Schedule of Investments (unaudited) February 29, 2024 | BlackRock Sustainable Advantage Large Cap Core Fund (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
Axon Enterprise, Inc.(a) | 3,808 | $ | 1,170,465 | |||||
HEICO Corp. | 1,670 | 322,978 | ||||||
HEICO Corp., Class A | 35,385 | 5,505,552 | ||||||
Northrop Grumman Corp. | 2,522 | 1,162,693 | ||||||
Textron, Inc. | 46,920 | 4,179,164 | ||||||
|
| |||||||
12,340,852 | ||||||||
Air Freight & Logistics — 0.8% | ||||||||
Expeditors International of Washington, Inc. | 94,669 | 11,322,412 | ||||||
|
| |||||||
Automobile Components — 0.0% | ||||||||
Visteon Corp.(a) | 1,620 | 183,254 | ||||||
|
| |||||||
Automobiles — 1.5% | ||||||||
General Motors Co. | 22,324 | 914,837 | ||||||
Tesla, Inc.(a) | 92,219 | 18,617,172 | ||||||
|
| |||||||
19,532,009 | ||||||||
Banks — 2.2% | ||||||||
Bank of America Corp. | 353,419 | 12,200,024 | ||||||
Bank OZK | 9,021 | 395,120 | ||||||
First Horizon Corp. | 35,394 | 499,055 | ||||||
FNB Corp. | 51,342 | 684,902 | ||||||
JPMorgan Chase & Co. | 57,100 | 10,624,026 | ||||||
KeyCorp. | 242,565 | 3,461,403 | ||||||
Synovus Financial Corp. | 16,017 | 607,685 | ||||||
Zions Bancorp NA | 22,535 | 888,555 | ||||||
|
| |||||||
29,360,770 | ||||||||
Beverages — 1.5% | ||||||||
Coca-Cola Co. | 88,756 | 5,327,135 | ||||||
PepsiCo, Inc. | 86,536 | 14,307,862 | ||||||
|
| |||||||
19,634,997 | ||||||||
Biotechnology — 4.0% | ||||||||
AbbVie, Inc. | 51,655 | 9,093,863 | ||||||
Amgen, Inc. | 55,160 | 15,104,463 | ||||||
BioMarin Pharmaceutical, Inc.(a) | 6,227 | 537,266 | ||||||
Gilead Sciences, Inc. | 208,319 | 15,019,800 | ||||||
Incyte Corp.(a) | 115,155 | 6,720,446 | ||||||
Neurocrine Biosciences, Inc.(a) | 22,006 | 2,869,582 | ||||||
United Therapeutics Corp.(a) | 4,663 | 1,052,159 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 7,134 | 3,001,559 | ||||||
|
| |||||||
53,399,138 | ||||||||
Broadline Retail — 4.8% | ||||||||
Amazon.com, Inc.(a) | 318,576 | 56,311,494 | ||||||
eBay, Inc. | 152,610 | 7,215,401 | ||||||
MercadoLibre, Inc.(a) | 405 | 646,096 | ||||||
|
| |||||||
64,172,991 | ||||||||
Building Products — 1.8% | ||||||||
Builders FirstSource, Inc.(a) | 19,305 | 3,767,950 | ||||||
Carlisle Cos., Inc. | 3,265 | 1,142,750 | ||||||
Lennox International, Inc. | 13,069 | 6,158,243 | ||||||
Owens Corning | 80,172 | 12,008,162 | ||||||
Trane Technologies PLC | 2,807 | 791,490 | ||||||
|
| |||||||
23,868,595 | ||||||||
Capital Markets — 3.2% | ||||||||
FactSet Research Systems, Inc. | 4,868 | 2,251,839 | ||||||
Franklin Resources, Inc. | 112,342 | 3,083,788 | ||||||
Invesco Ltd. | 316,161 | 4,872,041 | ||||||
Moody’s Corp. | 39,688 | 15,058,421 | ||||||
MSCI, Inc., Class A | 1,450 | 813,407 |
Security | Shares | Value | ||||||
Capital Markets (continued) | ||||||||
Nasdaq, Inc. | 250,485 | $ | 14,077,257 | |||||
Raymond James Financial, Inc. | 1,520 | 182,886 | ||||||
S&P Global, Inc. | 5,150 | 2,206,157 | ||||||
|
| |||||||
42,545,796 | ||||||||
Chemicals — 0.3% | ||||||||
LyondellBasell Industries NV, Class A | 35,054 | 3,515,215 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.5% | ||||||||
Republic Services, Inc. | 19,597 | 3,598,009 | ||||||
Tetra Tech, Inc. | 14,305 | 2,536,563 | ||||||
|
| |||||||
6,134,572 | ||||||||
Communications Equipment — 0.6% | ||||||||
Ciena Corp.(a) | 5,611 | 319,715 | ||||||
Cisco Systems, Inc. | 101,675 | 4,918,020 | ||||||
Lumentum Holdings, Inc. (a) | 34,271 | 1,661,115 | ||||||
Viasat, Inc.(a) | 26,873 | 525,905 | ||||||
|
| |||||||
7,424,755 | ||||||||
Construction & Engineering — 1.3% | ||||||||
AECOM | 145,046 | 12,884,436 | ||||||
EMCOR Group, Inc. | 14,381 | 4,508,731 | ||||||
|
| |||||||
17,393,167 | ||||||||
Consumer Finance — 1.5% | ||||||||
American Express Co. | 77,135 | 16,924,962 | ||||||
Synchrony Financial | 90,324 | 3,730,381 | ||||||
|
| |||||||
20,655,343 | ||||||||
Consumer Staples Distribution & Retail — 1.3% | ||||||||
Costco Wholesale Corp. | 5,417 | 4,029,652 | ||||||
Target Corp. | 21,928 | 3,353,230 | ||||||
Walmart, Inc. | 174,771 | 10,243,328 | ||||||
|
| |||||||
17,626,210 | ||||||||
Containers & Packaging — 0.4% | ||||||||
AptarGroup, Inc. | 38,194 | 5,364,729 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% | ||||||||
H&R Block, Inc. | 20,948 | 1,025,405 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.1% | ||||||||
AT&T, Inc. | 81,168 | 1,374,174 | ||||||
|
| |||||||
Electric Utilities — 0.3% | ||||||||
Edison International | 37,612 | 2,558,368 | ||||||
Exelon Corp. | 31,008 | 1,111,327 | ||||||
|
| |||||||
3,669,695 | ||||||||
Electrical Equipment — 0.1% | ||||||||
Acuity Brands, Inc. | 7,904 | 1,985,801 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% | ||||||||
TE Connectivity Ltd. | 55,003 | 7,896,231 | ||||||
|
| |||||||
Energy Equipment & Services — 0.0% | ||||||||
Baker Hughes Co., Class A | 19,299 | 571,057 | ||||||
Schlumberger NV | 2,711 | 131,023 | ||||||
|
| |||||||
702,080 | ||||||||
Entertainment — 0.7% | ||||||||
Electronic Arts, Inc. | 11,755 | 1,639,587 | ||||||
Netflix, Inc.(a) | 13,743 | 8,285,930 | ||||||
Warner Bros Discovery, Inc., Series A(a) | 9,980 | 87,724 | ||||||
|
| |||||||
10,013,241 | ||||||||
Financial Services — 3.3% | ||||||||
Berkshire Hathaway, Inc., Class B(a) | 23,476 | 9,611,074 | ||||||
Block, Inc., Class A(a) | 32,818 | 2,608,046 |
1 |
Schedule of Investments (unaudited) (continued) February 29, 2024 | BlackRock Sustainable Advantage Large Cap Core Fund (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Financial Services (continued) |
| |||||||
Jack Henry & Associates, Inc. | 4,728 | $ | 821,585 | |||||
Mastercard, Inc., Class A | 54,694 | 25,966,523 | ||||||
Visa, Inc., Class A | 17,968 | 5,078,476 | ||||||
|
| |||||||
44,085,704 | ||||||||
Food Products — 0.8% | ||||||||
Bunge Global SA | 2,917 | 275,277 | ||||||
General Mills, Inc. | 91,368 | 5,863,998 | ||||||
Hershey Co. | 27,419 | 5,152,579 | ||||||
|
| |||||||
11,291,854 | ||||||||
Gas Utilities — 0.2% |
| |||||||
New Jersey Resources Corp. | 52,322 | 2,177,118 | ||||||
UGI Corp. | 43,871 | 1,073,962 | ||||||
|
| |||||||
3,251,080 | ||||||||
Ground Transportation — 0.7% | ||||||||
Old Dominion Freight Line, Inc. | 7,650 | 3,384,972 | ||||||
Ryder System, Inc. | 9,565 | 1,091,366 | ||||||
Uber Technologies, Inc.(a) | 64,674 | 5,141,583 | ||||||
|
| |||||||
9,617,921 | ||||||||
Health Care Equipment & Supplies — 2.5% | ||||||||
Align Technology, Inc.(a) | 3,675 | 1,111,394 | ||||||
Boston Scientific Corp.(a) | 87,130 | 5,768,877 | ||||||
Dexcom, Inc.(a) | 28,664 | 3,298,366 | ||||||
Hologic, Inc.(a) | 9,328 | 688,406 | ||||||
IDEXX Laboratories, Inc.(a) | 1,083 | 622,974 | ||||||
Intuitive Surgical, Inc.(a) | 17,183 | 6,625,765 | ||||||
Medtronic PLC | 138,713 | 11,563,116 | ||||||
ResMed, Inc. | 5,790 | 1,005,839 | ||||||
Stryker Corp. | 8,680 | 3,029,928 | ||||||
|
| |||||||
33,714,665 | ||||||||
Health Care Providers & Services — 1.7% | ||||||||
Cardinal Health, Inc. | 24,564 | 2,750,677 | ||||||
Cencora, Inc. | 4,507 | 1,061,849 | ||||||
Elevance Health, Inc. | 32,200 | 16,140,250 | ||||||
McKesson Corp. | 4,189 | 2,184,187 | ||||||
UnitedHealth Group, Inc. | 1,162 | 573,563 | ||||||
|
| |||||||
22,710,526 | ||||||||
Health Care Technology(a) — 0.2% | ||||||||
Teladoc Health, Inc. | 117,686 | 1,774,705 | ||||||
Veeva Systems, Inc., Class A | 4,035 | 909,933 | ||||||
|
| |||||||
2,684,638 | ||||||||
Hotels, Restaurants & Leisure — 1.6% | ||||||||
Booking Holdings, Inc.(a) | 2,665 | 9,244,432 | ||||||
Boyd Gaming Corp. | 45,716 | 3,023,199 | ||||||
Domino’s Pizza, Inc. | 518 | 232,245 | ||||||
McDonald’s Corp. | 14,299 | 4,179,312 | ||||||
MGM Resorts International(a) | 91,949 | 3,979,553 | ||||||
Travel & Leisure Co. | 21,097 | 942,825 | ||||||
|
| |||||||
21,601,566 | ||||||||
Household Durables — 0.4% | ||||||||
Lennar Corp., Class A | 8,111 | 1,285,675 | ||||||
PulteGroup, Inc. | 11,807 | 1,279,643 | ||||||
Taylor Morrison Home Corp., Class A(a) | 32,861 | 1,860,261 | ||||||
Whirlpool Corp. | 3,067 | 329,365 | ||||||
|
| |||||||
4,754,944 | ||||||||
Household Products — 2.0% | ||||||||
Colgate-Palmolive Co. | 190,337 | 16,467,957 |
Security | Shares | Value | ||||||
Household Products (continued) | ||||||||
Kimberly-Clark Corp. | 19,449 | $ | 2,356,636 | |||||
Procter & Gamble Co. | 49,901 | 7,931,265 | ||||||
|
| |||||||
26,755,858 | ||||||||
Independent Power and Renewable Electricity Producers—0.0% | ||||||||
Clearway Energy, Inc., Class A | 19,410 | 393,247 | ||||||
|
| |||||||
Industrial Conglomerates — 0.7% | ||||||||
General Electric Co. | 22,420 | 3,517,474 | ||||||
Honeywell International, Inc. | 28,222 | 5,608,558 | ||||||
|
| |||||||
9,126,032 | ||||||||
Industrial REITs — 1.1% | ||||||||
EastGroup Properties, Inc. | 19,072 | 3,350,760 | ||||||
Prologis, Inc. | 84,879 | 11,311,824 | ||||||
|
| |||||||
14,662,584 | ||||||||
Insurance — 2.3% | ||||||||
Marsh & McLennan Cos., Inc. | 53,055 | 10,731,435 | ||||||
MetLife, Inc. | 82,835 | 5,776,913 | ||||||
Progressive Corp. | 34,372 | 6,515,556 | ||||||
Travelers Cos., Inc. | 35,538 | 7,852,477 | ||||||
|
| |||||||
30,876,381 | ||||||||
Interactive Media & Services — 6.7% | ||||||||
Alphabet, Inc., Class A(a) | 275,671 | 38,169,407 | ||||||
Alphabet, Inc., Class C(a) | 143,186 | 20,014,539 | ||||||
Meta Platforms, Inc., Class A | 54,944 | 26,929,703 | ||||||
Snap, Inc., Class A(a) | 392,173 | 4,321,746 | ||||||
|
| |||||||
89,435,395 | ||||||||
IT Services(a) — 0.1% | ||||||||
MongoDB, Inc., Class A | 1,848 | 827,128 | ||||||
Snowflake, Inc., Class A | 4,483 | 844,059 | ||||||
|
| |||||||
1,671,187 | ||||||||
Life Sciences Tools & Services — 0.5% | ||||||||
Agilent Technologies, Inc. | 45,779 | 6,288,203 | ||||||
|
| |||||||
Machinery — 1.5% | ||||||||
CNH Industrial NV | 42,578 | 508,807 | ||||||
Flowserve Corp. | 15,853 | 670,899 | ||||||
Graco, Inc. | 13,889 | 1,267,510 | ||||||
Oshkosh Corp. | 41,259 | 4,573,973 | ||||||
Otis Worldwide Corp. | 115,332 | 10,991,140 | ||||||
Pentair PLC | 31,803 | 2,473,955 | ||||||
|
| |||||||
20,486,284 | ||||||||
Media — 1.1% | ||||||||
Cable One, Inc. | 318 | 145,008 | ||||||
Comcast Corp., Class A | 41,342 | 1,771,505 | ||||||
Fox Corp., Class A | 304,804 | 9,080,111 | ||||||
Fox Corp., Class B | 4,114 | 112,641 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C(a) | 5,374 | 391,012 | ||||||
News Corp., Class A | 16,090 | 432,499 | ||||||
Paramount Global, Class B | 251,735 | 2,779,155 | ||||||
|
| |||||||
14,711,931 | ||||||||
Metals & Mining — 0.6% | ||||||||
Alcoa Corp. | 81,457 | 2,216,445 | ||||||
Nucor Corp. | 27,256 | 5,241,329 | ||||||
|
| |||||||
7,457,774 | ||||||||
Multi-Utilities — 1.0% | ||||||||
Consolidated Edison, Inc. | 25,004 | 2,180,599 | ||||||
Sempra | 160,922 | 11,361,093 | ||||||
|
| |||||||
13,541,692 |
S C H E D U L E O F I N V E S T M E N T S | 2 |
Schedule of Investments (unaudited) (continued) February 29, 2024 | BlackRock Sustainable Advantage Large Cap Core Fund (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Oil, Gas & Consumable Fuels — 3.1% |
| |||||||
Chevron Corp. | 1,095 | $ | 166,451 | |||||
ConocoPhillips | 76,892 | 8,653,426 | ||||||
Devon Energy Corp. | 184,397 | 8,124,532 | ||||||
EOG Resources, Inc. | 2,003 | 229,263 | ||||||
Exxon Mobil Corp. | 124,962 | 13,061,028 | ||||||
Marathon Petroleum Corp. | 3,299 | 558,290 | ||||||
Pioneer Natural Resources Co. | 6,633 | 1,560,015 | ||||||
Valero Energy Corp. | 69,771 | 9,869,806 | ||||||
|
| |||||||
42,222,811 | ||||||||
Paper & Forest Products — 0.3% | ||||||||
Louisiana-Pacific Corp. | 47,172 | 3,489,313 | ||||||
|
| |||||||
Passenger Airlines — 0.8% | ||||||||
Alaska Air Group, Inc. (a) | 136,683 | 5,110,577 | ||||||
Delta Air Lines, Inc. | 136,721 | 5,779,197 | ||||||
|
| |||||||
10,889,774 | ||||||||
Pharmaceuticals — 4.4% | ||||||||
Bristol-Myers Squibb Co. | 189,489 | 9,616,567 | ||||||
Eli Lilly & Co. | 37,747 | 28,449,159 | ||||||
Johnson & Johnson | 26,917 | 4,343,865 | ||||||
Merck & Co., Inc. | 56,954 | 7,241,701 | ||||||
Pfizer, Inc. | 295,180 | 7,839,981 | ||||||
Zoetis, Inc., Class A | 7,186 | 1,425,199 | ||||||
|
| |||||||
58,916,472 | ||||||||
Professional Services — 0.2% | ||||||||
Automatic Data Processing, Inc. | 6,101 | 1,532,144 | ||||||
Maximus, Inc. | 1,545 | 129,255 | ||||||
Robert Half, Inc. | 7,760 | 623,904 | ||||||
|
| |||||||
2,285,303 | ||||||||
Real Estate Management & Development(a) — 0.2% | ||||||||
CBRE Group, Inc., Class A | 8,076 | 742,104 | ||||||
Zillow Group, Inc., Class C | 47,336 | 2,657,916 | ||||||
|
| |||||||
3,400,020 | ||||||||
Residential REITs — 0.1% | ||||||||
Camden Property Trust | 6,116 | 577,840 | ||||||
Equity Residential | 5,546 | 333,924 | ||||||
|
| |||||||
911,764 | ||||||||
Retail REITs — 0.8% | ||||||||
Brixmor Property Group, Inc. | 474,295 | 10,723,810 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.8% | ||||||||
Applied Materials, Inc.(b) | 96,014 | 19,358,343 | ||||||
Broadcom, Inc. | 2,698 | 3,508,722 | ||||||
Cirrus Logic, Inc.(a) | 33,211 | 3,049,434 | ||||||
First Solar, Inc.(a) | 3,653 | 562,160 | ||||||
Intel Corp. | 84,793 | 3,650,339 | ||||||
KLA Corp. | 499 | 340,468 | ||||||
Micron Technology, Inc. | 37,783 | 3,423,517 | ||||||
Monolithic Power Systems, Inc. | 951 | 684,758 | ||||||
NVIDIA Corp. | 79,621 | 62,989,765 | ||||||
QUALCOMM, Inc. | 125,857 | 19,858,976 | ||||||
|
| |||||||
117,426,482 | ||||||||
Software — 12.3% |
| |||||||
Adobe, Inc.(a) | 28,613 | 16,031,292 | ||||||
Cadence Design Systems, Inc.(a) | 41,986 | 12,779,699 | ||||||
Crowdstrike Holdings, Inc., Class A(a) | 3,162 | 1,024,962 | ||||||
Fortinet, Inc.(a) | 37,099 | 2,563,912 | ||||||
Guidewire Software, Inc.(a) | 4,429 | 528,557 | ||||||
HubSpot, Inc.(a) | 4,240 | 2,623,754 | ||||||
Intuit, Inc. | 1,998 | 1,324,454 |
Security | Shares | Value | ||||||
Software (continued) |
| |||||||
Manhattan Associates, Inc.(a) | 19,494 | $ | 4,938,415 | |||||
Microsoft Corp. | 248,025 | 102,593,061 | ||||||
Nutanix, Inc., Class A(a) | 16,301 | 1,029,571 | ||||||
Oracle Corp. | 29,272 | 3,269,097 | ||||||
Pegasystems, Inc. | 24,319 | 1,581,708 | ||||||
Salesforce, Inc.(a) | 18,431 | 5,691,861 | ||||||
Splunk, Inc.(a) | 4,444 | 694,242 | ||||||
Synopsys, Inc.(a) | 6,967 | 3,997,177 | ||||||
Workday, Inc., Class A(a) | 10,827 | 3,190,284 | ||||||
Workiva, Inc., Class A(a) | 16,162 | 1,391,871 | ||||||
|
| |||||||
165,253,917 | ||||||||
Specialized REITs — 0.0% | ||||||||
Equinix, Inc. | 368 | 327,086 | ||||||
|
| |||||||
Specialty Retail — 2.8% | ||||||||
AutoNation, Inc.(a) | 9,297 | 1,392,691 | ||||||
Best Buy Co., Inc. | 113,527 | 9,182,064 | ||||||
Home Depot, Inc. | 59,510 | 22,650,101 | ||||||
Penske Automotive Group, Inc. | 3,234 | 496,420 | ||||||
Ulta Beauty, Inc.(a) | 6,049 | 3,318,239 | ||||||
|
| |||||||
37,039,515 | ||||||||
Technology Hardware, Storage & Peripherals — 7.2% | ||||||||
Apple, Inc. | 461,018 | 83,329,003 | ||||||
Dell Technologies, Inc., Class C | 10,221 | 967,520 | ||||||
Hewlett Packard Enterprise Co. | 507,990 | 7,736,688 | ||||||
HP, Inc. | 177,730 | 5,035,091 | ||||||
|
| |||||||
97,068,302 | ||||||||
Textiles, Apparel & Luxury Goods — 0.6% | ||||||||
Deckers Outdoor Corp.(a) | 4,001 | 3,583,255 | ||||||
Lululemon Athletica, Inc.(a) | 7,742 | 3,616,211 | ||||||
NIKE, Inc., Class B | 10,428 | 1,083,782 | ||||||
|
| |||||||
8,283,248 | ||||||||
Trading Companies & Distributors — 0.4% | ||||||||
SiteOne Landscape Supply, Inc.(a) | 5,594 | 942,477 | ||||||
WW Grainger, Inc. | 4,745 | 4,619,068 | ||||||
|
| |||||||
5,561,545 | ||||||||
|
| |||||||
Total Long-Term Investments — 99.5% |
| 1,334,060,260 | ||||||
|
| |||||||
Short-Term Securities |
| |||||||
Money Market Funds — 0.7% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.20%(c)(d) | 6,777,942 | 6,777,942 | ||||||
SL Liquidity Series, LLC, Money Market Series, 7.30%(c)(d)(e) | 3,312,544 | 3,313,869 | ||||||
|
| |||||||
Total Short-Term Securities — 0.7% |
| 10,091,811 | ||||||
|
| |||||||
Total Investments — 100.2% |
| 1,344,152,071 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets — (0.2)% | (3,243,533) | |||||||
|
| |||||||
Net Assets — 100.0% |
| $ | 1,340,908,538 | |||||
|
|
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan. |
(c) | Affiliate of the Fund. |
(d) | Annualized 7-day yield as of period end. |
(e) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
3 |
Schedule of Investments (unaudited) (continued) February 29, 2024 | BlackRock Sustainable Advantage Large Cap Core Fund |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended February 29, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 05/31/23 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 02/29/24 | Shares Held at 02/29/24 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 4,555,906 | $ | 2,222,036 | (a) | $ | — | $ | — | $ | — | $ | 6,777,942 | 6,777,942 | $ | 224,787 | $ | — | ||||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | 2,439,357 | 872,558 | (a) | — | 1,887 | 67 | 3,313,869 | 3,312,544 | 158,668 | (b) | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,887 | $ | 67 | $ | 10,091,811 | $ | 383,455 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
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 | ||||||||||||||||
S&P 500 E-Mini Index | 31 | 03/15/24 | $ | 7,911 | $ | 118,162 | ||||||||||
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Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Fund were fair valued using net asset value (“NAV”) as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
S C H E D U L E O F I N V E S T M E N T S | 4 |
Schedule of Investments (unaudited) (continued) February 29, 2024 | BlackRock Sustainable Advantage Large Cap Core Fund |
Fair Value Hierarchy as of Period End (continued)
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | $ | 1,334,060,260 | $ | — | $ | — | $ | 1,334,060,260 | ||||||||
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Short-Term Securities | ||||||||||||||||
Money Market Funds | 6,777,942 | — | — | 6,777,942 | ||||||||||||
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$ | 1,340,838,202 | $ | — | $ | — | 1,340,838,202 | ||||||||||
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Investments Valued at NAV(a) | 3,313,869 | |||||||||||||||
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$ | 1,344,152,071 | |||||||||||||||
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Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Equity Contracts | $ | 118,162 | $ | — | $ | — | $ | 118,162 | ||||||||
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(a) | Certain investments of the Fund were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Portfolio Abbreviation
MSCI | Morgan Stanley Capital International | |
S&P | Standard & Poor’s |
5 |