Schedule of Investments (unaudited)
August 31, 2022
BlackRock Event Driven Equity Fund
(Percentages shown are based on Net Assets)
Security | Shares | Value | |
Common Stocks | |||
Aerospace & Defense — 2.0% | |||
Howmet Aerospace, Inc. | 4,992,098 | $ 176,870,032 | |
Automobiles — 0.0% | |||
Rivian Automotive, Inc., Class A(a)(b) | 109,546 | 3,583,250 | |
Banks — 0.0% | |||
Valley National Bancorp | 154,748 | 1,798,172 | |
Biotechnology — 0.0% | |||
Gracell Biotechnologies, Inc., ADR(a)(b) | 76,274 | 191,448 | |
Lyell Immunopharma, Inc.(a) | 25,749 | 172,518 | |
363,966 | |||
Capital Markets — 0.3% | |||
KKR Acquisition Holdings I Corp.(a) | 450,000 | 4,437,000 | |
Orion Acquisition Corp.(a) | 1,835,000 | 18,056,400 | |
Robinhood Markets, Inc., Class A(a)(b) | 73,059 | 697,713 | |
23,191,113 | |||
Chemicals — 1.8% | |||
Akzo Nobel NV | 33,254 | 2,095,048 | |
Axalta Coating Systems Ltd.(a) | 672,225 | 17,309,794 | |
Dow, Inc. | 6,115 | 311,865 | |
DuPont de Nemours, Inc. | 275,456 | 15,326,372 | |
International Flavors & Fragrances, Inc. | 212,309 | 23,455,898 | |
Olin Corp. | 1,403,103 | 76,693,610 | |
Sherwin-Williams Co. | 89,134 | 20,688,001 | |
155,880,588 | |||
Commercial Services & Supplies — 0.7% | |||
ACV Auctions, Inc., Class A(a) | 57,823 | 492,074 | |
GFL Environmental, Inc.(b) | 2,047,809 | 57,543,433 | |
58,035,507 | |||
Consumer Finance — 0.0% | |||
Lufax Holding Ltd., ADR | 836,964 | 3,657,533 | |
Diversified Consumer Services — 0.0% | |||
Duolingo, Inc.(a) | 8,530 | 801,991 | |
Electronic Equipment, Instruments & Components — 0.2% | |||
Keysight Technologies, Inc.(a) | 111,208 | 18,225,879 | |
Entertainment — 0.1% | |||
Netflix, Inc.(a) | 23,670 | 5,291,665 | |
ROBLOX Corp., Class A(a) | 38,719 | 1,514,300 | |
6,805,965 | |||
Equity Real Estate Investment Trusts (REITs) — 0.3% | |||
Orion Office REIT, Inc. | 2,434 | 24,024 | |
Realty Income Corp. | 24,344 | 1,662,208 | |
Welltower, Inc. | 319,067 | 24,456,485 | |
26,142,717 | |||
Food Products — 0.0% | |||
Sovos Brands, Inc.(a) | 169,765 | 2,592,312 | |
Health Care Equipment & Supplies — 0.7% | |||
Cooper Cos., Inc. | 10,193 | 2,929,876 | |
Envista Holdings Corp.(a)(b) | 1,629,163 | 60,425,656 | |
Talis Biomedical Corp.(a) | 12,231 | 11,008 | |
63,366,540 | |||
Health Care Providers & Services — 0.8% | |||
Brookdale Senior Living, Inc.(a) | 7,622,596 | 33,539,422 | |
Cigna Corp. | 118,616 | 33,621,705 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Elevance Health, Inc. | 2,711 | $ 1,315,133 | |
Innovage Holding Corp.(a) | 56,735 | 208,218 | |
68,684,478 | |||
Health Care Technology — 0.1% | |||
Definitive Healthcare Corp.(a) | 276,706 | 5,556,257 | |
Hotels, Restaurants & Leisure — 0.7% | |||
Caesars Entertainment, Inc.(a)(b) | 1,346,465 | 58,059,571 | |
Dutch Bros, Inc., Class A(a) | 4,279 | 156,183 | |
Sweetgreen, Inc., Class A(a) | 125,026 | 2,114,190 | |
60,329,944 | |||
Insurance — 0.0% | |||
Root, Inc., Class A(a) | 1,572 | 19,476 | |
Interactive Media & Services — 0.1% | |||
Meta Platforms, Inc., Class A(a) | 41,923 | 6,830,514 | |
Internet & Direct Marketing Retail — 0.0% | |||
ATRenew, Inc., ADR(a)(b) | 336,087 | 1,004,900 | |
ContextLogic, Inc., Class A(a) | 75,922 | 98,699 | |
1,103,599 | |||
IT Services — 0.2% | |||
Cloudflare, Inc., Class A(a) | 98,236 | 6,146,626 | |
Remitly Global, Inc.(a) | 80,898 | 889,878 | |
Shopify, Inc., Class A(a) | 112,200 | 3,551,130 | |
Snowflake, Inc., Class A(a) | 37,397 | 6,766,987 | |
Thoughtworks Holding, Inc.(a) | 143,416 | 1,887,355 | |
Toast, Inc., Class A(a)(b) | 57,147 | 1,081,793 | |
20,323,769 | |||
Life Sciences Tools & Services — 1.7% | |||
Danaher Corp. | 251,985 | 68,013,271 | |
QIAGEN NV(a) | 1,625,823 | 73,741,621 | |
Sotera Health Co.(a) | 557,446 | 9,426,412 | |
151,181,304 | |||
Media — 0.3% | |||
Altice U.S.A., Inc., Class A(a) | 275,000 | 2,750,000 | |
Charter Communications, Inc., Class A(a) | 51,548 | 21,270,251 | |
24,020,251 | |||
Metals & Mining — 0.3% | |||
Arconic Corp.(a) | 1,201,530 | 30,290,571 | |
Oil, Gas & Consumable Fuels — 0.3% | |||
Williams Cos., Inc. | 760,439 | 25,877,739 | |
Personal Products — 0.8% | |||
Coty, Inc., Class A(a)(b) | 9,490,448 | 71,273,265 | |
Pharmaceuticals — 0.4% | |||
Elanco Animal Health, Inc.(a) | 2,227,666 | 33,704,586 | |
Pfizer, Inc. | 100,725 | 4,555,792 | |
Viatris, Inc. | 12,498 | 119,356 | |
38,379,734 | |||
Professional Services — 0.1% | |||
Legalzoom.com, Inc.(a)(b) | 229,886 | 2,367,826 | |
Sterling Check Corp.(a)(b) | 393,042 | 8,363,934 | |
10,731,760 | |||
Road & Rail — 0.1% | |||
Hertz Global Holdings, Inc.(b)(c) | 225,000 | 4,218,750 | |
Hertz Global Holdings, Inc.(a) | 25,000 | 461,500 | |
4,680,250 |
1
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
(Percentages shown are based on Net Assets)
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment — 0.6% | |||
GLOBALFOUNDRIES, Inc.(a)(b) | 647,990 | $ 38,762,762 | |
Lattice Semiconductor Corp.(a) | 177,451 | 9,564,609 | |
48,327,371 | |||
Software — 1.7% | |||
Crowdstrike Holdings, Inc., Class A(a) | 54,917 | 10,028,393 | |
DoubleVerify Holdings, Inc.(a)(b) | 2,602,642 | 67,278,296 | |
Elastic NV(a) | 109,221 | 9,164,734 | |
Enfusion, Inc., Class A(a)(b) | 45,748 | 566,818 | |
EngageSmart, Inc.(a) | 127,427 | 2,544,717 | |
Five9, Inc.(a) | 82,287 | 8,073,178 | |
ForgeRock, Inc., Class A(a)(b) | 157,555 | 2,687,888 | |
Freshworks, Inc., Class A(a) | 87,497 | 1,190,834 | |
Gitlab, Inc., Class A(a)(b) | 40,380 | 2,417,551 | |
Informatica, Inc., Class A(a)(b) | 636,290 | 14,042,920 | |
ON24, Inc.(a) | 55,854 | 500,452 | |
Riskified Ltd., Class A(a) | 13,445 | 68,032 | |
Salesforce, Inc.(a) | 44,837 | 6,999,952 | |
ServiceNow, Inc.(a) | 17,365 | 7,547,176 | |
Tuya, Inc., ADR(a)(b) | 77,752 | 102,633 | |
Unity Software, Inc.(a) | 96,252 | 4,111,885 | |
Workday, Inc., Class A(a) | 40,832 | 6,719,314 | |
Zoom Video Communications, Inc., Class A(a)(b) | 68,769 | 5,529,028 | |
149,573,801 | |||
Specialty Retail — 0.1% | |||
Bath & Body Works, Inc. | 181,171 | 6,763,113 | |
Carvana Co.(a) | 63,947 | 2,109,612 | |
8,872,725 | |||
Textiles, Apparel & Luxury Goods — 0.0% | |||
On Holding AG, Class A(a) | 143,469 | 2,867,945 | |
Tobacco — 0.4% | |||
RLX Technology, Inc., ADR(a) | 470,394 | 672,663 | |
Swedish Match AB | 3,359,063 | 33,722,101 | |
34,394,764 | |||
Trading Companies & Distributors — 0.0% | |||
Azelis Group NV | 165,292 | 3,275,693 | |
Transportation Infrastructure — 0.1% | |||
Atlantia SpA | 224,909 | 5,150,071 | |
Wireless Telecommunication Services — 0.3% | |||
T-Mobile U.S., Inc.(a) | 159,392 | 22,946,072 | |
Total Common Stocks — 15.2% (Cost: $1,233,740,929) | 1,336,006,918 |
Par (000) | |||
Corporate Bonds | |||
Aerospace & Defense — 0.4% | |||
Bombardier, Inc. | |||
7.50%, 03/15/25(d) | USD | 2,500 | 2,445,350 |
7.13%, 06/15/26(d) | 20,669 | 19,695,077 | |
6.00%, 02/15/28(d) | 5,291 | 4,677,535 | |
TransDigm, Inc. | |||
8.00%, 12/15/25(d) | 2,714 | 2,779,679 | |
4.63%, 01/15/29 | 3,670 | 3,103,425 | |
32,701,066 | |||
Airlines — 0.2% | |||
Latam Finance Ltd., 6.88%, 04/11/24(a)(e)(f) | 16,800 | 15,758,400 |
Security | Par (000) | Value | |
Chemicals — 0.1% | |||
Iris Holding, Inc., 10.00%, 12/15/28(d) | USD | 5,000 | $ 4,380,050 |
Consumer Finance — 0.0% | |||
SoFi Technologies, Inc., 0.00%, 10/15/26(d)(g)(h) | 4,126 | 2,989,287 | |
Diversified Consumer Services — 0.1% | |||
Sotheby’s, 7.38%, 10/15/27(d) | 8,657 | 8,161,127 | |
Electric Utilities — 0.0% | |||
Energy Harbor Corp. Escrow, 0.01%, 01/06/34(a)(c)(e) | 5,000 | 25,000 | |
Health Care Equipment & Supplies — 0.3% | |||
Envista Holdings Corp., 2.38%, 06/01/25(g) | 12,333 | 22,698,886 | |
Health Care Providers & Services — 0.3% | |||
Brookdale Senior Living, Inc., 2.00%, 10/15/26(d)(g) | 7,904 | 6,748,040 | |
CHS/Community Health Systems, Inc., 5.63%, 03/15/27(d) | 7,497 | 6,357,419 | |
Endo Luxembourg Finance Co. I S.à r.l./Endo U.S., Inc., 6.13%, 04/01/29(a)(d)(e) | 3,219 | 2,760,292 | |
Tenet Healthcare Corp., 4.25%, 06/01/29(d) | 13,767 | 11,871,904 | |
27,737,655 | |||
Hotels, Restaurants & Leisure — 0.2% | |||
Caesars Entertainment, Inc. | |||
6.25%, 07/01/25(d) | 9,793 | 9,561,983 | |
8.13%, 07/01/27(d) | 11,135 | 10,939,804 | |
20,501,787 | |||
Internet & Direct Marketing Retail — 0.1% | |||
Spotify U.S.A., Inc., 0.00%, 03/15/26(g)(h) | 5,784 | 4,713,960 | |
Wayfair, Inc., 0.63%, 10/01/25(g) | 8,595 | 6,049,068 | |
10,763,028 | |||
IT Services — 0.1% | |||
Block, Inc., 0.25%, 11/01/27(g) | 6,053 | 4,673,460 | |
Repay Holdings Corp., 0.00%, 02/01/26(d)(g)(h) | 3,198 | 2,420,271 | |
Shift4 Payments, Inc., 0.00%, 12/15/25(g)(h) | 2,448 | 2,209,320 | |
9,303,051 | |||
Leisure Products — 0.0% | |||
Peloton Interactive, Inc., 0.00%, 02/15/26(g)(h) | 2,091 | 1,437,720 | |
Machinery — 0.0% | |||
Middleby Corp., 1.00%, 09/01/25(g) | 1,989 | 2,467,354 | |
Media — 0.1% | |||
Audacy Capital Corp., 6.75%, 03/31/29(d) | 6,808 | 2,047,494 | |
Cengage Learning, Inc., 9.50%, 06/15/24(d) | 4,500 | 4,324,781 | |
6,372,275 | |||
Metals & Mining — 0.1% | |||
ATI, Inc., 3.50%, 06/15/25(g) | 4,240 | 8,605,080 | |
Personal Products — 0.2% | |||
Coty, Inc., 5.00%, 04/15/26(d) | 16,418 | 15,556,055 | |
Professional Services — 0.1% | |||
GrubHub Holdings, Inc., 5.50%, 07/01/27(d) | 2,000 | 1,560,000 | |
Upwork, Inc., 0.25%, 08/15/26(g) | 3,470 | 2,690,045 | |
4,250,045 | |||
Real Estate Management & Development — 0.0% | |||
Redfin Corp., 0.00%, 10/15/25(g)(h) | 4,010 | 2,547,457 | |
Semiconductors & Semiconductor Equipment — 0.0% | |||
SolarEdge Technologies, Inc., 0.00%, 09/15/25(g)(h) | 3,037 | 3,715,769 |
2
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
(Percentages shown are based on Net Assets)
Security | Par (000) | Value | |
Software — 0.2% | |||
Bentley Systems, Inc., 0.13%, 01/15/26(g) | USD | 3,616 | $ 3,281,661 |
Bill.com Holdings, Inc., 0.00%, 12/01/25(g)(h) | 6,091 | 7,571,113 | |
Box, Inc., 0.00%, 01/15/26(g)(h) | 2,399 | 2,761,249 | |
RingCentral, Inc., 0.00%, 03/15/26(g)(h) | 10,016 | 7,832,512 | |
21,446,535 | |||
Specialty Retail — 0.1% | |||
Staples, Inc. | |||
7.50%, 04/15/26(d) | 4,694 | 3,966,712 | |
10.75%, 04/15/27(d) | 5,681 | 4,175,535 | |
8,142,247 | |||
Wireless Telecommunication Services — 0.2% | |||
T-Mobile U.S.A., Inc., 2.63%, 04/15/26 | 20,320 | 18,803,620 | |
Total Corporate Bonds — 2.8% (Cost: $257,097,691) | 248,363,494 | ||
Floating Rate Loan Interests | |||
Diversified Consumer Services — 0.0% | |||
Watts Guerra LLP, Tranche 1, 9.00%, 10/07/23(c)(i) | 2,652 | 2,611,734 | |
Health Care Equipment & Supplies — 0.6% | |||
Medline Borrower LP, Initial Dollar Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 5.77%, 10/23/28(j) | 53,267 | 50,726,753 | |
Health Care Providers & Services — 0.1% | |||
Endo Luxembourg Finance Co. I S.à r.l., 2021 Term Loan, (3 mo. PRIME US + 6.00%, 0.75% Floor), 11.50%, 03/27/28(j) | 4,950 | 4,312,578 | |
Leisure Products — 0.0% | |||
NorthPole Newco S.à r.l., Tranche B-1 Term Loan, (3 mo. LIBOR US + 7.00%, 0.00% Floor), 7.15%, 03/18/25(j) | 4,201 | 371,073 | |
Personal Products — 0.3% | |||
Coty, Inc., Term Loan B, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 4.62%, 04/07/25(j) | 30,730 | 29,724,665 | |
Specialty Retail — 0.1% | |||
Torrid LLC | |||
Closing Date Term Loan, (3 mo. LIBOR US + 5.50%, 0.75% Floor), 8.87%, 06/14/28(j) | 9,500 | 8,906,250 | |
Closing Date Term Loan, (3 mo. LIBOR US + 5.50%, 0.75% Floor), 8.31%, 06/14/28(j) | 125 | 117,188 | |
9,023,438 | |||
Total Floating Rate Loan Interests — 1.1% (Cost: $104,312,151) | 96,770,241 |
Shares | |||
Investment Companies | |||
Equity Funds — 0.0% | |||
Altaba, Inc. Escrow | 445,570 | 1,667,769 | |
Fixed-Income Funds — 0.4% | |||
iShares iBoxx High Yield Corporate Bond ETF(b)(k) | 440,927 | 32,862,289 | |
Total Investment Companies — 0.4% (Cost: $35,169,677) | 34,530,058 |
Security | Shares | Value | |
Preferred Securities | |||
Preferred Stocks — 0.7% | |||
Life Sciences Tools & Services — 0.3% | |||
Danaher Corp., Series B, 5.00%(g) | 16,721 | $ 23,526,614 | |
Pharmaceuticals — 0.0% | |||
Elanco Animal Health, Inc., 5.00%(g) | 155,400 | 3,880,338 | |
Software — 0.0% | |||
DataRobot, Inc., Series F (Acquired 10/27/20, cost $2,186,006)(a)(c)(l) | 166,337 | 1,869,628 | |
Trading Companies & Distributors — 0.2% | |||
WESCO International, Inc., Series A, 10.63%(j)(m) | 741,828 | 20,637,655 | |
Wireless Telecommunication Services — 0.2% | |||
2020 Cash Mandatory Exchangeable Trust, 5.25%(d)(g) | 12,256 | 14,604,005 | |
Total Preferred Securities — 0.7% (Cost: $58,405,991) | 64,518,240 | ||
Total Long-Term Investments — 20.2% (Cost: $1,688,726,439) | 1,780,188,951 | ||
Short-Term Securities | |||
Money Market Funds — 80.4% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.03%(k)(n) | 7,012,732,989 | 7,012,732,989 | |
SL Liquidity Series, LLC, Money Market Series, 2.47%(k)(n)(o) | 79,239,231 | 79,247,155 | |
7,091,980,144 |
Security | Par (000) | ||
Time Deposits — 0.1% | |||
Australia — 0.0% | |||
ANZ, Hong Kong, 0.83%, 09/01/22 | AUD | 1 | 1,006 |
France — 0.1% | |||
BNP Paribas S.A., 0.87%, 09/01/22 | GBP | 3,624 | 4,209,627 |
Switzerland — 0.0% | |||
Brown Brothers Harriman & Co., (0.67)%, 09/01/22 | CHF | 1 | 1,120 |
4,211,753 | |||
Total Short-Term Securities — 80.5% (Cost: $7,096,207,638) | 7,096,191,897 | ||
Total Investments — 100.7% (Cost: $8,784,934,077) | 8,876,380,848 | ||
Liabilities in Excess of Other Assets — (0.7)% | (58,069,302) | ||
Net Assets — 100.0% | $ 8,818,311,546 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(e) | Issuer filed for bankruptcy and/or is in default. |
(f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(g) | Convertible security. |
(h) | Zero-coupon bond. |
(i) | Fixed rate. |
3
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
(j) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(k) | Affiliate of the Fund. |
(l) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,869,628, representing 0.0% of its net assets as of period end, and an original cost of $2,186,006. |
(m) | Perpetual security with no stated maturity date. |
(n) | Annualized 7-day yield as of period end. |
(o) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 05/31/22 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 08/31/22 | Shares Held at 08/31/22 | Income | Capital Gain Distributions from Underlying Funds | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ 7,045,294,075 | $ — | $ (32,561,086)(a) | $ — | $ — | $ 7,012,732,989 | 7,012,732,989 | $ 26,424,607 | $ — | |||
iShares iBoxx High Yield Corporate Bond ETF | 35,053,697 | — | — | — | (2,191,408) | 32,862,289 | 440,927 | 414,442 | — | |||
SL Liquidity Series, LLC, Money Market Series | 95,800,149 | — | (16,572,340)(a) | 1,111 | 18,235 | 79,247,155 | 79,239,231 | 217,115(b) | — | |||
$ 1,111 | $ (2,173,173) | $ 7,124,842,433 | $ 27,056,164 | $ — |
(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Short Contracts | ||||
NASDAQ 100 E-Mini Index | 71 | 09/16/22 | $ 17,445 | $ (1,202,075) |
S&P 500 E-Mini Index | 759 | 09/16/22 | 150,149 | (6,923,372) |
$ (8,125,447) |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CDX.NA.HY.38.V2 | 5.00% | Quarterly | 06/20/27 | USD | 49,500 | $ 111,516 | $ (2,077,291) | $ 2,188,807 |
4
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
OTC Total Return Swaps
Reference Entity | Payment Frequency | Counterparty(ac) | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage | |
Equity Securities Long/Short | Monthly | Barclays Bank PLC(a) | 09/22/22 | $ 595,217,547 | $ (4,565,911) (b) | $ 590,752,528 | 6.8% | |
Monthly | Barclays Bank PLC(c) | 09/28/22 | 11,827,416 | 465,731 (d) | 12,426,680 | 1.1 | ||
Monthly | BNP Paribas SA(e) | 01/19/24–09/02/24 | 203,106,278 | 5,049,790 (f) | 207,352,503 | 2.6 | ||
Monthly | Citibank N.A.(g) | 02/24/23–03/04/25 | 67,150,754 | (2,152,713) (h) | 65,425,223 | 0.8 | ||
Monthly | Citibank N.A.(i) | 02/24/23 | (2,083,585) | 561,062 (j) | (1,526,617) | 0.0 | ||
Monthly | Citibank N.A.(k) | 02/24/23 | (285,599,153) | (37,213,889) (l) | (315,728,736) | 3.7 | ||
Monthly | Goldman Sachs Bank USA(m) | 02/27/23 | 225,530,669 | 5,697,783 (n) | 232,026,130 | 2.7 | ||
Monthly | Goldman Sachs Bank USA(o) | 02/27/23 | 54,244,830 | 9,921,625 (p) | 64,514,555 | 0.6 | ||
Monthly | JPMorgan Chase Bank N.A.(q) | 12/21/22–10/03/23 | 815,923,645 | (9,576,696) (r) | 803,801,892 | 10.4 | ||
Monthly | JPMorgan Chase Bank N.A.(s) | 05/02/23–09/20/23 | 46,800,159 | (3,196,082) (t) | 42,534,043 | 0.7 | ||
Monthly | Merrill Lynch International(u) | 02/17/23–10/18/23 | 68,903,845 | (3,363) (v) | 68,891,142 | 0.8 | ||
Monthly | Morgan Stanley & Co. International PLC(w) | 02/22/23–07/06/28 | (236,357,410) | 59,725,505 (x) | (175,696,948) | 9.4 | ||
Monthly | Morgan Stanley & Co. International PLC(y) | 05/14/30 | (14,348,654) | (1,900,614) (z) | (16,305,691) | 0.2 | ||
Monthly | Morgan Stanley & Co. International PLC(aa) | 03/17/31–08/24/32 | 346,263,511 | 5,599,322 (ab) | 349,823,847 | 4.5 | ||
$ 28,411,550 | $1,928,290,551 |
(b) | Amount includes $(100,892) of net dividends and financing fees. |
(d) | Amount includes $(133,533) of net dividends and financing fees. |
(f) | Amount includes $803,565 of net dividends and financing fees. |
(h) | Amount includes $(427,182) of net dividends and financing fees. |
(j) | Amount includes $4,094 of net dividends and financing fees. |
(l) | Amount includes $(7,084,306) of net dividends and financing fees. |
(n) | Amount includes $(797,678) of net dividends and financing fees. |
(p) | Amount includes $(348,100) of net dividends and financing fees. |
(r) | Amount includes $2,545,057 of net dividends and financing fees. |
(t) | Amount includes $1,070,034 of net dividends and financing fees. |
(v) | Amount includes $9,340 of net dividends and financing fees. |
(x) | Amount includes $(934,957) of net dividends and financing fees. |
(z) | Amount includes $56,423 of net dividends and financing fees. |
(ab) | Amount includes $2,038,986 of net dividends and financing fees. |
(ac) | The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | |||
(a) | (c) | (e) | |
Range: | 20-26 basis points | 15-20 basis points | 15-26 basis points |
Benchmarks: | Euro Short-Term Rate: | USD Overnight Bank Funding Rate | Euro Short-Term Rate: |
EUR 1 Day | EUR 1 Day | ||
Sterling Overnight Index Average: | Sterling Overnight Index Average: | ||
GBP 1 Day | GBP 1 Day | ||
USD Overnight Bank Funding Rate | Stockholm Interbank Offer Rate: | ||
SEK 1 Week | |||
USD Overnight Bank Funding Rate | |||
(g) | (i) | (k) | |
Range: | 15-25 basis points | 15 basis points | 15-422 basis points |
Benchmarks: | USD Overnight Bank Funding Rate | USD Overnight Bank Funding Rate | USD Overnight Bank Funding Rate |
(m) | (o) | (q) | |
Range: | 20-25 basis points | 20 basis points | 15-20 basis points |
Benchmarks: | Sterling Overnight Index Average: | U.S. Overnight Federal Funds Effective Rate | RBA Interbank Overnight Cash Rate |
GBP 1 Day | USD Overnight Bank Funding Rate | ||
U.S. Overnight Federal Funds Effective Rate | |||
5
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | |||
(s) | (u) | (w) | |
Range: | 15-82 basis points | 20-26 basis points | 15-133 basis points |
Benchmarks: | USD Overnight Bank Funding Rate | Euro Short-Term Rate: | U.S. Overnight Federal Funds Effective Rate |
EUR 1 Day | |||
Sterling Overnight Index Average: | |||
GBP 1 Day | |||
USD Overnight Bank Funding Rate | |||
(y) | (aa) | ||
Range: | 15 basis points | 15-25 basis points | |
Benchmark: | U.S. Overnight Federal Funds Effective Rate | Bank of Canada Overnight Rate Target | |
Sterling Overnight Index Average: | |||
GBP 1 Day | |||
U.S. Overnight Federal Funds Effective Rate | |||
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Barclays Bank PLC as of period end, termination date September 22, 2022:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Meggitt PLC | 12,250,257 | $ 113,535,833 | 19.2% | |
Banks | ||||
First Horizon Corp. | 7,213,087 | 163,160,028 | 27.6 | |
Biotechnology | ||||
Biohaven Pharmaceutical Holding Co. Ltd. | 42,552 | 6,355,141 | 1.1 | |
Electronic Equipment, Instruments & Components | ||||
Rogers Corp. | 186,682 | 46,767,575 | 7.9 | |
Entertainment | ||||
Activision Blizzard, Inc. | 891,990 | 70,012,295 | 11.9 | |
Software | ||||
Citrix Systems, Inc. | 1,529,359 | 157,172,224 | 26.6 | |
Transportation Infrastructure | ||||
Atlantia SpA | 1,473,873 | 33,749,432 | 5.7 | |
Total Reference Entity — Long | 590,752,528 | |||
Net Value of Reference Entity — Barclays Bank PLC | $590,752,528 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Barclays Bank PLC as of period end, termination date September 28, 2022:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Insurance | ||||
Willis Towers Watson PLC | 250,398 | $ 51,789,818 | 416.8% | |
Total Reference Entity — Long | 51,789,818 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Insurance | ||||
Aon PLC, Class A | 47,420 | (13,242,509) | (106.6) | |
Marsh & McLennan Cos., Inc. | 87,622 | (14,139,562) | (113.8) | |
(27,382,071) | ||||
Investment Companies | ||||
Equity Funds | ||||
SPDR S&P 500 ETF Trust | 30,318 | (11,981,067) | (96.4) | |
Total Reference Entity — Short | (39,363,138) | |||
Net Value of Reference Entity — Barclays Bank PLC | $12,426,680 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with BNP Paribas SA as of period end, termination dates January 19, 2024 to September 2, 2024:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Commercial Services & Supplies | ||||
HomeServe PLC | 2,894,612 | $ 39,881,275 | 19.2% |
6
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Shares | Value | % of Basket Value | ||
Electric Utilities | ||||
Electricite de France SA | 196,769 | $ 2,352,615 | 1.2% | |
Software | ||||
Avast PLC | 14,263,265 | 117,147,319 | 56.5 | |
Tobacco | ||||
Swedish Match AB | 5,227,185 | 52,476,437 | 25.3 | |
Transportation Infrastructure | ||||
Atlantia SpA | 228,204 | 5,225,522 | 2.5 | |
Total Reference Entity — Long | 217,083,168 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Software | ||||
NortonLifeLock, Inc. | 430,751 | (9,730,665) | (4.7) | |
Total Reference Entity — Short | (9,730,665) | |||
Net Value of Reference Entity — BNP Paribas SA | $207,352,503 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Citibank N.A. as of period end, termination dates February 24, 2023 to March 4, 2025:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Biotechnology | ||||
Global Blood Therapeutics, Inc. | 265,514 | $ 18,028,401 | 27.6% | |
Electronic Equipment, Instruments & Components | ||||
Rogers Corp. | 148,439 | 37,186,938 | 56.8 | |
Software | ||||
Avast PLC | 1,355,575 | 11,133,634 | 17.0 | |
Total Reference Entity — Long | 66,348,973 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Software | ||||
NortonLifeLock, Inc. | 40,892 | (923,750) | (1.4) | |
Total Reference Entity — Short | (923,750) | |||
Net Value of Reference Entity — Citibank N.A. | $65,425,223 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Citibank N.A. as of period end, termination date February 24, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Short | ||||
Common Stocks | ||||
Pharmaceuticals | ||||
Elanco Animal Health, Inc. | 100,900 | $ (1,526,617) | 100.0% | |
Total Reference Entity — Short | (1,526,617) | |||
Net Value of Reference Entity — Citibank N.A. | $(1,526,617) |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Citibank N.A. as of period end, termination date February 24, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Howmet Aerospace, Inc. | 55,379 | $ 1,962,078 | (0.6)% | |
Health Care Providers & Services | ||||
Cigna Corp. | 2,207 | 625,574 | (0.2) | |
Elevance Health, Inc. | 55,790 | 27,064,287 | (8.6) | |
27,689,861 | ||||
Metals & Mining | ||||
Arconic Corp. | 13,347 | 336,478 | (0.1) | |
Oil, Gas & Consumable Fuels | ||||
Williams Cos., Inc. | 89,379 | 3,041,567 | (1.0) | |
Total Reference Entity — Long | 33,029,984 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Banks | ||||
Bank of America Corp. | 2,221 | (74,647) | 0.0 | |
JPMorgan Chase & Co. | 571 | (64,940) | 0.0 | |
(139,587) | ||||
Chemicals | ||||
Air Products and Chemicals, Inc. | 24 | (6,059) | 0.0 | |
Albemarle Corp. | 39 | (10,451) | 0.0 | |
Eastman Chemical Co. | 36 | (3,276) | 0.0 | |
Ecolab, Inc. | 27 | (4,423) | 0.0 | |
FMC Corp. | 50 | (5,404) | 0.0 | |
Livent Corp. | 46 | (1,480) | 0.0 | |
LyondellBasell Industries NV, Class A | 36 | (2,988) | 0.0 | |
Mosaic Co. | 155 | (8,350) | 0.0 | |
PPG Industries, Inc. | 400 | (50,792) | 0.0 | |
(93,223) |
7
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Shares | Value | % of Basket Value | ||
Construction Materials | ||||
Martin Marietta Materials, Inc. | 17 | $ (5,911) | 0.0% | |
Vulcan Materials Co. | 33 | (5,494) | 0.0 | |
(11,405) | ||||
Containers & Packaging | ||||
Avery Dennison Corp. | 36 | (6,610) | 0.0 | |
Ball Corp. | 92 | (5,135) | 0.0 | |
International Paper Co. | 71 | (2,955) | 0.0 | |
Sealed Air Corp. | 89 | (4,789) | 0.0 | |
Westrock Co. | 59 | (2,395) | 0.0 | |
(21,884) | ||||
Health Care Equipment & Supplies | ||||
Becton Dickinson and Co. | 8,637 | (2,180,152) | 0.7 | |
Embecta Corp. | 1,732 | (55,285) | 0.0 | |
Hologic, Inc. | 32,790 | (2,215,292) | 0.7 | |
(4,450,729) | ||||
Health Care Providers & Services | ||||
UnitedHealth Group, Inc. | 7,013 | (3,642,061) | 1.2 | |
Life Sciences Tools & Services | ||||
Agilent Technologies, Inc. | 21,729 | (2,786,744) | 0.9 | |
Bio-Rad Laboratories, Inc., Class A | 4,336 | (2,103,134) | 0.7 | |
Bruker Corp. | 46,906 | (2,626,736) | 0.8 | |
Illumina, Inc. | 6,465 | (1,303,603) | 0.4 | |
Mettler-Toledo International, Inc. | 6,830 | (8,281,102) | 2.6 | |
PerkinElmer, Inc. | 17,521 | (2,366,386) | 0.8 | |
Thermo Fisher Scientific, Inc. | 5,131 | (2,798,037) | 0.9 | |
Waters Corp. | 184 | (54,942) | 0.0 | |
(22,320,684) | ||||
Metals & Mining | ||||
Freeport-McMoRan, Inc. | 207 | (6,127) | 0.0 | |
Newmont Corp. | 95 | (3,929) | 0.0 | |
Nucor Corp. | 62 | (8,243) | 0.0 | |
(18,299) | ||||
Oil, Gas & Consumable Fuels | ||||
Enbridge, Inc. | 28,139 | (1,159,890) | 0.4 | |
Kinder Morgan, Inc. | 82,189 | (1,505,702) | 0.5 | |
(2,665,592) | ||||
Paper & Forest Products | ||||
Sylvamo Corp. | 6 | (267) | 0.0 | |
Pharmaceuticals | ||||
Johnson & Johnson | 5,908 | (953,197) | 0.3 | |
Merck & Co., Inc. | 11,323 | (966,531) | 0.3 | |
Organon & Co. | 758 | (21,626) | 0.0 | |
(1,941,354) | ||||
Semiconductors & Semiconductor Equipment | ||||
Advanced Micro Devices, Inc. | 86,891 | (7,374,439) | 2.3 | |
Analog Devices, Inc. | 41,778 | (6,330,620) | 2.0 | |
Applied Materials, Inc. | 45,962 | (4,323,645) | 1.4 | |
ASML Holding NV, NY Shares | 7,524 | (3,686,309) | 1.2 | |
KLA Corp. | 16,087 | (5,536,019) | 1.8 | |
Lam Research Corp. | 12,909 | (5,652,980) | 1.8 | |
Microchip Technology, Inc. | 43,290 | (2,824,672) | 0.9 | |
Micron Technology, Inc. | 42,988 | (2,430,112) | 0.8 | |
MKS Instruments, Inc. | 6,493 | (646,768) | 0.2 | |
Monolithic Power Systems, Inc. | 3,589 | (1,626,463) | 0.5 |
Shares | Value | % of Basket Value | ||
Semiconductors & Semiconductor Equipment | ||||
ON Semiconductor Corp. | 34,454 | $ (2,369,402) | 0.7% | |
Qorvo, Inc. | 13,372 | (1,200,538) | 0.4 | |
Skyworks Solutions, Inc. | 18,355 | (1,808,885) | 0.6 | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 47,267 | (3,939,704) | 1.2 | |
Teradyne, Inc. | 18,943 | (1,603,336) | 0.5 | |
Texas Instruments, Inc. | 17,999 | (2,973,615) | 0.9 | |
(54,327,507) | ||||
Investment Companies | ||||
Equity Funds | ||||
Alerian MLP ETF | 309,451 | (12,232,598) | 3.9 | |
Energy Select Sector SPDR Fund | 2,667 | (214,694) | 0.1 | |
Industrial Select Sector SPDR Fund | 1,667,209 | (154,933,732) | 49.1 | |
iShares U.S. Real Estate ETF | 468 | (44,114) | 0.0 | |
SPDR S&P 500 ETF Trust | 231,902 | (91,643,032) | 29.0 | |
SPDR S&P Regional Banking ETF | 926 | (57,958) | 0.0 | |
(259,126,128) | ||||
Total Reference Entity — Short | (348,758,720) | |||
Net Value of Reference Entity — Citibank N.A. | $(315,728,736) |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Goldman Sachs Bank USA as of period end, termination date February 27, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Meggitt PLC | 6,799,674 | $ 63,019,629 | 27.1% | |
Biotechnology | ||||
ChemoCentryx, Inc. | 1,559,598 | 79,508,306 | 34.3 | |
IT Services | ||||
Switch, Inc., Class A | 682,864 | 23,183,233 | 10.0 | |
Software | ||||
Mandiant, Inc. | 2,900,917 | 66,314,962 | 28.6 | |
Total Reference Entity — Long | 232,026,130 | |||
Net Value of Reference Entity — Goldman Sachs Bank USA | $232,026,130 |
8
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Goldman Sachs Bank USA as of period end, termination date February 27, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Health Care Technology | ||||
Change Healthcare, Inc. | 2,625,745 | $ 64,514,555 | 100.0% | |
Total Reference Entity — Long | 64,514,555 | |||
Net Value of Reference Entity — Goldman Sachs Bank USA | $64,514,555 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination dates December 21, 2022 to October 3, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Banks | ||||
First Horizon Corp. | 3,656,846 | $ 82,717,857 | 10.3% | |
Biotechnology | ||||
Biohaven Pharmaceutical Holding Co. Ltd. | 373,920 | 55,844,952 | 6.9 | |
Global Blood Therapeutics, Inc. | 919,857 | 62,458,290 | 7.8 | |
118,303,242 | ||||
Consumer Finance | ||||
SoFi Technologies, Inc. | 4,418 | 26,155 | 0.0 | |
Electronic Equipment, Instruments & Components | ||||
Rogers Corp. | 189,760 | 47,538,675 | 5.9 | |
Entertainment | ||||
Activision Blizzard, Inc. | 1,875,723 | 147,225,498 | 18.3 | |
Insurance | ||||
Alleghany Corp. | 52,230 | 43,934,831 | 5.5 | |
Interactive Media & Services | ||||
Twitter, Inc. | 341,772 | 13,243,665 | 1.6 | |
Semiconductors & Semiconductor Equipment | ||||
Tower Semiconductor Ltd. | 1,468,247 | 68,111,978 | 8.5 | |
Software | ||||
Avalara, Inc. | 530,707 | 48,607,454 | 6.0 | |
Bentley Systems, Inc., Class B | 1,353 | 49,750 | 0.0 | |
Black Knight, Inc. | 189,654 | 12,547,509 | 1.6 | |
Box, Inc., Class A | 4,464 | 114,948 | 0.0 | |
Citrix Systems, Inc. | 693,190 | 71,239,136 | 8.9 |
Shares | Value | % of Basket Value | ||
Software | ||||
Mandiant, Inc. | 2,631,079 | $ 60,146,466 | 7.5% | |
VMware, Inc., Class A | 714,164 | 82,864,449 | 10.3 | |
Zendesk, Inc. | 713,771 | 54,796,200 | 6.8 | |
330,365,912 | ||||
Total Reference Entity — Long | 851,467,813 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Capital Markets | ||||
Intercontinental Exchange, Inc. | 27,303 | (2,753,508) | (0.3) | |
Semiconductors & Semiconductor Equipment | ||||
Broadcom, Inc. | 89,985 | (44,912,413) | (5.6) | |
Total Reference Entity — Short | (47,665,921) | |||
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | $803,801,892 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination dates May 2, 2023 to September 20, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Semiconductors & Semiconductor Equipment | ||||
NXP Semiconductors NV | 312,428 | $ 51,419,400 | 120.9% | |
Reference Entity — Short | ||||
Common Stocks | ||||
Consumer Finance | ||||
SoFi Technologies, Inc. | 47,132 | (279,021) | (0.6) | |
Entertainment | ||||
Spotify Technology SA | 1,086 | (117,451) | (0.3) | |
Internet & Direct Marketing Retail | ||||
Wayfair, Inc., Class A | 1,421 | (74,901) | (0.2) | |
IT Services | ||||
Block, Inc. | 7,323 | (504,628) | (1.2) | |
Repay Holdings Corp. | 14,659 | (136,182) | (0.3) | |
(640,810) | ||||
Leisure Products | ||||
Peloton Interactive, Inc., Class A | 258 | (2,629) | (0.0) | |
Professional Services | ||||
Upwork, Inc. | 12,818 | (223,033) | (0.5) | |
Real Estate Management & Development | ||||
Redfin Corp. | 3,389 | (27,756) | (0.1) |
9
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Shares | Value | % of Basket Value | ||
Software | ||||
Bentley Systems, Inc., Class B | 24,782 | $ (911,234) | (2.2)% | |
Bill.com Holdings, Inc. | 28,663 | (4,639,967) | (10.9) | |
Box, Inc., Class A | 75,023 | (1,931,842) | (4.5) | |
RingCentral, Inc., Class A | 853 | (36,713) | (0.1) | |
(7,519,756) | ||||
Total Reference Entity — Short | $(8,885,357) | |||
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | $42,534,043 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Merrill Lynch International as of period end, termination date August 31, 2022:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Meggitt PLC | 1,048,952 | $ 9,721,726 | 14.1% | |
Commercial Services & Supplies | ||||
HomeServe PLC | 442,769 | 6,100,366 | 8.9 | |
Electric Utilities | ||||
Electricite de France SA | 2,991,442 | 35,766,365 | 51.9 | |
IT Services | ||||
Switch, Inc., Class A | 509,652 | 17,302,685 | 25.1 | |
Total Reference Entity — Long | 68,891,142 | |||
Net Value of Reference Entity — Merrill Lynch International | $68,891,142 |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Morgan Stanley & Co. International PLC as of period end, termination dates February 22, 2023 to July 6, 2028:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Howmet Aerospace, Inc. | 187,844 | $ 6,655,313 | (3.8)% | |
Raytheon Technologies Corp. | 185,148 | 16,617,033 | (9.4) | |
TransDigm Group, Inc. | 90,105 | 54,098,141 | (30.8) | |
77,370,487 | ||||
Building Products | ||||
Carrier Global Corp. | 437,537 | 17,116,447 | (9.7) |
Shares | Value | % of Basket Value | ||
Chemicals | ||||
Corteva, Inc. | 936,564 | $ 57,533,127 | (32.7)% | |
Dow, Inc. | 140,319 | 7,156,269 | (4.1) | |
DuPont de Nemours, Inc. | 626,873 | 34,879,214 | (19.9) | |
International Flavors & Fragrances, Inc. | 190,196 | 21,012,854 | (12.0) | |
Olin Corp. | 71,855 | 3,927,594 | (2.2) | |
124,509,058 | ||||
Commercial Services & Supplies | ||||
GFL Environmental, Inc. | 158,045 | 4,441,065 | (2.5) | |
Equity Real Estate Investment Trusts (REITs) | ||||
Welltower, Inc. | 18,044 | 1,383,073 | (0.8) | |
Health Care Providers & Services | ||||
Brookdale Senior Living, Inc. | 123,354 | 542,758 | (0.3) | |
Cigna Corp. | 91,118 | 25,827,397 | (14.7) | |
Elevance Health, Inc. | 92,594 | 44,918,275 | (25.6) | |
Humana, Inc. | 128,617 | 61,965,098 | (35.3) | |
133,253,528 | ||||
Life Sciences Tools & Services | ||||
Danaher Corp. | 6,396 | 1,726,344 | (1.0) | |
Machinery | ||||
Otis Worldwide Corp. | 142,849 | 10,316,555 | (5.9) | |
Metals & Mining | ||||
Arconic Corp. | 797,188 | 20,097,109 | (11.4) | |
Total Reference Entity — Long | 390,213,666 | |||
Reference Entity — Short | ||||
Common Stocks | ||||
Banks | ||||
Bank of America Corp. | 5,687 | (191,140) | 0.1 | |
Citigroup, Inc. | 3,100 | (151,311) | 0.1 | |
JPMorgan Chase & Co. | 1,489 | (169,344) | 0.1 | |
(511,795) | ||||
Chemicals | ||||
Air Products and Chemicals, Inc. | 21,944 | (5,539,763) | 3.1 | |
Albemarle Corp. | 52,980 | (14,196,521) | 8.1 | |
Eastman Chemical Co. | 61,308 | (5,579,028) | 3.2 | |
Ecolab, Inc. | 27,549 | (4,513,353) | 2.6 | |
FMC Corp. | 45,783 | (4,948,227) | 2.8 | |
Livent Corp. | 2,725 | (87,690) | 0.0 | |
LyondellBasell Industries NV, Class A | 76,512 | (6,350,496) | 3.6 | |
Mosaic Co. | 273,036 | (14,708,449) | 8.4 | |
PPG Industries, Inc. | 47,830 | (6,073,453) | 3.5 | |
(61,996,980) | ||||
Commercial Services & Supplies | ||||
Republic Services, Inc. | 141,919 | (20,254,680) | 11.5 | |
Waste Management, Inc. | 129,253 | (21,847,634) | 12.4 | |
(42,102,314) | ||||
Construction Materials | ||||
Martin Marietta Materials, Inc. | 19,165 | (6,663,862) | 3.8 | |
Vulcan Materials Co. | 34,780 | (5,790,522) | 3.3 | |
(12,454,384) | ||||
Containers & Packaging | ||||
Avery Dennison Corp. | 34,579 | (6,349,396) | 3.6 | |
Ball Corp. | 61,004 | (3,404,633) | 2.0 |
10
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Shares | Value | % of Basket Value | ||
Containers & Packaging | ||||
International Paper Co. | 115,357 | $ (4,801,159) | 2.7% | |
Sealed Air Corp. | 119,763 | (6,444,447) | 3.7 | |
Westrock Co. | 126,320 | (5,127,329) | 2.9 | |
(26,126,964) | ||||
Health Care Providers & Services | ||||
UnitedHealth Group, Inc. | 11,492 | (5,968,141) | 3.4 | |
IT Services | ||||
Shift4 Payments, Inc., Class A | 15,149 | (686,098) | 0.4 | |
Life Sciences Tools & Services | ||||
Mettler-Toledo International, Inc. | 132 | (160,045) | 0.1 | |
Waters Corp. | 508 | (151,689) | 0.1 | |
(311,734) | ||||
Machinery | ||||
Middleby Corp. | 12,711 | (1,828,096) | 1.0 | |
Metals & Mining | ||||
Freeport-McMoRan, Inc. | 385,351 | (11,406,390) | 6.5 | |
Newmont Corp. | 76,711 | (3,172,767) | 1.8 | |
Nucor Corp. | 101,626 | (13,510,160) | 7.7 | |
(28,089,317) | ||||
Paper & Forest Products | ||||
Sylvamo Corp. | 8,355 | (371,296) | 0.2 | |
Semiconductors & Semiconductor Equipment | ||||
SolarEdge Technologies, Inc. | 8,164 | (2,253,019) | 1.3 | |
Investment Companies | ||||
Equity Funds | ||||
Industrial Select Sector SPDR Fund | 1,035,164 | (96,197,791) | 54.7 | |
iShares Russell 2000 ETF | 160,804 | (29,507,534) | 16.8 | |
iShares U.S. Real Estate ETF | 47,847 | (4,510,058) | 2.6 | |
Materials Select Sector SPDR Fund | 399,159 | (30,100,580) | 17.1 | |
SPDR S&P 500 ETF Trust | 553,030 | (218,546,395) | 124.4 | |
SPDR S&P Regional Banking ETF | 2,490 | (155,849) | 0.1 | |
VanEck Semiconductor ETF | 19,538 | (4,192,269) | 2.4 | |
(383,210,476) | ||||
Total Reference Entity — Short | (565,910,614) | |||
Net Value of Reference Entity — Morgan Stanley & Co. International PLC | $(175,696,948) |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Morgan Stanley & Co. International PLC as of period end, termination date May 14, 2030:
Shares | Value | % of Basket Value | ||
Reference Entity — Short | ||||
Common Stocks | ||||
Health Care Equipment & Supplies | ||||
Envista Holdings Corp. | 439,625 | $ (16,305,691) | 100.0% | |
Net Value of Reference Entity — Morgan Stanley & Co. International PLC | $(16,305,691) |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Morgan Stanley & Co. International PLC as of period end, termination dates March 17, 2031 to August 24, 2032:
Shares | Value | % of Basket Value | ||
Reference Entity — Long | ||||
Common Stocks | ||||
Aerospace & Defense | ||||
Meggitt PLC | 14,560,085 | $ 134,943,403 | 38.6% | |
Machinery | ||||
Middleby Corp. | 433 | 62,274 | 0.0% | |
Media | ||||
Shaw Communications, Inc., Class B | 6,198,900 | 158,966,728 | 45.4% | |
Semiconductors & Semiconductor Equipment | ||||
SolarEdge Technologies, Inc. | 262 | 72,304 | 0.0% | |
Software | ||||
Avast PLC | 7,406,605 | 60,832,069 | 17.4% | |
Reference Entity — Short | ||||
Common Stocks | ||||
Software | ||||
NortonLifeLock, Inc. | 223,680 | (5,052,931) | (1.4)% | |
Total Reference Entity — Short | (5,052,931) | |||
Net Value of Reference Entity — Morgan Stanley & Co. International PLC | $349,823,847 |
11
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access;
• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Fund were fair valued using net asset value (“NAV”) per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Common Stocks | ||||
Aerospace & Defense | $ 176,870,032 | $ — | $ — | $ 176,870,032 |
Automobiles | 3,583,250 | — | — | 3,583,250 |
Banks | 1,798,172 | — | — | 1,798,172 |
Biotechnology | 363,966 | — | — | 363,966 |
Capital Markets | 23,191,113 | — | — | 23,191,113 |
Chemicals | 153,785,540 | 2,095,048 | — | 155,880,588 |
Commercial Services & Supplies | 58,035,507 | — | — | 58,035,507 |
Consumer Finance | 3,657,533 | — | — | 3,657,533 |
Diversified Consumer Services | 801,991 | — | — | 801,991 |
Electronic Equipment, Instruments & Components | 18,225,879 | — | — | 18,225,879 |
Entertainment | 6,805,965 | — | — | 6,805,965 |
Equity Real Estate Investment Trusts (REITs) | 26,142,717 | — | — | 26,142,717 |
Food Products | 2,592,312 | — | — | 2,592,312 |
Health Care Equipment & Supplies | 63,366,540 | — | — | 63,366,540 |
Health Care Providers & Services | 68,684,478 | — | — | 68,684,478 |
Health Care Technology | 5,556,257 | — | — | 5,556,257 |
Hotels, Restaurants & Leisure | 60,329,944 | — | — | 60,329,944 |
Insurance | 19,476 | — | — | 19,476 |
Interactive Media & Services | 6,830,514 | — | — | 6,830,514 |
Internet & Direct Marketing Retail | 1,103,599 | — | — | 1,103,599 |
IT Services | 20,323,769 | — | — | 20,323,769 |
Life Sciences Tools & Services | 77,439,683 | 73,741,621 | — | 151,181,304 |
Media | 24,020,251 | — | — | 24,020,251 |
Metals & Mining | 30,290,571 | — | — | 30,290,571 |
Oil, Gas & Consumable Fuels | 25,877,739 | — | — | 25,877,739 |
Personal Products | 71,273,265 | — | — | 71,273,265 |
Pharmaceuticals | 38,379,734 | — | — | 38,379,734 |
Professional Services | 10,731,760 | — | — | 10,731,760 |
Road & Rail | 461,500 | — | 4,218,750 | 4,680,250 |
Semiconductors & Semiconductor Equipment | 48,327,371 | — | — | 48,327,371 |
Software | 149,573,801 | — | — | 149,573,801 |
12
Schedule of Investments (unaudited) (continued)
August 31, 2022
BlackRock Event Driven Equity Fund
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | ||||
Common Stocks (continued) | |||||||
Specialty Retail | $ 8,872,725 | $ — | $ — | $ 8,872,725 | |||
Textiles, Apparel & Luxury Goods | 2,867,945 | — | — | 2,867,945 | |||
Tobacco | 672,663 | 33,722,101 | — | 34,394,764 | |||
Trading Companies & Distributors | 3,275,693 | — | — | 3,275,693 | |||
Transportation Infrastructure | — | 5,150,071 | — | 5,150,071 | |||
Wireless Telecommunication Services | 22,946,072 | — | — | 22,946,072 | |||
Corporate Bonds | — | 248,338,494 | 25,000 | 248,363,494 | |||
Floating Rate Loan Interests | — | 94,158,507 | 2,611,734 | 96,770,241 | |||
Investment Companies | |||||||
Equity Funds | — | 1,667,769 | — | 1,667,769 | |||
Fixed-Income Funds | 32,862,289 | — | — | 32,862,289 | |||
Preferred Securities | — | 62,648,612 | 1,869,628 | 64,518,240 | |||
Short-Term Securities | |||||||
Money Market Funds | 7,012,732,989 | — | — | 7,012,732,989 | |||
Time Deposits | — | 4,211,753 | — | 4,211,753 | |||
$ 8,262,674,605 | $ 525,733,976 | $ 8,725,112 | 8,797,133,693 | ||||
Investments valued at NAV(a) | 79,247,155 | ||||||
$ 8,876,380,848 | |||||||
Derivative Financial Instruments(b) | |||||||
Assets | |||||||
Credit Contracts | $ — | $ 2,188,807 | $ — | $ 2,188,807 | |||
Equity Contracts | — | 87,020,818 | — | 87,020,818 | |||
Liabilities | |||||||
Equity Contracts | (8,125,447) | (58,609,268) | — | (66,734,715) | |||
$ (8,125,447) | $ 30,600,357 | $ — | $ 22,474,910 |
(a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Currency Abbreviation | |
AUD | Australian Dollar |
CHF | Swiss Franc |
GBP | British Pound |
USD | United States Dollar |
Portfolio Abbreviation | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
OTC | Over-the-Counter |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
SPDR | Standard & Poor’s Depository Receipt |
13