Blackrock Funds N-CSR Certified annual shareholder report (management investment company)

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: 811-05742

Name of Fund: 

BlackRock Funds

^SM

BlackRock Total Factor Fund

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

^SM

, 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 07/31/2022

Date of reporting period: 07/31/2022

Item 1 – Report to Stockholders

(a)

The Report to Shareholders is attached herewith.

(b)

 Not Applicable

JULY

31,

2022

Not

FDIC

Insured

-

May

Lose

Value

-

No

Bank

Guarantee

2022

Annual

Report

BlackRock

Funds

SM

BlackRock

Total

Factor

Fund

Dear

Shareholder,

The

12-month

reporting

period

as

of

July

31,

2022

saw

the

emergence

of

significant

challenges

that

disrupted

the

economic

recovery

and

strong

financial

markets.

The

U.S.

economy

shrank

in

the

first

half

of

2022,

ending

the

run

of

robust

growth

that

followed

the

reopening

of

global

economies

and

the

development

of

COVID-19

vaccines.

Changes

in

consumer

spending

patterns

and

a

tight

labor

market

led

to

elevated

inflation,

which

reached

a

40-year

high.

Moreover,

while

the

foremost

effect

of

Russia’s

invasion

of

Ukraine

has

been

a

severe

humanitarian

crisis,

the

ongoing

war

continued

to

present

challenges

for

both

investors

and

policymakers.

Equity

prices

fell

as

interest

rates

rose,

particularly

weighing

on

relatively

high-valuation

growth

stocks

and

economically

sensitive

small-capitalization

stocks.

While

both

large-

and

small-capitalization

U.S.

stocks

fell,

declines

for

small-capitalization

U.S.

stocks

were

steeper.

Both

emerging

market

stocks

and

international

equities

from

developed

markets

fell

significantly,

pressured

by

rising

interest

rates

and

a

strengthening

U.S.

dollar.

The

10-year

U.S.

Treasury

yield

(which

is

inversely

related

to

bond

prices)

rose

notably

during

the

reporting

period

as

investors

reacted

to

higher

inflation

and

attempted

to

anticipate

its

impact

on

future

interest

rate

changes.

The

corporate

bond

market

also

faced

inflationary

headwinds,

and

increasing

uncertainty

led

to

higher

corporate

bond

spreads

(the

difference

in

yield

between

U.S.

Treasuries

and

similarly-dated

corporate

bonds).

The

U.S.

Federal

Reserve

(the

“Fed”),

acknowledging

that

inflation

is

growing

faster

than

expected,

raised

interest

rates

four

times

while

indicating

that

additional

rate

hikes

were

likely.

Furthermore,

the

Fed

wound

down

its

bond-buying

programs

and

began

to

reduce

its

balance

sheet.

Continued

high

inflation

and

the

Fed’s

statements

led

many

analysts

to

anticipate

that

interest

rates

have

room

to

rise

before

peaking,

although

investors’

inflation

expectations

began

to

decline

near

the

end

of

the

period.

The

horrific

war

in

Ukraine

has

significantly

clouded

the

outlook

for

the

global

economy,

leading

to

major

volatility

in

energy

and

metals

markets.

Sanctions

on

Russia,

Europe’s

top

energy

supplier,

and

general

wartime

disruption

have

magnified

supply

problems

for

key

commodities.

We

believe

elevated

energy

prices

will

continue

to

exacerbate

inflationary

pressure

while

also

constraining

economic

growth.

Combating

inflation

without

stifling

a

recovery,

while

buffering

against

ongoing

supply

and

price

shocks,

will

be

an

especially

challenging

environment

for

setting

effective

monetary

policy.

Despite

the

likelihood

of

more

rate

increases

on

the

horizon,

we

believe

the

Fed

will

ultimately

err

on

the

side

of

protecting

employment,

even

at

the

expense

of

higher

inflation.

In

the

meantime,

however,

we

believe

that

we

are

likely

to

see

a

period

of

slowing

growth

paired

with

relatively

high

inflation.

In

this

environment,

while

we

favor

an

overweight

to

equities

in

the

long-term,

the

market’s

concerns

over

excessive

rate

hikes

from

central

banks

moderate

our

outlook.

Furthermore,

the

energy

shock

and

a

deteriorating

economic

backdrop

in

China

and

Europe

are

likely

to

challenge

corporate

earnings,

so

we

are

underweight

equities

overall

in

the

near-term.

We

take

the

opposite

view

on

credit,

where

higher

spreads

provide

near-term

opportunities,

while

the

likelihood

of

higher

inflation

leads

us

to

take

an

underweight

stance

on

credit

in

the

long-term.

We

believe

that

investment-grade

corporates,

U.K.

gilts,

local-currency

emerging

market

debt,

and

inflation-protected

bonds

(particularly

in

Europe)

offer

strong

opportunities

for

a

six-

to

twelve-month

horizon.

Overall,

our

view

is

that

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,

Rob

Kapito

President,

BlackRock

Advisors,

LLC

The

Markets

in

Review

Rob

Kapito

President,

BlackRock

Advisors,

LLC

Past

performance

is

not

an

indication

of

future

results.

Index

performance

is

shown

for

illustrative

purposes

only.

You

cannot

invest

directly

in

an

index.

Total

Returns

as

of

July

31,

2022

6-Month

12-Month

U.S.

large

cap

equities

(S&P

500

®

Index)

(7.81%)

(4.64%)

U.S.

small

cap

equities

(Russell

2000

®

Index)

(6.42)

(14.29)

International

equities

(MSCI

Europe,

Australasia,

Far

East

Index)

(11.27)

(14.32)

Emerging

market

equities

(MSCI

Emerging

Markets

Index)

(16.24)

(20.09)

3-month

Treasury

bills

(ICE

BofA

3-Month

U.S.

Treasury

Bill

Index)

0.21

0.22

U.S.

Treasury

securities

(ICE

BofA

10-Year

U.S.

Treasury

Index)

(6.38)

(10.00)

U.S.

investment

grade

bonds

(Bloomberg

U.S.

Aggregate

Bond

Index)

(6.14)

(9.12)

Tax-exempt

municipal

bonds

(Bloomberg

Municipal

Bond

Index)

(3.95)

(6.93)

U.S.

high

yield

bonds

(Bloomberg

U.S.

Corporate

High

Yield

2%

Issuer

Capped

Index)

(6.58)

(8.03)

This

Page

is

not

Part

of

Your

Fund

Report

2

Table

of

Contents

Page

3

The

Markets

in

Review

...................................................................................................

2

Annual

Report:

Fund

Summary

........................................................................................................

4

About

Fund

Performance

..................................................................................................

7

Disclosure

of

Expenses

...................................................................................................

7

Derivative

Financial

Instruments

.............................................................................................

8

Consolidated

Financial

Statements:

Consolidated

Schedule

of

Investments

........................................................................................

9

Consolidated

Statement

of

Assets

and

Liabilities

..................................................................................

58

Consolidated

Statement

of

Operations

........................................................................................

60

Consolidated

Statements

of

Changes

in

Net

Assets

................................................................................

61

Consolidated

Financial

Highlights

.............................................................................................

62

Notes

to

Consolidated

Financial

Statements

......................................................................................

66

Report

of

Independent

Registered

Public

Accounting

Firm

..............................................................................

76

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

...................................................................

77

Trustee

and

Officer

Information

..............................................................................................

80

Additional

Information

....................................................................................................

84

Glossary

of

Terms

Used

in

this

Report

..........................................................................................

86

Fund

Summary

as

of

July

31,

2022

2022

BlackRock

Annual

Report

to

Shareholders

4

BlackRock

Total

Factor

Fund

Investment

Objective

BlackRock

Total

Factor

Fund’s

(the

“Fund”)

investment

objective

is

to

seek

total

return.

Portfolio

Management

Commentary

How

did

the

Fund

perform?

For

the

12-month

period

ended

July

31,

2022,

all

of

the

Fund’s

share

classes

outperformed

its

reference

benchmark,

a

blend

of

60%

MSCI

World

Index

Hedged

USD

Net/40%

Bloomberg

U.S.

Aggregate

Bond

Index.

For

the

same

period,

all

of

the

Fund’s

share

classes

underperformed

its

secondary

benchmark,

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index.

What

factors

influenced

performance?

The

Fund

targets

a

total

return

in

the

form

of

capital

appreciation

and

income

over

the

long-term.

The

Fund

utilizes

a

factor

investing

approach

to

provide

a

diversified

engine

for

growth

by

targeting

multiple

return

drivers,

or

factors,

across

many

asset

classes

and

geographies.

By

leveraging

a

long/short

implementation

framework,

the

strategy

seeks

to

isolate

broad

and

persistent

sources

of

returns,

while

maintaining

a

low

correlation

to

equity

and

fixed-income

markets

in

seeking

to

be

resilient

to

market

shocks

and

drawdowns.

The

Fund’s

market

neutral

style

factor

exposures,

which

receive

roughly

two-thirds

of

the

overall

allocation,

experienced

a

strong

run

over

the

period

as

they

contributed

over

two

percent

to

aggregate

performance.

Across

styles,

significant

contribution

stemmed

from

value

and

low

volatility-focused

strategies

within

market

neutral

equities,

as

well

as

global

yield

differentials

across

both

equity

markets

(country

futures)

and

foreign

currencies.

From

a

factor

perspective,

carry

(incremental

income)

was

the

top

contributor

as

divergence

in

monetary

policies

across

geographies

continued

to

create

opportunities

across

asset

classes.

The

low

volatility

factor

also

added

to

performance

as

a

pivot

away

from

highly

idiosyncratic,

unprofitable

stocks

played

to

the

factor’s

strengths,

while

the

value

factor

benefited

as

global

interest

rates

moved

higher.

The

macro

factor/risk

parity

allocation,

which

provides

directional,

risk-balanced

market

exposure,

was

the

primary

detractor

as

two

out

of

three

factors

–

real

rates

and

inflation

–

weighed

on

performance.

Both

factors,

which

are

implemented

using

inflation-linked

and

nominal

debt,

respectively,

sold

off

throughout

most

of

the

latter

half

of

the

period

as

global

central

banks

attempted

to

rapidly

ratchet

up

interest

rates

in

order

to

tame

the

highest

realized

inflation

across

developed

economies

in

decades.

The

pro-cyclical

economic

growth

factor

saw

its

allocation

to

broad

equities

and

credit

dampen

return

as

markets

shifted

to

risk-off

mode

throughout

the

majority

of

2022,

although

a

modest

allocation

to

broad

commodities

buoyed

the

factor’s

efficacy

and

brought

its

headline

return

to

net

positive

by

period

end.

The

Fund

routinely

held

derivatives

including

futures,

swaps,

and

currency

forwards

to

gain

exposure

to

single

name

stocks,

global

bonds,

currencies,

commodities,

and

equity

market

indices

in

a

cost-efficient

and

capital-efficient

manner.

Additionally,

some

of

the

Fund’s

currency

forwards

are

held

for

hedging

purposes

to

protect

against

unintended

exposure

to

foreign

currency

risk.

Over

the

period,

the

use

of

derivatives

detracted

from

performance.

The

Fund

held

large

unencumbered

cash

positions

to

meet

collateral

calls

on

derivative

positions.

The

cash

balance

did

not

have

a

material

impact

on

performance

during

the

period.

Describe

recent

portfolio

activity.

While

the

overall

allocations

to

the

factor

groupings

remained

stable

throughout

the

period,

the

timing

model

tends

to

be

the

primary

dynamic

piece

that

modestly

shifts

exposures

within

the

market

neutral

equity

allocation.

Over

the

period,

the

model

finished

effectively

flat

as

performance

netted

out

from

strong

rotations

around

the

value

and

quality

factors,

both

of

which

were

impacted

by

significant

shifts

in

central

bank

interest

rate

policies.

The

investment

adviser

removed

Russian

ruble

exposure

from

the

model

nearly

a

month

prior

to

the

start

of

the

Ukraine

conflict

on

the

view

that

asymmetric

risk

was

embedded

in

the

asset

and

took

positioning

in

natural

gas

down

to

zero

for

a

brief

period

as

fallout

from

the

invasion

of

Ukraine

caused

the

price

to

be

driven

by

non-fundamental

forces.

Describe

portfolio

positioning

at

period

end.

The

Fund

seeks

to

deliver

positive

absolute

returns

by

balancing

risks

among

equities,

bonds,

commodities,

currencies,

and

diversifying

strategies.

At

the

end

of

the

period,

the

Fund

was

positioned

slightly

overweight

to

value

and

momentum

strategies

and

with

a

marginal

tilt

away

from

carry.

Within

single

name

equities,

the

timing

model

was

modestly

tilted

toward

value,

minimum

volatility,

and

quality

insights

at

the

expense

of

momentum,

which

was

a

notable

underweight.

At

the

overall

portfolio

level,

equities

and

fixed

income

remain

the

most

overweight

asset

classes.

The

views

expressed

reflect

the

opinions

of

BlackRock

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

Fund

Summary

as

of

July

31,

2022

(continued)

5

Fund

Summary

BlackRock

Total

Factor

Fund

GROWTH

OF

$10,000

INVESTMENT

The

Fund

commenced

operations

on

December

27,

2012.

(a)

Assuming

maximum

sales

charges,

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.

(b)

The

Fund

seeks

to

achieve

its

investment

objective

by

investing

in

a

broad

range

of

global

asset

classes,

such

as

equity

securities

(which

may

include

derivative

instruments

that

are

tied

economically

to

equity

securities),

fixed

and

floating

rate

debt

instruments,

derivatives,

other

investment

companies,

including

exchange-traded

funds

(“ETFs”),

real

estate

investment

trusts

(“REITs”)

and

commodity-related

instruments.

The

Fund’s

total

returns

prior

to

February

3,

2017

are

the

returns

of

the

Fund

when

it

followed

different

investment

strategies

under

the

name

“BlackRock

Strategic

Risk

Allocation

Fund”.

(c)

This

customized

weighted

index

is

comprised

of

the

returns

of

the

MSCI

World

Index

Hedged

USD

Net

(60%)

and

the

Bloomberg

U.S.

Aggregate

Bond

Index

(40%).

(d)

Represents

a

close

estimation

of

the

performance

that

can

be

achieved

by

hedging

the

currency

exposures

of

its

parent

index,

the

MSCI

World

Index,

to

the

USD,

the

“home”

currency

for

the

hedged

index.

The

index

is

100%

hedged

to

the

USD

by

selling

each

foreign

currency

forward

at

the

one-month

forward

weight.

The

parent

index

is

a

broad

global

equity

index

that

captures

large-

and

mid-cap

representation

across

certain

developed

markets

countries.

(e)

A

broad-based

flagship

benchmark

that

measures

the

investment

grade,

U.S.

dollar-denominated,

fixed-rate

taxable

bond

market.

(f)

An

unmanaged

index

that

measures

returns

of

3-month

Treasury

Bills.

On

March

1,

2021

the

Fund

began

to

track

the

4pm

pricing

variant

of

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

(the

"Index").

Historical

index

data

prior

to

March

1,

2021

is

for

the

3pm

pricing

variant

of

the

lndex.

Index

data

on

and

after

March

1,

2021

is

for

the

4pm

pricing

variant

of

the

Index.

Fund

Summary

as

of

July

31,

2022

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

6

BlackRock

Total

Factor

Fund

Performance

N/A

—

Not

applicable

as

share

class

and

index

do

not

have

a

sales

charge.

Past

performance

is

not

an

indication

of

future

results.

Performance

results

may

include

adjustments

made

for

financial

reporting

purposes

in

accordance

with

U.S.

generally

accepted

accounting

principles.

Expense

Example

See

“Disclosure

of

Expenses”

for

further

information

on

how

expenses

were

calculated.

Portfolio

Information

Average

Annual

Total

Returns

(a)(b)

1

Year

5

Years

Since

Inception

(c)

Without

Sales

Charge

With

Sales

Charge

Without

Sales

Charge

With

Sales

Charge

Without

Sales

Charge

With

Sales

Charge

Institutional

..................................................

(4.85‌)%

N/A‌

(0.31‌)%

N/A‌%

1.49‌%

N/A‌%

Investor

A

...................................................

(5.20‌)

(10.17‌)%

(0.58‌)

(1.64‌)

1.23‌

0.66‌

Investor

C

...................................................

(5.88‌)

(6.79‌)

(1.32‌)

(1.32‌)

0.60‌

0.60‌

Class

K

....................................................

(4.83‌)

N/A‌

(0.28‌)

N/A‌

1.51‌

N/A‌

60%

MSCI

World

Index

Hedged

USD

Net/40%

Bloomberg

U.S.

Aggregate

Bond

Index

...................................................

(6.57‌)

N/A‌

6.91‌

N/A‌

7.68‌

N/A‌

MSCI

World

Index

Hedged

USD

Net

................................

(5.20‌)

N/A‌

10.31‌

N/A‌

11.50‌

N/A‌

Bloomberg

U.S.

Aggregate

Bond

Index

.............................

(9.12‌)

N/A‌

1.28‌

N/A‌

1.67‌

N/A‌

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

...........................

0.22‌

N/A‌

1.10‌

N/A‌

0.67‌

N/A‌

(a)

Assuming

maximum

sales

charges,

if

any.

Average

annual

total

returns

with

and

without

sales

charges

reflect

reductions

for

distribution

and

service

fees.

See

“About

Fund

Performance”

for

a

detailed

description

of

share

classes,

including

any

related

sales

charges

and

fees,

and

how

performance

was

calculated

for

certain

share

classes.

(b)

The

Fund

seeks

to

achieve

its

investment

objective

by

investing

in

a

broad

range

of

global

asset

classes,

such

as

equity

securities

(which

may

include

derivative

instruments

that

are

tied

economically

to

equity

securities),

fixed

and

floating

rate

debt

instruments,

derivatives,

other

investment

companies,

including

ETFs,

REITs

and

commodity-related

instruments.

The

Fund’s

total

returns

prior

to

February

3,

2017

are

the

returns

of

the

Fund

when

it

followed

different

investment

strategies

under

the

name

“BlackRock

Strategic

Risk

Allocation

Fund”.

(c)

The

Fund

commenced

operations

on

December

27,

2012.

Actual

H

ypothetical

5%

Re

turn

Beginning

Account

Value

(02/01/22)

Ending

Account

Value

(07/31/22)

Expenses

Paid

During

the

Period

(a)

Beginning

Account

Value

(02/01/22)

Ending

Account

Value

(07/31/22)

Expenses

Paid

During

the

Period

(a)

Annualized

Expense

Ratio

Institutional

...............................

$

1,000.00‌

$

919.70‌

$

2.62‌

$

1,000.00‌

$

1,022.07‌

$

2.76‌

0.55‌%

Investor

A

................................

1,000.00‌

918.00‌

3.76‌

1,000.00‌

1,020.88‌

3.96‌

0.79‌

Investor

C

................................

1,000.00‌

914.40‌

7.31‌

1,000.00‌

1,017.16‌

7.70‌

1.54‌

Class

K

..................................

1,000.00‌

919.80‌

2.38‌

1,000.00‌

1,022.32‌

2.51‌

0.50‌

(a)

For

each

class

of

the

Fund,

expenses

are

equal

to

the

annualized

expense

ratio

for

the

class,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

181/365

(to

reflect

the

one-half

year

period

shown).

PORTFOLIO

COMPOSITION

Asset

Type

Percent

of

at

Total

Investments

(a)

Foreign

Government

Obligations

........................

75.1‌

%

U.S.

Treasury

Obligations

.............................

24.9‌

PORTFOLIO

HOLDINGS

Security

Percent

of

at

Total

Investments

(a)

French

Republic

...................................

24.5‌

%

Commonwealth

of

Australia

............................

20.8‌

U.S.

Treasury

Inflation

Linked

Notes

......................

18.4‌

Canadian

Government

Bond

...........................

14.0‌

U.K.

Treasury

Inflation

Linked

Bonds

......................

9.0‌

Federal

Republic

of

Germany

..........................

6.8‌

U.S.

Treasury

Inflation

Linked

Bonds

......................

6.5‌

(a)

Excludes

short-term

securities

and

options

purchased.

About

Fund

Performance

7

About

Fund

Performance

/

Disclosure

of

Expenses

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.

Class

K

Shares

performance

shown

prior

to

the

Class

K

Shares

inception

date

of

February

3,

2017

is

that

of

Institutional

Shares.

The

performance

of

the

Fund’s

Class

K

Shares

would

be

substantially

similar

to

Institutional

Shares

because

Class

K

Shares

and

Institutional

Shares

invest

in

the

same

portfolio

of

securities

and

performance

would

only

differ

to

the

extent

that

Class

K

Shares

and

Institutional

Shares

have

different

expenses.

The

actual

returns

of

Class

K

Shares

would

have

been

higher

than

those

of

the

Institutional

Shares

because

Class

K

Shares

have

lower

expenses

than

the

Institutional

Shares.

Investor

A

Shares

are

subject

to

a

maximum

initial

sales

charge

(front-end

load)

of

5.25%

and

a

service

fee

of

0.25%

per

year

(but

no

distribution

fee).

Certain

redemptions

of

these

shares

may

be

subject

to

a

contingent

deferred

sales

charge

("CDSC")

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

These

shares

are

generally

available

through

financial

intermediaries.

Investor

C

Shares

 are

subject

to

a

1.00%

CDSC

if

redeemed

within

one

year

of

purchase.

In

addition,

these

shares

are

subject

to

a

distribution

fee

of

0.75%

per

year

and

a

service

fee

of

0.25%

per

year.

These

shares

are

generally

available

through

financial

intermediaries.

These

shares

automatically

convert

to

Investor

A

Shares

after

approximately

eight

years.

Past

performance

is

not

an

indication

of

future

results.

Financial

markets

have

experienced

extreme

volatility

and

trading

in

many

instruments

has

been

disrupted.

These

circumstances

may

continue

for

an

extended

period

of

time

and

may

continue

to

affect

adversely

the

value

and

liquidity

of

the

Fund's

investments.

As

a

result,

current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

Refer

to

blackrock.com 

to

obtain

performance

data

current

to

the

most

recent

month-end.

Performance

results

do

not

reflect

the

deduction

of

taxes

that

a

shareholder

would

pay

on

Fund

distributions

or

the

redemption

of

Fund

shares.

Figures

shown

in

the

performance

table(s) assume

reinvestment

of

all

distributions,

if

any,

at

net

asset

value

("NAV")

on

the

ex-dividend

date

or

payable

date,

as

applicable.

Investment

return

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Distributions

paid

to

each

class

of

shares

will

vary

because

of

the

different

levels

of

service,

distribution

and

transfer

agency

fees

applicable

to

each

class,

which

are

deducted

from

the

income

available

to

be

paid

to

shareholders. 

BlackRock

Advisors,

LLC

(the

"Manager”),

the

Fund's

investment

adviser,

has

contractually

and/or

voluntarily

agreed

to

waive

and/or

reimburse

a

portion

of

the

Fund’s

expenses.

Without

such

waiver(s)

and/or

reimbursement(s),

the

Fund's

performance

would

have

been

lower.

With

respect

to

the

Fund's

voluntary

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

waive

and/or

reimburse

or

to

continue

waiving

and/or

reimbursing

its

fees

and

such

voluntary

waiver(s)

may

be

reduced

or

discontinued

at

any

time.

With

respect

to

the

Fund's

contractual

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

continue

waiving

and/or

reimbursing

its

fees

after

the

applicable

termination

date

of

such

agreement.

See

the

Notes

to

Consolidated

Financial

Statements

for

additional

information

on

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

(which

is

based

on

a

hypothetical

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

through

the

end

of

the

period)

is

intended

to

assist

shareholders

both

in

calculating

expenses

based

on

an

investment

in

the

Fund

and

in

comparing

these

expenses

with

similar

costs

of

investing

in

other

mutual

funds.

The

expense

example

provides

information

about

actual

account

values

and

actual

expenses.

Annualized

expense

ratios

reflect

contractual

and

voluntary

fee

waivers,

if

any.

In

order

to

estimate

the

expenses

a

shareholder

paid

during

the

period

covered

by

this

report,

shareholders

can

divide

their

account

value

by

$1,000

and

then

multiply

the

result

by

the

number

corresponding

to

their share

class

under

the

heading

entitled

“Expenses

Paid

During

the

Period.” 

The

expense

example

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on the

Fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses.

In

order

to

assist

shareholders

in

comparing

the

ongoing

expenses

of

investing

in

the

Fund

and

other

funds,

compare

the

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

shareholder

reports

of

other

funds. 

The

expenses

shown

in

the

expense

example

are

intended

to

highlight

shareholders’

ongoing

costs

only

and

do

not

reflect

transactional

expenses,

such

as

sales

charges,

if

any.

Therefore,

the

hypothetical

example is

useful

in

comparing

ongoing

expenses

only

and

will

not

help

shareholders

determine

the

relative

total

expenses

of

owning

different

funds.

If

these

transactional

expenses

were

included,

shareholder

expenses

would

have

been

higher.

Derivative

Financial

Instruments

2022

BlackRock

Annual

Report

to

Shareholders

8

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.

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

9

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

July

31,

2022

Security

Par

(000)

Pa

r

(

000)

Value

Foreign

Government

Obligations

Australia

—

7.8%

Commonwealth

of

Australia

(a)

3.98%,

09/20/25

............

AUD

4,071

$

4,183,384

0.83%,

11/21/27

............

3,535

2,822,236

3.24%,

09/20/30

............

3,350

3,458,795

0.26%,

11/21/32

............

2,011

1,371,490

2.36%,

08/21/35

............

2,214

2,076,108

1.44%,

08/21/40

............

2,106

1,709,942

1.09%,

02/21/50

............

2,106

1,510,162

17,132,117

Canada

—

5.2%

Canadian

Government

Bond

4.25%,

12/01/26

............

CAD

1,738

1,578,932

4.00%,

12/01/31

............

1,892

1,943,036

3.00%,

12/01/36

............

1,698

1,710,406

2.00%,

12/01/41

............

1,743

1,612,154

1.50%,

12/01/44

............

1,980

1,705,406

1.25%,

12/01/47

............

1,862

1,540,838

0.50%,

12/01/50

............

1,713

1,192,296

0.25%,

12/01/54

............

403

257,962

11,541,030

France

—

9.2%

French

Republic

(a)

2.10%,

07/25/23

(b)

...........

EUR

1,517

1,650,092

0.25%,

07/25/24

............

1,472

1,626,682

0.10%,

03/01/25

............

980

1,069,454

0.10%,

03/01/26

(b)

...........

828

920,877

1.85%,

07/25/27

............

1,909

2,334,058

0.10%,

03/01/28

............

1,214

1,367,056

0.10%,

03/01/29

............

757

854,998

3.40%,

07/25/29

............

617

861,415

0.70%,

07/25/30

(b)

...........

1,471

1,757,428

0.10%,

07/25/31

(b)

...........

729

832,886

0.10%,

03/01/32

............

437

502,934

3.15%,

07/25/32

............

978

1,445,170

0.10%,

03/01/36

(b)

...........

467

537,562

0.10%,

07/25/36

(b)

...........

781

879,608

0.10%,

07/25/38

(b)

...........

314

353,626

1.80%,

07/25/40

(b)

...........

1,179

1,710,851

0.10%,

07/25/47

(b)

...........

1,020

1,171,049

0.10%,

07/25/53

(b)

...........

267

316,215

20,191,961

Germany

—

2.5%

Federal

Republic

of

Germany

(a)

0.10%,

04/15/26

............

1,451

1,622,138

0.50%,

04/15/30

............

1,747

2,095,186

0.10%,

04/15/33

............

470

558,910

0.10%,

04/15/46

............

965

1,321,338

5,597,572

United

Kingdom

—

3.4%

U.K.

Treasury

Inflation

Linked

Bonds

0.13%,

03/22/24

(a)

...........

GBP

214

277,115

0.13%,

03/22/26

(a)

...........

162

215,472

1.25%,

11/22/27

(a)

...........

215

313,093

0.13%,

08/10/28

(a)

...........

146

203,456

0.13%,

03/22/29

(a)

...........

221

310,685

0.13%,

08/10/31

(a)

...........

122

179,174

1.25%,

11/22/32

(a)

...........

158

259,166

0.75%,

03/22/34

(a)

...........

263

415,529

1.81%,

01/26/35

............

42

145,654

0.13%,

11/22/36

(a)

...........

169

256,100

1.13%,

11/22/37

(a)

...........

195

340,764

Security

Par

(000)

Par

(000)

Value

United

Kingdom

(continued)

0.13%,

03/22/39

(a)

...........

GBP

48

$

72,814

0.63%,

03/22/40

(a)

...........

201

332,546

0.13%,

08/10/41

(a)

...........

152

236,372

0.63%,

11/22/42

(a)

...........

157

268,209

0.13%,

03/22/44

(a)

...........

179

278,942

0.13%,

03/22/46

(a)

...........

163

257,108

0.75%,

11/22/47

(a)

...........

190

343,024

0.13%,

08/10/48

(a)

...........

125

199,182

0.50%,

03/22/50

(a)

...........

120

211,076

0.13%,

03/22/51

(a)

...........

61

97,839

0.25%,

03/22/52

(a)

...........

151

253,415

1.25%,

11/22/55

(a)

...........

177

389,828

0.13%,

11/22/56

(a)

...........

92

154,016

0.13%,

03/22/58

(a)

...........

115

194,899

0.38%,

03/22/62

(a)

...........

159

301,019

0.13%,

11/22/65

(a)

...........

82

150,101

0.13%,

03/22/68

(a)

...........

144

273,749

0.13%,

03/22/73

(a)

...........

35

72,637

Series

8MO,

8.63%,

01/17/24

(a)

..

52

240,442

Series

8MO,

10.29%,

07/22/30

(a)

.

37

168,988

7,412,414

Total

Foreign

Government

Obligations

—

28.1%

(Cost:

$68,226,479)

..............................

61,875,094

U.S.

Treasury

Obligations

U.S.

Treasury

Inflation

Linked

Bonds

2.38%, 01/15/25

-

01/15/27

.....

USD

371

400,196

2.00%, 01/15/26

............

32

34,774

1.75%, 01/15/28

............

123

134,276

3.63%, 04/15/28

............

172

206,571

2.50%, 01/15/29

............

376

434,206

3.88%, 04/15/29

............

199

249,243

3.38%, 04/15/32

............

107

140,121

2.13%, 02/15/40

-

02/15/41

.....

637

789,545

0.75%, 02/15/42

-

02/15/45

.....

640

625,141

0.63%, 02/15/43

............

322

306,119

1.38%, 02/15/44

............

376

413,097

1.00%, 02/15/46

-

02/15/49

.....

729

748,670

0.88%, 02/15/47

............

335

332,537

0.25%, 02/15/50

............

204

174,509

0.13%, 02/15/51

-

02/15/52

.....

399

332,679

U.S.

Treasury

Inflation

Linked

Notes

0.38%, 07/15/23

-

07/15/27

.....

2,501

2,548,603

0.63%, 01/15/24

-

01/15/26

.....

999

1,024,001

0.50%, 04/15/24

-

01/15/28

.....

1,432

1,459,205

0.13%, 07/15/24

-

01/15/32

.....

7,145

7,189,620

0.25%, 01/15/25

-

07/15/29

.....

1,720

1,741,033

0.75%, 07/15/28

............

664

694,240

0.88%, 01/15/29

............

462

485,802

Total

U.S.

Treasury

Obligations

—

9.3%

(Cost:

$21,498,282)

..............................

20,464,188

Total

Long-Term

Investments

—

37.4%

(Cost:

$89,724,761)

..............................

82,339,282

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

10

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Security

Shares

Shares

Value

Short-Term

Securities

Money

Market

Funds

—

10.3%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

1.76%

(c)(d)

....

22,713,038

$

22,713,038

Total

Money

Market

Funds

—

10.3%

(Cost:

$22,713,038)

..............................

22,713,038

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

24.4%

U.S.

Treasury

Bills

(e)

1.80%, 03/23/23

............

USD

10,000

9,827,263

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

2.95%, 05/18/23

............

USD

45,000

$

43,979,109

Total

U.S.

Treasury

Obligations

—

24.4%

(Cost:

$53,843,715)

..............................

53,806,372

Total

Short-Term

Securities

—

34.7%

(Cost:

$76,556,753)

..............................

76,519,410

Total

Options

Purchased

—

0.0%

(Cost:

$156,999

)

................................

41,228

Total

Investments

—

72.1%

(Cost:

$166,438,513)

.............................

158,899,920

Other

Assets

Less

Liabilities

—

27.9%

..................

61,437,030

Net

Assets

—

100.0%

..............................

$

220,336,950

(a)

This

security

may

be

resold

to

qualified

foreign

investors

and

foreign

institutional

buyers

under

Regulation

S

of

the

Securities

Act

of

1933.

(b)

Security

exempt

from

registration

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933,

as

amended.

These

securities

may

be

resold

in

transactions

exempt

from

registration

to

qualified

institutional

investors.

(c)

Annualized

7-day

yield

as

of

period

end.

(d)

Affiliate

of

the

Fund.

(e)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

Affiliates

Investments

in

issuers

considered

to

be

affiliate(s)

of

the

Fund

during

the

year

ended

July

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

07/31/21

Purchases

at

Cost

Proceeds

from

Sale

Net

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

07/31/22

Shares

Held

at

07/31/22

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

(a)

..

$

22,001,744

$

711,294

$

—

$

—

$

—

$

22,713,038

22,713,038

$

82,175

$

—

—

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

11

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Derivative

Financial

Instruments

Outstanding

as

of

Period

End

Futures

Contracts

Description

Number

of

Contracts

Expiration

Date

Notional

Amount

(000)

Value/

Unrealized

Appreciation

(Depreciation)

Long

Contracts

Amsterdam

Exchange

Index

..................................................

89

08/19/22

$

13,277

$

1,236,349

CAC

40

10

Euro

Index

......................................................

203

08/19/22

13,437

994,337

IBEX

35

Index

............................................................

207

08/19/22

17,321

517,727

WTI

Crude

Oil

(a)

...........................................................

19

08/22/22

1,874

36,635

SGX

NIFTY

50

Index

.......................................................

229

08/25/22

7,938

390,085

FTSE

China

A50

Index

......................................................

771

08/30/22

10,557

(274,432)

Brent

Crude

Oil

(a)

..........................................................

38

08/31/22

3,951

63,541

TOPIX

Index

.............................................................

133

09/08/22

19,397

186,787

Low

Sulphur

Gasoil

(a)

.......................................................

15

09/12/22

1,634

59,960

Australia

10

Year

Bond

......................................................

1,025

09/15/22

89,498

3,793,182

SPI

200

Index

............................................................

28

09/15/22

3,386

168,876

FTSE

100

Index

..........................................................

33

09/16/22

2,972

44,389

FTSE/MIB

Index

..........................................................

175

09/16/22

20,120

339,326

U.S.

Treasury

10

Year

Note

...................................................

442

09/21/22

53,496

1,414,895

Long

Gilt

...............................................................

634

09/28/22

91,245

1,719,098

100

oz

Gold

(a)

............................................................

55

12/28/22

9,800

302,700

10,993,455

Short

Contracts

OMXS30

Index

...........................................................

746

08/19/22

15,003

(680,728)

Natural

Gas

(a)

............................................................

27

08/29/22

2,222

18,323

RBOB

Gasoline

(a)

.........................................................

45

08/31/22

5,884

103,432

Euro-Bund

..............................................................

527

09/08/22

84,908

(4,003,900)

S&P/TSX

60

Index

.........................................................

9

09/15/22

1,669

(44,379)

DAX

Index

..............................................................

22

09/16/22

7,609

(114,118)

MSCI

Hong

Kong

Equity

Index

.................................................

98

09/16/22

6,397

32,424

S&P

500

E-Mini

Index

......................................................

62

09/16/22

12,814

(700,413)

Canada

10

Year

Bond

......................................................

1,271

09/20/22

129,477

(2,973,602)

Silver

(a)

................................................................

6

09/28/22

606

(30,953)

(8,393,914)

$

2,599,541

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

See

Note

1

of

the

Notes

to

Financial

Statements

for

details

on

the

wholly-owned

subsidiary.

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

AUD

6,490,000

USD

4,508,910

Barclays

Bank

plc

08/02/22

$

25,654

AUD

5,865,000

USD

4,060,809

Toronto

Dominion

Bank

08/02/22

37,067

AUD

7,315,350

USD

5,051,083

UBS

AG

08/02/22

60,152

AUD

5,865,000

USD

4,059,900

Westpac

Banking

Corp.

08/02/22

37,976

CAD

4,080,000

USD

3,175,261

Barclays

Bank

plc

08/02/22

10,870

CAD

3,440,000

USD

2,678,147

Toronto

Dominion

Bank

08/02/22

8,199

CAD

4,293,080

USD

3,336,276

UBS

AG

08/02/22

16,252

CAD

3,440,000

USD

2,678,502

Westpac

Banking

Corp.

08/02/22

7,844

EUR

5,985,000

USD

6,092,730

Barclays

Bank

plc

08/02/22

24,239

EUR

5,985,000

USD

6,074,895

Toronto

Dominion

Bank

08/02/22

42,074

EUR

7,419,874

USD

7,537,720

UBS

AG

08/02/22

45,761

EUR

5,985,000

USD

6,079,862

Westpac

Banking

Corp.

08/02/22

37,107

GBP

1,907,000

USD

2,311,504

Barclays

Bank

plc

08/02/22

10,841

GBP

1,455,000

USD

1,756,549

Toronto

Dominion

Bank

08/02/22

15,350

GBP

1,803,499

USD

2,174,686

UBS

AG

08/02/22

21,615

GBP

1,455,000

USD

1,757,749

Westpac

Banking

Corp.

08/02/22

14,150

USD

7,081,620

EUR

6,792,000

Barclays

Bank

plc

08/02/22

139,857

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

12

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

16,655

EUR

16,000

Goldman

Sachs

International

08/02/22

$

302

USD

6,786,010

EUR

6,505,000

Toronto

Dominion

Bank

08/02/22

137,575

USD

6,787,415

EUR

6,505,000

UBS

AG

08/02/22

138,980

USD

6,794,274

EUR

6,511,874

Westpac

Banking

Corp.

08/02/22

138,813

AUD

11,102,000

(a)

USD

7,698,979

Morgan

Stanley

&

Co.

International

plc

09/21/22

64,416

CAD

1,190,000

(a)

USD

916,948

Morgan

Stanley

&

Co.

International

plc

09/21/22

12,182

CHF

14,000

(a)

USD

14,472

Morgan

Stanley

&

Co.

International

plc

09/21/22

294

CNY

25,864,000

(a)

USD

3,826,464

Morgan

Stanley

&

Co.

International

plc

09/21/22

8,355

EUR

7,356,000

(a)

USD

7,480,824

Morgan

Stanley

&

Co.

International

plc

09/21/22

64,566

GBP

22,821,000

(a)

USD

27,433,047

Morgan

Stanley

&

Co.

International

plc

09/21/22

391,199

INR

89,269,000

(a)

USD

1,111,211

Citibank

NA

09/21/22

8,831

KRW

974,773,000

(a)

USD

742,826

Societe

Generale

SA

09/21/22

5,474

MXN

107,206,000

(a)

USD

5,119,660

Morgan

Stanley

&

Co.

International

plc

09/21/22

89,486

NZD

3,449,000

(a)

USD

2,148,330

Morgan

Stanley

&

Co.

International

plc

09/21/22

20,226

USD

21,209,915

(a)

AUD

29,558,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

540,626

USD

4,369,951

(a)

BRL

22,018,000

BNP

Paribas

SA

09/21/22

175,698

USD

2,489,630

(a)

CAD

3,139,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

38,758

USD

39,485,718

(a)

CNY

263,964,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

348,143

USD

48,866,977

(a)

EUR

45,464,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

2,232,446

USD

574,958

(a)

GBP

468,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

4,354

USD

314,424

(a)

HKD

2,460,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

572

USD

1,405,508

(a)

INR

110,692,000

BNP

Paribas

SA

09/21/22

16,676

USD

38,626,089

(a)

KRW

48,465,313,000

Barclays

Bank

plc

09/21/22

1,420,916

USD

409,220

(a)

KRW

519,541,000

HSBC

Bank

plc

09/21/22

10,386

USD

4,148,140

(a)

KRW

5,398,929,000

Societe

Generale

SA

09/21/22

3,566

USD

4,719,111

(a)

MXN

95,704,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

68,849

USD

298,523

(a)

NOK

2,822,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

6,219

USD

5,699,882

(a)

NZD

9,065,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

269

USD

777,538

(a)

SEK

7,603,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

27,658

USD

434,133

(a)

SGD

597,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

1,926

USD

17,582,317

(a)

TWD

517,305,000

Barclays

Bank

plc

09/21/22

310,696

USD

606,488

(a)

TWD

17,919,000

HSBC

Bank

plc

09/21/22

8,214

6,851,679

EUR

955,000

USD

1,000,242

Barclays

Bank

plc

08/02/22

(24,184)

USD

4,655,469

AUD

6,759,000

Barclays

Bank

plc

08/02/22

(67,044)

USD

16,255

AUD

24,000

Goldman

Sachs

International

08/02/22

(514)

USD

4,316,575

AUD

6,250,000

Toronto

Dominion

Bank

08/02/22

(50,300)

USD

4,316,031

AUD

6,250,000

UBS

AG

08/02/22

(50,844)

USD

4,317,842

AUD

6,252,350

Westpac

Banking

Corp.

08/02/22

(50,675)

USD

3,083,241

CAD

3,978,000

Barclays

Bank

plc

08/02/22

(23,237)

USD

91,305

CAD

118,000

Goldman

Sachs

International

08/02/22

(843)

USD

2,883,889

CAD

3,720,000

Toronto

Dominion

Bank

08/02/22

(21,113)

USD

2,883,319

CAD

3,720,000

UBS

AG

08/02/22

(21,683)

USD

2,880,810

CAD

3,717,080

Westpac

Banking

Corp.

08/02/22

(21,911)

USD

2,189,751

GBP

1,807,000

Barclays

Bank

plc

08/02/22

(10,814)

USD

164,545

GBP

137,000

Goldman

Sachs

International

08/02/22

(2,294)

USD

1,896,163

GBP

1,560,000

Toronto

Dominion

Bank

08/02/22

(3,605)

USD

1,895,300

GBP

1,560,000

UBS

AG

08/02/22

(4,468)

USD

1,891,965

GBP

1,556,499

Westpac

Banking

Corp.

08/02/22

(3,539)

USD

4,080,976

AUD

5,865,000

Barclays

Bank

plc

09/02/22

(19,259)

USD

4,062,832

AUD

5,865,000

Toronto

Dominion

Bank

09/02/22

(37,403)

USD

4,619,315

AUD

6,670,350

UBS

AG

09/02/22

(43,942)

USD

4,061,947

AUD

5,865,000

Westpac

Banking

Corp.

09/02/22

(38,288)

USD

2,678,890

CAD

3,440,000

Barclays

Bank

plc

09/02/22

(7,329)

USD

2,677,970

CAD

3,440,000

Toronto

Dominion

Bank

09/02/22

(8,249)

USD

3,493,437

CAD

4,486,080

UBS

AG

09/02/22

(9,643)

USD

2,678,310

CAD

3,440,000

Westpac

Banking

Corp.

09/02/22

(7,909)

USD

6,105,674

EUR

5,985,000

Barclays

Bank

plc

09/02/22

(24,813)

USD

6,087,888

EUR

5,985,000

Toronto

Dominion

Bank

09/02/22

(42,599)

USD

7,555,085

EUR

7,419,874

UBS

AG

09/02/22

(45,156)

USD

6,092,790

EUR

5,985,000

Westpac

Banking

Corp.

09/02/22

(37,697)

USD

1,763,550

GBP

1,455,000

Barclays

Bank

plc

09/02/22

(9,635)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

13

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

1,757,781

GBP

1,455,000

Toronto

Dominion

Bank

09/02/22

$

(15,403)

USD

1,947,332

GBP

1,611,499

UBS

AG

09/02/22

(16,575)

USD

1,758,964

GBP

1,455,000

Westpac

Banking

Corp.

09/02/22

(14,220)

BRL

70,890,000

(a)

USD

14,206,413

Deutsche

Bank

AG

09/21/22

(702,436)

CAD

42,732,000

(a)

USD

33,914,236

Morgan

Stanley

&

Co.

International

plc

09/21/22

(549,898)

CNY

14,096,000

(a)

USD

2,098,680

Morgan

Stanley

&

Co.

International

plc

09/21/22

(8,686)

EUR

6,724,000

(a)

USD

7,185,894

Morgan

Stanley

&

Co.

International

plc

09/21/22

(288,776)

GBP

9,262,000

(a)

USD

11,597,319

Morgan

Stanley

&

Co.

International

plc

09/21/22

(304,731)

INR

68,482,000

(a)

USD

861,723

HSBC

Bank

plc

09/21/22

(2,492)

INR

3,027,289,000

(a)

USD

38,539,153

Standard

Chartered

Bank

09/21/22

(556,315)

JPY

2,041,101,000

(a)

USD

15,467,503

Morgan

Stanley

&

Co.

International

plc

09/21/22

(100,274)

KRW

3,805,048,000

(a)

USD

2,929,055

BNP

Paribas

SA

09/21/22

(8,049)

KRW

6,220,348,000

(a)

USD

4,812,202

Citibank

NA

09/21/22

(37,052)

MXN

538,523,000

(a)

USD

26,973,810

Morgan

Stanley

&

Co.

International

plc

09/21/22

(806,951)

NZD

7,983,000

(a)

USD

5,143,941

Morgan

Stanley

&

Co.

International

plc

09/21/22

(124,635)

TWD

196,153,000

(a)

USD

6,565,571

BNP

Paribas

SA

09/21/22

(16,474)

TWD

245,563,000

(a)

USD

8,297,265

HSBC

Bank

plc

09/21/22

(98,482)

TWD

215,742,000

(a)

USD

7,360,118

Morgan

Stanley

&

Co.

International

plc

09/21/22

(156,990)

USD

3,960,956

(a)

AUD

5,738,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(51,506)

USD

8,429,403

(a)

BRL

45,607,000

BNP

Paribas

SA

09/21/22

(258,365)

USD

5,938,380

(a)

BRL

31,681,000

HSBC

Bank

plc

09/21/22

(96,597)

USD

2,957,403

(a)

CAD

3,791,000

JPMorgan

Chase

Bank

NA

09/21/22

(2,537)

USD

14,599,429

(a)

CAD

18,964,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(207,304)

USD

1,266,086

(a)

CNY

8,573,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(5,021)

USD

7,708,976

(a)

EUR

7,595,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(81,567)

USD

19,406,230

(a)

JPY

2,618,512,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(308,265)

USD

6,471,915

(a)

KRW

8,587,649,000

Societe

Generale

SA

09/21/22

(120,531)

USD

455,210

(a)

MXN

9,399,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(1,488)

USD

14,656,364

(a)

NZD

23,760,000

Morgan

Stanley

&

Co.

International

plc

09/21/22

(282,720)

(5,913,330)

$

938,349

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

See

Note

1

of

the

Notes

to

Financial

Statements

for

details

on

the

wholly-owned

subsidiary.

OTC

Interest

Rate

Swaptions

Purchased

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Put

10-Year

Interest

Rate

Swap

(a)

3.16%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

10/12/22

3.16

%

USD

6,670

$

16,959

10-Year

Interest

Rate

Swap

(a)

2.41%

Annual

6

month

EURIBOR

Semi-Annual

Barclays

Bank

plc

10/12/22

2.41

EUR

6,712

24,269

$

41,228

(a)

Forward

settling

swaption.

Centrally

Cleared

Credit

Defa

ul

t

Swaps

—

Sell

Protection

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

ITRAXX

EUROPE

CROSSOVER

Index

Series

37.V1

.......

5.00

%

Quarterly

06/20/27

BB-

EUR

10,036

$

16,162

$

664,853

$

(648,691)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

14

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Centrally

Cleared

Credit

Default

Swaps

—

Sell

Protection

(continued)

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

Markit

CDX

North

American

High

Yield

Index

Series

38.V2

...........

5.00

%

Quarterly

06/20/27

BB-

USD

9,

833

$

166,343

$

424,172

$

(257,829)

$

182,505

$

1,089,025

$

(906,520)

(a)

Using

the

rating

of

the

issuer

or

the

underlying

securities

of

the

index,

as

applicable,

provided

by

S&P

Global

Ratings.

(b)

The

maximum

potential

amount

the

Fund

may

pay

should

a

negative

credit

event

take

place

as

defined

under

the

terms

of

the

agreement.

OTC

Total

Return

Swap

s

-

Future

Reference

Entity

Fixed

Amount

Paid

/

(Received)

by

the

Fund

(a)

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

BOVESPA

Index

Futures

August

2022

................

BRL

(2,244,712)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

2,245

$

(27,955)

$

—

$

(27,955)

BOVESPA

Index

Futures

August

2022

................

BRL

(4,279,664)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

4,280

(16,139)

—

(16,139)

BOVESPA

Index

Futures

August

2022

................

BRL

(1,500,899)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

1,501

(11,089)

—

(11,089)

BOVESPA

Index

Futures

August

2022

................

BRL

(7,697,779)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

7,698

(58,245)

—

(58,245)

BOVESPA

Index

Futures

August

2022

................

BRL

(10,674,374)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

10,674

(45,138)

—

(45,138)

BOVESPA

Index

Futures

August

2022

................

BRL

(14,309,172)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

14,309

14,868

—

14,868

Swiss

Market

Index

Futures

September

2022

........

BRL

(38,411,435)

Merrill

Lynch

International

&

Co.

08/17/22

BRL

38,411

35,128

—

35,128

TAIEX

Index

Futures

August

2022

................

TWD

877,629,459

Merrill

Lynch

International

&

Co.

08/17/22

TWD

877,629

926,306

—

926,306

BOVESPA

Index

Futures

August

2022

................

KRW

(24,336,658,325)

Merrill

Lynch

International

&

Co.

09/08/22

KRW

24,336,658

1,242,626

—

1,242,626

Swiss

Market

Index

Futures

September

2022

........

KRW

(1,611,690,150)

Merrill

Lynch

International

&

Co.

09/08/22

KRW

1,611,690

(66,525)

—

(66,525)

Swiss

Market

Index

Futures

September

2022

........

KRW

(1,182,234,000)

Merrill

Lynch

International

&

Co.

09/08/22

KRW

1,182,234

(23,634)

—

(23,634)

Swiss

Market

Index

Futures

September

2022

........

KRW

(1,555,263,050)

Merrill

Lynch

International

&

Co.

09/08/22

KRW

1,555,263

14,530

—

14,530

Swiss

Market

Index

Futures

September

2022

........

CHF

(2,841,597)

HSBC

Bank

plc

09/16/22

CHF

2,842

(63,857)

—

(63,857)

Swiss

Market

Index

Futures

September

2022

........

CHF

(2,986,158)

HSBC

Bank

plc

09/16/22

CHF

2,986

(146,538)

—

(146,538)

Swiss

Market

Index

Futures

September

2022

........

CHF

(555,743)

HSBC

Bank

plc

09/16/22

CHF

556

(2,529)

—

(2,529)

Swiss

Market

Index

Futures

September

2022

........

CHF

(1,100,120)

HSBC

Bank

plc

09/16/22

CHF

1,100

(16,999)

—

(16,999)

$

1,754,810

$

—

$

1,754,810

(a)

At

termination,

the

fixed

amount

paid

(received)

will

be

exchanged

for

the

total

return

of

the

reference

entity.

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

15

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

(a)

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:

OTC

Total

Return

Swaps

Reference

Entity

Payment

Frequency

Counterparty

(a)

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

(b)

06/16/25

$

(539,668)

$

542,133

(c)

$

(4,587)

42.6

%

Monthly

BNP

Paribas

SA

(d)

11/17/23

(131,426)

228,052

(e)

82,012

48.9

Monthly

Citibank

NA

(f)

02/24/23-02/27/23

(218,929)

175,359

(g)

(43,322)

16.4

Monthly

Goldman

Sachs

International

(h)

02/27/23-03/01/23

(339,005)

387,101

(i)

3,979

31.1

Monthly

JPMorgan

Chase

Bank

NA

(j)

02/08/23

23,293

(20,529)

(k)

4,839

3.2

Quarterly

Merrill

Lynch

International

&

Co.

(l)

02/15/23

(164,386)

227,086

(m)

60,281

16.0

$

1,539,202

$

103,202

(b)

(d)

(f)

Range:

15-2,050

basis

points

0-1,200

basis

points

0-477

basis

points

Benchmarks:

AUD

-

1D

Overnight

Reserve

Bank

of

Australia

Rate

(AONIA)

AUD

-

1D

Overnight

Reserve

Bank

of

Australia

Rate

(AONIA)

AUD

-

1D

Overnight

Reserve

Bank

of

Australia

Rate

(AONIA)

CHF

-

Swiss

Average

Rate

O/N

(SSARON)

Bank

of

Canada

Overnight

Rate

Target

(CABROVER)

CAD

-

1D

Overnight

Bank

of

Canada

Repo

Rate

(CORRA)

DKK

-

1M

Copenhagen

Interbank

Offer

Rate

(CIBOR)

CHF

-

Swiss

Average

Rate

O/N

(SSARON)

CHF

-

Swiss

Average

Rate

O/N

(SSARON)

EUR

-

1D

Euro

Short

Term

Rate

(ESTR)

DKK

-

Annualized

Overnight

Deposit

MID

Rate

DKK

-

1W

Copenhagen

Interbank

Swap

Rate

(CIBOR)

GBP

-

1D

Sterling

Overnight

Index

Average

(SONIA)

EUR

-

1D

Euro

Short

Term

Rate

(ESTR)

EUR

-

1D

Euro

Short

Term

Rate

(ESTR)

HKD

-

Overnight

Index

Average

(HONIA)

GBP

-

1D

Sterling

Overnight

Index

Average

(SONIA)

GBP

-

1D

Sterling

Overnight

Index

Average

(SONIA)

JPY

-

Provisional

1D

Overnight

Tokyo

Average

Rate

(TONA)

HKD

-

Overnight

Index

Average

(HONIA)

HKD

-

Overnight

Index

Average

(HONIA)

NOK

-

1M

Norway

Interbank

Offer

Rate

(NIBOR)

JPY

-

1D

Overnight

Tokyo

Average

Rate

(TONA)

ILS

-

1M

Tel

Aviv

Interbank

Offer

Rate

(TELBOR)

NZD

-

1M

New

Zealand

Bank

Bill

Rate

(BBR)

NOK

-

Norwegian

Overnight

Weighted

Average

(NOWA)

JPY

-

Provisional

1D

Overnight

Tokyo

Average

Rate

(TONA)

SEK

-

1M

Stockholm

Interbank

Offer

Rate

(STIBOR)

NZD

-

1D

New

Zealand

Official

Overnight

Deposit

Rate

(NZOCO)

NOK

-

1W

Norway

Interbank

Offer

Rate

(NIBOR)

SGD

-

Overnight

Rate

Average

(SORA)

SEK

-

1W

Stockholm

Interbank

Offer

Rate

(STIBOR)

SEK

-

1W

Stockholm

Interbank

Offer

Rate

(STIBOR)

USD

-

1D

Overnight

Bank

Funding

Rate

(OBFR01)

SGD

-

Overnight

Rate

Average

(SORA)

SGD

-

Overnight

Rate

Average

(SORA)

USD

-

1D

Overnight

Bank

Funding

Rate

(OBFR01)

USD

-

1D

Overnight

Bank

Funding

Rate

(OBFR01)

(h)

(j)

(l)

Range:

15-2,280

basis

points

15-35

basis

points

0-70

basis

points

Benchmarks:

AUD

-

1D

Overnight

Reserve

Bank

of

Australia

Rate

(AONIA)

Bank

of

Canada

Overnight

Rate

Target

(CABROVER)

AUD

-

1D

Overnight

Reserve

Bank

of

Australia

Rate

(AONIA)

CAD

-

1D

Overnight

Bank

of

Canada

Repo

Rate

(CORRA)

CAD

-

Overnight

Interbank

Rate

Overnight

Bank

of

Canada

Overnight

Rate

Target

(CABROVER)

CHF

-

Swiss

Average

Rate

O/N

(SSARON)

USD

-

1D

Overnight

Bank

Funding

Rate

(OBFR01)

CHF

-

Swiss

Average

Rate

O/N

(SSARON)

DKK

-

Danish

Tom/Next

Reference

Rate

(DETNT/N)

DKK

-

1W

Copenhagen

Interbank

Swap

Rate

(CIBOR)

EUR

-

1D

Euro

Short

Term

Rate

(ESTR)

EUR

-

1D

Euro

Short

Term

Rate

(ESTR)

GBP

-

1D

Sterling

Overnight

Index

Average

(SONIA)

GBP

-

1D

Sterling

Overnight

Index

Average

(SONIA)

HKD

-

Overnight

Index

Average

(HONIA)

ILS

-

1M

Tel

Aviv

Interbank

Offer

Rate

(TELBOR)

ILS

-

1D

Overnight

Tel

Aviv

Interbank

Offer

Rate

(TELBOR)

JPY

-

Provisional

1D

Overnight

Tokyo

Average

Rate

(TONA)

JPY

-

Provisional

1D

Overnight

Tokyo

Average

Rate

(TONA)

NOK

-

1W

Norway

Interbank

Offer

Rate

(NIBOR)

NOK

-

Norwegian

Overnight

Weighted

Average

(NOWA)

NZD

-

1M

New

Zealand

Bank

Bill

Rate

(BBR)

NZD

-

1D

New

Zealand

Official

Overnight

Deposit

Rate

(NZOCO)

SEK

-

1W

Stockholm

Interbank

Offer

Rate

(STIBOR)

SEK

-

1D

Overnight

Stockholm

Interbank

Offer

Rate

(STIBOR)

USD

-

1D

Overnight

Bank

Funding

Rate

(OBFR01)

SGD

-

Overnight

Rate

Average

(SORA)

USD

-

1D

Overnight

Fed

Funds

Effective

Rate

(FEDL01)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

16

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

(c)

Amount

includes

$7,052

of

net

dividends

and

financing

fees.

(e)

Amount

includes

$14,614

of

net

dividends

and

financing

fees.

(g)

Amount

includes

$(248)

of

net

dividends

and

financing

fees.

(i)

Amount

includes

$44,117

of

net

dividends

and

financing

fees.

(k)

Amount

includes

$(2,075)

of

net

dividends

and

financing

fees.

(m)

Amount

includes

$2,419

of

net

dividends

and

financing

fees.

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

June

16,

2025:

Shares

Value

%

of

Basket

Value

Reference

Entity

—

Long

Common

Stocks

Australia

Ampol

Ltd.

..............

2,300

$

54,491

(1,187.9)

%

Aristocrat

Leisure

Ltd.

......

5,473

136,541

(2,976.6)

Aurizon

Holdings

Ltd.

......

7,481

21,174

(461.6)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

2,898

46,835

(1,021.0)

BlueScope

Steel

Ltd.

.......

4,185

49,159

(1,071.6)

Brambles

Ltd.

............

2,528

20,347

(443.6)

Cochlear

Ltd.

............

132

19,896

(433.7)

Coles

Group

Ltd.

.........

12,892

169,792

(3,701.4)

IDP

Education

Ltd.

........

1,953

39,294

(856.6)

Lottery

Corp.

Ltd.

(The)

.....

15,985

50,706

(1,105.4)

QBE

Insurance

Group

Ltd.

...

470

3,800

(82.8)

REA

Group

Ltd.

..........

666

58,757

(1,280.9)

670,792

Austria

Mondi

plc

...............

2,339

44,388

(967.6)

OMV

AG

...............

990

42,164

(919.2)

86,552

Belgium

Elia

Group

SA/NV

.........

283

42,963

(936.6)

Groupe

Bruxelles

Lambert

SA

.

2,401

212,525

(4,633.0)

UCB

SA

...............

357

27,895

(608.1)

Umicore

SA

.............

773

28,000

(610.4)

311,383

Brazil

MercadoLibre,

Inc.

........

35

28,480

(620.8)

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

48

131,056

(2,857.0)

Coloplast

A/S,

Class

B

......

1,232

144,192

(3,143.3)

DSV

A/S

...............

718

120,984

(2,637.4)

Genmab

A/S

............

498

177,198

(3,862.9)

Novo

Nordisk

A/S,

Class

B

...

2,356

274,413

(5,982.1)

Pandora

A/S

............

1,144

84,990

(1,852.8)

932,833

Finland

Elisa

OYJ

..............

440

24,334

(530.5)

Kesko

OYJ,

Class

B

.......

623

15,409

(335.9)

Neste

OYJ

..............

243

12,495

(272.4)

Nokia

OYJ

..............

9,323

48,560

(1,058.6)

Stora

Enso

OYJ,

Class

R

....

1,345

20,801

(453.5)

121,599

France

Arkema

SA

.............

1,228

116,335

(2,536.1)

BioMerieux

.............

201

21,756

(474.3)

BNP

Paribas

SA

..........

3,034

143,348

(3,125.0)

Bureau

Veritas

SA

.........

1,947

53,699

(1,170.6)

Dassault

Systemes

SE

.....

1,751

75,103

(1,637.2)

Eiffage

SA

..............

1,714

160,840

(3,506.3)

Shares

Value

%

of

Basket

Value

France

(continued)

Engie

SA

...............

2,754

$

34,073

(742.8)

%

Eurazeo

SE

.............

971

69,356

(1,511.9)

Hermes

International

.......

80

109,756

(2,392.6)

Kering

SA

..............

106

60,684

(1,322.9)

La

Francaise

des

Jeux

SAEM

.

1,264

45,148

(984.2)

Orange

SA

..............

28,400

290,204

(6,326.4)

Pernod

Ricard

SA

.........

692

135,940

(2,963.4)

Publicis

Groupe

SA

........

4,006

213,181

(4,647.3)

Sanofi

.................

904

89,834

(1,958.3)

Societe

Generale

SA

.......

2,684

60,139

(1,311.0)

Teleperformance

..........

131

43,807

(955.0)

Thales

SA

..............

190

23,628

(515.1)

Vivendi

SE

..............

10,473

99,424

(2,167.4)

1,846,255

Germany

Bayer

AG

(Registered)

......

2,095

122,202

(2,664.0)

Beiersdorf

AG

............

1,756

181,087

(3,947.6)

Covestro

AG

............

1,217

41,044

(894.7)

Deutsche

Boerse

AG

.......

351

61,272

(1,335.7)

Deutsche

Post

AG

(Registered)

6,775

270,593

(5,898.8)

Evonik

Industries

AG

.......

3,699

78,898

(1,720.0)

GEA

Group

AG

...........

1,142

42,628

(929.3)

HeidelbergCement

AG

......

381

19,407

(423.1)

Henkel

AG

&

Co.

KGaA

(Preference)

..........

943

60,242

(1,313.3)

LEG

Immobilien

SE

........

164

14,899

(324.8)

Mercedes-Benz

Group

AG

...

631

37,213

(811.2)

Merck

KGaA

............

308

58,662

(1,278.8)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

531

120,381

(2,624.3)

SAP

SE

................

1,179

109,968

(2,397.3)

1,218,496

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

13,000

92,036

(2,006.4)

New

World

Development

Co.

Ltd.

................

16,000

53,502

(1,166.3)

Power

Assets

Holdings

Ltd.

..

8,500

55,656

(1,213.3)

Sun

Hung

Kai

Properties

Ltd.

.

8,000

95,497

(2,081.8)

296,691

Ireland

Smurfit

Kappa

Group

plc

....

4,489

162,715

(3,547.2)

Italy

Coca-Cola

HBC

AG

........

3,436

84,565

(1,843.5)

Enel

SpA

...............

32,509

163,887

(3,572.7)

Eni

SpA

................

7,653

91,994

(2,005.4)

Moncler

SpA

............

2,194

109,983

(2,397.6)

Poste

Italiane

SpA

.........

2,935

24,655

(537.5)

475,084

Japan

Ajinomoto

Co.,

Inc.

........

1,500

39,474

(860.5)

Asahi

Kasei

Corp.

.........

22,400

179,702

(3,917.5)

Astellas

Pharma,

Inc.

.......

3,200

50,116

(1,092.5)

Chugai

Pharmaceutical

Co.

Ltd.

2,200

61,804

(1,347.3)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

17

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Dai

Nippon

Printing

Co.

Ltd.

..

2,300

$

50,755

(1,106.4)

%

Daiwa

House

Industry

Co.

Ltd.

3,400

84,007

(1,831.3)

Denso

Corp.

............

2,900

158,616

(3,457.8)

Dentsu

Group,

Inc.

........

800

27,945

(609.2)

ENEOS

Holdings,

Inc.

......

23,900

92,455

(2,015.5)

Fuji

Electric

Co.

Ltd.

.......

800

36,133

(787.7)

Fujitsu

Ltd.

..............

500

67,031

(1,461.3)

Hankyu

Hanshin

Holdings,

Inc.

2,800

81,219

(1,770.5)

Hirose

Electric

Co.

Ltd.

.....

300

43,100

(939.6)

Honda

Motor

Co.

Ltd.

......

8,000

205,018

(4,469.3)

Hoya

Corp.

.............

600

60,115

(1,310.5)

Ibiden

Co.

Ltd.

...........

1,600

47,219

(1,029.3)

Isuzu

Motors

Ltd.

.........

9,200

100,911

(2,199.8)

Ito

En

Ltd.

..............

400

18,849

(410.9)

ITOCHU

Corp.

...........

3,400

98,973

(2,157.6)

Japan

Tobacco,

Inc.

.......

17,500

314,223

(6,850.0)

JSR

Corp.

..............

700

19,389

(422.7)

Kajima

Corp.

............

10,900

124,431

(2,712.6)

KDDI

Corp.

.............

6,600

211,611

(4,613.1)

Kikkoman

Corp.

..........

1,200

71,154

(1,551.1)

Kyocera

Corp.

...........

800

44,471

(969.5)

Lixil

Corp.

..............

5,400

111,754

(2,436.2)

Marubeni

Corp.

...........

2,700

25,116

(547.5)

Mazda

Motor

Corp.

........

24,000

202,310

(4,410.3)

Mitsubishi

Electric

Corp.

.....

23,600

249,080

(5,429.9)

Mitsubishi

Estate

Co.

Ltd.

....

1,900

28,218

(615.1)

Mitsui

Chemicals,

Inc.

......

5,200

109,534

(2,387.8)

Murata

Manufacturing

Co.

Ltd.

1,000

58,411

(1,273.3)

NEC

Corp.

..............

800

29,532

(643.8)

NGK

Insulators

Ltd.

........

13,500

197,454

(4,304.4)

NIPPON

EXPRESS

HOLDINGS,

Inc.

.................

1,000

59,755

(1,302.7)

Nippon

Telegraph

&

Telephone

Corp.

...............

10,300

294,223

(6,414.0)

Nissan

Chemical

Corp.

.....

400

20,453

(445.9)

Nitto

Denko

Corp.

.........

2,600

167,428

(3,649.9)

Nomura

Real

Estate

Holdings,

Inc.

.................

5,300

128,575

(2,802.9)

Olympus

Corp.

...........

1,100

23,542

(513.2)

Ono

Pharmaceutical

Co.

Ltd.

.

2,400

67,485

(1,471.2)

ORIX

Corp.

.............

4,200

74,852

(1,631.7)

Osaka

Gas

Co.

Ltd.

........

12,700

228,322

(4,977.4)

Panasonic

Holdings

Corp.

...

5,700

47,060

(1,025.9)

Recruit

Holdings

Co.

Ltd.

....

2,500

93,433

(2,036.8)

Resona

Holdings,

Inc.

......

20,100

78,114

(1,702.9)

Secom

Co.

Ltd.

...........

800

53,432

(1,164.8)

Seiko

Epson

Corp.

........

2,600

39,059

(851.5)

Sekisui

Chemical

Co.

Ltd.

....

8,600

120,997

(2,637.7)

Sekisui

House

Ltd.

........

2,500

44,278

(965.3)

Shin-Etsu

Chemical

Co.

Ltd.

..

400

51,238

(1,117.0)

Shionogi

&

Co.

Ltd.

........

500

25,646

(559.1)

SoftBank

Corp.

...........

4,300

49,718

(1,083.8)

Sompo

Holdings,

Inc.

......

1,700

75,873

(1,654.0)

Sony

Group

Corp.

.........

1,200

101,794

(2,219.1)

Subaru

Corp.

............

3,300

57,423

(1,251.8)

Sumitomo

Chemical

Co.

Ltd.

..

31,200

122,614

(2,672.9)

Suntory

Beverage

&

Food

Ltd.

1,900

74,969

(1,634.3)

Suzuki

Motor

Corp.

........

500

16,390

(357.3)

Taisei

Corp.

.............

2,200

70,195

(1,530.2)

Tokyo

Electron

Ltd.

........

200

68,839

(1,500.7)

Tokyo

Gas

Co.

Ltd.

........

13,200

259,260

(5,651.8)

TOPPAN,

Inc.

............

3,900

66,360

(1,446.6)

Toray

Industries,

Inc.

.......

23,000

125,979

(2,746.3)

Tosoh

Corp.

.............

6,900

89,943

(1,960.7)

TOTO

Ltd.

..............

2,500

85,155

(1,856.3)

Shares

Value

%

of

Basket

Value

Japan

(continued)

USS

Co.

Ltd.

............

1,600

$

31,396

(684.4)

%

Yamaha

Motor

Co.

Ltd.

.....

5,200

100,449

(2,189.8)

6,314,379

Netherlands

ASML

Holding

NV

.........

336

193,119

(4,209.9)

EXOR

NV

..............

2,353

165,492

(3,607.7)

Koninklijke

DSM

NV

.......

109

17,456

(380.5)

Koninklijke

KPN

NV

........

38,686

127,625

(2,782.2)

Koninklijke

Philips

NV

......

1,235

25,560

(557.2)

NN

Group

NV

............

4,802

225,321

(4,911.9)

Randstad

NV

............

1,839

92,949

(2,026.3)

Shell

plc

...............

2,068

55,167

(1,202.6)

902,689

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

2,252

30,115

(656.5)

Spark

New

Zealand

Ltd.

.....

29,439

94,664

(2,063.6)

124,779

Norway

DNB

Bank

ASA

...........

14,714

290,245

(6,327.3)

Equinor

ASA

............

881

33,922

(739.5)

Orkla

ASA

..............

6,047

52,199

(1,137.9)

376,366

Singapore

DBS

Group

Holdings

Ltd.

....

2,000

45,637

(994.9)

Singapore

Airlines

Ltd.

......

5,900

23,341

(508.8)

Singapore

Telecommunications

Ltd.

................

26,400

49,924

(1,088.3)

STMicroelectronics

NV

.....

3,099

117,277

(2,556.6)

United

Overseas

Bank

Ltd.

...

13,900

277,324

(6,045.6)

513,503

South

Africa

Anglo

American

plc

........

266

9,615

(209.6)

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

28,147

127,553

(2,780.6)

Banco

Santander

SA

.......

49,601

124,095

(2,705.2)

Iberdrola

SA

.............

12,542

68,688

(1,497.4)

Industria

de

Diseno

Textil

SA

..

3,235

78,568

(1,712.8)

398,904

Sweden

Alfa

Laval

AB

............

3,039

90,872

(1,981.0)

Assa

Abloy

AB,

Class

B

.....

792

18,712

(407.9)

Boliden

AB

..............

3,396

113,490

(2,474.1)

Epiroc

AB,

Class

A

........

1,639

28,980

(631.8)

Husqvarna

AB,

Class

B

.....

4,097

32,652

(711.8)

Sandvik

AB

.............

3,155

58,135

(1,267.3)

Skanska

AB,

Class

B

.......

615

10,492

(228.7)

SKF

AB,

Class

B

..........

2,667

44,884

(978.4)

Swedbank

AB,

Class

A

......

3,417

47,326

(1,031.7)

Tele2

AB,

Class

B

.........

5,666

64,726

(1,411.0)

Telia

Co.

AB

.............

7,091

26,197

(571.1)

Volvo

AB,

Class

B

.........

1,604

28,798

(627.8)

565,264

Switzerland

Adecco

Group

AG

(Registered)

984

34,663

(755.7)

Baloise

Holding

AG

(Registered)

135

21,509

(468.9)

Geberit

AG

(Registered)

.....

233

122,716

(2,675.2)

Givaudan

SA

(Registered)

...

9

31,460

(685.8)

Holcim

AG

..............

1,636

76,710

(1,672.3)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

18

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Julius

Baer

Group

Ltd.

......

372

$

19,236

(419.3)

%

Kuehne

+

Nagel

International

AG

(Registered)

...........

1,004

270,399

(5,894.6)

Novartis

AG

(Registered)

....

5,013

430,765

(9,390.6)

SGS

SA

(Registered)

.......

67

163,511

(3,564.5)

Sonova

Holding

AG

(Registered)

101

36,378

(793.0)

Straumann

Holding

AG

(Registered)

...........

810

109,553

(2,388.2)

Swiss

Life

Holding

AG

(Registered)

...........

392

207,657

(4,526.9)

Swisscom

AG

(Registered)

...

102

55,145

(1,202.1)

UBS

Group

AG

(Registered)

..

8,706

142,259

(3,101.2)

Zurich

Insurance

Group

AG

..

1,058

461,847

(10,068.1)

2,183,808

United

Kingdom

Ashtead

Group

plc

........

951

53,531

(1,167.0)

Associated

British

Foods

plc

..

1,148

23,448

(511.2)

Auto

Trader

Group

plc

......

1,472

11,348

(247.4)

BAE

Systems

plc

.........

5,371

50,481

(1,100.5)

Barratt

Developments

plc

....

17,937

109,984

(2,397.6)

Berkeley

Group

Holdings

plc

..

1,072

55,555

(1,211.1)

British

American

Tobacco

plc

.

2,627

102,935

(2,244.0)

Bunzl

plc

...............

688

25,821

(562.9)

Coca-Cola

Europacific

Partners

plc

.................

699

37,830

(824.7)

Compass

Group

plc

........

3,405

79,801

(1,739.6)

Croda

International

plc

......

692

63,283

(1,379.6)

DCC

plc

...............

1,583

103,353

(2,253.1)

Diageo

plc

..............

3,929

186,124

(4,057.5)

Entain

plc

..............

1,857

27,326

(595.7)

Experian

plc

.............

1,269

44,431

(968.6)

Imperial

Brands

plc

........

3,990

87,606

(1,909.8)

Informa

plc

..............

9,482

68,959

(1,503.3)

InterContinental

Hotels

Group

plc

.................

2,612

154,827

(3,375.2)

Intertek

Group

plc

.........

3,167

169,261

(3,689.8)

JD

Sports

Fashion

plc

......

49,272

78,262

(1,706.1)

Kingfisher

plc

............

34,686

109,742

(2,392.4)

Legal

&

General

Group

plc

...

13,380

42,729

(931.5)

Next

plc

................

446

37,130

(809.4)

Persimmon

plc

...........

1,135

26,180

(570.7)

RELX

plc

...............

4,265

126,284

(2,753.0)

Sage

Group

plc

(The)

......

22,930

197,613

(4,307.9)

Spirax-Sarco

Engineering

plc

.

341

49,755

(1,084.6)

Taylor

Wimpey

plc

.........

25,438

39,594

(863.1)

Whitbread

plc

............

4,297

136,773

(2,981.6)

WPP

plc

...............

20,206

218,071

(4,753.9)

2,518,037

United

States

A

O

Smith

Corp.

..........

861

54,475

(1,187.6)

ABIOMED,

Inc.

...........

289

84,680

(1,846.0)

Accenture

plc,

Class

A

......

623

190,800

(4,159.4)

Adobe,

Inc.

.............

1,251

513,060

(11,184.6)

Agilent

Technologies,

Inc.

....

3,505

470,021

(10,246.3)

Airbnb,

Inc.,

Class

A

.......

880

97,662

(2,129.0)

Ally

Financial,

Inc.

.........

1,361

45,008

(981.2)

AMERCO

..............

132

70,895

(1,545.5)

American

Electric

Power

Co.,

Inc.

.................

782

77,074

(1,680.2)

American

Express

Co.

......

211

32,498

(708.5)

American

Water

Works

Co.,

Inc.

467

72,590

(1,582.5)

Ameriprise

Financial,

Inc.

....

231

62,352

(1,359.2)

ANSYS,

Inc.

.............

746

208,127

(4,537.1)

Apple,

Inc.

..............

3,008

488,830

(10,656.4)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Applied

Materials,

Inc.

......

3,372

$

357,365

(7,790.5)

%

Archer-Daniels-Midland

Co.

..

4,682

387,529

(8,448.0)

Arista

Networks,

Inc.

.......

940

109,632

(2,390.0)

Assurant,

Inc.

............

284

49,922

(1,088.3)

Autodesk,

Inc.

...........

480

103,834

(2,263.5)

Automatic

Data

Processing,

Inc.

698

168,302

(3,668.9)

AutoZone,

Inc.

...........

13

27,786

(605.7)

Avery

Dennison

Corp.

......

705

134,274

(2,927.1)

Baker

Hughes

Co.

.........

5,095

130,891

(2,853.4)

Bank

of

New

York

Mellon

Corp.

(The)

...............

2,941

127,816

(2,786.4)

Berkshire

Hathaway,

Inc.,

Class

B

..................

225

67,635

(1,474.4)

Blackstone,

Inc.

..........

315

32,152

(700.9)

Booking

Holdings,

Inc.

......

53

102,592

(2,236.5)

Booz

Allen

Hamilton

Holding

Corp.

...............

948

90,989

(1,983.5)

BorgWarner,

Inc.

..........

927

35,652

(777.2)

Brown-Forman

Corp.,

Class

B

.

1,209

89,732

(1,956.1)

Bunge

Ltd.

..............

1,352

124,830

(2,721.3)

Cadence

Design

Systems,

Inc.

5,717

1,063,819

(23,191.0)

Capital

One

Financial

Corp.

..

405

44,481

(969.7)

Cardinal

Health,

Inc.

.......

1,213

72,246

(1,575.0)

Carlyle

Group,

Inc.

(The)

....

2,352

91,516

(1,995.0)

Carrier

Global

Corp.

.......

569

23,062

(502.7)

CBRE

Group,

Inc.,

Class

A

...

284

24,316

(530.1)

CDW

Corp.

.............

497

90,220

(1,966.8)

Celanese

Corp.

..........

226

26,557

(578.9)

CenterPoint

Energy,

Inc.

....

1,142

36,190

(788.9)

Chipotle

Mexican

Grill,

Inc.

...

21

32,849

(716.1)

Citigroup,

Inc.

............

2,965

153,884

(3,354.6)

CMS

Energy

Corp.

........

2,421

166,395

(3,627.4)

Coca-Cola

Co.

(The)

.......

448

28,748

(626.7)

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

2,105

143,056

(3,118.6)

ConocoPhillips

...........

279

27,183

(592.6)

Consolidated

Edison,

Inc.

....

603

59,860

(1,304.9)

Copart,

Inc.

.............

1,186

151,927

(3,312.0)

Corteva,

Inc.

............

4,484

258,054

(5,625.5)

Cummins,

Inc.

...........

1,559

345,022

(7,521.4)

CVS

Health

Corp.

.........

2,499

239,104

(5,212.4)

Datadog,

Inc.,

Class

A

......

340

34,683

(756.1)

Delta

Air

Lines,

Inc.

........

718

22,832

(497.7)

Devon

Energy

Corp.

.......

446

28,031

(611.1)

Dexcom,

Inc.

............

500

41,040

(894.7)

Diamondback

Energy,

Inc.

...

316

40,454

(881.9)

Discover

Financial

Services

..

506

51,106

(1,114.1)

DocuSign,

Inc.

...........

229

14,651

(319.4)

Dominion

Energy,

Inc.

......

2,280

186,914

(4,074.7)

Domino's

Pizza,

Inc.

.......

63

24,703

(538.5)

Dover

Corp.

.............

130

17,378

(378.8)

Dow,

Inc.

...............

1,243

66,140

(1,441.8)

Dropbox,

Inc.,

Class

A

......

13,433

305,466

(6,659.1)

DTE

Energy

Co.

..........

1,702

221,771

(4,834.5)

DuPont

de

Nemours,

Inc.

....

5,987

366,584

(7,991.4)

eBay,

Inc.

..............

3,238

157,464

(3,432.7)

Edison

International

........

1,016

68,854

(1,501.0)

Edwards

Lifesciences

Corp.

..

6,247

628,073

(13,691.8)

Electronic

Arts,

Inc.

........

1,129

148,159

(3,229.8)

Elevance

Health,

Inc.

.......

81

38,645

(842.5)

Eli

Lilly

&

Co.

............

385

126,931

(2,767.1)

Emerson

Electric

Co.

.......

1,271

114,479

(2,495.6)

Equifax,

Inc.

.............

8

1,671

(36.4)

Equitable

Holdings,

Inc.

.....

2,574

73,179

(1,595.3)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

19

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

586

$

160,037

(3,488.8)

%

Evergy,

Inc.

.............

1,079

73,653

(1,605.6)

Eversource

Energy

........

664

58,578

(1,277.0)

Exelon

Corp.

............

3,818

177,499

(3,869.4)

Expedia

Group,

Inc.

........

924

97,990

(2,136.2)

Expeditors

International

of

Washington,

Inc.

........

2,252

239,275

(5,216.1)

FactSet

Research

Systems,

Inc.

265

113,865

(2,482.2)

Fair

Isaac

Corp.

..........

424

195,901

(4,270.6)

Fastenal

Co.

............

1,082

55,572

(1,211.4)

FedEx

Corp.

............

683

159,200

(3,470.5)

Ferguson

plc

............

450

56,609

(1,234.1)

First

Republic

Bank

........

188

30,589

(666.8)

FMC

Corp.

..............

175

19,443

(423.8)

Fortinet,

Inc.

.............

1,525

90,966

(1,983.0)

Fortive

Corp.

............

1,990

128,256

(2,795.9)

Fortune

Brands

Home

&

Security,

Inc.

.................

755

52,608

(1,146.8)

Garmin

Ltd.

.............

1,422

138,816

(3,026.1)

General

Motors

Co.

........

1,980

71,795

(1,565.1)

Genuine

Parts

Co.

........

1,422

217,381

(4,738.9)

Gilead

Sciences,

Inc.

.......

5,432

324,562

(7,075.4)

Halliburton

Co.

...........

1,730

50,689

(1,105.0)

Hartford

Financial

Services

Group,

Inc.

(The)

.......

337

21,726

(473.6)

Hershey

Co.

(The)

........

1,818

414,431

(9,034.5)

Hewlett

Packard

Enterprise

Co.

4,179

59,509

(1,297.3)

Hologic,

Inc.

.............

1,745

124,558

(2,715.3)

Home

Depot,

Inc.

(The)

.....

94

28,288

(616.7)

HubSpot,

Inc.

............

56

17,248

(376.0)

IDEX

Corp.

.............

109

22,754

(496.0)

IDEXX

Laboratories,

Inc.

....

44

17,564

(382.9)

Illinois

Tool

Works,

Inc.

......

1,769

367,527

(8,012.0)

Illumina,

Inc.

............

206

44,636

(973.1)

Incyte

Corp.

.............

2,166

168,255

(3,667.9)

Intel

Corp.

..............

9,073

329,441

(7,181.7)

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

4,640

138,597

(3,021.4)

Intuit,

Inc.

..............

1,068

487,190

(10,620.6)

Invesco

Ltd.

.............

1,068

18,946

(413.0)

Jacobs

Engineering

Group,

Inc.

472

64,806

(1,412.7)

James

Hardie

Industries

plc,

CDI

................

11,251

277,863

(6,057.3)

JB

Hunt

Transport

Services,

Inc.

1,698

311,192

(6,783.9)

Johnson

Controls

International

plc

.................

2,506

135,098

(2,945.1)

JPMorgan

Chase

&

Co.

.....

405

46,721

(1,018.5)

Juniper

Networks,

Inc.

......

5,961

167,087

(3,642.5)

Keysight

Technologies,

Inc.

...

2,666

433,492

(9,450.0)

KLA

Corp.

..............

257

98,570

(2,148.8)

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,034

111,768

(2,436.5)

Kroger

Co.

(The)

..........

914

42,446

(925.3)

Lam

Research

Corp.

.......

391

195,699

(4,266.2)

Lennar

Corp.,

Class

A

......

41

3,485

(76.0)

Lennox

International,

Inc.

....

144

34,492

(751.9)

LKQ

Corp.

..............

2,175

119,277

(2,600.2)

Lowe's

Cos.,

Inc.

.........

116

22,217

(484.3)

Lyft,

Inc.,

Class

A

.........

3,283

45,502

(991.9)

LyondellBasell

Industries

NV,

Class

A

..............

914

81,456

(1,775.7)

Marathon

Oil

Corp.

........

1,579

39,159

(853.7)

Marathon

Petroleum

Corp.

...

1,800

164,988

(3,596.7)

Masco

Corp.

............

383

21,211

(462.4)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Masimo

Corp.

............

650

$

93,977

(2,048.7)

%

Merck

&

Co.,

Inc.

.........

1,380

123,289

(2,687.7)

MetLife,

Inc.

.............

12,841

812,193

(17,705.6)

Mettler-Toledo

International,

Inc.

54

72,885

(1,588.9)

Microsoft

Corp.

...........

1,822

511,508

(11,150.7)

Molina

Healthcare,

Inc.

.....

847

277,579

(6,051.1)

Monolithic

Power

Systems,

Inc.

144

66,920

(1,458.8)

Nasdaq,

Inc.

............

123

22,251

(485.1)

Nestle

SA

(Registered)

.....

1,588

194,573

(4,241.6)

NetApp,

Inc.

.............

5,594

399,020

(8,698.5)

Neurocrine

Biosciences,

Inc.

..

360

33,887

(738.7)

News

Corp.,

Class

A

.......

3,213

55,071

(1,200.5)

NiSource,

Inc.

...........

1,570

47,728

(1,040.5)

Nordson

Corp.

...........

234

54,052

(1,178.3)

Norfolk

Southern

Corp.

.....

103

25,871

(564.0)

Northern

Trust

Corp.

.......

818

81,620

(1,779.3)

Nucor

Corp.

.............

143

19,419

(423.3)

NVIDIA

Corp.

............

178

32,330

(704.8)

NVR,

Inc.

...............

18

79,076

(1,723.8)

Old

Dominion

Freight

Line,

Inc.

367

111,388

(2,428.2)

ONEOK,

Inc.

............

6,669

398,406

(8,685.1)

Otis

Worldwide

Corp.

.......

2,544

198,864

(4,335.2)

Owens

Corning

...........

736

68,257

(1,488.0)

Packaging

Corp.

of

America

..

328

46,120

(1,005.4)

Palo

Alto

Networks,

Inc.

.....

251

125,274

(2,730.9)

Paychex,

Inc.

............

941

120,711

(2,631.5)

Paycom

Software,

Inc.

......

147

48,582

(1,059.1)

Pentair

plc

..............

633

30,947

(674.6)

PepsiCo,

Inc.

............

909

159,039

(3,467.0)

Philip

Morris

International,

Inc.

524

50,907

(1,109.8)

Phillips

66

..............

991

88,199

(1,922.7)

Pinterest,

Inc.,

Class

A

......

4,405

85,809

(1,870.6)

Pool

Corp.

..............

383

136,999

(2,986.5)

Procter

&

Gamble

Co.

(The)

..

2,188

303,935

(6,625.7)

Public

Service

Enterprise

Group,

Inc.

.................

2,269

149,005

(3,248.3)

QUALCOMM,

Inc.

.........

982

142,449

(3,105.4)

Regeneron

Pharmaceuticals,

Inc.

.................

90

52,352

(1,141.3)

RingCentral,

Inc.,

Class

A

....

951

47,065

(1,026.0)

Robert

Half

International,

Inc.

.

1,121

88,716

(1,934.0)

Roche

Holding

AG

........

506

167,994

(3,662.2)

Schlumberger

NV

.........

15,431

571,410

(12,456.6)

Seagate

Technology

Holdings

plc

.................

318

25,434

(554.4)

Sealed

Air

Corp.

..........

1,992

121,751

(2,654.1)

Sempra

Energy

..........

1,862

308,720

(6,730.0)

ServiceNow,

Inc.

..........

640

285,862

(6,231.7)

Starbucks

Corp.

..........

2,002

169,730

(3,700.1)

State

Street

Corp.

.........

327

23,230

(506.4)

Steel

Dynamics,

Inc.

.......

2,386

185,822

(4,050.9)

Stellantis

NV

............

16,490

236,801

(5,162.2)

SVB

Financial

Group

.......

401

161,824

(3,527.7)

Synchrony

Financial

.......

1,158

38,770

(845.2)

Synopsys,

Inc.

...........

405

148,838

(3,244.6)

Texas

Instruments,

Inc.

.....

920

164,579

(3,587.8)

Travelers

Cos.,

Inc.

(The)

....

117

18,568

(404.8)

Trimble,

Inc.

.............

2,585

179,477

(3,912.5)

Tyson

Foods,

Inc.,

Class

A

...

1,192

104,908

(2,287.0)

Uber

Technologies,

Inc.

.....

1,928

45,212

(985.6)

UGI

Corp.

..............

6,604

285,029

(6,213.6)

Ulta

Beauty,

Inc.

..........

267

103,839

(2,263.7)

United

Parcel

Service,

Inc.,

Class

B

..................

314

61,195

(1,334.0)

United

Rentals,

Inc.

........

381

122,937

(2,680.0)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

20

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Vail

Resorts,

Inc.

..........

604

$

143,227

(3,122.3)

%

Veeva

Systems,

Inc.,

Class

A

.

651

145,551

(3,173.0)

VeriSign,

Inc.

............

920

174,027

(3,793.7)

Vertex

Pharmaceuticals,

Inc.

..

457

128,147

(2,793.6)

Waters

Corp.

............

212

77,174

(1,682.4)

Webster

Financial

Corp.

.....

473

21,971

(479.0)

Westlake

Corp.

...........

1,624

158,080

(3,446.1)

WestRock

Co.

...........

1,918

81,246

(1,771.2)

Workday,

Inc.,

Class

A

......

645

100,040

(2,180.8)

WW

Grainger,

Inc.

.........

428

232,631

(5,071.3)

Zebra

Technologies

Corp.,

Class

A

..................

361

129,126

(2,814.9)

28,036,608

Total

Reference

Entity

—

Long

............

48,094,832

Reference

Entity

—

Short

Common

Stocks

Australia

APA

Group

..............

(14,187)

(116,324)

2,535.8

Commonwealth

Bank

of

Australia

.............

(2,076)

(147,432)

3,214.0

Computershare

Ltd.

........

(1,566)

(27,666)

603.1

Domino's

Pizza

Enterprises

Ltd.

(4,796)

(245,219)

5,345.7

Evolution

Mining

Ltd.

.......

(26,493)

(48,940)

1,066.9

Glencore

plc

............

(17,996)

(101,996)

2,223.5

Macquarie

Group

Ltd.

......

(492)

(62,968)

1,372.7

Mineral

Resources

Ltd.

.....

(630)

(24,005)

523.3

National

Australia

Bank

Ltd.

..

(3,956)

(85,436)

1,862.5

Newcrest

Mining

Ltd.

.......

(7,343)

(98,956)

2,157.2

Northern

Star

Resources

Ltd.

.

(12,190)

(66,992)

1,460.4

Origin

Energy

Ltd.

.........

(5,586)

(23,452)

511.3

Ramsay

Health

Care

Ltd.

....

(6,876)

(339,687)

7,405.1

Reece

Ltd.

..............

(3,725)

(40,231)

877.0

Sonic

Healthcare

Ltd.

......

(3,652)

(87,946)

1,917.2

Telstra

Corp.

Ltd.

.........

(45,587)

(124,590)

2,716.0

Transurban

Group

.........

(15,701)

(160,491)

3,498.7

Westpac

Banking

Corp.

.....

(2,880)

(43,612)

950.7

WiseTech

Global

Ltd.

.......

(282)

(9,987)

217.7

Woodside

Energy

Group

Ltd.

.

(1,209)

(27,300)

595.1

Woolworths

Group

Ltd.

.....

(7,289)

(191,767)

4,180.5

(2,074,997)

Belgium

Anheuser-Busch

InBev

SA/NV

(1,937)

(103,761)

2,262.0

Sofina

SA

..............

(99)

(23,185)

505.4

Solvay

SA

..............

(1,244)

(109,264)

2,381.9

(236,210)

Brazil

Yara

International

ASA

......

(1,175)

(50,076)

1,091.6

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(58,000)

(160,598)

3,501.0

Futu

Holdings

Ltd.,

ADR

.....

(2,308)

(96,013)

2,093.1

NXP

Semiconductors

NV

....

(133)

(24,456)

533.1

(281,067)

Denmark

Chr

Hansen

Holding

A/S

....

(1,164)

(76,187)

1,660.9

Demant

A/S

.............

(1,412)

(53,791)

1,172.6

GN

Store

Nord

A/S

........

(2,271)

(79,086)

1,724.0

Orsted

A/S

..............

(324)

(37,719)

822.3

Shares

Value

%

of

Basket

Value

Denmark

(continued)

ROCKWOOL

A/S,

Class

B

...

(85)

$

(21,063)

459.2

%

(267,846)

Finland

Fortum

OYJ

.............

(13,732)

(154,132)

3,360.1

Kone

OYJ,

Class

B

........

(263)

(12,019)

262.0

Orion

OYJ,

Class

B

........

(496)

(23,678)

516.2

(189,829)

France

Accor

SA

...............

(10,838)

(281,234)

6,130.8

Adevinta

ASA

............

(5,256)

(39,969)

871.3

Aeroports

de

Paris

........

(1,512)

(208,916)

4,554.3

Air

Liquide

SA

...........

(1,738)

(238,944)

5,208.9

Airbus

SE

..............

(769)

(82,915)

1,807.5

Alstom

SA

..............

(2,305)

(54,780)

1,194.2

AXA

SA

................

(3,156)

(72,722)

1,585.3

Bollore

SE

..............

(19,131)

(96,590)

2,105.6

Bouygues

SA

............

(3,187)

(96,342)

2,100.2

Cie

Generale

des

Etablissements

Michelin

SCA

..........

(2,209)

(61,818)

1,347.6

Credit

Agricole

SA

.........

(2,712)

(24,988)

544.7

Electricite

de

France

SA

.....

(11,886)

(144,347)

3,146.7

EssilorLuxottica

SA

........

(409)

(64,124)

1,397.9

L'Oreal

SA

..............

(986)

(372,765)

8,126.2

Remy

Cointreau

SA

........

(135)

(26,670)

581.4

Renault

SA

.............

(4,297)

(127,038)

2,769.4

Sartorius

Stedim

Biotech

....

(43)

(17,202)

375.0

Sodexo

SA

.............

(314)

(25,514)

556.2

Ubisoft

Entertainment

SA

....

(1,183)

(50,366)

1,098.0

Valeo

.................

(1,183)

(25,411)

554.0

Veolia

Environnement

SA

....

(1,678)

(41,968)

914.9

Vinci

SA

...............

(402)

(38,535)

840.1

Worldline

SA

............

(1,349)

(59,542)

1,298.0

(2,252,700)

Germany

adidas

AG

..............

(533)

(92,205)

2,010.0

Aroundtown

SA

...........

(4,614)

(14,797)

322.6

Continental

AG

...........

(2,168)

(154,451)

3,367.0

Deutsche

Lufthansa

AG

(Registered)

...........

(13,248)

(81,553)

1,777.8

Deutsche

Telekom

AG

(Registered)

...........

(3,543)

(67,314)

1,467.4

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(2,231)

(82,711)

1,803.1

Hannover

Rueck

SE

.......

(253)

(35,887)

782.3

Porsche

Automobil

Holding

SE

(Preference)

..........

(420)

(30,400)

662.7

RWE

AG

...............

(4,265)

(175,454)

3,824.8

Scout24

SE

.............

(1,034)

(59,112)

1,288.6

Siemens

Energy

AG

.......

(847)

(14,075)

306.8

Siemens

Healthineers

AG

....

(764)

(39,150)

853.5

Telefonica

Deutschland

Holding

AG

.................

(53,777)

(142,973)

3,116.8

United

Internet

AG

(Registered),

Class

G

..............

(1,434)

(37,773)

823.5

Vonovia

SE

.............

(3,589)

(119,585)

2,606.9

Zalando

SE

.............

(3,143)

(88,485)

1,929.0

(1,235,925)

Hong

Kong

CK

Infrastructure

Holdings

Ltd.

(32,500)

(203,800)

4,442.8

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

..

(195,500)

(176,824)

3,854.7

HKT

Trust

&

HKT

Ltd.

......

(104,000)

(145,716)

3,176.6

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

21

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Hong

Kong

(continued)

Jardine

Matheson

Holdings

Ltd.

(2,100)

$

(110,913)

2,417.9

%

(637,253)

Ireland

AerCap

Holdings

NV

.......

(2,040)

(91,515)

1,995.0

Kingspan

Group

plc

........

(1,038)

(67,188)

1,464.7

(158,703)

Israel

Wix.com

Ltd.

............

(174)

(10,323)

225.1

Italy

Atlantia

SpA

.............

(2,885)

(66,674)

1,453.5

Infrastrutture

Wireless

Italiane

SpA

................

(5,248)

(55,148)

1,202.2

Nexi

SpA

...............

(3,140)

(28,518)

621.7

(150,340)

Japan

Aeon

Co.

Ltd.

............

(5,200)

(104,868)

2,286.1

Aisin

Corp.

..............

(1,500)

(44,548)

971.1

Asahi

Group

Holdings

Ltd.

...

(800)

(27,813)

606.3

Bandai

Namco

Holdings,

Inc.

.

(1,300)

(101,559)

2,214.0

Bridgestone

Corp.

.........

(600)

(23,404)

510.2

Brother

Industries

Ltd.

......

(5,200)

(97,403)

2,123.4

Canon,

Inc.

.............

(3,500)

(82,802)

1,805.1

Central

Japan

Railway

Co.

...

(1,900)

(222,484)

4,850.1

Chubu

Electric

Power

Co.,

Inc.

(11,800)

(125,876)

2,744.1

Dai-ichi

Life

Holdings,

Inc.

...

(2,700)

(46,966)

1,023.9

Daiichi

Sankyo

Co.

Ltd.

.....

(1,100)

(29,166)

635.8

Daikin

Industries

Ltd.

.......

(200)

(35,076)

764.6

East

Japan

Railway

Co.

.....

(1,100)

(57,428)

1,251.9

Fast

Retailing

Co.

Ltd.

......

(200)

(121,118)

2,640.3

FUJIFILM

Holdings

Corp.

....

(1,200)

(68,546)

1,494.3

GMO

Payment

Gateway,

Inc.

.

(1,600)

(132,965)

2,898.6

Hikari

Tsushin,

Inc.

........

(100)

(11,019)

240.2

Iida

Group

Holdings

Co.

Ltd.

..

(3,300)

(54,029)

1,177.8

Inpex

Corp.

.............

(9,200)

(105,448)

2,298.8

Itochu

Techno-Solutions

Corp.

.

(2,300)

(61,639)

1,343.7

Japan

Exchange

Group,

Inc.

..

(900)

(14,311)

312.0

Japan

Post

Bank

Co.

Ltd.

....

(15,300)

(122,395)

2,668.2

Japan

Post

Holdings

Co.

Ltd.

.

(4,200)

(30,239)

659.2

Japan

Post

Insurance

Co.

Ltd.

(2,200)

(35,569)

775.4

JFE

Holdings,

Inc.

.........

(5,200)

(58,629)

1,278.1

Keio

Corp.

..............

(1,700)

(65,093)

1,419.0

Keisei

Electric

Railway

Co.

Ltd.

(600)

(16,450)

358.6

Keyence

Corp.

...........

(300)

(118,903)

2,592.0

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(19,986)

435.7

Kobe

Bussan

Co.

Ltd.

......

(7,300)

(208,088)

4,536.3

Koei

Tecmo

Holdings

Co.

Ltd.

.

(7,150)

(249,609)

5,441.4

Koito

Manufacturing

Co.

Ltd.

..

(400)

(13,149)

286.6

Kose

Corp.

.............

(1,500)

(133,893)

2,918.8

Kubota

Corp.

............

(15,200)

(252,371)

5,501.6

Kurita

Water

Industries

Ltd.

...

(600)

(24,336)

530.5

Lasertec

Corp.

...........

(1,200)

(171,804)

3,745.3

M3,

Inc.

................

(700)

(24,388)

531.7

Makita

Corp.

............

(2,400)

(58,652)

1,278.6

Mitsubishi

Chemical

Group

Corp.

...............

(4,400)

(24,744)

539.4

Mitsubishi

Corp.

..........

(1,700)

(50,523)

1,101.4

Mitsubishi

HC

Capital,

Inc.

...

(7,300)

(35,375)

771.2

Mitsubishi

Heavy

Industries

Ltd.

(4,000)

(148,530)

3,237.9

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(22,100)

(124,522)

2,714.6

Mitsui

&

Co.

Ltd.

..........

(1,000)

(22,062)

481.0

Shares

Value

%

of

Basket

Value

Japan

(continued)

Mitsui

Fudosan

Co.

Ltd.

.....

(2,500)

$

(55,874)

1,218.0

%

Mitsui

OSK

Lines

Ltd.

......

(800)

(21,937)

478.2

Mizuho

Financial

Group,

Inc.

..

(3,500)

(41,742)

910.0

Nexon

Co.

Ltd.

...........

(4,100)

(93,079)

2,029.1

Nidec

Corp.

.............

(1,600)

(111,190)

2,423.9

Nihon

M&A

Center

Holdings,

Inc.

.................

(4,400)

(58,881)

1,283.6

Nintendo

Co.

Ltd.

.........

(200)

(89,435)

1,949.7

Nippon

Paint

Holdings

Co.

Ltd.

(2,600)

(19,875)

433.3

Nippon

Sanso

Holdings

Corp.

.

(8,000)

(134,901)

2,940.8

Nippon

Shinyaku

Co.

Ltd.

....

(500)

(30,946)

674.6

NTT

Data

Corp.

..........

(4,500)

(68,108)

1,484.7

Obic

Co.

Ltd.

............

(400)

(63,948)

1,394.0

Odakyu

Electric

Railway

Co.

Ltd.

(10,600)

(152,030)

3,314.2

Oji

Holdings

Corp.

.........

(3,600)

(15,009)

327.2

Open

House

Group

Co.

Ltd.

..

(1,600)

(69,800)

1,521.6

Oracle

Corp.

Japan

........

(800)

(49,895)

1,087.7

Otsuka

Corp.

............

(5,200)

(162,166)

3,535.2

Otsuka

Holdings

Co.

Ltd.

....

(7,100)

(253,633)

5,529.1

Rakuten

Group,

Inc.

.......

(19,700)

(97,664)

2,129.0

Renesas

Electronics

Corp.

...

(9,100)

(86,676)

1,889.5

SBI

Holdings,

Inc.

.........

(3,500)

(71,006)

1,547.9

SCSK

Corp.

.............

(3,600)

(63,397)

1,382.0

Sharp

Corp.

.............

(8,200)

(66,002)

1,438.8

Shimizu

Corp.

...........

(8,200)

(46,483)

1,013.3

Shiseido

Co.

Ltd.

.........

(1,300)

(53,473)

1,165.7

SoftBank

Group

Corp.

......

(4,300)

(180,629)

3,937.7

Square

Enix

Holdings

Co.

Ltd.

.

(1,500)

(69,600)

1,517.3

SUMCO

Corp.

...........

(6,300)

(88,154)

1,921.7

Sumitomo

Electric

Industries

Ltd.

................

(28,500)

(317,741)

6,926.7

T&D

Holdings,

Inc.

........

(2,300)

(26,032)

567.5

Takeda

Pharmaceutical

Co.

Ltd.

(3,500)

(102,691)

2,238.6

TIS,

Inc.

...............

(7,100)

(201,314)

4,388.6

Tobu

Railway

Co.

Ltd.

......

(3,500)

(83,107)

1,811.7

Toho

Co.

Ltd.

............

(1,600)

(63,537)

1,385.1

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(18,800)

(73,985)

1,612.9

Tokyu

Corp.

.............

(4,800)

(58,856)

1,283.0

Toshiba

Corp.

............

(1,200)

(48,681)

1,061.2

Unicharm

Corp.

..........

(1,000)

(36,222)

789.6

Welcia

Holdings

Co.

Ltd.

....

(5,500)

(122,842)

2,677.9

West

Japan

Railway

Co.

....

(3,500)

(128,558)

2,802.5

Z

Holdings

Corp.

..........

(7,900)

(27,920)

608.7

(7,184,797)

Jordan

Hikma

Pharmaceuticals

plc

...

(2,453)

(51,849)

1,130.3

Luxembourg

ArcelorMittal

SA

..........

(3,757)

(92,700)

2,020.8

Eurofins

Scientific

SE

......

(188)

(14,656)

319.5

(107,356)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(4,692)

(47,849)

1,043.1

Akzo

Nobel

NV

...........

(224)

(15,075)

328.6

Argenx

SE

..............

(296)

(108,129)

2,357.2

ASM

International

NV

......

(204)

(62,663)

1,366.0

Euronext

NV

............

(1,573)

(128,166)

2,794.0

ING

Groep

NV

...........

(5,657)

(54,951)

1,197.9

JDE

Peet's

NV

...........

(5,023)

(145,679)

3,175.8

OCI

NV

................

(775)

(26,906)

586.5

Universal

Music

Group

NV

...

(11,954)

(270,597)

5,898.9

(860,015)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

22

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

New

Zealand

Xero

Ltd.

...............

(1,064)

$

(70,095)

1,528.0

%

Norway

Gjensidige

Forsikring

ASA

...

(1,266)

(26,479)

577.3

Singapore

Grab

Holdings

Ltd.,

Class

A

..

(9,466)

(27,925)

608.7

Keppel

Corp.

Ltd.

.........

(32,500)

(162,376)

3,539.8

Sea

Ltd.,

ADR

...........

(1,721)

(131,347)

2,863.3

Singapore

Exchange

Ltd.

....

(19,500)

(139,787)

3,047.3

Venture

Corp.

Ltd.

.........

(12,800)

(163,075)

3,555.0

(624,510)

Spain

Aena

SME

SA

...........

(613)

(77,538)

1,690.3

Amadeus

IT

Group

SA

......

(619)

(36,094)

786.8

CaixaBank

SA

...........

(17,870)

(53,659)

1,169.8

Cellnex

Telecom

SA

.......

(4,646)

(207,811)

4,530.2

EDP

Renovaveis

SA

.......

(2,882)

(74,959)

1,634.1

Ferrovial

SA

.............

(1,606)

(43,006)

937.5

Grifols

SA

..............

(9,099)

(132,769)

2,894.3

Naturgy

Energy

Group

SA

...

(365)

(10,706)

233.4

Telefonica

SA

............

(25,444)

(113,574)

2,475.9

(750,116)

Sweden

Atlas

Copco

AB,

Class

A

....

(6,904)

(80,703)

1,759.3

Electrolux

AB,

Class

B

......

(7,517)

(108,424)

2,363.6

Embracer

Group

AB

.......

(3,926)

(29,918)

652.2

EQT

AB

................

(2,573)

(69,840)

1,522.5

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(10,096)

(129,174)

2,816.0

Hexagon

AB,

Class

B

......

(3,797)

(44,708)

974.6

Holmen

AB,

Class

B

.......

(1,320)

(54,241)

1,182.5

Nibe

Industrier

AB,

Class

B

...

(8,260)

(83,212)

1,814.0

Securitas

AB,

Class

B

......

(4,853)

(49,075)

1,069.8

Skandinaviska

Enskilda

Banken

AB,

Class

A

...........

(5,472)

(59,281)

1,292.3

(708,576)

Switzerland

ABB

Ltd.

(Registered)

......

(13,217)

(401,792)

8,759.0

Bachem

Holding

AG

(Registered),

Class

B

....

(490)

(33,042)

720.3

Barry

Callebaut

AG

(Registered)

(39)

(86,411)

1,883.7

Cie

Financiere

Richemont

SA

.

(815)

(98,271)

2,142.3

Credit

Suisse

Group

AG

(Registered)

...........

(15,951)

(92,780)

2,022.6

EMS-Chemie

Holding

AG

(Registered)

...........

(68)

(53,998)

1,177.1

Logitech

International

SA

(Registered)

...........

(730)

(41,071)

895.3

Lonza

Group

AG

(Registered)

.

(285)

(173,209)

3,775.9

Partners

Group

Holding

AG

..

(37)

(40,395)

880.6

Swiss

Prime

Site

AG

(Registered)

...........

(1,020)

(92,885)

2,024.9

TE

Connectivity

Ltd.

.......

(1,102)

(147,370)

3,212.6

VAT

Group

AG

...........

(25)

(7,279)

158.7

(1,268,503)

United

Kingdom

Admiral

Group

plc

.........

(878)

(20,520)

447.3

AstraZeneca

plc

..........

(808)

(106,285)

2,317.0

AVEVA

Group

plc

.........

(3,813)

(110,312)

2,404.8

BP

plc

.................

(9,757)

(47,753)

1,041.0

BT

Group

plc

............

(66,216)

(130,732)

2,849.9

Halma

plc

..............

(3,850)

(108,427)

2,363.7

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Hargreaves

Lansdown

plc

...

(8,694)

$

(90,007)

1,962.1

%

Johnson

Matthey

plc

.......

(3,318)

(86,747)

1,891.1

Liberty

Global

plc,

Class

C

...

(4,532)

(103,738)

2,261.5

Linde

plc

...............

(221)

(66,742)

1,455.0

Melrose

Industries

plc

......

(30,050)

(59,152)

1,289.5

NatWest

Group

plc

........

(34,522)

(104,852)

2,285.8

Ocado

Group

plc

.........

(5,151)

(52,954)

1,154.4

Pearson

plc

.............

(3,194)

(29,561)

644.4

Phoenix

Group

Holdings

plc

..

(27,440)

(216,190)

4,712.9

Rentokil

Initial

plc

.........

(26,098)

(172,324)

3,756.6

Rolls-Royce

Holdings

plc

....

(126,484)

(138,239)

3,013.6

Schroders

plc

............

(2,040)

(73,994)

1,613.1

Severn

Trent

plc

..........

(4,519)

(162,466)

3,541.7

St

James's

Place

plc

.......

(3,375)

(50,696)

1,105.2

Unilever

plc

.............

(4,243)

(206,646)

4,504.8

United

Utilities

Group

plc

....

(7,874)

(104,618)

2,280.7

Vodafone

Group

plc

........

(123,698)

(182,289)

3,973.8

(2,425,244)

United

States

AbbVie,

Inc.

.............

(395)

(56,686)

1,235.7

Affirm

Holdings,

Inc.

.......

(3,655)

(98,100)

2,138.6

Aflac,

Inc.

..............

(817)

(46,814)

1,020.5

Air

Products

&

Chemicals,

Inc.

(2,076)

(515,325)

11,234.0

Albemarle

Corp.

..........

(227)

(55,458)

1,209.0

Allegion

plc

.............

(629)

(66,485)

1,449.4

Alliant

Energy

Corp.

.......

(1,944)

(118,448)

2,582.1

Allstate

Corp.

(The)

........

(1,564)

(182,941)

3,988.1

Amazon.com,

Inc.

.........

(91)

(12,280)

267.7

AMC

Entertainment

Holdings,

Inc.,

Class

A

...........

(5,479)

(79,774)

1,739.1

Amcor

plc

..............

(8,652)

(112,043)

2,442.5

Ameren

Corp.

............

(3,574)

(332,811)

7,255.2

AMETEK,

Inc.

...........

(902)

(111,397)

2,428.4

Amphenol

Corp.,

Class

A

....

(3,643)

(280,985)

6,125.4

Analog

Devices,

Inc.

.......

(973)

(167,317)

3,647.5

Apollo

Global

Management,

Inc.

(3,646)

(208,187)

4,538.4

AppLovin

Corp.,

Class

A

.....

(3,482)

(123,750)

2,697.7

Aptiv

plc

...............

(937)

(98,282)

2,142.5

Aramark

...............

(2,734)

(91,316)

1,990.7

Arthur

J

Gallagher

&

Co.

....

(1,257)

(224,990)

4,904.7

AT&T,

Inc.

..............

(5,471)

(102,745)

2,239.8

Avalara,

Inc.

.............

(916)

(80,077)

1,745.7

Avantor,

Inc.

.............

(952)

(27,627)

602.3

Ball

Corp.

..............

(366)

(26,872)

585.8

Baxter

International,

Inc.

....

(609)

(35,724)

778.8

Becton

Dickinson

and

Co.

...

(548)

(133,882)

2,918.6

Bentley

Systems,

Inc.,

Class

B

(1,809)

(71,636)

1,561.7

Bill.com

Holdings,

Inc.

......

(682)

(92,125)

2,008.3

BioMarin

Pharmaceutical,

Inc.

.

(2,321)

(199,722)

4,353.9

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(179)

(100,824)

2,197.9

Bio-Techne

Corp.

.........

(179)

(68,965)

1,503.4

Block,

Inc.,

Class

A

........

(2,460)

(187,108)

4,078.9

Boeing

Co.

(The)

.........

(615)

(97,976)

2,135.8

Boston

Scientific

Corp.

......

(5,953)

(244,371)

5,327.2

Bristol-Myers

Squibb

Co.

....

(1,632)

(120,409)

2,624.9

Broadcom,

Inc.

...........

(1,000)

(535,480)

11,673.3

Broadridge

Financial

Solutions,

Inc.

.................

(284)

(45,596)

994.0

Brown

&

Brown,

Inc.

.......

(705)

(45,895)

1,000.5

Burlington

Stores,

Inc.

......

(375)

(52,924)

1,153.7

Caesars

Entertainment,

Inc.

..

(4,859)

(222,008)

4,839.7

Campbell

Soup

Co.

........

(4,578)

(225,924)

4,925.1

CarMax,

Inc.

............

(2,388)

(237,702)

5,181.8

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

23

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Carnival

Corp.

...........

(22,697)

$

(205,635)

4,482.8

%

Carvana

Co.

............

(2,351)

(68,532)

1,494.0

Catalent,

Inc.

............

(605)

(68,425)

1,491.7

Caterpillar,

Inc.

...........

(235)

(46,589)

1,015.6

Ceridian

HCM

Holding,

Inc.

..

(2,202)

(120,604)

2,629.1

CF

Industries

Holdings,

Inc.

..

(844)

(80,594)

1,756.9

CH

Robinson

Worldwide,

Inc.

.

(305)

(33,763)

736.0

Charles

Schwab

Corp.

(The)

..

(1,634)

(112,828)

2,459.6

Charter

Communications,

Inc.,

Class

A

..............

(540)

(233,334)

5,086.6

Chevron

Corp.

...........

(456)

(74,684)

1,628.1

Chewy,

Inc.,

Class

A

.......

(2,961)

(114,916)

2,505.1

Church

&

Dwight

Co.,

Inc.

...

(3,795)

(333,846)

7,277.8

Cisco

Systems,

Inc.

........

(487)

(22,095)

481.7

Citizens

Financial

Group,

Inc.

.

(2,331)

(88,508)

1,929.5

Clarivate

plc

.............

(10,488)

(151,971)

3,312.9

Cleveland-Cliffs,

Inc.

.......

(1,708)

(30,249)

659.4

Clorox

Co.

(The)

..........

(861)

(122,124)

2,662.3

Cloudflare,

Inc.,

Class

A

.....

(2,119)

(106,628)

2,324.5

CME

Group,

Inc.

..........

(782)

(155,993)

3,400.6

Coinbase

Global,

Inc.,

Class

A

(901)

(56,727)

1,236.6

Conagra

Brands,

Inc.

.......

(516)

(17,652)

384.8

Constellation

Brands,

Inc.,

Class

A

..................

(817)

(201,235)

4,386.9

Cooper

Cos.,

Inc.

(The)

.....

(384)

(125,568)

2,737.4

Corning,

Inc.

............

(1,753)

(64,440)

1,404.8

Costco

Wholesale

Corp.

.....

(200)

(108,260)

2,360.0

Crown

Holdings,

Inc.

.......

(2,335)

(237,423)

5,175.8

Darden

Restaurants,

Inc.

....

(491)

(61,125)

1,332.5

DaVita,

Inc.

.............

(2,244)

(188,855)

4,117.0

DENTSPLY

SIRONA,

Inc.

...

(1,532)

(55,397)

1,207.6

DISH

Network

Corp.,

Class

A

.

(9,895)

(171,876)

3,746.9

Dollar

General

Corp.

.......

(1,108)

(275,260)

6,000.6

Dollar

Tree,

Inc.

..........

(770)

(127,327)

2,775.7

Eastman

Chemical

Co.

.....

(1,532)

(146,965)

3,203.8

Elanco

Animal

Health,

Inc.

...

(694)

(14,060)

306.5

Entegris,

Inc.

............

(608)

(66,819)

1,456.6

EQT

Corp.

..............

(917)

(40,376)

880.2

Erie

Indemnity

Co.,

Class

A

..

(1,065)

(216,578)

4,721.4

Etsy,

Inc.

...............

(757)

(78,516)

1,711.6

Exact

Sciences

Corp.

......

(3,194)

(144,049)

3,140.2

F5,

Inc.

................

(395)

(66,107)

1,441.1

Fifth

Third

Bancorp

........

(2,102)

(71,720)

1,563.5

First

Citizens

BancShares,

Inc.,

Class

A

..............

(91)

(68,858)

1,501.1

Fiserv,

Inc.

..............

(2,378)

(251,307)

5,478.4

FleetCor

Technologies,

Inc.

...

(517)

(113,787)

2,480.5

Fox

Corp.,

Class

A

........

(1,838)

(60,856)

1,326.6

Freeport-McMoRan,

Inc.

....

(1,029)

(32,465)

707.7

Generac

Holdings,

Inc.

.....

(216)

(57,953)

1,263.4

General

Electric

Co.

.......

(2,179)

(161,050)

3,510.8

Global

Payments,

Inc.

......

(628)

(76,817)

1,674.6

Globe

Life,

Inc.

...........

(2,306)

(232,283)

5,063.7

HCA

Healthcare,

Inc.

.......

(659)

(139,985)

3,051.6

HEICO

Corp.

............

(1,732)

(273,154)

5,954.7

Hess

Corp.

.............

(513)

(57,697)

1,257.8

Hilton

Worldwide

Holdings,

Inc.

(1,159)

(148,433)

3,235.8

Honeywell

International,

Inc.

..

(840)

(161,666)

3,524.3

Horizon

Therapeutics

plc

....

(445)

(36,922)

804.9

Hormel

Foods

Corp.

.......

(2,192)

(108,153)

2,357.7

Howmet

Aerospace,

Inc.

....

(2,276)

(84,508)

1,842.2

Huntington

Ingalls

Industries,

Inc.

.................

(220)

(47,705)

1,040.0

IAC/InterActiveCorp

........

(3,074)

(210,569)

4,590.3

Intercontinental

Exchange,

Inc.

(228)

(23,254)

506.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

International

Business

Machines

Corp.

...............

(1,350)

$

(176,567)

3,849.1

%

International

Paper

Co.

.....

(4,552)

(194,689)

4,244.2

Intuitive

Surgical,

Inc.

......

(371)

(85,393)

1,861.5

IQVIA

Holdings,

Inc.

.......

(244)

(58,626)

1,278.0

Jack

Henry

&

Associates,

Inc.

.

(835)

(173,488)

3,782.0

Jazz

Pharmaceuticals

plc

....

(177)

(27,623)

602.2

Johnson

&

Johnson

........

(426)

(74,346)

1,620.7

Kimberly-Clark

Corp.

.......

(1,806)

(238,013)

5,188.6

Kinder

Morgan,

Inc.

........

(2,537)

(45,641)

995.0

Laboratory

Corp.

of

America

Holdings

.............

(217)

(56,895)

1,240.3

Las

Vegas

Sands

Corp.

.....

(7,825)

(294,924)

6,429.3

Lear

Corp.

..............

(803)

(121,365)

2,645.7

Leidos

Holdings,

Inc.

.......

(675)

(72,225)

1,574.5

Liberty

Broadband

Corp.,

Class

C

..................

(3,550)

(386,702)

8,430.0

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(1,370)

(92,845)

2,024.0

LPL

Financial

Holdings,

Inc.

..

(347)

(72,842)

1,587.9

Lumen

Technologies,

Inc.

....

(2,323)

(25,297)

551.5

M&T

Bank

Corp.

..........

(525)

(93,161)

2,030.9

MarketAxess

Holdings,

Inc.

..

(286)

(77,443)

1,688.2

Marriott

International,

Inc.,

Class

A

..................

(2,722)

(432,308)

9,424.2

Marsh

&

McLennan

Cos.,

Inc.

.

(612)

(100,344)

2,187.5

Martin

Marietta

Materials,

Inc.

.

(392)

(138,015)

3,008.7

Marvell

Technology,

Inc.

.....

(784)

(43,653)

951.6

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(1,272)

(111,109)

2,422.2

McDonald's

Corp.

.........

(496)

(130,632)

2,847.7

McKesson

Corp.

..........

(332)

(113,405)

2,472.2

Medtronic

plc

............

(1,594)

(147,477)

3,215.0

Meta

Platforms,

Inc.,

Class

A

.

(237)

(37,707)

822.0

MGM

Resorts

International

...

(1,745)

(57,114)

1,245.1

Microchip

Technology,

Inc.

...

(2,941)

(202,517)

4,414.8

Moderna,

Inc.

............

(156)

(25,598)

558.0

Mohawk

Industries,

Inc.

.....

(189)

(24,283)

529.4

Mondelez

International,

Inc.,

Class

A

..............

(952)

(60,966)

1,329.0

Morgan

Stanley

..........

(383)

(32,287)

703.8

Motorola

Solutions,

Inc.

.....

(783)

(186,816)

4,072.5

Netflix,

Inc.

..............

(129)

(29,012)

632.5

Newell

Brands,

Inc.

........

(4,002)

(80,880)

1,763.2

Newmont

Corp.

..........

(474)

(21,463)

467.9

NortonLifeLock,

Inc.

.......

(1,259)

(30,883)

673.2

Occidental

Petroleum

Corp.

..

(1,934)

(127,160)

2,772.1

Oracle

Corp.

............

(277)

(21,562)

470.0

Palantir

Technologies,

Inc.,

Class

A

..................

(3,782)

(39,144)

853.3

Paramount

Global,

Class

B

...

(3,375)

(79,819)

1,740.0

PayPal

Holdings,

Inc.

......

(1,065)

(92,154)

2,008.9

PerkinElmer,

Inc.

.........

(692)

(105,994)

2,310.6

Plug

Power,

Inc.

..........

(3,830)

(81,732)

1,781.7

PNC

Financial

Services

Group,

Inc.

(The)

............

(928)

(153,992)

3,357.0

PPG

Industries,

Inc.

.......

(381)

(49,259)

1,073.8

PPL

Corp.

..............

(3,946)

(114,750)

2,501.5

Principal

Financial

Group,

Inc.

.

(352)

(23,563)

513.7

Prudential

Financial,

Inc.

....

(1,837)

(183,682)

4,004.2

Quest

Diagnostics,

Inc.

.....

(276)

(37,693)

821.7

Republic

Services,

Inc.

.....

(4,797)

(665,152)

14,500.1

ResMed,

Inc.

............

(532)

(127,957)

2,789.4

Rockwell

Automation,

Inc.

....

(548)

(139,893)

3,049.6

Rollins,

Inc.

.............

(1,346)

(51,915)

1,131.7

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

24

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Roper

Technologies,

Inc.

....

(761)

$

(332,306)

7,244.2

%

Ross

Stores,

Inc.

.........

(2,592)

(210,626)

4,591.6

Royal

Caribbean

Cruises

Ltd.

.

(4,115)

(159,292)

3,472.5

Royalty

Pharma

plc,

Class

A

..

(1,883)

(81,892)

1,785.2

RPM

International,

Inc.

.....

(2,706)

(244,622)

5,332.7

S&P

Global,

Inc.

..........

(178)

(67,094)

1,462.6

Salesforce,

Inc.

...........

(1,520)

(279,710)

6,097.6

Seagen,

Inc.

............

(491)

(88,370)

1,926.4

SEI

Investments

Co.

.......

(2,472)

(136,850)

2,983.3

Sensata

Technologies

Holding

plc

.................

(374)

(16,632)

362.6

Sinch

AB

...............

(5,286)

(13,402)

292.2

Sirius

XM

Holdings,

Inc.

.....

(3,187)

(21,289)

464.1

Snap-on,

Inc.

............

(332)

(74,385)

1,621.6

SolarEdge

Technologies,

Inc.

.

(264)

(95,074)

2,072.6

Southern

Co.

(The)

........

(4,343)

(333,933)

7,279.7

SS&C

Technologies

Holdings,

Inc.

.................

(2,215)

(131,062)

2,857.1

Stanley

Black

&

Decker,

Inc.

..

(1,237)

(120,397)

2,624.6

STERIS

plc

.............

(149)

(33,622)

732.9

Swiss

Re

AG

............

(1,191)

(89,369)

1,948.2

Sysco

Corp.

.............

(1,175)

(99,758)

2,174.7

T

Rowe

Price

Group,

Inc.

....

(1,209)

(149,275)

3,254.2

Take-Two

Interactive

Software,

Inc.

.................

(1,259)

(167,107)

3,642.9

Target

Corp.

.............

(801)

(130,867)

2,852.9

Teladoc

Health,

Inc.

........

(2,445)

(90,098)

1,964.1

Teledyne

Technologies,

Inc.

..

(84)

(32,878)

716.7

Teleflex,

Inc.

.............

(255)

(61,317)

1,336.7

Teradyne,

Inc.

...........

(934)

(94,231)

2,054.2

Tesla,

Inc.

..............

(99)

(88,254)

1,923.9

TJX

Cos.,

Inc.

(The)

.......

(4,553)

(278,461)

6,070.4

Tradeweb

Markets,

Inc.,

Class

A

(300)

(21,156)

461.2

TransUnion

.............

(722)

(57,204)

1,247.0

Truist

Financial

Corp.

.......

(1,505)

(75,957)

1,655.9

Twilio,

Inc.,

Class

A

........

(809)

(68,603)

1,495.5

Tyler

Technologies,

Inc.

.....

(78)

(31,122)

678.5

Union

Pacific

Corp.

........

(235)

(53,415)

1,164.4

Upstart

Holdings,

Inc.

......

(431)

(10,486)

228.6

US

Bancorp

.............

(1,285)

(60,652)

1,322.2

Verisk

Analytics,

Inc.

.......

(280)

(53,270)

1,161.3

Verizon

Communications,

Inc.

.

(979)

(45,220)

985.8

VF

Corp.

...............

(2,073)

(92,622)

2,019.1

Vimeo,

Inc.

.............

(1)

(6)

0.1

Visa,

Inc.,

Class

A

.........

(653)

(138,508)

3,019.4

Vistra

Corp.

.............

(7,305)

(188,834)

4,116.5

Vulcan

Materials

Co.

.......

(191)

(31,578)

688.4

Walmart,

Inc.

............

(1,007)

(132,974)

2,898.8

Walt

Disney

Co.

(The)

......

(914)

(96,975)

2,114.0

Warner

Bros

Discovery,

Inc.

..

(4,462)

(66,930)

1,459.1

Waste

Connections,

Inc.

.....

(2,889)

(385,306)

8,399.6

Waste

Management,

Inc.

....

(3,214)

(528,896)

11,529.8

Wayfair,

Inc.,

Class

A

.......

(1,402)

(75,582)

1,647.7

WEC

Energy

Group,

Inc.

....

(316)

(32,804)

715.1

Wells

Fargo

&

Co.

.........

(1,009)

(44,265)

965.0

Western

Digital

Corp.

.......

(497)

(24,403)

532.0

Western

Union

Co.

(The)

....

(5,918)

(100,724)

2,195.8

Williams

Cos.,

Inc.

(The)

....

(3,418)

(116,520)

2,540.1

Willis

Towers

Watson

plc

....

(1,036)

(214,390)

4,673.6

Wynn

Resorts

Ltd.

........

(2,769)

(175,776)

3,831.9

Xylem,

Inc.

..............

(553)

(50,893)

1,109.4

Zimmer

Biomet

Holdings,

Inc.

.

(707)

(78,046)

1,701.4

Zoom

Video

Communications,

Inc.,

Class

A

...........

(1,002)

(104,068)

2,268.6

Shares

Value

%

of

Basket

Value

United

States

(continued)

ZoomInfo

Technologies,

Inc.

..

(3,516)

$

(133,221)

2,904.2

%

(26,476,610)

Total

Reference

Entity

—

Short

............

(48,099,419)

Net

Value

of

Reference

Entity

—

Barclays

Bank

plc

................................

$

(4,587)

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

date

November

17,

2023:

Reference

Entity

—

Long

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

......

12,354

308,208

375.8

Aurizon

Holdings

Ltd.

......

53,987

152,799

186.3

Australia

&

New

Zealand

Banking

Group

Ltd.

............

2,587

39,641

48.4

BlueScope

Steel

Ltd.

.......

4,367

51,296

62.5

Brambles

Ltd.

............

47,580

382,957

467.0

Coles

Group

Ltd.

.........

10,553

138,987

169.5

Lottery

Corp.

Ltd.

(The)

.....

76,981

244,191

297.8

REA

Group

Ltd.

..........

2,557

225,590

275.1

Rio

Tinto

Ltd.

............

2,076

143,835

175.4

South32

Ltd.

............

7,652

20,856

25.4

Suncorp

Group

Ltd.

........

22,587

178,376

217.5

1,886,736

Austria

Mondi

plc

...............

1,280

24,291

29.6

OMV

AG

...............

6,234

265,506

323.7

voestalpine

AG

...........

3,187

71,760

87.5

361,557

Belgium

Ageas

SA/NV

............

1,207

52,680

64.2

Groupe

Bruxelles

Lambert

SA

.

1,137

100,642

122.7

Proximus

SADP

..........

11,041

152,995

186.6

UCB

SA

...............

2,315

180,892

220.6

Umicore

SA

.............

581

21,045

25.7

508,254

Brazil

MercadoLibre,

Inc.

........

38

30,921

37.7

Wheaton

Precious

Metals

Corp.

1,822

62,519

76.2

93,440

Canada

Alimentation

Couche-Tard,

Inc.

2,623

117,185

142.9

Bank

of

Montreal

.........

2,115

210,848

257.1

Bank

of

Nova

Scotia

(The)

...

3,007

183,184

223.4

Canadian

Imperial

Bank

of

Commerce

...........

3,922

198,405

241.9

Canadian

National

Railway

Co.

1,367

173,182

211.2

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

839

107,785

131.4

Constellation

Software,

Inc.

..

270

459,300

560.0

Dollarama,

Inc.

...........

413

25,031

30.5

Franco-Nevada

Corp.

......

1,087

139,187

169.7

Gildan

Activewear,

Inc.

......

2,154

63,129

77.0

Hydro

One

Ltd.

...........

11,122

310,501

378.6

iA

Financial

Corp.,

Inc.

......

467

25,696

31.3

Intact

Financial

Corp.

.......

663

98,682

120.3

Loblaw

Cos.

Ltd.

..........

3,643

331,627

404.4

Magna

International,

Inc.

....

3,199

204,273

249.1

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

25

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Canada

(continued)

Manulife

Financial

Corp.

.....

26,561

$

486,189

592.8

%

National

Bank

of

Canada

....

4,771

334,758

408.2

Onex

Corp.

.............

886

47,353

57.7

Open

Text

Corp.

..........

2,245

91,830

112.0

Parkland

Corp.

...........

3,029

84,988

103.6

Royal

Bank

of

Canada

......

6,404

624,422

761.4

Suncor

Energy,

Inc.

........

1,061

36,009

43.9

Teck

Resources

Ltd.,

Class

B

.

1,240

36,458

44.5

Toromont

Industries

Ltd.

.....

362

30,488

37.2

West

Fraser

Timber

Co.

Ltd.

..

634

59,358

72.4

WSP

Global,

Inc.

.........

433

52,242

63.7

4,532,110

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

41

111,944

136.5

Coloplast

A/S,

Class

B

......

1,404

164,323

200.4

DSV

A/S

...............

133

22,411

27.3

Genmab

A/S

............

335

119,200

145.3

Novo

Nordisk

A/S,

Class

B

...

369

42,979

52.4

Novozymes

A/S,

Class

B

....

9,500

606,863

740.0

Pandora

A/S

............

1,109

82,390

100.5

1,150,110

Finland

Elisa

OYJ

..............

2,376

131,405

160.2

Kesko

OYJ,

Class

B

.......

5,039

124,630

152.0

Neste

OYJ

..............

2,731

140,432

171.2

Nokia

OYJ

..............

4,429

23,069

28.1

Nordea

Bank

Abp

.........

22,715

223,969

273.1

Stora

Enso

OYJ,

Class

R

....

11,155

172,520

210.4

816,025

Germany

BASF

SE

...............

677

30,171

36.8

Bayer

AG

(Registered)

......

381

22,224

27.1

Beiersdorf

AG

............

592

61,050

74.4

Brenntag

SE

............

339

23,813

29.0

Covestro

AG

............

2,990

100,839

123.0

Deutsche

Bank

AG

(Registered)

4,908

42,930

52.3

Deutsche

Boerse

AG

.......

785

137,034

167.1

Deutsche

Post

AG

(Registered)

8,147

325,390

396.8

E.ON

SE

...............

40,801

366,765

447.2

Evonik

Industries

AG

.......

817

17,426

21.2

GEA

Group

AG

...........

3,925

146,511

178.6

HeidelbergCement

AG

......

1,401

71,363

87.0

Henkel

AG

&

Co.

KGaA

(Preference)

..........

1,144

73,082

89.1

Infineon

Technologies

AG

....

1,601

43,907

53.5

LEG

Immobilien

SE

........

405

36,792

44.9

Mercedes-Benz

Group

AG

...

393

23,177

28.3

Merck

KGaA

............

123

23,427

28.6

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

34

7,708

9.4

Nemetschek

SE

..........

250

16,737

20.4

Rational

AG

.............

36

25,094

30.6

SAP

SE

................

1,487

138,696

169.1

Siemens

AG

(Registered)

....

3,377

376,684

459.3

Symrise

AG

.............

1,050

122,520

149.4

2,233,340

Hong

Kong

Hang

Seng

Bank

Ltd.

......

2,100

33,874

41.3

Hongkong

Land

Holdings

Ltd.

.

9,500

49,382

60.2

Power

Assets

Holdings

Ltd.

..

12,500

81,847

99.8

Sun

Hung

Kai

Properties

Ltd.

.

5,000

59,686

72.8

Shares

Value

%

of

Basket

Value

Hong

Kong

(continued)

Swire

Pacific

Ltd.,

Class

A

...

5,500

$

31,323

38.2

%

256,112

Ireland

Smurfit

Kappa

Group

plc

....

1,370

49,659

60.5

Italy

Coca-Cola

HBC

AG

........

4,625

113,829

138.8

Enel

SpA

...............

9,284

46,803

57.1

Eni

SpA

................

44,220

531,551

648.1

Ferrari

NV

..............

141

29,943

36.5

Intesa

Sanpaolo

SpA

.......

18,957

33,664

41.1

Moncler

SpA

............

2,618

131,238

160.0

Poste

Italiane

SpA

.........

14,838

124,644

152.0

Snam

SpA

..............

8,262

41,455

50.6

1,053,127

Japan

Advantest

Corp.

..........

700

41,634

50.8

Ajinomoto

Co.,

Inc.

........

6,100

160,527

195.7

Asahi

Kasei

Corp.

.........

32,400

259,926

316.9

Astellas

Pharma,

Inc.

.......

6,400

100,233

122.2

Chugai

Pharmaceutical

Co.

Ltd.

8,600

241,598

294.6

Daiwa

House

Industry

Co.

Ltd.

700

17,296

21.1

Denso

Corp.

............

500

27,348

33.3

Dentsu

Group,

Inc.

........

1,600

55,891

68.2

ENEOS

Holdings,

Inc.

......

29,900

115,665

141.0

Hamamatsu

Photonics

KK

...

600

27,265

33.2

Hitachi

Ltd.

.............

3,500

177,198

216.1

Honda

Motor

Co.

Ltd.

......

8,200

210,143

256.2

Hoshizaki

Corp.

..........

600

17,899

21.8

Hoya

Corp.

.............

300

30,057

36.7

Ibiden

Co.

Ltd.

...........

700

20,658

25.2

Idemitsu

Kosan

Co.

Ltd.

.....

2,300

59,811

72.9

Isuzu

Motors

Ltd.

.........

4,700

51,552

62.9

Japan

Tobacco,

Inc.

.......

25,500

457,868

558.3

JSR

Corp.

..............

5,400

149,569

182.4

Kajima

Corp.

............

2,000

22,831

27.8

KDDI

Corp.

.............

2,400

76,950

93.8

Komatsu

Ltd.

............

1,600

36,989

45.1

Kyocera

Corp.

...........

4,800

266,827

325.4

Marubeni

Corp.

...........

7,900

73,488

89.6

Mazda

Motor

Corp.

........

29,900

252,044

307.3

MEIJI

Holdings

Co.

Ltd.

.....

3,300

172,293

210.1

MinebeaMitsumi,

Inc.

.......

5,300

95,337

116.3

Mitsubishi

Electric

Corp.

.....

30,400

320,848

391.2

Mitsubishi

Estate

Co.

Ltd.

....

3,300

49,010

59.8

Mitsui

Chemicals,

Inc.

......

6,500

136,918

167.0

NEC

Corp.

..............

2,600

95,978

117.0

NGK

Insulators

Ltd.

........

8,600

125,786

153.4

NIPPON

EXPRESS

HOLDINGS,

Inc.

.................

1,100

65,731

80.2

Nissan

Chemical

Corp.

.....

500

25,567

31.2

Nisshin

Seifun

Group,

Inc.

...

200

2,462

3.0

Nissin

Foods

Holdings

Co.

Ltd.

3,400

246,249

300.3

Nitto

Denko

Corp.

.........

1,600

103,032

125.6

Nomura

Real

Estate

Holdings,

Inc.

.................

4,200

101,889

124.2

Obayashi

Corp.

..........

5,700

41,920

51.1

Olympus

Corp.

...........

1,000

21,402

26.1

Ono

Pharmaceutical

Co.

Ltd.

.

15,900

447,091

545.2

ORIX

Corp.

.............

1,300

23,168

28.3

Osaka

Gas

Co.

Ltd.

........

11,100

199,557

243.3

Secom

Co.

Ltd.

...........

1,000

66,790

81.4

Sekisui

Chemical

Co.

Ltd.

....

11,900

167,427

204.2

Sekisui

House

Ltd.

........

1,300

23,025

28.1

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

26

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Shimadzu

Corp.

..........

100

$

3,558

4.3

%

Shin-Etsu

Chemical

Co.

Ltd.

..

600

76,857

93.7

Sompo

Holdings,

Inc.

......

800

35,705

43.5

Sony

Group

Corp.

.........

300

25,448

31.0

Subaru

Corp.

............

3,800

66,123

80.6

Sumitomo

Chemical

Co.

Ltd.

..

46,600

183,135

223.3

Sysmex

Corp.

...........

600

42,007

51.2

Taisei

Corp.

.............

500

15,953

19.5

Terumo

Corp.

............

3,100

105,845

129.1

Tokio

Marine

Holdings,

Inc.

...

500

29,270

35.7

Tokyo

Gas

Co.

Ltd.

........

18,100

355,501

433.5

Toray

Industries,

Inc.

.......

52,000

284,822

347.3

Tosoh

Corp.

.............

6,700

87,336

106.5

TOTO

Ltd.

..............

1,500

51,093

62.3

Trend

Micro,

Inc.

..........

600

34,869

42.5

USS

Co.

Ltd.

............

1,200

23,547

28.7

Yakult

Honsha

Co.

Ltd.

.....

2,500

152,249

185.6

Yamaha

Corp.

...........

400

17,062

20.8

Yamaha

Motor

Co.

Ltd.

.....

4,600

88,859

108.4

7,161,986

Netherlands

Adyen

NV

..............

34

61,158

74.6

ASML

Holding

NV

.........

121

69,546

84.8

EXOR

NV

..............

708

49,795

60.7

Heineken

NV

............

549

54,124

66.0

Koninklijke

Ahold

Delhaize

NV

.

19,167

527,835

643.6

Koninklijke

DSM

NV

.......

140

22,421

27.3

Koninklijke

KPN

NV

........

21,171

69,843

85.2

Koninklijke

Philips

NV

......

8,498

175,877

214.5

NN

Group

NV

............

18,923

887,914

1,082.7

Randstad

NV

............

3,645

184,229

224.6

Wolters

Kluwer

NV

........

4,208

456,999

557.2

2,559,741

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

7,909

105,764

129.0

Spark

New

Zealand

Ltd.

.....

6,695

21,528

26.2

127,292

Norway

Aker

BP

ASA,

SDR

........

1,711

56,342

68.7

Equinor

ASA

............

1,706

65,688

80.1

Norsk

Hydro

ASA

.........

20,277

137,381

167.5

Orkla

ASA

..............

26,900

232,208

283.1

Telenor

ASA

.............

1,746

21,204

25.9

512,823

Portugal

EDP

-

Energias

de

Portugal

SA

13,508

68,336

83.3

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

20,900

177,121

216.0

Singapore

Technologies

Engineering

Ltd.

........

58,600

170,864

208.3

Singapore

Telecommunications

Ltd.

................

12,900

24,395

29.8

372,380

South

Africa

Anglo

American

plc

........

616

22,265

27.1

Shares

Value

%

of

Basket

Value

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

2,170

$

27,643

33.7

%

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

22,894

103,748

126.5

Banco

Santander

SA

.......

104,062

260,350

317.5

Endesa

SA

.............

19,392

355,444

433.4

Iberdrola

SA

.............

25,844

141,537

172.6

Industria

de

Diseno

Textil

SA

..

7,285

176,931

215.7

Repsol

SA

..............

16,379

204,054

248.8

1,269,707

Sweden

Alfa

Laval

AB

............

4,206

125,767

153.4

Assa

Abloy

AB,

Class

B

.....

1,699

40,141

49.0

Boliden

AB

..............

5,860

195,835

238.8

Evolution

AB

............

421

40,850

49.8

Husqvarna

AB,

Class

B

.....

33,765

269,098

328.1

Industrivarden

AB,

Class

C

...

1,236

31,889

38.9

Investor

AB,

Class

B

.......

10,039

187,345

228.4

Kinnevik

AB,

Class

B

.......

892

16,067

19.6

Skanska

AB,

Class

B

.......

9,763

166,556

203.1

Tele2

AB,

Class

B

.........

2,701

30,855

37.6

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

22,797

173,400

211.4

Telia

Co.

AB

.............

27,006

99,770

121.7

1,377,573

Switzerland

Adecco

Group

AG

(Registered)

2,427

85,496

104.3

Baloise

Holding

AG

(Registered)

144

22,943

28.0

Geberit

AG

(Registered)

.....

212

111,656

136.2

Givaudan

SA

(Registered)

...

9

31,460

38.4

Holcim

AG

..............

458

21,475

26.2

Julius

Baer

Group

Ltd.

......

3,079

159,215

194.1

Kuehne

+

Nagel

International

AG

(Registered)

...........

58

15,621

19.1

SGS

SA

(Registered)

.......

76

185,476

226.2

Straumann

Holding

AG

(Registered)

...........

245

33,136

40.4

Swiss

Life

Holding

AG

(Registered)

...........

7

3,708

4.5

UBS

Group

AG

(Registered)

..

1,750

28,596

34.9

Zurich

Insurance

Group

AG

..

593

258,861

315.6

957,643

United

Kingdom

3i

Group

plc

.............

12,736

197,889

241.3

Ashtead

Group

plc

........

578

32,535

39.7

Associated

British

Foods

plc

..

2,514

51,349

62.6

Auto

Trader

Group

plc

......

9,023

69,563

84.8

Aviva

plc

...............

35,086

169,916

207.2

Barratt

Developments

plc

....

28,066

172,092

209.8

Berkeley

Group

Holdings

plc

..

3,393

175,837

214.4

British

American

Tobacco

plc

.

704

27,585

33.6

Bunzl

plc

...............

1,046

39,257

47.9

Burberry

Group

plc

........

5,090

111,896

136.4

CNH

Industrial

NV

.........

3,894

50,165

61.2

Compass

Group

plc

........

1,205

28,241

34.4

Croda

International

plc

......

336

30,727

37.5

DCC

plc

...............

2,358

153,952

187.7

Diageo

plc

..............

5,251

248,750

303.3

Entain

plc

..............

3,860

56,800

69.3

Haleon

plc

..............

4,080

14,498

17.7

Imperial

Brands

plc

........

3,713

81,524

99.4

Informa

plc

..............

11,014

80,101

97.7

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

27

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

InterContinental

Hotels

Group

plc

.................

3,240

$

192,051

234.2

%

Intertek

Group

plc

.........

6,887

368,077

448.8

JD

Sports

Fashion

plc

......

89,507

142,170

173.4

Kingfisher

plc

............

24,457

77,379

94.4

Legal

&

General

Group

plc

...

61,372

195,993

239.0

M&G

plc

...............

8,894

23,184

28.3

Persimmon

plc

...........

7,994

184,391

224.8

RELX

plc

...............

4,367

129,305

157.7

Sage

Group

plc

(The)

......

9,585

82,605

100.7

Smiths

Group

plc

.........

1,630

30,762

37.5

SSE

plc

................

3,517

75,962

92.6

Taylor

Wimpey

plc

.........

24,099

37,510

45.7

Whitbread

plc

............

5,829

185,536

226.2

WPP

plc

...............

2,866

30,931

37.7

3,548,533

United

States

3M

Co.

................

471

67,466

82.3

A

O

Smith

Corp.

..........

1,688

106,800

130.2

ABIOMED,

Inc.

...........

815

238,803

291.2

Accenture

plc,

Class

A

......

973

297,991

363.4

Adobe,

Inc.

.............

432

177,172

216.0

Advanced

Micro

Devices,

Inc.

.

1,081

102,122

124.5

AES

Corp.

(The)

..........

1,262

28,042

34.2

Airbnb,

Inc.,

Class

A

.......

386

42,838

52.2

Akamai

Technologies,

Inc.

...

197

18,955

23.1

Ally

Financial,

Inc.

.........

3,808

125,931

153.6

AMERCO

..............

91

48,874

59.6

American

Electric

Power

Co.,

Inc.

.................

275

27,104

33.0

American

Express

Co.

......

155

23,873

29.1

American

Financial

Group,

Inc.

183

24,463

29.8

American

International

Group,

Inc.

.................

516

26,713

32.6

Ameriprise

Financial,

Inc.

....

71

19,164

23.4

ANSYS,

Inc.

.............

382

106,574

129.9

Apple,

Inc.

..............

65

10,563

12.9

Applied

Materials,

Inc.

......

477

50,552

61.6

Arista

Networks,

Inc.

.......

1,658

193,373

235.8

Autodesk,

Inc.

...........

828

179,113

218.4

Automatic

Data

Processing,

Inc.

938

226,171

275.8

AutoZone,

Inc.

...........

20

42,748

52.1

Avery

Dennison

Corp.

......

660

125,704

153.3

Baker

Hughes

Co.

.........

3,932

101,013

123.2

Bank

of

America

Corp.

......

910

30,767

37.5

Bank

of

New

York

Mellon

Corp.

(The)

...............

2,150

93,439

113.9

Biogen,

Inc.

.............

488

104,949

128.0

Booking

Holdings,

Inc.

......

22

42,585

51.9

Booz

Allen

Hamilton

Holding

Corp.

...............

293

28,122

34.3

Bunge

Ltd.

..............

1,102

101,748

124.1

Cadence

Design

Systems,

Inc.

1,722

320,430

390.7

Capital

One

Financial

Corp.

..

637

69,962

85.3

Cardinal

Health,

Inc.

.......

183

10,899

13.3

Carlyle

Group,

Inc.

(The)

....

415

16,148

19.7

Carrier

Global

Corp.

.......

637

25,818

31.5

CBRE

Group,

Inc.,

Class

A

...

1,615

138,276

168.6

CDW

Corp.

.............

150

27,230

33.2

Celanese

Corp.

..........

279

32,785

40.0

CenterPoint

Energy,

Inc.

....

3,676

116,492

142.0

Chipotle

Mexican

Grill,

Inc.

...

19

29,720

36.2

Cigna

Corp.

.............

587

161,636

197.1

CMS

Energy

Corp.

........

441

30,310

37.0

Shares

Value

%

of

Basket

Value

United

States

(continued)

Cognex

Corp.

............

884

$

45,066

54.9

%

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

204

13,864

16.9

Comcast

Corp.,

Class

A

.....

541

20,298

24.7

ConocoPhillips

...........

4,677

455,680

555.6

Consolidated

Edison,

Inc.

....

2,246

222,960

271.9

Copart,

Inc.

.............

1,079

138,220

168.5

Corteva,

Inc.

............

1,055

60,715

74.0

CSX

Corp.

..............

5,956

192,558

234.8

Cummins,

Inc.

...........

170

37,623

45.9

Deere

&

Co.

.............

59

20,248

24.7

Devon

Energy

Corp.

.......

2,667

167,621

204.4

Dexcom,

Inc.

............

1,212

99,481

121.3

Diamondback

Energy,

Inc.

...

176

22,532

27.5

Discover

Financial

Services

..

263

26,563

32.4

DocuSign,

Inc.

...........

1,089

69,674

85.0

Dominion

Energy,

Inc.

......

1,863

152,729

186.2

Dover

Corp.

.............

524

70,048

85.4

Dow,

Inc.

...............

1,576

83,859

102.3

Dropbox,

Inc.,

Class

A

......

21,689

493,208

601.4

DTE

Energy

Co.

..........

2,357

307,117

374.5

DuPont

de

Nemours,

Inc.

....

1,022

62,577

76.3

eBay,

Inc.

..............

5,461

265,568

323.8

Edison

International

........

463

31,378

38.3

Edwards

Lifesciences

Corp.

..

932

93,703

114.3

Electronic

Arts,

Inc.

........

653

85,693

104.5

Elevance

Health,

Inc.

.......

329

156,966

191.4

Eli

Lilly

&

Co.

............

320

105,501

128.6

Emerson

Electric

Co.

.......

757

68,183

83.1

Entergy

Corp.

............

963

110,870

135.2

EOG

Resources,

Inc.

.......

473

52,607

64.1

Equifax,

Inc.

.............

748

156,265

190.5

Equitable

Holdings,

Inc.

.....

8,759

249,018

303.6

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

144

39,326

48.0

Evergy,

Inc.

.............

352

24,028

29.3

Eversource

Energy

........

3,798

335,060

408.5

Expedia

Group,

Inc.

........

289

30,648

37.4

Expeditors

International

of

Washington,

Inc.

........

524

55,675

67.9

FactSet

Research

Systems,

Inc.

391

168,005

204.9

Ferguson

plc

............

217

27,298

33.3

First

Republic

Bank

........

867

141,070

172.0

FirstEnergy

Corp.

.........

625

25,688

31.3

Fortive

Corp.

............

2,471

159,256

194.2

Fortune

Brands

Home

&

Security,

Inc.

.................

1,008

70,237

85.6

Franklin

Resources,

Inc.

.....

1,744

47,873

58.4

Garmin

Ltd.

.............

1,537

150,042

183.0

General

Motors

Co.

........

1,164

42,207

51.5

Genuine

Parts

Co.

........

2,525

385,997

470.7

GoDaddy,

Inc.,

Class

A

.....

1,332

98,808

120.5

GSK

plc

...............

3,264

68,577

83.6

Halliburton

Co.

...........

3,968

116,262

141.8

Hartford

Financial

Services

Group,

Inc.

(The)

.......

1,086

70,014

85.4

Hershey

Co.

(The)

........

1,730

394,371

480.9

Hewlett

Packard

Enterprise

Co.

2,935

41,794

51.0

Hologic,

Inc.

.............

3,344

238,695

291.0

Home

Depot,

Inc.

(The)

.....

281

84,564

103.1

IDEX

Corp.

.............

512

106,880

130.3

IDEXX

Laboratories,

Inc.

....

597

238,310

290.6

Illinois

Tool

Works,

Inc.

......

1,105

229,575

279.9

Incyte

Corp.

.............

2,418

187,830

229.0

Intel

Corp.

..............

3,805

138,160

168.5

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

28

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

1,707

$

50,988

62.2

%

Intuit,

Inc.

..............

205

93,515

114.0

Invesco

Ltd.

.............

5,215

92,514

112.8

James

Hardie

Industries

plc,

CDI

................

8,881

219,332

267.4

JB

Hunt

Transport

Services,

Inc.

663

121,508

148.2

Johnson

Controls

International

plc

.................

163

8,787

10.7

JPMorgan

Chase

&

Co.

.....

827

95,403

116.3

Juniper

Networks,

Inc.

......

8,237

230,883

281.5

Kellogg

Co.

.............

895

66,158

80.7

KeyCorp

...............

6,977

127,679

155.7

Keysight

Technologies,

Inc.

...

3,177

516,580

629.9

KKR

&

Co.,

Inc.

..........

383

21,241

25.9

KLA

Corp.

..............

969

371,650

453.2

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,593

142,485

173.7

Kraft

Heinz

Co.

(The)

.......

743

27,365

33.4

Kroger

Co.

(The)

..........

681

31,626

38.6

Lam

Research

Corp.

.......

11

5,506

6.7

Lennar

Corp.,

Class

A

......

550

46,750

57.0

Lennox

International,

Inc.

....

560

134,137

163.6

Lincoln

National

Corp.

......

829

42,561

51.9

LKQ

Corp.

..............

4,003

219,525

267.7

Lowe's

Cos.,

Inc.

.........

305

58,417

71.2

Lululemon

Athletica,

Inc.

....

118

36,640

44.7

Lyft,

Inc.,

Class

A

.........

3,320

46,015

56.1

LyondellBasell

Industries

NV,

Class

A

..............

1,939

172,804

210.7

Marathon

Petroleum

Corp.

...

522

47,847

58.3

Masimo

Corp.

............

778

112,483

137.2

MetLife,

Inc.

.............

436

27,577

33.6

Mettler-Toledo

International,

Inc.

51

68,836

83.9

Micron

Technology,

Inc.

.....

1,198

74,108

90.4

Microsoft

Corp.

...........

3,666

1,029,193

1,254.9

Molina

Healthcare,

Inc.

.....

470

154,028

187.8

Monolithic

Power

Systems,

Inc.

28

13,012

15.9

Monster

Beverage

Corp.

....

1,208

120,341

146.7

MSCI,

Inc.

..............

259

124,667

152.0

Nasdaq,

Inc.

............

332

60,059

73.2

Nestle

SA

(Registered)

.....

1,201

147,155

179.4

NetApp,

Inc.

.............

4,282

305,435

372.4

Neurocrine

Biosciences,

Inc.

..

876

82,458

100.5

News

Corp.,

Class

A

.......

1,892

32,429

39.5

Nordson

Corp.

...........

599

138,363

168.7

Norfolk

Southern

Corp.

.....

291

73,090

89.1

Northern

Trust

Corp.

.......

1,480

147,674

180.1

Nucor

Corp.

.............

577

78,357

95.5

NVIDIA

Corp.

............

1,014

184,173

224.6

NVR,

Inc.

...............

4

17,572

21.4

Old

Dominion

Freight

Line,

Inc.

118

35,814

43.7

ON

Semiconductor

Corp.

....

1,465

97,833

119.3

ONEOK,

Inc.

............

3,508

209,568

255.5

Otis

Worldwide

Corp.

.......

3,092

241,702

294.7

Owens

Corning

...........

310

28,749

35.1

Packaging

Corp.

of

America

..

404

56,806

69.3

Palo

Alto

Networks,

Inc.

.....

301

150,229

183.2

Parker-Hannifin

Corp.

......

206

59,553

72.6

Paychex,

Inc.

............

431

55,289

67.4

PepsiCo,

Inc.

............

2,647

463,119

564.7

Philip

Morris

International,

Inc.

694

67,422

82.2

Phillips

66

..............

866

77,074

94.0

Pinterest,

Inc.,

Class

A

......

1,820

35,454

43.2

Pioneer

Natural

Resources

Co.

608

144,066

175.7

Shares

Value

%

of

Basket

Value

United

States

(continued)

Pool

Corp.

..............

169

$

60,451

73.7

%

Procter

&

Gamble

Co.

(The)

..

1,143

158,774

193.6

Public

Service

Enterprise

Group,

Inc.

.................

3,184

209,093

255.0

QUALCOMM,

Inc.

.........

1,108

160,726

196.0

Regions

Financial

Corp.

.....

8,040

170,287

207.6

Robert

Half

International,

Inc.

.

1,660

131,372

160.2

Roche

Holding

AG

........

694

230,411

280.9

Schlumberger

NV

.........

504

18,663

22.8

Seagate

Technology

Holdings

plc

.................

927

74,141

90.4

Sealed

Air

Corp.

..........

3,337

203,957

248.7

Sempra

Energy

..........

1,427

236,597

288.5

ServiceNow,

Inc.

..........

587

262,189

319.7

Signature

Bank

...........

228

42,310

51.6

Skyworks

Solutions,

Inc.

....

202

21,994

26.8

Splunk,

Inc.

.............

1,062

110,352

134.6

Steel

Dynamics,

Inc.

.......

1,439

112,069

136.6

Stellantis

NV

............

17,790

255,469

311.5

Synchrony

Financial

.......

2,283

76,435

93.2

Synopsys,

Inc.

...........

2,040

749,700

914.1

Targa

Resources

Corp.

.....

915

63,236

77.1

Texas

Instruments,

Inc.

.....

222

39,714

48.4

Tractor

Supply

Co.

........

694

132,887

162.0

Trane

Technologies

plc

.....

751

110,390

134.6

Travelers

Cos.,

Inc.

(The)

....

944

149,813

182.7

Trimble,

Inc.

.............

3,118

216,483

264.0

Tyson

Foods,

Inc.,

Class

A

...

381

33,532

40.9

Uber

Technologies,

Inc.

.....

1,198

28,093

34.3

UGI

Corp.

..............

6,468

279,159

340.4

Ulta

Beauty,

Inc.

..........

159

61,837

75.4

United

Parcel

Service,

Inc.,

Class

B

..................

128

24,946

30.4

United

Rentals,

Inc.

........

464

149,719

182.6

UnitedHealth

Group,

Inc.

....

135

73,216

89.3

Vail

Resorts,

Inc.

..........

1,232

292,144

356.2

Veeva

Systems,

Inc.,

Class

A

.

187

41,809

51.0

VeriSign,

Inc.

............

754

142,627

173.9

Vertex

Pharmaceuticals,

Inc.

..

145

40,659

49.6

Waters

Corp.

............

597

217,326

265.0

West

Pharmaceutical

Services,

Inc.

.................

860

295,462

360.3

Westinghouse

Air

Brake

Technologies

Corp.

......

692

64,681

78.9

Westlake

Corp.

...........

222

21,610

26.3

WestRock

Co.

...........

1,362

57,694

70.3

Workday,

Inc.,

Class

A

......

2,319

359,677

438.6

WW

Grainger,

Inc.

.........

188

102,184

124.6

Xcel

Energy,

Inc.

..........

3,067

224,443

273.7

Yum!

Brands,

Inc.

.........

1,761

215,793

263.1

Zebra

Technologies

Corp.,

Class

A

..................

55

19,673

24.0

Zscaler,

Inc.

.............

180

27,911

34.0

26,161,393

Total

Reference

Entity

—

Long

............

57,080,142

Reference

Entity

—

Short

Common

Stocks

Australia

APA

Group

..............

(18,139)

(148,728)

(181.4)

Computershare

Ltd.

........

(3,282)

(57,983)

(70.7)

Evolution

Mining

Ltd.

.......

(19,927)

(36,811)

(44.9)

Glencore

plc

............

(30,855)

(174,877)

(213.2)

Insurance

Australia

Group

Ltd.

(78,271)

(246,285)

(300.3)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

29

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Australia

(continued)

Lendlease

Corp.

Ltd.

.......

(3,164)

$

(22,922)

(28.0)

%

Macquarie

Group

Ltd.

......

(1,094)

(140,014)

(170.7)

Medibank

Pvt

Ltd.

.........

(71,305)

(171,455)

(209.1)

Mineral

Resources

Ltd.

.....

(2,245)

(85,544)

(104.3)

National

Australia

Bank

Ltd.

..

(3,607)

(77,899)

(95.0)

Newcrest

Mining

Ltd.

.......

(5,912)

(79,672)

(97.1)

Northern

Star

Resources

Ltd.

.

(3,666)

(20,147)

(24.6)

Orica

Ltd.

..............

(22,025)

(261,045)

(318.3)

Origin

Energy

Ltd.

.........

(4,785)

(20,089)

(24.5)

Ramsay

Health

Care

Ltd.

....

(1,454)

(71,830)

(87.6)

Reece

Ltd.

..............

(3,699)

(39,950)

(48.7)

Santos

Ltd.

.............

(70,075)

(364,276)

(444.2)

Sonic

Healthcare

Ltd.

......

(1,906)

(45,899)

(56.0)

Telstra

Corp.

Ltd.

.........

(32,283)

(88,230)

(107.6)

Transurban

Group

.........

(88,228)

(901,839)

(1,099.6)

Treasury

Wine

Estates

Ltd.

...

(6,782)

(58,461)

(71.3)

Westpac

Banking

Corp.

.....

(6,776)

(102,610)

(125.1)

Woolworths

Group

Ltd.

.....

(1,803)

(47,435)

(57.8)

(3,264,001)

Austria

Erste

Group

Bank

AG

......

(2,182)

(55,320)

(67.4)

Verbund

AG

.............

(1,325)

(145,704)

(177.7)

(201,024)

Belgium

Anheuser-Busch

InBev

SA/NV

(2,460)

(131,777)

(160.7)

Sofina

SA

..............

(363)

(85,011)

(103.7)

(216,788)

Brazil

Yara

International

ASA

......

(1,015)

(43,257)

(52.7)

Canada

Agnico

Eagle

Mines

Ltd.

.....

(445)

(19,134)

(23.3)

Air

Canada

.............

(6,656)

(90,389)

(110.2)

Algonquin

Power

&

Utilities

Corp.

...............

(18,687)

(261,360)

(318.7)

Barrick

Gold

Corp.

........

(14,090)

(222,042)

(270.7)

BCE,

Inc.

...............

(7,242)

(365,903)

(446.2)

BlackBerry

Ltd.

...........

(2,725)

(16,747)

(20.4)

CAE,

Inc.

...............

(1,323)

(35,003)

(42.7)

Cameco

Corp.

...........

(1,458)

(37,550)

(45.8)

Canadian

Natural

Resources

Ltd.

................

(1,022)

(56,433)

(68.8)

CGI,

Inc.

...............

(1,108)

(95,005)

(115.8)

Emera,

Inc.

.............

(1,413)

(66,989)

(81.7)

Fairfax

Financial

Holdings

Ltd.

(145)

(78,108)

(95.2)

Fortis,

Inc.

..............

(3,515)

(166,040)

(202.5)

GFL

Environmental,

Inc.

.....

(10,921)

(302,245)

(368.5)

IGM

Financial,

Inc.

........

(2,137)

(62,047)

(75.7)

Imperial

Oil

Ltd.

..........

(3,149)

(150,915)

(184.0)

Lightspeed

Commerce,

Inc.

..

(5,468)

(117,341)

(143.1)

Northland

Power,

Inc.

......

(2,130)

(69,827)

(85.1)

Nutrien

Ltd.

.............

(692)

(59,238)

(72.2)

Pembina

Pipeline

Corp.

.....

(4,569)

(174,439)

(212.7)

Power

Corp.

of

Canada

.....

(10,039)

(272,818)

(332.7)

Quebecor,

Inc.,

Class

B

.....

(3,187)

(70,806)

(86.3)

Restaurant

Brands

International,

Inc.

.................

(1,861)

(99,768)

(121.7)

Ritchie

Bros

Auctioneers,

Inc.

.

(556)

(40,076)

(48.9)

Rogers

Communications,

Inc.,

Class

B

..............

(1,557)

(71,579)

(87.3)

Shopify,

Inc.,

Class

A

.......

(9,984)

(347,809)

(424.1)

Sun

Life

Financial,

Inc.

......

(1,103)

(51,216)

(62.4)

TC

Energy

Corp.

..........

(4,227)

(225,354)

(274.8)

Shares

Value

%

of

Basket

Value

Canada

(continued)

Thomson

Reuters

Corp.

.....

(1,028)

$

(115,432)

(140.8)

%

Toronto-Dominion

Bank

(The)

.

(2,506)

(162,781)

(198.5)

(3,904,394)

Chile

Antofagasta

plc

...........

(8,016)

(114,057)

(139.1)

China

Prosus

NV

..............

(3,600)

(234,846)

(286.4)

Xinyi

Glass

Holdings

Ltd.

....

(10,000)

(19,723)

(24.0)

(254,569)

Denmark

Carlsberg

A/S,

Class

B

.....

(458)

(59,239)

(72.2)

Chr

Hansen

Holding

A/S

....

(4,435)

(290,284)

(354.0)

Demant

A/S

.............

(448)

(17,067)

(20.8)

GN

Store

Nord

A/S

........

(1,699)

(59,166)

(72.1)

Orsted

A/S

..............

(1,167)

(135,858)

(165.7)

ROCKWOOL

A/S,

Class

B

...

(415)

(102,837)

(125.4)

Tryg

A/S

...............

(15,995)

(364,708)

(444.7)

Vestas

Wind

Systems

A/S

...

(12,647)

(332,411)

(405.3)

(1,361,570)

Finland

Fortum

OYJ

.............

(9,416)

(105,688)

(128.9)

Kone

OYJ,

Class

B

........

(1,443)

(65,947)

(80.4)

Sampo

OYJ,

Class

A

.......

(1,474)

(63,681)

(77.6)

UPM-Kymmene

OYJ

.......

(2,075)

(65,756)

(80.2)

Wartsila

OYJ

Abp

.........

(7,540)

(66,251)

(80.8)

(367,323)

France

Adevinta

ASA

............

(9,836)

(74,797)

(91.2)

Germany

adidas

AG

..............

(1,273)

(220,218)

(268.5)

Allianz

SE

(Registered)

.....

(111)

(20,158)

(24.6)

Bayerische

Motoren

Werke

AG

(Preference)

..........

(434)

(32,952)

(40.2)

Bechtle

AG

.............

(487)

(22,526)

(27.5)

Commerzbank

AG

.........

(17,258)

(118,237)

(144.2)

Continental

AG

...........

(2,480)

(176,678)

(215.4)

Daimler

Truck

Holding

AG

...

(6,010)

(164,223)

(200.2)

Deutsche

Lufthansa

AG

(Registered)

...........

(30,763)

(189,373)

(230.9)

Deutsche

Telekom

AG

(Registered)

...........

(12,557)

(238,570)

(290.9)

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(2,310)

(85,640)

(104.4)

KION

Group

AG

..........

(1,708)

(77,906)

(95.0)

Knorr-Bremse

AG

.........

(2,957)

(176,165)

(214.8)

MTU

Aero

Engines

AG

......

(254)

(49,102)

(59.9)

Porsche

Automobil

Holding

SE

(Preference)

..........

(2,443)

(176,829)

(215.6)

Puma

SE

...............

(941)

(63,540)

(77.5)

RWE

AG

...............

(1,159)

(47,679)

(58.1)

Sartorius

AG

(Preference)

...

(357)

(159,686)

(194.7)

Scout24

SE

.............

(1,039)

(59,398)

(72.4)

Siemens

Energy

AG

.......

(11,602)

(192,796)

(235.1)

Siemens

Healthineers

AG

....

(5,840)

(299,263)

(364.9)

Uniper

SE

..............

(2,371)

(15,842)

(19.3)

Vonovia

SE

.............

(4,715)

(157,103)

(191.6)

Zalando

SE

.............

(3,759)

(105,828)

(129.0)

(2,849,712)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

30

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Ireland

CRH

plc

...............

(1,345)

$

(51,613)

(62.9)

%

Flutter

Entertainment

plc

....

(824)

(82,729)

(100.9)

Kingspan

Group

plc

........

(1,830)

(118,453)

(144.4)

(252,795)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(31,680)

(297,158)

(362.3)

Wix.com

Ltd.

............

(842)

(49,956)

(60.9)

(347,114)

Italy

Amplifon

SpA

............

(1,420)

(46,957)

(57.3)

Atlantia

SpA

.............

(7,579)

(175,156)

(213.6)

Davide

Campari-Milano

NV

..

(7,590)

(84,263)

(102.7)

FinecoBank

Banca

Fineco

SpA

(2,423)

(30,113)

(36.7)

Infrastrutture

Wireless

Italiane

SpA

................

(46,878)

(492,612)

(600.7)

Mediobanca

Banca

di

Credito

Finanziario

SpA

........

(7,813)

(67,010)

(81.7)

Nexi

SpA

...............

(15,278)

(138,756)

(169.2)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

......

(703)

(31,178)

(38.0)

UniCredit

SpA

...........

(2,203)

(21,787)

(26.6)

(1,087,832)

Japan

Aeon

Co.

Ltd.

............

(10,400)

(209,736)

(255.7)

Aisin

Corp.

..............

(1,600)

(47,518)

(57.9)

Bandai

Namco

Holdings,

Inc.

.

(400)

(31,249)

(38.1)

Bridgestone

Corp.

.........

(4,300)

(167,725)

(204.5)

Brother

Industries

Ltd.

......

(1,300)

(24,351)

(29.7)

Canon,

Inc.

.............

(1,900)

(44,950)

(54.8)

Central

Japan

Railway

Co.

...

(2,000)

(234,194)

(285.6)

Chubu

Electric

Power

Co.,

Inc.

(12,900)

(137,610)

(167.8)

Daifuku

Co.

Ltd.

..........

(1,800)

(114,780)

(140.0)

Daiichi

Sankyo

Co.

Ltd.

.....

(1,700)

(45,075)

(55.0)

Daikin

Industries

Ltd.

.......

(300)

(52,614)

(64.1)

East

Japan

Railway

Co.

.....

(1,300)

(67,869)

(82.8)

FANUC

Corp.

............

(300)

(51,738)

(63.1)

FUJIFILM

Holdings

Corp.

....

(900)

(51,410)

(62.7)

GMO

Payment

Gateway,

Inc.

.

(500)

(41,551)

(50.7)

Hitachi

Metals

Ltd.

........

(8,800)

(135,316)

(165.0)

Hulic

Co.

Ltd.

............

(2,400)

(19,248)

(23.5)

Iida

Group

Holdings

Co.

Ltd.

..

(3,700)

(60,578)

(73.9)

Inpex

Corp.

.............

(9,600)

(110,033)

(134.2)

Itochu

Techno-Solutions

Corp.

.

(1,000)

(26,800)

(32.7)

Japan

Airlines

Co.

Ltd.

......

(4,200)

(72,757)

(88.7)

Japan

Exchange

Group,

Inc.

..

(1,700)

(27,031)

(33.0)

Japan

Post

Bank

Co.

Ltd.

....

(22,100)

(176,793)

(215.6)

Japan

Post

Holdings

Co.

Ltd.

.

(4,600)

(33,119)

(40.4)

Japan

Post

Insurance

Co.

Ltd.

(3,000)

(48,504)

(59.1)

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(12,600)

(127,748)

(155.8)

Keio

Corp.

..............

(400)

(15,316)

(18.7)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(500)

(16,523)

(20.1)

Koito

Manufacturing

Co.

Ltd.

..

(2,000)

(65,743)

(80.2)

Konami

Group

Corp.

.......

(500)

(29,553)

(36.0)

Kose

Corp.

.............

(1,700)

(151,745)

(185.0)

Kubota

Corp.

............

(13,200)

(219,164)

(267.2)

Kyowa

Kirin

Co.

Ltd.

.......

(2,900)

(68,368)

(83.4)

Lasertec

Corp.

...........

(500)

(71,585)

(87.3)

M3,

Inc.

................

(2,600)

(90,584)

(110.4)

McDonald's

Holdings

Co.

Japan

Ltd.

................

(2,200)

(82,578)

(100.7)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Mitsubishi

Corp.

..........

(4,900)

$

(145,624)

(177.6)

%

Mitsubishi

Heavy

Industries

Ltd.

(3,300)

(122,537)

(149.4)

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(13,400)

(75,502)

(92.1)

Mitsui

&

Co.

Ltd.

..........

(3,200)

(70,599)

(86.1)

MonotaRO

Co.

Ltd.

........

(7,900)

(141,057)

(172.0)

Nexon

Co.

Ltd.

...........

(8,100)

(183,887)

(224.2)

Nidec

Corp.

.............

(1,900)

(132,039)

(161.0)

Nihon

M&A

Center

Holdings,

Inc.

.................

(1,200)

(16,058)

(19.6)

Nippon

Paint

Holdings

Co.

Ltd.

(6,300)

(48,158)

(58.7)

Nippon

Sanso

Holdings

Corp.

.

(3,500)

(59,019)

(72.0)

Nissan

Motor

Co.

Ltd.

......

(11,200)

(42,592)

(51.9)

Nitori

Holdings

Co.

Ltd.

.....

(200)

(21,160)

(25.8)

Nomura

Holdings,

Inc.

......

(6,100)

(23,275)

(28.4)

Nomura

Research

Institute

Ltd.

(1,800)

(54,080)

(65.9)

NTT

Data

Corp.

..........

(5,700)

(86,270)

(105.2)

Obic

Co.

Ltd.

............

(500)

(79,935)

(97.5)

Odakyu

Electric

Railway

Co.

Ltd.

(5,400)

(77,449)

(94.4)

Oji

Holdings

Corp.

.........

(9,600)

(40,024)

(48.8)

Omron

Corp.

............

(400)

(22,371)

(27.3)

Open

House

Group

Co.

Ltd.

..

(500)

(21,813)

(26.6)

Oracle

Corp.

Japan

........

(2,400)

(149,684)

(182.5)

Oriental

Land

Co.

Ltd.

......

(1,300)

(197,378)

(240.7)

Otsuka

Corp.

............

(11,900)

(371,110)

(452.5)

Otsuka

Holdings

Co.

Ltd.

....

(900)

(32,151)

(39.2)

Pan

Pacific

International

Holdings

Corp.

.........

(5,000)

(77,852)

(94.9)

Rakuten

Group,

Inc.

.......

(7,400)

(36,686)

(44.7)

Renesas

Electronics

Corp.

...

(15,200)

(144,778)

(176.5)

Rohm

Co.

Ltd.

...........

(800)

(59,369)

(72.4)

SBI

Holdings,

Inc.

.........

(3,500)

(71,006)

(86.6)

Sharp

Corp.

.............

(7,700)

(61,977)

(75.6)

Shimizu

Corp.

...........

(16,300)

(92,399)

(112.7)

Shiseido

Co.

Ltd.

.........

(3,300)

(135,740)

(165.5)

SMC

Corp.

..............

(100)

(49,284)

(60.1)

SoftBank

Group

Corp.

......

(3,100)

(130,221)

(158.8)

Square

Enix

Holdings

Co.

Ltd.

.

(1,400)

(64,960)

(79.2)

SUMCO

Corp.

...........

(7,000)

(97,949)

(119.4)

Sumitomo

Corp.

..........

(11,700)

(164,502)

(200.6)

Sumitomo

Electric

Industries

Ltd.

................

(20,300)

(226,321)

(276.0)

Sumitomo

Metal

Mining

Co.

Ltd.

(1,400)

(44,021)

(53.7)

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(1,400)

(38,658)

(47.1)

T&D

Holdings,

Inc.

........

(3,000)

(33,954)

(41.4)

Tobu

Railway

Co.

Ltd.

......

(900)

(21,370)

(26.1)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(10,200)

(40,141)

(48.9)

Tokyu

Corp.

.............

(1,400)

(17,166)

(20.9)

Toyota

Industries

Corp.

.....

(900)

(54,801)

(66.8)

Toyota

Motor

Corp.

........

(8,500)

(137,964)

(168.2)

Unicharm

Corp.

..........

(400)

(14,489)

(17.7)

Welcia

Holdings

Co.

Ltd.

....

(6,200)

(138,476)

(168.8)

Yamato

Holdings

Co.

Ltd.

....

(1,200)

(20,999)

(25.6)

Yaskawa

Electric

Corp.

.....

(2,900)

(101,569)

(123.8)

Z

Holdings

Corp.

..........

(41,400)

(146,317)

(178.4)

(7,408,197)

Jordan

Hikma

Pharmaceuticals

plc

...

(2,562)

(54,153)

(66.0)

Luxembourg

ArcelorMittal

SA

..........

(10,143)

(250,268)

(305.2)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

31

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(13,526)

$

(137,937)

(168.2)

%

Akzo

Nobel

NV

...........

(1,485)

(99,941)

(121.9)

Argenx

SE

..............

(207)

(75,617)

(92.2)

ASM

International

NV

......

(445)

(136,692)

(166.7)

JDE

Peet's

NV

...........

(5,643)

(163,661)

(199.5)

Universal

Music

Group

NV

...

(6,836)

(154,743)

(188.7)

(768,591)

New

Zealand

Auckland

International

Airport

Ltd.

................

(69,426)

(326,003)

(397.5)

Xero

Ltd.

...............

(722)

(47,564)

(58.0)

(373,567)

Norway

Aker

BP

ASA

............

(770)

(26,755)

(32.6)

Gjensidige

Forsikring

ASA

...

(4,792)

(100,228)

(122.2)

(126,983)

Singapore

City

Developments

Ltd.

.....

(3,700)

(20,787)

(25.3)

Sea

Ltd.,

ADR

...........

(2,052)

(156,609)

(191.0)

Singapore

Exchange

Ltd.

....

(7,700)

(55,198)

(67.3)

UOL

Group

Ltd.

..........

(33,300)

(179,916)

(219.4)

Venture

Corp.

Ltd.

.........

(38,300)

(487,951)

(595.0)

(900,461)

South

Korea

Delivery

Hero

SE

.........

(3,014)

(145,415)

(177.3)

Spain

Aena

SME

SA

...........

(2,340)

(295,986)

(360.9)

Amadeus

IT

Group

SA

......

(205)

(11,954)

(14.6)

CaixaBank

SA

...........

(53,206)

(159,764)

(194.8)

Cellnex

Telecom

SA

.......

(10,060)

(449,975)

(548.7)

EDP

Renovaveis

SA

.......

(2,076)

(53,995)

(65.8)

Ferrovial

SA

.............

(27,576)

(738,434)

(900.4)

Grifols

SA

..............

(16,512)

(240,937)

(293.8)

Naturgy

Energy

Group

SA

...

(5,226)

(153,289)

(186.9)

Siemens

Gamesa

Renewable

Energy

SA

............

(9,832)

(180,902)

(220.6)

Telefonica

SA

............

(11,770)

(52,538)

(64.1)

(2,337,774)

Sweden

Electrolux

AB,

Class

B

......

(5,648)

(81,466)

(99.3)

Essity

AB,

Class

B

........

(5,686)

(144,738)

(176.5)

Fastighets

AB

Balder,

Class

B

.

(9,372)

(59,869)

(73.0)

Getinge

AB,

Class

B

.......

(1,397)

(31,525)

(38.4)

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(3,332)

(42,631)

(52.0)

Hexagon

AB,

Class

B

......

(30,778)

(362,397)

(441.9)

Holmen

AB,

Class

B

.......

(554)

(22,765)

(27.8)

Investment

AB

Latour,

Class

B

(7,293)

(181,460)

(221.3)

L

E

Lundbergforetagen

AB,

Class

B

..................

(3,789)

(179,824)

(219.3)

Nibe

Industrier

AB,

Class

B

...

(8,650)

(87,141)

(106.2)

Securitas

AB,

Class

B

......

(2,019)

(20,417)

(24.9)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(14,641)

(214,045)

(261.0)

Swedish

Orphan

Biovitrum

AB

.

(3,606)

(79,191)

(96.6)

Volvo

Car

AB,

Class

B

......

(9,827)

(73,170)

(89.2)

(1,580,639)

Switzerland

ABB

Ltd.

(Registered)

......

(11,774)

(357,925)

(436.4)

Alcon,

Inc.

..............

(1,175)

(92,477)

(112.8)

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Bachem

Holding

AG

(Registered),

Class

B

....

(445)

$

(30,008)

(36.6)

%

Barry

Callebaut

AG

(Registered)

(63)

(139,587)

(170.2)

Clariant

AG

(Registered)

....

(3,621)

(67,841)

(82.7)

Credit

Suisse

Group

AG

(Registered)

...........

(26,812)

(155,954)

(190.2)

EMS-Chemie

Holding

AG

(Registered)

...........

(228)

(181,052)

(220.8)

Logitech

International

SA

(Registered)

...........

(1,320)

(74,266)

(90.5)

Partners

Group

Holding

AG

..

(47)

(51,312)

(62.6)

Swiss

Prime

Site

AG

(Registered)

...........

(667)

(60,739)

(74.1)

TE

Connectivity

Ltd.

.......

(150)

(20,060)

(24.5)

VAT

Group

AG

...........

(150)

(43,676)

(53.3)

(1,274,897)

United

Kingdom

Admiral

Group

plc

.........

(929)

(21,712)

(26.5)

AVEVA

Group

plc

.........

(11,647)

(336,954)

(410.9)

Barclays

plc

.............

(39,554)

(75,768)

(92.4)

BP

plc

.................

(7,258)

(35,523)

(43.3)

BT

Group

plc

............

(25,861)

(51,058)

(62.3)

Halma

plc

..............

(2,172)

(61,170)

(74.6)

Hargreaves

Lansdown

plc

...

(31,929)

(330,554)

(403.1)

HSBC

Holdings

plc

........

(35,703)

(223,642)

(272.7)

Johnson

Matthey

plc

.......

(2,081)

(54,407)

(66.3)

Just

Eat

Takeaway.com

NV

...

(6,865)

(125,830)

(153.4)

Liberty

Global

plc,

Class

C

...

(1,879)

(43,010)

(52.4)

Linde

plc

...............

(891)

(269,082)

(328.1)

Melrose

Industries

plc

......

(17,007)

(33,478)

(40.8)

National

Grid

plc

..........

(14,644)

(201,642)

(245.9)

NatWest

Group

plc

........

(51,657)

(156,896)

(191.3)

Ocado

Group

plc

.........

(20,988)

(215,762)

(263.1)

Phoenix

Group

Holdings

plc

..

(21,315)

(167,933)

(204.8)

Rentokil

Initial

plc

.........

(3,737)

(24,675)

(30.1)

Rolls-Royce

Holdings

plc

....

(140,430)

(153,481)

(187.1)

Schroders

plc

............

(3,372)

(122,308)

(149.1)

Severn

Trent

plc

..........

(2,743)

(98,616)

(120.2)

Smith

&

Nephew

plc

.......

(2,694)

(34,540)

(42.1)

St

James's

Place

plc

.......

(1,534)

(23,042)

(28.1)

Standard

Chartered

plc

.....

(11,920)

(82,161)

(100.2)

Tesco

plc

...............

(10,151)

(32,556)

(39.7)

Unilever

plc

.............

(4,950)

(241,079)

(294.0)

United

Utilities

Group

plc

....

(9,821)

(130,487)

(159.1)

Vodafone

Group

plc

........

(34,280)

(50,517)

(61.6)

(3,397,883)

United

States

AbbVie,

Inc.

.............

(191)

(27,410)

(33.4)

Advance

Auto

Parts,

Inc.

....

(377)

(72,995)

(89.0)

Affirm

Holdings,

Inc.

.......

(2,911)

(78,131)

(95.3)

Aflac,

Inc.

..............

(988)

(56,612)

(69.0)

Air

Products

&

Chemicals,

Inc.

(384)

(95,320)

(116.2)

Align

Technology,

Inc.

......

(157)

(44,112)

(53.8)

Allegion

plc

.............

(198)

(20,929)

(25.5)

Alliant

Energy

Corp.

.......

(386)

(23,519)

(28.7)

Allstate

Corp.

(The)

........

(1,708)

(199,785)

(243.6)

Alnylam

Pharmaceuticals,

Inc.

.

(527)

(74,855)

(91.3)

Amazon.com,

Inc.

.........

(380)

(51,281)

(62.5)

AMC

Entertainment

Holdings,

Inc.,

Class

A

...........

(85)

(1,238)

(1.5)

Ameren

Corp.

............

(5,465)

(508,901)

(620.5)

Analog

Devices,

Inc.

.......

(1,607)

(276,340)

(337.0)

Aon

plc,

Class

A

..........

(115)

(33,470)

(40.8)

AppLovin

Corp.,

Class

A

.....

(1,506)

(53,523)

(65.3)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

32

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Arthur

J

Gallagher

&

Co.

....

(1,107)

$

(198,142)

(241.6)

%

AT&T,

Inc.

..............

(6,009)

(112,849)

(137.6)

Avalara,

Inc.

.............

(1,255)

(109,712)

(133.8)

Avantor,

Inc.

.............

(2,356)

(68,371)

(83.4)

Ball

Corp.

..............

(1,469)

(107,854)

(131.5)

Bausch

Health

Cos.,

Inc.

....

(95)

(438)

(0.5)

Becton

Dickinson

and

Co.

...

(1,113)

(271,917)

(331.6)

BioMarin

Pharmaceutical,

Inc.

.

(631)

(54,298)

(66.2)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(80)

(45,061)

(54.9)

Block,

Inc.

..............

(1,676)

(127,477)

(155.4)

Boeing

Co.

(The)

.........

(2,238)

(356,536)

(434.7)

Bristol-Myers

Squibb

Co.

....

(2,466)

(181,941)

(221.8)

Broadcom,

Inc.

...........

(21)

(11,245)

(13.7)

Brookfield

Renewable

Corp.

..

(492)

(19,249)

(23.5)

Brown

&

Brown,

Inc.

.......

(2,087)

(135,864)

(165.7)

Burlington

Stores,

Inc.

......

(436)

(61,533)

(75.0)

Cable

One,

Inc.

..........

(60)

(82,601)

(100.7)

Caesars

Entertainment,

Inc.

..

(1,954)

(89,278)

(108.9)

Campbell

Soup

Co.

........

(3,719)

(183,533)

(223.8)

CarMax,

Inc.

............

(741)

(73,759)

(89.9)

Carnival

Corp.

...........

(7,944)

(71,973)

(87.8)

Carvana

Co.

............

(4,413)

(128,639)

(156.9)

Catalent,

Inc.

............

(2,194)

(248,141)

(302.6)

Caterpillar,

Inc.

...........

(422)

(83,661)

(102.0)

Ceridian

HCM

Holding,

Inc.

..

(3,105)

(170,061)

(207.4)

CF

Industries

Holdings,

Inc.

..

(275)

(26,260)

(32.0)

CH

Robinson

Worldwide,

Inc.

.

(441)

(48,819)

(59.5)

Charles

River

Laboratories

International,

Inc.

.......

(263)

(65,892)

(80.3)

Charles

Schwab

Corp.

(The)

..

(446)

(30,796)

(37.6)

Charter

Communications,

Inc.,

Class

A

..............

(8)

(3,457)

(4.2)

Chevron

Corp.

...........

(354)

(57,978)

(70.7)

Chewy,

Inc.,

Class

A

.......

(2,160)

(83,830)

(102.2)

Cisco

Systems,

Inc.

........

(4,984)

(226,124)

(275.7)

Citizens

Financial

Group,

Inc.

.

(978)

(37,135)

(45.3)

Clarivate

plc

.............

(994)

(14,403)

(17.6)

Clorox

Co.

(The)

..........

(1,180)

(167,371)

(204.1)

Cloudflare,

Inc.,

Class

A

.....

(579)

(29,135)

(35.5)

Coinbase

Global,

Inc.,

Class

A

(2,487)

(156,582)

(190.9)

Conagra

Brands,

Inc.

.......

(6,697)

(229,104)

(279.4)

Constellation

Brands,

Inc.,

Class

A

..................

(950)

(233,994)

(285.3)

Cooper

Cos.,

Inc.

(The)

.....

(722)

(236,094)

(287.9)

Corning,

Inc.

............

(1,282)

(47,126)

(57.5)

CoStar

Group,

Inc.

........

(1,680)

(121,951)

(148.7)

Costco

Wholesale

Corp.

.....

(108)

(58,460)

(71.3)

Coterra

Energy,

Inc.

.......

(1,346)

(41,174)

(50.2)

Coupa

Software,

Inc.

.......

(728)

(47,626)

(58.1)

Crown

Holdings,

Inc.

.......

(235)

(23,895)

(29.1)

Danaher

Corp.

...........

(445)

(129,704)

(158.2)

DaVita,

Inc.

.............

(784)

(65,981)

(80.5)

Dell

Technologies,

Inc.,

Class

C

(546)

(24,603)

(30.0)

DENTSPLY

SIRONA,

Inc.

...

(924)

(33,412)

(40.7)

DISH

Network

Corp.,

Class

A

.

(8,866)

(154,002)

(187.8)

Duke

Energy

Corp.

........

(845)

(92,891)

(113.3)

Eastman

Chemical

Co.

.....

(411)

(39,427)

(48.1)

Ecolab,

Inc.

.............

(438)

(72,344)

(88.2)

Elanco

Animal

Health,

Inc.

...

(6,976)

(141,334)

(172.3)

Entegris,

Inc.

............

(376)

(41,322)

(50.4)

Erie

Indemnity

Co.,

Class

A

..

(659)

(134,014)

(163.4)

Exact

Sciences

Corp.

......

(3,146)

(141,885)

(173.0)

Exxon

Mobil

Corp.

.........

(1,247)

(120,872)

(147.4)

F5,

Inc.

................

(414)

(69,287)

(84.5)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Fidelity

National

Information

Services,

Inc.

..........

(1,422)

$

(145,272)

(177.1)

%

First

Citizens

BancShares,

Inc.,

Class

A

..............

(390)

(295,105)

(359.8)

Ford

Motor

Co.

...........

(9,026)

(132,592)

(161.7)

Generac

Holdings,

Inc.

.....

(337)

(90,417)

(110.3)

Globe

Life,

Inc.

...........

(810)

(81,591)

(99.5)

Guidewire

Software,

Inc.

....

(654)

(50,829)

(62.0)

HCA

Healthcare,

Inc.

.......

(1,178)

(250,231)

(305.1)

HEICO

Corp.

............

(786)

(123,960)

(151.2)

Hess

Corp.

.............

(844)

(94,925)

(115.7)

Hilton

Worldwide

Holdings,

Inc.

(320)

(40,982)

(50.0)

Honeywell

International,

Inc.

..

(69)

(13,280)

(16.2)

Hormel

Foods

Corp.

.......

(774)

(38,189)

(46.6)

Huntington

Bancshares,

Inc.

..

(9,330)

(123,996)

(151.2)

Huntington

Ingalls

Industries,

Inc.

.................

(355)

(76,978)

(93.9)

IAC/InterActiveCorp

........

(1,515)

(103,777)

(126.5)

Intercontinental

Exchange,

Inc.

(246)

(25,090)

(30.6)

International

Business

Machines

Corp.

...............

(381)

(49,831)

(60.8)

International

Flavors

&

Fragrances,

Inc.

........

(288)

(35,726)

(43.6)

International

Paper

Co.

.....

(979)

(41,872)

(51.1)

Intuitive

Surgical,

Inc.

......

(384)

(88,385)

(107.8)

IQVIA

Holdings,

Inc.

.......

(856)

(205,671)

(250.8)

J

M

Smucker

Co.

(The)

.....

(2,196)

(290,575)

(354.3)

Jack

Henry

&

Associates,

Inc.

.

(779)

(161,853)

(197.4)

Jazz

Pharmaceuticals

plc

....

(144)

(22,473)

(27.4)

Johnson

&

Johnson

........

(261)

(45,550)

(55.5)

Kimberly-Clark

Corp.

.......

(1,977)

(260,549)

(317.7)

Kinder

Morgan,

Inc.

........

(10,176)

(183,066)

(223.2)

Las

Vegas

Sands

Corp.

.....

(2,737)

(103,158)

(125.8)

Lear

Corp.

..............

(838)

(126,655)

(154.4)

Leidos

Holdings,

Inc.

.......

(1,586)

(169,702)

(206.9)

Liberty

Broadband

Corp.,

Class

C

..................

(933)

(101,632)

(123.9)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(2,085)

(141,300)

(172.3)

Liberty

Media

Corp-Liberty

SiriusXM,

Class

C

.......

(931)

(37,072)

(45.2)

Lucid

Group,

Inc.

.........

(2,129)

(38,854)

(47.4)

Lumen

Technologies,

Inc.

....

(3,734)

(40,663)

(49.6)

MarketAxess

Holdings,

Inc.

..

(230)

(62,279)

(75.9)

Marsh

&

McLennan

Cos.,

Inc.

.

(282)

(46,237)

(56.4)

Martin

Marietta

Materials,

Inc.

.

(415)

(146,113)

(178.2)

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(1,762)

(153,911)

(187.7)

McKesson

Corp.

..........

(236)

(80,613)

(98.3)

MGM

Resorts

International

...

(3,824)

(125,159)

(152.6)

Mondelez

International,

Inc.,

Class

A

..............

(1,478)

(94,651)

(115.4)

Moody's

Corp.

...........

(196)

(60,809)

(74.1)

Morgan

Stanley

..........

(1,024)

(86,323)

(105.3)

Mosaic

Co.

(The)

.........

(339)

(17,852)

(21.8)

Motorola

Solutions,

Inc.

.....

(147)

(35,073)

(42.8)

Netflix,

Inc.

..............

(322)

(72,418)

(88.3)

Newell

Brands,

Inc.

........

(1,798)

(36,338)

(44.3)

Newmont

Corp.

..........

(1,334)

(60,403)

(73.7)

NortonLifeLock,

Inc.

.......

(1,908)

(46,803)

(57.1)

NRG

Energy,

Inc.

.........

(3,006)

(113,476)

(138.4)

Omnicom

Group,

Inc.

.......

(885)

(61,808)

(75.4)

Oracle

Corp.

............

(1,180)

(91,851)

(112.0)

O'Reilly

Automotive,

Inc.

....

(58)

(40,808)

(49.8)

PACCAR,

Inc.

...........

(852)

(77,975)

(95.1)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

33

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Palantir

Technologies,

Inc.,

Class

A

..................

(10,436)

$

(108,013)

(131.7)

%

Paramount

Global,

Class

B

...

(1,838)

(43,469)

(53.0)

Peloton

Interactive,

Inc.,

Class

A

(5,298)

(50,278)

(61.3)

PerkinElmer,

Inc.

.........

(1,183)

(181,200)

(220.9)

Pfizer,

Inc.

..............

(2,187)

(110,465)

(134.7)

PG&E

Corp.

.............

(5,155)

(55,983)

(68.3)

Plug

Power,

Inc.

..........

(7,779)

(166,004)

(202.4)

PNC

Financial

Services

Group,

Inc.

(The)

............

(494)

(81,974)

(100.0)

PPL

Corp.

..............

(3,608)

(104,921)

(127.9)

Principal

Financial

Group,

Inc.

.

(2,082)

(139,369)

(169.9)

Progressive

Corp.

(The)

.....

(3,640)

(418,818)

(510.7)

Prudential

Financial,

Inc.

....

(346)

(34,597)

(42.2)

PTC,

Inc.

...............

(767)

(94,632)

(115.4)

PulteGroup,

Inc.

..........

(1,240)

(54,089)

(66.0)

QIAGEN

NV

.............

(2,398)

(120,180)

(146.5)

Qorvo,

Inc.

..............

(848)

(88,251)

(107.6)

Quest

Diagnostics,

Inc.

.....

(635)

(86,722)

(105.7)

Republic

Services,

Inc.

.....

(1,392)

(193,015)

(235.4)

ResMed,

Inc.

............

(158)

(38,002)

(46.3)

Rivian

Automotive,

Inc.,

Class

A

(921)

(31,590)

(38.5)

ROBLOX

Corp.,

Class

A

.....

(623)

(26,745)

(32.6)

Rockwell

Automation,

Inc.

....

(847)

(216,222)

(263.6)

Rollins,

Inc.

.............

(5,979)

(230,610)

(281.2)

Roper

Technologies,

Inc.

....

(1,162)

(507,411)

(618.7)

Ross

Stores,

Inc.

.........

(951)

(77,278)

(94.2)

Royal

Caribbean

Cruises

Ltd.

.

(2,694)

(104,285)

(127.2)

Royalty

Pharma

plc,

Class

A

..

(944)

(41,055)

(50.1)

RPM

International,

Inc.

.....

(4,398)

(397,579)

(484.8)

S&P

Global,

Inc.

..........

(248)

(93,479)

(114.0)

Salesforce,

Inc.

...........

(912)

(167,826)

(204.6)

Seagen,

Inc.

............

(274)

(49,314)

(60.1)

SEI

Investments

Co.

.......

(2,750)

(152,240)

(185.6)

Sensata

Technologies

Holding

plc

.................

(1,585)

(70,485)

(85.9)

Sherwin-Williams

Co.

(The)

..

(415)

(100,405)

(122.4)

Sinch

AB

...............

(12,564)

(31,855)

(38.8)

Sirius

XM

Holdings,

Inc.

.....

(14,195)

(94,823)

(115.6)

Snap,

Inc.,

Class

A

........

(2,172)

(21,459)

(26.2)

Southern

Co.

(The)

........

(2,140)

(164,545)

(200.6)

SS&C

Technologies

Holdings,

Inc.

.................

(3,798)

(224,728)

(274.0)

Stanley

Black

&

Decker,

Inc.

..

(1,325)

(128,962)

(157.2)

STERIS

plc

.............

(1,089)

(245,733)

(299.6)

Stryker

Corp.

............

(293)

(62,922)

(76.7)

Swiss

Re

AG

............

(516)

(38,719)

(47.2)

Sysco

Corp.

.............

(1,220)

(103,578)

(126.3)

T

Rowe

Price

Group,

Inc.

....

(1,561)

(192,737)

(235.0)

Take-Two

Interactive

Software,

Inc.

.................

(961)

(127,554)

(155.5)

Target

Corp.

.............

(314)

(51,301)

(62.6)

Teladoc

Health,

Inc.

........

(3,946)

(145,410)

(177.3)

Teledyne

Technologies,

Inc.

..

(213)

(83,368)

(101.7)

Teleflex,

Inc.

.............

(231)

(55,546)

(67.7)

Tenaris

SA

..............

(21,990)

(307,729)

(375.2)

Teradyne,

Inc.

...........

(724)

(73,044)

(89.1)

Tesla,

Inc.

..............

(136)

(121,237)

(147.8)

Thermo

Fisher

Scientific,

Inc.

.

(498)

(298,008)

(363.4)

TJX

Cos.,

Inc.

(The)

.......

(649)

(39,693)

(48.4)

Trade

Desk,

Inc.

(The),

Class

A

(1,646)

(74,070)

(90.3)

Tradeweb

Markets,

Inc.,

Class

A

(275)

(19,393)

(23.6)

TransUnion

.............

(430)

(34,069)

(41.5)

Truist

Financial

Corp.

.......

(679)

(34,269)

(41.8)

Twilio,

Inc.,

Class

A

........

(737)

(62,498)

(76.2)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Twitter,

Inc.

.............

(5,810)

$

(241,754)

(294.8)

%

Tyler

Technologies,

Inc.

.....

(711)

(283,689)

(345.9)

Unity

Software,

Inc.

........

(935)

(34,960)

(42.6)

Universal

Health

Services,

Inc.,

Class

B

..............

(1,227)

(138,001)

(168.3)

Upstart

Holdings,

Inc.

......

(387)

(9,416)

(11.5)

US

Bancorp

.............

(5,079)

(239,729)

(292.3)

Verisk

Analytics,

Inc.

.......

(165)

(31,391)

(38.3)

VF

Corp.

...............

(3,842)

(171,661)

(209.3)

Vimeo,

Inc.

.............

(1)

(6)

(0.0)

Vulcan

Materials

Co.

.......

(498)

(82,334)

(100.4)

W

R

Berkley

Corp.

........

(2,949)

(184,401)

(224.8)

Walmart,

Inc.

............

(2,105)

(277,965)

(338.9)

Warner

Bros

Discovery,

Inc.

..

(4,283)

(64,245)

(78.3)

Waste

Connections,

Inc.

.....

(2,581)

(344,228)

(419.7)

Waste

Management,

Inc.

....

(2,020)

(332,411)

(405.3)

Wayfair,

Inc.,

Class

A

.......

(1,064)

(57,360)

(69.9)

WEC

Energy

Group,

Inc.

....

(428)

(44,431)

(54.2)

Western

Union

Co.

(The)

....

(5,613)

(95,533)

(116.5)

Whirlpool

Corp.

...........

(370)

(63,962)

(78.0)

Williams

Cos.,

Inc.

(The)

....

(3,844)

(131,042)

(159.8)

Willis

Towers

Watson

plc

....

(324)

(67,049)

(81.8)

Wynn

Resorts

Ltd.

........

(1,009)

(64,051)

(78.1)

Xylem,

Inc.

..............

(1,443)

(132,799)

(161.9)

Zillow

Group,

Inc.,

Class

C

...

(1,072)

(37,391)

(45.6)

Zimmer

Biomet

Holdings,

Inc.

.

(2,300)

(253,897)

(309.6)

Zoetis,

Inc.

..............

(343)

(62,615)

(76.3)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(952)

(98,87

4

)

(120.6)

(24,022

,49

0

)

Zambia

First

Quantum

Minerals

Ltd.

..

(962)

(17,579)

(21.4)

Total

Reference

Entity

—

Short

............

(56,998,130

)

Net

Value

of

Reference

Entity

—

BNP

Paribas

SA

$

82,012

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Citibank

NA,

as

of

period

end,

termination

dates

February

24,

2023

-

February

27,

2023:

Reference

Entity

—

Long

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

......

5,402

134,769

(311.1)

ASX

Ltd.

...............

2,498

155,263

(358.4)

Aurizon

Holdings

Ltd.

......

86,527

244,897

(565.3)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

1,561

23,930

(55.2)

Cochlear

Ltd.

............

1,147

172,884

(399.0)

CSL

Ltd.

...............

164

33,393

(77.1)

IDP

Education

Ltd.

........

2,844

57,221

(132.1)

822,357

Austria

voestalpine

AG

...........

144

3,242

(7.5)

Belgium

D'ieteren

Group

..........

170

27,901

(64.4)

Groupe

Bruxelles

Lambert

SA

.

312

27,617

(63.7)

Umicore

SA

.............

530

19,198

(44.3)

74,716

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

34

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Brazil

Wheaton

Precious

Metals

Corp.

788

$

27,039

(62.4)

%

Canada

Alimentation

Couche-Tard,

Inc.

1,426

63,708

(147.1)

AltaGas

Ltd.

.............

1,440

32,082

(74.1)

Bank

of

Nova

Scotia

(The)

...

1,137

69,265

(159.9)

Canadian

National

Railway

Co.

409

51,815

(119.6)

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

256

32,888

(75.9)

Constellation

Software,

Inc.

..

50

85,056

(196.3)

Dollarama,

Inc.

...........

1,538

93,213

(215.2)

Franco-Nevada

Corp.

......

1,096

140,339

(323.9)

Gildan

Activewear,

Inc.

......

739

21,658

(50.0)

National

Bank

of

Canada

....

1,115

78,234

(180.6)

Open

Text

Corp.

..........

510

20,861

(48.2)

Parkland

Corp.

...........

1,181

33,137

(76.5)

Royal

Bank

of

Canada

......

436

42,512

(98.1)

Shaw

Communications,

Inc.,

Class

B

..............

1,060

28,674

(66.2)

Teck

Resources

Ltd.,

Class

B

.

581

17,082

(39.4)

TMX

Group

Ltd.

..........

193

19,803

(45.7)

West

Fraser

Timber

Co.

Ltd.

..

1,052

98,492

(227.3)

928,819

China

BOC

Hong

Kong

Holdings

Ltd.

120,000

434,078

(1,002.0)

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

24

65,528

(151.3)

Coloplast

A/S,

Class

B

......

1,035

121,135

(279.6)

DSV

A/S

...............

141

23,759

(54.8)

210,422

Finland

Elisa

OYJ

..............

1,759

97,282

(224.6)

Kesko

OYJ,

Class

B

.......

819

20,256

(46.8)

Nordea

Bank

Abp

.........

2,045

20,163

(46.5)

Stora

Enso

OYJ,

Class

R

....

4,878

75,442

(174.1)

213,143

France

Amundi

SA

.............

1,111

60,322

(139.2)

Arkema

SA

.............

1,852

175,450

(405.0)

BioMerieux

.............

1,667

180,432

(416.5)

Bureau

Veritas

SA

.........

1,120

30,890

(71.3)

Capgemini

SE

...........

660

125,886

(290.6)

Cie

de

Saint-Gobain

.......

2,638

123,009

(283.9)

Dassault

Systemes

SE

.....

2,569

110,189

(254.3)

Eiffage

SA

..............

223

20,926

(48.3)

Engie

SA

...............

3,507

43,390

(100.2)

Eurazeo

SE

.............

3,637

259,782

(599.7)

Hermes

International

.......

73

100,152

(231.2)

Ipsen

SA

...............

2,709

274,035

(632.6)

La

Francaise

des

Jeux

SAEM

.

8,247

294,567

(679.9)

Legrand

SA

.............

271

22,186

(51.2)

Orange

SA

..............

63,294

646,766

(1,492.9)

Pernod

Ricard

SA

.........

111

21,805

(50.3)

Publicis

Groupe

SA

........

10,890

579,516

(1,337.7)

SEB

SA

................

431

36,286

(83.8)

Teleperformance

..........

777

259,830

(599.8)

Vivendi

SE

..............

5,970

56,675

(130.8)

Wendel

SE

.............

933

85,873

(198.2)

3,507,967

Germany

Bayer

AG

(Registered)

......

415

24,207

(55.9)

Beiersdorf

AG

............

236

24,337

(56.2)

Shares

Value

%

of

Basket

Value

Germany

(continued)

Deutsche

Bank

AG

(Registered)

2,385

$

20,862

(48.1)

%

Evonik

Industries

AG

.......

802

17,106

(39.5)

HeidelbergCement

AG

......

1,067

54,350

(125.4)

Henkel

AG

&

Co.

KGaA

(Preference)

..........

132

8,433

(19.5)

Mercedes-Benz

Group

AG

...

606

35,738

(82.5)

Nemetschek

SE

..........

1,790

119,834

(276.6)

Rational

AG

.............

35

24,397

(56.3)

329,264

Hong

Kong

Power

Assets

Holdings

Ltd.

..

3,500

22,917

(52.9)

Sun

Hung

Kai

Properties

Ltd.

.

6,500

77,591

(179.1)

100,508

Ireland

Smurfit

Kappa

Group

plc

....

2,024

73,365

(169.4)

Israel

Bank

Hapoalim

BM

........

11,399

106,239

(245.2)

Israel

Discount

Bank

Ltd.,

Class

A

..................

9,702

55,164

(127.4)

161,403

Italy

Assicurazioni

Generali

SpA

...

9,330

139,480

(322.0)

Enel

SpA

...............

1,969

9,926

(22.9)

Moncler

SpA

............

578

28,975

(66.9)

Prysmian

SpA

...........

1,874

59,588

(137.6)

Snam

SpA

..............

4,198

21,064

(48.6)

259,033

Japan

Advantest

Corp.

..........

1,200

71,372

(164.7)

Asahi

Kasei

Corp.

.........

11,800

94,664

(218.5)

Astellas

Pharma,

Inc.

.......

17,300

270,942

(625.4)

Chugai

Pharmaceutical

Co.

Ltd.

4,100

115,181

(265.9)

Dai

Nippon

Printing

Co.

Ltd.

..

2,500

55,168

(127.3)

Daiwa

House

Industry

Co.

Ltd.

1,500

37,062

(85.6)

Dentsu

Group,

Inc.

........

1,400

48,904

(112.9)

Fuji

Electric

Co.

Ltd.

.......

600

27,100

(62.6)

Honda

Motor

Co.

Ltd.

......

3,000

76,882

(177.5)

Hoya

Corp.

.............

1,100

110,211

(254.4)

Isuzu

Motors

Ltd.

.........

1,800

19,744

(45.6)

Kajima

Corp.

............

5,200

59,362

(137.0)

KDDI

Corp.

.............

3,500

112,218

(259.0)

Kikkoman

Corp.

..........

600

35,577

(82.1)

Kyocera

Corp.

...........

900

50,030

(115.5)

Marubeni

Corp.

...........

28,100

261,394

(603.4)

Mitsui

Chemicals,

Inc.

......

1,400

29,490

(68.1)

NEC

Corp.

..............

900

33,223

(76.7)

NGK

Insulators

Ltd.

........

8,500

124,323

(287.0)

NIPPON

EXPRESS

HOLDINGS,

Inc.

.................

1,300

77,682

(179.3)

Nippon

Telegraph

&

Telephone

Corp.

...............

3,000

85,696

(197.8)

Nitto

Denko

Corp.

.........

1,100

70,835

(163.5)

Nomura

Real

Estate

Holdings,

Inc.

.................

2,100

50,945

(117.6)

ORIX

Corp.

.............

1,300

23,168

(53.5)

Osaka

Gas

Co.

Ltd.

........

800

14,382

(33.2)

Panasonic

Holdings

Corp.

...

6,100

50,362

(116.3)

Ricoh

Co.

Ltd.

...........

3,800

30,564

(70.5)

Seiko

Epson

Corp.

........

3,900

58,588

(135.2)

Sekisui

Chemical

Co.

Ltd.

....

10,300

144,915

(334.5)

Sekisui

House

Ltd.

........

3,000

53,134

(122.6)

Shimadzu

Corp.

..........

4,900

174,337

(402.4)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

35

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Sompo

Holdings,

Inc.

......

1,800

$

80,336

(185.4)

%

Subaru

Corp.

............

2,500

43,502

(100.4)

Sumitomo

Chemical

Co.

Ltd.

..

13,700

53,840

(124.3)

Suzuki

Motor

Corp.

........

500

16,390

(37.8)

Sysmex

Corp.

...........

200

14,002

(32.3)

Terumo

Corp.

............

1,600

54,630

(126.1)

TOPPAN,

Inc.

............

3,000

51,046

(117.8)

USS

Co.

Ltd.

............

1,300

25,509

(58.9)

Yamaha

Corp.

...........

3,500

149,289

(344.6)

Yamaha

Motor

Co.

Ltd.

.....

4,300

83,064

(191.7)

3,039,063

Netherlands

EXOR

NV

..............

340

23,913

(55.2)

Norway

DNB

Bank

ASA

...........

2,534

49,985

(115.4)

Mowi

ASA

..............

1,827

42,158

(97.3)

Orkla

ASA

..............

5,395

46,571

(107.5)

Telenor

ASA

.............

1,667

20,245

(46.7)

158,959

Portugal

Galp

Energia

SGPS

SA

.....

2,741

28,933

(66.8)

Singapore

Singapore

Airlines

Ltd.

......

5,200

20,572

(47.5)

STMicroelectronics

NV

.....

665

25,166

(58.1)

45,738

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

5,151

23,343

(53.9)

Industria

de

Diseno

Textil

SA

..

655

15,908

(36.7)

39,251

Sweden

Alfa

Laval

AB

............

610

18,240

(42.1)

Assa

Abloy

AB,

Class

B

.....

1,207

28,517

(65.8)

Industrivarden

AB,

Class

C

...

2,099

54,458

(125.7)

Investor

AB,

Class

B

.......

6,581

122,813

(283.5)

Kinnevik

AB,

Class

B

.......

976

17,579

(40.6)

241,607

Switzerland

Baloise

Holding

AG

(Registered)

878

139,891

(322.9)

Julius

Baer

Group

Ltd.

......

997

51,555

(119.0)

Novartis

AG

(Registered)

....

1,191

102,342

(236.2)

SGS

SA

(Registered)

.......

17

41,488

(95.8)

335,276

United

Kingdom

abrdn

plc

...............

8,625

17,487

(40.4)

Associated

British

Foods

plc

..

2,613

53,371

(123.2)

CK

Hutchison

Holdings

Ltd.

..

23,500

155,882

(359.8)

CNH

Industrial

NV

.........

1,311

16,889

(39.0)

Coca-Cola

Europacific

Partners

plc

.................

455

24,625

(56.8)

DCC

plc

...............

488

31,861

(73.5)

Diageo

plc

..............

1,034

48,983

(113.1)

Entain

plc

..............

3,116

45,852

(105.8)

Haleon

plc

..............

4,522

16,069

(37.1)

Imperial

Brands

plc

........

6,302

138,369

(319.4)

Intertek

Group

plc

.........

986

52,697

(121.6)

JD

Sports

Fashion

plc

......

27,215

43,227

(99.8)

Legal

&

General

Group

plc

...

37,308

119,144

(275.0)

Sage

Group

plc

(The)

......

5,502

47,417

(109.4)

Smiths

Group

plc

.........

3,010

56,805

(131.1)

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Taylor

Wimpey

plc

.........

14,169

$

22,054

(50.9)

%

Whitbread

plc

............

2,071

65,920

(152.2)

956,652

United

States

ABIOMED,

Inc.

...........

434

127,166

(293.5)

Advanced

Micro

Devices,

Inc.

.

132

12,470

(28.8)

Agilent

Technologies,

Inc.

....

402

53,908

(124.4)

Airbnb,

Inc.,

Class

A

.......

582

64,590

(149.1)

Akamai

Technologies,

Inc.

...

239

22,997

(53.1)

Ally

Financial,

Inc.

.........

4,690

155,098

(358.0)

AMERCO

..............

39

20,946

(48.3)

American

Express

Co.

......

186

28,648

(66.1)

American

International

Group,

Inc.

.................

419

21,692

(50.1)

ANSYS,

Inc.

.............

511

142,564

(329.1)

Arista

Networks,

Inc.

.......

116

13,529

(31.2)

Automatic

Data

Processing,

Inc.

350

84,392

(194.8)

Biogen,

Inc.

.............

203

43,657

(100.8)

Booz

Allen

Hamilton

Holding

Corp.

...............

384

36,856

(85.1)

Capital

One

Financial

Corp.

..

101

11,093

(25.6)

Carrier

Global

Corp.

.......

501

20,306

(46.9)

Cboe

Global

Markets,

Inc.

...

245

30,228

(69.8)

CBRE

Group,

Inc.,

Class

A

...

69

5,908

(13.6)

CDW

Corp.

.............

383

69,526

(160.5)

Celanese

Corp.

..........

324

38,073

(87.9)

Centene

Corp.

...........

271

25,195

(58.2)

Chipotle

Mexican

Grill,

Inc.

...

38

59,440

(137.2)

Cigna

Corp.

.............

13

3,580

(8.3)

CMS

Energy

Corp.

........

1,228

84,400

(194.8)

Comcast

Corp.,

Class

A

.....

852

31,967

(73.8)

Consolidated

Edison,

Inc.

....

1,199

119,025

(274.7)

Copart,

Inc.

.............

697

89,286

(206.1)

Crowdstrike

Holdings,

Inc.,

Class

A

..................

171

31,396

(72.5)

CSX

Corp.

..............

1,593

51,502

(118.9)

Cummins,

Inc.

...........

530

117,294

(270.7)

Devon

Energy

Corp.

.......

191

12,004

(27.7)

Dexcom,

Inc.

............

86

7,059

(16.3)

Diamondback

Energy,

Inc.

...

1,234

157,977

(364.7)

Discover

Financial

Services

..

227

22,927

(52.9)

DocuSign,

Inc.

...........

440

28,151

(65.0)

Dominion

Energy,

Inc.

......

606

49,680

(114.7)

Dover

Corp.

.............

1,101

147,182

(339.7)

Dow,

Inc.

...............

1,145

60,925

(140.6)

DTE

Energy

Co.

..........

28

3,648

(8.4)

Eaton

Corp.

plc

...........

680

100,905

(232.9)

eBay,

Inc.

..............

50

2,432

(5.6)

Emerson

Electric

Co.

.......

567

51,070

(117.9)

Equitable

Holdings,

Inc.

.....

1,380

39,233

(90.6)

Everest

Re

Group

Ltd.

......

102

26,658

(61.5)

Evergy,

Inc.

.............

364

24,847

(57.4)

Eversource

Energy

........

769

67,841

(156.6)

Expedia

Group,

Inc.

........

230

24,392

(56.3)

Expeditors

International

of

Washington,

Inc.

........

5,092

541,025

(1,248.8)

FactSet

Research

Systems,

Inc.

16

6,875

(15.9)

First

Republic

Bank

........

121

19,688

(45.4)

FirstEnergy

Corp.

.........

581

23,879

(55.1)

FMC

Corp.

..............

1,652

183,537

(423.7)

Fortinet,

Inc.

.............

3,855

229,951

(530.8)

GSK

plc

...............

3,617

75,994

(175.4)

Halliburton

Co.

...........

2,579

75,565

(174.4)

Hologic,

Inc.

.............

398

28,409

(65.6)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

36

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Home

Depot,

Inc.

(The)

.....

75

$

22,571

(52.1)

%

IDEX

Corp.

.............

248

51,770

(119.5)

Jacobs

Engineering

Group,

Inc.

769

105,584

(243.7)

James

Hardie

Industries

plc,

CDI

................

3,443

85,031

(196.3)

JB

Hunt

Transport

Services,

Inc.

134

24,558

(56.7)

Juniper

Networks,

Inc.

......

1,989

55,752

(128.7)

Keysight

Technologies,

Inc.

...

950

154,470

(356.6)

Knight-Swift

Transportation

Holdings,

Inc.

..........

994

54,620

(126.1)

Lincoln

National

Corp.

......

335

17,199

(39.7)

Lyft,

Inc.,

Class

A

.........

2,203

30,534

(70.5)

LyondellBasell

Industries

NV,

Class

A

..............

227

20,230

(46.7)

Masimo

Corp.

............

11

1,590

(3.7)

Molina

Healthcare,

Inc.

.....

241

78,981

(182.3)

MongoDB,

Inc.

...........

81

25,310

(58.4)

Monster

Beverage

Corp.

....

897

89,359

(206.3)

MSCI,

Inc.

..............

106

51,022

(117.8)

Nestle

SA

(Registered)

.....

275

33,695

(77.8)

News

Corp.,

Class

A

.......

1,410

24,167

(55.8)

Nordson

Corp.

...........

424

97,940

(226.1)

Northern

Trust

Corp.

.......

152

15,167

(35.0)

Old

Dominion

Freight

Line,

Inc.

47

14,265

(32.9)

ONEOK,

Inc.

............

2,441

145,825

(336.6)

Paychex,

Inc.

............

760

97,493

(225.0)

Philip

Morris

International,

Inc.

276

26,813

(61.9)

Procter

&

Gamble

Co.

(The)

..

265

36,811

(85.0)

Quanta

Services,

Inc.

......

188

26,081

(60.2)

Regeneron

Pharmaceuticals,

Inc.

.................

104

60,496

(139.6)

Regions

Financial

Corp.

.....

3,507

74,278

(171.5)

Roche

Holding

AG

........

461

153,054

(353.3)

Schlumberger

NV

.........

1,611

59,655

(137.7)

Sempra

Energy

..........

230

38,134

(88.0)

ServiceNow,

Inc.

..........

221

98,712

(227.9)

Splunk,

Inc.

.............

387

40,213

(92.8)

State

Street

Corp.

.........

300

21,312

(49.2)

Stellantis

NV

............

2,377

34,134

(78.8)

Targa

Resources

Corp.

.....

730

50,450

(116.5)

Trane

Technologies

plc

.....

246

36,160

(83.5)

Tyson

Foods,

Inc.,

Class

A

...

568

49,990

(115.4)

Ulta

Beauty,

Inc.

..........

112

43,558

(100.5)

United

Rentals,

Inc.

........

435

140,361

(324.0)

UnitedHealth

Group,

Inc.

....

42

22,778

(52.6)

Valero

Energy

Corp.

.......

226

25,034

(57.8)

VeriSign,

Inc.

............

480

90,797

(209.6)

Vertex

Pharmaceuticals,

Inc.

..

140

39,257

(90.6)

Waters

Corp.

............

25

9,101

(21.0)

West

Pharmaceutical

Services,

Inc.

.................

87

29,890

(69.0)

Westlake

Corp.

...........

170

16,548

(38.2)

WestRock

Co.

...........

1,371

58,076

(134.1)

Workday,

Inc.,

Class

A

......

892

138,349

(319.3)

WW

Grainger,

Inc.

.........

136

73,920

(170.6)

Zscaler,

Inc.

.............

139

21,553

(49.8)

6,441,234

Total

Reference

Entity

—

Long

............

18,455,982

Reference

Entity

—

Short

Common

Stocks

Australia

Glencore

plc

............

(4,343)

(24,615)

56.8

Shares

Value

%

of

Basket

Value

Austria

Erste

Group

Bank

AG

......

(275)

$

(6,972)

16.1

%

Verbund

AG

.............

(630)

(69,278)

159.9

(76,250)

Belgium

Solvay

SA

..............

(338)

(29,688)

68.5

Brazil

Yara

International

ASA

......

(1,022)

(43,555)

100.5

Canada

Air

Canada

.............

(6,013)

(81,657)

188.5

Algonquin

Power

&

Utilities

Corp.

...............

(5,757)

(80,518)

185.9

BCE,

Inc.

...............

(25)

(1,263)

2.9

BlackBerry

Ltd.

...........

(1,326)

(8,149)

18.8

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(1,369)

(67,929)

156.8

CCL

Industries,

Inc.,

Class

B

..

(1,679)

(84,347)

194.7

Emera,

Inc.

.............

(710)

(33,661)

77.7

Fairfax

Financial

Holdings

Ltd.

(61)

(32,859)

75.8

FirstService

Corp.

.........

(180)

(24,080)

55.6

GFL

Environmental,

Inc.

.....

(801)

(22,168)

51.2

Great-West

Lifeco,

Inc.

.....

(8,712)

(211,719)

488.7

Imperial

Oil

Ltd.

..........

(1,498)

(71,791)

165.7

Ivanhoe

Mines

Ltd.,

Class

A

..

(6,057)

(37,651)

86.9

Metro,

Inc.

..............

(4,201)

(232,629)

537.0

Northland

Power,

Inc.

......

(5,769)

(189,124)

436.5

Power

Corp.

of

Canada

.....

(2,753)

(74,815)

172.7

Quebecor,

Inc.,

Class

B

.....

(7,965)

(176,958)

408.5

TELUS

Corp.

............

(11,200)

(257,839)

595.2

(1,689,157)

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(6,900)

(19,106)

44.1

Chow

Tai

Fook

Jewellery

Group

Ltd.

................

(11,800)

(23,337)

53.9

NXP

Semiconductors

NV

....

(392)

(72,081)

166.4

(114,524)

Denmark

GN

Store

Nord

A/S

........

(1,468)

(51,122)

118.0

Orsted

A/S

..............

(692)

(80,560)

186.0

Vestas

Wind

Systems

A/S

...

(1,690)

(44,420)

102.5

(176,102)

France

Accor

SA

...............

(2,747)

(71,282)

164.5

Air

Liquide

SA

...........

(728)

(100,087)

231.0

Airbus

SE

..............

(1,863)

(200,872)

463.7

Alstom

SA

..............

(7,001)

(166,384)

384.1

AXA

SA

................

(2,345)

(54,035)

124.7

Bollore

SE

..............

(12,244)

(61,818)

142.7

Bouygues

SA

............

(3,338)

(100,907)

232.9

Carrefour

SA

............

(2,125)

(36,214)

83.6

Cie

Generale

des

Etablissements

Michelin

SCA

..........

(1,950)

(54,570)

126.0

Danone

SA

.............

(1,768)

(97,486)

225.0

EssilorLuxottica

SA

........

(143)

(22,420)

51.8

Getlink

SE

..............

(31,875)

(637,957)

1,472.6

L'Oreal

SA

..............

(313)

(118,332)

273.1

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(34)

(23,608)

54.5

Remy

Cointreau

SA

........

(1,445)

(285,470)

658.9

Renault

SA

.............

(5,004)

(147,940)

341.5

Safran

SA

..............

(1,251)

(137,504)

317.4

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

37

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

France

(continued)

Sartorius

Stedim

Biotech

....

(255)

$

(102,010)

235.5

%

Ubisoft

Entertainment

SA

....

(2,054)

(87,448)

201.9

Vinci

SA

...............

(190)

(18,213)

42.0

Worldline

SA

............

(3,162)

(139,565)

322.2

(2,664,122)

Germany

Aroundtown

SA

...........

(5,871)

(18,828)

43.5

Daimler

Truck

Holding

AG

...

(5,030)

(137,445)

317.3

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(3,008)

(111,517)

257.4

KION

Group

AG

..........

(987)

(45,020)

103.9

Puma

SE

...............

(942)

(63,607)

146.8

Uniper

SE

..............

(1,137)

(7,597)

17.5

United

Internet

AG

(Registered),

Class

G

..............

(625)

(16,463)

38.0

Zalando

SE

.............

(1,582)

(44,538)

102.8

(445,015)

Hong

Kong

AIA

Group

Ltd.

...........

(11,000)

(110,513)

255.1

Hong

Kong

&

China

Gas

Co.

Ltd.

................

(129,150)

(136,400)

314.8

MTR

Corp.

Ltd.

...........

(119,839)

(634,608)

1,464.9

Techtronic

Industries

Co.

Ltd.

.

(3,500)

(38,838)

89.7

Wharf

Real

Estate

Investment

Co.

Ltd.

..............

(54,000)

(240,365)

554.8

(1,160,724)

Ireland

AerCap

Holdings

NV

.......

(1,006)

(45,129)

104.2

Kingspan

Group

plc

........

(629)

(40,714)

94.0

(85,843)

Israel

Wix.com

Ltd.

............

(682)

(40,463)

93.4

Italy

Atlantia

SpA

.............

(2,620)

(60,550)

139.8

DiaSorin

SpA

............

(182)

(25,306)

58.4

Infrastrutture

Wireless

Italiane

SpA

................

(8,806)

(92,537)

213.6

Nexi

SpA

...............

(6,348)

(57,653)

133.1

(236,046)

Japan

Aisin

Corp.

..............

(700)

(20,789)

48.0

Asahi

Intecc

Co.

Ltd.

.......

(1,200)

(22,200)

51.2

Canon,

Inc.

.............

(2,600)

(61,510)

142.0

Capcom

Co.

Ltd.

..........

(1,000)

(27,798)

64.2

Chubu

Electric

Power

Co.,

Inc.

(5,200)

(55,471)

128.0

Concordia

Financial

Group

Ltd.

(6,400)

(21,773)

50.3

CyberAgent,

Inc.

..........

(600)

(5,987)

13.8

GMO

Payment

Gateway,

Inc.

.

(200)

(16,621)

38.4

Hitachi

Metals

Ltd.

........

(4,100)

(63,045)

145.5

Iida

Group

Holdings

Co.

Ltd.

..

(3,300)

(54,029)

124.7

Itochu

Techno-Solutions

Corp.

.

(2,500)

(66,999)

154.7

Japan

Post

Bank

Co.

Ltd.

....

(16,800)

(134,394)

310.2

Japan

Post

Holdings

Co.

Ltd.

.

(10,900)

(78,478)

181.1

JFE

Holdings,

Inc.

.........

(5,600)

(63,139)

145.7

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(4,400)

(44,610)

103.0

Keio

Corp.

..............

(400)

(15,316)

35.4

Kintetsu

Group

Holdings

Co.

Ltd.

................

(3,700)

(122,274)

282.2

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(700)

(46,634)

107.6

Shares

Value

%

of

Basket

Value

Japan

(continued)

Kobe

Bussan

Co.

Ltd.

......

(100)

$

(2,851)

6.6

%

Koito

Manufacturing

Co.

Ltd.

..

(1,000)

(32,872)

75.9

Konami

Group

Corp.

.......

(500)

(29,553)

68.2

Kose

Corp.

.............

(500)

(44,631)

103.0

Kubota

Corp.

............

(2,500)

(41,508)

95.8

M3,

Inc.

................

(900)

(31,356)

72.4

Mitsui

&

Co.

Ltd.

..........

(10,700)

(236,066)

544.9

Mitsui

OSK

Lines

Ltd.

......

(2,700)

(74,036)

170.9

Nexon

Co.

Ltd.

...........

(200)

(4,540)

10.5

Nidec

Corp.

.............

(300)

(20,848)

48.1

Nippon

Paint

Holdings

Co.

Ltd.

(21,500)

(164,350)

379.4

Nippon

Sanso

Holdings

Corp.

.

(1,000)

(16,863)

38.9

Nippon

Yusen

KK

.........

(500)

(39,276)

90.7

Nissan

Motor

Co.

Ltd.

......

(9,100)

(34,606)

79.9

NTT

Data

Corp.

..........

(3,100)

(46,919)

108.3

Odakyu

Electric

Railway

Co.

Ltd.

(1,800)

(25,816)

59.6

Omron

Corp.

............

(400)

(22,371)

51.6

Open

House

Group

Co.

Ltd.

..

(1,700)

(74,163)

171.2

Otsuka

Corp.

............

(1,000)

(31,186)

72.0

Otsuka

Holdings

Co.

Ltd.

....

(1,000)

(35,723)

82.5

Pan

Pacific

International

Holdings

Corp.

.........

(9,600)

(149,477)

345.0

Rakuten

Group,

Inc.

.......

(7,000)

(34,703)

80.1

Renesas

Electronics

Corp.

...

(10,300)

(98,106)

226.5

SBI

Holdings,

Inc.

.........

(4,200)

(85,207)

196.7

SG

Holdings

Co.

Ltd.

.......

(2,300)

(43,894)

101.3

Sharp

Corp.

.............

(6,300)

(50,709)

117.0

Shimano,

Inc.

............

(100)

(16,705)

38.6

SoftBank

Group

Corp.

......

(500)

(21,003)

48.5

SUMCO

Corp.

...........

(3,200)

(44,777)

103.4

Sumitomo

Electric

Industries

Ltd.

................

(5,600)

(62,433)

144.1

Sumitomo

Metal

Mining

Co.

Ltd.

(600)

(18,866)

43.5

T&D

Holdings,

Inc.

........

(3,500)

(39,613)

91.4

Tobu

Railway

Co.

Ltd.

......

(900)

(21,370)

49.3

Toho

Co.

Ltd.

............

(1,700)

(67,508)

155.8

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(10,700)

(42,108)

97.2

Toyota

Motor

Corp.

........

(7,400)

(120,110)

277.2

Unicharm

Corp.

..........

(3,100)

(112,289)

259.2

Z

Holdings

Corp.

..........

(16,300)

(57,608)

133.0

(3,017,087)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,441)

(72,732)

167.9

Luxembourg

Eurofins

Scientific

SE

......

(2,980)

(232,316)

536.3

Macau

Galaxy

Entertainment

Group

Ltd.

................

(53,000)

(315,301)

727.8

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(2,066)

(21,069)

48.6

Akzo

Nobel

NV

...........

(633)

(42,602)

98.3

Argenx

SE

..............

(149)

(54,430)

125.7

Euronext

NV

............

(276)

(22,488)

51.9

IMCD

NV

...............

(243)

(38,916)

89.8

JDE

Peet's

NV

...........

(1,329)

(38,544)

89.0

(218,049)

New

Zealand

Xero

Ltd.

...............

(1,735)

(114,300)

263.8

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

38

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Norway

Aker

BP

ASA

............

(734)

$

(25,504)

58.8

%

Singapore

Venture

Corp.

Ltd.

.........

(1,600)

(20,384)

47.1

Spain

CaixaBank

SA

...........

(6,657)

(19,989)

46.2

EDP

Renovaveis

SA

.......

(2,474)

(64,347)

148.5

Ferrovial

SA

.............

(3,001)

(80,361)

185.5

Naturgy

Energy

Group

SA

...

(1,414)

(41,476)

95.7

(206,173)

Sweden

Atlas

Copco

AB,

Class

A

....

(2,220)

(25,950)

59.9

Electrolux

AB

............

(5,736)

(82,735)

191.0

Embracer

Group

AB

.......

(3,282)

(25,011)

57.7

Fastighets

AB

Balder,

Class

B

.

(3,366)

(21,502)

49.6

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

(133)

(1,702)

3.9

Hexagon

AB,

Class

B

......

(3,628)

(42,718)

98.6

Holmen

AB,

Class

B

.......

(2,375)

(97,593)

225.3

Investment

AB

Latour,

Class

B

(3,046)

(75,789)

174.9

Lifco

AB,

Class

B

.........

(1,535)

(29,880)

69.0

Nibe

Industrier

AB,

Class

B

...

(3,798)

(38,262)

88.3

Skandinaviska

Enskilda

Banken

AB,

Class

A

...........

(4,183)

(45,316)

104.6

Swedish

Orphan

Biovitrum

AB

.

(2,382)

(52,311)

120.8

(538,769)

Switzerland

Alcon,

Inc.

..............

(916)

(72,093)

166.4

Bachem

Holding

AG

(Registered),

Class

B

....

(1,045)

(70,468)

162.7

EMS-Chemie

Holding

AG

(Registered)

...........

(27)

(21,440)

49.5

Lonza

Group

AG

(Registered)

.

(26)

(15,802)

36.5

Partners

Group

Holding

AG

..

(20)

(21,835)

50.4

Schindler

Holding

AG

......

(436)

(85,220)

196.7

Swiss

Prime

Site

AG

(Registered)

...........

(250)

(22,766)

52.5

TE

Connectivity

Ltd.

.......

(495)

(66,196)

152.8

Temenos

AG

(Registered)

...

(438)

(34,765)

80.2

(410,585)

United

Arab

Emirates

NMC

Health

plc

..........

(9,400)

—

(0.0)

United

Kingdom

Admiral

Group

plc

.........

(2,640)

(61,701)

142.4

Hargreaves

Lansdown

plc

...

(11,361)

(117,618)

271.5

Johnson

Matthey

plc

.......

(898)

(23,478)

54.2

Linde

plc

...............

(150)

(45,300)

104.6

Melrose

Industries

plc

......

(23,862)

(46,971)

108.4

Ocado

Group

plc

.........

(2,248)

(23,110)

53.3

Schroders

plc

............

(3,550)

(128,765)

297.2

Severn

Trent

plc

..........

(2,642)

(94,985)

219.3

Standard

Chartered

plc

.....

(5,031)

(34,677)

80.0

United

Utilities

Group

plc

....

(7,102)

(94,361)

217.8

Vodafone

Group

plc

........

(15,914)

(23,452)

54.1

(694,418)

United

States

AbbVie,

Inc.

.............

(390)

(55,969)

129.2

Albemarle

Corp.

..........

(143)

(34,936)

80.6

Amphenol

Corp.,

Class

A

....

(2,932)

(226,145)

522.0

Analog

Devices,

Inc.

.......

(757)

(130,174)

300.5

Apollo

Global

Management,

Inc.

(561)

(32,033)

73.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

Aramark

...............

(648)

$

(21,643)

50.0

%

Avantor,

Inc.

.............

(1,025)

(29,746)

68.7

Becton

Dickinson

and

Co.

...

(147)

(35,914)

82.9

Bentley

Systems,

Inc.,

Class

B

(3,047)

(120,661)

278.5

BioMarin

Pharmaceutical,

Inc.

.

(211)

(18,157)

41.9

Bristol-Myers

Squibb

Co.

....

(770)

(56,811)

131.1

Brookfield

Renewable

Corp.

..

(1,390)

(54,382)

125.5

Brown

&

Brown,

Inc.

.......

(2,287)

(148,884)

343.7

Burlington

Stores,

Inc.

......

(341)

(48,125)

111.1

Cable

One,

Inc.

..........

(15)

(20,650)

47.7

Caesars

Entertainment,

Inc.

..

(1,040)

(47,518)

109.7

Campbell

Soup

Co.

........

(566)

(27,932)

64.5

CarMax,

Inc.

............

(666)

(66,294)

153.0

Carnival

Corp.

...........

(2,001)

(18,129)

41.8

Ceridian

HCM

Holding,

Inc.

..

(1,124)

(61,561)

142.1

CF

Industries

Holdings,

Inc.

..

(292)

(27,883)

64.4

Charles

Schwab

Corp.

(The)

..

(808)

(55,792)

128.8

Charter

Communications,

Inc.,

Class

A

..............

(56)

(24,198)

55.9

Cincinnati

Financial

Corp.

....

(1,197)

(116,516)

269.0

Clarivate

plc

.............

(1,452)

(21,039)

48.6

Clorox

Co.

(The)

..........

(218)

(30,921)

71.4

Coinbase

Global,

Inc.,

Class

A

(308)

(19,392)

44.8

Cooper

Cos.,

Inc.

(The)

.....

(248)

(81,096)

187.2

Corning,

Inc.

............

(713)

(26,210)

60.5

Costco

Wholesale

Corp.

.....

(145)

(78,489)

181.2

Coupa

Software,

Inc.

.......

(253)

(16,551)

38.2

DaVita,

Inc.

.............

(408)

(34,337)

79.3

Dell

Technologies,

Inc.,

Class

C

(1,021)

(46,006)

106.2

DENTSPLY

SIRONA,

Inc.

...

(1,619)

(58,543)

135.1

EPAM

Systems,

Inc.

.......

(77)

(26,892)

62.1

Erie

Indemnity

Co.,

Class

A

..

(768)

(156,180)

360.5

F5,

Inc.

................

(1,021)

(170,875)

394.4

Ford

Motor

Co.

...........

(2,935)

(43,115)

99.5

Freeport-McMoRan,

Inc.

....

(2,472)

(77,992)

180.0

General

Mills,

Inc.

.........

(1,377)

(102,986)

237.7

Global

Payments,

Inc.

......

(125)

(15,290)

35.3

Globe

Life,

Inc.

...........

(220)

(22,161)

51.2

Hasbro,

Inc.

.............

(482)

(37,943)

87.6

Henry

Schein,

Inc.

.........

(333)

(26,250)

60.6

IAC/InterActiveCorp

........

(2,802)

(191,937)

443.0

Ingersoll

Rand,

Inc.

........

(637)

(31,723)

73.2

Intercontinental

Exchange,

Inc.

(247)

(25,192)

58.2

International

Business

Machines

Corp.

...............

(166)

(21,711)

50.1

Intuitive

Surgical,

Inc.

......

(104)

(23,938)

55.3

IQVIA

Holdings,

Inc.

.......

(108)

(25,949)

59.9

J

M

Smucker

Co.

(The)

.....

(923)

(122,131)

281.9

Jack

Henry

&

Associates,

Inc.

.

(135)

(28,049)

64.7

Johnson

&

Johnson

........

(126)

(21,990)

50.8

Liberty

Broadband

Corp.,

Class

C

..................

(529)

(57,624)

133.0

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(1,800)

(121,986)

281.6

Live

Nation

Entertainment,

Inc.

(753)

(70,774)

163.4

Marriott

International,

Inc.,

Class

A

..................

(315)

(50,028)

115.5

Marsh

&

McLennan

Cos.,

Inc.

.

(184)

(30,169)

69.6

McKesson

Corp.

..........

(137)

(46,796)

108.0

Medtronic

plc

............

(298)

(27,571)

63.6

Mondelez

International,

Inc.,

Class

A

..............

(54)

(3,458)

8.0

Motorola

Solutions,

Inc.

.....

(145)

(34,596)

79.9

Newell

Brands,

Inc.

........

(2,498)

(50,485)

116.5

Newmont

Corp.

..........

(769)

(34,820)

80.4

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

39

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

NIKE,

Inc.,

Class

B

........

(397)

$

(45,623)

105.3

%

NRG

Energy,

Inc.

.........

(2,015)

(76,066)

175.6

Okta,

Inc.

...............

(416)

(40,955)

94.5

O'Reilly

Automotive,

Inc.

....

(126)

(88,652)

204.6

PayPal

Holdings,

Inc.

......

(1,002)

(86,703)

200.1

Peloton

Interactive,

Inc.,

Class

A

(5,007)

(47,516)

109.7

Principal

Financial

Group,

Inc.

.

(389)

(26,040)

60.1

Prudential

Financial,

Inc.

....

(819)

(81,892)

189.0

PTC,

Inc.

...............

(231)

(28,501)

65.8

Qorvo,

Inc.

..............

(225)

(23,416)

54.1

Quest

Diagnostics,

Inc.

.....

(444)

(60,637)

140.0

ResMed,

Inc.

............

(214)

(51,471)

118.8

Rivian

Automotive,

Inc.,

Class

A

(1,376)

(47,197)

108.9

Rockwell

Automation,

Inc.

....

(111)

(28,336)

65.4

Rollins,

Inc.

.............

(1,520)

(58,626)

135.3

Ross

Stores,

Inc.

.........

(219)

(17,796)

41.1

Royal

Caribbean

Cruises

Ltd.

.

(847)

(32,787)

75.7

S&P

Global,

Inc.

..........

(145)

(54,655)

126.2

SEI

Investments

Co.

.......

(996)

(55,139)

127.3

Sensata

Technologies

Holding

plc

.................

(804)

(35,754)

82.5

Sherwin-Williams

Co.

(The)

..

(586)

(141,777)

327.3

Snap-on,

Inc.

............

(107)

(23,973)

55.3

SS&C

Technologies

Holdings,

Inc.

.................

(1,512)

(89,465)

206.5

Stanley

Black

&

Decker,

Inc.

..

(493)

(47,984)

110.8

Swiss

Re

AG

............

(443)

(33,241)

76.7

Sysco

Corp.

.............

(652)

(55,355)

127.8

T

Rowe

Price

Group,

Inc.

....

(824)

(101,739)

234.8

Take-Two

Interactive

Software,

Inc.

.................

(49)

(6,504)

15.0

Teladoc

Health,

Inc.

........

(1,526)

(56,233)

129.8

Teledyne

Technologies,

Inc.

..

(64)

(25,050)

57.8

Teradyne,

Inc.

...........

(568)

(57,306)

132.3

Trade

Desk,

Inc.

(The),

Class

A

(1,501)

(67,545)

155.9

Tradeweb

Markets,

Inc.,

Class

A

(267)

(18,829)

43.5

Twilio,

Inc.,

Class

A

........

(243)

(20,606)

47.6

Tyler

Technologies,

Inc.

.....

(61)

(24,339)

56.2

Union

Pacific

Corp.

........

(9)

(2,046)

4.7

US

Bancorp

.............

(1,454)

(68,629)

158.4

Verizon

Communications,

Inc.

.

(634)

(29,284)

67.6

VF

Corp.

...............

(1,106)

(49,416)

114.1

Vistra

Corp.

.............

(892)

(23,058)

53.2

Walmart,

Inc.

............

(1,408)

(185,926)

429.2

Wayfair,

Inc.,

Class

A

.......

(214)

(11,537)

26.6

Wells

Fargo

&

Co.

.........

(1,169)

(51,284)

118.4

Willis

Towers

Watson

plc

....

(139)

(28,765)

66.4

Wynn

Resorts

Ltd.

........

(337)

(21,393)

49.4

Zillow

Group,

Inc.,

Class

C

...

(725)

(25,288)

58.4

(5,847,582)

Total

Reference

Entity

—

Short

............

(18,499,304)

Net

Value

of

Reference

Entity

—

Citibank

NA

..

$

(43,322)

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Goldman

Sachs

International,

as

of

period

end,

termination

dates

February

27,

2023

-

March

01,

2023:

Reference

Entity

—

Long

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

......

2,874

$

71,701

1,802.1

%

Aurizon

Holdings

Ltd.

......

6,809

19,272

484.3

Shares

Value

%

of

Basket

Value

Australia

(continued)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

2,909

$

44,591

1,120.7

%

BlueScope

Steel

Ltd.

.......

1,674

19,663

494.2

Cochlear

Ltd.

............

450

67,827

1,704.7

Coles

Group

Ltd.

.........

11,146

146,797

3,689.5

QBE

Insurance

Group

Ltd.

...

3,530

28,543

717.4

REA

Group

Ltd.

..........

488

43,054

1,082.1

South32

Ltd.

............

7,867

21,442

538.9

462,890

Austria

OMV

AG

...............

295

12,564

315.8

voestalpine

AG

...........

616

13,870

348.6

26,434

Belgium

Groupe

Bruxelles

Lambert

SA

.

3,164

280,062

7,038.8

Umicore

SA

.............

653

23,653

594.5

303,715

Brazil

Wheaton

Precious

Metals

Corp.

3,931

134,886

3,390.1

Canada

AltaGas

Ltd.

.............

5,649

125,857

3,163.2

Bank

of

Nova

Scotia

(The)

...

2,299

140,053

3,520.0

Canadian

Apartment

Properties

REIT

................

536

20,305

510.3

Canadian

Imperial

Bank

of

Commerce

...........

5,860

296,444

7,450.6

Canadian

National

Railway

Co.

646

81,840

2,056.9

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

798

102,518

2,576.6

Constellation

Software,

Inc.

..

90

153,100

3,847.9

Dollarama,

Inc.

...........

577

34,970

878.9

Empire

Co.

Ltd.,

Class

A

....

2,094

63,545

1,597.1

Franco-Nevada

Corp.

......

830

106,279

2,671.1

George

Weston

Ltd.

.......

256

30,555

767.9

Gildan

Activewear,

Inc.

......

571

16,735

420.6

Hydro

One

Ltd.

...........

19,467

543,474

13,659.2

Intact

Financial

Corp.

.......

720

107,166

2,693.4

Kinross

Gold

Corp.

........

5,618

19,260

484.1

Loblaw

Cos.

Ltd.

..........

757

68,911

1,731.9

Magna

International,

Inc.

....

2,079

132,755

3,336.6

National

Bank

of

Canada

....

2,922

205,023

5,152.9

Onex

Corp.

.............

569

30,411

764.3

Open

Text

Corp.

..........

1,430

58,493

1,470.1

Parkland

Corp.

...........

921

25,842

649.5

Royal

Bank

of

Canada

......

2,359

230,014

5,781.0

Shaw

Communications,

Inc.,

Class

B

..............

4,004

108,312

2,722.2

Teck

Resources

Ltd.,

Class

B

.

3,458

101,670

2,555.3

TFI

International,

Inc.

.......

1,757

175,487

4,410.5

TMX

Group

Ltd.

..........

626

64,230

1,614.3

West

Fraser

Timber

Co.

Ltd.

..

334

31,270

785.9

3,074,519

China

SITC

International

Holdings

Co.

Ltd.

................

7,000

23,835

599.0

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

10

27,303

686.2

Coloplast

A/S,

Class

B

......

728

85,204

2,141.5

DSV

A/S

...............

336

56,616

1,422.9

Genmab

A/S

............

70

24,908

626.0

Novo

Nordisk

A/S,

Class

B

...

1,893

220,485

5,541.5

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

40

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Denmark

(continued)

Pandora

A/S

............

451

$

33,506

842.1

%

448,022

Finland

Elisa

OYJ

..............

496

27,431

689.4

Kesko

OYJ,

Class

B

.......

699

17,289

434.5

Neste

OYJ

..............

1,315

67,619

1,699.5

Nokia

OYJ

..............

6,351

33,080

831.4

Stora

Enso

OYJ,

Class

R

....

2,614

40,427

1,016.1

185,846

France

Amundi

SA

.............

260

14,117

354.8

Arkema

SA

.............

345

32,684

821.4

BioMerieux

.............

1,077

116,572

2,929.8

BNP

Paribas

SA

..........

1,487

70,257

1,765.8

Bureau

Veritas

SA

.........

1,618

44,625

1,121.6

Cie

de

Saint-Gobain

.......

864

40,288

1,012.6

Dassault

Aviation

SA

.......

265

37,901

952.6

Dassault

Systemes

SE

.....

3,007

128,975

3,241.6

Edenred

...............

1,015

52,100

1,309.4

Eiffage

SA

..............

465

43,635

1,096.7

Engie

SA

...............

13,075

161,768

4,065.7

Eurazeo

SE

.............

291

20,785

522.4

Hermes

International

.......

95

130,335

3,275.7

Kering

SA

..............

108

61,829

1,554.0

La

Francaise

des

Jeux

SAEM

.

2,238

79,937

2,009.1

Orange

SA

..............

6,147

62,813

1,578.7

Pernod

Ricard

SA

.........

399

78,381

1,970.0

Publicis

Groupe

SA

........

6,226

331,319

8,327.1

Sanofi

.................

561

55,749

1,401.1

SEB

SA

................

290

24,415

613.6

Teleperformance

..........

853

285,244

7,169.1

Vivendi

SE

..............

23,055

218,869

5,500.9

Wendel

SE

.............

200

18,408

462.6

2,111,006

Germany

Bayer

AG

(Registered)

......

2,583

150,667

3,786.7

Brenntag

SE

............

1,552

109,020

2,740.0

Covestro

AG

............

3,063

103,301

2,596.3

Deutsche

Bank

AG

(Registered)

2,214

19,366

486.7

Deutsche

Boerse

AG

.......

368

64,240

1,614.6

Deutsche

Post

AG

(Registered)

9,814

391,970

9,851.4

GEA

Group

AG

...........

4,160

155,283

3,902.7

HeidelbergCement

AG

......

613

31,224

784.8

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

373

84,561

2,125.3

Symrise

AG

.............

205

23,921

601.2

1,133,553

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

73,500

520,360

13,078.3

CLP

Holdings

Ltd.

.........

3,500

29,679

745.9

Hongkong

Land

Holdings

Ltd.

.

5,300

27,550

692.4

New

World

Development

Co.

Ltd.

................

28,000

93,629

2,353.2

Power

Assets

Holdings

Ltd.

..

8,500

55,656

1,398.8

Prudential

plc

............

2,473

30,503

766.6

Sun

Hung

Kai

Properties

Ltd.

.

9,000

107,434

2,700.2

864,811

Ireland

Smurfit

Kappa

Group

plc

....

806

29,215

734.3

Shares

Value

%

of

Basket

Value

Israel

Bank

Hapoalim

BM

........

8,059

$

75,110

1,887.7

%

Bank

Leumi

Le-Israel

BM

....

9,000

87,512

2,199.5

Israel

Discount

Bank

Ltd.,

Class

A

..................

4,164

23,676

595.1

Nice

Ltd.

...............

106

22,631

568.8

208,929

Italy

Coca-Cola

HBC

AG

........

4,745

116,782

2,935.1

Eni

SpA

................

7,895

94,903

2,385.2

Moncler

SpA

............

3,131

156,954

3,944.7

368,639

Japan

Advantest

Corp.

..........

200

11,895

299.0

Asahi

Kasei

Corp.

.........

22,300

178,900

4,496.3

Astellas

Pharma,

Inc.

.......

400

6,265

157.4

Chugai

Pharmaceutical

Co.

Ltd.

9,600

269,691

6,778.2

Dai

Nippon

Printing

Co.

Ltd.

..

2,200

48,548

1,220.2

Dentsu

Group,

Inc.

........

4,200

146,713

3,687.3

Eisai

Co.

Ltd.

............

500

22,897

575.5

ENEOS

Holdings,

Inc.

......

41,000

158,605

3,986.2

Fuji

Electric

Co.

Ltd.

.......

3,300

149,048

3,746.0

Hankyu

Hanshin

Holdings,

Inc.

1,000

29,007

729.0

Honda

Motor

Co.

Ltd.

......

5,200

133,261

3,349.3

Ibiden

Co.

Ltd.

...........

1,500

44,267

1,112.6

Idemitsu

Kosan

Co.

Ltd.

.....

5,700

148,227

3,725.4

Isuzu

Motors

Ltd.

.........

3,800

41,681

1,047.6

Ito

En

Ltd.

..............

800

37,697

947.4

Japan

Tobacco,

Inc.

.......

7,500

134,667

3,384.6

JSR

Corp.

..............

3,600

99,713

2,506.1

Kajima

Corp.

............

14,900

170,094

4,275.0

Kao

Corp.

..............

1,300

56,543

1,421.1

KDDI

Corp.

.............

2,700

86,568

2,175.7

Kirin

Holdings

Co.

Ltd.

......

2,500

41,121

1,033.5

Komatsu

Ltd.

............

1,700

39,301

987.8

Kyocera

Corp.

...........

600

33,353

838.3

Lixil

Corp.

..............

2,300

47,599

1,196.3

Marubeni

Corp.

...........

6,500

60,465

1,519.7

Mazda

Motor

Corp.

........

10,700

90,196

2,266.9

Mitsubishi

Electric

Corp.

.....

44,000

464,386

11,671.5

Mitsubishi

Estate

Co.

Ltd.

....

5,300

78,714

1,978.3

Mitsui

Chemicals,

Inc.

......

6,400

134,811

3,388.2

NGK

Insulators

Ltd.

........

16,500

241,333

6,065.5

NIPPON

EXPRESS

HOLDINGS,

Inc.

.................

1,100

65,731

1,652.0

Nippon

Steel

Corp.

........

2,500

37,201

935.0

Nippon

Telegraph

&

Telephone

Corp.

...............

13,900

397,058

9,979.3

Nissan

Chemical

Corp.

.....

1,100

56,246

1,413.7

Nisshin

Seifun

Group,

Inc.

...

1,900

23,388

587.8

Nitto

Denko

Corp.

.........

3,600

231,823

5,826.4

Nomura

Real

Estate

Holdings,

Inc.

.................

2,700

65,500

1,646.2

ORIX

Corp.

.............

3,500

62,376

1,567.7

Osaka

Gas

Co.

Ltd.

........

14,100

253,491

6,371.0

Panasonic

Holdings

Corp.

...

4,700

38,804

975.3

Recruit

Holdings

Co.

Ltd.

....

800

29,898

751.4

Ricoh

Co.

Ltd.

...........

5,900

47,454

1,192.7

Secom

Co.

Ltd.

...........

300

20,037

503.6

Sekisui

Chemical

Co.

Ltd.

....

20,700

291,238

7,319.7

Sekisui

House

Ltd.

........

6,200

109,811

2,759.9

Shin-Etsu

Chemical

Co.

Ltd.

..

300

38,428

965.8

Sompo

Holdings,

Inc.

......

3,900

174,062

4,374.7

Sony

Group

Corp.

.........

800

67,862

1,705.6

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

41

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Subaru

Corp.

............

2,400

$

41,762

1,049.6

%

Sumitomo

Chemical

Co.

Ltd.

..

5,400

21,222

533.4

Sumitomo

Mitsui

Trust

Holdings,

Inc.

.................

1,300

42,704

1,073.3

Sysmex

Corp.

...........

300

21,004

527.9

Terumo

Corp.

............

800

27,315

686.5

Tokio

Marine

Holdings,

Inc.

...

1,000

58,540

1,471.3

Tokyo

Gas

Co.

Ltd.

........

7,400

145,343

3,652.9

TOPPAN,

Inc.

............

2,900

49,345

1,240.2

Toray

Industries,

Inc.

.......

6,300

34,507

867.3

TOTO

Ltd.

..............

800

27,250

684.9

Toyota

Tsusho

Corp.

.......

1,000

34,129

857.8

Trend

Micro,

Inc.

..........

500

29,057

730.3

USS

Co.

Ltd.

............

2,800

54,943

1,380.9

Yamaha

Motor

Co.

Ltd.

.....

1,100

21,249

534.1

ZOZO,

Inc.

..............

1,100

23,762

597.2

5,848,106

Netherlands

ASML

Holding

NV

.........

53

30,462

765.6

EXOR

NV

..............

1,224

86,087

2,163.6

Koninklijke

DSM

NV

.......

171

27,385

688.3

Koninklijke

KPN

NV

........

32,368

106,782

2,683.8

NN

Group

NV

............

2,598

121,905

3,063.8

Randstad

NV

............

210

10,614

266.8

Wolters

Kluwer

NV

........

1,069

116,096

2,917.8

499,331

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

6,104

81,627

2,051.5

Spark

New

Zealand

Ltd.

.....

13,727

44,140

1,109.4

125,767

Norway

DNB

Bank

ASA

...........

3,922

77,364

1,944.4

Equinor

ASA

............

680

26,183

658.0

Mowi

ASA

..............

989

22,821

573.6

126,368

Portugal

EDP

-

Energias

de

Portugal

SA

5,425

27,444

689.8

Singapore

Singapore

Airlines

Ltd.

......

5,800

22,946

576.7

Singapore

Telecommunications

Ltd.

................

30,800

58,245

1,463.9

STMicroelectronics

NV

.....

2,301

87,078

2,188.5

168,269

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

9,386

42,534

1,069.0

Banco

Santander

SA

.......

16,594

41,516

1,043.4

Iberdrola

SA

.............

62,414

341,818

8,591.0

Industria

de

Diseno

Textil

SA

..

227

5,513

138.6

431,381

Sweden

Alfa

Laval

AB

............

704

21,051

529.1

Assa

Abloy

AB,

Class

B

.....

804

18,995

477.4

Boliden

AB

..............

159

5,314

133.5

Husqvarna

AB,

Class

B

.....

7,029

56,019

1,407.9

Sandvik

AB

.............

1,212

22,333

561.3

Tele2

AB,

Class

B

.........

2,213

25,281

635.4

Telia

Co.

AB

.............

39,537

146,063

3,671.0

295,056

Shares

Value

%

of

Basket

Value

Switzerland

Baloise

Holding

AG

(Registered)

1,116

$

177,811

4,469.0

%

Geberit

AG

(Registered)

.....

103

54,248

1,363.4

Givaudan

SA

(Registered)

...

32

111,858

2,811.3

Holcim

AG

..............

1,026

48,108

1,209.1

Julius

Baer

Group

Ltd.

......

395

20,425

513.4

Novartis

AG

(Registered)

....

3,347

287,607

7,228.5

SGS

SA

(Registered)

.......

15

36,607

920.0

Straumann

Holding

AG

(Registered)

...........

1,160

156,891

3,943.2

893,555

United

Kingdom

abrdn

plc

...............

23,593

47,833

1,202.2

Aviva

plc

...............

3,598

17,425

437.9

BAE

Systems

plc

.........

14,804

139,139

3,497.0

Berkeley

Group

Holdings

plc

..

2,478

128,419

3,227.6

British

American

Tobacco

plc

.

4,373

171,350

4,306.6

Bunzl

plc

...............

1,304

48,940

1,230.0

Coca-Cola

Europacific

Partners

plc

.................

431

23,326

586.2

Compass

Group

plc

........

2,529

59,271

1,489.7

Croda

International

plc

......

456

41,701

1,048.1

DCC

plc

...............

2,526

164,921

4,145.0

Diageo

plc

..............

977

46,282

1,163.2

Entain

plc

..............

5,122

75,371

1,894.3

Haleon

plc

..............

3,724

13,233

332.6

Imperial

Brands

plc

........

1,448

31,793

799.0

Intertek

Group

plc

.........

2,305

123,191

3,096.2

JD

Sports

Fashion

plc

......

16,787

26,664

670.1

Legal

&

General

Group

plc

...

19,433

62,060

1,559.8

M&G

plc

...............

13,242

34,518

867.5

Sage

Group

plc

(The)

......

10,139

87,379

2,196.1

Smiths

Group

plc

.........

2,412

45,520

1,144.1

Taylor

Wimpey

plc

.........

66,427

103,392

2,598.6

Whitbread

plc

............

4,077

129,770

3,261.5

1,621,498

United

States

3M

Co.

................

684

97,976

2,462.4

A

O

Smith

Corp.

..........

1,800

113,886

2,862.3

ABIOMED,

Inc.

...........

275

80,578

2,025.2

Accenture

plc,

Class

A

......

423

129,548

3,255.9

Adobe,

Inc.

.............

159

65,209

1,638.9

Advanced

Micro

Devices,

Inc.

.

1,324

125,078

3,143.6

Agilent

Technologies,

Inc.

....

1,502

201,418

5,062.3

Airbnb,

Inc.,

Class

A

.......

1,778

197,322

4,959.3

Akamai

Technologies,

Inc.

...

250

24,055

604.6

Ally

Financial,

Inc.

.........

1,091

36,079

906.8

Alphabet,

Inc.,

Class

A

......

2,208

256,835

6,455.1

American

Electric

Power

Co.,

Inc.

.................

254

25,034

629.2

American

Express

Co.

......

709

109,200

2,744.5

American

Financial

Group,

Inc.

495

66,172

1,663.1

American

International

Group,

Inc.

.................

2,212

114,515

2,878.1

Ameriprise

Financial,

Inc.

....

252

68,020

1,709.6

AmerisourceBergen

Corp.

...

586

85,515

2,149.3

ANSYS,

Inc.

.............

358

99,878

2,510.3

Apple,

Inc.

..............

562

91,331

2,295.4

Applied

Materials,

Inc.

......

2,205

233,686

5,873.3

Arch

Capital

Group

Ltd.

.....

1,662

73,793

1,854.6

Archer-Daniels-Midland

Co.

..

975

80,701

2,028.3

Arista

Networks,

Inc.

.......

3,301

384,996

9,676.2

Assurant,

Inc.

............

872

153,280

3,852.4

Autodesk,

Inc.

...........

1,062

229,732

5,773.9

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

42

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Automatic

Data

Processing,

Inc.

505

$

121,766

3,060.4

%

AutoZone,

Inc.

...........

23

49,160

1,235.5

Avery

Dennison

Corp.

......

1,931

367,778

9,243.4

Bath

&

Body

Works,

Inc.

....

841

29,889

751.2

Biogen,

Inc.

.............

192

41,292

1,037.8

Booking

Holdings,

Inc.

......

16

30,971

778.4

Booz

Allen

Hamilton

Holding

Corp.

...............

513

49,238

1,237.5

Brown-Forman

Corp.,

Class

B

.

694

51,509

1,294.6

Bunge

Ltd.

..............

1,173

108,303

2,722.0

Cadence

Design

Systems,

Inc.

2,287

425,565

10,695.8

Capital

One

Financial

Corp.

..

385

42,285

1,062.7

CBRE

Group,

Inc.,

Class

A

...

1,506

128,944

3,240.8

CDW

Corp.

.............

226

41,026

1,031.1

Celanese

Corp.

..........

914

107,404

2,699.4

CenterPoint

Energy,

Inc.

....

780

24,718

621.2

Chipotle

Mexican

Grill,

Inc.

...

38

59,440

1,493.9

CMS

Energy

Corp.

........

1,770

121,652

3,057.5

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

176

11,961

300.6

ConocoPhillips

...........

270

26,306

661.2

Consolidated

Edison,

Inc.

....

1,180

117,139

2,944.1

Copart,

Inc.

.............

2,807

359,577

9,037.3

CSX

Corp.

..............

2,635

85,190

2,141.1

Cummins,

Inc.

...........

846

187,228

4,705.6

Delta

Air

Lines,

Inc.

........

1,162

36,952

928.7

Devon

Energy

Corp.

.......

642

40,350

1,014.1

Dexcom,

Inc.

............

1,527

125,336

3,150.1

Diamondback

Energy,

Inc.

...

173

22,147

556.6

Dominion

Energy,

Inc.

......

403

33,038

830.3

Dover

Corp.

.............

295

39,436

991.1

Dow,

Inc.

...............

802

42,674

1,072.5

Dropbox,

Inc.,

Class

A

......

8,358

190,061

4,776.8

DTE

Energy

Co.

..........

1,256

163,657

4,113.2

eBay,

Inc.

..............

2,122

103,193

2,593.6

Edison

International

........

332

22,500

565.5

Edwards

Lifesciences

Corp.

..

2,822

283,724

7,130.9

Elevance

Health,

Inc.

.......

167

79,676

2,002.5

Eli

Lilly

&

Co.

............

68

22,419

563.5

Entergy

Corp.

............

289

33,273

836.2

Equitable

Holdings,

Inc.

.....

3,128

88,929

2,235.1

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

217

59,263

1,489.5

Everest

Re

Group

Ltd.

......

109

28,487

716.0

Evergy,

Inc.

.............

886

60,478

1,520.0

Eversource

Energy

........

1,209

106,658

2,680.7

Expedia

Group,

Inc.

........

628

66,599

1,673.9

Expeditors

International

of

Washington,

Inc.

........

408

43,350

1,089.5

FactSet

Research

Systems,

Inc.

121

51,991

1,306.7

Fair

Isaac

Corp.

..........

48

22,177

557.4

Fastenal

Co.

............

916

47,046

1,182.4

First

Republic

Bank

........

124

20,176

507.1

FirstEnergy

Corp.

.........

647

26,592

668.3

Fortinet,

Inc.

.............

2,410

143,756

3,613.1

Fortune

Brands

Home

&

Security,

Inc.

.................

713

49,682

1,248.7

General

Motors

Co.

........

501

18,166

456.6

Genuine

Parts

Co.

........

853

130,398

3,277.3

GSK

plc

...............

2,979

62,589

1,573.1

Halliburton

Co.

...........

1,272

37,270

936.7

Hartford

Financial

Services

Group,

Inc.

(The)

.......

63

4,062

102.1

Hologic,

Inc.

.............

615

43,899

1,103.3

Illinois

Tool

Works,

Inc.

......

209

43,422

1,091.3

Shares

Value

%

of

Basket

Value

United

States

(continued)

Incyte

Corp.

.............

497

$

38,607

970.3

%

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

10,302

307,721

7,734.0

Intuit,

Inc.

..............

863

393,675

9,894.3

JB

Hunt

Transport

Services,

Inc.

158

28,957

727.8

Johnson

Controls

International

plc

.................

591

31,861

800.8

JPMorgan

Chase

&

Co.

.....

356

41,068

1,032.2

Juniper

Networks,

Inc.

......

1,719

48,184

1,211.0

Keysight

Technologies,

Inc.

...

1,586

257,884

6,481.4

KLA

Corp.

..............

127

48,710

1,224.2

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,380

130,781

3,286.9

Kroger

Co.

(The)

..........

1,086

50,434

1,267.6

Lam

Research

Corp.

.......

393

196,700

4,943.7

Lincoln

National

Corp.

......

658

33,782

849.0

LKQ

Corp.

..............

314

17,220

432.8

Lowe's

Cos.,

Inc.

.........

447

85,614

2,151.7

Lululemon

Athletica,

Inc.

....

281

87,253

2,193.0

Masco

Corp.

............

1,580

87,500

2,199.2

Masimo

Corp.

............

557

80,531

2,024.0

Match

Group,

Inc.

.........

626

45,892

1,153.4

MetLife,

Inc.

.............

2,632

166,474

4,184.0

Mettler-Toledo

International,

Inc.

111

149,820

3,765.4

Microsoft

Corp.

...........

285

80,011

2,010.9

Molina

Healthcare,

Inc.

.....

385

126,172

3,171.1

Monolithic

Power

Systems,

Inc.

216

100,380

2,522.9

Monster

Beverage

Corp.

....

536

53,396

1,342.0

MSCI,

Inc.

..............

66

31,768

798.4

Nestle

SA

(Registered)

.....

1,910

234,027

5,881.8

NetApp,

Inc.

.............

1,059

75,538

1,898.5

News

Corp.,

Class

A

.......

1,379

23,636

594.0

Nordson

Corp.

...........

863

199,344

5,010.2

Northern

Trust

Corp.

.......

587

58,571

1,472.1

Nucor

Corp.

.............

397

53,913

1,355.0

NVR,

Inc.

...............

5

21,965

552.1

Old

Dominion

Freight

Line,

Inc.

905

274,677

6,903.5

ONEOK,

Inc.

............

3,364

200,965

5,050.9

Otis

Worldwide

Corp.

.......

347

27,125

681.7

Owens

Corning

...........

989

91,720

2,305.2

Packaging

Corp.

of

America

..

200

28,122

706.8

Palo

Alto

Networks,

Inc.

.....

85

42,423

1,066.2

Parker-Hannifin

Corp.

......

88

25,440

639.4

Paychex,

Inc.

............

785

100,700

2,530.9

Pentair

plc

..............

93

4,547

114.3

PepsiCo,

Inc.

............

3,536

618,659

15,548.8

Phillips

66

..............

6

534

13.4

Pinterest,

Inc.,

Class

A

......

1,904

37,090

932.2

Pioneer

Natural

Resources

Co.

298

70,611

1,774.7

Pool

Corp.

..............

148

52,940

1,330.5

Procter

&

Gamble

Co.

(The)

..

198

27,504

691.3

Public

Service

Enterprise

Group,

Inc.

.................

2,549

167,393

4,207.1

QUALCOMM,

Inc.

.........

1,275

184,951

4,648.4

Regeneron

Pharmaceuticals,

Inc.

.................

5

2,908

73.1

Regions

Financial

Corp.

.....

1,054

22,324

561.1

Robert

Half

International,

Inc.

.

469

37,117

932.9

Schlumberger

NV

.........

791

29,291

736.2

Seagate

Technology

Holdings

plc

.................

313

25,034

629.2

Sempra

Energy

..........

2,754

456,613

11,476.1

ServiceNow,

Inc.

..........

225

100,499

2,525.8

Skyworks

Solutions,

Inc.

....

859

93,528

2,350.7

Starbucks

Corp.

..........

962

81,558

2,049.8

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

43

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Steel

Dynamics,

Inc.

.......

1,149

$

89,484

2,249.0

%

Stellantis

NV

............

6,657

95,596

2,402.6

SVB

Financial

Group

.......

37

14,931

375.3

Synopsys,

Inc.

...........

202

74,235

1,865.8

Targa

Resources

Corp.

.....

435

30,063

755.6

Texas

Instruments,

Inc.

.....

677

121,109

3,043.8

Tractor

Supply

Co.

........

286

54,763

1,376.4

Trane

Technologies

plc

.....

446

65,558

1,647.7

Travelers

Cos.,

Inc.

(The)

....

135

21,424

538.5

Trimble,

Inc.

.............

394

27,355

687.5

Tyson

Foods,

Inc.,

Class

A

...

687

60,463

1,519.6

Ulta

Beauty,

Inc.

..........

203

78,949

1,984.2

United

Parcel

Service,

Inc.,

Class

B

..................

532

103,681

2,605.8

United

Rentals,

Inc.

........

724

233,613

5,871.4

Vail

Resorts,

Inc.

..........

92

21,816

548.3

Veeva

Systems,

Inc.,

Class

A

.

652

145,774

3,663.8

VeriSign,

Inc.

............

1,279

241,936

6,080.6

Vertex

Pharmaceuticals,

Inc.

..

604

169,368

4,256.7

Waters

Corp.

............

313

113,941

2,863.7

West

Pharmaceutical

Services,

Inc.

.................

165

56,687

1,424.7

WestRock

Co.

...........

1,909

80,865

2,032.4

Workday,

Inc.,

Class

A

......

1,063

164,871

4,143.7

WW

Grainger,

Inc.

.........

335

182,083

4,576.3

Xcel

Energy,

Inc.

..........

831

60,813

1,528.4

Yum!

Brands,

Inc.

.........

1,175

143,984

3,618.8

Zebra

Technologies

Corp.,

Class

A

..................

325

116,249

2,921.7

16,886,877

Total

Reference

Entity

—

Long

............

36,299,952

Reference

Entity

—

Short

Common

Stocks

Australia

APA

Group

..............

(4,122)

(33,798)

(849.5)

Computershare

Ltd.

........

(6,451)

(113,970)

(2,864.4)

Domino's

Pizza

Enterprises

Ltd.

(488)

(24,951)

(627.1)

Fortescue

Metals

Group

Ltd.

..

(3,814)

(49,081)

(1,233.6)

Glencore

plc

............

(52,983)

(300,292)

(7,547.3)

Lendlease

Corp.

Ltd.

.......

(1,850)

(13,403)

(336.9)

National

Australia

Bank

Ltd.

..

(1,736)

(37,492)

(942.3)

Newcrest

Mining

Ltd.

.......

(5,616)

(75,683)

(1,902.1)

Northern

Star

Resources

Ltd.

.

(8,385)

(46,081)

(1,158.2)

Ramsay

Health

Care

Ltd.

....

(2,850)

(140,795)

(3,538.6)

Reece

Ltd.

..............

(2,333)

(25,197)

(633.3)

Santos

Ltd.

.............

(11,309)

(58,788)

(1,477.5)

SEEK

Ltd.

..............

(5,562)

(90,088)

(2,264.2)

Sonic

Healthcare

Ltd.

......

(938)

(22,588)

(567.7)

Telstra

Corp.

Ltd.

.........

(9,444)

(25,811)

(648.7)

Westpac

Banking

Corp.

.....

(10,150)

(153,703)

(3,863.0)

WiseTech

Global

Ltd.

.......

(2,616)

(92,645)

(2,328.5)

Woodside

Energy

Group

Ltd.

.

(1,092)

(24,658)

(619.7)

(1,329,024)

Belgium

Solvay

SA

..............

(231)

(20,289)

(509.9)

Canada

Agnico

Eagle

Mines

Ltd.

.....

(3,515)

(151,135)

(3,798.5)

Air

Canada

.............

(10,903)

(148,064)

(3,721.3)

Algonquin

Power

&

Utilities

Corp.

...............

(4,844)

(67,749)

(1,702.8)

BCE,

Inc.

...............

(8,382)

(423,502)

(10,643.9)

Shares

Value

%

of

Basket

Value

Canada

(continued)

BlackBerry

Ltd.

...........

(4,558)

$

(28,013)

(704.0)

%

CAE,

Inc.

...............

(3,435)

(90,881)

(2,284.1)

Cameco

Corp.

...........

(1,398)

(36,005)

(904.9)

Canadian

Natural

Resources

Ltd.

................

(3,023)

(166,925)

(4,195.4)

Canadian

Utilities

Ltd.,

Class

A

(3,792)

(122,743)

(3,084.9)

CCL

Industries,

Inc.,

Class

B

..

(598)

(30,041)

(755.0)

CGI,

Inc.

...............

(1,003)

(86,002)

(2,161.5)

Fairfax

Financial

Holdings

Ltd.

(43)

(23,163)

(582.2)

Fortis,

Inc.

..............

(8,318)

(392,922)

(9,875.4)

GFL

Environmental,

Inc.

.....

(5,014)

(138,766)

(3,487.6)

IGM

Financial,

Inc.

........

(1,245)

(36,148)

(908.5)

Imperial

Oil

Ltd.

..........

(478)

(22,908)

(575.8)

Ivanhoe

Mines

Ltd.,

Class

A

..

(3,337)

(20,743)

(521.3)

Keyera

Corp.

............

(2,210)

(57,280)

(1,439.6)

Lightspeed

Commerce,

Inc.

..

(4,020)

(86,267)

(2,168.2)

Northland

Power,

Inc.

......

(1,893)

(62,058)

(1,559.7)

Nutrien

Ltd.

.............

(253)

(21,658)

(544.3)

Pembina

Pipeline

Corp.

.....

(1,278)

(48,793)

(1,226.3)

Power

Corp.

of

Canada

.....

(981)

(26,659)

(670.0)

Quebecor,

Inc.,

Class

B

.....

(4,750)

(105,531)

(2,652.3)

Restaurant

Brands

International,

Inc.

.................

(362)

(19,407)

(487.8)

Rogers

Communications,

Inc.,

Class

B

..............

(3,956)

(181,867)

(4,570.9)

Thomson

Reuters

Corp.

.....

(536)

(60,186)

(1,512.7)

Toronto-Dominion

Bank

(The)

.

(732)

(47,548)

(1,195.0)

(2,702,964)

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(11,700)

(32,397)

(814.2)

ESR

Group

Ltd.

..........

(6,200)

(16,123)

(405.2)

Prosus

NV

..............

(2,717)

(177,243)

(4,454.7)

Wilmar

International

Ltd.

....

(15,300)

(44,583)

(1,120.5)

Xinyi

Glass

Holdings

Ltd.

....

(12,000)

(23,668)

(594.8)

(294,014)

Denmark

Demant

A/S

.............

(1,094)

(41,677)

(1,047.5)

GN

Store

Nord

A/S

........

(855)

(29,774)

(748.3)

Orsted

A/S

..............

(523)

(60,886)

(1,530.3)

(132,337)

Finland

Kone

OYJ,

Class

B

........

(555)

(25,364)

(637.5)

France

Accor

SA

...............

(5,065)

(131,431)

(3,303.3)

Adevinta

ASA

............

(1,183)

(8,996)

(226.1)

Aeroports

de

Paris

........

(160)

(22,108)

(555.6)

Air

Liquide

SA

...........

(3,303)

(454,104)

(11,413.1)

Airbus

SE

..............

(808)

(87,120)

(2,189.6)

Alstom

SA

..............

(3,260)

(77,476)

(1,947.2)

Bouygues

SA

............

(1,670)

(50,484)

(1,268.8)

Cie

Generale

des

Etablissements

Michelin

SCA

..........

(2,392)

(66,939)

(1,682.4)

Credit

Agricole

SA

.........

(3,555)

(32,755)

(823.2)

EssilorLuxottica

SA

........

(1,032)

(161,800)

(4,066.5)

Getlink

SE

..............

(12,496)

(250,099)

(6,285.8)

L'Oreal

SA

..............

(771)

(291,482)

(7,325.9)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(228)

(158,313)

(3,978.9)

Sartorius

Stedim

Biotech

....

(185)

(74,007)

(1,860.0)

Sodexo

SA

.............

(561)

(45,583)

(1,145.7)

Veolia

Environnement

SA

....

(2,397)

(59,951)

(1,506.8)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

44

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

France

(continued)

Worldline

SA

............

(2,305)

$

(101,738)

(2,557.0)

%

(2,074,386)

Germany

adidas

AG

..............

(267)

(46,189)

(1,160.9)

Allianz

SE

(Registered)

.....

(403)

(73,187)

(1,839.4)

Continental

AG

...........

(284)

(20,232)

(508.5)

Daimler

Truck

Holding

AG

...

(1,731)

(47,300)

(1,188.8)

Deutsche

Lufthansa

AG

(Registered)

...........

(7,095)

(43,676)

(1,097.7)

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(2,127)

(78,855)

(1,981.9)

Knorr-Bremse

AG

.........

(73)

(4,349)

(109.3)

Rheinmetall

AG

..........

(118)

(21,638)

(543.8)

Sartorius

AG

(Preference)

...

(98)

(43,835)

(1,101.7)

Siemens

Energy

AG

.......

(5,107)

(84,866)

(2,132.9)

Telefonica

Deutschland

Holding

AG

.................

(5,930)

(15,766)

(396.2)

United

Internet

AG

(Registered),

Class

G

..............

(594)

(15,647)

(393.3)

Vonovia

SE

.............

(3,635)

(121,118)

(3,044.1)

Zalando

SE

.............

(1,949)

(54,870)

(1,379.1)

(671,528)

Hong

Kong

Hong

Kong

Exchanges

&

Clearing

Ltd.

..........

(500)

(22,945)

(576.7)

Jardine

Matheson

Holdings

Ltd.

(800)

(42,253)

(1,061.9)

(65,198)

Ireland

AerCap

Holdings

NV

.......

(658)

(29,518)

(741.9)

Flutter

Entertainment

plc

....

(704)

(70,681)

(1,776.4)

Kingspan

Group

plc

........

(629)

(40,714)

(1,023.3)

(140,913)

Israel

Wix.com

Ltd.

............

(127)

(7,535)

(189.4)

Italy

Atlantia

SpA

.............

(1,324)

(30,599)

(769.0)

DiaSorin

SpA

............

(119)

(16,546)

(415.8)

Infrastrutture

Wireless

Italiane

SpA

................

(11,524)

(121,099)

(3,043.6)

Nexi

SpA

...............

(4,979)

(45,220)

(1,136.5)

UniCredit

SpA

...........

(2,057)

(20,343)

(511.3)

(233,807)

Japan

Aeon

Co.

Ltd.

............

(9,400)

(189,569)

(4,764.5)

ANA

Holdings,

Inc.

........

(1,600)

(29,870)

(750.7)

Azbil

Corp.

..............

(700)

(21,072)

(529.6)

Canon,

Inc.

.............

(7,600)

(179,799)

(4,518.9)

Chiba

Bank

Ltd.

(The)

......

(4,800)

(26,625)

(669.2)

Chubu

Electric

Power

Co.,

Inc.

(6,800)

(72,538)

(1,823.1)

CyberAgent,

Inc.

..........

(2,600)

(25,944)

(652.1)

Daito

Trust

Construction

Co.

Ltd.

(300)

(28,441)

(714.8)

Disco

Corp.

.............

(100)

(24,433)

(614.1)

East

Japan

Railway

Co.

.....

(2,300)

(120,076)

(3,017.9)

FUJIFILM

Holdings

Corp.

....

(4,800)

(274,186)

(6,891.1)

GMO

Payment

Gateway,

Inc.

.

(500)

(41,551)

(1,044.3)

Hikari

Tsushin,

Inc.

........

(600)

(66,113)

(1,661.6)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(2,300)

(50,742)

(1,275.3)

Iida

Group

Holdings

Co.

Ltd.

..

(1,500)

(24,559)

(617.2)

Inpex

Corp.

.............

(1,300)

(14,900)

(374.5)

Itochu

Techno-Solutions

Corp.

.

(1,700)

(45,560)

(1,145.1)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Japan

Exchange

Group,

Inc.

..

(3,000)

$

(47,702)

(1,198.9)

%

Japan

Post

Bank

Co.

Ltd.

....

(6,500)

(51,998)

(1,306.9)

Japan

Post

Holdings

Co.

Ltd.

.

(12,500)

(89,998)

(2,261.9)

Japan

Post

Insurance

Co.

Ltd.

(2,900)

(46,887)

(1,178.4)

JFE

Holdings,

Inc.

.........

(4,600)

(51,864)

(1,303.5)

Kakaku.com,

Inc.

.........

(2,300)

(45,049)

(1,132.2)

Keio

Corp.

..............

(1,600)

(61,264)

(1,539.8)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(1,400)

(46,266)

(1,162.8)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(19,986)

(502.3)

Kobe

Bussan

Co.

Ltd.

......

(3,500)

(99,768)

(2,507.5)

Koei

Tecmo

Holdings

Co.

Ltd.

.

(3,250)

(113,459)

(2,851.6)

Kose

Corp.

.............

(100)

(8,926)

(224.3)

Kubota

Corp.

............

(5,600)

(92,979)

(2,336.8)

Lasertec

Corp.

...........

(1,100)

(157,487)

(3,958.1)

M3,

Inc.

................

(1,900)

(66,196)

(1,663.7)

Mitsubishi

Corp.

..........

(7,100)

(211,007)

(5,303.3)

Mitsubishi

Heavy

Industries

Ltd.

(2,800)

(103,971)

(2,613.1)

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(6,300)

(35,497)

(892.2)

Mitsui

&

Co.

Ltd.

..........

(1,000)

(22,062)

(554.5)

Mizuho

Financial

Group,

Inc.

..

(15,700)

(187,244)

(4,706.0)

MonotaRO

Co.

Ltd.

........

(800)

(14,284)

(359.0)

MS&AD

Insurance

Group

Holdings,

Inc.

..........

(1,100)

(35,675)

(896.6)

Nidec

Corp.

.............

(1,500)

(104,241)

(2,619.9)

Nintendo

Co.

Ltd.

.........

(100)

(44,717)

(1,123.9)

Nippon

Paint

Holdings

Co.

Ltd.

(8,600)

(65,740)

(1,652.3)

Nippon

Sanso

Holdings

Corp.

.

(9,700)

(163,568)

(4,111.0)

Nissan

Motor

Co.

Ltd.

......

(51,400)

(195,467)

(4,912.7)

Nitori

Holdings

Co.

Ltd.

.....

(700)

(74,059)

(1,861.3)

Nomura

Holdings,

Inc.

......

(18,700)

(71,350)

(1,793.3)

NTT

Data

Corp.

..........

(5,400)

(81,729)

(2,054.1)

Odakyu

Electric

Railway

Co.

Ltd.

(6,600)

(94,660)

(2,379.1)

Oji

Holdings

Corp.

.........

(5,400)

(22,513)

(565.8)

Oracle

Corp.

Japan

........

(1,400)

(87,316)

(2,194.5)

Otsuka

Corp.

............

(4,600)

(143,454)

(3,605.5)

Otsuka

Holdings

Co.

Ltd.

....

(3,700)

(132,175)

(3,322.0)

Pan

Pacific

International

Holdings

Corp.

.........

(4,100)

(63,839)

(1,604.5)

Rakuten

Group,

Inc.

.......

(26,000)

(128,896)

(3,239.6)

Renesas

Electronics

Corp.

...

(4,500)

(42,862)

(1,077.3)

SBI

Holdings,

Inc.

.........

(6,900)

(139,983)

(3,518.2)

SCSK

Corp.

.............

(1,800)

(31,698)

(796.7)

Seven

&

i

Holdings

Co.

Ltd.

..

(1,600)

(65,216)

(1,639.1)

Sharp

Corp.

.............

(6,200)

(49,904)

(1,254.2)

Shimano,

Inc.

............

(400)

(66,819)

(1,679.4)

Shimizu

Corp.

...........

(5,500)

(31,178)

(783.6)

Shiseido

Co.

Ltd.

.........

(3,200)

(131,626)

(3,308.2)

SoftBank

Group

Corp.

......

(2,200)

(92,415)

(2,322.7)

Square

Enix

Holdings

Co.

Ltd.

.

(1,000)

(46,400)

(1,166.2)

SUMCO

Corp.

...........

(10,200)

(142,726)

(3,587.1)

Sumitomo

Electric

Industries

Ltd.

................

(17,800)

(198,449)

(4,987.6)

TIS,

Inc.

...............

(3,100)

(87,898)

(2,209.1)

Tobu

Railway

Co.

Ltd.

......

(1,700)

(40,366)

(1,014.5)

Toho

Co.

Ltd.

............

(900)

(35,740)

(898.3)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(18,800)

(73,985)

(1,859.5)

Tokyu

Corp.

.............

(7,600)

(93,188)

(2,342.1)

Toyota

Industries

Corp.

.....

(300)

(18,267)

(459.1)

Unicharm

Corp.

..........

(600)

(21,733)

(546.2)

Welcia

Holdings

Co.

Ltd.

....

(2,000)

(44,670)

(1,122.7)

West

Japan

Railway

Co.

....

(1,100)

(40,404)

(1,015.5)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

45

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Yamato

Holdings

Co.

Ltd.

....

(5,800)

$

(101,494)

(2,550.9)

%

Z

Holdings

Corp.

..........

(14,800)

(52,307)

(1,314.6)

(5,968,599)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,528)

(74,571)

(1,874.2)

Luxembourg

ArcelorMittal

SA

..........

(2,230)

(55,023)

(1,382.9)

Eurofins

Scientific

SE

......

(237)

(18,476)

(464.4)

(73,499)

Macau

Galaxy

Entertainment

Group

Ltd.

................

(21,000)

(124,931)

(3,139.9)

Sands

China

Ltd.

.........

(33,200)

(77,872)

(1,957.2)

(202,803)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(3,687)

(37,600)

(945.0)

Akzo

Nobel

NV

...........

(912)

(61,378)

(1,542.6)

Argenx

SE

..............

(381)

(139,180)

(3,498.0)

ASM

International

NV

......

(82)

(25,188)

(633.1)

Euronext

NV

............

(243)

(19,799)

(497.6)

JDE

Peet's

NV

...........

(4,701)

(136,340)

(3,426.7)

OCI

NV

................

(1,131)

(39,265)

(986.8)

Universal

Music

Group

NV

...

(6,514)

(147,454)

(3,706.0)

(606,204)

New

Zealand

Xero

Ltd.

...............

(1,293)

(85,181)

(2,140.9)

Portugal

Jeronimo

Martins

SGPS

SA

..

(2,017)

(46,687)

(1,173.4)

Singapore

Sea

Ltd.,

ADR

...........

(838)

(63,956)

(1,607.4)

Singapore

Exchange

Ltd.

....

(3,600)

(25,807)

(648.6)

Venture

Corp.

Ltd.

.........

(8,600)

(109,566)

(2,753.7)

(199,329)

Spain

Aena

SME

SA

...........

(294)

(37,188)

(934.7)

CaixaBank

SA

...........

(7,977)

(23,953)

(602.0)

EDP

Renovaveis

SA

.......

(1,049)

(27,284)

(685.7)

Ferrovial

SA

.............

(1,410)

(37,757)

(949.0)

Siemens

Gamesa

Renewable

Energy

SA

............

(1,959)

(36,044)

(905.9)

(162,226)

Sweden

Atlas

Copco

AB,

Class

A

....

(15,268)

(178,473)

(4,485.6)

Electrolux

AB,

Class

B

......

(3,097)

(44,671)

(1,122.7)

Embracer

Group

AB

.......

(38,743)

(295,242)

(7,420.4)

Essity

AB,

Class

B

........

(5,865)

(149,294)

(3,752.2)

Hexagon

AB,

Class

B

......

(6,654)

(78,348)

(1,969.1)

Holmen

AB,

Class

B

.......

(963)

(39,572)

(994.6)

Investment

AB

Latour,

Class

B

(17,578)

(437,364)

(10,992.3)

Nibe

Industrier

AB,

Class

B

...

(3,850)

(38,785)

(974.8)

Svenska

Handelsbanken

AB,

Class

A

..............

(9,234)

(83,031)

(2,086.8)

Swedish

Orphan

Biovitrum

AB

.

(1,515)

(33,271)

(836.2)

(1,378,051)

Switzerland

ABB

Ltd.

(Registered)

......

(10,732)

(326,249)

(8,199.7)

Alcon,

Inc.

..............

(1,850)

(145,603)

(3,659.5)

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Bachem

Holding

AG

(Registered),

Class

B

....

(2,660)

$

(179,373)

(4,508.2)

%

Barry

Callebaut

AG

(Registered)

(121)

(268,095)

(6,738.1)

Cie

Financiere

Richemont

SA

.

(618)

(74,517)

(1,872.8)

Credit

Suisse

Group

AG

(Registered)

...........

(8,699)

(50,598)

(1,271.7)

EMS-Chemie

Holding

AG

(Registered)

...........

(22)

(17,470)

(439.1)

Lonza

Group

AG

(Registered)

.

(54)

(32,819)

(824.8)

Partners

Group

Holding

AG

..

(47)

(51,312)

(1,289.6)

Schindler

Holding

AG

......

(130)

(25,410)

(638.6)

Swatch

Group

AG

(The)

.....

(136)

(36,205)

(910.0)

Swiss

Prime

Site

AG

(Registered)

...........

(373)

(33,967)

(853.7)

TE

Connectivity

Ltd.

.......

(2,260)

(302,230)

(7,596.0)

(1,543,848)

United

Kingdom

Admiral

Group

plc

.........

(1,963)

(45,878)

(1,153.1)

AVEVA

Group

plc

.........

(2,230)

(64,515)

(1,621.5)

Halma

plc

..............

(3,654)

(102,907)

(2,586.4)

Hargreaves

Lansdown

plc

...

(14,745)

(152,652)

(3,836.6)

J

Sainsbury

plc

...........

(15,469)

(41,729)

(1,048.8)

Johnson

Matthey

plc

.......

(1,151)

(30,092)

(756.3)

Liberty

Global

plc,

Class

A

...

(3,925)

(86,083)

(2,163.5)

Linde

plc

...............

(273)

(82,446)

(2,072.1)

London

Stock

Exchange

Group

plc

.................

(715)

(69,779)

(1,753.8)

Melrose

Industries

plc

......

(13,615)

(26,801)

(673.6)

National

Grid

plc

..........

(1,869)

(25,735)

(646.8)

NatWest

Group

plc

........

(8,002)

(24,304)

(610.8)

Ocado

Group

plc

.........

(14,075)

(144,695)

(3,636.6)

Pearson

plc

.............

(3,360)

(31,098)

(781.6)

Phoenix

Group

Holdings

plc

..

(18,477)

(145,573)

(3,658.7)

Reckitt

Benckiser

Group

plc

..

(2,431)

(197,190)

(4,956.0)

Rentokil

Initial

plc

.........

(7,985)

(52,725)

(1,325.1)

Rolls-Royce

Holdings

plc

....

(17,458)

(19,081)

(479.6)

Severn

Trent

plc

..........

(2,042)

(73,414)

(1,845.1)

St

James's

Place

plc

.......

(1,393)

(20,924)

(525.9)

United

Utilities

Group

plc

....

(11,683)

(155,227)

(3,901.3)

Vodafone

Group

plc

........

(41,195)

(60,707)

(1,525.8)

(1,653,555)

United

States

AbbVie,

Inc.

.............

(199)

(28,558)

(717.8)

Albemarle

Corp.

..........

(287)

(70,117)

(1,762.3)

Allstate

Corp.

(The)

........

(240)

(28,073)

(705.6)

Altria

Group,

Inc.

..........

(1,133)

(49,693)

(1,249.0)

Amazon.com,

Inc.

.........

(540)

(72,873)

(1,831.5)

Amcor

plc

..............

(7,371)

(95,454)

(2,399.1)

Ameren

Corp.

............

(1,625)

(151,320)

(3,803.1)

Amgen,

Inc.

.............

(316)

(78,201)

(1,965.4)

Amphenol

Corp.,

Class

A

....

(2,603)

(200,769)

(5,046.0)

Aon

plc,

Class

A

..........

(759)

(220,899)

(5,551.9)

Apollo

Global

Management,

Inc.

(1,056)

(60,298)

(1,515.5)

AppLovin

Corp.,

Class

A

.....

(614)

(21,822)

(548.4)

Aptiv

plc

...............

(33)

(3,461)

(87.0)

Aramark

...............

(1,319)

(44,055)

(1,107.2)

Arrow

Electronics,

Inc.

......

(649)

(83,182)

(2,090.6)

Arthur

J

Gallagher

&

Co.

....

(358)

(64,078)

(1,610.5)

AT&T,

Inc.

..............

(4,321)

(81,148)

(2,039.5)

Atmos

Energy

Corp.

.......

(492)

(59,724)

(1,501.0)

Avalara,

Inc.

.............

(1,879)

(164,262)

(4,128.4)

Avantor,

Inc.

.............

(1,451)

(42,108)

(1,058.3)

Bausch

Health

Cos.,

Inc.

....

(16,833)

(77,556)

(1,949.2)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

46

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Baxter

International,

Inc.

....

(3,707)

$

(217,453)

(5,465.3)

%

Becton

Dickinson

and

Co.

...

(1,252)

(305,876)

(7,687.6)

Bentley

Systems,

Inc.,

Class

B

(669)

(26,492)

(665.8)

Best

Buy

Co.,

Inc.

.........

(308)

(23,713)

(596.0)

BioMarin

Pharmaceutical,

Inc.

.

(1,622)

(139,573)

(3,507.9)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(397)

(223,614)

(5,620.1)

Bio-Techne

Corp.

.........

(128)

(49,316)

(1,239.5)

Boeing

Co.

(The)

.........

(24)

(3,823)

(96.1)

Boston

Scientific

Corp.

......

(1,209)

(49,629)

(1,247.3)

Bristol-Myers

Squibb

Co.

....

(1,388)

(102,407)

(2,573.8)

Brookfield

Renewable

Corp.

..

(1,056)

(41,315)

(1,038.4)

Brown

&

Brown,

Inc.

.......

(1,157)

(75,321)

(1,893.0)

Burlington

Stores,

Inc.

......

(267)

(37,682)

(947.1)

Cable

One,

Inc.

..........

(15)

(20,650)

(519.0)

Caesars

Entertainment,

Inc.

..

(1,916)

(87,542)

(2,200.2)

Campbell

Soup

Co.

........

(480)

(23,688)

(595.4)

CarMax,

Inc.

............

(1,293)

(128,705)

(3,234.8)

Carnival

Corp.

...........

(16,708)

(151,374)

(3,804.5)

Charles

River

Laboratories

International,

Inc.

.......

(167)

(41,840)

(1,051.6)

Charter

Communications,

Inc.,

Class

A

..............

(258)

(111,482)

(2,801.9)

Chevron

Corp.

...........

(762)

(124,800)

(3,136.6)

Cintas

Corp.

.............

(142)

(60,420)

(1,518.5)

Cisco

Systems,

Inc.

........

(1,692)

(76,766)

(1,929.4)

Clarivate

plc

.............

(1,030)

(14,925)

(375.1)

Cleveland-Cliffs,

Inc.

.......

(3,138)

(55,574)

(1,396.7)

Clorox

Co.

(The)

..........

(1,038)

(147,230)

(3,700.4)

Coinbase

Global,

Inc.,

Class

A

(765)

(48,164)

(1,210.5)

Colgate-Palmolive

Co.

......

(1,302)

(102,519)

(2,576.6)

Conagra

Brands,

Inc.

.......

(5,390)

(184,392)

(4,634.3)

Cooper

Cos.,

Inc.

(The)

.....

(167)

(54,609)

(1,372.5)

CoStar

Group,

Inc.

........

(2,012)

(146,051)

(3,670.7)

Coupa

Software,

Inc.

.......

(980)

(64,112)

(1,611.3)

CyberArk

Software

Ltd.

.....

(942)

(122,582)

(3,080.9)

Danaher

Corp.

...........

(973)

(283,600)

(7,127.8)

DaVita,

Inc.

.............

(1,610)

(135,498)

(3,405.5)

DENTSPLY

SIRONA,

Inc.

...

(647)

(23,396)

(588.0)

Dollar

Tree,

Inc.

..........

(319)

(52,750)

(1,325.8)

DR

Horton,

Inc.

...........

(510)

(39,795)

(1,000.2)

Dynatrace,

Inc.

...........

(865)

(32,550)

(818.1)

Erie

Indemnity

Co.,

Class

A

..

(450)

(91,512)

(2,300.0)

Etsy,

Inc.

...............

(170)

(17,632)

(443.2)

Exact

Sciences

Corp.

......

(1,491)

(67,244)

(1,690.1)

F5,

Inc.

................

(308)

(51,547)

(1,295.5)

Fidelity

National

Information

Services,

Inc.

..........

(231)

(23,599)

(593.1)

Fiserv,

Inc.

..............

(1,942)

(205,231)

(5,158.1)

FleetCor

Technologies,

Inc.

...

(639)

(140,638)

(3,534.7)

Ford

Motor

Co.

...........

(5,399)

(79,311)

(1,993.3)

Freeport-McMoRan,

Inc.

....

(1,123)

(35,431)

(890.5)

Global

Payments,

Inc.

......

(1,354)

(165,621)

(4,162.6)

Globe

Life,

Inc.

...........

(682)

(68,698)

(1,726.6)

Hasbro,

Inc.

.............

(183)

(14,406)

(362.1)

HEICO

Corp.

............

(74)

(11,671)

(293.3)

Henry

Schein,

Inc.

.........

(437)

(34,449)

(865.8)

Hess

Corp.

.............

(937)

(105,384)

(2,648.6)

Hormel

Foods

Corp.

.......

(2,136)

(105,390)

(2,648.8)

Howmet

Aerospace,

Inc.

....

(4,508)

(167,382)

(4,206.8)

Huntington

Ingalls

Industries,

Inc.

.................

(100)

(21,684)

(545.0)

IAC/InterActiveCorp

........

(3,322)

(227,557)

(5,719.2)

Ingersoll

Rand,

Inc.

........

(1,042)

(51,892)

(1,304.2)

Intercontinental

Exchange,

Inc.

(285)

(29,067)

(730.5)

Shares

Value

%

of

Basket

Value

United

States

(continued)

International

Business

Machines

Corp.

...............

(1,977)

$

(258,572)

(6,498.7)

%

International

Flavors

&

Fragrances,

Inc.

........

(81)

(10,048)

(252.5)

Intuitive

Surgical,

Inc.

......

(36)

(8,286)

(208.3)

IQVIA

Holdings,

Inc.

.......

(224)

(53,820)

(1,352.7)

Jack

Henry

&

Associates,

Inc.

.

(649)

(134,843)

(3,389.0)

Johnson

&

Johnson

........

(147)

(25,654)

(644.8)

Keurig

Dr

Pepper,

Inc.

......

(2,403)

(93,092)

(2,339.7)

Kimberly-Clark

Corp.

.......

(56)

(7,380)

(185.5)

Lear

Corp.

..............

(540)

(81,616)

(2,051.3)

Leidos

Holdings,

Inc.

.......

(293)

(31,351)

(787.9)

Liberty

Broadband

Corp.,

Class

C

..................

(602)

(65,576)

(1,648.1)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(1,556)

(105,450)

(2,650.3)

Liberty

Media

Corp-Liberty

SiriusXM,

Class

A

.......

(720)

(28,692)

(721.1)

Live

Nation

Entertainment,

Inc.

(375)

(35,246)

(885.8)

Lumen

Technologies,

Inc.

....

(5,774)

(62,879)

(1,580.3)

Markel

Corp.

............

(27)

(35,023)

(880.2)

MarketAxess

Holdings,

Inc.

..

(299)

(80,963)

(2,034.9)

Marriott

International,

Inc.,

Class

A

..................

(191)

(30,335)

(762.4)

Marsh

&

McLennan

Cos.,

Inc.

.

(258)

(42,302)

(1,063.2)

Martin

Marietta

Materials,

Inc.

.

(359)

(126,397)

(3,176.7)

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

(576)

(50,314)

(1,264.5)

McKesson

Corp.

..........

(405)

(138,340)

(3,476.9)

Medtronic

plc

............

(3,220)

(297,914)

(7,487.5)

MGM

Resorts

International

...

(3,116)

(101,987)

(2,563.2)

Microchip

Technology,

Inc.

...

(737)

(50,750)

(1,275.5)

Mohawk

Industries,

Inc.

.....

(394)

(50,621)

(1,272.3)

Molson

Coors

Beverage

Co.,

Class

B

..............

(854)

(51,027)

(1,282.5)

Mondelez

International,

Inc.,

Class

A

..............

(1,774)

(113,607)

(2,855.3)

Morgan

Stanley

..........

(710)

(59,853)

(1,504.3)

Mosaic

Co.

(The)

.........

(332)

(17,483)

(439.4)

Motorola

Solutions,

Inc.

.....

(1,220)

(291,080)

(7,315.7)

Netflix,

Inc.

..............

(254)

(57,125)

(1,435.7)

Newell

Brands,

Inc.

........

(5,549)

(112,145)

(2,818.6)

Newmont

Corp.

..........

(1,172)

(53,068)

(1,333.8)

Oracle

Corp.

............

(2,560)

(199,270)

(5,008.3)

O'Reilly

Automotive,

Inc.

....

(45)

(31,662)

(795.8)

Palantir

Technologies,

Inc.,

Class

A

..................

(2,893)

(29,943)

(752.6)

PayPal

Holdings,

Inc.

......

(868)

(75,108)

(1,887.7)

Peloton

Interactive,

Inc.,

Class

A

(2,461)

(23,355)

(587.0)

PerkinElmer,

Inc.

.........

(1,083)

(165,883)

(4,169.2)

PNC

Financial

Services

Group,

Inc.

(The)

............

(420)

(69,695)

(1,751.6)

PPG

Industries,

Inc.

.......

(770)

(99,553)

(2,502.1)

Progressive

Corp.

(The)

.....

(751)

(86,410)

(2,171.8)

Prudential

Financial,

Inc.

....

(758)

(75,792)

(1,904.9)

Qorvo,

Inc.

..............

(308)

(32,054)

(805.6)

Republic

Services,

Inc.

.....

(1,364)

(189,132)

(4,753.5)

Rockwell

Automation,

Inc.

....

(456)

(116,408)

(2,925.7)

Rollins,

Inc.

.............

(1,070)

(41,270)

(1,037.2)

Ross

Stores,

Inc.

.........

(709)

(57,613)

(1,448.0)

Royal

Caribbean

Cruises

Ltd.

.

(2,422)

(93,756)

(2,356.4)

Royalty

Pharma

plc,

Class

A

..

(4,034)

(175,439)

(4,409.3)

RPM

International,

Inc.

.....

(2,640)

(238,656)

(5,998.2)

S&P

Global,

Inc.

..........

(390)

(147,003)

(3,694.6)

Schneider

Electric

SE

......

(3,037)

(420,029)

(10,556.7)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

47

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Seagen,

Inc.

............

(350)

$

(62,993)

(1,583.2)

%

SEI

Investments

Co.

.......

(1,474)

(81,601)

(2,050.9)

Sensata

Technologies

Holding

plc

.................

(1,620)

(72,041)

(1,810.6)

Sherwin-Williams

Co.

(The)

..

(584)

(141,293)

(3,551.1)

Sinch

AB

...............

(24,656)

(62,512)

(1,571.1)

Snap,

Inc.,

Class

A

........

(4,279)

(42,277)

(1,062.5)

Snap-on,

Inc.

............

(107)

(23,973)

(602.5)

Snowflake,

Inc.,

Class

A

.....

(486)

(72,856)

(1,831.1)

SolarEdge

Technologies,

Inc.

.

(644)

(231,924)

(5,829.0)

SS&C

Technologies

Holdings,

Inc.

.................

(4,513)

(267,034)

(6,711.4)

Stanley

Black

&

Decker,

Inc.

..

(1,354)

(131,785)

(3,312.2)

STERIS

plc

.............

(330)

(74,465)

(1,871.5)

Stryker

Corp.

............

(101)

(21,690)

(545.1)

Swiss

Re

AG

............

(297)

(22,286)

(560.1)

Sysco

Corp.

.............

(810)

(68,769)

(1,728.4)

T

Rowe

Price

Group,

Inc.

....

(681)

(84,083)

(2,113.3)

Take-Two

Interactive

Software,

Inc.

.................

(1,402)

(186,087)

(4,677.0)

Target

Corp.

.............

(153)

(24,997)

(628.3)

Teladoc

Health,

Inc.

........

(1,360)

(50,116)

(1,259.6)

Teledyne

Technologies,

Inc.

..

(267)

(104,504)

(2,626.5)

Teleflex,

Inc.

.............

(224)

(53,863)

(1,353.7)

Tenaris

SA

..............

(2,973)

(41,604)

(1,045.6)

Teradyne,

Inc.

...........

(512)

(51,656)

(1,298.3)

Thermo

Fisher

Scientific,

Inc.

.

(344)

(205,853)

(5,173.7)

TJX

Cos.,

Inc.

(The)

.......

(1,087)

(66,481)

(1,670.9)

T-Mobile

US,

Inc.

.........

(2,074)

(296,706)

(7,457.2)

Trade

Desk,

Inc.

(The),

Class

A

(105)

(4,725)

(118.8)

Tradeweb

Markets,

Inc.,

Class

A

(921)

(64,949)

(1,632.4)

TransUnion

.............

(1,202)

(95,234)

(2,393.5)

Twilio,

Inc.,

Class

A

........

(1,142)

(96,842)

(2,433.9)

Twitter,

Inc.

.............

(552)

(22,969)

(577.3)

Tyler

Technologies,

Inc.

.....

(421)

(167,979)

(4,221.8)

Unity

Software,

Inc.

........

(599)

(22,397)

(562.9)

Universal

Health

Services,

Inc.,

Class

B

..............

(459)

(51,624)

(1,297.5)

Upstart

Holdings,

Inc.

......

(299)

(7,275)

(182.8)

US

Bancorp

.............

(1,468)

(69,290)

(1,741.5)

Verisk

Analytics,

Inc.

.......

(626)

(119,097)

(2,993.3)

VF

Corp.

...............

(2,191)

(97,894)

(2,460.4)

Viatris,

Inc.

..............

(4,726)

(45,795)

(1,151.0)

Vistra

Corp.

.............

(1,597)

(41,282)

(1,037.6)

Walgreens

Boots

Alliance,

Inc.

(647)

(25,634)

(644.3)

Walmart,

Inc.

............

(1,774)

(234,257)

(5,887.6)

Walt

Disney

Co.

(The)

......

(985)

(104,509)

(2,626.6)

Warner

Bros

Discovery,

Inc.

..

(2,201)

(33,015)

(829.8)

Waste

Connections,

Inc.

.....

(105)

(14,004)

(352.0)

Wayfair,

Inc.,

Class

A

.......

(441)

(23,774)

(597.5)

Wells

Fargo

&

Co.

.........

(1,332)

(58,435)

(1,468.7)

Western

Digital

Corp.

.......

(2,385)

(117,104)

(2,943.2)

Williams

Cos.,

Inc.

(The)

....

(7,297)

(248,755)

(6,252.0)

Wynn

Resorts

Ltd.

........

(1,103)

(70,018)

(1,759.8)

Xylem,

Inc.

..............

(273)

(25,124)

(631.4)

(16,580,525)

Zambia

First

Quantum

Minerals

Ltd.

..

(1,288)

(23,536)

(591.5)

Total

Reference

Entity

—

Short

............

(36,295,973)

Net

Value

of

Reference

Entity

—

Goldman

Sachs

International

.........................

$

3,979

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

NA,

as

of

period

end,

termination

date

February

8,

2023:

Reference

Entity

—

Long

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

2,739

$

93,984

1,942.1

%

Canada

Alimentation

Couche-Tard,

Inc.

2,559

114,326

2,362.4

AltaGas

Ltd.

.............

6,034

134,434

2,777.9

ARC

Resources

Ltd.

.......

3,513

49,271

1,018.1

Bank

of

Nova

Scotia

(The)

...

843

51,355

1,061.2

Canadian

Apartment

Properties

REIT

................

3,260

123,496

2,551.9

Canadian

National

Railway

Co.

23

2,914

60.2

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

653

83,890

1,733.5

Constellation

Software,

Inc.

..

249

423,577

8,752.8

Dollarama,

Inc.

...........

811

49,152

1,015.7

Empire

Co.

Ltd.,

Class

A

....

8,168

247,869

5,122.0

Franco-Nevada

Corp.

......

557

71,322

1,473.8

George

Weston

Ltd.

.......

2,229

266,042

5,497.5

Gildan

Activewear,

Inc.

......

4,658

136,515

2,820.9

Hydro

One

Ltd.

...........

16,814

469,408

9,699.8

iA

Financial

Corp.,

Inc.

......

1,552

85,396

1,764.6

Kinross

Gold

Corp.

........

19,810

67,913

1,403.4

Manulife

Financial

Corp.

.....

8,399

153,741

3,176.9

National

Bank

of

Canada

....

2,245

157,521

3,255.0

Onex

Corp.

.............

1,405

75,091

1,551.7

Open

Text

Corp.

..........

8,519

348,464

7,200.6

Parkland

Corp.

...........

4,883

137,008

2,831.1

Teck

Resources

Ltd.,

Class

B

.

914

26,873

555.3

TMX

Group

Ltd.

..........

993

101,886

2,105.4

Toromont

Industries

Ltd.

.....

1,869

157,410

3,252.7

3,534,874

South

Korea

HDC

Holdings

Co.

Ltd.

......

1

5

0.1

United

States

Fortive

Corp.

............

1

64

1.3

Total

Reference

Entity

—

Long

............

3,628,927

Reference

Entity

—

Short

Common

Stocks

Canada

Air

Canada

.............

(3,965)

(53,845)

(1,112.6)

Algonquin

Power

&

Utilities

Corp.

...............

(5,576)

(77,987)

(1,611.5)

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(7,430)

(368,671)

(7,618.2)

CAE,

Inc.

...............

(2,672)

(70,694)

(1,460.8)

Cameco

Corp.

...........

(2,341)

(60,291)

(1,245.9)

CCL

Industries,

Inc.,

Class

B

..

(3,109)

(156,184)

(3,227.4)

Cenovus

Energy,

Inc.

.......

(3,360)

(64,022)

(1,323.0)

Emera,

Inc.

.............

(9,974)

(472,861)

(9,771.2)

Fairfax

Financial

Holdings

Ltd.

(322)

(173,453)

(3,584.2)

Fortis,

Inc.

..............

(1,803)

(85,169)

(1,759.9)

GFL

Environmental,

Inc.

.....

(25,325)

(700,885)

(14,483.0)

Ivanhoe

Mines

Ltd.,

Class

A

..

(9,312)

(57,884)

(1,196.1)

Keyera

Corp.

............

(972)

(25,193)

(520.6)

Lightspeed

Commerce,

Inc.

..

(774)

(16,610)

(343.2)

Northland

Power,

Inc.

......

(297)

(9,737)

(201.2)

Pan

American

Silver

Corp.

...

(18,848)

(383,569)

(7,926.0)

Restaurant

Brands

International,

Inc.

.................

(3,502)

(187,741)

(3,879.5)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

48

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Canada

(continued)

Saputo,

Inc.

.............

(4,301)

$

(106,236)

(2,195.3)

%

TC

Energy

Corp.

..........

(7,886)

(420,427)

(8,687.7)

(3,491,459)

United

States

Brookfield

Renewable

Corp.

..

(1,059)

(41,432)

(856.1)

Lennar

Corp.,

Class

B

......

(1)

(68)

(1.4)

(41,500)

Zambia

First

Quantum

Minerals

Ltd.

..

(4,987)

(91,129)

(1,883.1)

Total

Reference

Entity

—

Short

............

(3,624,088)

Net

Value

of

Reference

Entity

—

JPMorgan

Chase

Bank

NA

............................

$

4,839

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

&

Co.,

as

of

period

end,

termination

date

February

15,

2023:

Reference

Entity

—

Long

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

......

4,863

121,322

201.3

Aurizon

Holdings

Ltd.

......

8,019

22,696

37.6

Australia

&

New

Zealand

Banking

Group

Ltd.

............

1,538

23,572

39.0

BlueScope

Steel

Ltd.

.......

2,100

24,667

40.9

Cochlear

Ltd.

............

1,545

232,873

386.3

QBE

Insurance

Group

Ltd.

...

2,737

22,131

36.7

South32

Ltd.

............

11,848

32,293

53.6

479,554

Austria

voestalpine

AG

...........

911

20,513

34.0

Belgium

Ageas

SA/NV

............

383

16,716

27.7

Elia

Group

SA/NV

.........

149

22,620

37.5

Groupe

Bruxelles

Lambert

SA

.

837

74,087

122.9

Warehouses

De

Pauw

CVA

..

958

32,567

54.0

145,990

Brazil

Wheaton

Precious

Metals

Corp.

1,229

42,171

70.0

Canada

Alimentation

Couche-Tard,

Inc.

1,201

53,656

89.0

Bank

of

Nova

Scotia

(The)

...

2,777

169,172

280.6

Canadian

Imperial

Bank

of

Commerce

...........

1,902

96,218

159.6

Canadian

National

Railway

Co.

167

21,157

35.1

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

373

47,919

79.5

Constellation

Software,

Inc.

..

240

408,267

677.3

Dollarama,

Inc.

...........

805

48,788

80.9

Franco-Nevada

Corp.

......

360

46,097

76.5

Gildan

Activewear,

Inc.

......

1,841

53,956

89.5

Hydro

One

Ltd.

...........

16,183

451,792

749.5

iA

Financial

Corp.,

Inc.

......

938

51,612

85.6

Intact

Financial

Corp.

.......

64

9,526

15.8

National

Bank

of

Canada

....

272

19,085

31.7

Open

Text

Corp.

..........

2,097

85,776

142.3

Royal

Bank

of

Canada

......

618

60,258

100.0

Shaw

Communications,

Inc.,

Class

B

..............

1,156

31,271

51.9

Shares

Value

%

of

Basket

Value

Canada

(continued)

Teck

Resources

Ltd.,

Class

B

.

2,684

$

78,913

130.9

%

West

Fraser

Timber

Co.

Ltd.

..

184

17,227

28.6

1,750,690

Chile

Lundin

Mining

Corp.

.......

2,850

16,069

26.7

Denmark

Coloplast

A/S,

Class

B

......

1,059

123,944

205.6

DSV

A/S

...............

268

45,158

74.9

Genmab

A/S

............

315

112,083

185.9

Novo

Nordisk

A/S,

Class

B

...

587

68,370

113.4

349,555

Finland

Elisa

OYJ

..............

1,840

101,761

168.8

Kesko

OYJ,

Class

B

.......

3,453

85,404

141.7

Neste

OYJ

..............

136

6,993

11.6

Nordea

Bank

Abp

.........

1,524

15,027

24.9

Stora

Enso

OYJ,

Class

R

....

4,786

74,019

122.8

283,204

France

Arkema

SA

.............

504

47,747

79.2

BNP

Paribas

SA

..........

514

24,285

40.3

Cie

de

Saint-Gobain

.......

975

45,464

75.4

Dassault

Systemes

SE

.....

1,813

77,763

129.0

Edenred

...............

431

22,124

36.7

Eiffage

SA

..............

461

43,260

71.8

Eurazeo

SE

.............

1,020

72,856

120.9

Ipsen

SA

...............

128

12,948

21.5

La

Francaise

des

Jeux

SAEM

.

901

32,182

53.4

Legrand

SA

.............

286

23,414

38.8

Orange

SA

..............

4,755

48,589

80.6

Pernod

Ricard

SA

.........

124

24,359

40.4

SEB

SA

................

126

10,608

17.6

Vivendi

SE

..............

4,204

39,910

66.2

525,509

Germany

Beiersdorf

AG

............

230

23,719

39.3

Carl

Zeiss

Meditec

AG

......

373

54,436

90.3

Covestro

AG

............

448

15,109

25.1

Deutsche

Post

AG

(Registered)

7,722

308,416

511.6

Evonik

Industries

AG

.......

1,543

32,912

54.6

HeidelbergCement

AG

......

233

11,868

19.7

Mercedes-Benz

Group

AG

...

361

21,290

35.3

Rational

AG

.............

44

30,670

50.9

498,420

Ireland

Kerry

Group

plc,

Class

A

....

221

23,327

38.7

Israel

Bank

Hapoalim

BM

........

3,226

30,066

49.9

Check

Point

Software

Technologies

Ltd.

.......

181

22,553

37.4

Elbit

Systems

Ltd.

.........

111

25,611

42.5

Israel

Discount

Bank

Ltd.,

Class

A

..................

10,213

58,070

96.3

136,300

Italy

Assicurazioni

Generali

SpA

...

812

12,139

20.1

Enel

SpA

...............

22,190

111,866

185.6

Eni

SpA

................

3,159

37,973

63.0

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

49

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Italy

(continued)

Moncler

SpA

............

1,418

$

71,083

117.9

%

233,061

Japan

AGC,

Inc.

..............

1,000

36,453

60.5

Ajinomoto

Co.,

Inc.

........

2,900

76,316

126.6

Asahi

Kasei

Corp.

.........

19,900

159,646

264.8

Chugai

Pharmaceutical

Co.

Ltd.

4,700

132,036

219.0

Dai

Nippon

Printing

Co.

Ltd.

..

2,500

55,168

91.5

Eisai

Co.

Ltd.

............

500

22,897

38.0

ENEOS

Holdings,

Inc.

......

10,000

38,684

64.2

Hankyu

Hanshin

Holdings,

Inc.

5,800

168,239

279.1

Honda

Motor

Co.

Ltd.

......

12,100

310,089

514.4

Hoshizaki

Corp.

..........

3,000

89,496

148.5

Hoya

Corp.

.............

300

30,058

49.9

Ibiden

Co.

Ltd.

...........

800

23,609

39.2

Isuzu

Motors

Ltd.

.........

3,700

40,584

67.3

Kajima

Corp.

............

10,700

122,148

202.6

KDDI

Corp.

.............

1,700

54,506

90.4

Kikkoman

Corp.

..........

400

23,718

39.3

Komatsu

Ltd.

............

1,000

23,118

38.3

Kyocera

Corp.

...........

1,700

94,501

156.8

Marubeni

Corp.

...........

9,500

88,372

146.6

Mitsui

Chemicals,

Inc.

......

1,400

29,490

48.9

NEC

Corp.

..............

500

18,457

30.6

NGK

Insulators

Ltd.

........

7,700

112,622

186.8

NIPPON

EXPRESS

HOLDINGS,

Inc.

.................

1,000

59,755

99.1

Nippon

Telegraph

&

Telephone

Corp.

...............

1,200

34,278

56.9

Nisshin

Seifun

Group,

Inc.

...

1,400

17,233

28.6

Nitto

Denko

Corp.

.........

7,700

495,844

822.6

ORIX

Corp.

.............

1,400

24,951

41.4

Osaka

Gas

Co.

Ltd.

........

18,100

325,404

539.8

Panasonic

Holdings

Corp.

...

7,700

63,572

105.5

Recruit

Holdings

Co.

Ltd.

....

300

11,212

18.6

Secom

Co.

Ltd.

...........

400

26,716

44.3

Seiko

Epson

Corp.

........

1,800

27,041

44.9

Sekisui

Chemical

Co.

Ltd.

....

3,400

47,836

79.4

Sekisui

House

Ltd.

........

1,300

23,025

38.2

Shin-Etsu

Chemical

Co.

Ltd.

..

200

25,619

42.5

Subaru

Corp.

............

1,400

24,361

40.4

Sumitomo

Chemical

Co.

Ltd.

..

18,500

72,704

120.6

Suzuki

Motor

Corp.

........

1,400

45,891

76.1

Sysmex

Corp.

...........

900

63,011

104.5

Taisei

Corp.

.............

2,000

63,814

105.9

TDK

Corp.

..............

4,400

138,577

229.9

Terumo

Corp.

............

2,100

71,702

118.9

Tokio

Marine

Holdings,

Inc.

...

500

29,270

48.6

Tokyo

Gas

Co.

Ltd.

........

6,900

135,522

224.8

TOPPAN,

Inc.

............

1,600

27,225

45.2

Toray

Industries,

Inc.

.......

4,400

24,100

40.0

Trend

Micro,

Inc.

..........

900

52,303

86.8

USS

Co.

Ltd.

............

2,500

49,056

81.4

Yamaha

Motor

Co.

Ltd.

.....

7,200

139,083

230.7

3,869,312

Netherlands

Heineken

NV

............

294

28,984

48.1

Koninklijke

Philips

NV

......

2,276

47,105

78.2

NN

Group

NV

............

1,923

90,232

149.7

166,321

Shares

Value

%

of

Basket

Value

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

2,921

$

39,062

64.8

%

Spark

New

Zealand

Ltd.

.....

8,384

26,959

44.7

66,021

Norway

DNB

Bank

ASA

...........

3,290

64,898

107.7

Mowi

ASA

..............

1,020

23,537

39.0

88,435

Portugal

Galp

Energia

SGPS

SA

.....

1,753

18,504

30.7

Singapore

STMicroelectronics

NV

.....

3,201

121,137

200.9

South

Africa

Anglo

American

plc

........

481

17,386

28.8

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

29,478

133,585

221.6

Banco

Santander

SA

.......

6,518

16,307

27.1

Iberdrola

SA

.............

1,628

8,916

14.8

158,808

Sweden

Alfa

Laval

AB

............

979

29,274

48.6

Assa

Abloy

AB,

Class

B

.....

1,518

35,864

59.5

Husqvarna

AB,

Class

B

.....

14,870

118,510

196.6

Investor

AB,

Class

B

.......

6,974

130,147

215.9

Telia

Co.

AB

.............

19,933

73,639

122.1

387,434

Switzerland

Baloise

Holding

AG

(Registered)

802

127,782

212.0

Geberit

AG

(Registered)

.....

51

26,861

44.6

Julius

Baer

Group

Ltd.

......

903

46,694

77.5

Novartis

AG

(Registered)

....

1,403

120,559

200.0

SGS

SA

(Registered)

.......

8

19,524

32.4

Sika

AG

(Registered)

.......

99

24,462

40.6

Straumann

Holding

AG

(Registered)

...........

355

48,014

79.6

413,896

United

Kingdom

abrdn

plc

...............

9,232

18,717

31.1

Associated

British

Foods

plc

..

4,933

100,758

167.1

Berkeley

Group

Holdings

plc

..

1,317

68,252

113.2

Coca-Cola

Europacific

Partners

plc

.................

435

23,542

39.1

Compass

Group

plc

........

1,474

34,545

57.3

DCC

plc

...............

1,393

90,948

150.9

Entain

plc

..............

3,353

49,340

81.9

Experian

plc

.............

927

32,456

53.8

Haleon

plc

..............

1,008

3,582

5.9

Imperial

Brands

plc

........

1,229

26,984

44.8

JD

Sports

Fashion

plc

......

43,751

69,493

115.3

Kingfisher

plc

............

4,772

15,098

25.0

Legal

&

General

Group

plc

...

28,311

90,412

150.0

M&G

plc

...............

11,356

29,602

49.1

Sage

Group

plc

(The)

......

5,999

51,700

85.8

Taylor

Wimpey

plc

.........

17,668

27,500

45.6

Whitbread

plc

............

3,741

119,076

197.5

852,005

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

50

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

A

O

Smith

Corp.

..........

710

$

44,922

74.5

%

ABIOMED,

Inc.

...........

347

101,674

168.7

Accenture

plc,

Class

A

......

266

81,465

135.1

Agilent

Technologies,

Inc.

....

818

109,694

182.0

Airbnb,

Inc.,

Class

A

.......

403

44,725

74.2

Akamai

Technologies,

Inc.

...

243

23,381

38.8

Ally

Financial,

Inc.

.........

1,690

55,888

92.7

American

Electric

Power

Co.,

Inc.

.................

231

22,767

37.8

American

Express

Co.

......

292

44,974

74.6

American

Financial

Group,

Inc.

320

42,778

71.0

American

International

Group,

Inc.

.................

1,750

90,597

150.3

Ameriprise

Financial,

Inc.

....

302

81,516

135.2

ANSYS,

Inc.

.............

358

99,878

165.7

APA

Corp.

..............

1,162

43,192

71.6

Arista

Networks,

Inc.

.......

47

5,482

9.1

Automatic

Data

Processing,

Inc.

353

85,115

141.2

AutoZone,

Inc.

...........

11

23,511

39.0

Avery

Dennison

Corp.

......

501

95,420

158.3

Bath

&

Body

Works,

Inc.

....

1,123

39,911

66.2

Booking

Holdings,

Inc.

......

33

63,878

106.0

Bunge

Ltd.

..............

253

23,359

38.8

Capital

One

Financial

Corp.

..

565

62,054

102.9

Carlyle

Group,

Inc.

(The)

....

404

15,720

26.1

Carrier

Global

Corp.

.......

2,133

86,450

143.4

CDW

Corp.

.............

149

27,048

44.9

Celanese

Corp.

..........

227

26,675

44.3

Cigna

Corp.

.............

135

37,174

61.7

ConocoPhillips

...........

210

20,460

33.9

Consolidated

Edison,

Inc.

....

780

77,431

128.4

Copart,

Inc.

.............

1,860

238,266

395.3

Cummins,

Inc.

...........

305

67,500

112.0

Delta

Air

Lines,

Inc.

........

1,886

59,975

99.5

Dexcom,

Inc.

............

538

44,159

73.3

Discover

Financial

Services

..

1,059

106,959

177.4

DocuSign,

Inc.

...........

116

7,422

12.3

Dominion

Energy,

Inc.

......

576

47,220

78.3

Dover

Corp.

.............

665

88,897

147.5

Dow,

Inc.

...............

1,017

54,115

89.8

Dropbox,

Inc.,

Class

A

......

2,719

61,830

102.6

eBay,

Inc.

..............

1,081

52,569

87.2

Edwards

Lifesciences

Corp.

..

546

54,895

91.1

Emerson

Electric

Co.

.......

214

19,275

32.0

Entergy

Corp.

............

526

60,558

100.5

Equitable

Holdings,

Inc.

.....

1,439

40,911

67.9

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

36

9,832

16.3

Evergy,

Inc.

.............

376

25,666

42.6

Eversource

Energy

........

1,336

117,862

195.5

Expedia

Group,

Inc.

........

445

47,192

78.3

Expeditors

International

of

Washington,

Inc.

........

1,001

106,356

176.4

Fastenal

Co.

............

34

1,746

2.9

First

Republic

Bank

........

110

17,898

29.7

FirstEnergy

Corp.

.........

1,784

73,322

121.6

FMC

Corp.

..............

257

28,553

47.4

Fortune

Brands

Home

&

Security,

Inc.

.................

855

59,576

98.8

Genuine

Parts

Co.

........

365

55,798

92.6

GSK

plc

...............

806

16,934

28.1

Halliburton

Co.

...........

1,155

33,841

56.1

Hewlett

Packard

Enterprise

Co.

7,721

109,947

182.4

Home

Depot,

Inc.

(The)

.....

77

23,172

38.4

IDEX

Corp.

.............

124

25,885

42.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

Illumina,

Inc.

............

184

$

39,869

66.1

%

Incyte

Corp.

.............

1,358

105,489

175.0

Intuit,

Inc.

..............

217

98,989

164.2

Invesco

Ltd.

.............

1,805

32,021

53.1

James

Hardie

Industries

plc,

CDI

................

1,342

33,143

55.0

JB

Hunt

Transport

Services,

Inc.

125

22,909

38.0

JPMorgan

Chase

&

Co.

.....

382

44,068

73.1

Juniper

Networks,

Inc.

......

101

2,831

4.7

KeyCorp

...............

2,195

40,168

66.6

Keysight

Technologies,

Inc.

...

575

93,495

155.1

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,696

93,195

154.6

Lincoln

National

Corp.

......

464

23,822

39.5

Loews

Corp.

............

3,220

187,565

311.2

Lululemon

Athletica,

Inc.

....

87

27,014

44.8

Lyft,

Inc.,

Class

A

.........

844

11,698

19.4

LyondellBasell

Industries

NV,

Class

A

..............

1,064

94,824

157.3

Masimo

Corp.

............

792

114,507

190.0

Mettler-Toledo

International,

Inc.

216

291,542

483.6

Molina

Healthcare,

Inc.

.....

119

38,999

64.7

MSCI,

Inc.

..............

46

22,142

36.7

Nestle

SA

(Registered)

.....

483

59,181

98.2

NextEra

Energy,

Inc.

.......

338

28,558

47.4

Nordson

Corp.

...........

874

201,885

334.9

Norfolk

Southern

Corp.

.....

118

29,638

49.2

Northern

Trust

Corp.

.......

507

50,588

83.9

Owens

Corning

...........

1,105

102,478

170.0

Packaging

Corp.

of

America

..

166

23,341

38.7

Palo

Alto

Networks,

Inc.

.....

37

18,467

30.6

Parker-Hannifin

Corp.

......

501

144,834

240.3

Philip

Morris

International,

Inc.

736

71,502

118.6

Pinterest,

Inc.,

Class

A

......

1,208

23,532

39.0

Procter

&

Gamble

Co.

(The)

..

502

69,733

115.7

Public

Service

Enterprise

Group,

Inc.

.................

1,480

97,192

161.2

Regions

Financial

Corp.

.....

2,461

52,124

86.5

Robert

Half

International,

Inc.

.

2,686

212,570

352.6

Seagate

Technology

Holdings

plc

.................

66

5,279

8.8

Sempra

Energy

..........

604

100,143

166.1

ServiceNow,

Inc.

..........

43

19,206

31.9

Southwest

Airlines

Co.

......

1,466

55,884

92.7

State

Street

Corp.

.........

539

38,291

63.5

Steel

Dynamics,

Inc.

.......

1,374

107,007

177.5

Stellantis

NV

............

13,051

187,416

310.9

Synchrony

Financial

.......

1,460

48,881

81.1

Synopsys,

Inc.

...........

540

198,450

329.2

Targa

Resources

Corp.

.....

675

46,649

77.4

Texas

Instruments,

Inc.

.....

408

72,987

121.1

Trane

Technologies

plc

.....

85

12,494

20.7

Ulta

Beauty,

Inc.

..........

153

59,503

98.7

United

Rentals,

Inc.

........

362

116,807

193.8

VeriSign,

Inc.

............

462

87,392

145.0

Vertex

Pharmaceuticals,

Inc.

..

9

2,524

4.2

West

Pharmaceutical

Services,

Inc.

.................

309

106,160

176.1

Westlake

Corp.

...........

570

55,484

92.0

WestRock

Co.

...........

1,751

74,172

123.0

Workday,

Inc.,

Class

A

......

221

34,277

56.9

WW

Grainger,

Inc.

.........

703

382,102

633.9

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

51

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

Yum!

Brands,

Inc.

.........

2,399

$

293,973

487.7

%

8,044,264

Total

Reference

Entity

—

Long

............

18,707,886

Reference

Entity

—

Short

Common

Stocks

Australia

Glencore

plc

............

(2,712)

(15,371)

(25.5)

Newcrest

Mining

Ltd.

.......

(1,714)

(23,098)

(38.3)

Westpac

Banking

Corp.

.....

(1)

(15)

(0.0)

(38,484)

Austria

Erste

Group

Bank

AG

......

(2,112)

(53,545)

(88.8)

Verbund

AG

.............

(675)

(74,227)

(123.1)

(127,772)

Belgium

Solvay

SA

..............

(233)

(20,465)

(33.9)

Brazil

Yara

International

ASA

......

(1,291)

(55,019)

(91.3)

Canada

Agnico

Eagle

Mines

Ltd.

.....

(1,041)

(44,760)

(74.3)

CAE,

Inc.

...............

(898)

(23,759)

(39.4)

Canadian

Pacific

Railway

Ltd.

.

(319)

(25,153)

(41.7)

Canadian

Utilities

Ltd.,

Class

A

(4,745)

(153,590)

(254.8)

Cenovus

Energy,

Inc.

.......

(2,354)

(44,854)

(74.4)

CGI,

Inc.

...............

(1,056)

(90,546)

(150.2)

Fortis,

Inc.

..............

(4,447)

(210,065)

(348.5)

GFL

Environmental,

Inc.

.....

(2,352)

(65,093)

(108.0)

IGM

Financial,

Inc.

........

(2,837)

(82,371)

(136.6)

Ivanhoe

Mines

Ltd.,

Class

A

..

(25,919)

(161,115)

(267.3)

Northland

Power,

Inc.

......

(3,993)

(130,902)

(217.2)

Nutrien

Ltd.

.............

(796)

(68,141)

(113.0)

Pan

American

Silver

Corp.

...

(1,265)

(25,744)

(42.7)

Pembina

Pipeline

Corp.

.....

(3,121)

(119,156)

(197.7)

Power

Corp.

of

Canada

.....

(3,611)

(98,132)

(162.8)

Quebecor,

Inc.,

Class

B

.....

(2,064)

(45,856)

(76.1)

Restaurant

Brands

International,

Inc.

.................

(1,129)

(60,525)

(100.4)

Shopify,

Inc.,

Class

A

.......

(618)

(21,529)

(35.7)

Thomson

Reuters

Corp.

.....

(1,142)

(128,232)

(212.7)

Toronto-Dominion

Bank

(The)

.

(789)

(51,251)

(85.0)

Tourmaline

Oil

Corp.

.......

(599)

(37,529)

(62.3)

(1,688,303)

China

NXP

Semiconductors

NV

....

(458)

(84,217)

(139.7)

Denmark

Danske

Bank

A/S

.........

(1,734)

(24,249)

(40.2)

Demant

A/S

.............

(926)

(35,276)

(58.5)

GN

Store

Nord

A/S

........

(2,474)

(86,155)

(142.9)

ROCKWOOL

A/S,

Class

B

...

(58)

(14,372)

(23.8)

(160,052)

Finland

Fortum

OYJ

.............

(1,393)

(15,635)

(25.9)

Kone

OYJ,

Class

B

........

(966)

(44,148)

(73.2)

Sampo

OYJ,

Class

A

.......

(513)

(22,163)

(36.8)

(81,946)

France

Aeroports

de

Paris

........

(1,231)

(170,090)

(282.2)

Alstom

SA

..............

(2,071)

(49,219)

(81.6)

Shares

Value

%

of

Basket

Value

France

(continued)

AXA

SA

................

(3,863)

$

(89,013)

(147.7)

%

Bollore

SE

..............

(12,304)

(62,121)

(103.1)

Bouygues

SA

............

(1,602)

(48,428)

(80.3)

EssilorLuxottica

SA

........

(293)

(45,937)

(76.2)

Getlink

SE

..............

(2,841)

(56,861)

(94.3)

L'Oreal

SA

..............

(196)

(74,099)

(122.9)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(50)

(34,718)

(57.6)

Renault

SA

.............

(1,884)

(55,699)

(92.4)

Ubisoft

Entertainment

SA

....

(405)

(17,243)

(28.6)

Vinci

SA

...............

(1,008)

(96,626)

(160.3)

Worldline

SA

............

(1,861)

(82,141)

(136.3)

(882,195)

Germany

adidas

AG

..............

(165)

(28,544)

(47.4)

Aroundtown

SA

...........

(15,647)

(50,181)

(83.2)

Commerzbank

AG

.........

(2,594)

(17,772)

(29.5)

Daimler

Truck

Holding

AG

...

(2,996)

(81,866)

(135.8)

Fresenius

Medical

Care

AG

&

Co.

KGaA

............

(2,558)

(94,834)

(157.3)

Fresenius

SE

&

Co.

KGaA

...

(702)

(17,963)

(29.8)

Hannover

Rueck

SE

.......

(239)

(33,901)

(56.2)

KION

Group

AG

..........

(516)

(23,536)

(39.0)

RWE

AG

...............

(2,279)

(93,754)

(155.5)

Telefonica

Deutschland

Holding

AG

.................

(26,189)

(69,627)

(115.5)

United

Internet

AG

(Registered),

Class

G

..............

(1,214)

(31,978)

(53.1)

Vonovia

SE

.............

(1,554)

(51,779)

(85.9)

Zalando

SE

.............

(957)

(26,943)

(44.7)

(622,678)

Ireland

AerCap

Holdings

NV

.......

(885)

(39,701)

(65.9)

CRH

plc

...............

(680)

(26,094)

(43.3)

Flutter

Entertainment

plc

....

(523)

(52,509)

(87.1)

Kingspan

Group

plc

........

(222)

(14,370)

(23.8)

(132,674)

Israel

Kornit

Digital

Ltd.

.........

(636)

(17,306)

(28.7)

Wix.com

Ltd.

............

(116)

(6,882)

(11.4)

(24,188)

Italy

Davide

Campari-Milano

NV

..

(4,090)

(45,407)

(75.3)

DiaSorin

SpA

............

(184)

(25,584)

(42.4)

Infrastrutture

Wireless

Italiane

SpA

................

(12,120)

(127,362)

(211.3)

Nexi

SpA

...............

(7,455)

(67,707)

(112.3)

Terna

-

Rete

Elettrica

Nazionale

(7,918)

(60,619)

(100.6)

UniCredit

SpA

...........

(1,762)

(17,425)

(28.9)

(344,104)

Japan

Aeon

Co.

Ltd.

............

(2,800)

(56,467)

(93.7)

Aisin

Corp.

..............

(900)

(26,729)

(44.3)

Asahi

Group

Holdings

Ltd.

...

(1,200)

(41,720)

(69.2)

Asahi

Intecc

Co.

Ltd.

.......

(2,400)

(44,400)

(73.7)

Canon,

Inc.

.............

(1,400)

(33,121)

(54.9)

Chubu

Electric

Power

Co.,

Inc.

(9,600)

(102,407)

(169.9)

Daikin

Industries

Ltd.

.......

(1,400)

(245,530)

(407.3)

FUJIFILM

Holdings

Corp.

....

(1,400)

(79,971)

(132.7)

GMO

Payment

Gateway,

Inc.

.

(700)

(58,172)

(96.5)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(300)

(6,618)

(11.0)

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

52

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

Japan

(continued)

Itochu

Techno-Solutions

Corp.

.

(1,100)

$

(29,480)

(48.9)

%

Japan

Exchange

Group,

Inc.

..

(1,500)

(23,851)

(39.6)

Keisei

Electric

Railway

Co.

Ltd.

(700)

(19,192)

(31.8)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(4,800)

(158,625)

(263.1)

Konami

Group

Corp.

.......

(1,000)

(59,105)

(98.1)

Kose

Corp.

.............

(300)

(26,779)

(44.4)

Kyowa

Kirin

Co.

Ltd.

.......

(700)

(16,503)

(27.4)

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

(8,600)

(48,457)

(80.4)

MonotaRO

Co.

Ltd.

........

(1,700)

(30,354)

(50.4)

Nidec

Corp.

.............

(3,100)

(215,432)

(357.4)

Nihon

M&A

Center

Holdings,

Inc.

.................

(2,200)

(29,440)

(48.8)

Nintendo

Co.

Ltd.

.........

(100)

(44,717)

(74.2)

Nippon

Paint

Holdings

Co.

Ltd.

(3,000)

(22,932)

(38.0)

Nippon

Sanso

Holdings

Corp.

.

(2,000)

(33,725)

(55.9)

Nissan

Motor

Co.

Ltd.

......

(34,600)

(131,579)

(218.3)

Nitori

Holdings

Co.

Ltd.

.....

(900)

(95,219)

(158.0)

NTT

Data

Corp.

..........

(4,900)

(74,161)

(123.0)

Odakyu

Electric

Railway

Co.

Ltd.

(3,600)

(51,633)

(85.7)

Omron

Corp.

............

(800)

(44,742)

(74.2)

Otsuka

Corp.

............

(3,400)

(106,031)

(175.9)

Otsuka

Holdings

Co.

Ltd.

....

(2,000)

(71,446)

(118.5)

Rakuten

Group,

Inc.

.......

(4,600)

(22,805)

(37.8)

Renesas

Electronics

Corp.

...

(4,700)

(44,767)

(74.3)

Sharp

Corp.

.............

(9,500)

(76,465)

(126.9)

Shimano,

Inc.

............

(400)

(66,818)

(110.8)

Shiseido

Co.

Ltd.

.........

(2,200)

(90,493)

(150.1)

Shizuoka

Bank

Ltd.

(The)

....

(3,700)

(22,390)

(37.1)

Square

Enix

Holdings

Co.

Ltd.

.

(600)

(27,840)

(46.2)

SUMCO

Corp.

...........

(4,400)

(61,568)

(102.1)

Sumitomo

Corp.

..........

(6,900)

(97,014)

(160.9)

Sumitomo

Metal

Mining

Co.

Ltd.

(1,800)

(56,599)

(93.9)

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(1,500)

(41,420)

(68.7)

T&D

Holdings,

Inc.

........

(2,200)

(24,900)

(41.3)

Tobu

Railway

Co.

Ltd.

......

(1,800)

(42,741)

(70.9)

Toho

Co.

Ltd.

............

(1,200)

(47,653)

(79.1)

Tokyu

Corp.

.............

(5,200)

(63,760)

(105.8)

Toyota

Industries

Corp.

.....

(400)

(24,356)

(40.4)

Toyota

Motor

Corp.

........

(4,700)

(76,286)

(126.6)

Yamato

Holdings

Co.

Ltd.

....

(1,400)

(24,499)

(40.6)

Z

Holdings

Corp.

..........

(11,300)

(39,937)

(66.3)

(2,980,849)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,768)

(79,644)

(132.1)

Luxembourg

Eurofins

Scientific

SE

......

(1,144)

(89,184)

(148.0)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(8,228)

(83,908)

(139.2)

Aegon

NV

..............

(20,911)

(91,846)

(152.4)

Argenx

SE

..............

(283)

(103,380)

(171.5)

JDE

Peet's

NV

...........

(3,967)

(115,053)

(190.9)

(394,187)

New

Zealand

Auckland

International

Airport

Ltd.

................

(4,278)

(20,088)

(33.3)

Norway

Gjensidige

Forsikring

ASA

...

(3,017)

(63,103)

(104.7)

Shares

Value

%

of

Basket

Value

Spain

Acciona

SA

.............

(119)

$

(24,487)

(40.6)

%

CaixaBank

SA

...........

(7,924)

(23,793)

(39.5)

Ferrovial

SA

.............

(8,972)

(240,253)

(398.6)

Siemens

Gamesa

Renewable

Energy

SA

............

(2,817)

(51,831)

(86.0)

(340,364)

Sweden

Electrolux

AB,

Class

B

......

(8,074)

(116,458)

(193.2)

Embracer

Group

AB

.......

(1,408)

(10,730)

(17.8)

Essity

AB,

Class

B

........

(3,508)

(89,296)

(148.1)

Hexagon

AB,

Class

B

......

(8,126)

(95,680)

(158.7)

Holmen

AB,

Class

B

.......

(2,041)

(83,869)

(139.1)

Investment

AB

Latour,

Class

B

(613)

(15,252)

(25.3)

Nibe

Industrier

AB,

Class

B

...

(243)

(2,448)

(4.1)

Svenska

Handelsbanken

AB,

Class

A

..............

(3,190)

(28,684)

(47.6)

(442,417)

Switzerland

ABB

Ltd.

(Registered)

......

(5,163)

(156,953)

(260.4)

Alcon,

Inc.

..............

(589)

(46,357)

(76.9)

Bachem

Holding

AG

(Registered),

Class

B

....

(200)

(13,487)

(22.4)

Barry

Callebaut

AG

(Registered)

(12)

(26,588)

(44.1)

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(22)

(243,291)

(403.6)

Clariant

AG

(Registered)

....

(9,641)

(180,629)

(299.7)

Credit

Suisse

Group

AG

(Registered)

...........

(3,685)

(21,434)

(35.6)

EMS-Chemie

Holding

AG

(Registered)

...........

(111)

(88,144)

(146.2)

Schindler

Holding

AG

......

(454)

(88,738)

(147.2)

Swatch

Group

AG

(The)

.....

(243)

(64,691)

(107.3)

(930,312)

United

Kingdom

Admiral

Group

plc

.........

(1,664)

(38,890)

(64.5)

AstraZeneca

plc

..........

(647)

(85,107)

(141.2)

Hargreaves

Lansdown

plc

...

(23,745)

(245,827)

(407.8)

HSBC

Holdings

plc

........

(18,155)

(113,722)

(188.7)

Johnson

Matthey

plc

.......

(887)

(23,190)

(38.5)

Just

Eat

Takeaway.com

NV

...

(1,523)

(27,915)

(46.3)

Linde

plc

...............

(370)

(111,740)

(185.4)

Melrose

Industries

plc

......

(12,430)

(24,468)

(40.6)

National

Grid

plc

..........

(1,902)

(26,190)

(43.4)

Ocado

Group

plc

.........

(557)

(5,726)

(9.5)

Rentokil

Initial

plc

.........

(6,013)

(39,704)

(65.9)

Rolls-Royce

Holdings

plc

....

(40,280)

(44,024)

(73.0)

Severn

Trent

plc

..........

(3,520)

(126,550)

(209.9)

Smith

&

Nephew

plc

.......

(3,026)

(38,797)

(64.4)

St

James's

Place

plc

.......

(1,886)

(28,330)

(47.0)

United

Utilities

Group

plc

....

(7,328)

(97,364)

(161.5)

Vodafone

Group

plc

........

(131,514)

(193,807)

(321.5)

(1,271,351)

United

States

Albemarle

Corp.

..........

(144)

(35,181)

(58.4)

Align

Technology,

Inc.

......

(95)

(26,692)

(44.3)

Amphenol

Corp.,

Class

A

....

(37)

(2,854)

(4.7)

Apollo

Global

Management,

Inc.

(3,234)

(184,661)

(306.3)

Aramark

...............

(770)

(25,718)

(42.7)

Arthur

J

Gallagher

&

Co.

....

(98)

(17,541)

(29.1)

Avantor,

Inc.

.............

(1,237)

(35,898)

(59.6)

Bausch

Health

Cos.,

Inc.

....

(6,673)

(30,745)

(51.0)

Bentley

Systems,

Inc.,

Class

B

(2,735)

(108,306)

(179.7)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

53

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Shares

Value

%

of

Basket

Value

United

States

(continued)

BioMarin

Pharmaceutical,

Inc.

.

(2,059)

$

(177,177)

(293.9)

%

Bio-Techne

Corp.

.........

(101)

(38,913)

(64.6)

Boeing

Co.

(The)

.........

(217)

(34,570)

(57.3)

Boston

Scientific

Corp.

......

(3,628)

(148,929)

(247.1)

Bristol-Myers

Squibb

Co.

....

(392)

(28,922)

(48.0)

Brookfield

Renewable

Corp.

..

(4,633)

(181,261)

(300.7)

Brown

&

Brown,

Inc.

.......

(292)

(19,009)

(31.5)

BRP,

Inc.

...............

(513)

(39,019)

(64.7)

Burlington

Stores,

Inc.

......

(305)

(43,045)

(71.4)

Cable

One,

Inc.

..........

(90)

(123,901)

(205.5)

Caesars

Entertainment,

Inc.

..

(290)

(13,250)

(22.0)

Campbell

Soup

Co.

........

(3,510)

(173,219)

(287.4)

CarMax,

Inc.

............

(2,006)

(199,677)

(331.2)

Carnival

Corp.

...........

(2,105)

(19,071)

(31.6)

Catalent,

Inc.

............

(773)

(87,426)

(145.0)

Caterpillar,

Inc.

...........

(121)

(23,988)

(39.8)

Ceridian

HCM

Holding,

Inc.

..

(3,595)

(196,898)

(326.6)

Charles

River

Laboratories

International,

Inc.

.......

(222)

(55,620)

(92.3)

Charles

Schwab

Corp.

(The)

..

(320)

(22,096)

(36.7)

Charter

Communications,

Inc.,

Class

A

..............

(310)

(133,951)

(222.2)

Cheniere

Energy,

Inc.

......

(401)

(59,982)

(99.5)

Chewy,

Inc.,

Class

A

.......

(860)

(33,377)

(55.4)

Church

&

Dwight

Co.,

Inc.

...

(1,084)

(95,360)

(158.2)

Cincinnati

Financial

Corp.

....

(202)

(19,663)

(32.6)

Cleveland-Cliffs,

Inc.

.......

(1,380)

(24,440)

(40.5)

Clorox

Co.

(The)

..........

(196)

(27,801)

(46.1)

Constellation

Energy

Corp.

...

(825)

(54,533)

(90.5)

Cooper

Cos.,

Inc.

(The)

.....

(110)

(35,970)

(59.7)

Coterra

Energy,

Inc.

.......

(1,626)

(49,739)

(82.5)

Coupa

Software,

Inc.

.......

(680)

(44,486)

(73.8)

DaVita,

Inc.

.............

(1,071)

(90,135)

(149.5)

DENTSPLY

SIRONA,

Inc.

...

(1,227)

(44,368)

(73.6)

Dollar

Tree,

Inc.

..........

(390)

(64,490)

(107.0)

DoorDash,

Inc.,

Class

A

.....

(724)

(50,499)

(83.8)

Erie

Indemnity

Co.,

Class

A

..

(392)

(79,717)

(132.2)

Essential

Utilities,

Inc.

......

(4,974)

(258,350)

(428.6)

Etsy,

Inc.

...............

(420)

(43,562)

(72.3)

Fiserv,

Inc.

..............

(1,631)

(172,364)

(285.9)

FleetCor

Technologies,

Inc.

...

(298)

(65,587)

(108.8)

Gartner,

Inc.

.............

(305)

(80,971)

(134.3)

Globe

Life,

Inc.

...........

(829)

(83,505)

(138.5)

Guidewire

Software,

Inc.

....

(631)

(49,041)

(81.4)

Hess

Corp.

.............

(192)

(21,594)

(35.8)

Hormel

Foods

Corp.

.......

(457)

(22,548)

(37.4)

Howmet

Aerospace,

Inc.

....

(4,629)

(171,875)

(285.1)

IAC/InterActiveCorp

........

(1,054)

(72,199)

(119.8)

Ingersoll

Rand,

Inc.

........

(3,528)

(175,694)

(291.5)

Intercontinental

Exchange,

Inc.

(796)

(81,184)

(134.7)

International

Business

Machines

Corp.

...............

(327)

(42,768)

(70.9)

IQVIA

Holdings,

Inc.

.......

(196)

(47,093)

(78.1)

Keurig

Dr

Pepper,

Inc.

......

(5,960)

(230,890)

(383.0)

Liberty

Broadband

Corp.,

Class

C

..................

(3)

(327)

(0.5)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(6,043)

(409,534)

(679.4)

MarketAxess

Holdings,

Inc.

..

(138)

(37,368)

(62.0)

Marsh

&

McLennan

Cos.,

Inc.

.

(167)

(27,381)

(45.4)

Microchip

Technology,

Inc.

...

(206)

(14,185)

(23.5)

Motorola

Solutions,

Inc.

.....

(426)

(101,639)

(168.6)

NortonLifeLock,

Inc.

.......

(873)

(21,415)

(35.5)

Okta,

Inc.

...............

(1,120)

(110,264)

(182.9)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Palantir

Technologies,

Inc.,

Class

A

..................

(4,219)

$

(43,667)

(72.4)

%

Peloton

Interactive,

Inc.,

Class

A

(3,771)

(35,787)

(59.4)

PerkinElmer,

Inc.

.........

(663)

(101,552)

(168.5)

PNC

Financial

Services

Group,

Inc.

(The)

............

(142)

(23,563)

(39.1)

PPG

Industries,

Inc.

.......

(452)

(58,439)

(96.9)

Prudential

Financial,

Inc.

....

(270)

(26,997)

(44.8)

Raymond

James

Financial,

Inc.

(560)

(55,143)

(91.5)

ResMed,

Inc.

............

(220)

(52,914)

(87.8)

Rockwell

Automation,

Inc.

....

(239)

(61,012)

(101.2)

Rollins,

Inc.

.............

(3,192)

(123,115)

(204.2)

Roper

Technologies,

Inc.

....

(109)

(47,597)

(79.0)

Ross

Stores,

Inc.

.........

(1,598)

(129,854)

(215.4)

RPM

International,

Inc.

.....

(1,723)

(155,759)

(258.4)

S&P

Global,

Inc.

..........

(235)

(88,579)

(146.9)

SEI

Investments

Co.

.......

(1,218)

(67,428)

(111.9)

Sherwin-Williams

Co.

(The)

..

(352)

(85,163)

(141.3)

Sinch

AB

...............

(5,389)

(13,663)

(22.7)

Snap,

Inc.,

Class

A

........

(799)

(7,894)

(13.1)

SS&C

Technologies

Holdings,

Inc.

.................

(651)

(38,520)

(63.9)

Stanley

Black

&

Decker,

Inc.

..

(1,444)

(140,545)

(233.1)

Stryker

Corp.

............

(825)

(177,169)

(293.9)

Swiss

Re

AG

............

(534)

(40,070)

(66.5)

T

Rowe

Price

Group,

Inc.

....

(795)

(98,159)

(162.8)

Teladoc

Health,

Inc.

........

(818)

(30,143)

(50.0)

Teleflex,

Inc.

.............

(400)

(96,184)

(159.6)

Teradyne,

Inc.

...........

(283)

(28,552)

(47.4)

TJX

Cos.,

Inc.

(The)

.......

(69)

(4,220)

(7.0)

Tradeweb

Markets,

Inc.,

Class

A

(263)

(18,547)

(30.8)

TransUnion

.............

(259)

(20,521)

(34.0)

Tyler

Technologies,

Inc.

.....

(113)

(45,087)

(74.8)

Union

Pacific

Corp.

........

(268)

(60,916)

(101.1)

Universal

Health

Services,

Inc.,

Class

B

..............

(182)

(20,470)

(34.0)

US

Bancorp

.............

(603)

(28,462)

(47.2)

VF

Corp.

...............

(609)

(27,210)

(45.1)

Walmart,

Inc.

............

(397)

(52,424)

(87.0)

WEC

Energy

Group,

Inc.

....

(320)

(33,219)

(55.1)

Wells

Fargo

&

Co.

.........

(1,599)

(70,148)

(116.4)

Western

Digital

Corp.

.......

(489)

(24,010)

(39.8)

Wynn

Resorts

Ltd.

........

(1,821)

(115,597)

(191.8)

Zillow

Group,

Inc.,

Class

C

...

(1,641)

(57,238)

(95.0)

(7,748,973)

Zambia

First

Quantum

Minerals

Ltd.

..

(1,370)

(25,035)

(41.5)

Total

Reference

Entity

—

Short

............

(18,647,604)

Net

Value

of

Reference

Entity

—

Merrill

Lynch

International

&

Co.

.....................

$

60,281

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

54

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

Derivative

Financial

Instruments

Categorized

by

Risk

Exposure

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

1

day

SOFR

.........................................

Secured

Overnight

Financing

Rate

1.81

%

6

month

EURIBOR

.....................................

Euro

Interbank

Offered

Rate

0.73

Balances

Reported

in

the

Consolidated

Statement

of

Assets

and

Liabilities

for

Centrally

Cleared

Swaps

and

OTC

Swaps

Description

Swap

Premiums

Paid

Swap

Premiums

Received

Unrealized

Appreciation

Unrealized

Depreciation

Centrally

Cleared

Swaps

(a)

.........................................................

$

1,089,025

$

—

$

—

$

(906,520)

OTC

Swaps

...................................................................

—

—

3,793,189

(499,177)

(a)

Includes

cumulative

appreciation

(depreciation)

on

centrally

cleared

swaps,

as

reported

in

the

Consolidated

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Consolidated

Statement

of

Assets

and

Liabilities

and

is

net

of

any

previously

paid

(received)

swap

premium

amounts.

As

of

period

end,

the

fair

values

of

derivative

financial

instruments

located

in

the

Consolidated

Statement

of

Assets

and

Liabilities

were

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Assets

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

appreciation

on

futures

contracts

(a)

.....

$

584,591

$

—

$

3,910,300

$

—

$

6,927,175

$

—

$

11,422,066

Forward

foreign

currency

exchange

contracts

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

6,851,679

—

—

6,851,679

Options

purchased

(b)

Investments

at

value

—

unaffiliated

(c)

...........

—

—

—

—

41,228

—

41,228

Swaps

—

OTC

Unrealized

appreciation

on

OTC

swaps;

Swap

premiums

paid

................................

—

—

3,793,189

—

—

—

3,793,189

$

584,591

$

—

$

7,703,489

$

6,851,679

$

6,968,403

$

—

$

22,108,162

Liabilities

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

depreciation

on

futures

contracts

(a)

.....

30,953

—

1,814,070

—

6,977,502

—

8,822,525

Forward

foreign

currency

exchange

contracts

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

5,913,330

—

—

5,913,330

Swaps

—

centrally

cleared

Unrealized

depreciation

on

centrally

cleared

swaps

(a)

.

—

906,520

—

—

—

—

906,520

Swaps

—

OTC

Unrealized

depreciation

on

OTC

swaps;

Swap

premiums

received

.............................

—

—

499,177

—

—

—

499,177

$

30,953

$

906,520

$

2,313,247

$

5,913,330

$

6,977,502

$

—

$

16,141,552

(a)

Net

cumulative

unrealized

appreciation

(depreciation)

on

futures

contracts

and

centrally

cleared

swaps,

if

any,

are

reported

in

the

Consolidated

Schedule

of

Investments.

In

the

Consolidated

Statement

of

Assets

and

Liabilities,

only

current

day's

variation

margin

is

reported

in

receivables

or

payables

and

the

net

cumulative

unrealized

appreciation

(depreciation)

is

included

in

accumulated

earnings

(loss).

(b)

Includes

forward

settling

swaptions.

(c)

Includes

options

purchased

at

value

as

reported

in

the

Consolidated

Schedule

of

Investments.

For

the

period

ended

July

31,

2022,

the

effect

of

derivative

financial

instruments

in

the

Consolidated

Statement

of

Operations

was

as

follows:

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

55

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

For

more

information

about

the

Fund’s

investment

risks

regarding

derivative

financial

instruments,

refer

to

the

Notes

to

Financial

Statements.

Derivative

Financial

Instruments

—

Offsetting

as

of

Period

End

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Net

Realized

Gain

(Loss)

from

Futures

contracts

.......................

$

1,379,595

$

—

$

1,367,178

$

—

$

(24,724,561)

$

67

$

(21,977,721)

Forward

foreign

currency

exchange

contracts

....

—

—

—

8,047,668

—

—

8,047,668

Options

purchased

(a)

....................

—

—

—

—

(1,516,382)

—

(1,516,382)

Swaps

..............................

—

305,781

16,118,761

—

(1,564,591)

—

14,859,951

$

1,379,595

$

305,781

$

17,485,939

$

8,047,668

$

(27,805,534)

$

67

$

(586,484)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Futures

contracts

.......................

$

13,291

$

—

$

3,545,157

$

—

$

(5,111,055)

$

—

$

(1,552,607)

Forward

foreign

currency

exchange

contracts

....

—

—

—

(1,647,144)

—

—

(1,647,144)

Options

purchased

(b)

....................

—

—

—

—

415,082

—

415,082

Swaps

..............................

—

(1,288,105)

2,750,391

—

—

—

1,462,286

$

13,291

$

(1,288,105)

$

6,295,548

$

(1,647,144)

$

(4,695,973)

$

—

$

(1,322,383)

(a)

Options

purchased

are

included

in

net

realized

gain

(loss)

from

investments

—

unaffiliated.

(b)

Options

purchased

are

included

in

net

change

in

unrealized

appreciation

(depreciation)

on

investments

—

unaffiliated.

Average

Quarterly

Balances

of

Outstanding

Derivative

Financial

Instruments

Futures

contracts

Average

notional

value

of

contracts

—

long

..................................................................................

$

354,425,136

Average

notional

value

of

contracts

—

short

.................................................................................

$

210,949,473

Forward

foreign

currency

exchange

contracts

Average

amounts

purchased

—

in

USD

....................................................................................

$

375,353,660

Average

amounts

sold

—

in

USD

........................................................................................

$

339,281,071

Options

Average

notional

value

of

swaption

contracts

purchased

.........................................................................

$

31,895,127

Credit

default

swaps

Average

notional

value

—

sell

protection

...................................................................................

$

23,740,16

4

Total

return

swaps

Average

notional

value

...............................................................................................

$

67,788,510

The

Fund's

derivative

assets

and

liabilities

(by

type)

were

as

follows:

Assets

Liabilities

Derivative

Financial

Instruments

$

(2,571,707)

Futures

contracts

....................................................................................

$

3,008,279

$

1,011,633

Forward

foreign

currency

exchange

contracts

.................................................................

6,851,679

5,913,330

Options

(a)(b)

........................................................................................

41,228

—

Swaps

—

centrally

cleared

..............................................................................

100,548

—

Swaps

—

OTC

(c)

....................................................................................

3,793,189

499,177

Total

derivative

assets

a

nd

liabilities

in

the

Statement

of

Assets

and

Liabilities

.............................................

$

13,794,923

$

7,424,140

Derivatives

not

subject

to

a

Master

Netting

Agreement

or

similar

agreement

("MNA")

........................................

(3,108,827)

(1,011,633)

Total

derivative

assets

and

liabilities

subject

to

an

MNA

............................................................

$

10,686,096

$

6,412,507

(a)

Includes

options

purchased

at

value

which

is

included

in

Investments

at

value

–

unaffiliated

in

the

Consolidated

Statement

of

Assets

and

Liabilities

and

reported

in

the

Schedule

of

Investments.

(b)

Includes

forward

settling

swaptions.

(c)

Includes

unrealized

appreciation

(depreciation)

on

OTC

swaps

and

swap

premiums

(paid/received)

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

2022

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

56

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

(f)

Net

amount

may

also

include

forward

foreign

currency

exchange

contracts

that

are

not

required

to

be

collateralized.

The

following

tables

present

the

Fund's

derivative

assets

and

liabilities

by

counterparty

net

of

amounts

available

for

offset

under

an

MNA

and

net

of

the

related

collateral

received

and

pledged

by

the

Fund:

Counterparty

Derivative

Assets

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Received

(b)

Cash

Collateral

Received

(b)

Net

Amount

of

Derivative

Assets

(c)

Bank

of

America

NA

..............................

$

16,959

$

—

$

—

$

—

$

16,959

Barclays

Bank

plc

................................

777,863

(186,315)

—

—

591,548

Barclays

Bank

plc

(

d

)

...............................

1,731,612

—

—

(1,700,000)

31,612

BNP

Paribas

SA

.................................

228,052

—

—

—

228,052

BNP

Paribas

SA

(

d

)

................................

192,374

(192,374)

—

—

—

Citibank

NA

....................................

175,359

—

—

—

175,359

Citibank

NA

(

d

)

...................................

8,831

(8,831)

—

—

—

Goldman

Sachs

International

........................

387,403

(3,651)

—

—

383,752

HSBC

Bank

plc

(

d

)

................................

18,600

(18,600)

—

—

—

Merrill

Lynch

International

&

Co.

......................

2,460,544

(248,725)

—

(2,090,000)

121,819

Morgan

Stanley

&

Co.

International

plc

(

d

)

.................

3,920,544

(3,278,812)

—

(470,000)

171

,732

Societe

Generale

SA

(

d

)

.............................

9,040

(9,040)

—

—

—

Toronto

Dominion

Bank

............................

240,265

(178,672)

—

—

61,593

UBS

AG

......................................

282,760

(192,311)

—

—

90,449

Westpac

Banking

Corp.

............................

235,890

(174,239)

—

—

61,651

$

10,686,096

$

(4,491,570)

$

—

$

(

4

,

260

,000)

$

1

,

934

,526

Counterparty

Derivative

Liabilities

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Pledged

(e)

Cash

Collateral

Pledged

(e)

Net

Amount

of

Derivative

Liabilities

(f)(g)

Barclays

Bank

plc

................................

$

186,315

$

(186,315)

$

—

$

—

$

—

BNP

Paribas

SA

(

d

)

................................

282,888

(192,374)

—

—

90,514

Citibank

NA

(

d

)

...................................

37,052

(8,831)

—

—

28,221

Deutsche

Bank

AG

(

d

)

..............................

702,436

—

—

(702,436)

—

Goldman

Sachs

International

........................

3,651

(3,651)

—

—

—

HSBC

Bank

plc

..................................

229,923

—

—

—

229,923

HSBC

Bank

plc

(

d

)

................................

197,571

(18,600)

—

—

178,971

JPMorgan

Chase

Bank

NA

..........................

20,529

—

—

—

20,529

JPMorgan

Chase

Bank

NA

(

d

)

.........................

2,537

—

—

—

2,537

Merrill

Lynch

International

&

Co.

......................

248,725

(248,725)

—

—

—

Morgan

Stanley

&

Co.

International

plc

(

d

)

.................

3,278,812

(3,278,812)

—

—

—

Societe

Generale

SA

(

d

)

.............................

120,531

(9,040)

—

—

111,491

Standard

Chartered

Bank

(

d

)

..........................

556,315

—

—

(

556

,

315

)

—

Toronto

Dominion

Bank

............................

178,672

(178,672)

—

—

—

UBS

AG

......................................

192,311

(192,311)

—

—

—

Westpac

Banking

Corp.

............................

174,239

(174,239)

—

—

—

$

6,412,507

$

(4,491,570)

$

—

$

(

1,258

,

751

)

$

662

,

186

(a)

The

amount

of

derivatives

available

for

offset

is

limited

to

the

amount

of

derivative

assets

and/or

liabilities

that

are

subject

to

an

MNA.

(b)

Excess

of

collateral

received

from

the

individual

counterparty

is

not

shown

for

financial

reporting

purposes.

(c)

Net

amount

represents

the

net

amount

receivable

from

the

counterparty

in

the

event

of

default.

(d)

Represents

derivatives

owned

by

the

BlackRock

Cayman

Strategic

Risk

Allocation

Fund,

Ltd.,

a

wholly-owned

subsidiary

of

the

Fund.

See

Note

1

of

the

Consolidated

Notes

to

Financial

Statements.

(e)

Excess

of

collateral

pledged

to

the

individual

counterparty

is

not

shown

for

financial

reporting

purposes.

(g)

Net

amount

represents

the

net

amount

payable

from

the

counterparty

in

the

event

of

default.

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

57

Consolidated

Schedule

of

Investments

(continued)

July

31,

2022

See

notes

to

consolidated

financial

statements.

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

For

a

description

of

the

input

levels

and

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

the

Notes

to

Consolidated

Financial

Statements.

The

following

table

summarizes

the

Fund’s

financial

instruments

categorized

in

the

fair

value

hierarchy.

The

breakdown

of

the

Fund’s

financial

instruments

into

major

categories

is

disclosed

in

the

Consolidated

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets

Investments

Long-Term

Investments

......................................

$

—

$

82,339,282

$

—

$

82,339,282

Short-Term

Securities

Money

Market

Funds

......................................

22,713,038

—

—

22,713,038

U.S.

Treasury

Obligations

...................................

—

53,806,372

—

53,806,372

Options

Purchased

Interest

rate

contracts

......................................

—

41,228

—

41,228

$

22,713,038

$

136,186,882

$

—

$

158,899,920

Derivative

Financial

Instruments

(a)

Assets

Commodity

contracts

.......................................

$

584,591

$

—

$

—

$

584,591

Equity

contracts

...........................................

—

7,703,489

—

7,703,489

Foreign

currency

exchange

contracts

............................

—

6,851,679

—

6,851,679

Interest

rate

contracts

.......................................

6,927,175

—

—

6,927,175

Liabilities

Commodity

contracts

.......................................

(30,953)

—

—

(30,953)

Credit

contracts

...........................................

—

(906,520)

—

(906,520)

Equity

contracts

...........................................

(744,792)

(1,568,455)

—

(2,313,247)

Foreign

currency

exchange

contracts

............................

—

(5,913,330)

—

(5,913,330)

Interest

rate

contracts

.......................................

(6,977,502)

—

—

(6,977,502)

$

(241,481)

$

6,166,863

$

—

$

5,925,382

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts.

Swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument.

Consolidated

Statement

of

Assets

and

Liabilities

July

31,

2022

2022

BlackRock

Annual

Report

to

Shareholders

58

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

ASSETS

Investments,

at

value

—

unaffiliated

(a)

........................................................................................

$

136,186,882‌

Investments,

at

value

—

affiliated

(b)

.........................................................................................

22,713,038‌

Cash

.............................................................................................................

8,904,406‌

Cash

pledged:

–‌

Collateral

—

OTC

derivatives

............................................................................................

5,206,000‌

Futures

contracts

....................................................................................................

24,889,000‌

Centrally

cleared

swaps

................................................................................................

1,833,000‌

Foreign

currency,

at

value

(c)

..............................................................................................

19,922,579‌

Receivables:

–‌

Capital

shares

sold

...................................................................................................

155,471‌

Dividends

—

affiliated

.................................................................................................

28,427‌

Interest

—

unaffiliated

.................................................................................................

122,067‌

From

the

Manager

...................................................................................................

12,293‌

Variation

margin

on

futures

contracts

.......................................................................................

3,008,279‌

Variation

margin

on

centrally

cleared

swaps

..................................................................................

100,548‌

Unrealized

appreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

6,851,679‌

OTC

swaps

........................................................................................................

3,793,189‌

Prepaid

expenses

.....................................................................................................

60,677‌

Total

assets

.........................................................................................................

233,787,535‌

LIABILITIES

Cash

received:

–‌

Collateral

—

OTC

derivatives

............................................................................................

3,800,000‌

Payables:

–‌

Swaps  

..........................................................................................................

1,609,509‌

Accounting

services

fees

...............................................................................................

294,599‌

Administration

fees

...................................................................................................

7,766‌

Capital

shares

redeemed

...............................................................................................

101,013‌

Investment

advisory

fees

..............................................................................................

7,007‌

Trustees'

and

Officer's

fees

.............................................................................................

1,085‌

Other

affiliate

fees

...................................................................................................

713‌

Service

and

distribution

fees

.............................................................................................

1,175‌

Variation

margin

on

futures

contracts

.......................................................................................

1,011,633‌

Other

accrued

expenses

...............................................................................................

203,578‌

Unrealized

depreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

5,913,330‌

OTC

swaps

........................................................................................................

499,177‌

Total

liabilities

........................................................................................................

13,450,585‌

NET

ASSETS

........................................................................................................

$

220,336,950‌

NET

ASSETS

CONSIST

OF:

Paid-in

capital

........................................................................................................

$

239,600,740‌

Accumulated

loss

.....................................................................................................

(19,263,790‌)

NET

ASSETS

........................................................................................................

$

220,336,950‌

(a)

  Investments,

at

cost

—

unaffiliated

........................................................................................

$

143,725,475‌

(b)

  Investments,

at

cost

—

affiliated

..........................................................................................

$

22,713,038‌

(c)

  Foreign

currency,

at

cost

...............................................................................................

$

19,817,171‌

Consolidated

Statement

of

Assets

and

Liabilities

(continued)

July

31,

2022

59

Consolidated

Financial

Statements

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

NET

ASSET

VALUE

Institutional

Net

assets

..........................................................................................................

$

178,571,175‌

Shares

outstanding

...................................................................................................

20,511,296‌

Net

asset

value

......................................................................................................

$

8.71‌

Shares

authorized

....................................................................................................

Unlimited

Par

value

..........................................................................................................

$

0.001‌

Investor

A

Net

assets

..........................................................................................................

$

5,143,678‌

Shares

outstanding

...................................................................................................

596,458‌

Net

asset

value

......................................................................................................

$

8.62‌

Shares

authorized

....................................................................................................

Unlimited

Par

value

..........................................................................................................

$

0.001‌

Investor

C

Net

assets

..........................................................................................................

$

153,695‌

Shares

outstanding

...................................................................................................

18,203‌

Net

asset

value

......................................................................................................

$

8.44‌

Shares

authorized

....................................................................................................

Unlimited

Par

value

..........................................................................................................

$

0.001‌

Class

K

Net

assets

..........................................................................................................

$

36,468,402‌

Shares

outstanding

...................................................................................................

4,182,337‌

Net

asset

value

......................................................................................................

$

8.72‌

Shares

authorized

....................................................................................................

Unlimited

Par

value

..........................................................................................................

$

0.001‌

Consolidated

Statement

of

Operations

Year

Ended

July

31,

2022

2022

BlackRock

Annual

Report

to

Shareholders

60

(a)

Includes

net

inflationary

and

deflationary

adjustments.

See

Note

4

of

the

Notes

to

Consolidated

Financial

Statements.

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

INVESTMENT

INCOME

Dividends

—

affiliated

.................................................................................................

$

82,175‌

Interest

—

unaffiliated

(a)

...............................................................................................

3,239,697‌

Total

investment

income

.................................................................................................

3,321,872‌

EXPENSES

Investment

advisory

..................................................................................................

1,142,070‌

Accounting

services

..................................................................................................

364,083‌

Transfer

agent

—

class

specific

..........................................................................................

209,420‌

Professional

.......................................................................................................

191,915‌

Registration

.......................................................................................................

156,307‌

Administration

.....................................................................................................

97,077‌

Administration

—

class

specific

..........................................................................................

45,680‌

Custodian

.........................................................................................................

38,378‌

Service

and

distribution

—

class

specific

....................................................................................

16,527‌

Trustees

and

Officer

..................................................................................................

7,816‌

Miscellaneous

......................................................................................................

38,963‌

Total

expenses

.......................................................................................................

2,308,236‌

Less:

–‌

Administration

fees

waived

—

class

specific

................................................................................

(45,611‌)

Fees

waived

and/or

reimbursed

by

the

Manager

.............................................................................

(892,844‌)

Transfer

agent

fees

waived

and/or

reimbursed

by

the

Manager

—

class

specific

........................................................

(115,420‌)

Total

expenses

after

fees

waived

and/or

reimbursed

..............................................................................

1,254,361‌

Net

investment

income

..................................................................................................

2,067,511‌

REALIZED

AND

UNREALIZED

GAIN

(LOSS)

$

(14,047,621‌)

Net

realized

gain

(loss)

from:

$

–‌

Investments

—

unaffiliated

...........................................................................................

(2,783,345‌)

Forward

foreign

currency

exchange

contracts

...............................................................................

8,047,668‌

Foreign

currency

transactions

.........................................................................................

(1,177,637‌)

Futures

contracts

..................................................................................................

(21,977,721‌)

Swaps

.........................................................................................................

14,859,951‌

A

(3,031,084‌)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investments

—

unaffiliated

...........................................................................................

(9,174,277‌)

Forward

foreign

currency

exchange

contracts

...............................................................................

(1,647,144‌)

Foreign

currency

translations

..........................................................................................

(104,795‌)

Futures

contracts

..................................................................................................

(1,552,607‌)

Swaps

.........................................................................................................

1,462,286‌

A

(11,016,537‌)

Net

realized

and

unrealized

loss

............................................................................................

(14,047,621‌)

NET

DECREASE

IN

NET

ASSETS

RESULTING

FROM

OPERATIONS

.................................................................

$

(11,980,110‌)

Consolidated

Statements

of

Changes

in

Net

Assets

61

Consolidated

Financial

Statements

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

Year

Ended

July

31,

2022

2021

INCREASE

(DECREASE)

IN

NET

ASSETS

OPERATIONS

Net

investment

income

(loss)

..........................................................................

$

2,067,511‌

$

(433,630‌)

Net

realized

gain

(loss)

..............................................................................

(3,031,084‌)

5,591,352‌

Net

change

in

unrealized

appreciation

(depreciation)

..........................................................

(11,016,537‌)

8,173,521‌

Net

increase

(decrease)

in

net

assets

resulting

from

operations

.....................................................

(11,980,110‌)

13,331,243‌

DISTRIBUTIONS

TO

SHAREHOLDERS

(a)

Institutional

....................................................................................

(7,362,432‌)

—‌

Investor

A

.....................................................................................

(245,216‌)

—‌

Investor

C

.....................................................................................

(6,344‌)

—‌

Class

K

.......................................................................................

(1,467,551‌)

—‌

Decrease

in

net

assets

resulting

from

distributions

to

shareholders

...................................................

(9,081,543‌)

—‌

CAPITAL

SHARE

TRANSACTIONS

Net

increase

(decrease)

in

net

assets

derived

from

capital

share

transactions

...........................................

27,256,860‌

(101,374,823‌)

NET

ASSETS

Total

increase

(decrease)

in

net

assets

.....................................................................

6,195,207‌

(88,043,580‌)

Beginning

of

year

....................................................................................

214,141,743‌

302,185,323‌

End

of

year

........................................................................................

$

220,336,950‌

$

214,141,743‌

(a)

Distributions

for

annual

periods

determined

in

accordance

with

U.S

.

federal

income

tax

regulations.

Consolidated

Financial

Highlights

(For

a

share

outstanding

throughout

each

period)

2022

BlackRock

Annual

Report

to

Shareholders

62

BlackRock

Total

Factor

Fund

Institutional

Year

Ended

July

31,

2022

2021

2020

2019

2018

Net

asset

value,

beginning

of

year

.....................

$

9.51

‌

$

8.78

‌

$

10.50

‌

$

10.18

‌

$

10.18

‌

Net

investment

income

(loss)

(a)

.......................

0.08

‌

(0.02

)

0.09

‌

0.16

‌

0.08

‌

Net

realized

and

unrealized

gain

(loss)

..................

(0.51

)

0.75

‌

(1.51

)

0.44

‌

0.39

‌

Net

increase

(decrease)

from

investment

operations

..........

(0.43

)

0.73

‌

(1.42

)

0.60

‌

0.47

‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

........................

(0.37

)

—

‌

(0.01

)

(0.24

)

—

‌

From

net

realized

gain

.............................

—

‌

—

‌

(0.29

)

(0.04

)

(0.47

)

Total

distributions

.................................

(0.37

)

—

‌

(0.30

)

(0.28

)

(0.47

)

Net

asset

value,

end

of

year

.........................

$

8.71

‌

$

9.51

‌

$

8.78

‌

$

10.50

‌

$

10.18

‌

Total

Return

(c)

(4.85)%

—

—

—

—

Based

on

net

asset

value

............................

(4.85

)%

8.31

%

(13.93

)%

6.10

%

4.59

%

Ratios

to

Average

Net

Assets

(d)

Total

expenses

...................................

1.02

%

0.96

%

0.84

%

1.29

%

1.82

%

Total

expenses

after

fees

waived

and/or

reimbursed

..........

0.55

%

0.55

%

0.55

%

0.55

%

0.54

%

Net

investment

income

(loss)

.........................

0.90

%

(0.19

)%

0.97

%

1.55

%

0.76

%

Supplemental

Data

Net

assets,

end

of

year

(000)

..........................

$

178,571

‌

$

176,703

‌

$

265,507

‌

$

206,351

‌

$

122,627

‌

Portfolio

turnover

rate

..............................

101

%

49

%

166

%

74

%

64

%

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(d)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

63

Consolidated

Financial

Highlights

BlackRock

Total

Factor

Fund

Investor

A

Year

Ended

July

31,

2022

2021

2020

2019

2018

Net

asset

value,

beginning

of

year

.....................

$

9.44

‌

$

8.74

‌

$

10.46

‌

$

10.15

‌

$

10.15

‌

Net

investment

income

(loss)

(a)

.......................

0.05

‌

(0.04

)

0.07

‌

0.13

‌

0.02

‌

Net

realized

and

unrealized

gain

(loss)

..................

(0.51

)

0.74

‌

(1.50

)

0.44

‌

0.42

‌

Net

increase

(decrease)

from

investment

operations

..........

(0.46

)

0.70

‌

(1.43

)

0.57

‌

0.44

‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

........................

(0.36

)

—

‌

(0.00

)

(c)

(0.22

)

—

‌

From

net

realized

gain

.............................

—

‌

—

‌

(0.29

)

(0.04

)

(0.44

)

Total

distributions

.................................

(0.36

)

—

‌

(0.29

)

(0.26

)

(0.44

)

Net

asset

value,

end

of

year

.........................

$

8.62

‌

$

9.44

‌

$

8.74

‌

$

10.46

‌

$

10.15

‌

Total

Return

(d)

(5.20)%

—

—

—

—

Based

on

net

asset

value

............................

(5.20

)%

8.01

%

(14.07

)%

5.80

%

4.35

%

Ratios

to

Average

Net

Assets

(e)

Total

expenses

...................................

1.35

%

1.31

%

1.22

%

1.65

%

2.20

%

Total

expenses

after

fees

waived

and/or

reimbursed

..........

0.80

%

0.80

%

0.80

%

0.80

%

0.80

%

Net

investment

income

(loss)

.........................

0.59

%

(0.46

)%

0.73

%

1.28

%

0.18

%

Supplemental

Data

Net

assets,

end

of

year

(000)

..........................

$

5,144

‌

$

5,892

‌

$

6,916

‌

$

7,423

‌

$

4,936

‌

Portfolio

turnover

rate

..............................

101

%

49

%

166

%

74

%

64

%

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Amount

is

greater

than

$(0.005)

per

share.

(d)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(e)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

2022

BlackRock

Annual

Report

to

Shareholders

64

BlackRock

Total

Factor

Fund

Investor

C

Year

Ended

July

31,

2022

2021

2020

2019

2018

Net

asset

value,

beginning

of

year

.....................

$

9.28

‌

$

8.66

‌

$

10.40

‌

$

10.08

‌

$

10.07

‌

Net

investment

income

(loss)

(a)

.......................

(0.01

)

(0.10

)

(0.01

)

0.04

‌

(0.11

)

Net

realized

and

unrealized

gain

(loss)

..................

(0.50

)

0.72

‌

(1.48

)

0.44

‌

0.48

‌

Net

increase

(decrease)

from

investment

operations

..........

(0.51

)

0.62

‌

(1.49

)

0.48

‌

0.37

‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

........................

(0.33

)

—

‌

(0.00

)

(c)

(0.12

)

—

‌

From

net

realized

gain

.............................

—

‌

—

‌

(0.25

)

(0.04

)

(0.36

)

Total

distributions

.................................

(0.33

)

—

‌

(0.25

)

(0.16

)

(0.36

)

Net

asset

value,

end

of

year

.........................

$

8.44

‌

$

9.28

‌

$

8.66

‌

$

10.40

‌

$

10.08

‌

Total

Return

(d)

(5.88)%

—

—

—

—

Based

on

net

asset

value

............................

(5.88

)%

7.16

%

(14.68

)%

4.95

%

3.62

%

Ratios

to

Average

Net

Assets

(e)

Total

expenses

...................................

2.22

%

2.08

%

1.92

%

2.47

%

2.98

%

Total

expenses

after

fees

waived

and/or

reimbursed

..........

1.54

%

1.54

%

1.55

%

1.55

%

1.55

%

Net

investment

income

(loss)

.........................

(0.16

)%

(1.19

)%

(0.06

)%

0.41

%

(1.08

)%

Supplemental

Data

Net

assets,

end

of

year

(000)

..........................

$

154

‌

$

221

‌

$

304

‌

$

608

‌

$

755

‌

Portfolio

turnover

rate

..............................

101

%

49

%

166

%

74

%

64

%

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Amount

is

greater

than

$(0.005)

per

share.

(d)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(e)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

65

Consolidated

Financial

Highlights

BlackRock

Total

Factor

Fund

Class

K

Year

Ended

July

31,

2022

2021

2020

2019

2018

Net

asset

value,

beginning

of

year

.....................

$

9.52

‌

$

8.79

‌

$

10.51

‌

$

10.18

‌

$

10.18

‌

Net

investment

income

(loss)

(a)

.......................

0.09

‌

(0.02

)

0.10

‌

0.14

‌

0.28

‌

Net

realized

and

unrealized

gain

(loss)

..................

(0.52

)

0.75

‌

(1.52

)

0.47

‌

0.19

‌

Net

increase

(decrease)

from

investment

operations

..........

(0.43

)

0.73

‌

(1.42

)

0.61

‌

0.47

‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

........................

(0.37

)

—

‌

(0.01

)

(0.24

)

—

‌

From

net

realized

gain

.............................

—

‌

—

‌

(0.29

)

(0.04

)

(0.47

)

Total

distributions

.................................

(0.37

)

—

‌

(0.30

)

(0.28

)

(0.47

)

Net

asset

value,

end

of

year

.........................

$

8.72

‌

$

9.52

‌

$

8.79

‌

$

10.51

‌

$

10.18

‌

Total

Return

(c)

(4.83)%

—

—

—

—

Based

on

net

asset

value

............................

(4.83

)%

8.30

%

(13.89

)%

6.23

%

4.61

%

Ratios

to

Average

Net

Assets

(d)

Total

expenses

...................................

0.92

%

0.87

%

0.77

%

1.29

%

1.81

%

Total

expenses

after

fees

waived

and/or

reimbursed

..........

0.50

%

0.50

%

0.50

%

0.50

%

0.50

%

Net

investment

income

(loss)

.........................

0.98

%

(0.18

)%

1.08

%

1.43

%

2.79

%

Supplemental

Data

Net

assets,

end

of

year

(000)

..........................

$

36,468

‌

$

31,325

‌

$

29,458

‌

$

18,383

‌

$

28,440

‌

Portfolio

turnover

rate

..............................

101

%

49

%

166

%

74

%

64

%

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(d)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

See

notes

to

financial

statements.

Notes

to

Consolidated

Financial

Statements

2022

BlackRock

Annual

Report

to

Shareholders

66

1.

ORGANIZATION 

BlackRock

Funds

SM

 (the

“Trust”)

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”),

as

an

open-end

management

investment

company.

The Trust

is

organized

as

a Massachusetts

business

trust.

BlackRock

Total

Factor

Fund

(the

"Fund")

is

a

series

of

the

Trust.

The

Fund

is

classified

as

diversified.

The

Fund

offers

multiple

classes

of

shares.

All

classes

of

shares

have

identical

voting,

dividend,

liquidation

and

other

rights

and

are

subject

to

the

same

terms

and

conditions,

except

that

certain

classes

bear

expenses

related

to

the

shareholder

servicing

and

distribution

of

such

shares.

Institutional

and

Class

K

Shares

are

sold

only

to

certain

eligible

investors.

Investor

A

and

Investor

C

Shares

bear

certain

expenses

related

to

shareholder

servicing

of

such

shares,

and

Investor

C

Shares

also

bear

certain

expenses

related

to

the

distribution

of

such

shares.

Investor

A

and

Investor

C

Shares

are

generally

available

through

financial

intermediaries.

Each

class

has

exclusive

voting

rights

with

respect

to

matters

relating

to

its

shareholder

servicing

and

distribution

expenditures

(except

that

Investor

C

shareholders

may

vote

on

material

changes

to

the

Investor

A

Shares

distribution

and

service

plan).

(a)

Investor

A

Shares

may

be

subject

to

a

CDSC

for

certain

redemptions

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

(b)

A

CDSC

of

1.00%

is

assessed

on

certain

redemptions

of

Investor

C

Shares

made

within

one

year

after

purchase.

The

Fund,

together

with

certain

other

registered

investment

companies

advised

by

BlackRock

Advisors,

LLC

(the

"Manager") or

its

affiliates,

is

included

in

a

complex

of

open-end

equity,

multi-asset,

index

and

money

market

funds

referred

to

as

the

BlackRock

Multi-Asset

Complex.

Basis

of

Consolidation:

The

accompanying

consolidated

financial

statements

of

the

Fund

include

the

accounts

of

BlackRock

Cayman

Strategic

Risk

Allocation

Fund,

Ltd.

(the

“Cayman

Subsidiary”),

which

is

a

wholly-owned

subsidiary

of

the

Fund

and

primarily

invests

in

commodity-related

instruments

and

other

derivatives.

The

Cayman

Subsidiary

enables

the

Fund

to

hold

these

commodity-related

instruments

and

satisfy

regulated

investment

company

tax

requirements.

The

Fund

may

invest

up

to

25%

of

its

total

assets

in

the

Cayman

Subsidiary.

The

net

assets

of

the

Cayman

Subsidiary

as

of

period

end

were

$11,281,499,

which

is

5.12%

of

the

Fund's

consolidated

net

assets.

Intercompany

accounts

and

transactions,

if

any,

have

been

eliminated.

The

Subsidiary

is

subject

to

the

same

investment

policies

and

restrictions

that

apply

to

the

Fund,

except

that

the

Cayman

Subsidiary

may

invest

without

limitation

in

commodity-related

instruments. 

2.

SIGNIFICANT

ACCOUNTING

POLICIES

The

consolidated

financial

statements

are

prepared

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“U.S.

GAAP”),

which

may

require

management

to

make

estimates

and

assumptions

that

affect

the

reported

amounts

of

assets

and

liabilities

in

the

consolidated

financial

statements,

disclosure

of

contingent

assets

and

liabilities

at

the

date

of

the

consolidated

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates.

The

Fund

is

considered

an

investment

company

under

U.S.

GAAP

and

follows

the

accounting

and

reporting

guidance

applicable

to

investment

companies.

Below

is

a

summary

of

significant

accounting

policies: 

Investment

Transactions

and

Income

Recognition:

For

financial

reporting

purposes,

investment

transactions

are

recorded

on

the

dates

the

transactions

are

executed.

Realized

gains

and

losses

on

investment

transactions

are

determined

using

the

specific

identification

method.

Dividend

income

and

capital

gain

distributions,

if

any,

are

recorded

on

the

ex-dividend

dates.

Non-cash

dividends,

if

any,

are

recorded

on

the

ex-dividend

dates

at

fair

value.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities,

is

recognized

daily

on

an

accrual

basis.

Income,

expenses

and

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

based

on

its

relative

net

assets. 

Foreign

Currency

Translation:

The

Fund’s

books

and

records

are

maintained

in

U.S.

dollars.

Securities

and

other

assets

and

liabilities

denominated

in

foreign

currencies

are

translated

into

U.S.

dollars

using

exchange

rates

determined

as

of

the

close

of

trading

on

the

New

York

Stock

Exchange

(“NYSE”).

Purchases

and

sales

of

investments

are

recorded

at

the

rates

of

exchange

prevailing

on

the

respective

dates

of

such

transactions.

Generally,

when

the

U.S.

dollar

rises

in

value

against

a

foreign

currency,

the

investments

denominated

in

that

currency

will

lose

value;

the

opposite

effect

occurs

if

the

U.S.

dollar

falls

in

relative

value. 

The

Fund

does

not

isolate

the

effect

of

fluctuations

in

foreign

exchange

rates

from

the

effect

of

fluctuations

in

the

market

prices

of

investments

for

financial

reporting

purposes.

Accordingly,

the

effects

of

changes

in

exchange

rates

on

investments

are

not

segregated

in

the

Consolidated

Statement

of

Operations

from

the

effects

of

changes

in

market

prices

of

those

investments,

but

are

included

as

a

component

of

net

realized

and

unrealized

gain

(loss)

from

investments.

The

Fund

reports

realized

currency

gains

(losses)

on

foreign

currency

related

transactions

as

components

of

net

realized

gain

(loss)

for

financial

reporting

purposes,

whereas

such

components

are

generally

treated

as

ordinary

income

for

U.S.

federal

income

tax

purposes.

Collateralization:

If

required

by

an

exchange

or

counterparty

agreement,

the

Fund

may

be

required

to

deliver/deposit

cash

and/or

securities

to/with

an

exchange,

or

broker-

dealer

or

custodian

as

collateral

for

certain

investments.  

Distributions:

Distributions

from

net

investment

income

are

declared

daily

and

paid

monthly. 

Distributions

of

capital

gains

are

recorded

on

the

ex-dividend

dates

and

made

at

least

annually.

The

character

and

timing

of

distributions

are

determined

in

accordance

with

U.S.

federal

income

tax

regulations,

which

may

differ

from

U.S.

GAAP.  

Net

income

and

realized

gains

from

investments

held

by

the

Subsidiary

are

treated

as

ordinary

income

for

tax

purposes. If

a

net

loss

is

realized

by

the

Subsidiary

in

any

taxable

year,

the

loss

will

generally

not

be

available

to

offset

the

Fund’s

ordinary

income

and/or

capital

gains

for

that

year.  

Share

Class

Initial

Sales

Charge

Contingent

Deferred

Sales

Charge

(“CDSC”)

Conversion

Privilege

Institutional

and

Class

K

Shares

...................................

No

No

None

Investor

A

Shares

............................................

Yes

No

(a)

None

Investor

C

Shares

...........................................

No

Yes

(b)

To

Investor

A

Shares

after

approximately

8

years

Notes

to

Consolidated

Financial

Statements

(continued)

67

Notes

to

Consolidated

Financial

Statements

Indemnifications:

In

the

normal

course

of

business,

the

Fund

enters

into

contracts

that

contain

a

variety

of

representations

that

provide

general

indemnification.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

because

it

involves

future

potential

claims

against

the

Fund,

which

cannot

be

predicted

with

any

certainty.

Other:

Expenses

directly

related

to the

Fund

or

its

classes

are

charged

to

the

Fund

or

the

applicable

class.

Expenses

directly

related

to

the

Fund

and

other

shared

expenses

prorated

to

the

Fund

are

allocated

daily

to

each

class

based

on

its

relative

net

assets

or

other

appropriate

methods.

Other

operating

expenses

shared

by

several

funds,

including

other

funds

managed

by

the

Manager,

are

prorated

among

those

funds

on

the

basis

of

relative

net

assets

or

other

appropriate

methods.  

3.

INVESTMENT

VALUATION

AND

FAIR

VALUE

MEASUREMENTS 

Investment

Valuation

Policies:

 The

Fund’s

investments

are

valued

at

fair

value

(also

referred

to

as

“market

value”

within

the

consolidated

financial

statements)

each

day

that

the

Fund

is

open

for

business

and,

for

financial

reporting

purposes,

as

of

the

report

date.

U.S.

GAAP

defines

fair

value

as

the

price

a

fund

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

The

Fund

determines

the

fair

values

of

its

financial

instruments

using

various

independent

dealers

or

pricing

services

under

policies

approved

by

the

Board

of

Trustees

of

the

Trust

(the

“Board”).

If

a

security’s

market

price

is

not

readily

available

or

does

not

otherwise

accurately

represent

the

fair

value

of

the

security,

the

security

will

be

valued

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value.

The

BlackRock

Global

Valuation

Methodologies

Committee

(the

“Global

Valuation

Committee”)

is

the

committee

formed

by

management

to

develop

global

pricing

policies

and

procedures

and

to

oversee

the

pricing

function

for

all

financial

instruments.

Fair

Value

Inputs

and

Methodologies:

The

following

methods

and

inputs

are

used

to

establish

the

fair

value

of

the

Fund’s

assets

and

liabilities: 

Equity

investments

traded

on

a

recognized

securities

exchange

are

valued

at

that

day's official

closing

price,

as

applicable,

on

the

exchange

where

the

stock

is

primarily

traded.

Equity

investments

traded

on

a

recognized

exchange

for

which

there

were

no

sales

on

that

day

may

be

valued

at

the

last

available

bid

(long

positions)

or

ask

(short

positions)

price.  

Fixed-income investments

for

which

market

quotations

are

readily

available

are

generally

valued

using

the

last

available

bid

price

or

current

market

quotations

provided

by

independent

dealers

or

third-party

pricing

services.  Pricing

services

generally

value

fixed-income

securities

assuming

orderly

transactions

of

an

institutional

round

lot

size,

but

a

fund

may

hold

or

transact

in

such

securities

in

smaller,

odd

lot

sizes.

Odd

lots

may

trade

at

lower

prices

than

institutional

round

lots.

The

pricing

services

may

use

matrix

pricing

or

valuation

models

that

utilize

certain

inputs

and

assumptions

to

derive

values,

including

transaction

data

(e.g.,

recent

representative

bids

and

offers),

market

data, credit

quality

information,

perceived

market

movements,

news,

and

other

relevant

information.

Certain

fixed-income

securities,

including

asset-

backed

and

mortgage

related

securities

may

be

valued

based

on

valuation

models

that

consider

the

estimated

cash

flows

of

each

tranche

of

the

entity,

establish

a

benchmark

yield

and

develop

an

estimated

tranche

specific

spread

to

the

benchmark

yield

based

on

the

unique

attributes

of

the

tranche.

The

amortized

cost

method

of

valuation

may

be

used

with

respect

to

debt

obligations

with

sixty

days

or

less

remaining

to

maturity

unless

the

Manager

determines

such

method

does

not

represent

fair

value.

Investments

in

open-end

U.S.

mutual

funds

(including

money

market

funds) are

valued

at

that

day's

published net

asset

value

(“NAV").

Futures

contracts

are valued

based

on

that

day’s

last

reported

settlement

or

trade price

on

the

exchange

where

the

contract

is

traded.

Forward

foreign

currency

exchange

contracts

are

valued

at

the

mean

between

the

bid

and

ask

prices

and

are

determined

as

of

the

close

of

trading

on

the

NYSE

based

on

that

day’s

prevailing

forward

exchange

rate

for

the

underlying

currencies.

Over-the-counter

("OTC")

options

and

options

on

swaps

(“swaptions”)

are

valued

by

an

independent

pricing

service

using

a

mathematical

model,

which

incorporates

a

number

of

market

data

factors,

such

as

the

trades

and

prices

of

the

underlying

instruments.

Swap

agreements

are

valued

utilizing

quotes

received

daily

by

independent pricing

services

or

through

brokers,

which

are

derived

using

daily

swap

curves

and

models

that

incorporate

a

number

of

market

data

factors,

such

as

discounted

cash

flows,

trades

and

values

of

the

underlying

reference

instruments. 

Generally,

trading

in

foreign

instruments

is

substantially

completed

each

day

at

various

times

prior

to

the

close

of

trading

on

the NYSE.

Each

business

day,

the

Fund

uses

current

market

factors

supplied

by

independent

pricing

services

to

value

certain

foreign

instruments

(“Systematic

Fair

Value

Price”).

The

Systematic

Fair

Value

Price

is

designed

to

value

such

foreign

securities

at

fair

value

as

of

the

close

of

trading

on

the

NYSE,

which

follows

the

close

of

the

local

markets.

If

events

(e.g.,

market

volatility,

company

announcement or

a

natural

disaster)

occur

that

are

expected

to

materially

affect

the

value

of

such

investment,

or

in

the

event

that application

of

these

methods

of

valuation

results

in

a

price

for

an

investment

that

is

deemed

not

to

be

representative

of

the

market

value

of

such

investment,

or

if

a

price

is

not

available,

the

investment

will

be

valued

by

the

Global

Valuation

Committee,

or

its

delegate,

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value

(“Fair

Valued

Investments”).

The

fair

valuation

approaches

that

may

be

used

by

the

Global

Valuation

Committee include

market

approach,

income

approach

and

cost

approach.

Valuation

techniques

such

as

discounted

cash

flow,

use

of

market

comparables

and

matrix

pricing

are

types

of

valuation

approaches

and

are

typically

used

in

determining

fair

value.

When

determining

the

price

for

Fair

Valued

Investments,

the

Global

Valuation

Committee,

or

its

delegate,

seeks

to

determine

the

price

that

the

Fund

might

reasonably

expect

to

receive

or

pay

from

the

current

sale

or

purchase

of

that

asset

or

liability

in

an

arm’s-length

transaction.

Fair

value

determinations

shall

be

based

upon

all

available

factors

that

the

Global

Valuation

Committee,

or

its

delegate,

deems

relevant

and

consistent

with

the

principles

of

fair

value

measurement.

The

pricing

of

all

Fair

Valued

Investments

is

subsequently

reported

to

the

Board

or

a

committee

thereof

on

a

quarterly

basis.

Fair

Value

Hierarchy:

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

These

inputs

to

valuation

techniques

are

categorized

into

a

fair

value

hierarchy

consisting

of

three

broad

levels

for

financial reporting purposes

as

follows: 

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

for

identical

assets

or

liabilities

that

the

Fund

has

the

ability

to

access;

Level

2

—

Other

observable

inputs

(including,

but

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

Notes

to

Consolidated

Financial

Statements

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

68

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

Global

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

Global

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

privately

held

companies

that

may

not

have

a

secondary

market

and/or

may

have

a

limited

number

of

investors.

The

categorization

of

a

value

determined

for

financial

instruments

is

based

on

the

pricing

transparency

of

the financial

instruments

and

is

not

necessarily

an

indication

of

the

risks

associated

with

investing

in

those

securities.

4.

SECURITIES

AND

OTHER

INVESTMENTS 

Inflation-Indexed

Bonds:

Inflation-indexed

bonds

(other

than

municipal

inflation-indexed

and

certain

corporate

inflation-indexed

bonds)

are

fixed-income

securities

whose

principal

value

is

periodically

adjusted

according

to

the

rate

of

inflation.

If

the

index

measuring

inflation

rises

or

falls,

the

principal

value

of

inflation-indexed

bonds

(other

than

municipal

inflation-indexed

and

certain

corporate

inflation-indexed

bonds)

will

be

adjusted

upward

or

downward,

and

consequently

the

interest

payable

on

these

securities

(calculated

with

respect

to

a

larger

or

smaller

principal

amount)

will

be

increased

or

reduced,

respectively.

Any

upward

or

downward

adjustment

in

the

principal

amount

of

an

inflation-indexed

bond

is

included

as

interest

income

in

the

Consolidated

Statement

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

With

regard

to

municipal

inflation-indexed

bonds

and

certain

corporate

inflation-indexed

bonds,

the

inflation

adjustment

is

typically

reflected

in

the

semi-annual

coupon

payment.

As

a

result,

the

principal

value

of

municipal

inflation-indexed

bonds

and

such

corporate

inflation-indexed

bonds

does

not

adjust

according

to

the

rate

of

inflation.

5.

Derivative

Financial

Instruments

The

Fund

engages

in

various

portfolio

investment

strategies

using

derivative

contracts

both

to

increase

the

returns

of

the

Fund

and/or

to

manage

its

exposure

to

certain

risks

such

as

credit

risk,

equity

risk,

interest

rate

risk,

foreign

currency

exchange

rate

risk,

commodity

price

risk

or

other

risks

(e.g.,

inflation

risk).

Derivative

financial

instruments

categorized

by

risk

exposure

are

included

in

the

Consolidated

Schedule

of

Investments.

These

contracts

may

be

transacted

on

an

exchange or

OTC.

Futures

Contracts:

Futures

contracts

are

purchased

or

sold

to

gain

exposure

to,

or

manage

exposure

to,

changes

in

interest

rates

(interest

rate

risk)

and

changes

in

the

value

of

equity

securities

(equity

risk)

or

foreign

currencies

(foreign

currency

exchange

rate

risk).

Futures

contracts

are

exchange-traded agreements

between

the

Fund

and

a

counterparty

to

buy

or

sell

a

specific

quantity

of

an

underlying

instrument

at

a

specified

price

and

on

a

specified

date.

Depending

on

the

terms

of

a

contract,

it

is

settled

either

through

physical

delivery

of

the

underlying

instrument

on

the

settlement

date

or

by

payment

of

a

cash

amount

on

the

settlement

date.

Upon

entering

into

a

futures

contract,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

a

contract’s

size

and

risk

profile.

The

initial

margin

deposit

must

then

be

maintained

at

an

established

level

over

the

life

of

the

contract.

Amounts

pledged,

which

are

considered

restricted,

are

included

in

cash

pledged

for

futures

contracts

in

the Consolidated

Statement

of

Assets

and

Liabilities.

Securities

deposited

as

initial

margin

are

designated

in

the

Consolidated

Schedule

of

Investments

and

cash

deposited,

if

any, are

shown

as

cash

pledged

for

futures

contracts

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

an

amount

of

cash

equal

to

the

daily

fluctuation

in

market

value

of

the

contract

(“variation

margin”).

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and,

if

any,

shown

as

variation

margin

receivable

(or

payable)

on

futures

contracts

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

the

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

notional

amount

of

the

contract

at

the

time

it

was

opened

and

the

notional

amount

at

the

time

it

was

closed.

The

use

of

futures

contracts

involves

the

risk

of

an

imperfect

correlation

in

the

movements

in

the

price

of

futures

contracts

and

interest

rates,

foreign

currency

exchange

rates

or

underlying

assets.

Forward

Foreign

Currency

Exchange

Contracts

:

Forward

foreign

currency

exchange

contracts

are

entered

into

to

gain

or

reduce

exposure

to

foreign

currencies

(foreign

currency

exchange

rate

risk).

A

forward

foreign

currency

exchange

contract

is

an

agreement

between

two

parties

to

buy

and

sell

a

currency

at

a

set

exchange

rate

on

a

specified

date.

These

contracts

help

to

manage

the

overall

exposure

to

the

currencies

in

which

some

of

the

investments

held

by

the

Fund

are

denominated

and

in

some

cases,

may

be

used

to

obtain

exposure

to

a

particular

market.

The

contracts

are

traded

OTC

and

not

on

an

organized

exchange.

The

contract

is

marked-to-market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

(depreciation)

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

value

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

cash

without

the

delivery

of

foreign

currency.

The

use

of

forward

foreign

currency

exchange

contracts

involves

the

risk

that

the

value

of

a

forward

foreign

currency

exchange

contract

changes

unfavorably

due

to

movements

in

the

value

of

the

referenced

foreign

currencies,

and

such

value

may

exceed

the

amount(s)

reflected

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Cash

amounts

pledged

for

forward

foreign

currency

exchange

contracts

are

considered

restricted

and

are

included

in

cash

pledged

as

collateral

for

OTC

derivatives

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

A

Fund’s

risk

of

loss

from

counterparty

credit

risk

on

OTC

derivatives

is

generally

limited

to

the

aggregate

unrealized

gain

netted

against

any

collateral

held

by

the

Fund.

Notes

to

Consolidated

Financial

Statements

(continued)

69

Notes

to

Consolidated

Financial

Statements

Options:

The

Fund

may purchase

and

write

call

and

put

options

to

increase

or

decrease

its

exposure

to

the

risks

of

underlying

instruments,

including

equity

risk,

interest

rate

risk

and/or

commodity

price

risk

and/or,

in

the

case

of

options

written,

to

generate

gains

from

options

premiums.

A

call

option

gives

the

purchaser

(holder)

of

the

option

the

right

(but

not

the

obligation)

to

buy,

and

obligates

the

seller

(writer)

to

sell

(when

the

option

is

exercised)

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

A

put

option

gives

the

holder

the

right

to

sell

and

obligates

the

writer

to

buy

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

Premiums

paid

on

options

purchased

and

premiums

received

on

options

written,

as

well

as

the

daily

fluctuation

in

market

value,

are

included

in

investments

at

value

–

unaffiliated

and

options

written

at

value,

respectively,

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

an

instrument

is

purchased

or

sold

through

the

exercise

of

an

option,

the

premium

is

offset

against

the

cost

or

proceeds

of

the

underlying

instrument.

When

an

option

expires,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

to

the

extent

of

the

premiums

received

or

paid.

When

an

option

is

closed

or

sold,

a

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

received

or

paid.

When

the

Fund

writes

a

call

option,

such

option

is

typically

“covered,”

meaning

that

it

holds

the

underlying

instrument

subject

to

being

called

by

the

option

counterparty.

When

the

Fund

writes

a

put

option,

cash

is

segregated in

an

amount

sufficient

to

cover

the

obligation.

These

amounts,

which

are

considered

restricted,

are

included

in

cash

pledged

as

collateral

for

options

written

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Swaptions

–

The

Fund

may purchase

and

write

options

on

swaps

(“swaptions”)

primarily

to

preserve

a

return

or

spread

on

a

particular

investment

or

portion

of

the

Fund’s

holdings,

as

a

duration

management

technique

or

to

protect

against

an

increase

in

the

price

of

securities

it

anticipates

purchasing

at

a

later

date.

The

purchaser

and

writer

of

a

swaption

is

buying

or

granting

the

right

to

enter

into

a

previously

agreed

upon

interest

rate

or

credit

default

swap

agreement

(interest

rate

risk

and/or

credit

risk)

at

any

time

before

the

expiration

of

the

option. 

In

purchasing

and

writing

options,

the

Fund

bears

the

risk

of

an

unfavorable

change

in

the

value

of

the

underlying

instrument

or

the

risk

that

it

may

not

be

able

to

enter

into

a

closing

transaction

due

to

an

illiquid

market.

Exercise

of

a

written

option

could

result

in

the

Fund

purchasing

or

selling

a

security

when

it

otherwise

would

not,

or

at

a

price

different

from

the

current

market

value.

Swaps:

Swap

contracts

are

entered

into

to

manage

exposure

to

issuers,

markets

and

securities.

Such

contracts

are

agreements

between

the

Fund

and

a

counterparty

to

make

periodic

net

payments

on

a

specified

notional

amount

or

a

net

payment

upon

termination.

Swap

agreements

are

privately

negotiated

in

the

OTC

market

and

may

be

entered

into

as

a

bilateral

contract

(“OTC

swaps”)

or

centrally

cleared

(“centrally

cleared

swaps”).

For

OTC

swaps,

any

upfront

premiums

paid

and

any

upfront

fees

received

are

shown

as

swap

premiums

paid

and

swap

premiums

received,

respectively,

in

the

Consolidated

Statement

of

Assets

and

Liabilities

and

amortized

over

the

term

of

the

contract.

The

daily

fluctuation

in

market

value

is

recorded

as

unrealized

appreciation

(depreciation)

on

OTC

Swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Payments

received

or

paid

are

recorded

in

the

Consolidated

Statement

of

Operations

as

realized

gains

or

losses,

respectively.

When

an

OTC

swap

is

terminated,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

proceeds

from

(or

cost

of)

the

closing

transaction

and

the

Fund’s

basis

in

the

contract,

if

any.

Generally,

the

basis

of

the

contract

is

the

premium

received

or

paid.

In

a

centrally

cleared

swap,

immediately

following

execution

of

the

swap

contract,

the

swap

contract

is

novated

to

a

central

counterparty

(the

“CCP”)

and

the

CCP

becomes

the Fund’s

counterparty

on

the

swap.

The

Fund

is

required

to

interface

with

the

CCP

through

the

broker.

Upon

entering

into

a

centrally

cleared

swap,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

the

size

and

risk

profile

of

the

particular

swap. Securities

deposited

as

initial

margin

are

designated

in

the

Consolidated

Schedule

of

Investments

and

cash

deposited

is

shown

as

cash

pledged

for

centrally

cleared

swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities. Amounts

pledged,

which

are

considered

restricted

cash,

are

included

in

cash

pledged

for

centrally

cleared

swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

variation

margin.

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and

shown

as

variation

margin

receivable

(or

payable)

on

centrally

cleared

swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Payments

received

from

(paid

to)

the

counterparty

are

amortized

over

the

term

of

the

contract

and

recorded

as

realized

gains

(losses)

in

the

Consolidated

Statement

of

Operations,

including

those

at

termination.

Credit

default

swaps

—

Credit

default

swaps

are

entered

into

to

manage

exposure

to

the

market

or

certain

sectors

of

the

market,

to

reduce

risk

exposure

to

defaults

of

corporate

and/or

sovereign

issuers

or

to

create

exposure

to

corporate

and/or

sovereign

issuers

to

which

a

fund

is

not

otherwise

exposed

(credit

risk).

The

Fund

may

either

buy

or

sell

(write)

credit

default

swaps

on

single-name

issuers

(corporate

or

sovereign),

a

combination

or

basket

of

single-name

issuers

or

traded

indexes.

Credit

default

swaps

are

agreements

in

which

the

protection

buyer

pays

fixed

periodic

payments

to

the

seller

in

consideration

for

a

promise

from

the

protection

seller

to

make

a

specific

payment

should

a

negative

credit

event

take

place

with

respect

to

the

referenced

entity

(e.g.,

bankruptcy,

failure

to

pay,

obligation

acceleration,

repudiation,

moratorium

or

restructuring).

As

a

buyer,

if

an

underlying

credit

event

occurs,

the

Fund

will

either

(i)

receive

from

the

seller

an

amount

equal

to

the

notional

amount

of

the

swap

and

deliver

the

referenced

security

or

underlying

securities

comprising

the

index,

or

(ii)

receive

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

As

a

seller

(writer),

if

an

underlying

credit

event

occurs,

the

Fund

will

either

pay

the

buyer

an

amount

equal

to

the

notional

amount

of

the

swap

and

take

delivery

of

the

referenced

security

or

underlying

securities

comprising

the

index

or

pay

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

Total

return

swaps

—

Total

return

swaps

are

entered

into

to

obtain

exposure

to

a

security

or

market

without

owning

such

security

or

investing

directly

in

such

market

or

to

exchange

the

risk/return

of

one

security

or market

(e.g.,

fixed-income)

with

another

security

or

market

(e.g.,

equity

or

commodity

prices)

(equity

risk,

commodity

price

risk

and/or

interest

rate

risk).

Total

return

swaps

are

agreements

in

which

there

is

an

exchange

of

cash

flows

whereby

one

party

commits

to

make

payments

based

on

the

total

return

(distributions

plus

capital

gains/losses)

of

an

underlying

instrument,

or

basket

of

underlying

instruments,

in

exchange

for

fixed

or

floating

rate

interest

payments.

If

the

total

return

of

the

instrument(s)

or

index

underlying

the

transaction

exceeds

or

falls

short

of

the

offsetting

fixed

or

floating

interest

rate

obligation,

the

Fund

receives

payment

from

or

makes

a

payment

to

the

counterparty.

Notes

to

Consolidated

Financial

Statements

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

70

Certain

total

return

swaps

are

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

positions.

This

means

that

the

Fund

has

the

ability

to

trade

in

and

out

of

these

long

and

short

positions

within

the

swap

and

will

receive

the

economic

benefits

and

risks

equivalent

to

direct

investment

in

these

positions,

subject

to

certain

adjustments

due

to

events

related

to

the

counterparty.

Benefits

and

risks

include

capital

appreciation

(depreciation),

corporate

actions

and

dividends

received

and

paid,

all

of

which

are

reflected

in

the

swap’s

market

value.

The

market

value

also

includes

interest

charges

and

credits

(“financing

fees”)

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

These

interest

charges

and

credits

are

based

on

a

specified

benchmark

rate

plus

or

minus

a

specified

spread

determined

based

upon

the

country

and/or

currency

of

the

positions

in

the

portfolio.

Positions

within

the

swap

and

financing

fees

are

reset

periodically.

During

a

reset,

any

unrealized

appreciation

(depreciation)

on

positions

and

accrued

financing

fees

become

available

for

cash

settlement

between

the

Fund

and

the

counterparty.

The

amounts

that

are

available

for

cash

settlement

are

recorded

as

realized

gains

or

losses

in

the

Consolidated

Statement

of

Operations.

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Fund

and

the

counterparty,

over

the

life

of

the

agreement.

Certain

swaps

have

no

stated

expiration

and

can

be

terminated

by

either

party

at

any

time.

Swap

transactions

involve,

to

varying

degrees,

elements

of

interest

rate,

credit

and

market

risk

in

excess

of

the

amounts

recognized

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Such

risks

involve

the

possibility

that

there

will

be

no

liquid

market

for

these

agreements,

that

the

counterparty

to

the

agreements

may

default

on

its

obligation

to

perform

or

disagree

as

to

the

meaning

of

the

contractual

terms

in

the

agreements,

and

that

there

may

be

unfavorable

changes

in

interest

rates

and/or

market

values

associated

with

these

transactions.

Master

Netting

Arrangements:

In

order

to

define

its

contractual

rights

and

to

secure

rights

that

will

help

it mitigate its

counterparty

risk, the

Fund

may

enter

into

an

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreement

(“ISDA

Master

Agreement”)

or

similar

agreement

with

its

counterparties.

An

ISDA

Master

Agreement

is

a

bilateral

agreement

between a

Fund

and

a

counterparty

that

governs

certain

OTC

derivatives

and

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

a

default

and/or

termination

event.

Under

an

ISDA

Master

Agreement, a

Fund

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

default

including

the

bankruptcy

or

insolvency

of

the

counterparty.

However,

bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

Requirements:

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Consolidated

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

and

cash

received

as

collateral,

respectively.

Non-cash

collateral

pledged

by

the

Fund,

if

any,

is

noted

in

the

Consolidated

Schedule

of

Investments.

Generally,

the

amount

of

collateral

due

from

or

to

a

counterparty

is

subject

to

a

certain

minimum

transfer

amount

threshold

before

a

transfer

is

required,

which

is

determined

at

the

close

of

business

of

the

Fund.

Any

additional

required

collateral

is

delivered

to/pledged

by

the

Fund

on

the

next

business

day.

Typically,

the

counterparty

is

not

permitted

to

sell,

re-pledge

or

use

cash

and

non-cash

collateral

it

receives.

The

Fund

generally

agrees

not

to

use

non-cash

collateral

that

it

receives

but

may,

absent

default

or

certain

other

circumstances

defined

in

the

underlying

ISDA

Master

Agreement,

be

permitted

to

use

cash

collateral

received.

In

such

cases,

interest

may

be

paid

pursuant

to

the

collateral

arrangement

with

the

counterparty.

To

the

extent

amounts

due

to

the

Fund

from the

counterparties

are

not

fully

collateralized, the

Fund bears

the

risk

of

loss

from

counterparty

non-performance.

Likewise,

to

the

extent

the

Fund

has

delivered

collateral

to

a

counterparty

and

stands

ready

to

perform

under

the

terms

of

its

agreement

with

such

counterparty, the

Fund bears the

risk

of

loss

from

a

counterparty

in

the

amount

of

the

value

of

the

collateral

in

the

event

the

counterparty

fails

to

return

such

collateral.

Based

on

the

terms

of

agreements,

collateral

may

not

be

required

for

all

derivative

contracts.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements,

if

any,

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

6.

INVESTMENT

ADVISORY

AGREEMENT

AND

OTHER

TRANSACTIONS

WITH

AFFILIATES 

Investment

Advisory:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Investment

Advisory

Agreement

with

the

Manager,

the

Fund’s

investment

adviser

and

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

Inc.

(“BlackRock”),

to

provide

investment

advisory

services.

The

Manager

is

responsible

for

the

management

of the

Fund’s

portfolio

and

provides

the

personnel,

facilities,

equipment

and

certain

other

services

necessary

to

the

operations

of the

Fund.

For

such

services,

the

Fund

pays

the

Manager

a

monthly

fee

at

an

annual

rate

equal

to

the

following

percentages

of

the

average

daily

value

of

the

Fund’s

net

assets:

The

Manager

provides

investment

management

and

other

services

to

the

Subsidiary.

The

Manager

does

not

receive

separate

compensation

from

the

Subsidiary

for

providing

investment

management

or

administrative

services.

However,

the

Fund

pays

the

Manager

based

on

the

Fund's

net

assets,

which

includes

the

assets

of

the

Subsidiary.

The

Manager

entered

into

a

sub-advisory

agreement

with

BlackRock

International

Limited

(“BIL”),

an

affiliate

of

the

Manager.

The

Manager

pays

BIL

for

services

it

provides

for

that

portion

of

the

Fund

for

which

BIL

acts

as

sub-adviser,

a

monthly

fee

that

is

equal

to

a

percentage

of

the

investment

advisory

fees

paid

by

the

Fund

to

the

Manager.

Average

Daily

Net

Assets

Investment

Advisory

Fees

First

$1

billion

.........................................................................................................

0.50%

$1

billion

-

$3

billion

.....................................................................................................

0.47

$3

billion

-

$5

billion

.....................................................................................................

0.45

$5

billion

-

$10

billion

....................................................................................................

0.44

Greater

than

$10

billion

...................................................................................................

0.43

Notes

to

Consolidated

Financial

Statements

(continued)

71

Notes

to

Consolidated

Financial

Statements

Service

and

Distribution

Fees:

 The

Trust,

on behalf

of

the

Fund,

entered

into

a

Distribution

Agreement

and

a Distribution and

Service

Plan

with

BlackRock

Investments,

LLC

(“BRIL”),

an

affiliate

of

the

Manager.

Pursuant

to

the

Distribution

and

Service

Plan

and

in

accordance

with

Rule

12b-1

under

the

1940

Act,

the

Fund

pays

BRIL

ongoing

service

and

distribution

fees.

The

fees

are

accrued

daily

and

paid

monthly

at

annual

rates

based

upon

the

average

daily

net

assets

of

the

relevant

share

class

of

the

Fund

as

follows:

BRIL

and

broker-dealers,

pursuant

to

sub-agreements

with

BRIL,

provide

shareholder

servicing and

distribution

services

to

the

Fund.

The

ongoing

service and/or

distribution

fee

compensates

BRIL

and

each

broker-dealer

for

providing

shareholder

servicing

and/or

distribution related

services

to

shareholders.

For

the year

ended

July

31,

2022,

the

following

table

shows

the

class

specific

service

and

distribution

fees

borne

directly

by

each

share

class

of

the

Fund:

Administration:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Administration

Agreement

with

the

Manager,

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

to

provide

administrative

services.

For

these

services,

the

Manager

receives

an

administration

fee

computed

daily

and

payable

monthly,

based

on

a

percentage

of

the

average

daily

net

assets

of

the

Fund.

The

administration

fee,

which

is

shown

as

administration

in

the

Consolidated

Statement

of

Operations,

is

paid

at

the

annual

rates

below.

In

addition,

the

Manager

charges

each

of

the

share

classes

an

administration

fee,

which

is

shown

as

administration —

class

specific

in

the

Consolidated

Statement

of

Operations,

at

an

annual

rate

of

0.02% of

the

average

daily

net

assets

of

each

respective

class.

For

the

year

ended

July

31,

2022,

the

Fund

paid

the

following

to

the

Manager

in

return

for

these

services,

which

are

included

in

administration —

class

specific

in

the

Consolidated

Statement

of

Operations:

Transfer

Agent:

Pursuant

to

written

agreements,

certain

financial

intermediaries,

some

of

which

may

be

affiliates,

provide

the

Fund

with

sub-accounting,

recordkeeping,

sub-transfer

agency

and

other

administrative

services

with

respect

to

servicing

of

underlying

investor

accounts.

For

these

services,

these

entities

receive

an

asset-based

fee

or

an

annual

fee

per

shareholder

account,

which

will

vary

depending

on

share

class

and/or

net

assets.

For

the

year ended July

31,

2022,

the

Fund

did

not

pay

any

amounts

to

affiliates

in

return

for

these

services.

The

Manager

maintains

a

call

center

that

is

responsible

for

providing

certain

shareholder

services

to

the

Fund.

Shareholder

services

include

responding

to

inquiries

and

processing

purchases

and

sales

based

upon

instructions

from

shareholders.

For

the year

ended

July

31,

2022,

the

Fund

reimbursed

the

Manager

the

following

amounts

for

costs

incurred

in

running

the

call

center,

which

are

included

in

transfer

agent

—

class

specific

in

the

Consolidated

Statement

of

Operations:

For

the

year ended

July

31,

2022,

the

following

table

shows

the

class

specific

transfer

agent

fees

borne

directly

by

each

share

class

of

the

Fund:

Other

Fees:

For

the 

year

ended 

July

31,

2022

,

affiliates

earned

underwriting

discounts,

direct

commissions

and

dealer

concessions

on

sales

of

the

Fund’s Investor

A

Shares for

a

total

of

$54

.

Expense

Limitations,

Waivers

and

Reimbursements:

The

Manager

contractually

agreed

to

waive

its

investment

advisory

fees

by

the

amount

of

investment

advisory

fees

the

Fund

pays

to

the

Manager

indirectly

through

its

investment

in

affiliated

money

market

funds

(the

“affiliated

money

market

fund

waiver”)

through

June

30,

2023.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

trustees

who

are

not

"interested

persons"

of

the

Trust,

as

defined

in

the

1940

Act

("Independent

Trustees"),

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

The

amount

of

waivers

and/or

reimbursements

of

fees

and

expenses

made

pursuant

to

the

expense

limitation

described

below

will

be

reduced

by

the

amount

of

the

affiliated

money

market

fund

waiver.

This

amount

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Consolidated

Statement

of

Operations.

For

the

year

ended

July

31,

2022,

the

amount

waived

was

$11,164.

Share

Class

Service

Fees

Distribution

Fees

Investor

A

.................................................................................................

0.25‌%

—‌%

Investor

C

.................................................................................................

0.25‌

0.75‌

Service

and

Distribution

Fees

Investor

A

........................................................................................................

$

14,631‌

Investor

C

........................................................................................................

1,896‌

$

16,527‌

Average

Daily

Net

Assets

Administration

Fees

First

$500

million

0.0425

%

$500

million

-

$1

billion

0.0400

$1

billion

-

$2

billion

0.0375

$2

billion

-

$4

billion

0.0350

$4

billion

-

$13

billion

0.0325

Greater

than

$13

billion

0.0300

Institutional

Investor

A

Investor

C

Class

K

Total

Administration

fees

-

class

specific

.............

$

37,153‌

$

1,170‌

$

38‌

$

7,319‌

$

45,680‌

Institutional

Investor

A

Total

Reimbursed

amount

............................................................

$

133‌

$

61‌

$

194‌

Institutional

Investor

A

Investor

C

Class

K

Total

Transfer

agent

fees

-

class

specific

.............

$

196,470‌

$

11,075‌

$

596‌

$

1,279‌

$

209,420‌

Notes

to

Consolidated

Financial

Statements

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

72

The

Manager

has

contractually

agreed

to

waive

its

investment

advisory

fee

with

respect

to

any

portion

of

the

Fund’s

assets

invested

in

affiliated

equity

and

fixed-income mutual

funds

and

affiliated

exchange-traded

funds

that

have

a

contractual

management

fee

through

June

30,

2023.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

For

the

year

ended

July

31,

2022,

there

were

no

fees

waived

by

the

Manager

pursuant

to

this

arrangement.

The

Manager

contractually

agreed

to

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

expenses,

excluding

interest

expense,

dividend

expense,

tax

expense,

acquired

fund

fees

and

expenses,

and

certain

other

fund

expenses,

which

constitute

extraordinary

expenses

not

incurred

in

the

ordinary

course

of

the

Fund’s

business

(“expense

limitation”).

The

expense

limitations

as

a

percentage

of

average

daily

net

assets

are

as

follows:

The

Manager

has

agreed

not

to

reduce

or

discontinue

the

contractual

expense

limitations

through

June

30,

2023,

unless

approved

by

the

Board,

including

a

majority

of

the Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of the

Fund. For

the

year

ended

July

31,

2022,

the

Manager

waived

and/or

reimbursed

investment

advisory

fees

of

$881,680

which

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Consolidated

Statement

of

Operations.

In

addition,

these

amounts

waived

and/or

reimbursed

by

the

Manager

are

included

in

administration

fees

waived

—

class

specific

and

transfer

agent

fees

waived

and/

or

reimbursed

—

class

specific,

respectively,

in

the

Consolidated

Statement

of

Operations.

For

the

year ended

July

31,

2022,

class

specific

expense

waivers

and/or

reimbursements were

as

follows: 

Interfund

Lending:

In

accordance

with

an

exemptive

order

(the

“Order”)

from

the

U.S.

Securities

and

Exchange

Commission

(“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

facility

for

temporary

purposes

(the

“Interfund

Lending

Program”),

subject

to

compliance

with

the

terms

and

conditions

of

the

Order,

and

to

the

extent

permitted

by

the

Fund’s

investment

policies

and

restrictions.

The

Fund

is

currently

permitted

to

borrow

and

lend under

the

Interfund

Lending

Program. 

A

lending

BlackRock

fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

fund

through

the

Interfund

Lending

Program.

A

borrowing

BlackRock

fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets

(or

any

lower

threshold

provided

for

by

the fund’s

investment

restrictions).

If

a

borrowing

BlackRock

fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

each

of

its

outstanding

interfund

loans

will

be

subject

to

collateralization

of

at

least

102%

of

the

outstanding

principal

value

of

the

loan.

All

interfund

loans

are

for

temporary

or

emergency

purposes

and

the

interest

rate

to

be

charged

will

be

the

average

of

the

highest

current

overnight

repurchase

agreement

rate

available

to

a

lending

fund

and

the

bank

loan

rate,

as

calculated

according

to

a

formula

established

by

the

Board. 

During the

year

ended

July

31,

2022,

the

Fund

did

not

participate

in

the

Interfund

Lending

Program.

Trustees

and

Officers: 

Certain

trustees

and/or

officers

of

the Trust are directors and/or

officers

of BlackRock

or

its

affiliates.

The

Fund

reimburses

the

Manager

for

a

portion

of

the

compensation

paid

to

the 

Fund's

Chief

Compliance

Officer,

which

is

included

in

Trustees and

Officer

in

the

Consolidated

Statement

of

Operations. 

7.

PURCHASES

AND

SALES 

For

the

year ended

July

31,

2022,

purchases

and

sales

of

investments,

excluding

short-term

investments,

were

as

follows:

8.

INCOME

TAX

INFORMATION 

It

is

the

Fund’s

policy

to

comply

with

the

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended,

applicable

to

regulated

investment

companies,

and

to

distribute

substantially

all

of

its

taxable

income

to

its

shareholders.

Therefore,

no

U.S.

federal

income

tax

provision

is

required. 

The

Fund

files

U.S.

federal

and

various

state

and

local

tax

returns.

No

income

tax

returns

are

currently

under

examination.

The

statute

of

limitations

on

the

Fund's

U.S.

federal

tax

returns

generally

remains

open

for

a

period

of

three

years

after

they

are

filed.

The

statutes

of

limitations

on

the

Fund’s

state

and

local

tax

returns

may

remain

open

for

an

additional

year

depending

upon

the

jurisdiction. 

Institutional

Investor

A

Investor

C

Class

K

Expense

Limitations

................................................

0.55‌%

0.80‌%

1.55‌%

0.50‌%

Fund

Name/Share

Class

Administration

Fees

Waived

-

Class

Specific

Transfer

Agent

Fees

Waived

and/or

Reimbursed

-

Class

Specific

BlackRock

Total

Factor

Fund

Institutional

....................................................................................

$

37,15

3‌

$

105,15

4‌

Investor

A

.....................................................................................

1,170‌

8,476‌

Investor

C

.....................................................................................

38‌

531‌

Class

K

......................................................................................

7,2

50‌

1,259‌

$

45,61

1‌

$

115,4

20‌

U.S.

Government

Securities

Other

Securities

Fund

Name

Purchases

Sales

Purchases

Sales

BlackRock

Total

Factor

Fund

..............................................

$

46,305,140‌

$

24,756,360‌

$

68,441,315‌

$

21,189,666‌

Notes

to

Consolidated

Financial

Statements

(continued)

73

Notes

to

Consolidated

Financial

Statements

Management

has

analyzed

tax

laws

and

regulations

and

their

application

to

the Fund

as

of

July

31,

2022,

inclusive

of

the

open

tax

return

years,

and

does

not

believe

that

there

are

any

uncertain

tax

positions

that

require

recognition

of

a

tax

liability

in

the

Fund's

consolidated

financial

statements.

The

tax

character

of

distributions

paid

was

as

follows: 

As

of

July

31,

2022,

the

tax

components

of

accumulated earnings

(loss) were

as

follows:  

As

of

July

31,

2022, gross

unrealized

appreciation

and

depreciation

based

on

cost

of

investments

(including

short

positions

and

derivatives,

if

any)

for

U.S.

federal

income

tax

purposes

were

as

follows: 

9.

BANK

BORROWINGS 

The

Trust, on

behalf

of

the

Fund,

along

with

certain

other

funds

managed

by

the

Manager

and

its

affiliates

(“Participating

Funds”),

is

a

party

to

a

364-day,

$2.50

billion

credit

agreement

with

a

group

of

lenders.

Under

this

agreement,

the

Fund

may

borrow

to

fund

shareholder

redemptions.

Excluding

commitments

designated

for

certain

individual

funds,

the

Participating

Funds,

including

the

Fund,

can

borrow

up

to

an

aggregate

commitment

amount

of

$1.75

billion

at

any

time

outstanding,

subject

to

asset

coverage

and

other

limitations

as

specified

in

the

agreement.

The

credit

agreement

has

the

following

terms:

a

fee

of

0.10%

per

annum

on

unused

commitment

amounts

and

interest

at

a

rate

equal

to

the

higher

of

(a)

Overnight

Bank

Funding

Rate

("OBFR")

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.80%

per

annum,

(b)

the

Fed

Funds

rate

(but,

in

any

event,

not

less

than

0.00%)

in

effect

from

time

to

time

plus

0.80%

per

annum

on

amounts

borrowed

or

(c)

the

sum

of

(x)

Daily

Simple

Secured

Overnight

Financing

Rate

("SOFR")

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.10%

and

(y)

0.80%

per

annum. The

agreement

expires

in

April

2023

unless

extended

or

renewed. These

fees

were

allocated

among

such

funds

based

upon

portions

of

the

aggregate

commitment

available

to

them

and

relative

net

assets

of

Participating

Funds.

During

the

year ended

July

31,

2022,

the

Fund

did

not

borrow

under

the

credit

agreement.

10.

 PRINCIPAL

RISKS 

In

the

normal

course

of

business,

the

Fund

invests

in

securities

or

other

instruments

and

may

enter

into

certain

transactions,

and

such

activities

subject

the

Fund

to

various

risks,

including

among

others,

fluctuations

in

the

market

(market

risk)

or

failure

of

an

issuer

to

meet

all

of

its

obligations.

The

value

of

securities

or

other

instruments

may

also

be

affected

by

various

factors,

including,

without

limitation:

(i)

the

general

economy;

(ii)

the

overall

market

as

well

as

local,

regional

or

global

political

and/or

social

instability;

(iii)

regulation,

taxation

or

international

tax

treaties

between

various

countries;

or

(iv)

currency,

interest

rate

and

price

fluctuations.

Local,

regional

or

global

events

such

as

war,

acts

of

terrorism,

the

spread

of

infectious

illness

or

other

public

health

issues,

recessions,

or

other

events

could

have

a

significant

impact

on

the

Fund

and its

investments.

The

Fund’s

prospectus

provides

details

of

the

risks

to

which

the

Fund

is

subject. 

Market Risk:

The

Fund

may

be

exposed

to

prepayment

risk,

which

is

the

risk

that

borrowers

may

exercise

their

option

to

prepay

principal

earlier

than

scheduled

during

periods

of

declining

interest

rates,

which

would

force

the

Fund

to

reinvest

in

lower

yielding

securities. The

Fund

may

also

be

exposed

to

reinvestment

risk,

which

is

the

risk

that

income

from

the

Fund’s

portfolio

will

decline

if

the Fund

invests

the

proceeds

from

matured,

traded

or

called

fixed-income

securities

at

market

interest

rates

that

are

below

the

Fund

portfolio’s

current

earnings

rate.

An

outbreak

of

respiratory

disease

caused

by

a

novel

coronavirus

has

developed

into

a

global

pandemic

and

has

resulted

in

closing

borders,

quarantines,

disruptions

to

supply

chains

and

customer

activity,

as

well

as

general

concern

and

uncertainty.

The

impact

of

this

pandemic,

and

other

global

health

crises

that

may

arise

in

the

future,

could

affect

the

economies

of

many

nations,

individual

companies

and

the

market

in

general

in

ways

that

cannot

necessarily

be

foreseen

at

the

present

time.

This

pandemic

may

result

in

substantial

market

volatility

and

may

adversely

impact

the

prices

and

liquidity

of

a

fund's

investments.

Although

vaccines

have

been

developed

and

approved

for

use

by

various

governments,

the duration

of

this

pandemic

and

its

effects

cannot

be

determined

with

certainty.

Valuation

Risk:

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments,

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

Fund

Name

Year

Ended

07/31/22

Year

Ended

07/31/21

BlackRock

Total

Factor

Fund

Ordinary

income

...........................................................................................

$

9,081,543‌

$

—‌

Fund

Name

Non-expiring

Capital

Loss

Carryforwards

(a)

Net

Unrealized

Gains

(Losses)

(b)

Qualified

Late-year

Losses

(c)

Total

BlackRock

Total

Factor

Fund

....................................................

$

(1,196,770‌)

$

(4,009,242‌)

$

(14,057,778‌)

$

(19,263,790‌)

(a)

Amounts

available

to

offset

future

realized

capital

gains.

(b)

The

differences

between

book-basis

and

tax-basis

net

unrealized

losses

were

attributable

primarily

to

the

deferral

of

losses

on

wash

sales

and

straddles,

the

realization

for

tax

purposes

of

unrealized

gains

(losses)

on

certain

futures

and

foreign

currency

contracts,

amortization

methods

for

premiums

and

discounts

on

fixed

income

securities,

investment

in

wholly

owned

subsidiaries

and

the

accounting

for

swap

agreements.

(c)

The

Fund

has

elected

to

defer

certain

qualified

late-year

losses

and

recognize

such

losses

in

the

next

taxable

year.

Fund

Name

Tax

Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Appreciation

(Depreciation)

BlackRock

Total

Factor

Fund

.........................................

$

168,219,309‌

$

19,915,324‌

$

(23,588,168‌)

$

(3,672,844‌)

Notes

to

Consolidated

Financial

Statements

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

74

industries. The

Fund

may

invest

in

illiquid

investments.

An

illiquid

investment

is

any

investment

that the

Fund

reasonably

expects

cannot

be

sold

or

disposed

of

in

current

market

conditions

in

seven

calendar

days

or

less

without

the

sale

or

disposition

significantly

changing

the

market

value

of

the

investment. The

Fund

may

experience

difficulty

in

selling

illiquid

investments

in

a

timely

manner

at

the

price

that it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

NAV

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

NAV

of the

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which the

Fund

invests. 

Counterparty

Credit

Risk:

The

Fund

may

be

exposed

to

counterparty

credit

risk,

or

the

risk

that

an

entity

may

fail

to

or

be

unable

to

perform

on

its

commitments

related

to

unsettled

or

open

transactions,

including

making

timely

interest

and/or

principal

payments

or

otherwise

honoring

its

obligations.

The

Fund

manages

counterparty

credit

risk

by

entering

into

transactions

only

with

counterparties

that

the

Manager

believes

have

the

financial

resources

to

honor

their

obligations

and

by

monitoring

the

financial

stability

of

those

counterparties.

Financial

assets,

which

potentially

expose

the

Fund

to

market,

issuer

and

counterparty

credit

risks,

consist

principally

of

financial

instruments

and

receivables

due

from

counterparties.

The

extent

of

the

Fund’s

exposure

to

market,

issuer

and

counterparty

credit

risks

with

respect

to

these

financial

assets

is

approximately

their

value

recorded

in

the

Consolidated

Statement

of

Assets

and

Liabilities,

less

any

collateral

held

by

the

Fund. 

A

derivative

contract

may

suffer

a

mark-to-market

loss

if

the

value

of

the

contract

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

instrument.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

contract.

For

OTC

options

purchased,

the

Fund

bears

the

risk

of

loss

in

the

amount

of

the

premiums

paid

plus

the

positive

change

in

market

values

net

of

any

collateral

held

by

the

Fund

should

the

counterparty

fail

to

perform

under

the

contracts.

Options

written

by

the

Fund

do

not

typically

give

rise

to

counterparty

credit

risk,

as

options

written

generally

obligate

the

Fund,

and

not

the

counterparty,

to

perform.

The

Fund

may

be

exposed

to

counterparty

credit

risk

with

respect

to

options

written

to

the

extent

the

Fund

deposits

collateral

with

its

counterparty

to

a

written

option. 

With

exchange-traded

futures

and

centrally

cleared

swaps,

there

is

less

counterparty

credit

risk

to

the

Fund

since

the

exchange

or

clearinghouse,

as

counterparty

to

such

instruments,

guarantees

against

a

possible

default.

The

clearinghouse

stands

between

the

buyer

and

the

seller

of

the

contract;

therefore,

credit

risk

is

limited

to

failure

of

the

clearinghouse.

While

offset

rights

may

exist

under

applicable

law, the

Fund

does

not

have

a

contractual

right

of

offset

against

a

clearing

broker

or

clearinghouse

in

the

event

of

a

default

(including

the

bankruptcy

or

insolvency).

Additionally,

credit

risk

exists

in exchange-traded

futures

and

centrally

cleared

swaps

with

respect

to

initial

and

variation

margin

that

is

held

in

a

clearing

broker’s

customer

accounts.

While

clearing

brokers

are

required

to

segregate

customer

margin

from

their

own

assets,

in

the

event

that

a

clearing

broker

becomes

insolvent

or

goes

into

bankruptcy

and

at

that

time

there

is

a

shortfall

in

the

aggregate

amount

of

margin

held

by

the

clearing

broker

for

all

its

clients,

typically

the

shortfall

would

be

allocated

on

a

pro

rata

basis

across

all

the

clearing

broker’s

customers,

potentially

resulting

in

losses

to

the

Fund. 

Concentration

Risk:

 A

diversified

portfolio,

where

this

is appropriate

and

consistent

with

a

fund's

objectives,

minimizes

the

risk

that

a

price

change

of

a

particular

investment

will

have

a

material

impact

on

the

NAV

of

a

fund.

The

investment

concentrations

within

the

Fund's

portfolio

are

disclosed

in

its Consolidated

Schedule

of

Investments.

The

Fund

invests

a

significant

portion

of

its

assets

in fixed-income securities and/or uses

derivatives tied

to

the

fixed-income

markets.

Changes

in

market

interest

rates

or

economic

conditions

may affect

the

value

and/or

liquidity

of

such investments.

Interest

rate

risk

is

the

risk

that

prices

of

bonds

and

other

fixed-income

securities

will

decrease

as

interest

rates

rise

and

increase

as

interest

rates

fall.

The

Fund

may

be

subject

to

a

greater

risk

of

rising

interest

rates

due

to

the recent

period

of

historically

low

interest rates. The

Federal

Reserve

has

recently

begun

to

raise

the

federal

funds

rate

as

part

of

its

efforts

to

address

inflation.

There

is

a

risk

that

interest

rates

will

continue

to

rise,

which

will

likely

drive

down

the

prices

of

bonds

and

other

fixed-income

securities,

and

could

negatively

impact

the

Fund’s

performance.

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

of

issuers

located

in

Europe

or

with

significant

exposure

to

European

issuers

or

countries.

The

European

financial

markets

have

recently

experienced

volatility

and

adverse

trends

due

to

concerns

about

economic

downturns

in,

or

rising

government

debt

levels

of,

several

European

countries

as

well

as

acts

of

war

in

the

region.

These

events

may

spread

to

other

countries

in

Europe

and

may

affect

the

value

and

liquidity

of

certain

of

the

Fund’s

investments. 

Responses

to

the

financial

problems

by

European

governments,

central

banks

and

others,

including

austerity

measures

and

reforms,

may

not

work,

may

result

in

social

unrest

and

may

limit

future

growth

and

economic

recovery

or

have

other

unintended

consequences.

Further

defaults

or

restructurings

by

governments

and

others

of

their

debt

could

have

additional

adverse

effects

on

economies,

financial

markets

and

asset

valuations

around

the

world.

The

United

Kingdom

has

withdrawn

from

the

European

Union,

and

one

or

more

other

countries

may

withdraw

from

the

European

Union

and/or

abandon

the

Euro,

the

common

currency

of

the

European

Union.

The

impact

of

these

actions,

especially

if

they

occur

in

a

disorderly

fashion,

is

not

clear

but

could

be

significant

and

far

reaching.

In

addition,

Russia

launched

a

large-scale

invasion

of

Ukraine

on

February

24,

2022.

The

extent

and

duration

of

the

military

action,

resulting

sanctions

and

resulting

future

market

disruptions

in

the

region

are

impossible

to

predict,

but

could

be

significant

and

have

a

severe

adverse

effect

on

the

region,

including

significant

negative

impacts

on

the

economy

and

the

markets

for

certain

securities

and

commodities,

such

as

oil

and

natural

gas,

as

well

as

other

sectors.

Significant

Shareholder

Redemption

Risk:

Certain

shareholders

may

own

or

manage

a

substantial

amount

of

fund

shares

and/or

hold

their

fund

investments

for

a

limited

period

of

time.

Large

redemptions

of

fund

shares

by

these

shareholders

may

force

a

fund

to

sell

portfolio

securities,

which

may

negatively

impact

the

fund’s

NAV,

increase

the

fund’s

brokerage

costs,

and/or

accelerate

the

realization

of

taxable

income/gains

and

cause

the

fund

to

make

additional

taxable

distributions

to

shareholders.

LIBOR

Transition

Risk:

The

United

Kingdom’s

Financial

Conduct

Authority

announced

a phase

out of

the

London

Interbank

Offered

Rate

(“LIBOR”).

Although

many

LIBOR

rates

ceased

to

be

published

or

no

longer are

representative

of

the

underlying

market

they

seek

to

measure

after

December

31,

2021,

a

selection

of

widely

used

USD

LIBOR

rates

will

continue

to

be

published

through

June

2023

in

order

to

assist

with

the

transition.

The

Fund

may

be

exposed

to

financial

instruments

tied

to

LIBOR

to

determine

payment

obligations,

financing

terms,

hedging

strategies

or

investment

value.

The

transition

process

away

from

LIBOR

might

lead

to

increased

volatility

and

illiquidity

in

markets

for,

and

reduce

the

effectiveness

of

new

hedges

placed

against

instruments

whose

terms

currently

include

LIBOR.

The

ultimate

effect

of

the

LIBOR

transition

process

on

the

Fund

is

uncertain. 

Notes

to

Consolidated

Financial

Statements

(continued)

75

Notes

to

Consolidated

Financial

Statements

11.

CAPITAL

SHARE

TRANSACTIONS 

Transactions

in

capital

shares

for

each

class

were

as

follows:

12.

SUBSEQUENT

EVENTS

Management

has

evaluated

the

impact

of

all

subsequent

events

on

the

Fund

through

the

date

the

consolidated

financial

statements

were

issued

and

has

determined

that

there

were

no

subsequent

events

requiring

adjustment

or

additional

disclosure

in

the

consolidated

financial

statements.

Year

Ended

07/31/22

Year

Ended

07/31/21

Fund

Name/Share

Class

Shares

Amount

Shares

Amount

BlackRock

Total

Factor

Fund

Institutional

Shares

sold

.............................................

5,265,156‌

$

49,078,579‌

10,201,915‌

$

89,887,340‌

Shares

issued

in

reinvestment

of

distributions

........................

764,492‌

7,323,832‌

—‌

—‌

Shares

redeemed

.........................................

(4,099,381‌)

(37,425,622‌)

(21,849,107‌)

(189,309,769‌)

1,930,267‌

$

18,976,789‌

(11,647,192‌)

$

(99,422,429‌)

Investor

A

Shares

sold

and

automatic

conversion

of

shares

......................

147,294‌

$

1,375,036‌

161,901‌

$

1,435,546‌

Shares

issued

in

reinvestment

of

distributions

........................

25,609‌

243,546‌

—‌

—‌

Shares

redeemed

.........................................

(200,729‌)

(1,826,725‌)

(329,107‌)

(2,842,811‌)

(27,826‌)

$

(208,143‌)

(167,206‌)

$

(1,407,265‌)

Investor

C

Shares

sold

.............................................

1,080‌

$

10,000‌

70‌

$

600‌

Shares

issued

in

reinvestment

of

distributions

........................

679‌

6,344‌

—‌

—‌

Shares

redeemed

and

automatic

conversion

of

shares

..................

(7,355‌)

(67,843‌)

(11,409‌)

(96,411‌)

(5,596‌)

$

(51,499‌)

(11,339‌)

$

(95,811‌)

Class

K

Shares

sold

.............................................

1,491,397‌

$

14,103,314‌

1,240,109‌

$

10,932,535‌

Shares

issued

in

reinvestment

of

distributions

........................

42,109‌

404,248‌

—‌

—‌

Shares

redeemed

.........................................

(641,135‌)

(5,967,849‌)

(1,300,845‌)

(11,381,853‌)

892,371‌

$

8,539,713‌

(60,736‌)

$

(449,318‌)

2,789,216‌

$

27,256,860‌

(11,886,473‌)

$

(101,374,823‌)

Report

of

Independent

Registered

Public

Accounting

Firm

2022

BlackRock

Annual

Report

to

Shareholders

76

To

the

Board

of

Trustees

of

BlackRock

Funds

SM

and

Shareholders

of

BlackRock

Total

Factor

Fund

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

consolidated

statement

of

assets

and

liabilities,

including

the

consolidated

schedule

of

investments,

of

BlackRock

Total

Factor

Fund

and

its

subsidiary

(one

of

the

funds

constituting

BlackRock

Funds

SM

,

referred

to

hereafter

as

the

"Fund")

as

of

July

31,

2022,

the

related

consolidated

statement

of

operations

for

the

year

ended

July

31,

2022,

the

consolidated

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

July

31,

2022,

including

the

related

notes,

and

the

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

July

31,

2022

(collectively

referred

to

as

the

“consolidated

financial

statements”).

In

our

opinion,

the

consolidated

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

July

31,

2022,

the

results

of

its

operations

for

the

year

then

ended,

the

changes

in

its

net

assets

for

each

of

the

two

years

in

the

period

ended

July

31,

2022

and

the

financial

highlights

for

each

of

the

five

years

in

the

period

ended

July

31,

2022

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

consolidated

financial

statements

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

consolidated

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

consolidated

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

consolidated

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

consolidated

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

consolidated

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

consolidated

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

July

31,

2022

by

correspondence

with

the

custodian,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinion.

/s/PricewaterhouseCoopers

LLP

Philadelphia,

Pennsylvania

September

23,

2022

We

have

served

as

the

auditor

of

one

or

more

BlackRock

investment

companies

since

2000.

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

77

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

The

Board

of

Trustees

(the

“Board,”

the

members

of

which

are

referred

to

as

“Board

Members”)

of

BlackRock

Funds

(the

“Trust”)

met

on

April

20,

2022

(the

“April

Meeting”)

and

May

10-11,

2022

(the

“May

Meeting”)

to

consider

the

approval

to

continue

the

investment

advisory

agreement

(the

“Advisory

Agreement”)

between

the

Trust,

on

behalf

of

BlackRock

Total

Factor

Fund

(the

“Fund”),

and

BlackRock

Advisors,

LLC

(the

“Manager”),

the

Fund’s

investment

advisor.

The

Board

also

considered

the

approval

to

continue

the

sub-advisory

agreement

(the

“Sub-Advisory

Agreement”)

between

the

Manager

and

BlackRock

International

Limited

(the

“Sub-Advisor”)

with

respect

to

the

Fund.

The

Manager

and

the

Sub-Advisor

are

referred

to

herein

as

“BlackRock.”

The

Advisory

Agreement

and

the

Sub-Advisory

Agreement

are

referred

to

herein

as

the

“Agreements.”

The

Approval

Process

Consistent

with

the

requirements

of

the

Investment

Company

Act

of

1940

(the

“1940

Act”),

the

Board

considers

the

approval

of

the

continuation

of

the

Agreements

for

the

Fund

on

an

annual

basis.

The

Board

members

who

are

not

“interested

persons”

of

the

Trust,

as

defined

in

the

1940

Act,

are

considered

independent

Board

members

(the

“Independent

Board

Members”).

The

Board’s

consideration

entailed

a

year-long

deliberative

process

during

which

the

Board

and

its

committees

assessed

BlackRock’s

various

services

to

the

Fund,

including

through

the

review

of

written

materials

and

oral

presentations,

and

the

review

of

additional

information

provided

in

response

to

requests

from

the

Independent

Board

Members.

The

Board

had

four

quarterly

meetings

per

year,

each

typically

extending

for

two

days,

as

well

as

additional

ad

hoc

meetings

and

executive

sessions

throughout

the

year,

as

needed.

The

committees

of

the

Board

similarly

met

throughout

the

year.

The

Board

also

had

an

additional

one-day

meeting

to

consider

specific

information

surrounding

the

renewal

of

the

Agreements.

In

particular,

the

Board

assessed,

among

other

things,

the

nature,

extent

and

quality

of

the

services

provided

to

the

Fund

by

BlackRock,

BlackRock’s

personnel

and

affiliates,

including

(as

applicable):

investment

management

services;

accounting

oversight;

administrative

and

shareholder

services;

oversight

of

the

Fund’s

service

providers;

risk

management

and

oversight;

and

legal,

regulatory

and

compliance

services.

Throughout

the

year,

including

during

the

contract

renewal

process,

the

Independent

Board

Members

were

advised

by

independent

legal

counsel,

and

met

with

independent

legal

counsel

in

various

executive

sessions

outside

of

the

presence

of

BlackRock’s

management.

During

the

year,

the

Board,

acting

directly

and

through

its

committees,

considered

information

that

was

relevant

to

its

annual

consideration

of

the

renewal

of

the

Agreements,

including

the

services

and

support

provided

by

BlackRock

to

the

Fund

and

its

shareholders.

BlackRock

also

furnished

additional

information

to

the

Board

in

response

to

specific

questions

from

the

Board.

Among

the

matters

the

Board

considered

were:

(a)

investment

performance

for

one-year,

three-year,

five-year,

and/or

since

inception

periods,

as

applicable,

against

peer

funds,

relevant

benchmarks,

and

other

performance

metrics,

as

applicable,

as

well

as

BlackRock

senior

management’s

and

portfolio

managers’

analyses

of

the

reasons

for

any

outperformance

or

underperformance

relative

to

its

peers,

benchmarks,

and

other

performance

metrics,

as

applicable;

(b)

fees,

including

advisory,

administration,

if

applicable,

and

other

amounts

paid

to

BlackRock

and

its

affiliates

by

the

Fund

for

services;

(c)

Fund

operating

expenses

and

how

BlackRock

allocates

expenses

to

the

Fund;

(d)

the

resources

devoted

to,

risk

oversight

of,

and

compliance

reports

relating

to,

implementation

of

the

Fund’s

investment

objective,

policies

and

restrictions,

and

meeting

regulatory

requirements;

(e)

BlackRock’s

and

the

Fund’s

adherence

to

applicable

compliance

policies

and

procedures;

(f)

the

nature,

character

and

scope

of

non-investment

management

services

provided

by

BlackRock

and

its

affiliates

and

the

estimated

cost

of

such

services,

as

available;

(g)

BlackRock’s

and

other

service

providers’

internal

controls

and

risk

and

compliance

oversight

mechanisms;

(h)

BlackRock’s

implementation

of

the

proxy

voting

policies

approved

by

the

Board;

(i)

the

use

of

brokerage

commissions

and

execution

quality

of

portfolio

transactions;

(j)

BlackRock’s

implementation

of

the

Fund’s

valuation

and

liquidity

procedures;

(k)

an

analysis

of

management

fees

paid

to

BlackRock

for

products

with

similar

investment

mandates

across

the

open-end

fund,

exchange-traded

fund

(“ETF”),

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable,

and

the

similarities

and

differences

between

these

products

and

the

services

provided

as

compared

to

the

Fund;

(l)

BlackRock’s

compensation

methodology

for

its

investment

professionals

and

the

incentives

and

accountability

it

creates,

along

with

investment

professionals’

investments

in

the

fund(s)

they

manage;

and

(m)

periodic

updates

on

BlackRock’s

business.

Prior

to

and

in

preparation

for

the

April

Meeting,

the

Board

received

and

reviewed

materials

specifically

relating

to

the

renewal

of

the

Agreements.

The

Independent

Board

Members

continuously

engaged

in

a

process

with

their

independent

legal

counsel

and

BlackRock

to

review

the

nature

and

scope

of

the

information

provided

to

the

Board

to

better

assist

its

deliberations.

The

materials

provided

in

connection

with

the

April

Meeting

included,

among

other

things:

(a)

information

independently

compiled

and

prepared

by

Broadridge

Financial

Solutions,

Inc.

(“Broadridge”),

based

on

either

a

Lipper

classification

or

Morningstar

category,

regarding

the

Fund’s

fees

and

expenses

as

compared

with

a

peer

group

of

funds

as

determined

by

Broadridge

(“Expense

Peers”)

and

the

investment

performance

of

the

Fund

as

compared

with

a

peer

group

of

funds

(“Performance

Peers”);

(b)

information

on

the

composition

of

the

Expense

Peers

and

Performance

Peers

and

a

description

of

Broadridge’s

methodology;

(c)

information

on

the

estimated

profits

realized

by

BlackRock

and

its

affiliates

pursuant

to

the

Agreements

and

a

discussion

of

fall-out

benefits

to

BlackRock

and

its

affiliates;

(d)

a

general

analysis

provided

by

BlackRock

concerning

investment

management

fees

received

in

connection

with

other

types

of

investment

products,

such

as

institutional

accounts,

sub-advised

mutual

funds,

ETFs,

closed-end

funds,

open-end

funds,

and

separately

managed

accounts,

under

similar

investment

mandates,

as

well

as

the

performance

of

such

other

products,

as

applicable;

(e)

a

review

of

non-management

fees;

(f)

the

existence,

impact

and

sharing

of

potential

economies

of

scale,

if

any,

with

the

Fund;

(g)

a

summary

of

aggregate

amounts

paid

by

the

Fund

to

BlackRock;

(h)

sales

and

redemption

data

regarding

the

Fund’s

shares;

and

(i)

various

additional

information

requested

by

the

Board

as

appropriate

regarding

BlackRock's

and

the

Fund's

operations.

At

the

April

Meeting,

the

Board

reviewed

materials

relating

to

its

consideration

of

the

Agreements

and

the

Independent

Board

Members

presented

BlackRock

with

questions

and

requests

for

additional

information.

BlackRock

responded

to

these

questions

and

requests

with

additional

written

information

in

advance

of

the

May

Meeting.

At

the

May

Meeting,

the

Board

concluded

its

assessment

of,

among

other

things:

(a)

the

nature,

extent

and

quality

of

the

services

provided

by

BlackRock;

(b)

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers

and

to

other

metrics,

as

applicable;

(c)

the

advisory

fee

and

the

estimated

cost

of

the

services

and

estimated

profits

realized

by

BlackRock

and

its

affiliates

from

their

relationship

with

the

Fund;

(d)

the

Fund’s

fees

and

expenses

compared

to

its

Expense

Peers;

(e)

the

existence

and

sharing

of

potential

economies

of

scale;

(f)

any

fall-out

benefits

to

BlackRock

and

its

affiliates

as

a

result

of

BlackRock’s

relationship

with

the

Fund;

and

(g)

other

factors

deemed

relevant

by

the

Board

Members.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

other

payments

made

to

BlackRock

or

its

affiliates

relating

to

securities

lending

and

cash

management,

and

BlackRock’s

services

related

to

the

valuation

and

pricing

of

Fund

portfolio

holdings.

The

Board

noted

the

willingness

of

BlackRock’s

personnel

to

engage

in

open,

candid

discussions

with

the

Board.

The

Board

Members

evaluated

the

information

available

to

it

on

a

fund-by-fund

basis.

The

following

paragraphs

provide

more

information

about

some

of

the

primary

factors

that

were

relevant

to

the

Board’s

decision.

The

Board

Members

did

not

identify

any

particular

information,

or

any

single

factor

as

determinative,

and

each

Board

Member

may

have

attributed

different

weights

to

the

various

items

and

factors

considered.

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

78

A.

Nature,

Extent

and

Quality

of

the

Services

Provided

by

BlackRock

The

Board,

including

the

Independent

Board

Members,

reviewed

the

nature,

extent

and

quality

of

services

provided

by

BlackRock,

including

the

investment

advisory

services,

and

the

resulting

performance

of

the

Fund.

Throughout

the

year,

the

Board

compared

Fund

performance

to

the

performance

of

a

comparable

group

of

mutual

funds,

relevant

benchmarks,

and

performance

metrics,

as

applicable.

The

Board

met

with

BlackRock’s

senior

management

personnel

responsible

for

investment

activities,

including

the

senior

investment

officers.

The

Board

also

reviewed

the

materials

provided

by

the

Fund’s

portfolio

management

team

discussing

the

Fund’s

performance,

investment

strategies

and

outlook.

The

Board

considered,

among

other

factors,

with

respect

to

BlackRock:

the

number,

education

and

experience

of

investment

personnel

generally

and

the

Fund’s

portfolio

management

team;

research

capabilities;

investments

by

portfolio

managers

in

the

funds

they

manage;

portfolio

trading

capabilities;

use

of

technology;

commitment

to

compliance;

credit

analysis

capabilities;

risk

analysis

and

oversight

capabilities;

and

the

approach

to

training

and

retaining

portfolio

managers

and

other

research,

advisory

and

management

personnel.

The

Board

also

considered

BlackRock’s

overall

risk

management

program,

including

the

continued

efforts

of

BlackRock

and

its

affiliates

to

address

cybersecurity

risks

and

the

role

of

BlackRock’s

Risk

&

Quantitative

Analysis

Group.

The

Board

engaged

in

a

review

of

BlackRock’s

compensation

structure

with

respect

to

the

Fund’s

portfolio

management

team

and

BlackRock’s

ability

to

attract

and

retain

high-quality

talent

and

create

performance

incentives.

In

addition

to

investment

advisory

services,

the

Board

considered

the

nature

and

quality

of

the

administrative

and

other

non-investment

advisory

services

provided

to

the

Fund.

BlackRock

and

its

affiliates

provide

the

Fund

with

certain

administrative,

shareholder

and

other

services

(in

addition

to

any

such

services

provided

to

the

Fund

by

third

parties)

and

officers

and

other

personnel

as

are

necessary

for

the

operations

of

the

Fund.

In

particular,

BlackRock

and

its

affiliates

provide

the

Fund

with

administrative

services

including,

among

others:

(i)

responsibility

for

disclosure

documents,

such

as

the

prospectus,

the

summary

prospectus

(as

applicable),

the

statement

of

additional

information

and

periodic

shareholder

reports;

(ii)

oversight

of

daily

accounting

and

pricing;

(iii)

responsibility

for

periodic

filings

with

regulators;

(iv)

overseeing

and

coordinating

the

activities

of

third-party

service

providers

including,

among

others,

the

Fund's

custodian,

fund

accountant,

transfer

agent,

and

auditor;

(v)

organizing

Board

meetings

and

preparing

the

materials

for

such

Board

meetings;

(vi)

providing

legal

and

compliance

support;

(vii)

furnishing

analytical

and

other

support

to

assist

the

Board

in

its

consideration

of

strategic

issues

such

as

the

merger,

consolidation

or

repurposing

of

certain

open-end

funds;

and

(viii)

performing

or

managing

administrative

functions

necessary

for

the

operation

of

the

Fund,

such

as

tax

reporting,

expense

management,

fulfilling

regulatory

filing

requirements,

overseeing

the

Fund’s

distribution

partners,

and

shareholder

call

center

and

other

services.

The

Board

reviewed

the

structure

and

duties

of

BlackRock’s

fund

administration,

shareholder

services,

and

legal

and

compliance

departments

and

considered

BlackRock’s

policies

and

procedures

for

assuring

compliance

with

applicable

laws

and

regulations.

The

Board

considered

the

operation

of

BlackRock’s

business

continuity

plans,

including

in

light

of

the

ongoing

COVID-19

pandemic.

B.

The

Investment

Performance

of

the

Fund

and

BlackRock

The

Board,

including

the

Independent

Board

Members,

reviewed

and

considered

the

performance

history

of

the

Fund

throughout

the

year

and

at

the

April

Meeting.

In

preparation

for

the

April

Meeting,

the

Board

was

provided

with

reports

independently

prepared

by

Broadridge,

which

included

an

analysis

of

the

Fund’s

performance

as

of

December

31,

2021,

as

compared

to

its

Performance

Peers.

Broadridge

ranks

funds

in

quartiles,

ranging

from

first

to

fourth,

where

first

is

the

most

desirable

quartile

position

and

fourth

is

the

least

desirable.

In

connection

with

its

review,

the

Board

received

and

reviewed

information

regarding

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers

and,

in

light

of

the

Fund’s

outcome-oriented

investment

objective,

certain

performance

metrics

(“Outcome-Oriented

Performance

Metrics”).

The

Board

and

its

Performance

Oversight

Committee

regularly

review

and

meet

with

Fund

management

to

discuss

the

performance

of

the

Fund

throughout

the

year.

In

evaluating

performance,

the

Board

focused

particular

attention

on

funds

with

less

favorable

performance

records.

The

Board

also

noted

that

while

it

found

the

data

provided

by

Broadridge

generally

useful,

it

recognized

the

limitations

of

such

data,

including

in

particular,

that

notable

differences

may

exist

between

a

fund

and

its

Performance

Peers

(for

example,

the

investment

objectives

and

strategies).

Further,

the

Board

recognized

that

the

performance

data

reflects

a

snapshot

of

a

period

as

of

a

particular

date

and

that

selecting

a

different

performance

period

could

produce

significantly

different

results.

The

Board

also

acknowledged

that

long-term

performance

could

be

impacted

by

even

one

period

of

significant

outperformance

or

underperformance,

and

that

a

single

investment

theme

could

have

the

ability

to

disproportionately

affect

long-term

performance.

The

Board

reviewed

and

considered

the

Fund’s

performance

relative

to

the

Fund’s

Outcome-Oriented

Performance

Metrics

including

a

total

return

target.

The

Board

noted

that

for

the

one-year,

three-year

and

since-inception

periods

reported,

the

Fund

outperformed,

underperformed

and

underperformed,

respectively,

its

total

return

target.

The

Board

noted

that

BlackRock

believes

that

the

Outcome-Oriented

Performance

Metrics

are

an

appropriate

performance

metric

for

the

Fund,

and

that

BlackRock

has

explained

its

rationale

for

this

belief

to

the

Board.

The

Board

and

BlackRock

reviewed

the

Fund’s

underperformance

relative

to

its

total

return

target

during

the

applicable

periods.

C.

Consideration

of

the

Advisory/Management

Fees

and

the

Estimated

Cost

of

the

Services

and

Estimated

Profits

Realized

by

BlackRock

and

its

Affiliates

from

their

Relationship

with

the

Fund

The

Board,

including

the

Independent

Board

Members,

reviewed

the

Fund’s

contractual

management

fee

rate

compared

with

those

of

its

Expense

Peers.

The

contractual

management

fee

rate

represents

a

combination

of

the

advisory

fee

and

any

administrative

fees,

before

taking

into

account

any

reimbursements

or

fee

waivers.

The

Board

also

compared

the

Fund’s

total

expense

ratio,

as

well

as

its

actual

management

fee

rate,

to

those

of

its

Expense

Peers.

The

total

expense

ratio

represents

a

fund’s

total

net

operating

expenses,

including

any

12b-1

or

non-12b-1

service

fees.

The

total

expense

ratio

gives

effect

to

any

expense

reimbursements

or

fee

waivers,

and

the

actual

management

fee

rate

gives

effect

to

any

management

fee

reimbursements

or

waivers.

The

Board

considered

the

services

provided

and

the

fees

charged

by

BlackRock

and

its

affiliates

to

other

types

of

clients

with

similar

investment

mandates,

as

applicable,

including

institutional

accounts

and

sub-advised

mutual

funds

(including

mutual

funds

sponsored

by

third

parties).

The

Board

received

and

reviewed

statements

relating

to

BlackRock’s

financial

condition.

The

Board

reviewed

BlackRock’s

profitability

methodology

and

was

also

provided

with

an

estimated

profitability

analysis

that

detailed

the

revenues

earned

and

the

expenses

incurred

by

BlackRock

for

services

provided

to

the

Fund.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

the

Fund

and

other

funds

the

Board

currently

oversees

for

the

year

ended

December

31,

2021

compared

to

available

aggregate

estimated

profitability

data

provided

for

the

prior

two

years.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

certain

other

U.S.

fund

complexes

managed

by

the

Manager

and/or

its

affiliates.

The

Board

reviewed

BlackRock’s

assumptions

and

methodology

of

allocating

expenses

in

the

estimated

profitability

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

(continued)

79

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

analysis,

noting

the

inherent

limitations

in

allocating

costs

among

various

advisory

products.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

the

Manager,

the

types

of

funds

managed,

precision

of

expense

allocations

and

business

mix.

The

Board

thus

recognized

that

calculating

and

comparing

profitability

at

the

individual

fund

level

is

difficult.

The

Board

noted

that,

in

general,

individual

fund

or

product

line

profitability

of

other

advisors

is

not

publicly

available.

The

Board

reviewed

BlackRock’s

overall

operating

margin,

in

general,

compared

to

that

of

certain

other

publicly

traded

asset

management

firms.

The

Board

considered

the

differences

between

BlackRock

and

these

other

firms,

including

the

contribution

of

technology

at

BlackRock,

BlackRock’s

expense

management,

and

the

relative

product

mix.

The

Board

considered

whether

BlackRock

has

the

financial

resources

necessary

to

attract

and

retain

high

quality

investment

management

personnel

to

perform

its

obligations

under

the

Agreements

and

to

continue

to

provide

the

high

quality

of

services

that

is

expected

by

the

Board.

The

Board

further

considered

factors

including

but

not

limited

to

BlackRock’s

commitment

of

time,

assumption

of

risk,

and

liability

profile

in

servicing

the

Fund,

including

in

contrast

to

what

is

required

of

BlackRock

with

respect

to

other

products

with

similar

investment

mandates

across

the

open-end

fund,

ETF,

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable.

The

Board

noted

that

the

Fund’s

contractual

management

fee

rate

ranked

in

the

first

quartile,

and

that

the

actual

management

fee

rate

and

total

expense

ratio

each

ranked

in

the

first

quartile

relative

to

the

Fund’s

Expense

Peers.

The

Board

also

noted

that

the

Fund

has

an

advisory

fee

arrangement

that

includes

breakpoints

that

adjust

the

fee

rate

downward

as

the

size

of

the

Fund

increases

above

certain

contractually

specified

levels.

The

Board

noted

that

if

the

size

of

the

Fund

were

to

decrease,

the

Fund

could

lose

the

benefit

of

one

or

more

breakpoints.

The

Board

further

noted

that

BlackRock

and

the

Board

have

contractually

agreed

to

a

cap

on

the

Fund’s

total

expenses

as

a

percentage

of

the

Fund’s

average

daily

net

assets

on

a

class-by-class

basis.

D.

Economies

of

Scale

The

Board,

including

the

Independent

Board

Members,

considered

the

extent

to

which

economies

of

scale

might

be

realized

as

the

assets

of

the

Fund

increase,

including

the

existence

of

fee

waivers

and/or

expense

caps,

as

applicable,

noting

that

any

contractual

fee

waivers

and

contractual

expense

caps

had

been

approved

by

the

Board.

In

its

consideration,

the

Board

further

considered

the

continuation

and/or

implementation

of

fee

waivers

and/or

expense

caps,

as

applicable.

The

Board

also

considered

the

extent

to

which

the

Fund

benefits

from

such

economies

of

scale

in

a

variety

of

ways,

and

whether

there

should

be

changes

in

the

advisory

fee

rate

or

breakpoint

structure

in

order

to

enable

the

Fund

to

more

fully

participate

in

these

economies

of

scale.

The

Board

considered

the

Fund’s

asset

levels

and

whether

the

current

fee

schedule

was

appropriate.

E.

Other

Factors

Deemed

Relevant

by

the

Board

Members

The

Board,

including

the

Independent

Board

Members,

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

BlackRock

or

its

affiliates

may

derive

from

BlackRock’s

respective

relationships

with

the

Fund,

both

tangible

and

intangible,

such

as

BlackRock’s

ability

to

leverage

its

investment

professionals

who

manage

other

portfolios

and

its

risk

management

personnel,

an

increase

in

BlackRock’s

profile

in

the

investment

advisory

community,

and

the

engagement

of

BlackRock’s

affiliates

as

service

providers

to

the

Fund,

including

for

administrative,

distribution,

securities

lending

and

cash

management

services.

The

Board

also

considered

BlackRock’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

improve

the

quality

of,

its

operations.

The

Board

also

noted

that,

subject

to

applicable

law,

BlackRock

may

use

and

benefit

from

third-party

research

obtained

by

soft

dollars

generated

by

certain

registered

fund

transactions

to

assist

in

managing

all

or

a

number

of

its

other

client

accounts.

In

connection

with

its

consideration

of

the

Agreements,

the

Board

also

received

information

regarding

BlackRock’s

brokerage

and

soft

dollar

practices.

The

Board

received

reports

from

BlackRock

which

included

information

on

brokerage

commissions

and

trade

execution

practices

throughout

the

year.

The

Board

noted

the

competitive

nature

of

the

open-end

fund

marketplace,

and

that

shareholders

are

able

to

redeem

their

Fund

shares

if

they

believe

that

the

Fund’s

fees

and

expenses

are

too

high

or

if

they

are

dissatisfied

with

the

performance

of

the

Fund.

Conclusion

At

the

May

Meeting,

as

a

result

of

the

discussions

that

occurred

during

the

April

Meeting,

and

as

a

culmination

of

the

Board’s

year-long

deliberative

process,

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Advisory

Agreement

between

the

Manager

and

the

Trust,

on

behalf

of

the

Fund,

for

a

one-year

term

ending

June

30,

2023,

and

the

Sub-Advisory

Agreement

between

the

Manager

and

the

Sub-Advisor,

with

respect

to

the

Fund,

for

a

one-year

term

ending

June

30,

2023.

Based

upon

its

evaluation

of

all

of

the

aforementioned

factors

in

their

totality,

as

well

as

other

information,

the

Board,

including

the

Independent

Board

Members,

was

satisfied

that

the

terms

of

the

Agreements

were

fair

and

reasonable

and

in

the

best

interest

of

the

Fund

and

its

shareholders.

In

arriving

at

its

decision

to

approve

the

Agreements,

the

Board

did

not

identify

any

single

factor

or

group

of

factors

as

all-important

or

controlling,

but

considered

all

factors

together,

and

different

Board

Members

may

have

attributed

different

weights

to

the

various

factors

considered.

The

Independent

Board

Members

were

also

assisted

by

the

advice

of

independent

legal

counsel

in

making

this

determination.

Trustee

and

Officer

Information

2022

BlackRock

Annual

Report

to

Shareholders

80

Independent

Trustees

(a)

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

Years

Number

of

BlackRock-Advised

Registered

Investment

Companies

(“RICs”)

Consisting

of

Investment

Portfolios

(“Portfolios”)

Overseen

Public

Company

and

Other

Investment

Company

Directorships

Held

During

Past

Five

Years

Mark

Stalnecker

1951

Chair

of

the

Board

(Since

2019)

and

Trustee

(Since

2015)

Chief

Investment

Officer,

University

of

Delaware

from

1999

to

2013;

Trustee

and

Chair

of

the

Finance

and

Investment

Committees,

Winterthur

Museum

and

Country

Estate

from

2005

to

2016;

Member

of

the

Investment

Committee,

Delaware

Public

Employees’

Retirement

System

since

2002;

Member

of

the

Investment

Committee,

Christiana

Care

Health

System

from

2009

to

2017;

Member

of

the

Investment

Committee,

Delaware

Community

Foundation

from

2013

to

2014;

Director

and

Chair

of

the

Audit

Committee,

SEI

Private

Trust

Co.

from

2001

to

2014.

28

RICs

consisting

of

162

Portfolios

None

Susan

J.

Carter

1956

Trustee

(Since

2016)

Trustee,

Financial

Accounting

Foundation

from

2017

to

2021;

Advisory

Board

Member,

Center

for

Private

Equity

and

Entrepreneurship

at

Tuck

School

of

Business

from

1997

to

2021;

Director,

Pacific

Pension

Institute

from

2014

to

2018;

Senior

Advisor,

Commonfund

Capital,

Inc.

(“CCI”)

(investment

adviser)

in

2015;

Chief

Executive

Officer,

CCI

from

2013

to

2014;

President

&

Chief

Executive

Officer,

CCI

from

1997

to

2013;

Advisory

Board

Member,

Girls

Who

Invest

from

2015

to

2018

and

Board

Member

thereof

since

2018;

Advisory

Board

Member,

Bridges

Fund

Management

since

2016;

Practitioner

Advisory

Board

Member,

Private

Capital

Research

Institute

("PCRI")

since

2017;

Lecturer

in

the

Practice

of

Management,

Yale

School

of

Management

since

2019;

Advisor

to

Finance

Committee,

Altman

Foundation

since

2020;

Investment

Committee

Member,

Tostan

since

2021.

28

RICs

consisting

of

162

Portfolios

None

Collette

Chilton

1958

Trustee

(Since

2015)

Chief

Investment

Officer,

Williams

College

since

2006;

Chief

Investment

Officer,

Lucent

Asset

Management

Corporation

from

1998

to

2006;

Director,

Boys

and

Girls

Club

of

Boston

since

2017;

Director,

B1

Capital

since

2018;

Director,

David

and

Lucile

Packard

Foundation

since

2020.

28

RICs

consisting

of

162

Portfolios

None

Neil

A.

Cotty

1954

Trustee

(Since

2016)

Bank

of

America

Corporation

from

1996

to

2015,

serving

in

various

senior

finance

leadership

roles,

including

Chief

Accounting

Officer

from

2009

to

2015,

Chief

Financial

Officer

of

Global

Banking,

Markets

and

Wealth

Management

from

2008

to

2009,

Chief

Accounting

Officer

from

2004

to

2008,

Chief

Financial

Officer

of

Consumer

Bank

from

2003

to

2004,

Chief

Financial

Officer

of

Global

Corporate

Investment

Bank

from

1999

to

2002.

28

RICs

consisting

of

162

Portfolios

None

Lena

G.

Goldberg

1949

Trustee

(Since

2019)

Director,

Charles

Stark

Draper

Laboratory,

Inc.

since

2013;

Senior

Lecturer,

Harvard

Business

School

from

2008

to

2021;

FMR

LLC/Fidelity

Investments

(financial

services)

from

1996

to

2008,

serving

in

various

senior

roles

including

Executive

Vice

President

-

Strategic

Corporate

Initiatives

and

Executive

Vice

President

and

General

Counsel;

Partner,

Sullivan

&

Worcester

LLP

from

1985

to

1996

and

Associate

thereof

from

1979

to

1985.

28

RICs

consisting

of

162

Portfolios

None

Henry

R.

Keizer

1956

Trustee

(Since

2019)

Director,

Park

Indemnity

Ltd.

(captive

insurer)

since

2010;

Director,

MUFG

Americas

Holdings

Corporation

and

MUFG

Union

Bank,

N.A.

(financial

and

bank

holding

company)

from

2014

to

2016;

Director,

American

Institute

of

Certified

Public

Accountants

from

2009

to

2011;

Director,

KPMG

LLP

(audit,

tax

and

advisory

services)

from

2004

to

2005

and

2010

to

2012;

Director,

KPMG

International

in

2012,

Deputy

Chairman

and

Chief

Operating

Officer

thereof

from

2010

to

2012

and

U.S.

Vice

Chairman

of

Audit

thereof

from

2005

to

2010;

Global

Head

of

Audit,

KPMGI

(consortium

of

KPMG

firms)

from

2006

to

2010;

Director,

YMCA

of

Greater

New

York

from

2006

to

2010.

28

RICs

consisting

of

162

Portfolios

Hertz

Global

Holdings

(car

rental);

GrafTech

International

Ltd.

(materials

manufacturing);

Montpelier

Re

Holdings,

Ltd.

(publicly

held

property

and

casualty

reinsurance)

from

2013

to

2015;

WABCO

(commercial

vehicle

safety

systems)

from

2015

to

2020;

Sealed

Air

Corp.

(packaging)

from

2015

to

2021.

Cynthia

A.

Montgomery

1952

Trustee

(Since

2007)

Professor,

Harvard

Business

School

since

1989.

28

RICs

consisting

of

162

Portfolios

Newell

Rubbermaid,

Inc.

(manufacturing)

from

1995

to

2016

Trustee

and

Officer

Information

(continued)

81

Trustee

and

Officer

Information

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

Years

Number

of

BlackRock-Advised

Registered

Investment

Companies

(“RICs”)

Consisting

of

Investment

Portfolios

(“Portfolios”)

Overseen

Public

Company

and

Other

Investment

Company

Directorships

Held

During

Past

Five

Years

Donald

C.

Opatrny

1952

Trustee

(Since

2019)

Director,

Athena

Capital

Advisors

LLC

(investment

management

firm)

from

2013

to

2020;

Trustee,

Vice

Chair,

Member

of

the

Executive

Committee

and

Chair

of

the

Investment

Committee,

Cornell

University

from

2004

to

2019;

President

and

Trustee,

the

Center

for

the

Arts,

Jackson

Hole

from

2011

to

2018;

Member

of

the

Board

and

Investment

Committee,

University

School

from

2007

to

2018;

Trustee,

Artstor

(a

Mellon

Foundation

affiliate)

from

2010

to

2015;

Member

of

the

Investment

Committee,

Mellon

Foundation

from

2009

to

2015;

President,

Trustee

and

Member

of

the

Investment

Committee,

The

Aldrich

Contemporary

Art

Museum

from

2007

to

2014;

Trustee

and

Chair

of

the

Investment

Committee,

Community

Foundation

of

Jackson

Hole

since

2014;

Member

of

Affordable

Housing

Supply

Board

of

Jackson,

Wyoming

since

2017;

Member,

Investment

Funds

Committee,

State

of

Wyoming

since

2017;

Trustee,

Phoenix

Art

Museum

since

2018;

Trustee,

Arizona

Community

Foundation

and

Member

of

Investment

Committee

since

2020.

28

RICs

consisting

of

162

Portfolios

None

Joseph

P.

Platt

1947

Trustee

(Since

2007)

General

Partner,

Thorn

Partners,

LP

(private

investments)

since

1998;

Director,

WQED

Multi-Media

(public

broadcasting

not-for-

profit)

since

2001;

Chair,

Basic

Health

International

(non-profit)

since

2015.

28

RICs

consisting

of

162

Portfolios

Greenlight

Capital

Re,

Ltd.

(reinsurance

company);

Consol

Energy

Inc.

Kenneth

L.

Urish

1951

Trustee

(Since

2007)

Managing

Partner,

Urish

Popeck

&

Co.,

LLC

(certified

public

accountants

and

consultants)

since

1976;

Past-Chairman

of

the

Professional

Ethics

Committee

of

the

Pennsylvania

Institute

of

Certified

Public

Accountants

and

Committee

Member

thereof

since

2007;

Member

of

External

Advisory

Board,

The

Pennsylvania

State

University

Accounting

Department

since

founding

in

2001;

Principal,

UP

Strategic

Wealth

Investment

Advisors,

LLC

since

2013;

Trustee,

The

Holy

Family

Institute

from

2001

to

2010;

President

and

Trustee,

Pittsburgh

Catholic

Publishing

Associates

from

2003

to

2008;

Director,

Inter-Tel

from

2006

to

2007;

Member,

Advisory

Board,

ESG

Competent

Boards

since

2020.

28

RICs

consisting

of

162

Portfolios

None

Claire

A.

Walton

1957

Trustee

(Since

2016)

Chief

Operating

Officer

and

Chief

Financial

Officer

of

Liberty

Square

Asset

Management,

LP

from

1998

to

2015;

General

Partner

of

Neon

Liberty

Capital

Management,

LLC

since

2003;

Director,

Boston

Hedge

Fund

Group

from

2009

to

2018;

Director,

Woodstock

Ski

Runners

since

2013;

Director,

Massachusetts

Council

on

Economic

Education

from

2013

to

2015.

28

RICs

consisting

of

162

Portfolios

None

Independent

Trustees

(a)

(continued)

Trustee

and

Officer

Information

(continued)

2022

BlackRock

Annual

Report

to

Shareholders

82

Interested

Trustees

(a)(d)

(a)

The

address

of

each

Trustee

is

c/o

BlackRock,

Inc.,

55

East

52nd

Street,

New

York,

New

York

10055.

(b)

Independent

Trustees

serve

until

their

resignation,

retirement,

removal

or

death,

or

until

December

31

of

the

year

in

which

they

turn

75.

The

Board

may

determine

to

extend

the

terms

of

Independent

Trustees

on

a

case-by-case

basis,

as

appropriate.

(c)

Following

the

combination

of

Merrill

Lynch

Investment

Managers,

L.P.

("MLIM")

and

BlackRock,

Inc.

in

September

2006,

the

various

legacy

MLIM

and

legacy

BlackRock

fund

boards

were

realigned

and

consolidated

into

three

new

fund

boards

in

2007.

Furthermore,

effective

January

1,

2019,

three

BlackRock

Fund

Complexes

were

realigned

and

consolidated

into

two

BlackRock

Fund

Complexes.

As

a

result,

although

the

chart

shows

the

year

that

each

Independent

Trustee

joined

the

Board,

certain

Independent

Trustees

first

became

members

of

the

boards

of

other

BlackRock-advised

Funds,

legacy

MLIM

funds

or

legacy

BlackRock

funds

as

follows:

Cynthia

A.

Montgomery,

1994;

Joseph

P.

Platt,

1999;

Kenneth

L.

Urish,

1999;

Lena

G.

Goldberg,

2016;

Henry

R.

Keizer,

2016;

Donald

C.

Opatrny,

2015.

(d)

Mr.

Fairbairn

and

Mr.

Perlowski

are

both

“interested

persons,”

as

defined

in

the

1940

Act,

of

the

Trust

based

on

their

positions

with

BlackRock,

Inc.

and

its

affiliates.

Mr.

Fairbairn

and

Mr.

Perlowski

are

also

board

members

of

the

BlackRock

Fixed-Income

Complex.

(e)

Mr.

Perlowski

is

also

a

trustee

of

the

BlackRock

Credit

Strategies

Fund

and

BlackRock

Private

Investments

Fund.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

Years

Number

of

BlackRock-Advised

Registered

Investment

Companies

(“RICs”)

Consisting

of

Investment

Portfolios

(“Portfolios”)

Overseen

Public

Company

and

Other

Investment

Company

Directorships

Held

During

Past

Five

Years

Robert

Fairbairn

1965

Trustee

(Since

2018)

Vice

Chairman

of

BlackRock,

Inc.

since

2019;

Member

of

BlackRock's

Global

Executive

and

Global

Operating

Committees;

Co-Chair

of

BlackRock's

Human

Capital

Committee;

Senior

Managing

Director

of

BlackRock,

Inc.

from

2010

to

2019;

oversaw

BlackRock's

Strategic

Partner

Program

and

Strategic

Product

Management

Group

from

2012

to

2019;

Member

of

the

Board

of

Managers

of

BlackRock

Investments,

LLC

from

2011

to

2018;

Global

Head

of

BlackRock's

Retail

and

iShares

®

businesses

from

2012

to

2016.

97

RICs

consisting

of

261

Portfolios

None

John

M.

Perlowski

(e)

1964

Trustee

(Since

2015);

President

(Since

2018)

and

Chief

Executive

Officer

(Since

2010)

Managing

Director

of

BlackRock,

Inc.

since

2009;

Head

of

BlackRock

Global

Accounting

and

Product

Services

since

2009;

Advisory

Director

of

Family

Resource

Network

(charitable

foundation)

since

2009.

99

RICs

consisting

of

263

Portfolios

None

Trustee

and

Officer

Information

(continued)

83

Trustee

and

Officer

Information

Officers

Who

Are

Not

Trustees

(a)

(a)

The

address

of

each

Officer

is

c/o

BlackRock,

Inc.,

55

East

52nd

Street,

New

York,

New

York

10055.

(b)

Officers

of

the

Trust

serve

at

the

pleasure

of

the

Board.

Further

information

about

the

Trust’s

Trustees

and

Officers

is

available

in

the

Trust’s

Statement

of

Additional

Information,

which

can

be

obtained

without

charge

by

calling

(800)

441-7762.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

Principal

Occupation(s)

During

Past

Five

Years

Roland

Villacorta

1971

Vice

President

(Since

2022)

Managing

Director

of

BlackRock,

Inc.

since

2022;

Head

of

Global

Cash

Management

and

Head

of

Securities

Lending

within

BlackRock's

Portfolio

Management

Group

since

2022;

Member

of

BlackRock's

Global

Operating

Committee

since

2022;

Head

of

Portfolio

Management

in

BlackRock's

Financial

Markets

Advisory

Group

within

BlackRock

Solutions

from

2008

to

2015;

Previously

Mr.

Villacorta

was

Co-Head

of

BlackRock

Solutions'

Portfolio

Analytics

Group

and

Co-Head

of

Fixed

Income

within

BlackRock's

Risk

&

Quantitative

Analysis

Group.

Jennifer

McGovern

1977

Vice

President

(Since

2014)

Managing

Director

of

BlackRock,

Inc.

since

2016;

Director

of

BlackRock,

Inc.

from

2011

to

2015;

Head

of

Americas

Product

Development

and

Governance

for

BlackRock’s

Global

Product

Group

since

2019;

Head

of

Product

Structure

and

Oversight

for

BlackRock's

U.S.

Wealth

Advisory

Group

from

2013

to

2019.

Trent

Walker

1974

Chief

Financial

Officer

(Since

2021)

Managing

Director

of

BlackRock,

Inc.

since

September

2019;

Executive

Vice

President

of

PIMCO

from

2016

to

2019;

Senior

Vice

President

of

PIMCO

from

2008

to

2015;

Treasurer

from

2013

to

2019

and

Assistant

Treasurer

from

2007

to

2017

of

PIMCO

Funds,

PIMCO

Variable

Insurance

Trust,

PIMCO

ETF

Trust,

PIMCO

Equity

Series,

PIMCO

Equity

Series

VIT,

PIMCO

Managed

Accounts

Trust,

2

PIMCO-sponsored

interval

funds

and

21

PIMCO-sponsored

closed-end

funds.

Jay

M.

Fife

1970

Treasurer

(Since

2007)

Managing

Director

of

BlackRock,

Inc.

since

2007.

Charles

Park

1967

Chief

Compliance

Officer

(Since

2014)

Anti-Money

Laundering

Compliance

Officer

for

certain

BlackRock-advised

Funds

from

2014

to

2015;

Chief

Compliance

Officer

of

BlackRock

Advisors,

LLC

and

the

BlackRock-advised

Funds

in

the

BlackRock

Multi-Asset

Complex

and

the

BlackRock

Fixed-Income

Complex

since

2014;

Principal

of

and

Chief

Compliance

Officer

for

iShares

®

Delaware

Trust

Sponsor

LLC

since

2012

and

BlackRock

Fund

Advisors

(“BFA”)

since

2006;

Chief

Compliance

Officer

for

the

BFA-advised

iShares

®

exchange

traded

funds

since

2006;

Chief

Compliance

Officer

for

BlackRock

Asset

Management

International

Inc.

since

2012.

Lisa

Belle

1968

Anti-Money

Laundering

Compliance

Officer

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2019;

Global

Financial

Crime

Head

for

Asset

and

Wealth

Management

of

JP

Morgan

from

2013

to

2019;

Managing

Director

of

RBS

Securities

from

2012

to

2013;

Head

of

Financial

Crimes

for

Barclays

Wealth

Americas

from

2010

to

2012.

Janey

Ahn

1975

Secretary

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2018;

Director

of

BlackRock,

Inc.

from

2009

to

2017.

Effective

December

31,

2021,

Bruce

R.

Bond

retired

as

a

Trustee

of

the

Trust.

Effective

March

31,

2022,

Thomas

Callahan

resigned

as

a

Vice

President

of

the

Trust

and

effective

May

10,

2022,

Roland

Villacorta

was

appointed

as

a

Vice

President

of

the

Trust.

Additional

Information

2022

BlackRock

Annual

Report

to

Shareholders

84

General

Information 

Quarterly

performance,

semi-annual

and

annual

reports,

current

net

asset

value

and

other

information

regarding

the

Fund

may

be

found

on

BlackRock’s

website,

which

can

be

accessed

at

blackrock.com

.

Any

reference

to

BlackRock’s

website

in

this

report

is

intended

to

allow

investors

public

access

to

information

regarding

the

Fund

and

does

not,

and

is

not

intended

to,

incorporate

BlackRock’s

website

in

this

report.

Householding

The

Fund

will

mail

only

one

copy

of

shareholder

documents,

including

prospectuses,

annual

and

semi-annual

reports,

Rule

30e-3

notices

and

proxy

statements,

to

shareholders

with

multiple

accounts

at

the

same

address.

This

practice

is

commonly

called

“householding”

and

is

intended

to

reduce

expenses

and

eliminate

duplicate

mailings

of

shareholder

documents.

Mailings

of

your

shareholder

documents

may

be

householded

indefinitely

unless

you

instruct

us

otherwise.

If

you

do

not

want

the

mailing

of

these

documents

to

be

combined

with

those

for

other

members

of

your

household,

please

call

the

Fund at

(800)

441-7762.

Availability

of

Quarterly

Schedule

of

Investments 

The

Fund

files

its

complete

schedule

of

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

Fund’s

Form

N-PORT is

available

on

the

SEC’s

website

at

sec.gov

.

Additionally,

the

Fund

makes

its

portfolio

holdings

for

the

first

and

third

quarters

of

each

fiscal

year

available

at

blackrock.com/

fundreports

.

Availability

of

Proxy

Voting

Policies,

Procedures and

Voting

Records

A

description

of

the

policies

and

procedures

that

the

Fund

uses

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

and

information

about

how

the

Fund

voted

proxies

relating

to

securities

held

in

the

Fund's

portfolio

during

the

most

recent

12-month

period

ended

June

30 is

available

without

charge,

upon

request (1)

by

calling

(800)

441-

7762

;

(2)

on

the

BlackRock

website

at

blackrock.com

;

and

(3)

on

the

SEC’s

website

at

sec.gov

.

BlackRock’s

Mutual

Fund

Family

BlackRock

offers

a

diverse

lineup

of

open-end

mutual

funds

crossing

all

investment

styles

and

managed

by

experts

in

equity,

fixed-income

and

tax-exempt

investing.

Visit

blackrock.com

for

more

information.

Shareholder

Privileges

Account

Information

Call

us

at

(800)

441-7762

from

8:00

AM

to

6:00

PM

ET

on

any

business

day

to

get

information

about

your

account

balances,

recent

transactions

and

share

prices.

You

can

also

visit

blackrock.com

for

more

information.

Automatic

Investment

Plans

Investor

class

shareholders

who

want

to

invest

regularly

can

arrange

to

have

$50

or

more

automatically

deducted

from

their

checking

or

savings

account

and

invested

in

any

of

the

BlackRock

funds.

Systematic

Withdrawal

Plans

Investor

class

shareholders

can

establish

a

systematic

withdrawal

plan

and

receive

periodic

payments

of

$50

or

more

from

their

BlackRock

funds,

as

long

as

their

account

balance

is

at

least

$10,000.

Retirement

Plans

Shareholders

may

make

investments

in

conjunction

with

Traditional,

Rollover,

Roth,

Coverdell,

Simple

IRAs,

SEP

IRAs

and

403(b)

Plans.

BlackRock

Privacy

Principles

BlackRock

is

committed

to

maintaining

the

privacy

of

its

current

and

former

fund

investors

and

individual

clients

(collectively,

“Clients”)

and

to

safeguarding

their

non-public

personal

information.

The

following

information

is

provided

to

help

you

understand

what

personal

information

BlackRock

collects,

how

we

protect

that

information

and

why

in

certain

cases

we

share

such

information

with

select

parties.

If

you

are

located

in

a

jurisdiction

where

specific

laws,

rules

or

regulations

require

BlackRock

to

provide

you

with

additional

or

different

privacy-related

rights

beyond

what

is

set

forth

below,

then

BlackRock

will

comply

with

those

specific

laws,

rules

or

regulations.

BlackRock

obtains

or

verifies

personal

non-public

information

from

and

about

you

from

different

sources,

including

the

following:

(i)

information

we

receive

from

you

or,

if

applicable,

your

financial

intermediary,

on

applications,

forms

or

other

documents;

(ii)

information

about

your

transactions

with

us,

our

affiliates,

or

others;

(iii)

information

we

receive

from

a

consumer

reporting

agency;

and

(iv)

from

visits

to

our

websites.

Additional

Information

(continued)

85

Additional

Information

BlackRock

does

not

sell

or

disclose

to

non-affiliated

third

parties

any

non-public

personal

information

about

its

Clients,

except

as

permitted

by

law

or

as

is

necessary

to

respond

to

regulatory

requests

or

to

service

Client

accounts.

These

non-affiliated

third

parties

are

required

to

protect

the

confidentiality

and

security

of

this

information

and

to

use

it

only

for

its

intended

purpose.

We

may

share

information

with

our

affiliates

to

service

your

account

or

to

provide

you

with

information

about

other

BlackRock

products

or

services

that

may

be

of

interest

to

you.

In

addition,

BlackRock

restricts

access

to

non-public

personal

information

about

its

Clients

to

those

BlackRock

employees

with

a

legitimate

business

need

for

the

information.

BlackRock

maintains

physical,

electronic

and

procedural

safeguards

that

are

designed

to

protect

the

non-public

personal

information

of

its

Clients,

including

procedures

relating

to

the

proper

storage

and

disposal

of

such

information.

Fund

and

Service

Providers

Investment

Adviser

and

Administrator

BlackRock

Advisors,

LLC

Wilmington,

DE

19809

Sub-Adviser

BlackRock

International

Limited

Edinburgh,

EH3

8BL

United

Kingdom

Accounting

Agent

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Transfer

Agent

BNY

Mellon

Investment

Servicing

(US)

Inc.

Wilmington,

DE

19809

Custodian

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers

LLP

Philadelphia,

PA

19103

Distributor

BlackRock

Investments,

LLC

New

York,

NY

10022

Legal

Counsel

Sidley

Austin

LLP

New

York,

NY

10019

Address

of

the

Trust

100

Bellevue

Parkway

Wilmington,

DE

19809

Glossary

of

Terms

Used

in

this

Report

2022

BlackRock

Annual

Report

to

Shareholders

86

Currency

Abbreviation

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

CNY

Chinese

Yuan

EUR

Euro

GBP

British

Pound

HKD

Hong

Kong

Dollar

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXN

Mexican

Peso

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

SEK

Swedish

Krona

SGD

Singapore

Dollar

TWD

Taiwan

New

Dollar

USD

United

States

Dollar

Portfolio

Abbreviation

ADR

American

Depositary

Receipts

CVA

Certification

Van

Aandelon

(Dutch

Certificate)

EURIBOR

Euro

Interbank

Offered

Rate

MSCI

Morgan

Stanley

Capital

International

OTC

Over-the-counter

RBOB

Reformulated

Gasoline

Blend

Stock

for

Oxygen

Blending

REIT

Real

Estate

Investment

Trust

S&P

Standard

&

Poor's

SCA

Svenska

Cellulosa

Aktiebolaget

SDR

Swedish

Depositary

Receipts

SOFR

Secured

Overnight

Financing

Rate

WTI

West

Texas

Intermediate

Want

to

know

more?

blackrock.com

|

800-441-7762

This

report

is

intended

for

current

holders.

It

is

not

authorized

for

use

as

an

offer

of

sale

or

a

solicitation

of

an

offer

to

buy

shares

of

the

Fund

unless

preceded

or

accompanied

by

the

Fund’s

current

prospectus.

Past

performance

results

shown

in

this

report

should

not

be

considered

a

representation

of

future

performance.

Investment

returns

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Statements

and

other

information

herein

are

as

dated

and

are

subject

to

change.

SRA-7/22-AR

Item 2 – Code of Ethics --

The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes.  During the period covered by this report, there have been no waivers granted under the code of ethics. The

registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Neil A. Cotty
Henry R. Keizer

Kenneth L. Urish

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert.  The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. 

The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Pricewaterhouse Coopers (“PwC”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End
BlackRock Total Factor Fund	$42,000	$42,000	$0	$0	$0	$0	$0	$0

The following table presents fees billed by PwC that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$0	$0

1

The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2

The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3

Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services.  Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee.  The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant.  Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”).  The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period.  Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project.  For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

                        Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services).  The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting.  At this meeting, an analysis of such services is presented to the Committee for ratification.  The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2)  None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g)

The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BlackRock Total Factor Fund	$0	$0

              (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and

the Affiliated Service Providers

that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

               (i) – Not Applicable

               (j) – Not Applicable

Item 5 –  Audit Committee of Listed Registrant – Not Applicable

Item 6 – Investments

 
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 –  Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 –  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.  

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies –Not Applicable

Item 13 – Exhibits attached hereto

              (a)(1) Code of Ethics – See Item 2

              (a)(2) Section 302 Certifications are attached

section302

(a)(3)

Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4)

Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

section906

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Funds

^SM

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          BlackRock Funds

^SM

Date: September 23, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          BlackRock Funds

^SM

Date: September 23, 2022

By:     /s/ Trent Walker

          Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds

^SM

Date: September 23, 2022