, 02/25/37 (a)

      7,571       4,335,672  

GCAT LLC, Series 2017-4, Class A1,
3.23%, 05/25/22 (b)(f)

      6,599       6,600,227  

GE-WMC Asset-Backed Pass-Through Certificates:

     

Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%),
1.80%, 12/25/35 (a)

      1,876       1,884,669  
Security          Par
(000)
    Value  
United States (continued)                  

GE-WMC Asset-Backed Pass-Through Certificates: (continued)

     

Series 2005-2, Class M1, (1 mo. LIBOR US + 0.440%), 1.99%, 12/25/35 (a)

    USD       14,147     $ 8,426,599  

GE-WMC Mortgage Securities Trust:

     

Series 2006-1, Class A2B, (1 mo. LIBOR US + 0.150%), 1.70%, 08/25/36 (a)

      56,046       35,737,702  

Series 2006-1, Class A2C, (1 mo. LIBOR US + 0.240%), 1.79%, 08/25/36 (a)

      1,398       909,541  

Greenpoint Manufactured Housing:

     

Series 1999-5, Class M1B,
8.29%, 12/15/29 (e)

      3,550       3,815,314  

Series 1999-5, Class M2,
9.23%, 12/15/29 (e)

      4,385       3,753,597  

GSAA Home Equity Trust,
Series 2007-4, Class A3B, (1 mo. LIBOR US + 0.350%), 1.90%, 03/25/37 (a)

      9,491       1,316,317  

GSAA Trust, Series 2007-2, Class AF3,
5.92%, 03/25/37 (e)

      1,783       730,001  

GSAMP Trust:

     

Series 2006-FM2, Class A2B, (1 mo. LIBOR US + 0.120%),
1.67%, 09/25/36 (a)

      10,188       4,850,155  

Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%),
1.75%, 01/25/47 (a)

      4,667       3,198,285  

Series 2007-HS1, Class M6, (1 mo. LIBOR US + 2.250%),
3.80%, 02/25/47 (a)

      3,414       3,486,768  

Home Equity Asset Trust,
Series 2007-1, Class 2A3, (1 mo. LIBOR US + 0.150%), 1.70%, 05/25/37 (a)

      6,615       5,454,607  

Home Equity Mortgage Loan Asset-Backed Trust:

     

Series 2004-A, Class M2, (1 mo. LIBOR US + 2.030%), 3.58%, 07/25/34 (a)

      2,239       2,258,037  

Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), 1.75%, 07/25/37 (a)

      9,541       6,464,710  

Home Equity Mortgage Trust,
Series 2006-2, Class 1A1,
5.87%, 07/25/36 (f)

      12,060       4,705,963  

Home Loan Mortgage Loan Trust,
Series 2005-1, Class A3, (1 mo. LIBOR US + 0.720%), 2.20%, 04/15/36 (a)

      6,871       6,311,555  

Invitation Homes Trust:

     

Series 2015-SFR1, Class E, (1 mo. LIBOR US + 4.200%),
5.45%, 03/17/32 (a)(b)

      3,266       3,309,567  

Series 2015-SFR3, Class E, (1 mo. LIBOR US + 3.750%),
5.21%, 08/17/32 (a)(b)

      4,685       4,755,344  

Irwin Home Equity Loan Trust:

     

Series 2006-3, Class 2A3,
6.03%, 09/25/37 (b)(f)

      3,420       3,320,381  

Series 2006-P1, Class 1A, (1 mo. LIBOR US + 0.280%), 1.61%, 12/25/36 (a)(b)

      703       630,954  

JPMorgan Mortgage Acquisition Trust:

     

Series 2006-CW1, Class M1, (1 mo. LIBOR US + 0.270%),
1.82%, 05/25/36 (a)

      3,380       3,193,982  

Series 2006-WF1, Class A3A,
5.83%, 07/25/36 (f)

      3,342       1,819,923  

Series 2006-WF1, Class A5,
6.41%, 07/25/36 (f)

      3,448       1,876,095  

Series 2006-WF1, Class A6,
6.00%, 07/25/36 (f)

      2,536       1,380,974  

Lehman ABS Manufactured Housing Contract Trust:

     

Series 2001-B, Class M1,
6.63%, 04/15/40 (e)

      19,863       21,128,341  
 

 

 

22    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
United States (continued)                  

Lehman ABS Manufactured Housing Contract Trust: (continued)

 

 

Series 2002-A, Class C, 0.00%, 06/15/33

    USD       1,554     $ 1,264,937  

Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.090%), 1.64%, 06/25/37 (a)(b)

      1,662       1,160,795  

Lendmark Funding Trust:

     

Series 2017-1A, Class A, 2.83%, 01/22/24 (b)

      45,440       45,334,343  

Series 2017-1A, Class B, 3.77%, 12/22/25 (b)

      2,200       2,210,711  

Series 2017-2A, Class A, 2.80%, 05/20/26 (b)

      38,740       38,587,601  

Series 2017-2A, Class B, 3.38%, 05/20/26 (b)

      1,840       1,829,251  

Litigation Fee Residual Funding LLC,

     

Series 2015-1, Class A, 4.00%, 10/01/27 (b)(c)

      23,043       22,960,518  

Long Beach Mortgage Loan Trust:

     

Series 2006-1, Class 1A, (1 mo. LIBOR US + 0.220%), 1.77%, 02/25/36 (a)

      4,973       4,744,778  

Series 2006-10, Class 2A2, (1 mo. LIBOR US + 0.110%), 1.66%, 11/25/36 (a)

      1,826       901,725  

Series 2006-10, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 11/25/36 (a)

      18,650       9,280,174  

Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%), 1.77%, 11/25/36 (a)

      9,987       5,014,563  

Series 2006-2, Class 2A3, (1 mo. LIBOR US + 0.190%), 1.74%, 03/25/46 (a)

      67,229       34,320,586  

Series 2006-2, Class 2A4, (1 mo. LIBOR US + 0.290%), 1.84%, 03/25/46 (a)

      14,328       7,463,854  

Series 2006-3, Class 2A3, (1 mo. LIBOR US + 0.180%), 1.73%, 05/25/46 (a)

      14,494       6,757,909  

Series 2006-3, Class 2A4, (1 mo. LIBOR US + 0.270%), 1.82%, 05/25/46 (a)

      5,084       2,412,247  

Series 2006-4, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 05/25/36 (a)

      33,256       17,132,852  

Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%), 1.81%, 05/25/36 (a)

      7,686       4,031,276  

Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%), 1.70%, 06/25/36 (a)

      5,258       3,115,011  

Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 08/25/36 (a)

      17,981       10,327,941  

Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 09/25/36 (a)

      8,961       4,153,890  

Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 1.66%, 10/25/36 (a)

      4,806       2,380,092  

Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 (a)

      33,813       16,853,264  

Series 2006-9, Class 2A4, (1 mo. LIBOR US + 0.230%), 1.78%, 10/25/36 (a)

      6,427       3,231,983  

Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, (1 mo. LIBOR US + 3.250%), 4.80%, 03/25/32 (a)

      4,980       5,113,152  

MASTR Asset-Backed Securities Trust:

     

Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), 1.81%, 06/25/36 (a)(b)

      6,526       5,215,350  

Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), 1.70%, 06/25/36 (a)

      5,546       3,238,328  

Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), 1.83%, 05/25/37 (a)

      5,000       4,163,107  

MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 1.81%, 06/25/46 (a)(b)

      2,201       2,062,587  
Security          Par
(000)
    Value  
United States (continued)                  

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), 1.79%, 05/25/37 (a)

    USD       6,110     $ 4,278,016  

Merrill Lynch Mortgage Investors Trust:

     

Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 1.81%, 08/25/37 (a)

      1,509       409,080  

Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.090%), 1.64%, 06/25/37 (a)

      3,255       990,821  

Morgan Stanley ABS Capital I, Inc. Trust:

     

Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.870%), 2.42%, 09/25/35 (a)

      11,823       5,419,742  

Series 2007-NC1, Class A1, (1 mo. LIBOR US + 0.130%), 1.68%, 11/25/36 (a)

      39,295       25,094,120  

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A2, (1 mo. LIBOR US + 0.110%), 1.66%, 11/25/36 (a)

      3,845       1,898,390  

Morgan Stanley Mortgage Loan Trust:

     

Series 2006-15XS, Class A2B, 5.51%, 11/25/36 (f)

      8,628       4,334,691  

Series 2007-9SL, Class A, (1 mo. LIBOR US + 0.320%), 1.87%, 07/25/37 (a)

      4,534       4,074,698  

Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3, (1 mo. LIBOR US + 0.180%), 1.73%, 06/25/37 (a)

      1,220       1,211,894  

Navient Private Education Loan Trust:

     

Series 2014-AA, Class B, 3.50%, 08/15/44 (b)

      14,970       14,510,255  

Series 2014-CTA, Class B, (1 mo. LIBOR US + 1.750%), 3.23%, 10/17/44 (a)(b)

      21,595       21,926,704  

Series 2015-AA, Class B, 3.50%, 12/15/44 (b)

      10,722       10,702,310  

Series 2015-CA, Class B, 3.25%, 05/15/40 (b)

      6,130       6,176,165  

Series 2016-AA, Class B, 3.50%, 12/16/58 (b)(e)

      7,740       7,482,346  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 1.95%, 10/25/36 (a)(b)

      636       566,735  

Oakwood Mortgage Investors, Inc.:

     

Series 2001-D, Class A2, 5.26%, 01/15/19 (e)

      2,893       2,286,565  

Series 2001-D, Class A4, 6.93%, 09/15/31 (e)

      2,366       2,113,072  

OHA Loan Funding LLC:

     

Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.150%), 2.51%, 10/20/26 (a)(b)

      5,948       5,971,194  

Series 2014-1A, Class E, 7.75%, 10/20/26 (b)

      4,000       4,015,898  

OneMain Financial Issuance Trust:

     

Series 2014-2A, Class A, 2.47%, 09/18/24 (b)

      290       289,791  

Series 2014-2A, Class B, 3.02%, 09/18/24 (b)

      19,210       19,218,570  

Series 2014-2A, Class C, 4.33%, 09/18/24 (b)

      14,745       14,789,285  

Series 2014-2A, Class D, 5.31%, 09/18/24 (b)

      51,635       52,126,467  

Series 2015-1A, Class A, 3.19%, 03/18/26 (b)

      21,760       21,871,246  

Series 2015-1A, Class C, 5.12%, 03/18/26 (b)

      11,400       11,530,785  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      23  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
United States (continued)                  

OneMain Financial Issuance Trust: (continued)

     

Series 2015-2A, Class A, 2.57%, 07/18/25 (b)

    USD       16,103     $ 16,092,852  

Series 2015-2A, Class B, 3.10%, 07/18/25 (b)

      22,816       22,818,126  

Series 2015-2A, Class C, 4.32%, 07/18/25 (b)

      32,030       32,142,092  

Series 2015-2A, Class D, 5.64%, 07/18/25 (b)

      9,180       9,156,829  

Series 2016-1A, Class A, 3.66%, 02/20/29 (b)

      1,730       1,757,819  

Series 2016-1A, Class B, 4.57%, 02/20/29 (b)

      2,740       2,819,303  

Series 2016-2A, Class A, 4.10%, 03/20/28 (b)

      9,296       9,416,089  

Option One Mortgage Loan Trust:

     

Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 1.69%, 02/25/37 (a)

      2,670       1,966,016  

Series 2007-CP1, Class 2A3, (1 mo. LIBOR US + 0.210%), 1.76%, 03/25/37 (a)

      6,755       4,735,370  

Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37 (f)

      38,685       38,042,657  

Origen Manufactured Housing Contract Trust:

     

Series 2001-A, Class M1, 7.82%, 03/15/32 (e)

      4,777       4,708,860  

Series 2007-B, Class A1, (1 mo. LIBOR US + 1.200%), 2.68%, 10/15/37 (a)(b)

      8,928       8,769,053  

Ownit Mortgage Loan Trust Series,
Series 2006-2, Class A2C, 6.00%, 01/25/37 (f)

      5,324       4,921,533  

Preston Ridge Partners Mortgage LLC,
Series 2017-1A, Class A1, 4.25%, 01/25/22 (b)(c)(f)

      1,621       1,624,018  

Pretium Mortgage Credit Partners I LLC,
Series 2017-NPL2, Class A1, 3.25%, 03/28/57 (b)(f)

      12,682       12,693,062  

Progress Residential Trust:

     

Series 2015-SFR2, Class A, 2.74%, 06/12/32 (b)

      9,713       9,690,735  

Series 2015-SFR3, Class F, 6.64%, 11/12/32 (b)

      2,110       2,225,938  

Series 2016-SFR1, Class A, (1 mo. LIBOR US + 1.500%), 2.96%, 09/17/33 (a)(b)

      4,470       4,519,831  

Series 2016-SFR1, Class E, (1 mo. LIBOR US + 3.850%), 5.31%, 09/17/33 (a)(b)

      8,870       9,104,508  

Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 5.01%, 01/17/34 (a)(b)

      4,910       5,037,600  

Series 2017-SFR1, Class A, 2.77%, 08/17/34 (b)

      7,028       6,973,658  

Series 2017-SFR1, Class D, 3.57%, 08/17/22 (b)

      850       843,520  

Series 2017-SFR1, Class E, 4.26%, 08/17/22 (b)

      1,290       1,295,202  

RAMP Series Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US + 0.170%), 1.72%, 02/25/37 (a)

      5,978       3,302,146  

RAMP Trust, Series 2006-RS6, Class A4, (1 mo. LIBOR US + 0.270%), 1.82%, 11/25/36 (a)

      18,315       15,340,913  

RCO Mortgage LLC, Series 2015-NQM1, Class A, (1 mo. LIBOR US + 3.500%), 5.05%, 11/25/45 (a)(b)

      715       715,999  

SACO I Trust, Series 2006-9, Class A1, (1 mo. LIBOR US + 0.300%), 1.85%, 08/25/36 (a)

      3,066       5,393,045  
Security          Par
(000)
    Value  
United States (continued)                  

Saxon Asset Securities Trust, Series 2007-1, Class M1, (1 mo. LIBOR US + 0.290%), 1.84%, 01/25/47 (a)

    USD       4,812     $ 2,903,916  

Securitized Asset-Backed Receivables LLC Trust, Series 2006-WM4, Class A1, (1 mo. LIBOR US + 0.190%), 1.74%, 11/25/36 (a)(b)

      8,462       5,301,111  

Security National Mortgage Loan Trust,
Series 2007-1A, Class 2A, (1 mo. LIBOR US + 0.350%), 1.90%, 04/25/37 (a)(b)

      3,282       3,147,643  

SG Mortgage Securities Trust:

     

Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.160%), 1.71%, 07/25/36 (a)

      2,745       1,006,608  

Series 2006-OPT2, Class A3D, (1 mo. LIBOR US + 0.210%), 1.54%, 10/25/36 (a)

      4,623       3,204,399  

SLC Private Student Loan Trust, Series 2006-A, Class C, (3 mo. LIBOR US + 0.450%), 1.81%, 07/15/36 (a)

      9,086       8,666,980  

SLM Private Credit Student Loan Trust:

     

Series 2004-A, Class A3, (3 mo. LIBOR US + 0.400%), 1.99%, 06/15/33 (a)

      24,855       24,382,282  

Series 2004-B, Class A3, (3 mo. LIBOR US + 0.330%), 1.92%, 03/15/24 (a)

      36,109       35,992,086  

Series 2006-B, Class A5, (3 mo. LIBOR US + 0.270%), 1.86%, 12/15/39 (a)

      3,293       3,236,060  

SLM Private Education Loan Trust:

     

Series 2013-A, Class B, 2.50%, 03/15/47 (b)

      17,440       17,331,366  

Series 2013-B, Class B, 3.00%, 05/16/44 (b)

      15,415       15,408,327  

Series 2013-C, Class B, 3.50%, 06/15/44 (b)(e)

      19,840       20,068,694  

Series 2014-A, Class B, 3.50%, 11/15/44 (b)

      16,505       16,723,043  

SMB Private Education Loan Trust:

     

Series 2015-B, Class B, 3.50%, 12/17/40 (b)

      15,900       15,915,619  

Series 2015-C, Class B, 3.50%, 09/15/43 (b)(c)

      13,620       13,620,000  

Series 2015-C, Class C, 4.50%, 09/17/46 (b)

      24,880       24,940,779  

Series 2017-B, Class A2A, 2.82%, 10/15/35 (b)

      30,430       30,314,436  

Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 2.10%, 10/15/35 (a)(b)

      18,250       18,317,069  

SolarCity LMC Series IV LLC, Series 2015-1, Class B, 5.58%, 08/21/45 (b)(c)

      11,370       10,874,268  

Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.800%), 2.35%, 01/25/35 (a)

      356       336,988  

SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/29 (b) .

      44,228       44,501,954  

Springleaf Funding Trust:

     

Series 2015-AA, Class A, 3.16%, 11/15/24 (b)

      46,465       46,649,508  

Series 2015-AA, Class B, 3.62%, 11/15/24 (b)

      29,600       29,697,798  

Series 2015-AA, Class D, 6.31%, 11/15/24 (b)

      1,500       1,513,963  

Series 2016-AA, Class A, 2.90%, 11/15/29 (b)

      18,963       18,990,944  

Series 2016-AA, Class B, 3.80%, 11/15/29 (b)

      1,660       1,670,863  
 

 

 

24    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
United States (continued)  

Stanwich Mortgage Loan Co. LLC:

     

Series 2016-NPL2, Class NOTE,
3.72%, 08/16/46 (b)(c)(f)

    USD       8,032     $ 8,031,745  

Series 2017-NPB1, Class A1,
3.60%, 05/17/22 (b)(c)(f)

      43,329       43,420,082  

Velocity Commercial Capital Loan Trust:

     

Series 2017-1, Class AFL, (1 mo. LIBOR US + 1.250%),
2.80%, 05/25/47 (a)(b)

      10,674       10,747,048  

Series 2017-1, Class M1, 3.55%, 05/25/47 (b)(e)

      1,120       1,125,409  

Series 2017-1, Class M2, 4.45%, 05/25/47 (b)(e)

      1,110       1,097,360  

Series 2017-1, Class M3, 5.35%, 05/25/47 (b)(e)

      1,110       1,114,426  

Series 2017-2, Class M3, 4.24%, 11/25/47 (b)(e)

      1,043       1,044,491  

Series 2017-2, Class M4, 5.00%, 11/25/47 (b)(e)

      1,248       1,250,265  

Wachovia Asset Securitization Issuance II LLC Trust,
Series 2007-HE2A, Class A, (1 mo. LIBOR US + 0.130%), 1.68%, 07/25/37 (a)(b)

      9,931       9,117,074  

WaMu Asset-Backed Certificates Trust:

     

Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), 1.80%, 04/25/37 (a)

      27,506       15,424,442  

Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), 1.91%, 04/25/37 (a)

      2,948       1,673,116  

Washington Mutual Asset-Backed Certificates Trust:

     

Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), 1.73%, 09/25/36 (a)

      17,786       8,997,462  

Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 (a)

      7,149       5,924,147  

Series 2006-HE5, Class 2A2, (1 mo. LIBOR US + 0.180%), 1.51%, 10/25/36 (a)

      22,618       12,550,944  

Series 2007-HE2, Class 2A2, (1 mo. LIBOR US + 0.220%), 1.77%, 02/25/37 (a)

      16,693       7,309,482  

Wellfleet CLO Ltd.:

     

Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%),
2.88%, 01/17/31 (a)(b)

      15,770       15,770,000  

Series 2017-3A, Class B, (3 mo. LIBOR US + 1.950%),
0.00%, 01/17/31 (a)(b)

      1,490       1,490,000  

World Financial Network Credit Card Master Trust:

     

Series 2012-C, Class C, 4.55%, 08/15/22

      6,229       6,342,003  

Series 2012-D, Class B, 3.34%, 04/17/23

      4,080       4,112,696  

WVUE, Series 2015-1A, Class A,
7.50%, 09/25/20 (b)(c)(f)

      2,641       2,638,695  

Yale Mortgage Loan Trust,
Series 2007-1, Class A, (1 mo. LIBOR US + 0.400%), 1.95%, 06/25/37 (a)(b)

      7,282       3,243,078  
     

 

 

 
        2,138,378,986  
     

 

 

 

Total Asset-Backed Securities — 13.8%
(Cost: $4,338,615,583)

 

      4,382,666,786  
     

 

 

 
      Shares    

Common Stocks — 1.6%

     
Canada — 0.0%                  

Northern Graphite Corp. (g)

      435,208       167,920  
     

 

 

 

Security

 

    

Shares

    Value  
China — 0.1%            

Alibaba Group Holding Ltd. - ADR (g)

    28,705     $ 4,949,603  

Guotai Junan Securities Co. Ltd. (g)

    2,671,000       5,948,585  
   

 

 

 
      10,898,188  
France — 0.0%            

BNP Paribas SA

    84,181       6,262,090  

SMCP SAS (g)

    26,564       613,550  
   

 

 

 
          6,875,640  
Germany — 0.0%            

Aroundtown SA

    250,402       1,927,648  
   

 

 

 
Greece — 0.0%            

Eurobank Ergasias SA (g)

    4,131,858       4,213,956  
   

 

 

 
Indonesia — 0.0%            

Bumi Resources Tbk PT (g)

    164,339,838       3,270,445  
   

 

 

 
Ireland — 0.0%            

Smurfit Kappa Group PLC

    9,525       322,404  
   

 

 

 
Italy — 0.1%            

Telecom Italia SpA (g)

    1,441,206       1,244,619  

UniCredit SpA (g)

    1,150,000       21,452,322  
   

 

 

 
          22,696,941  
Luxembourg — 0.0%            

Concrete Investment I SCA (c)(g)(h)

    72,402       1,172,762  

Concrete Investment II SCA (c)(g)(h)

    9,727        
   

 

 

 
          1,172,762  
Netherlands — 0.0%            

NXP Semiconductors NV (g)

    54,555       6,387,845  
   

 

 

 
United States — 1.4%            

Altice USA, Inc., Class A (g)

    716,274       15,206,497  

AMC Networks, Inc., Class A (g)

    188,750       10,207,600  

American Airlines Group, Inc.

    74,580       3,880,397  

Bank of America Corp. (i)

    2,309,138       68,165,754  

C&J Energy Services, Inc. (g)

    530,239       17,747,099  

Cardinal Health, Inc.

    50,160       3,073,303  

CBS Corp., Class B

    95,000       5,605,000  

Centene Corp. (g)

    102,367       10,326,783  

Citigroup, Inc. (i)

    404,439       30,094,306  

CME Group, Inc.

    25,920       3,785,616  

Comcast Corp., Class A

    91,580       3,667,779  

Delta Air Lines, Inc. (i)

    459,064       25,707,584  

Energen Corp. (g)

    356,209       20,506,952  

Home Depot, Inc.

    21,420       4,059,733  

JB Hunt Transport Services, Inc.

    33,230       3,820,785  

JPMorgan Chase & Co. (i)

    630,943       67,473,044  

Leisure Acquisition Corp. (g)

    320,771       3,175,633  

Lowe’s Cos., Inc.

    43,570       4,049,396  

Matador Resources Co. (g)

    341,324       10,625,416  

Micron Technology, Inc. (g)(i)

    48,290       1,985,685  

Morgan Stanley

    136,516       7,162,995  

NVIDIA Corp.

    31,783       6,150,011  

Oracle Corp.

    15,000       709,200  

QUALCOMM, Inc.

    325,629       20,846,769  

Robert Half International, Inc.

    72,980       4,053,309  

Ross Stores, Inc.

    56,200       4,510,050  

Sentinel Energy Services, Inc. (g)(y)

    1,614,183       16,093,404  

SLM Corp. (g)

    315,590       3,566,167  

Synchrony Financial

    116,840       4,511,192  

Tenet Healthcare Corp. (g)

    603,156       9,143,845  

Under Armour, Inc., Class A (g)

    191,810       2,767,818  

Union Pacific Corp.

    30,130       4,040,433  

United Continental Holdings, Inc. (g)

    58,060       3,913,244  

UnitedHealth Group, Inc.

    44,713       9,857,428  

Valeant Pharmaceuticals International, Inc. (g)

    77,785       1,616,372  

Vantage Drilling Co. (g)

    1,556,671       14,477  

Williams Cos., Inc.

    500,000       15,245,000  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      25  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security

        

    

Shares

    Value  
United States (continued)                  

Williams-Sonoma, Inc.

      346,255     $ 17,901,384  

Zions Bancorporation

      77,760       3,952,541  
     

 

 

 
        449,220,001  
     

 

 

 

Total Common Stocks — 1.6%
(Cost: $460,782,737)

        507,153,750  
     

 

 

 
         

Par

(000)

       

Corporate Bonds — 30.0%

     
Argentina — 0.4%                  

Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27 (b)

    USD       5,000       5,406,150  

Arcor SAIC, 6.00%, 07/06/23 (b)

      4,967       5,271,229  

Banco Hipotecario SA, (30 to 35 Days Argentina Deposit Rates Badlar Private Banks + 4.000%),
25.94%, 11/07/22 (a)(b)

    ARS       360,060       19,863,713  

Cablevision SA, 6.50%, 06/15/21 (b)

    USD       5,000       5,310,950  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23 (b)

      718       764,706  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23 (b)

      16,195       18,090,625  

Genneia SA, 8.75%, 01/20/22 (b)

      10,000       10,989,900  

Pampa Energia SA:

     

7.38%, 07/21/23 (b)

      11,484       12,517,560  

7.50%, 01/24/27 (b)

      10,000       10,951,400  

Stoneway Capital Corp., 10.00%, 03/01/27 (b)

      20,000       21,265,800  

Tarjeta Naranja SA, (30 to 35 Days Argentina Deposit Rates Badlar Private Banks + 3.500%),
26.56%, 04/11/22 (a)(b)

      16,330       15,880,925  
     

 

 

 
        126,312,958  
Australia — 0.3%                  

Cromwell SPV Finance Property Ltd.,
2.00%, 02/04/20 (j)

    EUR       8,200       9,826,442  

Macquarie Group Ltd.:

     

(3 mo. LIBOR US + 0.000%), 3.19%, 11/28/23 (k)

    USD       22,500       22,343,400  

(3 mo. LIBOR US + 0.000%), 3.76%, 11/28/28 (k)

      17,000       16,897,150  

Newcastle Coal Infrastructure Group Pty Ltd., 4.40%, 09/29/27

      7,050       7,061,012  

QBE Insurance Group Ltd., (10 yr. Swap Semi 30/360 US + 0.000%), 5.88%, 06/17/46 (k)

      2,817       3,060,273  

Santos Finance Ltd., 4.13%, 09/14/27

      23,400       23,080,450  
     

 

 

 
        82,268,727  
Austria — 0.1%                  

BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG,
8.13%, 10/30/23

    EUR       11,500       18,918,262  

Volksbank Wien AG, (5 yr. EURIBOR A (1100 Fft) + 2.550%), 2.75%, 10/06/27 (k)

      10,800       12,872,272  
     

 

 

 
        31,790,534  
Belgium — 0.1%                  

Anheuser-Busch InBev Finance, Inc., 3.65%, 02/01/26

    USD       10,760       11,104,078  

Anheuser-Busch InBev SA/NV, 2.00%, 03/17/28

    EUR       1,390       1,780,809  

Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24

      5,069       6,416,168  
     

 

 

 
        19,301,055  
Security         

Par

(000)

    Value  
Bermuda — 0.0%                  

Fidelity International Ltd., 2.50%, 11/04/26

    EUR       2,100     $ 2,652,774  
     

 

 

 
Brazil — 0.1%                  

Gol Finance, Inc., 7.00%, 01/31/25 (b)

    USD       10,000       9,830,100  

Marfrig Holdings Europe BV, 8.00%, 06/08/23 (b)

      3,707       3,864,547  

Odebrecht Offshore Drilling Finance Ltd.,
6.72%, 12/01/22 (b)(c)

      2,223       952,473  

Odebrecht Oil & Gas Finance Ltd.,
0.00% (b)(c)(d)(l)

      1,009       432,319  

Rumo Luxembourg S.à r.l., 7.38%, 02/09/24 (b)

      15,000       16,141,500  
     

 

 

 
        31,220,939  
British Virgin Islands — 0.0%                  

Guojing Capital BVI Ltd., 3.95%, 12/11/22

      5,900       5,808,320  
     

 

 

 
Canada — 0.4%                  

1011778 BC ULC/New Red Finance, Inc.,
5.00%, 10/15/25 (b)

      6,950       7,002,125  

Air Canada Pass-Through Trust,
Series 2015-2, Class B, 5.00%, 12/15/23 (b)

      13,132       13,774,419  

Bombardier, Inc.:

     

8.75%, 12/01/21 (b)

      4,860       5,333,850  

6.00%, 10/15/22 (b)

      1,950       1,915,875  

Canbriam Energy, Inc., 9.75%, 11/15/19 (b)

      29,906       30,429,355  

Hammerhead Resources, Inc., 9.00%, 07/10/22 (c)

      41,000       44,118,460  

Kinross Gold Corp., 4.50%, 07/15/27 (b)

      10,425       10,490,156  

Suncor Energy, Inc., 4.00%, 11/15/47

      2,315       2,369,260  

TransCanada Trust, (3 mo. LIBOR US + 0.000%), 5.88%, 08/15/76 (k)

      7,833       8,479,223  
     

 

 

 
        123,912,723  
Cayman Islands — 0.0%                  

Odebrecht Offshore Drilling Finance Ltd., 7.72% (7.72% Cash or 7.72% PIK), 12/01/26 (c)(m)

      6,103       2,614,910  

Pearl Holding III Ltd., 9.50%, 12/11/22

      7,000       6,974,793  

SPARC EM SPC Panama Metro Line 2 SP,
0.00%, 12/05/22 (b)(d)

      2,764       2,535,970  
     

 

 

 
        12,125,673  
Chile — 0.1%                  

Celeo Redes Operacion Chile SA, 5.20%, 06/22/47 (b)

      10,865       11,000,813  

Colbun SA, 3.95%, 10/11/27 (b)

      7,135       7,117,163  

Geopark Ltd., 6.50%, 09/21/24 (b)

      10,000       10,257,100  
     

 

 

 
        28,375,076  
China — 1.6%                  

Alibaba Group Holding Ltd.:

     

3.40%, 12/06/27

      18,440       18,435,349  

4.00%, 12/06/37

      2,025       2,095,576  

4.20%, 12/06/47

      8,555       8,907,348  

Anton Oilfield Services Group, 9.75%, 12/05/20

      9,700       9,772,750  

Baosteel Hong Kong Investment Co. Ltd.,
0.00%, 12/01/18 (d)(j)

      5,000       5,368,750  

Baoxin Auto Finance I Ltd., (3 yr. US Treasury Yield Curve Rate T Note Constant Maturity +
0.000%), 5.63% (k)(l)

      16,280       16,057,501  

CCTI 2017 Ltd., 3.63%, 08/08/22

      18,215       17,928,332  

CFLD Cayman Investment Ltd., 6.50%, 12/21/20

      14,400       14,388,336  

China Aoyuan Property Group Ltd., 5.38%, 09/13/22

      1,608       1,541,114  

China City Construction International Co. Ltd., 5.35%, 07/03/17 (g)(n)

    CNH       2,990       319,540  

China Evergrande Group:

     

7.50%, 06/28/23

    USD       18,195       18,493,944  
 

 

 

26    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
China (continued)                  

China Evergrande Group: (continued)

     

8.75%, 06/28/25

    USD       12,137     $   12,579,236  

China Huiyuan Juice Group Ltd., 6.50%, 08/16/20

      5,600       5,570,079  

China Lodging Group Ltd., 0.38%, 11/01/22 (b)(j)

      11,000       11,948,750  

China Reinsurance Finance Corp. Ltd., 3.38%, 03/09/22

      13,838       13,633,779  

China Singyes Solar Technologies Holdings Ltd., 7.95%, 02/15/19

      4,990       4,990,524  

China Yangtze Power International BVI 1 Ltd., 0.00%, 11/09/21 (d)(j)

      14,900       16,337,850  

Chong Hing Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 3.88%, 07/26/27 (k)

      7,245       7,191,822  

Cosmos Boom Investment Ltd., 0.50%, 06/23/20 (j)

      7,400       7,340,800  

CRRC Corp Ltd., 0.00%, 02/05/21 (d)(j)

      17,000       18,335,350  

Ctrip.com International Ltd., 1.25%, 09/15/22 (j)

      2,028       2,071,095  

Fantasia Holdings Group Co. Ltd.:

     

7.38%, 10/04/21

      5,426       5,381,420  

7.95%, 07/05/22

      11,878       11,907,731  

Future Land Development Holdings Ltd., 5.00%, 02/16/20

      4,475       4,431,091  

Guorui Properties Ltd., 7.00%, 03/21/20

      6,504       6,276,659  

Haitian International Holdings Ltd., 2.00%, 02/13/19 (j)

      10,750       12,053,437  

Harvest International Co., 0.00%, 11/21/22 (d)(j)

    HKD       137,000       17,373,014  

Hilong Holding Ltd., 7.25%, 06/22/20

    USD       1,387       1,373,188  

Huarong Universe Investment Holding Ltd., 1.63%, 12/05/22

    EUR       9,300       10,972,871  

Huzhou City Investment Development Group Co. Ltd., 4.88%, 12/20/20

    USD       6,620       6,646,864  

Kaisa Group Holdings Ltd.:

     

7.25%, 06/30/20

      8,300       8,096,401  

8.50%, 06/30/22

      11,153       10,796,427  

KWG Property Holding Ltd., 5.88%, 11/10/24

      9,600       9,351,946  

Logan Property Holdings Co. Ltd., 5.25%, 02/23/23

      686       651,657  

New Metro Global Ltd., 5.00%, 08/08/22

      2,102       2,049,702  

Oceanwide Holdings International 2017 Co. Ltd., 7.75%, 07/27/20

      3,950       3,802,464  

Overseas Chinese Town Asia Holdings Ltd., (3 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 4.30% (k)(l)

      16,540       16,458,342  

Prime Bloom Holdings Ltd., 6.95%, 07/05/22

      11,147       10,506,047  

Redco Properties Group Ltd., 7.00%, 11/14/18

      2,965       2,987,237  

Rock International Investment, Inc., 6.63%, 03/27/20

      6,400       6,128,538  

Shandong Iron And Steel Xinheng International Co. Ltd., 6.50%, 06/14/21

      4,120       4,120,000  

Shanghai Port Group BVI Holding Co. Ltd., 0.00%, 08/09/22 (d)(j)

      24,600       23,892,750  

Shui On Development Holding Ltd., (5 yr. Swap Semi 30/360 US + 0.000%), 7.50% (j)(k)(l)

      7,000       7,826,000  

SMCP Group SAS, 5.88%, 05/01/23

    EUR       310       400,969  

Tianqi Finco Co. Ltd., 3.75%, 11/28/22

    USD       4,461       4,396,150  

Times Property Holdings Ltd., 6.60%, 03/02/23

      13,200       13,085,094  

Union Life Insurance Co. Ltd., 3.00%, 09/19/21

      7,068       6,759,673  

Vanke Real Estate Hong Kong Co. Ltd., 3.98%, 11/09/27

      14,010       13,947,515  

Weibo Corp., 1.25%, 11/15/22 (j)

      9,569       10,507,958  

Xinyuan Real Estate Co. Ltd., 8.13%, 08/30/19

      1,850       1,840,750  

Yankuang Group Cayman Ltd., 4.75%, 11/30/20

      7,915       7,827,270  

Yunnan Energy Investment Overseas Finance Co. Ltd., 4.25%, 11/14/22

      6,250       6,208,869  
Security         

Par

(000)

    Value  
China (continued)                  

Yuzhou Properties Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 5.38% (k)(l)

    USD       8,800     $ 8,408,444  

Zhejiang Expressway Co. Ltd., 0.00%, 04/21/22 (d)(j)

    EUR       18,800       22,032,660  
     

 

 

 
        491,806,963  
Colombia — 0.1%                  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20

    USD       9,766       9,827,037  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22 (b)

      10,000       10,375,000  
     

 

 

 
        20,202,037  
Cyprus — 0.1%                  

Volcan Holdings II PLC, 3.88%, 10/10/20 (j)

    GBP       2,600       3,905,300  

Volcan Holdings PLC, 4.13%, 04/11/20 (j)

      7,300       11,778,007  
     

 

 

 
        15,683,307  
Czech Republic — 0.0%                  

CPI Property Group SA, 2.13%, 10/04/24

    EUR       1,350       1,623,079  

RESIDOMO SRO, 3.38%, 10/15/24

      1,138       1,391,996  
     

 

 

 
        3,015,075  
Dominican Republic — 0.0%                  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29 (b)

    USD       5,000       5,475,000  
     

 

 

 
Finland — 0.0%                  

Stora Enso OYJ, 2.50%, 06/07/27

    EUR       625       768,712  
     

 

 

 
France — 0.4%                  

3AB Optique Developpement SAS, 4.00%, 10/01/23

      711       858,580  

Altarea SCA, 2.25%, 07/05/24

      4,300       5,175,344  

Autodis SA, 4.38%, 05/01/22 (e)

      925       1,130,533  

Banijay Group SAS, 4.00%, 07/01/22

      442       553,285  

BNP Paribas Cardif SA:

     

(3 mo. EURIBOR + 0.000%), 4.03% (k)(l)

      1,600       2,166,656  

1.00%, 11/29/24

      9,400       11,079,264  

BNP Paribas SA:

     

2.95%, 05/23/22 (b)

    USD       5,045       5,055,976  

4.63%, 03/13/27 (b)

      31,185       33,267,587  

Burger King France SAS:

     

(3 mo. EURIBOR + 5.250%), 5.25%, 05/01/23 (a)

    EUR       2,762       3,379,858  

6.00%, 05/01/24

      1,093       1,413,462  

Casino Guichard Perrachon SA:

     

5.98%, 05/26/21

      900       1,254,832  

4.56%, 01/25/23

      1,200       1,623,656  

4.50%, 03/07/24

      1,400       1,874,292  

3.58%, 02/07/25

      1,100       1,387,495  

CMA CGM SA:

     

7.75%, 01/15/21

      610       761,366  

6.50%, 07/15/22

      838       1,054,237  

5.25%, 01/15/25

      2,646       3,150,983  

Constantin Investissement 3 SASU, 5.38%, 04/15/25

      830       1,004,849  

Credit Agricole Assurances SA, (5 yr. Euro Swap + 4.350%), 4.50% (k)(l)

      400       547,596  

Credit Mutuel Arkea SA, (5 yr. EURIBOR A (1100 Fft) + 0.000%), 1.88%, 10/25/29 (k)

      1,100       1,324,794  

Europcar Groupe SA, 5.75%, 06/15/22

      460       575,749  

Faurecia, 3.63%, 06/15/23

      640       807,257  

Groupama SA, 6.00%, 01/23/27

      2,200       3,325,974  

Horizon Holdings I SAS, 7.25%, 08/01/23

      1,226       1,557,434  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      27  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security       

Par

(000)

    Value  
France (continued)                

Horizon Parent Holdings S.à r.l., 8.25% (8.25% Cash or 8.25% PIK), 02/15/22 (m)

  EUR     1,025     $ 1,309,192  

La Financiere Atalian SAS, 4.00%, 05/15/24

      1,493       1,867,504  

Loxam SAS:

     

3.50%, 04/15/22

      235       293,947  

3.50%, 05/03/23

      1,000       1,245,285  

4.25%, 04/15/24

      807       1,031,698  

6.00%, 04/15/25

      700       913,037  

Newco GB SAS, 8.00% (8.00% Cash or 8.00% PIK), 12/15/22 (m)

      700       855,876  

Paprec Holding SA, 5.25%, 04/01/22

      976       1,211,744  

Picard Groupe SAS, (3 mo. EURIBOR + 3.000%), 3.00%, 11/30/23 (a)

      2,232       2,684,752  

Rexel SA:

     

3.50%, 06/15/23

      1,466       1,840,961  

2.63%, 06/15/24

      1,325       1,633,648  

SFR Group SA:

     

5.38%, 05/15/22

      3,220       3,974,774  

6.00%, 05/15/22 (b)

  USD     18,800       19,035,000  

7.38%, 05/01/26 (b)

      6,890       7,070,863  

SPIE SA, 3.13%, 03/22/24

  EUR     700       880,014  

TDF Infrastructure SAS, 2.50%, 04/07/26

      2,600       3,263,658  

Vallourec SA, 6.63%, 10/15/22

      1,082       1,348,678  

Verallia Packaging SASU, 5.13%, 08/01/22

      1,225       1,535,365  
     

 

 

 
        136,327,055  
Germany — 0.7%                

ADLER Real Estate AG:

     

4.75%, 04/08/20

      941       1,176,687  

2.13%, 02/06/24

      5,515       6,545,330  

ATF Netherlands BV, 1.88%, 01/19/26

      3,900       4,778,122  

BMBG Bond Finance SCA, 3.00%, 06/15/21

      525       643,590  

Capital Stage Finance BV, (5 yr. Euro Swap + 0.000%), 5.25% (j)(k)(l)

      2,400       3,030,812  

CBR Fashion Finance BV, 5.13%, 10/01/22

      334       381,934  

CTC BondCo GmbH, 5.25%, 12/15/25

      1,293       1,551,972  

Deutsche Bank AG:

     

2.70%, 07/13/20

  USD     21,285       21,180,755  

4.50%, 05/19/26

  EUR     2,200       3,033,922  

(USD Swap Rate 11:00 am NY 1 + 0.000%), 4.88%, 12/01/32 (k)

  USD     81,665       81,379,173  

Deutsche Pfandbriefbank AG, 4.60%, 02/22/27

  EUR     300       403,348  

Deutsche Telekom International Finance BV, 3.60%, 01/19/27 (b)

  USD     15,151       15,224,501  

Hapag-Lloyd AG, 5.13%, 07/15/24

  EUR     626       782,900  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

      1,242       1,546,703  

IHO Verwaltungs GmbH:

     

2.75% (2.75% Cash or 3.50% PIK), 09/15/21 (m)

      1,215       1,494,696  

3.25% (3.25% Cash or 4.00% PIK), 09/15/23 (m)

      2,060       2,576,730  

3.75% (3.75% Cash or 4.50% PIK), 09/15/26 (m)

      2,650       3,401,783  

JH-Holding Finance SA, 8.25% (8.25% Cash or 10.00% PIK), 12/01/22 (m)

      1,021       1,304,905  

Nidda BondCo GmbH, 5.00%, 09/30/25

      900       1,085,366  

Nidda Healthcare Holding AG, 3.50%, 09/30/24

      1,200       1,450,312  

Platin 1426 GmbH, 5.38%, 06/15/23

      8,424       10,082,237  

ProGroup AG:

     

5.13%, 05/01/22

      573       712,675  

(3 mo. EURIBOR + 2.500%), 2.50%, 03/31/24 (a)

      527       634,001  

Raffinerie Heide GmbH, 6.38%, 12/01/22

      1,775       2,201,286  

RAG-Stiftung, 0.00%, 12/31/18 (d)(j)

      2,200       2,717,638  

Senvion Holding GmbH, 3.88%, 10/25/22

      1,389       1,583,257  

thyssenkrupp AG:

     

2.75%, 03/08/21

      500       637,718  

1.38%, 03/03/22

      2,525       3,073,542  

TLG Immobilien AG, 1.38%, 11/27/24

      2,800       3,346,370  
Security       

Par

(000)

    Value  
Germany (continued)                

Unitymedia GmbH, 3.75%, 01/15/27

  EUR     5,240     $ 6,405,709  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

4.00%, 01/15/25

      3,534       4,475,167  

5.00%, 01/15/25 (b)

  USD     7,530       7,718,250  

4.63%, 02/15/26

  EUR     1,200       1,547,629  

3.50%, 01/15/27

      4,655       5,764,126  

6.25%, 01/15/29

      2,526       3,400,510  

Volkswagen Leasing GmbH, 1.13%, 04/04/24

      2,060       2,487,730  

ZF North America Capital, Inc.:

     

4.50%, 04/29/22 (b)

  USD     19,184       20,143,200  

2.75%, 04/27/23

  EUR     4,500       5,891,726  
     

 

 

 
        235,796,312  
Ghana — 0.0%                

Tullow Oil PLC, 6.00%, 11/01/20 (b)

  USD     1,820       1,836,016  
     

 

 

 
Greece — 0.1%                

National Bank of Greece SA, 2.75%, 10/19/20

  EUR     8,543       10,341,956  

OTE PLC, 3.50%, 07/09/20

      3,311       4,177,484  

Titan Global Finance PLC:

     

3.50%, 06/17/21

      350       443,771  

2.38%, 11/16/24

      1,065       1,277,134  
     

 

 

 
        16,240,345  
Guatemala — 0.0%                

Central American Bottling Corp., 5.75%, 01/31/27 (b)

  USD     2,500       2,628,875  

Energuate Trust, 5.88%, 05/03/27 (b)

      5,000       5,168,250  
     

 

 

 
        7,797,125  
Guernsey — 0.0%                

Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 05/30/23 (b)

      2,331       2,454,374  
     

 

 

 
Honduras — 0.0%                

Inversiones Atlantida SA, 8.25%, 07/28/22 (b)

      4,402       4,550,567  
     

 

 

 
Hong Kong — 0.3%                

Asia View Ltd., 1.50%, 08/08/19 (j)

      12,500       13,715,625  

Bagan Capital Ltd., 0.00%, 09/23/21 (d)(j)

      14,650       15,257,975  

China Nickel Resources Holdings Co. Ltd., 12.00%, 12/12/18 (c)(g)(n)

  HKD     8,000       102,395  

China Overseas Finance Investment Cayman V Ltd., 0.00%, 01/05/23 (d)(j)

  USD     14,200       14,927,750  

Dah Sing Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 4.25%, 11/30/26 (k)

      3,380       3,418,890  

Haitong International Securities Group Ltd., 0.00%, 10/25/21 (d)(j)

  HKD     130,000       16,784,848  

IT Ltd., 6.25%, 05/15/18

  CNH     25,100       3,855,532  

Jiayuan International Group Ltd., 8.25%, 11/14/18

  USD     3,590       3,593,576  

New Lion Bridge Co. Ltd., 9.75%, 10/10/20

      4,805       4,865,063  

REXLot Holdings Ltd.:

     

6.00%, 02/28/17 (g)(j)(n)

  HKD     1,103       98,807  

4.50%, 04/17/19 (g)(j)(n)

      15,091       1,545,251  

Wing Lung Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.750%), 3.75%, 11/22/27 (k)

  USD     14,745       14,596,075  
     

 

 

 
        92,761,787  
India — 0.2%                

AE-Rotor Holding BV, 4.97%, 03/28/18

      293       292,751  

Asian Development Bank, 5.90%, 12/20/22

  INR     598,750       9,244,544  

Food Corp. of India, 9.95%, 03/07/22

      1,500,000       25,412,918  

Glenmark Pharmaceuticals Ltd., 2.00%, 06/28/22 (j)

  USD     5,250       5,801,250  

Housing Development Finance Corp. Ltd., 7.00%, 01/09/20

  INR     350,000       5,466,816  
 

 

 

28    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
India (continued)                  

Lodha Developers International Ltd., 12.00%, 03/13/20

    USD       2,170     $ 2,312,695  

Suzlon Energy Ltd.,
5.75%, 07/16/19 (f)(j)

      5,000       5,125,000  

Vedanta Resources PLC,
7.13%, 05/31/23

      7,575       8,152,973  

Videocon Industries Ltd.,
2.80%, 12/31/20 (j)

      735       293,992  
     

 

 

 
        62,102,939  
Indonesia — 0.2%                  

ABM Investama Tbk PT,
7.13%, 08/01/22

      2,715       2,796,727  

Bukit Makmur Mandiri Utama PT,
7.75%, 02/13/22

      6,250       6,703,381  

Bumi Resources Tbk PT,
0.00%, 12/11/22

      493       162,682  

Eterna Capital Pte Ltd., 6.00% (6.00% Cash or 6.00% PIK), 12/11/22 (m)

      1,325       1,387,765  

Innovate Capital Pte Ltd., 6.00% (6.00% Cash or 6.00% PIK), 12/11/24 (c)(m)

      4,414       2,979,650  

Jababeka International BV,
6.50%, 10/05/23 (b)

      2,916       3,007,994  

Jasa Marga Persero Tbk PT,
7.50%, 12/11/20

    IDR       87,560,000       6,504,074  

Medco Straits Services Pte Ltd.,
8.50%, 08/17/22

    USD       10,500       11,137,067  

Minejesa Capital BV:

     

4.63%, 08/10/30

      13,875       14,189,685  

5.63%, 08/10/37

      1,695       1,807,241  

Modernland Overseas Pte Ltd.,
6.95%, 04/13/24

      5,500       5,613,525  
     

 

 

 
        56,289,791  
Ireland — 0.3%                  

Allied Irish Banks PLC, (5 yr. Euro Swap + 3.950%), 4.13%, 11/26/25 (k)

    EUR       2,389       3,116,862  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

6.00%, 06/30/21 (b)

    USD       3,850       3,951,063  

4.25%, 09/15/22 (b)

      7,408       7,537,640  

4.13%, 05/15/23

    EUR       1,768       2,246,147  

4.63%, 05/15/23 (b)

    USD       24,674       25,174,882  

2.75%, 03/15/24

    EUR       2,775       3,420,638  

6.75%, 05/15/24

      1,459       1,925,073  

4.75%, 07/15/27

    GBP       1,301       1,767,080  

Bank of Ireland, (5 yr. Euro Swap + 3.550%),
4.25%, 06/11/24 (k)

    EUR       1,915       2,421,208  

Bank of Ireland Group PLC:

     

(5yr Note Generic Bid Yield, UK Govt Bonds + 2.700%),
3.13%, 09/19/27 (k)

    GBP       9,950       13,415,585  

(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.500%),
4.13%, 09/19/27 (k)

    USD       14,300       14,249,893  

CRH America Finance, Inc.,
3.40%, 05/09/27 (b)

      5,085       5,083,845  

eircom Finance DAC,
4.50%, 05/31/22

    EUR       1,537       1,907,974  

Europcar Groupe SA,
4.13%, 11/15/24

      1,826       2,190,920  
     

 

 

 
        88,408,810  
Israel — 0.1%                  

Teva Pharmaceutical Finance Netherlands II BV:

     

1.25%, 03/31/23

      2,300       2,512,286  

1.63%, 10/15/28

      2,312       2,292,690  

Teva Pharmaceutical Finance Netherlands III BV:

     

1.70%, 07/19/19

    USD       9,048       8,791,003  

3.15%, 10/01/26 (o)

      3,505       2,893,891  
     

 

 

 
        16,489,870  
Italy — 1.0%                  

Assicurazioni Generali SpA:

     

4.13%, 05/04/26

    EUR       1,600       2,231,194  

(3 mo. EURIBOR + 7.113%),
7.75%, 12/12/42 (k)

      5,200       8,040,771  
Security         

Par

(000)

    Value  
Italy (continued)                  

Assicurazioni Generali SpA: (continued) (3 mo. EURIBOR + 5.350%),
5.50%, 10/27/47 (k)

    EUR       2,038     $ 2,931,933  

Banca IFIS SpA, (5 yr. Euro Swap + 0.000%),
4.50%, 10/17/27 (k)

      4,300       5,217,929  

Banco BPM SpA:

     

4.25%, 01/30/19

      600       746,472  

2.75%, 07/27/20

      2,300       2,872,969  

Buzzi Unicem SpA,
2.13%, 04/28/23

      2,059       2,598,739  

Enel Finance International NV:

     

2.75%, 04/06/23 (b)

    USD       14,910       14,691,649  

3.63%, 05/25/27 (b)

      34,430       34,208,054  

3.50%, 04/06/28 (b)

      23,305       22,795,269  

Intesa Sanpaolo SpA:

     

5.15%, 07/16/20

    EUR       1,750       2,330,340  

3.13%, 07/14/22 (b)

    USD       18,180       18,048,902  

6.63%, 09/13/23

    EUR       610       918,116  

5.02%, 06/26/24 (b)

    USD       26,968       27,613,151  

5.71%, 01/15/26 (b)

      22,090       23,271,442  

Leonardo SpA,
1.50%, 06/07/24

    EUR       2,267       2,722,696  

Meccanica Holdings USA, Inc.:

     

7.38%, 07/15/39 (b)

    USD       676       851,760  

6.25%, 01/15/40 (b)

      478       555,707  

Mercury Bondco PLC:

     

7.13% (7.13% Cash or 7.88% PIK), 05/30/21 (m)

    EUR       2,800       3,467,076  

8.25% (8.25% Cash or 9.00% PIK), 05/30/21 (m)

      2,327       2,896,406  

Schumann SpA,
7.00%, 07/31/23

      3,310       4,060,942  

Snai SpA,
6.38%, 11/07/21

      550       707,906  

Snaitech SpA, (3 mo. EURIBOR + 6.000%),
6.00%, 11/07/21 (a)

      410       499,070  

Telecom Italia Capital SA,
6.38%, 11/15/33

    USD       3,455       4,016,437  

Telecom Italia Finance SA,
7.75%, 01/24/33

    EUR       2,519       4,641,278  

Telecom Italia SpA:

     

1.13%, 03/26/22 (j)

      12,000       14,390,094  

3.25%, 01/16/23

      1,894       2,494,333  

5.88%, 05/19/23

    GBP       800       1,261,372  

3.63%, 01/19/24

    EUR       709       948,419  

5.30%, 05/30/24 (b)

    USD       3,782       4,037,285  

2.38%, 10/12/27

    EUR       16,005       19,173,661  

UniCredit SpA:

     

6.95%, 10/31/22

      3,329       4,911,138  

(5 yr. Euro Swap + 0.000%),
5.75%, 10/28/25 (k)

      5,106       6,810,369  

(5 yr. Euro Swap + 4.316%),
4.38%, 01/03/27 (k)

      10,225       13,293,862  

(USD Swap Rate 11:00 am NY 1 + 0.000%),
5.86%, 06/19/32 (b)(k)

    USD       48,500       51,679,563  
     

 

 

 
        311,936,304  
Jamaica — 0.0%                  

Digicel Group Ltd., 7.13%, 04/01/22 (b)

      1,875       1,736,269  
     

 

 

 
Japan — 1.0%                  

ANA Holdings, Inc.:

     

0.00%, 09/16/22 (d)(j)

    JPY       70,000       667,073  

0.00%, 09/19/24 (d)(j)

      540,000       5,199,911  

Chugoku Electric Power Co., Inc.:

     

0.00%, 03/25/20 (d)(j)

      130,000       1,141,069  

0.00%, 01/25/22 (d)(j)

      570,000       5,197,914  

Daio Paper Corp.,
0.00%, 09/17/20 (d)(j)

      1,840,000       17,595,740  

Ezaki Glico Co. Ltd.,
0.00%, 01/30/24 (d)(j)

      120,000       1,119,592  

HIS Co. Ltd.:

     

0.00%, 08/30/19 (d)(j)

      1,090,000       10,326,825  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      29  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security       

Par

(000)

    Value  
Japan (continued)                

HIS Co. Ltd.: (continued)

     

0.00%, 11/15/24 (d)(j)

  JPY     530,000     $ 5,115,376  

Hosiden Corp., 0.00%, 09/20/24 (d)(j)

      290,000       2,824,717  

Iida Group Holdings Co. Ltd.,
0.00%, 06/18/20 (d)(j)

      940,000       8,749,279  

Iwatani Corp., 0.00%, 10/22/20 (d)(j)

      1,230,000       11,707,788  

Kandenko Co. Ltd.,
0.00%, 03/31/21 (d)(j)

      280,000       2,882,627  

Kansai Paint Co. Ltd.:

     

0.00%, 06/17/19 (d)(j)

      880,000       8,971,822  

0.00%, 06/17/22 (d)(j)

      750,000       7,363,546  

Kyushu Electric Power Co., Inc.,
0.00%, 03/31/22 (d)(j)

      250,000       2,263,146  

LIXIL Group Corp.:

     

0.00%, 03/04/20 (d)(j)

      840,000       7,697,360  

0.00%, 03/04/22 (d)(j)

      370,000       3,495,585  

Mitsubishi Chemical Holdings Corp.:

     

0.00%, 03/30/22 (d)(j)

      1,560,000       15,503,084  

0.00%, 03/29/24 (d)(j)

      420,000       4,286,665  

Mitsubishi UFJ Financial Group, Inc.:

     

3.00%, 02/22/22

  USD     10,257       10,322,160  

2.67%, 07/25/22

      31,550       31,252,029  

Mitsui OSK Lines Ltd.,
0.00%, 04/24/20 (d)(j)

      4,100       3,971,875  

Mizuho Financial Group, Inc.,
2.95%, 02/28/22

      29,352       29,380,722  

Nagoya Railroad Co. Ltd.,
0.00%, 12/11/24 (d)(j)

  JPY     1,370,000       13,414,267  

Resorttrust, Inc.,
0.00%, 12/01/21 (d)(j)

      1,190,000       11,247,837  

SBI Holdings, Inc.,
0.00%, 09/14/22 (d)(j)

      1,420,000       17,801,198  

Shimizu Corp.,
0.00%, 10/16/20 (d)(j)

      500,000       4,828,045  

Shizuoka Bank Ltd.,
0.00%, 04/25/18 (d)(j)

  USD     9,400       9,294,250  

SoftBank Group Corp.:
(USD Swap Rate 11:00 am NY 1 + 4.854%), 6.88% (k)(l)

      2,300       2,326,450  

4.75%, 09/19/24

      2,340       2,317,157  

4.75%, 07/30/25

  EUR     1,422       1,872,637  

5.25%, 07/30/27

      2,340       3,147,506  

Sumitomo Forestry Co. Ltd.,
0.00%, 08/24/18 (d)(j)

  JPY     350,000       3,434,768  

Takashimaya Co. Ltd.,
0.00%, 12/11/18 (d)(j)

      520,000       4,678,500  

Tohoku Electric Power Co., Inc.:

     

0.00%, 12/03/18 (d)(j)

      170,000       1,491,791  

0.00%, 12/03/20 (d)(j)

      1,070,000       9,474,972  

Toray Industries, Inc.,
0.00%, 08/30/19 (d)(j)

      550,000       5,942,978  

Transcosmos, Inc.,

0.00%, 12/22/20 (d)(j)

      420,000       3,788,107  

Universal Entertainment Corp.,
8.50% (6.00% Cash and 2.50% PIK), 08/24/20 (b)(m)

  USD     23,754       24,585,325  

Wessex Ltd.,
0.00%, 06/24/19 (c)(d)

  JPY     450,000       141,779  

Yamaguchi Financial Group, Inc., (3 mo. LIBOR US - 0.500%),
1.17%, 03/26/20 (a)(j)

  USD     10,200       10,641,150  
     

 

 

 
        327,464,622  
Jersey — 0.0%                

LHC3 PLC, 4.13% (4.13% Cash or 4.88% PIK), 08/15/24 (m)

  EUR     5,630       6,898,146  
     

 

 

 
Luxembourg — 0.4%                

Altice Financing SA:

     

6.63%, 02/15/23 (b)

  USD     4,664       4,883,674  

7.50%, 05/15/26 (b)

      7,380       7,859,700  

Altice Finco SA:

     

8.13%, 01/15/24 (b)

      1,000       1,045,000  

4.75%, 01/15/28

  EUR     2,100       2,399,993  

Altice Luxembourg SA, 6.25%, 02/15/25

      3,485       4,097,835  

ArcelorMittal:

     

3.00%, 04/09/21

      500       646,820  

3.13%, 01/14/22

      100       130,974  

ARD Finance SA, 6.63% (6.63% Cash or 7.38% PIK), 09/15/23 (m)

      700       895,745  

B&M European Value Retail SA, 4.13%, 02/01/22

  GBP     675       937,045  
Security         

Par

(000)

    Value  
Luxembourg (continued)                  

DEA Finance SA,
7.50%, 10/15/22

    EUR       1,204     $ 1,605,733  

Dragon Aviation Finance Luxembourg SA,
4.00%, 11/28/22

    USD       12,958       12,927,985  

Eurofins Scientific SE,
2.13%, 07/25/24

    EUR       1,575       1,928,661  

European Financial Stability Facility:

     

0.88%, 07/26/27

      45,880       56,243,681  

1.80%, 07/10/48

      8,671       10,994,725  

INEOS Finance PLC,
4.00%, 05/01/23

      2,031       2,500,856  

INEOS Group Holdings SA,
5.38%, 08/01/24

      1,900       2,431,420  

Kleopatra Holdings 1 SCA, 8.50% (8.50% Cash or 8.50% PIK), 06/30/23 (m)

      1,677       2,041,862  

Matterhorn Telecom SA:

     

3.88%, 05/01/22

      1,800       2,194,603  

(3 mo. EURIBOR + 3.250%),
3.25%, 02/01/23 (a)

      370       444,412  

4.00%, 11/15/27

      2,760       3,212,229  

Swissport Financing S.&#x00e0(continued)

     

6.75%, 12/15/21

      1,243       1,550,426  

9.75%, 12/15/22

      3,500       4,363,384  

Telenet Finance V Luxembourg SCA,
6.75%, 08/15/24

      2,605       3,327,107  

Telenet Finance VI Luxembourg SCA,
4.88%, 07/15/27

      1,400       1,822,743  

Unilabs Subholding AB,
5.75%, 05/15/25

      1,481       1,789,036  

WFS Global Holding SAS,
9.50%, 07/15/22

      2,153       2,753,378  
     

 

 

 
        135,029,027  
Malaysia — 0.1%                  

1MDB Energy Ltd.,
5.99%, 05/11/22

    USD       11,400       12,322,420  

Cahaya Capital Ltd.,
0.00%, 09/18/21 (d)(j)

      5,000       4,993,750  

Gohl Capital Ltd.,
4.25%, 01/24/27

      17,256       17,696,494  
     

 

 

 
        35,012,664  
Mexico — 0.2%                  

Axtel SAB de CV,
6.38%, 11/14/24 (b)

      9,790       10,083,700  

Cydsa SAB de CV,
6.25%, 10/04/27 (b)

      10,000       10,087,500  

Docuformas SAPI de CV,
9.25%, 10/11/22 (b)

      5,000       4,937,500  

Grupo KUO SAB de CV,
5.75%, 07/07/27 (b)

      8,614       8,919,883  

Mexichem SAB de CV,
5.50%, 01/15/48 (b)

      7,585       7,385,894  

Trust F/1401,
6.95%, 01/30/44

      5,000       5,437,500  
     

 

 

 
        46,851,977  
Mongolia — 0.0%                  

Energy Resources LLC,
8.00%, 09/30/22 (e)

      3,281       3,355,188  
     

 

 

 
Netherlands — 0.5%                  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust:

     

3.50%, 05/26/22

      6,791       6,891,914  

3.65%, 07/21/27

      17,015       16,839,129  

Constellium NV,
4.25%, 02/15/26

    EUR       1,027       1,232,365  

Delta Lloyd NV, (3 mo. EURIBOR + 0.000%), 4.38% (k)(l)

      1,650       2,209,199  

Heineken NV,
1.50%, 10/03/29

      3,125       3,755,853  

ING Bank NV,
5.80%, 09/25/23 (b)

    USD       20,068       22,521,023  

ING Groep NV:

     

3.95%, 03/29/27

      13,416       13,986,519  

(5 yr. Euro Swap + 0.000%),
1.63%, 09/26/29 (k)

    EUR       1,700       2,044,234  

Lincoln Finance Ltd.,
6.88%, 04/15/21

      1,425       1,794,586  

Maxeda DIY Holding BV,
6.13%, 07/15/22

      1,133       1,367,283  

NXP BV/NXP Funding LLC:

     

4.13%, 06/01/21 (b)

    USD       44,747       45,641,940  

3.88%, 09/01/22 (b)

      7,185       7,265,831  

United Group BV:

     

4.38%, 07/01/22

    EUR       971       1,209,692  

(3 mo. EURIBOR + 4.380%),
4.38%, 07/01/23 (a)

      1,581       1,908,642  
 

 

 

30    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Netherlands (continued)                  

United Group BV: (continued)

     

4.88%, 07/01/24

    EUR       1,334     $ 1,662,698  

UPCB Finance IV Ltd.,
4.00%, 01/15/27

      2,610       3,316,207  

Wereldhave NV, 1.00%, 05/22/19 (j)

      1,200       1,454,214  

Ziggo Bond Co. BV, 7.13%, 05/15/24

      810       1,067,178  

Ziggo Bond Finance BV,
4.63%, 01/15/25

      1,073       1,325,852  

Ziggo Secured Finance BV:

     

4.25%, 01/15/27

      2,910       3,623,886  

5.50%, 01/15/27 (b)

    USD       29,094       28,875,795  
     

 

 

 
        169,994,040  
Norway — 0.0%                  

Silk Bidco AS, 7.50%, 02/01/22

    EUR       1,850       2,297,051  
     

 

 

 
Panama — 0.0%                  

AES Panama SRL,
6.00%, 06/25/22 (b)

    USD       3,750       3,932,813  
     

 

 

 
Peru — 0.1%                  

Inkia Energy Ltd., 5.88%, 11/09/27 (b)

      8,721       8,771,233  

Orazul Energy Egenor S en C por A,
5.63%, 04/28/27 (b)

      10,000       9,840,000  

VM Holding SA, 5.38%, 05/04/27 (b)

      10,000       10,600,000  
     

 

 

 
        29,211,233  
Philippines — 0.1%                  

AYC Finance Ltd., 0.50%, 05/02/19 (j)

      6,800       7,548,000  

Union Bank of the Philippines,
3.37%, 11/29/22

      13,345       13,335,031  

VLL International, Inc.,
5.75%, 11/28/24

      4,445       4,513,502  
     

 

 

 
        25,396,533  
Portugal — 0.1%                  

Banco Espirito Santo SA:

     

2.63%, 05/08/17 (g)(n)

    EUR       6,100       2,195,719  

4.75%, 01/15/18 (g)(n)

      15,500       5,439,804  

4.00%, 01/21/19 (g)(n)

      19,000       6,839,125  
     

 

 

 
        14,474,648  
Singapore — 0.0%                  

Eterna Capital Pte Ltd., 8.00% (8.00% Cash or 8.00% PIK), 12/11/22 (c)(m)

    USD       3,144       3,034,324  

Suntec Real Estate Investment Trust,
1.75%, 11/30/24 (j)

    SGD       14,250       10,842,338  
     

 

 

 
        13,876,662  
South Africa — 0.0%                  

Sappi Papier Holding GmbH,
4.00%, 04/01/23

    EUR       440       550,787  
     

 

 

 
South Korea — 0.3%                  

GS Engineering & Construction Corp.,
4.50%, 07/21/21 (j)

    USD       8,200       8,938,000  

Hyundai Capital Services, Inc.,
3.00%, 08/29/22

      12,400       12,144,560  

Hyundai Heavy Industries Co. Ltd.,
0.00%, 06/29/20 (d)(j)

      2,400       2,361,000  

Kakao Corp., 0.00%, 05/11/21 (d)(j)

    KRW       11,600,000       12,366,074  

Korea Housing Finance Corp.,
3.00%, 10/31/22

      25,500       25,290,135  

Woori Bank, 4.75%, 04/30/24

    USD       18,700       19,588,942  
     

 

 

 
        80,688,711  
Spain — 0.3%                  

Banco de Sabadell SA,
5.63%, 05/06/26

    EUR       8,600       12,073,267  

Bankia SA:

     

(5 yr. Euro Swap + 0.000%),
4.00%, 05/22/24 (k)

      5,900       7,362,498  

(5 yr. Euro Swap + 0.000%),
3.38%, 03/15/27 (k)

      17,500       22,032,354  

CaixaBank SA:

     

(5 yr. Euro Swap + 3.350%),
3.50%, 02/15/27 (k)

      15,800       20,075,122  

(5 yr. Euro Swap + 0.000%),
2.75%, 07/14/28 (k)

      7,600       9,279,470  

Cellnex Telecom SA, 2.38%, 01/16/24

      3,200       3,876,368  
Security         

Par

(000)

    Value  
Spain (continued)                  

Cirsa Funding Luxembourg SA:

     

5.75%, 05/15/21

    EUR       400     $ 500,840  

5.88%, 05/15/23

      2,170       2,711,250  

Codere Finance 2 Luxembourg SA:

     

6.75%, 11/01/21

      4,029       5,096,387  

7.63%, 11/01/21 (b)

    USD       300       304,560  

Gestamp Funding Luxembourg SA,
3.50%, 05/15/23

    EUR       550       689,882  

Grifols SA, 3.20%, 05/01/25

      800       974,304  

Grupo-Antolin Irausa SA, 3.25%, 04/30/24

      1,237       1,543,430  

Inmobiliaria Colonial Socimi SA:

     

1.63%, 11/28/25

      1,400       1,662,456  

2.50%, 11/28/29

      1,800       2,136,571  

Masaria Investments SAU,
5.00%, 09/15/24

      2,793       3,367,927  

Merlin Properties Socimi SA,
2.38%, 09/18/29

      3,000       3,607,361  

NH Hotel Group SA, 3.75%, 10/01/23

      1,078       1,363,927  
     

 

 

 
        98,657,974  
Sweden — 0.0%                  

Intrum Justitia AB:

     

(3 mo. EURIBOR + 2.625%),
2.63%, 07/15/22 (a)

      673       812,776  

2.75%, 07/15/22

      1,820       2,194,595  

3.13%, 07/15/24

      500       601,352  

Ovako AB, 5.00%, 10/05/22

      4,100       5,002,262  

Telefonaktiebolaget LM Ericsson,
1.88%, 03/01/24

      1,160       1,355,902  

Verisure Holding AB, 6.00%, 11/01/22

      396       504,241  

Verisure Midholding AB, 5.75%, 12/01/23

      1,090       1,316,778  
     

 

 

 
        11,787,906  
Switzerland — 0.3%                  

Credit Suisse Group AG:

     

3.57%, 01/09/23 (b)

    USD       29,000       29,484,621  

(3 mo. LIBOR US + 1.200%),
3.00%, 12/14/23 (b)(k)

      12,932       12,780,116  

4.28%, 01/09/28 (b)

      9,690       10,102,792  

EFG International Guernsey Ltd., (5 yr. Swap Semi 30/360 US + 2.978%), 5.00%, 04/05/27 (k)

      6,300       6,441,744  

Glencore Finance Europe Ltd.,
1.88%, 09/13/23

    EUR       1,700       2,114,446  

LafargeHolcim Finance U.S. LLC:

     

3.50%, 09/22/26 (b)

    USD       3,213       3,167,894  

4.75%, 09/22/46 (b)

      5,935       6,287,692  

UBS Group Funding Switzerland AG, 4.25%, 03/23/28(b)

      29,949       31,556,917  
     

 

 

 
        101,936,222  
Taiwan — 0.1%                  

Hon Hai Precision Industry Co. Ltd.,
0.00%, 11/06/22 (d)(j)

      6,400       6,384,000  

Neo Solar Power Corp.,
0.00%, 10/27/19 (d)(j)

      6,700       6,691,625  

TPK Holding Co. Ltd., 0.00%, 04/08/20 (d)(j)

      21,000       21,577,500  

Zhen Ding Technology Holding Ltd.,
0.00%, 06/26/19 (d)(j)

      5,800       5,850,750  
     

 

 

 
        40,503,875  
Thailand — 0.1%                  

Bangkok Dusit Medical Services PCL,
0.00%, 09/18/19 (d)(j)

    THB       256,000       8,365,756  

CP Foods Holdings Ltd., 0.50%, 09/22/21 (j)

    USD       12,200       13,481,000  

PTTEP Treasury Center Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.724%), 4.60% (k)(l)

      9,400       9,533,170  

Singha Estate PCL, 2.00%, 07/20/22 (j)

      9,700       9,639,375  
     

 

 

 
        41,019,301  
Turkey — 0.0%                  

Coca-Cola Icecek AS, 4.22%, 09/19/24 (b)

      6,787       6,889,830  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      31  


Consolidated Schedule of Investments  (continued)    BlackRock Strategic Income Opportunities Portfolio
December 31, 2017    (Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Turkey (continued)                  

Turkish Airlines Pass-Through Trust,
Series 2015-1, Class A,
4.20%, 03/15/27 (b)

    USD       7,353     $ 7,150,960  
     

 

 

 
        14,040,790  
United Arab Emirates — 0.0%                  

Emirates Reit Sukuk Ltd., 5.13%, 12/12/22

      6,900       6,889,719  
     

 

 

 
United Kingdom — 2.2%                  

AA Bond Co. Ltd., 2.75%, 07/31/23

    GBP       8,533       11,412,209  

Anglo American Capital PLC:

     

4.88%, 05/14/25 (b)

    USD       6,152       6,519,064  

4.00%, 09/11/27 (b)

      23,230       23,074,805  

Arrow Global Finance PLC:

     

5.13%, 09/15/24

    GBP       525       715,738  

(3 mo. EURIBOR + 2.875%),
2.88%, 04/01/25 (a)

    EUR       847       1,006,046  

AstraZeneca PLC, 2.38%, 06/12/22

    USD       22,235       21,971,313  

Barclays PLC:

     

5.20%, 05/12/26

      35,090       37,418,643  

(5 yr. Euro Swap + 1.900%),
2.00%, 02/07/28 (k)

    EUR       15,766