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
SMBlackRock Short Obligations Fund
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, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 07/31/2023
Date of reporting period: 07/31/2023
Item 1 – Report to Stockholders
(a)
The Report to Shareholders is attached herewith.
(b)
Not Applicable
JULY
31,
2023
Not
FDIC
Insured
-
May
Lose
Value
-
No
Bank
Guarantee
2023
Annual
Report
BlackRock
Funds
SM
BlackRock
Short
Obligations
Fund
Dear
Shareholder,
Despite
an
uncertain
economic
landscape
during
the
12-month
reporting
period
ended
July
31,
2023,
the
resilience
of
the
U.S.
economy
in
the
face
of
ever
tighter
financial
conditions
provided
an
encouraging
backdrop
for
investors.
While
inflation
was
near
multi-decade
highs
at
the
beginning
of
the
period,
it
declined
precipitously
as
commodity
prices
dropped.
Labor
shortages
also
moderated,
although
wages
continued
to
grow
and
unemployment
rates
reached
the
lowest
levels
in
decades.
This
robust
labor
market
powered
further
growth
in
consumer
spending,
backstopping
the
economy.
Equity
returns
were
solid,
as
the
durability
of
consumer
sentiment
eased
investors’
concerns
about
the
economy’s
trajectory.
The
U.S.
economy
resumed
growth
in
the
third
quarter
of
2022
and
continued
to
expand
thereafter.
Most
major
classes
of
equities
advanced,
including
large-
and
small-capitalization
U.S.
stocks
and
equities
from
developed
and
emerging
markets.
The
10-year
U.S.
Treasury
yield
rose
during
the
reporting
period,
driving
its
price
down,
as
investors
reacted
to
elevated
inflation
and
attempted
to
anticipate
future
interest
rate
changes.
The
corporate
bond
market
also
faced
inflationary
headwinds,
although
high-yield
corporate
bond
prices
fared
significantly
better
than
investment-
grade
bonds
as
demand
from
yield-seeking
investors
remained
strong.
The
U.S.
Federal
Reserve
(the
“Fed”),
acknowledging
that
inflation
has
been
more
persistent
than
expected,
raised
interest
rates
seven
times
during
the
12-month
period
ended
July
31,
2023.
Furthermore,
the
Fed
wound
down
its
bond-buying
programs
and
incrementally
reduced
its
balance
sheet
by
not
replacing
securities
that
reach
maturity.
However,
the
Fed
declined
to
raise
interest
rates
at
its
June
2023
meeting,
the
first
time
it
paused
its
tightening
in
the
current
cycle,
before
again
raising
rates
in
July
2023.
Supply
constraints
appear
to
have
become
an
embedded
feature
of
the
new
macroeconomic
environment,
making
it
difficult
for
developed
economies
to
increase
production
without
sparking
higher
inflation.
Geopolitical
fragmentation
and
an
aging
population
risk
further
exacerbating
these
constraints,
keeping
the
labor
market
tight
and
wage
growth
high.
Although
the
Fed
has
decelerated
the
pace
of
interest
rate
hikes
and
recently
opted
for
a
pause,
we
believe
that
the
new
economic
regime
means
that
the
Fed
will
need
to
maintain
high
rates
for
an
extended
period
to
keep
inflation
under
control.
Furthermore,
ongoing
structural
changes
may
mean
that
the
Fed
will
be
hesitant
to
cut
interest
rates
in
the
event
of
faltering
economic
activity
lest
inflation
accelerate
again.
We
believe
investors
should
expect
a
period
of
higher
volatility
as
markets
adjust
to
the
new
economic
reality
and
policymakers
attempt
to
adapt.
While
we
favor
an
overweight
position
to
developed
market
equities
in
the
long
term,
we
prefer
an
underweight
stance
in
the
near-term.
Expectations
for
corporate
earnings
remain
elevated,
which
seems
inconsistent
with
macroeconomic
constraints.
Nevertheless,
we
are
overweight
on
emerging
market
stocks
in
the
near-term
as
growth
trends
for
emerging
markets
appear
brighter.
We
also
believe
that
stocks
with
an
A.I.
tilt
should
benefit
from
an
investment
cycle
that
is
set
to
support
revenues
and
margins.
We
are
neutral
on
credit
overall
amid
tightening
credit
and
financial
conditions;
however,
there
are
selective
opportunities
in
the
near
term.
For
fixed
income
investing
with
a
six-
to
twelve-month
horizon,
we
see
the
most
attractive
investments
in
short-term
U.S.
Treasuries,
U.S.
inflation-linked
bonds,
U.S.
mortgage-backed
securities,
and
hard-currency
emerging
market
bonds.
Overall,
our
view
is
that
investors
need
to
think
globally,
position
themselves
to
be
prepared
for
a
decarbonizing
economy,
and
be
nimble
as
market
conditions
change.
We
encourage
you
to
talk
with
your
financial
advisor
and
visit
blackrock.com
for
further
insight
about
investing
in
today’s
markets.
Sincerely,
Rob
Kapito
President,
BlackRock
Advisors,
LLC
The
Markets
in
Review
Rob
Kapito
President,
BlackRock
Advisors,
LLC
Past
performance
is
not
an
indication
of
future
results.
Index
performance
is
shown
for
illustrative
purposes
only.
You
cannot
invest
directly
in
an
index.
Total
Returns
as
of
July
31,
2023
6-Month
12-Month
U.S.
large
cap
equities
(S&P
500
®
Index)
13.52%
13.02%
U.S.
small
cap
equities
(Russell
2000
®
Index)
4.51
7.91
International
equities
(MSCI
Europe,
Australasia,
Far
East
Index)
6.65
16.79
Emerging
market
equities
(MSCI
Emerging
Markets
Index)
3.26
8.35
3-month
Treasury
bills
(ICE
BofA
3-Month
U.S.
Treasury
Bill
Index)
2.34
3.96
U.S.
Treasury
securities
(ICE
BofA
10-Year
U.S.
Treasury
Index)
(2.08)
(7.56)
U.S.
investment
grade
bonds
(Bloomberg
U.S.
Aggregate
Bond
Index)
(1.02)
(3.37)
Tax-exempt
municipal
bonds
(Bloomberg
Municipal
Bond
Index)
0.20
0.93
U.S.
high
yield
bonds
(Bloomberg
U.S.
Corporate
High
Yield
2%
Issuer
Capped
Index)
2.92
4.42
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
Financial
Statements:
Schedule
of
Investments
................................................................................................
8
Statement
of
Assets
and
Liabilities
..........................................................................................
15
Statement
of
Operations
................................................................................................
17
Statements
of
Changes
in
Net
Assets
........................................................................................
18
Financial
Highlights
.....................................................................................................
19
Notes
to
Financial
Statements
...............................................................................................
22
Report
of
Independent
Registered
Public
Accounting
Firm
..............................................................................
29
Important
Tax
Information
.................................................................................................
30
Disclosure
of
Investment
Advisory
Agreements
and
Sub-Advisory
Agreement
..................................................................
31
Trustee
and
Officer
Information
..............................................................................................
34
Additional
Information
....................................................................................................
38
Glossary
of
Terms
Used
in
this
Report
..........................................................................................
40
Fund
Summary
as
of
July
31,
2023
2023
BlackRock
Annual
Report
to
Shareholders
4
BlackRock
Short
Obligations
Fund
Investment
Objective
BlackRock
Short
Obligations
Fund’s
(the
“Fund”)
investment
objective
is
to
seek
current
income
consistent
with
preservation
of
capital.
Portfolio
Management
Commentary
How
did
the
Fund
perform?
For
the
12-month
period
ended
July
31,
2023,
the
Fund’s
Class
K
Shares
outperformed
the
benchmark,
the
ICE
BofA
6-Month
U.S.
Treasury
Bill
Index,
while
the
Fund’s
Institutional
Shares
performed
in
line.
For
the
same
period,
the
Fund’s
Investor
A
shares
underperformed
the
benchmark.
What
factors
influenced
performance?
The
Fund’s
below
benchmark
stance
with
respect
to
overall
portfolio
duration
and
corresponding
interest
rate
sensitivity
proved
additive
to
performance
as
the
Fed
moved
to
aggressively
raise
its
benchmark
overnight
lending
rate.
In
addition,
security
selection
aided
relative
return,
most
notably
exposure
to
corporate
credit
and
an
allocation
to
floating
rate
instruments
with
payments
tied
to
the
Secured
Overnight
Financing
Rate
(“SOFR”).
Investor
outflows
from
the
Fund
in
a
rising
interest
rate
environment
weighed
on
performance
relative
to
the
benchmark.
The
Fund’s
positioning
along
the
yield
curve
also
detracted
from
relative
performance.
The
Fund’s
cash
position
had
no
material
impact
on
performance.
Describe
recent
portfolio
activity.
The
Fund
sought
to
capture
higher
reinvestment
rates
by
concentrating
purchases
in
short-term
commercial
paper,
which
experienced
steady
increases
in
yield,
and
by
selectively
adding
duration
with
both
fixed
and
floating
rate
investment
grade
corporate
purchases
at
attractive
yields.
Describe
portfolio
positioning
at
period
end.
At
period
end,
the
Fund’s
positioning
reflected
the
view
that
the
Fed
is
likely
near
the
end
of
its
hiking
cycle,
with
an
extended
duration
stance
and
decreased
exposure
to
floating
rate
instruments.
The
Fund
ended
the
period
with
a
47%
allocation
to
floaters,
with
34%
allocated
to
SOFR-linked
instruments
which
reset
daily
and
provide
attractive
income
following
the
Fed’s
interest
rate
hikes.
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,
2023
(continued)
5
Fund
Summary
BlackRock
Short
Obligations
Fund
GROWTH
OF
$10,000
INVESTMENT
Performance
Past
performance
is
not
an
indication
of
future
results.
Performance
results
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
redemption
of
Fund
shares.
Performance
results
may
include
adjustments
made
for
financial
reporting
purposes
in
accordance
with
U.S.
generally
accepted
accounting
principles.
(a)
Assuming
transaction
costs
and
other
operating
expenses,
including
investment
advisory
fees
and
administration
fees,
if
any.
Institutional,
Class
K
and
Investor
A
Shares
do
not
have
a
sales
charge.
(b)
Under
normal
market
conditions,
the
Fund
will
invest
in
U.S.
dollar-denominated
investment
grade
and
short-term
fixed
and
floating
rate
debt
securities
maturing
in
three
years
or
less
(with
certain
exceptions)
and
will
maintain
a
dollar-weighted
average
maturity
of
180
days
or
less
and
a
dollar-weighted
average
life
of
365
days
or
less.
(c)
An
unmanaged
index
that
tracks
6-month
U.S.
Treasury
securities.
On
March
1,
2021
the
Fund
began
to
track
the
4pm
pricing
variant
of
ICE
BofA
6-Month
U.S.
Treasury
Bill
Index
(the
“Index”).
Historical
index
data
prior
to
3/1/2021
is
for
the
3pm
pricing
variant
of
the
Index.
Index
data
on
and
after
March
1,
2021
is
for
the
4pm
pricing
variant
of
the
Index.
Average
Annual
Total
Returns
(a)
Standardized
30-Day
Yields
(b)
Unsubsidized
30-Day
Yields
(b)
1
Year
5
Years
10
Years
Institutional
...................................................
5.35%
5.23%
3.96%
1.76%
1.34%
Investor
A
....................................................
5.12
5.00
3.73
1.52
1.08
Class
K
.....................................................
5.42
5.28
4.04
1.81
1.40
ICE
BofA
6-Month
U.S.
Treasury
Bill
Index
............................
—
—
3.95
1.72
1.16
(a)
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
standardized
30-day
yield
includes
the
effects
of
any
waivers
and/or
reimbursements.
The
unsubsidized
30-day
yield
excludes
the
effects
of
any
waivers
and/or
reimbursements.
Fund
Summary
as
of
July
31,
2023
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
6
BlackRock
Short
Obligations
Fund
Expense
Example
See
“Disclosure
of
Expenses”
for
further
information
on
how
expenses
were
calculated.
Portfolio
Information
Actual
H
ypothetical
5%
Re
turn
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Annualized
Expense
Ratio
Institutional
...............................
$
1,000.00
$
1,022.50
$
1.40
$
1,000.00
$
1,023.41
$
1.40
0.28%
Investor
A
................................
1,000.00
1,021.40
2.51
1,000.00
1,022.32
2.51
0.50
Class
K
..................................
1,000.00
1,022.90
1.00
1,000.00
1,023.80
1.00
0.20
(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
Net
Assets
Corporate
Bonds
....................................
58.0
%
Commercial
Paper
...................................
18.9
Certificates
of
Deposit
.................................
8.5
Repurchase
Agreements
...............................
7.8
Asset-Backed
Securities
...............................
5.2
Municipal
Bonds
....................................
1.2
Foreign
Agency
Obligations
.............................
0.2
Money
Market
Funds
.................................
0.0
(a)
Other
Assets
Less
Liabilities
............................
0.2
MATURITY
BREAKDOWN
Percent
of
Net
Assets
1-7
days
..........................................
4.9
%
8-14
days
.........................................
2.0
15-30
days
........................................
7.5
31-60
days
........................................
7.2
61-90
days
........................................
5.4
91-120
days
.......................................
9.3
121-150
days
......................................
0.9
>150
days
........................................
62.8
(a)
Represents
less
than
0.1%
of
the
Fund's
net
assets.
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.
Investor
A
Shares
are
not
subject
to
any
sales
charge
and
bear
no
ongoing
distribution
fee.
These
shares
are
subject
to
an
ongoing
service
fee
of
0.25
%
per
year.
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
genera
lly
available
through
financial
intermediaries.
Investor
A
Shares
performance
shown
prior
to
the
Investor
A
Shares
inception
date
of
March
9,
2018
is
that
of
Class
K
Shares
(which
have
no
distribution
or
service
fees)
and
was
restated
to
reflect
Investor
A
Shares
fees.
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
Financial
Statements
for
additional
information
on
waivers
and/or
reimbursements.
The
standardized
30-day
yield
includes
the
effects
of
any
waivers
and/or
reimbursements.
The
unsubsidized
30-day
yield
excludes
the
effects
of
any
waivers
and/or
reimbursements.
Disclosure
of
Expenses
Shareholders
of
the
Fund
may
incur
the
following
charges:
(a)
transactional
expenses;
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.
2023
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
July
31,
2023
BlackRock
Short
Obligations
Fund
8
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
American
Express
Credit
Account
Master
Trust,
Series
2022-4,
Class
A,
4.95%,
10/15/27
.
USD
5,000
$
4,974,978
BMW
Vehicle
Lease
Trust,
Series
2023-1,
Class
A2,
5.27%,
02/25/25
..........
1,443
1,440,047
BMW
Vehicle
Owner
Trust,
Series
2022-A,
Class
A2A,
2.52%,
12/26/24
.........
1,847
1,836,253
Carmax
Auto
Owner
Trust
Series
2022-4,
Class
A2A,
5.34%,
12/15/25
3,509
3,500,013
Series
2023-1,
Class
A2A,
5.23%,
01/15/26
4,800
4,783,461
Series
2023-2,
Class
A2B,
(SOFR
30
day
Average
+
0.85%),
5.92%,
06/15/26
(a)
.
4,295
4,307,180
Series
2023-3,
Class
A2B,
(SOFR
30
day
Average
+
0.60%),
5.67%,
11/16/26
(a)
.
2,707
2,708,571
Chase
Issuance
Trust,
Series
2022-A1,
Class
A,
3.97%,
09/15/27
...............
4,700
4,579,760
CNH
Equipment
Trust,
Series
2023-A,
Class
A2,
5.34%,
09/15/26
..............
2,132
2,122,673
Ford
Credit
Auto
Lease
Trust,
Series
2023-A,
Class
A2A,
5.19%,
06/15/25
.........
1,039
1,036,361
Ford
Credit
Auto
Owner
Trust
Series
2022-A,
Class
A2,
0.73%,
09/15/24
173
173,137
Series
2022-B,
Class
A2A,
3.44%,
02/15/25
1,586
1,577,165
Honda
Auto
Receivables
Owner
Trust,
Series
2023-2,
Class
A2,
5.41%,
04/15/26
.....
3,800
3,789,669
Hyundai
Auto
Lease
Securitization
Trust
(b)
Series
2022-B,
Class
A2A,
2.75%,
10/15/24
2,969
2,954,925
Series
2022-C,
Class
A2A,
4.34%,
01/15/25
601
597,430
Series
2023-A,
Class
A2A,
5.20%,
04/15/25
2,538
2,528,737
Series
2023-B,
Class
A2A,
5.47%,
09/15/25
1,794
1,785,501
Series
2023-B,
Class
A2B,
(SOFR
30
day
Average
+
0.75%),
5.82%,
09/15/25
(a)
.
1,939
1,939,818
Mercedes-Benz
Auto
Lease
Trust,
Series
2023-
A,
Class
A2,
5.24%,
11/17/25
.........
7,272
7,238,486
Nissan
Auto
Receivables
Owner
Trust
Series
2022-B,
Class
A2,
4.50%,
08/15/25
2,903
2,886,888
Series
2023-A,
Class
A2B,
(SOFR
30
day
Average
+
0.65%),
5.72%,
02/17/26
(a)
.
5,637
5,645,636
Toyota
Auto
Receivables
Owner
Trust
Series
2022-B,
Class
A2A,
2.35%,
01/15/25
1,497
1,486,861
Series
2023-B,
Class
A2A,
5.28%,
05/15/26
3,260
3,247,569
Series
2023-B,
Class
A2B,
(SOFR
30
day
Average
at
0.52%
Floor
+
0.52%),
5.59%,
05/15/26
(a)
...................
3,102
3,103,731
Total
Asset-Backed
Securities
—
5.2%
(Cost:
$70,540,810)
..............................
70,244,850
Corporate
Bonds
Aerospace
&
Defense
—
0.3%
Lockheed
Martin
Corp.,
4.95%,
10/15/25
..
2,220
2,215,541
RTX
Corp.,
5.00%,
02/27/26
..........
1,595
1,593,601
3,809,142
Automobiles
—
4.5%
(b)
BMW
US
Capital
LLC
0.80%,
04/01/24
.................
2,680
2,593,609
(SOFR
Index
+
0.53%),
5.86%,
04/01/24
(a)
15,615
15,630,225
(SOFR
Index
+
0.38%),
5.74%,
08/12/24
(a)
17,735
17,746,474
Mercedes-Benz
Finance
North
America
LLC
0.75%,
03/01/24
.................
16,690
16,170,619
5.38%,
08/01/25
.................
3,330
3,328,835
Volkswagen
Group
of
America
Finance
LLC,
(1-day
SOFR
+
0.95%),
6.30%,
06/07/24
(a)
5,140
5,162,385
60,632,147
Security
Par
(000)
Par
(000)
Value
Banks
—
14.4%
Australia
&
New
Zealand
Banking
Group
Ltd.,
5.09%,
12/08/25
................
USD
3,245
$
3,229,907
Banco
Santander
SA
3.89%,
05/24/24
.................
6,800
6,687,397
5.77%,
06/30/24
(a)
................
6,800
6,779,632
Bank
of
America
Corp.,
(1-day
SOFR
+
0.41%),
5.76%,
06/14/24
(a)
...............
15,915
15,895,425
Banque
Federative
du
Credit
Mutuel
SA,
4.94%,
01/26/26
(b)
...............
4,800
4,706,351
Citigroup,
Inc.,
(1-day
SOFR
+
1.37%),
4.14%,
05/24/25
(a)
....................
2,025
1,999,160
Cooperatieve
Rabobank
UA,
3.88%,
08/22/24
6,100
5,990,492
HSBC
Holdings
plc,
1.16%,
11/22/24
(a)
....
3,785
3,720,461
JPMorgan
Chase
&
Co.,
(1-day
SOFR
+
0.98%),
3.85%,
06/14/25
(a)
..........
6,600
6,476,061
KeyBank
NA
(SOFR
Index
+
0.32%),
5.66%,
06/14/24
(a)
14,355
14,043,406
(SOFR
Index
+
0.32%),
5.66%,
06/14/24
(a)
6,000
5,887,500
4.15%,
08/08/25
.................
2,050
1,961,845
Mitsubishi
UFJ
Financial
Group,
Inc.
(a)
(1-Year
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
+
1.70%),
4.79%,
07/18/25
....................
9,410
9,303,013
(1-Year
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
+
1.55%),
5.06%,
09/12/25
....................
5,895
5,832,358
(1-Year
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
+
1.08%),
5.72%,
02/20/26
....................
3,600
3,588,416
National
Australia
Bank
Ltd.,
5.20%,
05/13/25
3,140
3,133,843
Nordea
Bank
Abp
(b)
3.60%,
06/06/25
.................
4,425
4,257,403
4.75%,
09/22/25
.................
6,100
5,990,853
PNC
Financial
Services
Group,
Inc.
(The),
(SOFR
Index
+
1.09%),
5.67%,
10/28/25
(a)
5,450
5,422,980
Societe
Generale
SA,
4.35%,
06/13/25
(b)
...
5,000
4,858,804
Sumitomo
Mitsui
Financial
Group,
Inc.
0.51%,
01/12/24
.................
3,380
3,296,805
5.46%,
01/13/26
.................
4,800
4,793,217
Sumitomo
Mitsui
Trust
Bank
Ltd.
(b)
0.80%,
09/16/24
.................
8,000
7,558,535
(1-day
SOFR
+
0.44%),
5.78%,
09/16/24
(a)
10,000
9,971,739
Svenska
Handelsbanken
AB,
3.65%,
06/10/25
(b)
6,600
6,369,362
Swedbank
AB,
0.60%,
09/25/23
(b)
.......
4,000
3,967,560
Truist
Bank,
(1-day
SOFR
+
0.20%),
5.52%,
01/17/24
(a)
....................
20,000
19,869,200
Westpac
Banking
Corp.
5.35%,
10/18/24
.................
5,500
5,487,373
1.02%,
11/18/24
.................
2,395
2,263,738
(1-day
SOFR
+
0.30%),
5.65%,
11/18/24
(a)
8,985
8,964,458
192,307,294
Broadline
Retail
—
0.4%
eBay,
Inc.,
5.90%,
11/22/25
...........
5,500
5,574,662
Capital
Markets
—
7.3%
Bank
of
New
York
Mellon
Corp.
(The),
(1-day
SOFR
+
0.57%),
3.43%,
06/13/25
(a)
....
6,600
6,458,890
Credit
Suisse
AG
0.50%,
02/02/24
.................
2,670
2,592,547
(SOFR
Index
+
0.39%),
5.77%,
02/02/24
(a)
15,000
14,947,613
Deutsche
Bank
AG
Series
E,
0.96%,
11/08/23
..........
9,000
8,873,204
Series
E,
(1-day
SOFR
+
0.50%),
5.87%,
11/08/23
(a)
...................
13,175
13,146,911
4.16%,
05/13/25
.................
3,900
3,796,779
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
Schedule
of
Investments
9
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Capital
Markets
(continued)
Goldman
Sachs
Group,
Inc.
(The),
1.22%,
12/06/23
.....................
USD
4,000
$
3,933,692
Morgan
Stanley
(a)
5.84%,
11/10/23
.................
15,000
14,992,958
(1-day
SOFR
+
0.46%),
5.77%,
01/25/24
8,000
7,996,888
National
Securities
Clearing
Corp.,
5.15%,
05/30/25
(b)
....................
1,230
1,228,722
UBS
AG
(b)
(1-day
SOFR
+
0.36%),
5.73%,
02/09/24
(a)
5,000
4,994,165
0.70%,
08/09/24
.................
3,680
3,496,928
(1-day
SOFR
+
0.45%),
5.82%,
08/09/24
(a)
6,775
6,760,163
1.38%,
01/13/25
.................
4,430
4,163,379
97,382,839
Chemicals
—
0.4%
Ecolab,
Inc.,
0.90%,
12/15/23
.........
2,695
2,647,108
Sherwin-Williams
Co.
(The),
4.05%,
08/08/24
2,775
2,728,142
5,375,250
Consumer
Finance
—
3.8%
American
Express
Co.,
3.38%,
05/03/24
...
2,695
2,648,596
American
Honda
Finance
Corp.
(3-mo.
LIBOR
USD
+
0.42%),
5.93%,
09/08/23
(a)
...................
5,790
5,792,069
0.75%,
08/09/24
.................
2,040
1,943,690
Capital
One
Financial
Corp.,
(1-day
SOFR
+
1.37%),
4.17%,
05/09/25
(a)
..........
6,800
6,652,593
Caterpillar
Financial
Services
Corp.
0.60%,
09/13/24
.................
6,730
6,378,304
(1-day
SOFR
+
0.27%),
5.62%,
09/13/24
(a)
12,325
12,320,240
John
Deere
Capital
Corp.,
3.40%,
06/06/25
.
4,310
4,176,908
PACCAR
Financial
Corp.,
3.15%,
06/13/24
.
2,955
2,895,413
Toyota
Motor
Credit
Corp.
(1-day
SOFR
+
0.62%),
5.93%,
06/13/24
(a)
3,635
3,641,870
4.40%,
09/20/24
.................
5,000
4,943,371
51,393,054
Consumer
Staples
Distribution
&
Retail
—
0.5%
Walmart,
Inc.,
3.90%,
09/09/25
........
7,000
6,870,436
Diversified
Telecommunication
Services
—
2.1%
Bell
Telephone
Co.
of
Canada,
Series
US-3,
0.75%,
03/17/24
................
8,000
7,743,935
Verizon
Communications,
Inc.
0.75%,
03/22/24
.................
3,325
3,217,608
(SOFR
Index
+
0.50%),
5.83%,
03/22/24
(a)
16,955
16,963,674
27,925,217
Electric
Utilities
—
3.5%
Eversource
Energy,
Series
T,
(SOFR
Index
+
0.25%),
5.62%,
08/15/23
(a)
..........
19,015
19,000,549
Florida
Power
&
Light
Co.
(SOFR
Index
+
0.38%),
5.69%,
01/12/24
(a)
2,505
2,505,000
4.45%,
05/15/26
.................
1,915
1,896,918
NextEra
Energy
Capital
Holdings,
Inc.
(SOFR
Index
+
0.40%),
5.77%,
11/03/23
(a)
20,000
19,996,133
6.05%,
03/01/25
.................
915
921,636
Wisconsin
Public
Service
Corp.,
5.35%,
11/10/25
.....................
2,720
2,729,895
47,050,131
Electronic
Equipment,
Instruments
&
Components
—
0.1%
Amphenol
Corp.,
4.75%,
03/30/26
.......
750
743,635
Financial
Services
—
2.6%
LSEGA
Financing
plc,
0.65%,
04/06/24
(b)
..
3,120
3,007,957
National
Rural
Utilities
Cooperative
Finance
Corp.,
Series
D,
(1-day
SOFR
+
0.33%),
5.65%,
10/18/24
(a)
...............
5,000
4,984,316
Security
Par
(000)
Par
(000)
Value
Financial
Services
(continued)
Nationwide
Building
Society,
0.55%,
01/22/24
(b)
USD
1,520
$
1,482,103
NTT
Finance
Corp.
(b)
0.58%,
03/01/24
.................
6,005
5,824,104
4.14%,
07/26/24
.................
1,120
1,102,779
Siemens
Financieringsmaatschappij
NV,
(1-day
SOFR
+
0.43%),
5.78%,
03/11/24
(a)(b)
...
18,980
19,007,521
35,408,780
Food
Products
—
2.6%
Cargill,
Inc.,
4.88%,
10/10/25
(b)
.........
5,185
5,157,426
Hormel
Foods
Corp.,
0.65%,
06/03/24
....
5,565
5,338,672
Nestle
Holdings,
Inc.
(b)
0.61%,
09/14/24
.................
15,000
14,237,686
4.00%,
09/12/25
.................
6,200
6,090,765
Unilever
Capital
Corp.,
0.63%,
08/12/24
...
4,635
4,412,672
35,237,221
Health
Care
Providers
&
Services
—
1.0%
UnitedHealth
Group,
Inc.
0.55%,
05/15/24
.................
8,030
7,722,073
5.00%,
10/15/24
.................
6,000
5,987,460
13,709,533
Hotels,
Restaurants
&
Leisure
—
0.3%
Starbucks
Corp.,
(SOFR
Index
+
0.42%),
5.79%,
02/14/24
(a)
...............
3,490
3,490,163
Insurance
—
5.2%
(b)
Brighthouse
Financial
Global
Funding,
1.20%,
12/15/23
.....................
5,000
4,915,975
MassMutual
Global
Funding
II,
4.15%,
08/26/25
2,238
2,181,430
Metropolitan
Life
Global
Funding
I,
(1-day
SOFR
+
0.32%),
5.64%,
01/07/24
(a)
....
20,000
19,994,284
New
York
Life
Global
Funding
3.15%,
06/06/24
.................
3,360
3,286,012
(SOFR
Index
+
0.43%),
5.78%,
06/06/24
(a)
3,655
3,655,405
(1-day
SOFR
+
0.70%),
5.79%,
06/13/25
(a)
3,700
3,709,879
3.60%,
08/05/25
.................
6,200
5,992,795
Northwestern
Mutual
Global
Funding,
4.00%,
07/01/25
.....................
6,400
6,213,479
Pacific
Life
Global
Funding
II,
(SOFR
Index
+
0.86%),
6.19%,
06/16/25
(a)
..........
3,515
3,519,394
Principal
Life
Global
Funding
II
0.75%,
08/23/24
.................
705
668,858
(1-day
SOFR
+
0.38%),
5.74%,
08/23/24
(a)
680
678,826
Protective
Life
Global
Funding
0.63%,
10/13/23
.................
5,670
5,609,300
0.47%,
01/12/24
.................
10,000
9,758,366
70,184,003
Life
Sciences
Tools
&
Services
—
0.6%
Thermo
Fisher
Scientific,
Inc.,
(SOFR
Index
+
0.53%),
5.85%,
10/18/24
(a)
..........
7,495
7,495,000
Machinery
—
0.2%
Daimler
Truck
Finance
North
America
LLC,
5.20%,
01/17/25
(b)
...............
2,545
2,528,933
Media
—
0.1%
Comcast
Corp.,
5.25%,
11/07/25
.......
1,000
1,005,219
Multi-Utilities
—
2.8%
Dominion
Energy,
Inc.,
Series
D,
(3-mo.
LIBOR
USD
+
0.53%),
6.08%,
09/15/23
(a)
.....
34,725
34,726,660
WEC
Energy
Group,
Inc.,
5.00%,
09/27/25
.
2,560
2,543,442
37,270,102
Oil,
Gas
&
Consumable
Fuels
—
2.2%
Enbridge,
Inc.
0.55%,
10/04/23
.................
1,890
1,872,545
2023
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
10
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Oil,
Gas
&
Consumable
Fuels
(continued)
(SOFR
Index
+
0.63%),
6.00%,
02/16/24
(a)
USD
5,520
$
5,522,446
TransCanada
PipeLines
Ltd.,
1.00%,
10/12/24
22,930
21,686,065
29,081,056
Pharmaceuticals
—
1.0%
Pfizer
Investment
Enterprises
Pte.
Ltd.,
4.65%,
05/19/25
.....................
7,600
7,534,947
Roche
Holdings,
Inc.,
(1-day
SOFR
+
0.24%),
5.59%,
03/05/24
(a)(b)
..............
5,370
5,368,598
12,903,545
Semiconductors
&
Semiconductor
Equipment
—
0.8%
Analog
Devices,
Inc.,
(1-day
SOFR
+
0.25%),
5.58%,
10/01/24
(a)
...............
7,055
7,048,778
NVIDIA
Corp.,
0.58%,
06/14/24
........
4,000
3,833,940
10,882,718
Specialty
Retail
—
0.6%
Home
Depot,
Inc.
(The),
4.00%,
09/15/25
..
1,910
1,874,679
Lowe's
Cos.,
Inc.
4.40%,
09/08/25
.................
4,150
4,072,687
4.80%,
04/01/26
.................
1,760
1,747,285
7,694,651
Technology
Hardware,
Storage
&
Peripherals
—
0.3%
Hewlett
Packard
Enterprise
Co.,
5.90%,
10/01/24
.....................
3,600
3,603,086
Tobacco
—
0.4%
Philip
Morris
International,
Inc.,
5.13%,
11/15/24
.....................
5,000
4,983,598
Total
Corporate
Bonds
—
58.0%
(Cost:
$784,973,254)
.............................
774,541,415
Foreign
Agency
Obligations
Canada
—
0.2%
CDP
Financial,
Inc.,
4.50%
,
02/13/26
(b)
....
2,523
2,493,194
Total
Foreign
Agency
Obligations
—
0.2%
(Cost:
$2,517,980)
..............................
2,493,194
Municipal
Bonds
Alabama
—
0.1%
Alabama
Federal
Aid
Highway
Finance
Authority
,
Series
2021B,
RB,
0.45%, 09/01/23
.................
2,255
2,245,836
Arizona
—
0.2%
Mizuho
Floater/Residual
Trust,
Tender
Option
Bond
Trust
Receipts/Certificates
,
Series
2021-MIZ9060TX,
RB
,
VRDN
(Mizuho
Capital
Markets
LLC
LOC)
,
5.72%, 08/01/23
(b)(c)(d)
..............
3,108
3,108,169
Florida
—
0.1%
County
of
Miami-Dade
,
Series
2021A,
RB,
0.71%, 10/01/23
.................
1,000
991,425
Illinois
—
0.1%
State
of
Illinois
,
Series
2023A,
GO,
5.25%, 05/01/25
.................
1,485
1,472,471
Security
Par
(000)
Par
(000)
Value
Other
—
0.7%
Mizuho
Floater/Residual
Trust,
Tender
Option
Bond
Trust
Receipts/Certificates,
Various
States
,
Series
2020-MIZ9035,
RB
,
VRDN
(Mizuho
Capital
Markets
LLC
LOC)
,
5.74%, 08/01/23
(b)(c)(d)
..............
USD
5,000
$
5,000,000
Taxable
Municipal
Funding
Trust,
Tender
Option
Bond
Trust
Receipts/Certificates,
Various
States
(b)(c)(d)
Series
2020-BTMFT-003,
RB,
VRDN
(Barclays
Bank
plc
LOC),
5.60%, 08/03/23
...............
900
900,000
Series
2020-11,
RB,
VRDN
(Barclays
Bank
plc
LOC),
5.60%, 08/03/23
........
2,220
2,220,000
8,120,000
Total
Municipal
Bonds
—
1.2%
(Cost:
$15,968,169)
..............................
15,937,901
Total
Long-Term
Investments
—
64.6%
(Cost:
$874,000,213)
.............................
863,217,360
Short-Term
Securities
Certificates
of
Deposit
—
8.5%
Domestic
—
0.3%
Wells
Fargo
Bank
NA,
(1-day
SOFR
+
0.50%),
5.80%, 01/22/24
(a)
................
4,000
4,003,081
Yankee
—
8.2%
(e)
Bank
of
Montreal,
Chicago
5.40%, 10/13/23
.................
5,000
4,997,135
5.41%, 05/17/24
.................
7,600
7,564,758
Bank
of
Nova
Scotia
(The),
Houston,
(1-day
SOFR
+
0.49%),
5.79%, 01/26/24
(a)
....
8,000
8,003,926
Barclays
Bank
plc,
New
York,
5.55%, 02/07/24
4,600
4,590,373
BNP
Paribas
SA,
New
York,
5.82%, 02/01/24
4,800
4,801,408
Canadian
Imperial
Bank
of
Commerce,
New
York
4.65%, 09/14/23
.................
5,800
5,794,233
5.40%, 02/08/24
.................
4,000
3,991,793
5.80%, 06/07/24
.................
3,760
3,756,461
(1-day
SOFR
+
0.64%),
5.94%, 07/22/24
(a)
4,500
4,503,867
Cooperatieve
Rabobank
UA,
New
York,
5.18%, 02/01/24
.................
5,000
4,987,061
Credit
Suisse
AG,
New
York,
(SOFR
Index
+
0.54%),
5.85%, 01/19/24
(a)
..........
3,000
3,001,435
Lloyds
Bank
Corporate
Markets
plc,
New
York,
5.24%, 10/12/23
.................
5,000
4,994,963
Mizuho
Bank
Ltd.,
New
York,
5.80%, 01/29/24
9,870
9,869,718
National
Australia
Bank
Ltd.,
New
York,
(1-day
SOFR
+
0.52%),
5.82%, 04/26/24
(a)
....
3,970
3,970,859
Natixis
SA,
New
York,
5.15%, 11/02/23
....
2,000
1,996,846
Royal
Bank
of
Canada,
New
York,
5.88%, 06/27/24
.................
2,180
2,178,342
Svenska
Handelsbanken
AB,
New
York,
(1-day
SOFR
+
0.35%),
5.66%, 10/25/23
(a)
....
3,158
3,159,058
Toronto-Dominion
Bank,
New
York
4.35%, 09/13/23
.................
6,100
6,091,074
(1-day
SOFR
+
0.50%),
5.81%, 01/29/24
(a)
5,000
5,002,170
5.52%, 02/22/24
.................
4,000
3,993,357
Westpac
Banking
Corp.,
New
York
4.22%, 09/06/23
.................
6,200
6,191,933
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
Schedule
of
Investments
11
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Par
(000)
Value
Yankee
(continued)
(1-day
SOFR
+
0.32%),
5.62%, 11/06/23
(a)
USD
6,200
$
6,200,965
109,641,735
Total
Certificates
of
Deposit
—
8.5%
(Cost:
$113,736,941)
.............................
113,644,816
Commercial
Paper
—
18.9%
American
Electric
Power
Co.,
Inc.
(b)(f)
5.47%,
08/15/23
.................
13,700
13,668,832
5.48%,
08/16/23
.................
10,400
10,374,763
American
Honda
Finance
Corp.
(f)
5.53%,
08/03/23
.................
2,600
2,598,821
5.66%,
09/21/23
.................
4,600
4,563,217
ANZ
New
Zealand
Int'l
Ltd.,
5.37%
,
11/09/23
(f)
5,660
5,575,156
BASF
SE,
5.57%
,
10/02/23
(b)(f)
..........
17,500
17,333,798
Brookfield
Renewable
Partners
LP,
5.81%
,
08/02/23
(b)(f)
.....................
9,718
9,715,052
CDP
Financial,
Inc.,
5.35%
,
02/23/24
(b)(f)
...
7,000
6,774,761
Commonwealth
Bank
of
Australia,
(1-day
SOFR
+
0.50%),
5.80%
,
03/18/24
(a)
.........
3,700
3,701,095
DNB
Bank
ASA,
5.18%
,
08/18/23
(b)(f)
......
12,540
12,506,970
E.ON
SE,
5.54%
,
08/14/23
(b)(f)
..........
919
917,049
Evergy
Missouri
West,
Inc.,
5.48%
,
08/01/23
(f)
23,000
22,996,512
Fidelity
National
Information
Services,
Inc.
(f)
5.54%,
08/03/23
.................
6,325
6,322,122
5.52%,
08/14/23
.................
6,750
6,735,668
5.54%,
08/16/23
(b)
................
5,627
5,613,345
Fiserv,
Inc.,
5.47%
,
08/04/23
(f)
..........
11,000
10,993,302
GlaxoSmithKline
LLC,
5.32%
,
11/06/23
(b)(f)
..
3,900
3,842,383
HSBC
USA,
Inc.
(f)
4.46%,
08/14/23
.................
10,000
9,979,210
4.85%,
09/07/23
.................
5,000
4,971,326
Macquarie
Bank
Ltd.
(f)
5.55%,
09/08/23
.................
9,500
9,444,662
5.55%,
02/12/24
.................
5,000
4,846,085
Mitsubishi
HC
Finance
America
LLC,
5.57%
,
08/14/23
(b)(f)
.....................
5,464
5,452,398
Security
Par
(000)
Par
(000)
Value
Commercial
Paper
(continued)
MUFG
Bank
Ltd.,
5.80%
,
01/17/24
(f)
......
USD
3,500
$
3,407,097
National
Australia
Bank
Ltd.,
(1-day
SOFR
+
0.35%),
5.65%
,
10/25/23
(a)(b)
.........
11,800
11,803,052
Nutrien
Financial
US
LLC
(f)
5.53%,
08/17/23
(b)
................
4,053
4,042,525
5.52%,
08/21/23
.................
10,650
10,615,831
Nutrien
Ltd.
(b)(f)
5.51%,
08/11/23
.................
1,345
1,342,740
5.53%,
08/17/23
.................
5,000
4,987,014
Procter
&
Gamble
Co.
(The),
5.23%
,
10/24/23
(b)
(f)
............................
1,788
1,766,111
Salisbury
Receivables
Co.
LLC,
5.13%
,
08/02/23
(b)(f)
.....................
10,000
9,997,050
Union
Electric
Co.,
5.44%
,
08/23/23
(f)
.....
11,700
11,659,119
VW
Credit,
Inc.
(f)
5.43%,
08/07/23
.................
2,665
2,662,171
5.48%,
08/14/23
.................
2,685
2,679,299
5.44%,
08/22/23
.................
8,000
7,973,272
Total
Commercial
Paper
—
18.9%
(Cost:
$251,936,836)
.............................
251,861,808
Shares
Shares
Money
Market
Funds
—
0.0%
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
5.16%
(g)(h)
.................
135,471
135,471
Total
Money
Market
Funds
—
0.0%
(Cost:
$135,471)
................................
135,471
Total
Repurchase
Agreements
—
7.8%
(Cost:
$104,000,000)
.............................
104,000,000
Total
Short-Term
Securities
—
35.2%
(Cost:
$469,809,248)
.............................
469,642,095
Total
Investments
—
99.8%
(Cost:
$1,343,809,461
)
...........................
1,332,859,455
Other
Assets
Less
Liabilities
—
0.2%
...................
2,812,941
Net
Assets
—
100.0%
..............................
$
1,335,672,396
(a)
Variable
rate
security.
Interest
rate
resets
periodically.
The
rate
shown
is
the
effective
interest
rate
as
of
period
end.
Security
description
also
includes
the
reference
rate
and
spread
if
published
and
available.
(b)
Security
exempt
from
registration
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933,
as
amended.
These
securities
may
be
resold
in
transactions
exempt
from
registration
to
qualified
institutional
investors.
(c)
Variable
rate
security.
Rate
as
of
period
end
and
maturity
is
the
date
the
principal
owed
can
be
recovered
through
demand.
(d)
These
securities
are
short-term
floating
rate
certificates
issued
by
tender
option
bond
trusts
and
are
secured
by
the
underlying
municipal
bond
securities.
(e)
Issuer
is
a
U.S.
branch
of
a
foreign
domiciled
bank.
(f)
Rates
are
the
current
rate
or
a
range
of
current
rates
as
of
period
end.
(g)
Affiliate
of
the
Fund.
(h)
Annualized
7-day
yield
as
of
period
end.
2023
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
12
Affiliates
Investments
in
issuers
considered
to
be
affiliate(s)
of
the
Fund
during
the year
ended
July
31,
2023
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Affiliated
Issuer
Value
at
07/31/22
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
07/31/23
Shares
Held
at
07/31/23
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
...
$
242,996
$
—
$
(107,525)
(a)
$
—
$
—
$
135,471
135,471
$
20,716
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
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.
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
Schedule
of
Investments
13
Repurchase
Agreements
Repurchase
Agreements
Collateral
Counterparty
Coupon
Rate
Purchase
Date
Maturity
Date
Par
(000)
A
t
Value
(000)
Proceeds
Including
Interest
Position
Original
Par
Position
Received,
At
Value
Bank
of
America
Securities,
Inc.
...
5.64
%
(a)
07/31/23
09/05/23
$
12,250
$
12,250
$
12,319,090
U.S.
Government
Sponsored
Agency
Obligations,
9.07%
to
10.23%,
due
11/26/29
to
09/25/42
.......
$
13,854,774
$
14,700,001
5.82
(a)
07/31/23
10/05/23
2,000
2,000
2,021,340
Corporate/Debt
Obligation,
3.65%,
due
10/25/59
.........
3,163,844
2,400,001
$
–
$
–
$
14,250
$
17,100,002
$
–
$
–
BNP
Paribas
SA
....
5.67
(a)
07/31/23
11/04/23
8,250
8,250
8,374,740
Corporate/Debt
Obligations,
3.63%
to
11.50%,
due
12/15/24
to
11/15/31
.......
9,460,681
9,454,674
$
–
$
–
Citigroup
Global
Markets,
Inc.
...........
5.61
(a)
07/31/23
10/02/23
16,000
16,000
16,157,080
Corporate/Debt
Obligations,
5.42%
to
6.39%,
due
07/21/34
to
01/15/50
.........
18,669,000
16,800,672
5.63
(a)
07/31/23
11/01/23
6,000
6,000
6,087,265
U.S.
Government
Sponsored
Agency
Obligations
and
Corporate/Debt
Obligations,
0.00%
to
7.47%,
due
10/20/30
to
03/25/60
.........
187,469,691
6,647,383
$
–
$
–
$
22,000
$
23,448,055
$
–
$
–
Goldman
Sachs
&
Co.
LLC
...........
5.82
(a)
07/31/23
03/03/24
20,000
20,000
20,698,400
Corporate/Debt
Obligations,
0.65%
to
9.55%,
due
04/10/24
to
12/31/79
.........
41,531,373
21,844,737
$
–
$
–
Mizuho
Securities
USA
LLC
...........
5.77
(a)
07/31/23
09/05/23
3,500
3,500
3,520,195
U.S.
Treasury
Obligation,
3.63%,
due
05/15/53
.........
3,807,100
3,570,089
5.87
(a)
07/31/23
10/31/23
19,000
19,000
19,285,021
Corporate/Debt
Obligation,
4.21%,
due
11/15/27
.........
21,124,000
20,330,500
$
–
$
–
$
22,500
$
23,900,589
$
–
$
–
Wells
Fargo
Securities
LLC
...........
5.70
(a)
07/31/23
11/04/23
17,000
17,000
17,258,400
Corporate/Debt
Obligations,
2.50%
to
6.31%,
due
08/15/36
to
07/12/52
.........
24,535,412
18,190,000
$
–
$
–
$
104,000
$
113,938,057
$
–
$
–
(a)
Variable
rate
security.
Rate
as
of
period
end
and
maturity
is
the
date
the
principal
owed
can
be
recovered
through
demand.
2023
BlackRock
Annual
Report
to
Shareholders
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Short
Obligations
Fund
14
Fair
Value
Hierarchy
as
of Period
End
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
For
a
description
of
the
input
levels
and
information
about
the
Fund’s
policy
regarding
valuation
of
financial
instruments,
refer
to
the
Notes
to
Financial
Statements.
The
following
table
summarizes
the
Fund’s
financial
instruments
categorized
in
the
fair
value
hierarchy.
The
breakdown
of
the
Fund's
financial
instruments
into
major
categories
is
disclosed
in
the Schedule
of
Investments
above.
See
notes
to
financial
statements.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Asset-Backed
Securities
...................................
$
—
$
70,244,850
$
—
$
70,244,850
Corporate
Bonds
........................................
—
774,541,415
—
774,541,415
Foreign
Agency
Obligations
.................................
—
2,493,194
—
2,493,194
Municipal
Bonds
.........................................
—
15,937,901
—
15,937,901
Short-Term
Securities
Certificates
of
Deposit
.....................................
—
113,644,816
—
113,644,816
Commercial
Paper
.......................................
—
251,861,808
—
251,861,808
Money
Market
Funds
......................................
135,471
—
—
135,471
Repurchase
Agreements
...................................
—
104,000,000
—
104,000,000
$
135,471
$
1,332,723,984
$
—
$
1,332,859,455
Statement
of
Assets
and
Liabilities
July
31,
2023
15
Financial
Statements
See
notes
to
financial
statements.
BlackRock
Short
Obligations
Fund
ASSETS
Investments,
at
value
—
unaffiliated
(a)
........................................................................................
$
1,228,723,984
Investments,
at
value
—
affiliated
(b)
..........................................................................................
135,471
Cash
.............................................................................................................
49,729
Repurchase
agreements,
at
value
(c)
.........................................................................................
104,000,000
Receivables:
–
Capital
shares
sold
...................................................................................................
2,950,977
Dividends
—
affiliated
.................................................................................................
2,204
Interest
—
unaffiliated
.................................................................................................
8,006,041
From
the
Manager
...................................................................................................
28
Prepaid
expenses
.....................................................................................................
73,183
Total
assets
.........................................................................................................
1,343,941,617
LIABILITIES
Payables:
–
Investments
purchased
................................................................................................
3,328,835
Administration
fees
...................................................................................................
69,177
Capital
shares
redeemed
...............................................................................................
3,956,504
Income
dividend
distributions
............................................................................................
62,089
Investment
advisory
fees
..............................................................................................
153,546
Trustees'
and
Officer's
fees
.............................................................................................
4,647
Other
affiliate
fees
...................................................................................................
9,466
Professional
fees
....................................................................................................
91,633
Service
fees
.......................................................................................................
135,912
Other
accrued
expenses
...............................................................................................
457,412
Total
liabilities
........................................................................................................
8,269,221
Commitments
and
contingent
liabilities
$
–
NET
ASSETS
........................................................................................................
$
1,335,672,396
NET
ASSETS
CONSIST
OF:
Paid-in
capital
........................................................................................................
$
1,355,652,013
Accumulated
loss
.....................................................................................................
(19,979,617)
NET
ASSETS
........................................................................................................
$
1,335,672,396
(a)
Investments,
at
cost
—
unaffiliated
........................................................................................
$
1,239,673,990
(b)
Investments,
at
cost
—
affiliated
..........................................................................................
$
135,471
(c)
Repurchase
agreements,
at
cost
.........................................................................................
$
104,000,000
Statement
of
Assets
and
Liabilities
(continued)
July
31,
2023
2023
BlackRock
Annual
Report
to
Shareholders
16
See
notes
to
financial
statements.
BlackRock
Short
Obligations
Fund
NET
ASSET
VALUE
Institutional
Net
assets
.........................................................................................................
$
700,103,740
Shares
outstanding
..................................................................................................
70,017,947
Net
asset
value
.....................................................................................................
$
10.00
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Investor
A
Net
assets
.........................................................................................................
$
605,941,641
Shares
outstanding
..................................................................................................
60,640,019
Net
asset
value
.....................................................................................................
$
9.99
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Class
K
Net
assets
.........................................................................................................
$
29,627,015
Shares
outstanding
..................................................................................................
2,959,350
Net
asset
value
.....................................................................................................
$
10.01
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Statement
of
Operations
Year
Ended
July
31,
2023
17
Financial
Statements
See
notes
to
financial
statements.
BlackRock
Short
Obligations
Fund
INVESTMENT
INCOME
Dividends
—
affiliated
.................................................................................................
$
20,716
Interest
—
unaffiliated
.................................................................................................
66,743,730
Total
investment
income
.................................................................................................
66,764,446
EXPENSES
Investment
advisory
..................................................................................................
4,671,183
Service
—
class
specific
...............................................................................................
1,879,823
Transfer
agent
—
class
specific
..........................................................................................
899,691
Administration
.....................................................................................................
748,627
Administration
—
class
specific
..........................................................................................
380,932
Registration
.......................................................................................................
145,472
Professional
.......................................................................................................
105,419
Accounting
services
..................................................................................................
68,906
Printing
and
postage
.................................................................................................
38,542
Custodian
.........................................................................................................
29,753
Trustees
and
Officer
..................................................................................................
22,496
Miscellaneous
......................................................................................................
37,709
Total
expenses
.......................................................................................................
9,028,553
Less:
–
Administration
fees
waived
by
the
Manager
—
class
specific
.......................................................................
(71,246)
Fees
waived
and/or
reimbursed
by
the
Manager
...............................................................................
(2,043,489)
Transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
—
class
specific
..........................................................
(7,703)
Total
expenses
after
fees
waived
and/or
reimbursed
..............................................................................
6,906,115
Net
investment
income
..................................................................................................
59,858,331
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
$
7,905,945
Net
realized
loss
from
investments
........................................................................................
(5,177,524)
Net
change
in
unrealized
appreciation
on
investments
...........................................................................
13,083,470
Net
realized
and
unrealized
gain
...........................................................................................
7,905,946
NET
INCREASE
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
..................................................................
$
67,764,277
Statements
of
Changes
in
Net
Assets
2023
BlackRock
Annual
Report
to
Shareholders
18
See
notes
to
financial
statements.
BlackRock
Short
Obligations
Fund
Year
Ended
07/31/23
Year
Ended
07/31/22
INCREASE
(DECREASE)
IN
NET
ASSETS
OPERATIONS
Net
investment
income
..............................................................................
$
59,858,331
$
11,270,244
Net
realized
loss
..................................................................................
(5,177,524
)
(1,883,102
)
Net
change
in
unrealized
appreciation
(depreciation)
..........................................................
13,083,470
(32,482,928
)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
.....................................................
67,764,277
(23,095,786
)
DISTRIBUTIONS
TO
SHAREHOLDERS
(a)
Institutional
.....................................................................................
(35,628,613
)
(7,713,116
)
Investor
A
......................................................................................
(22,756,450
)
(2,819,166
)
Class
K
.......................................................................................
(1,471,493
)
(878,624
)
Decrease
in
net
assets
resulting
from
distributions
to
shareholders
...................................................
(59,856,556
)
(11,410,906
)
CAPITAL
SHARE
TRANSACTIONS
Net
decrease
in
net
assets
derived
from
capital
share
transactions
...................................................
(1,138,006,863
)
(2,083,370,727
)
NET
ASSETS
Total
decrease
in
net
assets
............................................................................
(1,130,099,142
)
(2,117,877,419
)
Beginning
of
year
....................................................................................
2,465,771,538
4,583,648,957
End
of
year
........................................................................................
$
1,335,672,396
$
2,465,771,538
(a)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
Financial
Highlights
(For
a
share
outstanding
throughout
each
period)
19
Financial
Highlights
BlackRock
Short
Obligations
Fund
Institutional
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
.............................
$
9.95
$
10.05
$
10.07
$
10.02
$
9.99
Net
investment
income
(a)
...................................
0.32
0.04
0.04
0.17
0.26
Net
realized
and
unrealized
gain
(loss)
..........................
0.07
(0.09
)
(0.02
)
0.06
0.03
Net
increase
(decrease)
from
investment
operations
..................
0.39
(0.05
)
0.02
0.23
0.29
Distributions
(b)
–
–
–
–
–
From
net
investment
income
................................
(0.34
)
(0.05
)
(0.04
)
(0.18
)
(0.26
)
From
net
realized
gain
.....................................
—
—
—
(0.00
)
(c)
(0.00
)
(c)
Total
distributions
.........................................
(0.34
)
(0.05
)
(0.04
)
(0.18
)
(0.26
)
Net
asset
value,
end
of
year
.................................
$
10.00
$
9.95
$
10.05
$
10.07
$
10.02
Total
Return
(d)
—
—
—
—
—
Based
on
net
asset
value
....................................
3.96
%
(0.51
)%
0.20
%
2.28
%
2.96
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................................
0.38
%
0.36
%
0.36
%
0.43
%
0.45
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.28
%
0.26
%
0.26
%
0.30
%
0.26
%
Net
investment
income
.....................................
3.22
%
0.45
%
0.39
%
1.69
%
2.59
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
700,104
$
1,382,186
$
2,037,769
$
1,951,914
$
1,117,218
Portfolio
turnover
rate
.......................................
18
%
36
%
67
%
40
%
18
%
(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,
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.
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
2023
BlackRock
Annual
Report
to
Shareholders
20
BlackRock
Short
Obligations
Fund
Investor
A
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
.............................
$
9.94
$
10.05
$
10.06
$
10.01
$
9.99
Net
investment
income
(a)
...................................
0.30
0.02
0.02
0.15
0.24
Net
realized
and
unrealized
gain
(loss)
..........................
0.07
(0.11
)
(0.01
)
0.06
0.02
Net
increase
(decrease)
from
investment
operations
..................
0.37
(0.09
)
0.01
0.21
0.26
Distributions
(b)
–
–
–
–
–
From
net
investment
income
................................
(0.32
)
(0.02
)
(0.02
)
(0.16
)
(0.24
)
From
net
realized
gain
.....................................
—
—
—
(0.00
)
(c)
(0.00
)
(c)
Total
distributions
.........................................
(0.32
)
(0.02
)
(0.02
)
(0.16
)
(0.24
)
Net
asset
value,
end
of
year
.................................
$
9.99
$
9.94
$
10.05
$
10.06
$
10.01
Total
Return
(d)
—
—
—
—
—
Based
on
net
asset
value
....................................
3.73
%
(0.85
)%
0.06
%
2.08
%
2.63
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................................
0.62
%
0.61
%
0.61
%
0.59
%
0.64
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.50
%
0.50
%
0.50
%
0.49
%
0.47
%
Net
investment
income
.....................................
3.03
%
0.19
%
0.16
%
1.47
%
2.37
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
605,942
$
1,029,382
$
2,008,368
$
2,585,292
$
1,136,936
Portfolio
turnover
rate
.......................................
18
%
36
%
67
%
40
%
18
%
(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,
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.
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
21
Financial
Highlights
BlackRock
Short
Obligations
Fund
Class
K
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
.............................
$
9.96
$
10.07
$
10.08
$
10.04
$
10.01
Net
investment
income
(a)
...................................
0.33
0.04
0.04
0.18
0.26
Net
realized
and
unrealized
gain
(loss)
..........................
0.07
(0.10
)
(
0.00
)
(b)
0.05
0.04
Net
increase
(decrease)
from
investment
operations
..................
0.40
(0.06
)
0.04
0.23
0.30
Distributions
(c)
–
–
–
–
–
From
net
investment
income
................................
(0.35
)
(0.05
)
(0.05
)
(0.19
)
(0.27
)
From
net
realized
gain
.....................................
—
—
—
(0.00
)
(b)
(0.00
)
(b)
Total
distributions
.........................................
(0.35
)
(0.05
)
(0.05
)
(0.19
)
(0.27
)
Net
asset
value,
end
of
year
.................................
$
10.01
$
9.96
$
10.07
$
10.08
$
10.04
Total
Return
(d)
—
—
—
—
—
Based
on
net
asset
value
....................................
4.04
%
(0.55
)%
0.36
%
2.28
%
3.02
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................................
0.33
%
0.32
%
0.31
%
0.33
%
0.45
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.20
%
0.20
%
0.20
%
0.20
%
0.20
%
Net
investment
income
.....................................
3.27
%
0.39
%
0.41
%
1.84
%
2.64
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
29,627
$
54,203
$
537,512
$
123,417
$
132,264
Portfolio
turnover
rate
.......................................
18
%
36
%
67
%
40
%
18
%
(a)
Based
on
average
shares
outstanding.
(b)
Amount
is
greater
than
$(0.005)
per
share.
(c)
Distributions
for
annual
periods
determined
in
accordance
with
U.S.
federal
income
tax
regulations.
(d)
Where
applicable,
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.
Notes
to
Financial
Statements
2023
BlackRock
Annual
Report
to
Shareholders
22
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
Short
Obligations
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
Shares
bear
certain
expenses
related
to
shareholder
servicing
of
such
shares.
Investor
A
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.
(a)
Investor
A
Shares
may
be
subject
to
a
CDSC
upon
redemption
of
shares
received
in
an
exchange
transaction
for
Investor A
Shares
of
a
fund
advised
by
BlackRock
Advisors,
LLC
(the
“Manager”)
or
its
affiliates
where
no
initial
sales
charge
was
paid
at
the
time
of
purchase
of
such
fund.
The
Fund,
together
with
certain
other
registered
investment
companies
advised
by
the
Manager or
its
affiliates,
is
included
in
a
complex
of
funds referred
to
as
the
BlackRock
Multi-Asset
Complex.
2.
SIGNIFICANT
ACCOUNTING
POLICIES
The
financial
statements
are
prepared
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(“U.S.
GAAP”),
which
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities
in
the
financial
statements,
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
increases
and
decreases
in
net
assets
from
operations
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
Fund
is
considered
an
investment
company
under
U.S.
GAAP
and
follows
the
accounting
and
reporting
guidance
applicable
to
investment
companies.
Below
is
a
summary
of
significant
accounting
policies:
Investment
Transactions
and
Income
Recognition:
For
financial
reporting
purposes,
investment
transactions
are
recorded
on
the
dates
the
transactions
are
executed.
Realized
gains
and
losses
on
investment
transactions
are
determined
using
the
specific
identification
method.
Dividend
income
and
capital
gain
distributions,
if
any,
are
recorded
on
the
ex-dividend
dates.
Non-cash
dividends,
if
any,
are
recorded
on
the
ex-dividend
dates
at
fair
value.
Interest
income,
including
amortization
and
accretion
of
premiums
and
discounts
on
debt
securities,
is
recognized
daily
on
an
accrual
basis.
Income,
expenses
and
realized
and
unrealized
gains
and
losses
are
allocated
daily
to
each
class
based
on
its
relative
net
assets.
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.
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
financial
statements)
each
day
that
the
Fund
is
open
for
business
and,
for
financial
reporting
purposes,
as
of
the
report
date.
U.S.
GAAP
defines
fair
value
as
the
price
a
fund
would
receive
to
sell
an
asset
or
pay
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
The
Board
of
Trustees
of
the
Trust
(the
“Board”)
has
approved
the
designation
of
the
Fund’s
Manager
as
the
valuation
designee
for
the
Fund.
The
Fund
determines
the
fair
values
of
its
financial
instruments
using
various
independent
dealers
or
pricing
services
under
the
Manager’s
policies.
If
a
security’s
market
price
is
not
readily
available
or
does
not
otherwise
accurately
represent
the
fair
value
of
the
security,
the
security
will
be
valued
in
accordance
with
the
Manager’s
policies
and
procedures
as
reflecting
fair
value.
The
Manager
has
formed
a
committee
(the
“Valuation
Committee”)
to
develop
pricing
policies
and
procedures
and
to
oversee
the
pricing
function
for
all
financial
instruments,
with
assistance
from
other
BlackRock
pricing
committees.
Fair
Value
Inputs
and
Methodologies:
The
following
methods
and
inputs
are
used
to
establish
the
fair
value
of
the
Fund’s
assets
and
liabilities:
Fixed-income investments
for
which
market
quotations
are
readily
available
are
generally
valued
using
the
last
available
bid
price
or
current
market
quotations
provided
by
independent
dealers
or
third-party
pricing
services. Pricing
services
generally
value
fixed-income
securities
assuming
orderly
transactions
of
an
institutional
round
lot
size,
but
a
fund
may
hold
or
transact
in
such
securities
in
smaller,
odd
lot
sizes.
Odd
lots
may
trade
at
lower
prices
than
institutional
round
lots.
The
pricing
services
may
use
matrix
pricing
or
valuation
models
that
utilize
certain
inputs
and
assumptions
to
derive
values,
including
transaction
data
(e.g.,
recent
representative
bids
and
offers),
market
data, credit
quality
information,
perceived
market
movements,
news,
and
other
relevant
information.
Certain
fixed-income
securities,
including
asset-
backed
and
mortgage
related
securities
may
be
valued
based
on
valuation
models
that
consider
the
estimated
cash
flows
of
each
tranche
of
the
entity,
establish
a
benchmark
yield
and
develop
an
estimated
tranche
specific
spread
to
the
benchmark
yield
based
on
the
unique
attributes
of
the
tranche.
The
amortized
cost
method
of
valuation
may
be
used
with
respect
to
debt
obligations
with
sixty
days
or
less
remaining
to
maturity
unless
the
Manager
determines
such
method
does
not
represent
Share
Class
Initial
Sales
Charge
Contingent
Deferred
Sales
Charge
(“CDSC”)
Conversion
Privilege
Institutional
Shares
...........................................
No
No
None
Investor
A
Shares
............................................
No
No
(a)
None
Class
K
Shares
.............................................
No
No
None
Notes
to
Financial
Statements
(continued)
23
Notes
to
Financial
Statements
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”).
Repurchase
agreements
are
valued
at
amortized
cost,
which
approximates
market
value.
If
events
(e.g.,
market
volatility,
company
announcement or
a
natural
disaster)
occur
that
are
expected
to
materially
affect
the
value
of
such
investment,
or
in
the
event
that application
of
these
methods
of
valuation
results
in
a
price
for
an
investment
that
is
deemed
not
to
be
representative
of
the
market
value
of
such
investment,
or
if
a
price
is
not
available,
the
investment
will
be
valued
by
the
Valuation
Committee
in
accordance
with the
Manager's policies
and
procedures
as
reflecting
fair
value
(“Fair
Valued
Investments”).
The
fair
valuation
approaches
that
may
be
used
by
the
Valuation
Committee include
market
approach,
income
approach
and
cost
approach.
Valuation
techniques
such
as
discounted
cash
flow,
use
of
market
comparables
and
matrix
pricing
are
types
of
valuation
approaches
and
are
typically
used
in
determining
fair
value.
When
determining
the
price
for
Fair
Valued
Investments,
the
Valuation
Committee
seeks
to
determine
the
price
that
the
Fund
might
reasonably
expect
to
receive
or
pay
from
the
current
sale
or
purchase
of
that
asset
or
liability
in
an
arm’s-length
transaction.
Fair
value
determinations
shall
be
based
upon
all
available
factors
that
the
Valuation
Committee
deems
relevant
and
consistent
with
the
principles
of
fair
value
measurement.
Fair
Value
Hierarchy:
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
These
inputs
to
valuation
techniques
are
categorized
into
a
fair
value
hierarchy
consisting
of
three
broad
levels
for
financial reporting purposes
as
follows:
Level
1
—
Unadjusted
price
quotations
in
active
markets/exchanges
for
identical
assets
or
liabilities
that
the
Fund
has
the
ability
to
access;
Level
2
—
Other
observable
inputs
(including,
but
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
loss
severities,
credit
risks
and
default
rates)
or
other
market–corroborated
inputs);
and
Level
3 —
Unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available
(including
the
Valuation
Committee’s
assumptions
used
in
determining
the
fair
value
of
financial
instruments).
The
hierarchy
gives
the
highest
priority
to
unadjusted
quoted
prices
in
active
markets
for
identical
assets
or
liabilities
(Level
1
measurements)
and
the
lowest
priority
to
unobservable
inputs
(Level
3
measurements).
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized
in
Level
3.
The
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes,
the
fair
value
hierarchy
classification
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety. Investments
classified
within
Level
3
have
significant
unobservable
inputs
used
by
the
Valuation
Committee
in
determining
the
price
for
Fair
Valued
Investments.
Level
3
investments
include
equity
or
debt
issued
by
privately
held
companies
or
funds
that
may
not
have
a
secondary
market
and/or
may
have
a
limited
number
of
investors.
The
categorization
of
a
value
determined
for
financial
instruments
is
based
on
the
pricing
transparency
of
the financial
instruments
and
is
not
necessarily
an
indication
of
the
risks
associated
with
investing
in
those
securities.
4.
SECURITIES
AND
OTHER
INVESTMENTS
Asset-Backed
and
Mortgage-Backed
Securities:
Asset-backed
securities
are
generally
issued
as
pass-through
certificates
or
as
debt
instruments.
Asset-backed
securities
issued
as
pass-through
certificates
represent
undivided
fractional
ownership
interests
in
an
underlying
pool
of
assets.
Asset-backed
securities
issued
as
debt
instruments,
which
are
also
known
as
collateralized
obligations,
are
typically
issued
as
the
debt
of
a
special
purpose
entity
organized
solely
for
the
purpose
of
owning
such
assets
and
issuing
such
debt.
Asset-backed
securities
are
often
backed
by
a
pool
of
assets
representing
the
obligations
of
a
number
of
different
parties.
The
yield
characteristics
of
certain
asset-backed
securities
may
differ
from
traditional
debt
securities.
One
such
major
difference
is
that
all
or
a
principal
part
of
the
obligations
may
be
prepaid
at
any
time
because
the
underlying
assets
(i.e.,
loans)
may
be
prepaid
at
any
time.
As
a
result,
a
decrease
in
interest
rates
in
the
market
may
result
in
increases
in
the
level
of
prepayments
as
borrowers,
particularly
mortgagors,
refinance
and
repay
their
loans.
An
increased
prepayment
rate
with
respect
to
an
asset-backed
security
will
have
the
effect
of
shortening
the
maturity
of
the
security.
In
addition,
a
fund
may
subsequently
have
to
reinvest
the
proceeds
at
lower
interest
rates.
If
a
fund
has
purchased
such
an
asset-backed
security
at
a
premium,
a
faster
than
anticipated
prepayment
rate
could
result
in
a
loss
of
principal
to
the
extent
of
the
premium
paid.
For
mortgage
pass-through
securities
(the
“Mortgage
Assets”)
there
are
a
number
of
important
differences
among
the
agencies
and
instrumentalities
of
the
U.S.
Government
that
issue
mortgage-related
securities
and
among
the
securities
that
they
issue.
For
example,
mortgage-related
securities
guaranteed
by
Ginnie
Mae
are
guaranteed
as
to
the
timely
payment
of
principal
and
interest
by
Ginnie
Mae
and
such
guarantee
is
backed
by
the
full
faith
and
credit
of
the
United
States.
However,
mortgage-related
securities
issued
by
Freddie
Mac
and
Fannie
Mae,
including
Freddie
Mac
and
Fannie
Mae
guaranteed
mortgage
pass-through
certificates,
which
are
solely
the
obligations
of
Freddie
Mac
and
Fannie
Mae,
are
not
backed
by
or
entitled
to
the
full
faith
and
credit
of
the
United
States,
but
are
supported
by
the
right
of
the
issuer
to
borrow
from
the
U.S.
Treasury.
Non-agency
mortgage-backed
securities
are
securities
issued
by
non-governmental
issuers
and
have
no
direct
or
indirect
government
guarantees
of
payment
and
are
subject
to
various
risks.
Non-agency
mortgage
loans
are
obligations
of
the
borrowers
thereunder
only
and
are
not
typically
insured
or
guaranteed
by
any
other
person
or
entity.
The
ability
of
a
borrower
to
repay
a
loan
is
dependent
upon
the
income
or
assets
of
the
borrower.
A
number
of
factors,
including
a
general
economic
downturn,
acts
of
God,
terrorism,
social
unrest
and
civil
disturbances,
may
impair
a
borrower’s
ability
to
repay
its
loans.
Repurchase
Agreements:
Repurchase
agreements
are
commitments
to
purchase
a
security
from
a
counterparty
who
agrees
to
repurchase
the
same
security
at
a
mutually
agreed
upon
date
and
price.
On
a
daily
basis,
the
counterparty
is
required
to
maintain
collateral
subject
to
the
agreement
and
in
value
no
less
than
the
agreed
upon
repurchase
amount.
Repurchase
agreements
may
be
traded
bilaterally,
in
a
tri-party
arrangement
or
may
be
centrally
cleared
through
a
sponsoring
agent.
Subject
to
the
custodial
undertaking
associated
with
a
tri-party
repurchase
arrangement
and
for
centrally
cleared
repurchase
agreements,
a
third-party
custodian
maintains
accounts
to
hold
collateral
for a
fund
and
its
counterparties.
Typically,
a
fund
and
counterparty
are
not
permitted
to
sell,
re-pledge
or
use
the
collateral
absent
a
default
by
the
counterparty
or the
fund,
respectively.
In
the
event
the
counterparty
defaults
and
the
fair
value
of
the
collateral
declines, a
fund
could
experience
losses,
delays
and
costs
in
liquidating
the
collateral.
Notes
to
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
24
Repurchase
agreements
are
entered
into
by a
fund
under
Master
Repurchase
Agreements
(each,
an
“MRA”).
The
MRA
permits the
fund,
under
certain
circumstances
including
an
event
of
default
(such
as
bankruptcy
or
insolvency),
to
offset
payables
and/or
receivables
with
collateral
held
by
and/or
posted
to
the
counterparty.
As
a
result,
one
single
net
payment
is
created.
Bankruptcy
or
insolvency
laws
of
a
particular
jurisdiction
may
impose
restrictions
on
or
prohibitions
against
such
a
right
of
offset
in
the
event
of
the
MRA
counterparty’s
bankruptcy
or
insolvency.
Based
on
the
terms
of
the
MRA, the
fund
receives
collateral
with
a
market
value
in
excess
of
the
repurchase
price
at
maturity.
Upon
a
bankruptcy
or
insolvency
of
the
MRA
counterparty,
the
fund
would
recognize
a
liability
with
respect
to
such
excess
collateral.
The
liability
reflects
the
fund’s
obligation
under
bankruptcy
law
to
return
the
excess
to
the
counterparty.
5.
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
entered
into
a
sub-advisory
agreement
with
BlackRock
International
Limited
(“BIL”),
(the
“Sub-Adviser”),
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.
Service
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
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
to
the
Fund.
The
ongoing
service
fee
compensates
BRIL
and
each
broker-
dealer
for
providing
shareholder
servicing
related
services
to
shareholders.
For
the year
ended
July
31,
2023,
the
class
specific
service
fees
borne
directly
by Investor
A Shares
of
the
Fund
were
$1,879,823.
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
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
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,
2023, the
following
table
shows
the
class
specific
administration
fees
borne
directly
by
each
share
class
of
the
Fund:
Transfer
Agent:
Pursuant
to
written
agreements,
certain
financial
intermediaries,
some
of
which
may
be
affiliates,
provide
the
Fund
with
sub-accounting,
recordkeeping,
sub-transfer
agency
and
other
administrative
services
with
respect
to
servicing
of
underlying
investor
accounts.
For
these
services,
these
entities
receive
an
asset-based
fee
or
an
annual
fee
per
shareholder
account,
which
will
vary
depending
on
share
class
and/or
net
assets.
For
the
year ended July
31,
2023,
the
Fund
paid
the
following
amounts
to
affiliates
of
BlackRock
in
return
for
these
services,
which
are
included
in
transfer
agent
—
class
specific
in
the
Statement
of
Operations:
Average
Daily
Net
Assets
Investment
Advisory
Fees
First
$1
billion
.........................................................................................................
0.25%
$1
billion
-
$3
billion
.....................................................................................................
0.24
$3
billion
-
$5
billion
.....................................................................................................
0.23
$5
billion
-
$10
billion
....................................................................................................
0.22
Greater
than
$10
billion
...................................................................................................
0.21
Share
Class
Service
Fees
Investor
A
..............................................................................................................
0.25%
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
Class
K
Total
Administration
fees
-
class
specific
.......................................................
$
221,559
$
150,386
$
8,987
$
380,932
Institutional
.......................................................................................................
$
16,640
Notes
to
Financial
Statements
(continued)
25
Notes
to
Financial
Statements
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,
2023,
the
Fund
reimbursed
the
Manager
the
following
amounts
for
costs
incurred
in
running
the
call
center,
which
are
included
in
transfer
agent
—
class
specific
in
the
Statement
of
Operations:
For
the
year ended
July
31,
2023,
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,
2023
,
affiliates
received
CDSCs
of
$
4,120
for
Investor
A
Shares.
Expense
Limitations,
Waivers,
Reimbursements,
and
Recoupments:
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,
2024.
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
Statement
of
Operations.
For
the
year
ended
July
31,
2023,
the
amount
waived
was
$46
5
.
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,
2024.
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,
2023,
there
were
no
fees
waived
and/or
reimbursed
by
the
Manager
pursuant
to
this
arrangement.
The
Manager
contractually
and/or
voluntarily
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:
For
the
year ended
July
31,
2023,
the
Manager
waived
and/or
reimbursed
investment
advisory
fees
of
$2,043,023 which
is
included
in
fees
waived
and/or
reimbursed
by
the
Manager
in
the
Statement
of
Operations.
In
addition,
these
amounts
waived
and/or
reimbursed
by
the
Manager are
included
in administration
fees
waived
by
the
Manager
—
class
specific
and
transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
—
class
specific,
respectively,
in
the
Statement
of
Operations.
For
the
year ended
July
31,
2023,
class
specific
expense
waivers
and/or
reimbursements are as
follows:
Interfund
Lending:
In
accordance
with
an
exemptive
order
(the
“Order”)
from
the
U.S.
Securities
and
Exchange
Commission
("SEC"),
the
Fund
may
participate
in
a
joint
lending
and
borrowing
facility
for
temporary
purposes
(the
“Interfund
Lending
Program”),
subject
to
compliance
with
the
terms
and
conditions
of
the
Order,
and
to
the
extent
permitted
by
the
Fund’s
investment
policies
and
restrictions.
The
Fund
is
currently
permitted
to
borrow
and
lend
under
the
Interfund
Lending
Program.
A
lending
BlackRock
fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
fund
through
the
Interfund
Lending
Program.
A
borrowing
BlackRock
fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets
(or
any
lower
threshold
provided
for
by
the fund’s
investment
restrictions).
If
a
borrowing
BlackRock
fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
each
of
its
outstanding
interfund
loans
will
be
subject
to
collateralization
of
at
least
102%
of
the
outstanding
principal
value
of
the
loan.
All
interfund
loans
are
for
temporary
or
emergency
purposes
and
the
interest
rate
to
be
charged
will
be
the
average
of
the
highest
current
overnight
repurchase
agreement
rate
available
to
a
lending
fund
and
the
bank
loan
rate,
as
calculated
according
to
a
formula
established
by
the
Board.
During the
year
ended
July
31,
2023,
the
Fund
did
not
participate
in
the
Interfund
Lending
Program.
Institutional
Investor
A
Class
K
Total
Reimbursed
Amount
.................................................................
$
1,819
$
6,774
$
564
$
9,157
Institutional
Investor
A
Class
K
Total
Transfer
agent
fees
-
class
specific
.......................................................
$
615,711
$
281,628
$
2,352
$
899,691
Contractual
(a)
Voluntary
(b)
Institutional
................................................................................................
0.35%
0.30%
Investor
A
.................................................................................................
0.60
0.50
Class
K
..................................................................................................
0.30
0.20
(a)
The
Manager
has
agreed
not
to
reduce
or
discontinue
this
contractual
waiver
or
reimbursement
through
June
30,
202
4
,
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.
(b)
The
voluntary
waiver
or
reimbursement
may
be
reduced
or
discontinued
at
any
time
without
notice.
Share
Class
Administration
Fees
Waived
by
the
Manager
-
Class
Specific
Transfer
Agent
Fees
Waived
and/or
Reimbursed
by
the
Manager
-
Class
Specific
Institutional
....................................................................................
$
3,142
$
985
Investor
A
.....................................................................................
59,117
4,366
Class
K
......................................................................................
8,987
2,352
$
71,246
$
7,703
Notes
to
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
26
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
Statement
of
Operations.
6.
PURCHASES
AND
SALES
For
the year
ended
July
31,
2023,
purchases
and
sales
of
investments,
including
paydowns
and
excluding
short-term
investments,
were $235,595,239
and
$1,139,855,951,
respectively.
7.
INCOME
TAX
INFORMATION
It
is
the
Fund’s
policy
to
comply
with
the
requirements
of
the
Internal
Revenue
Code
of
1986,
as
amended,
applicable
to
regulated
investment
companies,
and
to
distribute
substantially
all
of
its
taxable
income
to
its
shareholders.
Therefore,
no
U.S.
federal
income
tax
provision
is
required.
The
Fund
files
U.S.
federal
and
various
state
and
local
tax
returns.
No
income
tax
returns
are
currently
under
examination.
The
statute
of
limitations
on
the
Fund’s
U.S.
federal
tax
returns
generally
remains
open
for
a
period
of
three
years
after
they
are
filed.
The
statutes
of
limitations
on
the
Fund’s
state
and
local
tax
returns
may
remain
open
for
an
additional
year
depending
upon
the
jurisdiction.
Management
has
analyzed
tax
laws
and
regulations
and
their
application
to
the Fund
as
of
July
31,
2023,
inclusive
of
the
open
tax
return
years,
and
does
not
believe
that
there
are
any
uncertain
tax
positions
that
require
recognition
of
a
tax
liability
in
the
Fund’s
financial
statements.
The
tax
character
of
distributions
paid
was
as
follows:
As
of
July
31,
2023,
the
tax
components
of
accumulated earnings
(loss) were
as
follows:
(a)
Amounts
available
to
offset
future
realized
capital
gains.
(b)
The
difference
between
book-basis
and
tax-basis
net
unrealized
gains
(losses)
was
attributable
primarily
to
the
amortization
methods
of
premiums
and
discounts
on
fixed
income
securities.
As
of
July
31,
2023, gross
unrealized
appreciation
and
depreciation
based
on
cost
of
investments
(including
short
positions
and
derivatives,
if
any)
for
U.S.
federal
income
tax
purposes
were
as
follows:
8.
BANK
BORROWINGS
The
Trust,
on
behalf
of
the
Fund,
along
with
certain
other
funds
managed
by
the
Manager
and
its
affiliates
(“Participating
Funds”), is
party
to
a
364-day,
$2.50
billion
credit
agreement
with
a
group
of
lenders.
Under
this
agreement,
the
Fund
may
borrow
to
fund
shareholder
redemptions.
Excluding
commitments
designated
for
certain
individual
funds,
the
Participating
Funds,
including
the
Fund,
can
borrow
up
to
an
aggregate
commitment
amount
of
$1.75
billion
at
any
time
outstanding,
subject
to
asset
coverage
and
other
limitations
as
specified
in
the
agreement.
The
credit
agreement
has
the
following
terms:
a
fee
of
0.10%
per
annum
on
unused
commitment
amounts
and
interest
at
a
rate
equal
to
the
higher
of
(a)
Overnight
Bank
Funding
Rate
(“OBFR”)
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.80%
per
annum,
(b)
the
Fed
Funds
rate
(but,
in
any
event,
not
less
than
0.00%)
in
effect
from
time
to
time
plus
0.80%
per
annum
on
amounts
borrowed
or
(c)
the
sum
of
(x)
Daily
Simple
Secured
Overnight
Financing
Rate
(“SOFR”)
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.10%
and
(y)
0.80%
per
annum. The
agreement
expires
in
April
2024
unless
extended
or
renewed. These
fees
were
allocated
among
such
funds
based
upon
portions
of
the
aggregate
commitment
available
to
them
and
relative
net
assets
of
Participating
Funds.
During
the
year ended
July
31,
2023,
the
Fund
did
not
borrow
under
the
credit
agreement.
9.
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.
Fund
Name
Year
Ended
07/31/23
Year
Ended
07/31/22
BlackRock
Short
Obligations
Fund
Ordinary
income
...........................................................................................
$
59,856,556
$
11,410,906
Fund
Name
Undistributed
Ordinary
Income
Non-Expiring
Capital
Loss
Carryforwards
(a)
Net
Unrealized
Gains
(Losses)
(b)
Total
BlackRock
Short
Obligations
Fund
...........................................
$
113,703
$
(9,137,722)
$
(10,955,598)
$
(19,979,617)
Fund
Name
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Appreciation
(Depreciation)
BlackRock
Short
Obligations
Fund
......................................
$
1,343,815,053
$
261,652
$
(11,217,250)
$
(10,955,598)
Notes
to
Financial
Statements
(continued)
27
Notes
to
Financial
Statements
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.
Municipal
securities
are
subject
to
the
risk
that
litigation,
legislation
or
other
political
events,
local
business
or
economic
conditions,
credit
rating
downgrades,
or
the
bankruptcy
of
the
issuer
could
have
a
significant
effect
on
an
issuer’s
ability
to
make
payments
of
principal
and/or
interest
or
otherwise
affect
the
value
of
such
securities.
Municipal
securities
can
be
significantly
affected
by
political
or
economic
changes,
including
changes
made
in
the
law
after
issuance
of
the
securities,
as
well
as
uncertainties
in
the
municipal
market
related
to,
taxation,
legislative
changes
or
the
rights
of
municipal
security
holders,
including
in
connection
with
an
issuer
insolvency.
Municipal
securities
backed
by
current
or
anticipated
revenues
from
a
specific
project
or
specific
assets
can
be
negatively
affected
by
the
discontinuance
of
the
tax
benefits
supporting
the
project
or
assets
or
the
inability
to
collect
revenues
for
the
project
or
from
the
assets.
Municipal
securities
may
be
less
liquid
than
taxable
bonds,
and
there
may
be
less
publicly
available
information
on
the
financial
condition
of
municipal
security
issuers
than
for
issuers
of
other
securities.
Infectious
Illness
Risk:
An
outbreak
of
an
infectious
illness,
such
as
the
COVID-19
pandemic,
may
adversely
impact
the
economies
of
many
nations
and
the
global
economy,
and
may
impact
individual
issuers
and
capital
markets
in
ways
that
cannot
be
foreseen.
An
infectious
illness
outbreak
may
result
in,
among
other
things,
closed
international
borders,
prolonged
quarantines,
supply
chain
disruptions,
market
volatility
or
disruptions
and
other
significant
economic,
social
and
political
impacts.
Counterparty
Credit
Risk:
The
Fund
may
be
exposed
to
counterparty
credit
risk,
or
the
risk
that
an
entity
may
fail
to
or
be
unable
to
perform
on
its
commitments
related
to
unsettled
or
open
transactions,
including
making
timely
interest
and/or
principal
payments
or
otherwise
honoring
its
obligations.
The
Fund
manages
counterparty
credit
risk
by
entering
into
transactions
only
with
counterparties
that
the
Manager
believes
have
the
financial
resources
to
honor
their
obligations
and
by
monitoring
the
financial
stability
of
those
counterparties.
Financial
assets,
which
potentially
expose
the
Fund
to
market,
issuer
and
counterparty
credit
risks,
consist
principally
of
financial
instruments
and
receivables
due
from
counterparties.
The
extent
of
the
Fund’s
exposure
to
market,
issuer
and
counterparty
credit
risks
with
respect
to
these
financial
assets
is
approximately
their
value
recorded
in
the
Statement
of
Assets
and
Liabilities,
less
any
collateral
held
by
the
Fund.
Geographic/Asset
Class
Risk:
A
diversified
portfolio,
where
this
is appropriate
and
consistent
with
a
fund’s
objectives,
minimizes
the
risk
that
a
price
change
of
a
particular
investment
will
have
a
material
impact
on
the
NAV
of
a
fund.
The
investment
concentrations
within
the
Fund’s
portfolio
are
disclosed
in
its Schedule
of
Investments.
The
Fund
invests
a
significant
portion
of
its
assets
in
securities
within
a
single
or
limited
number
of
market
sectors.
When
a
fund
concentrates
its
investments
in
this
manner,
it
assumes
the
risk
that
economic,
regulatory,
political
and
social
conditions
affecting
such
sectors
may
have
a
significant
impact
on
the
Fund
and
could
affect
the
income
from,
or
the
value
or
liquidity
of,
the
Fund’s
portfolio.
Investment
percentages
in
specific
sectors
are
presented
in
the
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(s) may
be
subject
to
a
greater
risk
of
rising
interest
rates
due
to
the period
of
historically
low
interest
rates
that
ended
in
March
2022. The
Federal
Reserve
has
recently been
raising the
federal
funds
rate
as
part
of
its
efforts
to
address
inflation.
There
is
a
risk
that
interest
rates
will
continue
to
rise,
which
will
likely
drive
down
the
prices
of
bonds
and
other
fixed-income
securities,
and
could
negatively
impact
the
Fund’s
performance.
The
Fund
invests
a
significant
portion
of
its
assets
in
securities
of
issuers
located
in
the
United
States.
A
decrease
in
imports
or
exports,
changes
in
trade
regulations,
inflation
and/or
an
economic
recession
in
the
United
States
may
have
a
material
adverse
effect
on
the
U.S.
economy
and
the
securities
listed
on
U.S.
exchanges.
Proposed
and
adopted
policy
and
legislative
changes
in
the
United
States
may
also
have
a
significant
effect
on
U.S.
markets
generally,
as
well
as
on
the
value
of
certain
securities.
Governmental
agencies
project
that
the
United
States
will
continue
to
maintain
elevated
public
debt
levels
for
the
foreseeable
future
which
may
constrain
future
economic
growth.
Circumstances
could
arise
that
could
prevent
the
timely
payment
of
interest
or
principal
on
U.S.
government
debt,
such
as
reaching
the
legislative
“debt
ceiling.”
Such
non-payment
would
result
in
substantial
negative
consequences
for
the
U.S.
economy
and
the
global
financial
system.
If
U.S.
relations
with
certain
countries
deteriorate,
it
could
adversely
affect
issuers
that
rely
on
the
United
States
for
trade.
The
United
States
has
also
experienced
increased
internal
unrest
and
discord.
If
these
trends
were
to
continue,
they
may
have
an
adverse
impact
on
the
U.S.
economy
and
the
issuers
in
which
the
Fund
invests.
Certain
Funds
invest
a
significant
portion
of
their
assets
within
the
financials
sector.
Performance
of
companies
in
the
financials
sector
may
be
adversely
impacted
by
many
factors,
including,
among
others,
changes
in
government
regulations,
economic
conditions,
and
interest
rates,
credit
rating
downgrades,
adverse
public
perception,
exposure
concentration
and
decreased
liquidity
in
credit
markets.
The
impact
of
changes
in
capital
requirements
and
recent
or
future
regulation
of
any
individual
financial
company,
or
of
the
financials
sector
as
a
whole,
cannot
be
predicted,
but
may
negatively
impact
the
Funds.
Significant
Shareholder
Redemption
Risk:
Certain
shareholders
may
own
or
manage
a
substantial
amount
of
fund
shares
and/or
hold
their
fund
investments
for
a
limited
period
of
time.
Large
redemptions
of
fund
shares
by
these
shareholders
may
force
a
fund
to
sell
portfolio
securities,
which
may
negatively
impact
the
fund’s
NAV,
increase
the
fund’s
brokerage
costs,
and/or
accelerate
the
realization
of
taxable
income/gains
and
cause
the
fund
to
make
additional
taxable
distributions
to
shareholders.
LIBOR
Transition
Risk:
The
Fund
may
be
exposed
to
financial
instruments
that
recently
transitioned
from,
or
continue
to
be
tied
to,
the
London
Interbank
Offered
Rate
(“LIBOR”)
to
determine
payment
obligations,
financing
terms,
hedging
strategies
or
investment
value.
The
United
Kingdom’s
Financial
Conduct
Authority,
which
regulates
LIBOR,
has
ceased
publishing
all
LIBOR
settings,
but
some
USD
LIBOR
settings
will
continue
to
be
published
under
a
synthetic
methodology
until
September
30,
2024
for
certain
legacy
contracts.
SOFR
has
been
used
increasingly
on
a
voluntary
basis
in
new
instruments
and
transactions.
Under
U.S.
regulations
that
implement
a
statutory
fallback
mechanism
to
replace
LIBOR,
benchmark
rates
based
on
SOFR
have
replaced
LIBOR
in
certain
financial
contracts.
The
ultimate
effect
of
the
LIBOR
transition
process
on
the
Fund
is
uncertain.
Notes
to
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
28
10.
CAPITAL
SHARE
TRANSACTIONS
Transactions
in
capital
shares
for
each
class
were
as
follows:
11.
SUBSEQUENT
EVENTS
Management
has
evaluated
the
impact
of
all
subsequent
events
on
the
Fund
through
the
date
the
financial
statements
were
issued
and
has
determined
that
there
were
no
subsequent
events
requiring
adjustment
or
additional
disclosure
in
the
financial
statements.
Year
Ended
07/31/23
Year
Ended
07/31/22
Fund
Name/Share
Class
Shares
Amount
Shares
Amount
BlackRock
Short
Obligations
Fund
Institutional
Shares
sold
.............................................
89,765,988
$
893,322,897
114,224,094
$
1,142,376,140
Shares
issued
in
reinvestment
of
distributions
........................
3,573,388
35,604,943
767,621
7,659,950
Shares
redeemed
.........................................
(162,290,630)
(1,615,604,764)
(178,737,510)
(1,787,698,175)
(68,951,254)
$
(686,676,924)
(63,745,795)
$
(637,662,085)
Investor
A
Shares
sold
.............................................
10,075,898
$
100,311,541
25,742,576
$
257,490,025
Shares
issued
in
reinvestment
of
distributions
........................
2,275,377
22,661,582
282,059
2,806,502
Shares
redeemed
.........................................
(55,265,176)
(549,602,427)
(122,382,390)
(1,224,503,828)
(42,913,901)
$
(426,629,304)
(96,357,755)
$
(964,207,301)
Class
K
Shares
sold
.............................................
2,740,282
$
27,299,563
3,694,922
$
37,110,163
Shares
issued
in
reinvestment
of
distributions
........................
69,443
692,846
64,966
652,160
Shares
redeemed
.........................................
(5,292,196)
(52,693,044)
(51,710,806)
(519,263,664)
(2,482,471)
$
(24,700,635)
(47,950,918)
$
(481,501,341)
(114,347,626)
$
(1,138,006,863)
(208,054,468)
$
(2,083,370,727)
Report
of
Independent
Registered
Public
Accounting
Firm
29
Report
of
Independent
Registered
Public
Accounting
Firm
/
Important
Tax
Information
To
the
Board
of
Trustees
of
BlackRock
Funds
SM
and
Shareholders
of
BlackRock
Short
Obligations
Fund
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities,
including
the
schedule
of
investments,
of
BlackRock
Short
Obligations
Fund
(one
of
the
funds
constituting
BlackRock
Funds
SM
,
referred
to
hereafter
as
the
“Fund”)
as
of
July
31,
2023,
the
related
statement
of
operations
for
the
year
ended
July
31,
2023,
the
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
July
31,
2023,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
July
31,
2023
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
as
of
July
31,
2023,
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,
2023
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
July
31,
2023
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
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
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
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
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
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
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
July
31,
2023
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
26,
2023
We
have
served
as
the
auditor
of
one
or
more
BlackRock
investment
companies
since
2000.
Important
Tax
Information
(unaudited)
2023
BlackRock
Annual
Report
to
Shareholders
30
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
of
distributions
from
direct
federal
obligation
interest
for
the
fiscal
year
ended
July
31,
2023:
The
law
varies
in
each
state
as
to
whether
and
what
percent
of
ordinary
income
dividends
attributable
to
federal
obligations
is
exempt
from
state
income
tax.
Shareholders
are
advised
to
check
with
their
tax
advisers
to
determine
if
any
portion
of
the
dividends
received
is
exempt
from
state
income
tax.
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest
income
eligible
to
be
treated
as
a
Section
163(j)
interest
dividend
for
the
fiscal
year
ended
July
31,
2023:
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest-related
dividends
eligible
for
exemption
from
U.S.
withholding
tax
for
nonresident
aliens
and
foreign
corporations
for
the
fiscal
year
ended
July
31,
2023:
Fund
Name
Federal
Obligation
Interest
BlackRock
Short
Obligations
Fund
.......................................................................................
$
4,363
Fund
Name
Interest
Dividends
BlackRock
Short
Obligations
Fund
.......................................................................................
$
59,857,417
Fund
Name
Interest-Related
Dividends
BlackRock
Short
Obligations
Fund
.......................................................................................
$
59,857,417
Disclosure
of
Investment
Advisory
Agreements
and
Sub-Advisory
Agreement
31
Disclosure
of
Investment
Advisory
Agreements
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
18,
2023
(the
“April
Meeting”)
and
May
23-24,
2023
(the
“May
Meeting”)
to
consider
the
approval
to
continue
the
investment
advisory
agreement
(the
“Advisory
Agreement”)
between
the
Trust,
on
behalf
of
BlackRock
Short
Obligations
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
of
which
extended
over
a
two-day
period,
as
well
as
additional
ad
hoc
meetings
and
executive
sessions
throughout
the
year,
as
needed.
The
committees
of
the
Board
similarly
met
throughout
the
year.
The
Board
also
had
an
additional
one-day
meeting
to
consider
specific
information
regarding
the
renewal
of
the
Agreements.
In
considering
the
renewal
of
the
Agreements,
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)
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
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
are
continuously
engaged
in
a
process
with
their
independent
legal
counsel
and
BlackRock
to
review
the
nature
and
scope
of
the
information
provided
to
the
Board
to
better
assist
its
deliberations.
The
materials
provided
in
connection
with
the
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
Agreements
and
Sub-Advisory
Agreement
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
32
A.
Nature,
Extent
and
Quality
of
the
Services
Provided
by
BlackRock
The
Board,
including
the
Independent
Board
Members,
reviewed
the
nature,
extent
and
quality
of
services
provided
by
BlackRock,
including
the
investment
advisory
services,
and
the
resulting
performance
of
the
Fund.
Throughout
the
year,
the
Board
compared
Fund
performance
to
the
performance
of
a
comparable
group
of
mutual
funds,
relevant
benchmarks,
and
performance
metrics,
as
applicable.
The
Board
met
with
BlackRock’s
senior
management
personnel
responsible
for
investment
activities,
including
the
senior
investment
officers.
The
Board
also
reviewed
the
materials
provided
by
the
Fund’s
portfolio
management
team
discussing
the
Fund’s
performance,
investment
strategies
and
outlook.
The
Board
considered,
among
other
factors,
with
respect
to
BlackRock:
the
experience
of
investment
personnel
generally
and
the
Fund’s
portfolio
management
team;
research
capabilities;
investments
by
portfolio
managers
in
the
funds
they
manage;
portfolio
trading
capabilities;
use
of
technology;
commitment
to
compliance;
credit
analysis
capabilities;
risk
analysis
and
oversight
capabilities;
and
the
approach
to
training
and
retaining
portfolio
managers
and
other
research,
advisory
and
management
personnel.
The
Board
also
considered
BlackRock’s
overall
risk
management
program,
including
the
continued
efforts
of
BlackRock
and
its
affiliates
to
address
cybersecurity
risks
and
the
role
of
BlackRock’s
Risk
&
Quantitative
Analysis
Group.
The
Board
engaged
in
a
review
of
BlackRock’s
compensation
structure
with
respect
to
the
Fund’s
portfolio
management
team
and
BlackRock’s
ability
to
attract
and
retain
high-quality
talent
and
create
performance
incentives.
In
addition
to
investment
advisory
services,
the
Board
considered
the
nature
and
quality
of
the
administrative
and
other
non-investment
advisory
services
provided
to
the
Fund.
BlackRock
and
its
affiliates
provide
the
Fund
with
certain
administrative,
shareholder
and
other
services
(in
addition
to
any
such
services
provided
to
the
Fund
by
third
parties)
and
officers
and
other
personnel
as
are
necessary
for
the
operations
of
the
Fund.
In
particular,
BlackRock
and
its
affiliates
provide
the
Fund
with
administrative
services
including,
among
others:
(i)
responsibility
for
disclosure
documents,
such
as
the
prospectus,
the
summary
prospectus
(as
applicable),
the
statement
of
additional
information
and
periodic
shareholder
reports;
(ii)
oversight
of
daily
accounting
and
pricing;
(iii)
responsibility
for
periodic
filings
with
regulators;
(iv)
overseeing
and
coordinating
the
activities
of
third-party
service
providers
including,
among
others,
the
Fund's
custodian,
fund
accountant,
transfer
agent,
and
auditor;
(v)
organizing
Board
meetings
and
preparing
the
materials
for
such
Board
meetings;
(vi)
providing
legal
and
compliance
support;
(vii)
furnishing
analytical
and
other
support
to
assist
the
Board
in
its
consideration
of
strategic
issues
such
as
the
merger,
consolidation
or
repurposing
of
certain
open-end
funds;
and
(viii)
performing
or
managing
administrative
functions
necessary
for
the
operation
of
the
Fund,
such
as
tax
reporting,
expense
management,
fulfilling
regulatory
filing
requirements,
overseeing
the
Fund’s
distribution
partners,
and
shareholder
call
center
and
other
services.
The
Board
reviewed
the
structure
and
duties
of
BlackRock’s
fund
administration,
shareholder
services,
and
legal
and
compliance
departments
and
considered
BlackRock’s
policies
and
procedures
for
assuring
compliance
with
applicable
laws
and
regulations.
The
Board
considered
the
operation
of
BlackRock’s
business
continuity
plans.
The
Board
noted
that
the
engagement
of
the
Sub-Advisor
with
respect
to
the
Fund
facilitates
the
provision
of
investment
advice
and
trading
by
investment
personnel
out
of
non-U.S.
jurisdictions.
The
Board
considered
that
this
arrangement
provides
additional
flexibility
to
the
portfolio
management
team,
which
may
benefit
the
Fund
and
its
shareholders.
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,
2022,
as
compared
to
its
Performance
Peers.
Broadridge
ranks
funds
in
quartiles,
ranging
from
first
to
fourth,
where
first
is
the
most
desirable
quartile
position
and
fourth
is
the
least
desirable.
In
connection
with
its
review,
the
Board
received
and
reviewed
information
regarding
the
investment
performance
of
the
Fund
as
compared
to
its
Performance
Peers
and
the
respective
Lipper
Classification
(“Lipper
Classification”).
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
the
Fund’s
performance
within
the
context
of
the
low
yield
environment
that
existed
for
a
portion
of
the
relative
periods.
In
addition
to
reviewing
the
Fund’s
performance
and
current
yield,
it
also
reviews
the
liquidity,
duration,
credit
quality
and
other
risk
factors
of
the
Fund’s
portfolio.
The
Board
noted
that
for
the
one-
and
three-year
periods
reported,
the
Fund
ranked
in
the
first
and
second
quartiles,
respectively,
against
its
Lipper
Classification.
The
Board
noted
that
BlackRock
believes
that
the
Lipper
Classification
is
an
appropriate
performance
metric
for
the
Fund,
and
that
BlackRock
has
explained
its
rationale
for
this
belief
to
the
Board.
C.
Consideration
of
the
Advisory/Management
Fees
and
the
Estimated
Cost
of
the
Services
and
Estimated
Profits
Realized
by
BlackRock
and
its
Affiliates
from
their
Relationship
with
the
Fund
The
Board,
including
the
Independent
Board
Members,
reviewed
the
Fund’s
contractual
management
fee
rate
compared
with
those
of
its
Expense
Peers.
The
contractual
management
fee
rate
represents
a
combination
of
the
advisory
fee
and
any
administrative
fees,
before
taking
into
account
any
reimbursements
or
fee
waivers.
The
Board
also
compared
the
Fund’s
total
expense
ratio,
as
well
as
its
actual
management
fee
rate,
to
those
of
its
Expense
Peers.
The
total
expense
ratio
represents
a
fund’s
total
net
operating
expenses,
including
any
12b-1
or
non-12b-1
service
fees.
The
total
expense
ratio
gives
effect
to
any
expense
reimbursements
or
fee
waivers,
and
the
actual
management
fee
rate
gives
effect
to
any
management
fee
reimbursements
or
waivers.
The
Board
considered
that
the
fee
and
expense
information
in
the
Broadridge
report
for
the
Fund
reflected
information
for
a
specific
period
and
that
historical
asset
levels
and
expenses
may
differ
from
current
levels,
particularly
in
a
period
of
market
volatility.
The
Board
considered
the
services
provided
and
the
fees
charged
by
BlackRock
and
its
affiliates
to
other
types
of
clients
with
similar
investment
mandates,
as
applicable,
including
institutional
accounts
and
sub-advised
mutual
funds
(including
mutual
funds
sponsored
by
third
parties).
Disclosure
of
Investment
Advisory
Agreements
and
Sub-Advisory
Agreement
(continued)
33
Disclosure
of
Investment
Advisory
Agreements
and
Sub-Advisory
Agreement
The
Board
received
and
reviewed
statements
relating
to
BlackRock’s
financial
condition.
The
Board
reviewed
BlackRock’s
profitability
methodology
and
was
also
provided
with
an
estimated
profitability
analysis
that
detailed
the
revenues
earned
and
the
expenses
incurred
by
BlackRock
for
services
provided
to
the
Fund.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
the
Fund
and
other
funds
the
Board
currently
oversees
for
the
year
ended
December
31,
2022
compared
to
available
aggregate
estimated
profitability
data
provided
for
the
prior
two
years.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
certain
other
U.S.
fund
complexes
managed
by
the
Manager
and/or
its
affiliates.
The
Board
reviewed
BlackRock’s
assumptions
and
methodology
of
allocating
expenses
in
the
estimated
profitability
analysis,
noting
the
inherent
limitations
in
allocating
costs
among
various
advisory
products.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
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
and
resources,
assumption
of
risk,
and
liability
profile
in
servicing
the
Fund,
including
in
contrast
to
what
is
required
of
BlackRock
with
respect
to
other
products
with
similar
investment
mandates
across
the
open-end
fund,
ETF,
closed-end
fund,
sub-advised
mutual
fund,
separately
managed
account,
collective
investment
trust,
and
institutional
separate
account
product
channels,
as
applicable.
The
Board
reviewed
the
expenses
within
the
context
of
the
low
yield
environment
that
existed
for
a
portion
of
the
relative
periods,
and
any
consequent
expense
waivers
and
reimbursements
necessary
to
maintain
minimum
levels
of
daily
net
investment
income,
as
applicable.
The
Board
noted
that
the
Fund’s
contractual
management
fee
rate
ranked
in
the
second
quartile,
and
that
the
actual
management
fee
rate
and
total
expense
ratio
each
ranked
in
the
first
quartile
relative
to
the
Fund’s
Expense
Peers.
The
Board
also
noted
that
the
Fund
has
an
advisory
fee
arrangement
that
includes
breakpoints
that
adjust
the
fee
rate
downward
as
the
size
of
the
Fund
increases
above
certain
contractually
specified
levels.
The
Board
additionally
noted
that
the
breakpoints
can,
conversely,
adjust
the
advisory
fee
rate
upward
as
the
size
of
the
Fund
decreases
below
certain
contractually
specified
levels.
The
Board
further
noted
that
BlackRock
and
the
Board
have
contractually
agreed
to
a
cap
on
the
Fund’s
total
expenses
as
a
percentage
of
the
Fund’s
average
daily
net
assets
on
a
class-by-class
basis.
In
addition,
the
Board
noted
that
BlackRock
has
voluntarily
agreed
to
a
cap
to
further
limit
the
Fund’s
total
expenses
as
a
percentage
of
the
Fund’s
average
daily
net
assets
on
a
class-by-class
basis.
D.
Economies
of
Scale
The
Board,
including
the
Independent
Board
Members,
considered
the
extent
to
which
economies
of
scale
might
be
realized
as
the
assets
of
the
Fund
increase,
including
the
existence
of
fee
waivers
and/or
expense
caps,
as
applicable,
noting
that
any
contractual
fee
waivers
and
contractual
expense
caps
had
been
approved
by
the
Board.
In
its
consideration,
the
Board
further
considered
the
continuation
and/or
implementation
of
fee
waivers
and/or
expense
caps,
as
applicable.
The
Board
also
considered
the
extent
to
which
the
Fund
benefits
from
such
economies
of
scale
in
a
variety
of
ways,
and
whether
there
should
be
changes
in
the
advisory
fee
rate
or
breakpoint
structure
in
order
to
enable
the
Fund
to
more
fully
participate
in
these
economies
of
scale.
The
Board
considered
the
Fund’s
asset
levels
and
whether
the
current
fee
schedule
was
appropriate.
E.
Other
Factors
Deemed
Relevant
by
the
Board
Members
The
Board,
including
the
Independent
Board
Members,
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
BlackRock
or
its
affiliates
may
derive
from
BlackRock’s
respective
relationships
with
the
Fund,
both
tangible
and
intangible,
such
as
BlackRock’s
ability
to
leverage
its
investment
professionals
who
manage
other
portfolios
and
its
risk
management
personnel,
an
increase
in
BlackRock’s
profile
in
the
investment
advisory
community,
and
the
engagement
of
BlackRock’s
affiliates
as
service
providers
to
the
Fund,
including
for
administrative,
distribution,
securities
lending
and
cash
management
services.
With
respect
to
securities
lending,
during
the
year
the
Board
also
considered
information
provided
by
independent
third-party
consultants
related
to
the
performance
of
each
BlackRock
affiliate
as
securities
lending
agent.
The
Board
also
considered
BlackRock’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
improve
the
quality
of,
its
operations.
The
Board
also
noted
that,
subject
to
applicable
law,
BlackRock
may
use
and
benefit
from
third-party
research
obtained
by
soft
dollars
generated
by
certain
registered
fund
transactions
to
assist
in
managing
all
or
a
number
of
its
other
client
accounts.
In
connection
with
its
consideration
of
the
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,
in
a
continuation
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,
2024,
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,
2024.
Based
upon
its
evaluation
of
all
of
the
aforementioned
factors
in
their
totality,
as
well
as
other
information,
the
Board,
including
the
Independent
Board
Members,
was
satisfied
that
the
terms
of
the
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
advised
by
independent
legal
counsel
throughout
the
deliberative
process.
Trustee
and
Officer
Information
2023
BlackRock
Annual
Report
to
Shareholders
34
Independent
Trustees
(a)
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
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
5
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
169
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
from
2018
to
2022;
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;
Member
of
the
President's
Counsel,
Commonfund
since
2023.
28
RICs
consisting
of
169
Portfolios
None
Collette
Chilton
1958
Trustee
(Since
2015)
Chief
Investment
Officer,
Williams
College
from
2006
to
2023;
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
169
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
169
Portfolios
None
Lena
G.
Goldberg
1949
Trustee
(Since
2019)
Director,
Pioneer
Legal
Institute
since
2023;
Director,
Charles
Stark
Draper
Laboratory,
Inc.
from
2013
to
2021;
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
169
Portfolios
None
Henry
R.
Keizer
1956
Trustee
(Since
2019)
Director,
Park
Indemnity
Ltd.
(captive
insurer)
from
2010
to
2022.
28
RICs
consisting
of
169
Portfolios
GrafTech
International
Ltd.
(materials
manufacturing);
Sealed
Air
Corp.
(packaging);
WABCO
(commercial
vehicle
safety
systems)
from
2015
to
2020;
Hertz
Global
Holdings
(car
rental)
from
2015
to
2021.
Cynthia
A.
Montgomery
1952
Trustee
(Since
2007)
Professor,
Harvard
Business
School
since
1989.
28
RICs
consisting
of
169
Portfolios
None
Trustee
and
Officer
Information
(continued)
35
Trustee
and
Officer
Information
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
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
5
Years
Donald
C.
Opatrny
1952
Trustee
(Since
2019)
Chair
of
the
Board
of
Phoenix
Art
Museum
since
2022
and
Trustee
thereof
since
2018;
Chair
of
the
Investment
Committee
of
The
Arizona
Community
Foundation
since
2022
and
Trustee
thereof
since
2020;
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;
Member
of
Affordable
Housing
Supply
Board
of
Jackson,
Wyoming
since
2017;
Member,
Investment
Funds
Committee,
State
of
Wyoming
since
2017;
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.
28
RICs
consisting
of
169
Portfolios
None
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
2001,
Emeritus
since
2022;
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
169
Portfolios
None
Claire
A.
Walton
1957
Trustee
(Since
2016)
Advisory
Board
Member,
Grossman
School
of
Business
at
the
University
of
Vermont
since
2023;
Advisory
Board
Member,
Scientific
Financial
Systems
since
2022;
General
Partner
of
Neon
Liberty
Capital
Management,
LLC
since
2003;
Chief
Operating
Officer
and
Chief
Financial
Officer
of
Liberty
Square
Asset
Management,
LP
from
1998
to
2015;
Director,
Boston
Hedge
Fund
Group
from
2009
to
2018;
Director,
Massachusetts
Council
on
Economic
Education
from
2013
to
2015;
Director,
Woodstock
Ski
Runners
from
2013
to
2022.
28
RICs
consisting
of
169
Portfolios
None
Independent
Trustees
(a)
(continued)
Trustee
and
Officer
Information
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
36
Interested
Trustees
(a)(d)
(a)
The
address
of
each
Trustee
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(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;
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
5
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
5
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.
98
RICs
consisting
of
273
Portfolios
None
John
M.
Perlowski
(e)
1964
Trustee
(Since
2015);
President
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.
100
RICs
consisting
of
275
Portfolios
None
Trustee
and
Officer
Information
(continued)
37
Trustee
and
Officer
Information
Officers
Who
Are
Not
Trustees
(a)
(a)
The
address
of
each
Officer
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(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
5
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;
Co-Head
of
BlackRock
Solutions'
Portfolio
Analytics
Group;
previously
Mr.
Villacorta
was
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.
Aaron
Wasserman
1974
Chief
Compliance
Officer
(Since
2023)
Managing
Director
of
BlackRock,
Inc.
since
2018;
Chief
Compliance
Officer
of
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-Income
Complex
and
the
iShares
Complex
since
2023;
Deputy
Chief
Compliance
Officer
for
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-
Income
Complex
and
the
iShares
Complex
from
2014
to
2023.
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,
2022,
Joseph
P.
Platt
retired
as
a
Trustee
of
the
Trust.
Effective
July
1,
2023,
Aaron
Wasserman
replaced
Charles
Park
as
Chief
Compliance
Officer
of
the
Trust.
Additional
Information
2023
BlackRock
Annual
Report
to
Shareholders
38
Tailored
Shareholder
Reports
for
Open-End Mutual
Funds
and
ETFs
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Fund.
General
Information
Quarterly
performance,
semi-annual
and
annual
reports,
current
net
asset
value
and
other
information
regarding
the
Fund
may
be
found
on
BlackRock’s
website,
which
can
be
accessed
at
blackrock.com
.
Any
reference
to
BlackRock’s
website
in
this
report
is
intended
to
allow
investors
public
access
to
information
regarding
the
Fund
and
does
not,
and
is
not
intended
to,
incorporate
BlackRock’s
website
in
this
report.
Householding
The
Fund
will
mail
only
one
copy
of
shareholder
documents,
including
prospectuses,
annual
and
semi-annual
reports,
Rule
30e-3
notices
and
proxy
statements,
to
shareholders
with
multiple
accounts
at
the
same
address.
This
practice
is
commonly
called
“householding”
and
is
intended
to
reduce
expenses
and
eliminate
duplicate
mailings
of
shareholder
documents.
Mailings
of
your
shareholder
documents
may
be
householded
indefinitely
unless
you
instruct
us
otherwise.
If
you
do
not
want
the
mailing
of
these
documents
to
be
combined
with
those
for
other
members
of
your
household,
please
call
the
Fund at
(800)
441-7762.
Availability
of
Quarterly
Schedule
of
Investments
The
Fund
files
its
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
Fund’s
Form
N-PORT is
available
on
the
SEC’s
website
at
sec.gov
.
Additionally,
the
Fund
makes
its
portfolio
holdings
for
the
first
and
third
quarters
of
each
fiscal
year
available
at
blackrock.com/fundreports
.
Availability
of
Proxy
Voting
Policies,
Procedures and
Voting
Records
A
description
of
the
policies
and
procedures
that
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
information
about
how
the
Fund
voted
proxies
relating
to
securities
held
in
the
Fund's
portfolio
during
the
most
recent
12-month
period
ended
June
30 is
available
without
charge,
upon
request (1)
by
calling
(800)
441-7762
;
(2)
on
the
BlackRock
website
at
blackrock.com
;
and
(3)
on
the
SEC’s
website
at
sec.gov
.
BlackRock’s
Mutual
Fund
Family
BlackRock
offers
a
diverse
lineup
of
open-end
mutual
funds
crossing
all
investment
styles
and
managed
by
experts
in
equity,
fixed-income
and
tax-exempt
investing.
Visit
blackrock.com
for
more
information.
Shareholder
Privileges
Account
Information
Call
us
at
(800)
441-7762
from
8:00
AM
to
6:00
PM
ET
on
any
business
day
to
get
information
about
your
account
balances,
recent
transactions
and
share
prices.
You
can
also
visit
blackrock.com
for
more
information.
Automatic
Investment
Plans
Investor
class
shareholders
who
want
to
invest
regularly
can
arrange
to
have
$50
or
more
automatically
deducted
from
their
checking
or
savings
account
and
invested
in
any
of
the
BlackRock
funds.
Systematic
Withdrawal
Plans
Investor
class
shareholders
can
establish
a
systematic
withdrawal
plan
and
receive
periodic
payments
of
$50
or
more
from
their
BlackRock
funds,
as
long
as
their
account
balance
is
at
least
$10,000.
Retirement
Plans
Shareholders
may
make
investments
in
conjunction
with
Traditional,
Rollover,
Roth,
Coverdell,
Simple
IRAs,
SEP
IRAs
and
403(b)
Plans.
Additional
Information
(continued)
39
Additional
Information
BlackRock
Privacy
Principles
BlackRock
is
committed
to
maintaining
the
privacy
of
its
current
and
former
fund
investors
and
individual
clients
(collectively,
“Clients”)
and
to
safeguarding
their
non-public
personal
information.
The
following
information
is
provided
to
help
you
understand
what
personal
information
BlackRock
collects,
how
we
protect
that
information
and
why
in
certain
cases
we
share
such
information
with
select
parties.
If
you
are
located
in
a
jurisdiction
where
specific
laws,
rules
or
regulations
require
BlackRock
to
provide
you
with
additional
or
different
privacy-related
rights
beyond
what
is
set
forth
below,
then
BlackRock
will
comply
with
those
specific
laws,
rules
or
regulations.
BlackRock
obtains
or
verifies
personal
non-public
information
from
and
about
you
from
different
sources,
including
the
following:
(i)
information
we
receive
from
you
or,
if
applicable,
your
financial
intermediary,
on
applications,
forms
or
other
documents;
(ii)
information
about
your
transactions
with
us,
our
affiliates,
or
others;
(iii)
information
we
receive
from
a
consumer
reporting
agency;
and
(iv)
from
visits
to
our
websites.
BlackRock
does
not
sell
or
disclose
to
non-affiliated
third
parties
any
non-public
personal
information
about
its
Clients,
except
as
permitted
by
law
or
as
is
necessary
to
respond
to
regulatory
requests
or
to
service
Client
accounts.
These
non-affiliated
third
parties
are
required
to
protect
the
confidentiality
and
security
of
this
information
and
to
use
it
only
for
its
intended
purpose.
We
may
share
information
with
our
affiliates
to
service
your
account
or
to
provide
you
with
information
about
other
BlackRock
products
or
services
that
may
be
of
interest
to
you.
In
addition,
BlackRock
restricts
access
to
non-public
personal
information
about
its
Clients
to
those
BlackRock
employees
with
a
legitimate
business
need
for
the
information.
BlackRock
maintains
physical,
electronic
and
procedural
safeguards
that
are
designed
to
protect
the
non-public
personal
information
of
its
Clients,
including
procedures
relating
to
the
proper
storage
and
disposal
of
such
information.
Fund
and
Service
Providers
Investment
Adviser
and
Administrator
BlackRock
Advisors,
LLC
Wilmington,
DE
19809
Sub-Adviser
BlackRock
International
Limited
Edinburgh,
EH3
8JB
United
Kingdom
Accounting
Agent
JPMorgan
Chase
Bank,
N.A.
New
York,
NY
10179
Transfer
Agent
BNY
Mellon
Investment
Servicing
(US)
Inc.
Wilmington,
DE
19809
Custodians
JPMorgan
Chase
Bank,
N.A.
New
York,
NY
10179
The
Bank
of
New
York
Mellon
New
York,
NY
10286
Independent
Registered
Public
Accounting
Firm
PricewaterhouseCoopers
LLP
Philadelphia,
PA
19103
Distributor
BlackRock
Investments,
LLC
New
York,
NY
10001
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
2023
BlackRock
Annual
Report
to
Shareholders
40
Currency
Abbreviation
USD
United
States
Dollar
Portfolio
Abbreviation
GO
General
Obligation
Bonds
LIBOR
London
Interbank
Offered
Rate
LOC
Letter
of
Credit
RB
Revenue
Bonds
SOFR
Secured
Overnight
Financing
Rate
VRDN
Variable
Rate
Demand
Notes
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.
SHORTS-7/23-AR
JULY
31,
2023
Not
FDIC
Insured
-
May
Lose
Value
-
No
Bank
Guarantee
2023
Annual
Report
BlackRock
Funds
SM
BlackRock
Total
Factor
Fund
Dear
Shareholder,
Despite
an
uncertain
economic
landscape
during
the
12-month
reporting
period
ended
July
31,
2023,
the
resilience
of
the
U.S.
economy
in
the
face
of
ever
tighter
financial
conditions
provided
an
encouraging
backdrop
for
investors.
While
inflation
was
near
multi-decade
highs
at
the
beginning
of
the
period,
it
declined
precipitously
as
commodity
prices
dropped.
Labor
shortages
also
moderated,
although
wages
continued
to
grow
and
unemployment
rates
reached
the
lowest
levels
in
decades.
This
robust
labor
market
powered
further
growth
in
consumer
spending,
backstopping
the
economy.
Equity
returns
were
solid,
as
the
durability
of
consumer
sentiment
eased
investors’
concerns
about
the
economy’s
trajectory.
The
U.S.
economy
resumed
growth
in
the
third
quarter
of
2022
and
continued
to
expand
thereafter.
Most
major
classes
of
equities
advanced,
including
large-
and
small-capitalization
U.S.
stocks
and
equities
from
developed
and
emerging
markets.
The
10-year
U.S.
Treasury
yield
rose
during
the
reporting
period,
driving
its
price
down,
as
investors
reacted
to
elevated
inflation
and
attempted
to
anticipate
future
interest
rate
changes.
The
corporate
bond
market
also
faced
inflationary
headwinds,
although
high-yield
corporate
bond
prices
fared
significantly
better
than
investment-
grade
bonds
as
demand
from
yield-seeking
investors
remained
strong.
The
U.S.
Federal
Reserve
(the
“Fed”),
acknowledging
that
inflation
has
been
more
persistent
than
expected,
raised
interest
rates
seven
times
during
the
12-month
period
ended
July
31,
2023.
Furthermore,
the
Fed
wound
down
its
bond-buying
programs
and
incrementally
reduced
its
balance
sheet
by
not
replacing
securities
that
reach
maturity.
However,
the
Fed
declined
to
raise
interest
rates
at
its
June
2023
meeting,
the
first
time
it
paused
its
tightening
in
the
current
cycle,
before
again
raising
rates
in
July
2023.
Supply
constraints
appear
to
have
become
an
embedded
feature
of
the
new
macroeconomic
environment,
making
it
difficult
for
developed
economies
to
increase
production
without
sparking
higher
inflation.
Geopolitical
fragmentation
and
an
aging
population
risk
further
exacerbating
these
constraints,
keeping
the
labor
market
tight
and
wage
growth
high.
Although
the
Fed
has
decelerated
the
pace
of
interest
rate
hikes
and
recently
opted
for
a
pause,
we
believe
that
the
new
economic
regime
means
that
the
Fed
will
need
to
maintain
high
rates
for
an
extended
period
to
keep
inflation
under
control.
Furthermore,
ongoing
structural
changes
may
mean
that
the
Fed
will
be
hesitant
to
cut
interest
rates
in
the
event
of
faltering
economic
activity
lest
inflation
accelerate
again.
We
believe
investors
should
expect
a
period
of
higher
volatility
as
markets
adjust
to
the
new
economic
reality
and
policymakers
attempt
to
adapt.
While
we
favor
an
overweight
position
to
developed
market
equities
in
the
long
term,
we
prefer
an
underweight
stance
in
the
near-term.
Expectations
for
corporate
earnings
remain
elevated,
which
seems
inconsistent
with
macroeconomic
constraints.
Nevertheless,
we
are
overweight
on
emerging
market
stocks
in
the
near-term
as
growth
trends
for
emerging
markets
appear
brighter.
We
also
believe
that
stocks
with
an
A.I.
tilt
should
benefit
from
an
investment
cycle
that
is
set
to
support
revenues
and
margins.
We
are
neutral
on
credit
overall
amid
tightening
credit
and
financial
conditions;
however,
there
are
selective
opportunities
in
the
near
term.
For
fixed
income
investing
with
a
six-
to
twelve-month
horizon,
we
see
the
most
attractive
investments
in
short-term
U.S.
Treasuries,
U.S.
inflation-linked
bonds,
U.S.
mortgage-backed
securities,
and
hard-currency
emerging
market
bonds.
Overall,
our
view
is
that
investors
need
to
think
globally,
position
themselves
to
be
prepared
for
a
decarbonizing
economy,
and
be
nimble
as
market
conditions
change.
We
encourage
you
to
talk
with
your
financial
advisor
and
visit
blackrock.com
for
further
insight
about
investing
in
today’s
markets.
Sincerely,
Rob
Kapito
President,
BlackRock
Advisors,
LLC
The
Markets
in
Review
Rob
Kapito
President,
BlackRock
Advisors,
LLC
Past
performance
is
not
an
indication
of
future
results.
Index
performance
is
shown
for
illustrative
purposes
only.
You
cannot
invest
directly
in
an
index.
Total
Returns
as
of
July
31,
2023
6-Month
12-Month
U.S.
large
cap
equities
(S&P
500
®
Index)
13.52%
13.02%
U.S.
small
cap
equities
(Russell
2000
®
Index)
4.51
7.91
International
equities
(MSCI
Europe,
Australasia,
Far
East
Index)
6.65
16.79
Emerging
market
equities
(MSCI
Emerging
Markets
Index)
3.26
8.35
3-month
Treasury
bills
(ICE
BofA
3-Month
U.S.
Treasury
Bill
Index)
2.34
3.96
U.S.
Treasury
securities
(ICE
BofA
10-Year
U.S.
Treasury
Index)
(2.08)
(7.56)
U.S.
investment
grade
bonds
(Bloomberg
U.S.
Aggregate
Bond
Index)
(1.02)
(3.37)
Tax-exempt
municipal
bonds
(Bloomberg
Municipal
Bond
Index)
0.20
0.93
U.S.
high
yield
bonds
(Bloomberg
U.S.
Corporate
High
Yield
2%
Issuer
Capped
Index)
2.92
4.42
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
..................................................................................
36
Consolidated
Statement
of
Operations
........................................................................................
38
Consolidated
Statements
of
Changes
in
Net
Assets
................................................................................
39
Consolidated
Financial
Highlights
.............................................................................................
40
Notes
to
Consolidated
Financial
Statements
......................................................................................
44
Report
of
Independent
Registered
Public
Accounting
Firm
..............................................................................
54
Important
Tax
Information
.................................................................................................
55
Disclosure
of
Investment
Advisory
Agreement
and
Sub-Advisory
Agreement
...................................................................
56
Trustee
and
Officer
Information
..............................................................................................
59
Additional
Information
....................................................................................................
63
Glossary
of
Terms
Used
in
this
Report
..........................................................................................
65
Fund
Summary
as
of
July
31,
2023
2023
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.
On
May
23,
2023,
the
Board
of
Trustees
approved
a
proposal
to
close
the
Fund
to
new
and
subsequent
investments
and
thereafter
to
liquidate
the
Fund.
On
September
22,
2023,
the
Fund
will
no
longer
accept
orders
from
new
investors
or
existing
shareholders
to
purchase
Fund
shares.
On
or
about
September
29,
2023
(the
“Liquidation
Date”),
all
of
the
assets
of
the
Fund
will
be
liquidated
completely.
Portfolio
Management
Commentary
How
did
the
Fund
perform?
For
the
12-month
period
ended
July
31,
2023,
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
outperformed
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.
Positive
contributions
to
the
Fund’s
performance
were
driven
by
the
market
neutral
style
factor
side,
which
receives
more
than
two-thirds
of
the
total
portfolio
allocation.
Within
the
market
neutral
style
factor
allocation,
each
of
the
five
asset
classes
–
fixed
income,
single
name
equities,
equity
markets,
commodities,
and
currencies
–
finished
in
firmly
positive
territory.
Within
single
name
equities,
the
majority
of
return
contribution
was
attributable
to
value-oriented
strategies,
which
continued
their
recovery
since
the
onset
of
the
reflationary
regime
dating
back
to
November
2020,
while
within
the
other
asset
classes
the
Fund
benefited
from
dislocations
in
monetary
policy
and
shifting
market
regimes.
Value
strategies
were
the
leading
contributors
at
the
portfolio
level
across
asset
classes,
with
some
marginal
benefit
from
exposures
driven
by
carry
(incremental
income).
On
the
macro
factor
side
of
the
portfolio,
the
pro-cyclical
economic
growth
factor
was
the
lone
positive
contributor
as
its
balanced
combination
of
equity
and
credit
exposure
benefited
from
tailwinds
throughout
much
of
2023.
Detractors
from
Fund
performance
on
the
market
neutral
style
factor
side
were
limited
to
minor
losses
from
momentum
exposures.
Most
notably,
the
bond
allocation
within
momentum
was
negatively
impacted
early
in
the
period
by
record-setting
moves
in
U.K.
rates
on
concerns
around
the
election
of
a
new
Prime
Minister
and
unfunded
tax
cuts.
The
period
also
saw
some
regime
shifts
following
the
U.S.
regional
banking
crisis
weigh
on
performance
for
the
momentum
factor.
Across
the
macro
allocation,
the
two
fixed
income-based
factors
–
real
rates
and
inflation
–
were
the
main
underperformers
as
both
inflation-linked
and
nominal
bonds
sold
off
based
on
persistently
above-target
inflation
and
continued
upward
revisions
in
expected
global
central
bank
terminal
rates.
The
Fund
routinely
holds
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
marginally
contributed
to
performance.
The
Fund
holds
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
broad
factor
allocations
tend
to
remain
relatively
stable,
the
Fund
utilizes
a
timing
model
to
implement
tilts
based
on
a
combination
of
metrics
spanning
market
regime,
relative
trends
and
valuations.
The
allocation
to
individual
equities,
which
has
been
the
lone
asset
class
to
trade
based
on
the
timing
model
since
its
inception
in
2020,
saw
additive
performance
from
the
model
during
the
period.
Specifically,
the
model
drove
an
overweight
to
value
strategies
which
benefited
from
rising
interest
rates
and
a
market
focus
on
company
fundamentals
early
in
the
period.
The
model
then
shifted
to
a
defensive
stance
throughout
2023,
overweighting
low
volatility
and
quality
exposures
which
outperformed
as
investors
prioritized
low
stock-specific
risk
and
high,
near-dated
cash
flows
in
the
wake
of
the
U.S.
regional
banking
crisis.
Outside
of
the
timing
model,
no
discretionary
decisions
or
changes
were
made.
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
exposures.
Within
single
name
equities,
the
timing
model
was
neutral
on
both
momentum
and
low
volatility
and
modestly
tilted
away
from
both
value
and
quality.
At
the
overall
portfolio
level,
equities
and
fixed
income
remained
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,
2023
(continued)
5
Fund
Summary
BlackRock
Total
Factor
Fund
GROWTH
OF
$10,000
INVESTMENT
(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,
2023
(continued)
2023
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
10
Years
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Without
Sales
Charge
With
Sales
Charge
Institutional
..................................................
14.24%
N/A
1.46%
N/A
3.24%
N/A
Investor
A
...................................................
13.99
8.00%
1.22
0.13%
2.97
2.42%
Investor
C
...................................................
13.20
12.20
0.46
0.46
2.37
2.37
Class
K
....................................................
14.39
N/A
1.52
N/A
3.27
N/A
60%
MSCI
World
Index
Hedged
USD
Net/40%
Bloomberg
U.S.
Aggregate
Bond
Index
....................................................
6.81
N/A
6.74
N/A
7.14
N/A
MSCI
World
Index
Hedged
USD
Net
................................
13.80
N/A
10.37
N/A
10.69
N/A
Bloomberg
U.S.
Aggregate
Bond
Index
.............................
(3.37)
N/A
0.75
N/A
1.50
N/A
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index
...........................
3.96
N/A
1.60
N/A
1.03
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”.
Actual
H
ypothetical
5%
Re
turn
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Annualized
Expense
Ratio
Institutional
...............................
$
1,000.00
$
1,125.80
$
2.90
$
1,000.00
$
1,022.07
$
2.76
0.55%
Investor
A
................................
1,000.00
1,124.40
4.21
1,000.00
1,020.83
4.01
0.80
Investor
C
................................
1,000.00
1,120.40
8.10
1,000.00
1,017.16
7.70
1.54
Class
K
..................................
1,000.00
1,126.80
2.64
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
........................
58.3
%
U.S.
Treasury
Obligations
.............................
41.7
PORTFOLIO
HOLDINGS
Security
Percent
of
at
Total
Investments
(a)
U.S.
Treasury
Inflation
Linked
Notes
......................
29.2
%
Commonwealth
of
Australia
............................
22.4
French
Republic
...................................
20.1
U.S.
Treasury
Inflation
Linked
Bonds
......................
12.5
U.K.
Treasury
Inflation
Linked
Bonds
......................
9.7
Federal
Republic
of
Germany
..........................
6.1
(a)
Excludes
short-term
securities.
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
2023
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. Pursuant
to Rule
18f-4
under
the
1940
Act,
among
other
things,
the
Fund
must
either
use
derivative
financial
instruments
with
embedded
leverage
in
a
limited
manner
or
comply
with
an
outer
limit
on
fund
leverage
risk
based
on
value-at-risk.
The
Fund’s
successful
use
of
a
derivative
financial
instrument
depends
on
the
investment
adviser’s
ability
to
predict
pertinent
market
movements
accurately,
which
cannot
be
assured.
The
use
of
these
instruments
may
result
in
losses
greater
than
if
they
had
not
been
used,
may
limit
the
amount
of
appreciation the
Fund
can
realize
on
an
investment
and/or
may
result
in
lower
distributions
paid
to
shareholders.
The
Fund’s
investments
in
these
instruments,
if
any,
are
discussed
in
detail
in
the
Notes
to
Consolidated
Financial
Statements.
Consolidated
Schedule
of
Investments
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
9
(Percentages
shown
are
based
on
Net
Assets)
Security
Par
(000)
Pa
r
(
000)
Value
Foreign
Government
Obligations
Australia
—
7.4%
Commonwealth
of
Australia
(a)
4.28%,
09/20/25
............
AUD
535
$
531,202
0.90%,
11/21/27
............
478
375,542
3.48%,
09/20/30
............
460
457,469
0.28%,
11/21/32
............
291
193,485
2.58%,
08/21/35
............
292
262,264
1.55%,
08/21/40
............
305
234,931
1.17%,
02/21/50
............
278
182,219
2,237,112
France
—
6.6%
French
Republic
(a)
0.25%,
07/25/24
............
EUR
157
171,625
0.10%,
03/01/25
............
95
102,549
0.10%,
03/01/26
(b)
...........
92
100,298
1.85%,
07/25/27
............
208
242,695
0.10%,
03/01/28
............
115
125,040
0.10%,
03/01/29
............
112
120,673
3.40%,
07/25/29
............
96
125,164
0.70%,
07/25/30
(b)
...........
149
167,935
0.10%,
07/25/31
(b)
...........
92
99,479
0.10%,
03/01/32
............
43
45,683
3.15%,
07/25/32
............
117
158,793
0.10%,
03/01/36
(b)
...........
57
59,065
0.10%,
07/25/36
(b)
...........
102
105,592
0.10%,
07/25/38
(b)
...........
43
43,429
0.55%,
03/01/39
(b)
...........
22
23,471
1.80%,
07/25/40
(b)
...........
125
162,693
0.10%,
07/25/47
(b)
...........
109
105,917
0.10%,
07/25/53
(b)
...........
46
44,254
2,004,355
Germany
—
2.0%
Federal
Republic
of
Germany
(a)
0.10%,
04/15/26
............
162
175,339
0.50%,
04/15/30
............
191
215,369
0.10%,
04/15/33
............
75
83,126
0.10%,
04/15/46
............
118
132,650
606,484
United
Kingdom
—
3.2%
U.K.
Treasury
Inflation
Linked
Bonds
9.17%,
07
/17/24
(a)
...........
GBP
9
43,283
0.13%,
03/22/26
(a)
...........
25
30,606
1.25%,
11/22/27
(a)
...........
41
52,868
0.13%,
08/10/28
(a)
...........
34
41,690
0.13%,
03/22/29
(a)
...........
32
39,128
10.94%,
07/22/30
(a)
..........
9
38,898
0.13%,
08/10/31
(a)
...........
13
15,979
1.25%,
11/22/32
(a)
...........
38
52,034
0.75%,
03/22/34
(a)
...........
27
35,543
1.81%,
01/26/35
............
17
52,827
0.13%,
11/22/36
(a)
...........
27
32,394
1.13%,
11/22/37
(a)
...........
36
47,601
0.13%,
03/22/39
(a)
...........
11
12,896
0.63%,
03/22/40
(a)
...........
36
44,437
0.13%,
08/10/41
(a)
...........
25
28,198
0.63%,
11/22/42
(a)
...........
26
31,840
0.13%,
03/22/44
(a)
...........
33
35,494
0.63%,
03/22/45
(a)
...........
12
14,460
0.13%,
03/22/46
(a)
...........
28
28,666
0.75%,
11/22/47
(a)
...........
23
27,963
0.13%,
08/10/48
(a)
...........
25
25,011
0.50%,
03/22/50
(a)
...........
32
35,731
0.13%,
03/22/51
(a)
...........
15
15,437
Security
Par
(000)
Par
(000)
Value
United
Kingdom
(continued)
0.25%,
03/22/52
(a)
...........
GBP
27
$
28,026
1.25%,
11/22/55
(a)
...........
25
34,217
0.13%,
11/22/56
(a)
...........
16
15,196
0.13%,
03/22/58
(a)
...........
25
24,107
0.38%,
03/22/62
(a)
...........
27
28,920
0.13%,
11/22/65
(a)
...........
17
16,669
0.13%,
03/22/68
(a)
...........
25
24,394
0.13%,
03/22/73
(a)
...........
8
8,256
962,769
Total
Foreign
Government
Obligations
—
19.2%
(Cost:
$5,982,120)
..............................
5,810,720
U.S.
Treasury
Obligations
U.S.
Treasury
Inflation
Linked
Bonds
2.38%, 01/15/25
-
01/15/27
.....
USD
178
176,963
2.00%, 01/15/26
............
78
77,115
1.75%, 01/15/28
............
58
57,572
3.63%, 04/15/28
............
81
86,927
2.50%, 01/15/29
............
27
27,833
3.88%, 04/15/29
............
91
100,375
3.38%, 04/15/32
............
2
2,135
2.13%, 02/15/40
-
02/15/41
.....
137
144,592
0.75%, 02/15/42
-
02/15/45
.....
155
127,668
0.63%, 02/15/43
............
69
55,706
1.38%, 02/15/44
............
76
69,836
1.00%, 02/15/46
-
02/15/49
.....
172
145,338
0.88%, 02/15/47
............
59
48,535
0.25%, 02/15/50
............
43
28,918
0.13%, 02/15/51
-
02/15/52
.....
105
67,732
1.50%, 02/15/53
............
29
27,155
U.S.
Treasury
Inflation
Linked
Notes
0.13%, 07/15/24
-
01/15/32
.....
1,413
1,299,213
0.25%, 01/15/25
-
07/15/29
.....
399
377,752
0.38%, 07/15/25
-
07/15/27
.....
374
353,725
0.63%, 01/15/26
-
07/15/32
.....
259
242,633
1.63%, 10/15/27
............
108
106,530
0.50%, 01/15/28
............
121
113,473
1.25%, 04/15/28
............
72
69,903
0.75%, 07/15/28
............
134
128,026
0.88%, 01/15/29
............
111
105,419
1.13%, 01/15/33
............
126
119,982
Total
U.S.
Treasury
Obligations
—
13.7%
(Cost:
$4,293,846)
..............................
4,161,056
Total
Long-Term
Investments
—
32.9%
(Cost:
$10,275,966)
..............................
9,971,776
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
10
(Percentages
shown
are
based
on
Net
Assets)
Affiliates
Investments
in
issuers
considered
to
be
affiliate(s)
of
the
Fund
during
the year
ended
July
31,
2023
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Security
Shares
Shares
Value
Short-Term
Securities
Money
Market
Funds
—
40.3%
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
5.16%
(c)(d)
....
12,192,722
$
12,192,722
Total
Short-Term
Securities
—
40.3%
(Cost:
$12,192,722)
..............................
12,192,722
Total
Investments
—
73.2%
(Cost:
$22,468,688)
..............................
22,164,498
Other
Assets
Less
Liabilities
—
26.8%
..................
8,118,816
Net
Assets
—
100.0%
..............................
$
30,283,314
(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)
Affiliate
of
the
Fund.
(d)
Annualized
7-day
yield
as
of
period
end.
Affiliated
Issuer
Value
at
07/31/22
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
07/31/23
Shares
Held
at
07/31/23
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
...
$
22,713,038
$
—
$
(10,520,316)
(a)
$
—
$
—
$
12,192,722
12,192,722
$
1,180,259
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
11
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
CAC
40
Index
............................................................
5
08/18/23
$
413
$
10,981
IBEX
35
Index
............................................................
11
08/18/23
1,170
28,030
Natural
Gas
(a)
.............................................................
10
08/29/23
263
2,132
FTSE
China
A50
Index
......................................................
171
08/30/23
2,284
74,082
Brent
Crude
Oil
(a)
..........................................................
20
08/31/23
1,709
106,758
RBOB
Gasoline
(a)
..........................................................
4
08/31/23
486
32,652
Euro-Bund
..............................................................
28
09/07/23
4,095
8,581
TOPIX
Index
.............................................................
26
09/07/23
4,260
214,380
Low
Sulphur
Gasoil
(a)
.......................................................
16
09/12/23
1,376
67,958
S&P/TSX
60
Index
.........................................................
2
09/14/23
376
2,303
FTSE/MIB
Index
...........................................................
19
09/15/23
3,113
228,468
Canada
10-Year
Bond
.......................................................
26
09/20/23
2,368
(4,094)
SPI
200
Index
............................................................
16
09/21/23
1,984
75,455
Long
Gilt
................................................................
6
09/27/23
740
(14)
Silver
(a)
.................................................................
2
09/27/23
250
17,689
865,361
Short
Contracts
OMX
Stockholm
30
Index
....................................................
19
08/18/23
407
(273)
WTI
Crude
Oil
(a)
...........................................................
2
08/22/23
164
(17,476)
IFSC
NIFTY
50
Index
.......................................................
9
08/31/23
357
980
FTSE
100
Index
...........................................................
14
09/15/23
1,382
(19,932)
MSCI
Hong
Kong
Index
......................................................
9
09/15/23
578
(11,639)
S&P
500
E-Mini
Index
.......................................................
7
09/15/23
1,615
(18,320)
U.S.
Treasury
10-Year
Note
...................................................
58
09/20/23
6,465
40,183
Brent
Crude
Oil
(a)
..........................................................
22
12/28/23
1,837
(199,553)
(226,030)
$
639,331
(a)
All
or
a
portion
of
the
security
is
held
by
a
wholly-owned
subsidiary.
See
Note
1
of
the
Notes
to
Consolidated
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
77,000
USD
51,299
Barclays
Bank
plc
08/02/23
$
422
AUD
23,000
USD
15,307
Toronto
Dominion
Bank
08/02/23
142
AUD
3,315,350
USD
2,223,042
UBS
AG
08/02/23
3,879
AUD
37,000
USD
24,639
Westpac
Banking
Corp.
08/02/23
214
EUR
26,000
USD
28,405
Barclays
Bank
plc
08/02/23
182
EUR
57,000
USD
62,227
Toronto
Dominion
Bank
08/02/23
445
GBP
45,000
USD
57,056
Barclays
Bank
plc
08/02/23
695
USD
13,492
AUD
20,000
Barclays
Bank
plc
09/05/23
41
USD
2,639,647
EUR
2,388,874
Barclays
Bank
plc
09/05/23
8,328
USD
978,342
GBP
760,499
Barclays
Bank
plc
09/05/23
2,186
AUD
11,456,000
USD
7,604,425
JPMorgan
Chase
Bank
NA
09/20/23
104,130
BRL
276,000
USD
55,992
Barclays
Bank
plc
09/20/23
1,874
BRL
1,093,000
USD
225,113
BNP
Paribas
SA
09/20/23
4,046
BRL
313,000
USD
63,097
Goldman
Sachs
International
09/20/23
2,527
BRL
10,975,000
USD
2,231,647
HSBC
Bank
plc
09/20/23
69,382
CAD
2,009,000
USD
1,514,822
JPMorgan
Chase
Bank
NA
09/20/23
9,748
CAD
5,384,000
(a)
USD
4,046,765
JPMorgan
Chase
Bank
NA
09/20/23
38,993
CHF
239,000
USD
269,266
JPMorgan
Chase
Bank
NA
09/20/23
6,298
CNY
56,499,000
(a)
USD
7,854,944
JPMorgan
Chase
Bank
NA
09/20/23
89,796
EUR
3,744,000
USD
4,111,878
JPMorgan
Chase
Bank
NA
09/20/23
14,892
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
12
Forward
Foreign
Currency
Exchange
Contracts
(continued)
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
EUR
4,161,000
(a)
USD
4,499,397
JPMorgan
Chase
Bank
NA
09/20/23
$
87,005
GBP
13,446,000
USD
16,944,074
JPMorgan
Chase
Bank
NA
09/20/23
315,554
HKD
2,789,000
USD
357,033
JPMorgan
Chase
Bank
NA
09/20/23
726
INR
2,825,338,000
USD
34,150,899
HSBC
Bank
plc
09/20/23
152,247
JPY
119,075,000
USD
832,520
JPMorgan
Chase
Bank
NA
09/20/23
11,162
KRW
2,462,520,000
USD
1,900,445
Bank
of
America
NA
09/20/23
32,340
KRW
1,189,202,000
USD
923,781
Barclays
Bank
plc
09/20/23
9,601
KRW
3,110,330,000
USD
2,389,006
BNP
Paribas
SA
09/20/23
52,233
KRW
3,500,384,000
USD
2,737,493
Citibank
NA
09/20/23
9,892
KRW
10,742,217,000
USD
8,427,780
Goldman
Sachs
International
09/20/23
3,582
KRW
802,563,000
USD
622,668
JPMorgan
Chase
Bank
NA
09/20/23
7,248
MXN
257,568,000
(a)
USD
14,596,700
JPMorgan
Chase
Bank
NA
09/20/23
643,672
NOK
1,156,000
USD
109,605
JPMorgan
Chase
Bank
NA
09/20/23
4,639
NOK
5,486,000
(a)
USD
514,871
JPMorgan
Chase
Bank
NA
09/20/23
27,292
NZD
181,000
(a)
USD
112,415
JPMorgan
Chase
Bank
NA
09/20/23
11
NZD
40,171,000
USD
24,618,857
JPMorgan
Chase
Bank
NA
09/20/23
332,951
SEK
3,808,000
USD
353,958
JPMorgan
Chase
Bank
NA
09/20/23
8,691
SEK
8,000,000
(a)
USD
748,333
JPMorgan
Chase
Bank
NA
09/20/23
13,534
SGD
507,000
(a)
USD
377,445
JPMorgan
Chase
Bank
NA
09/20/23
4,753
USD
42,725,924
AUD
63,185,000
JPMorgan
Chase
Bank
NA
09/20/23
209,772
USD
113,105
BRL
539,000
Goldman
Sachs
International
09/20/23
98
USD
3,881,833
CAD
5,105,000
JPMorgan
Chase
Bank
NA
09/20/23
7,802
USD
22,126,744
(a)
CNY
156,680,000
JPMorgan
Chase
Bank
NA
09/20/23
94,814
USD
972,893
EUR
875,000
JPMorgan
Chase
Bank
NA
09/20/23
8,435
USD
870,201
GBP
666,000
JPMorgan
Chase
Bank
NA
09/20/23
15,306
USD
61,983
ILS
226,000
JPMorgan
Chase
Bank
NA
09/20/23
396
USD
23,093,790
INR
1,899,169,000
BNP
Paribas
SA
09/20/23
35,497
USD
3,902,508
INR
320,780,000
Citibank
NA
09/20/23
7,837
USD
737,259
INR
60,597,000
HSBC
Bank
plc
09/20/23
1,535
USD
399,223
INR
32,862,000
JPMorgan
Chase
Bank
NA
09/20/23
236
USD
8,091,369
JPY
1,132,148,000
JPMorgan
Chase
Bank
NA
09/20/23
69,757
USD
11,968,967
NZD
19,239,000
JPMorgan
Chase
Bank
NA
09/20/23
18,858
USD
48,617
SEK
503,000
JPMorgan
Chase
Bank
NA
09/20/23
715
USD
215,406
TWD
6,723,000
Bank
of
America
NA
09/20/23
1,008
USD
287,782
TWD
8,849,000
Barclays
Bank
plc
09/20/23
5,586
USD
11,357,524
TWD
346,141,000
Deutsche
Bank
AG
09/20/23
319,011
2,872,016
EUR
2,388,874
USD
2,635,334
Barclays
Bank
plc
08/02/23
(8,767)
GBP
760,499
USD
978,177
Barclays
Bank
plc
08/02/23
(2,191)
USD
2,286,850
AUD
3,452,350
Goldman
Sachs
International
08/02/23
(32,094)
USD
2,683,401
EUR
2,471,874
Barclays
Bank
plc
08/02/23
(34,424)
USD
22,889
GBP
18,000
Barclays
Bank
plc
08/02/23
(211)
USD
994,397
GBP
787,499
Toronto
Dominion
Bank
08/02/23
(16,240)
GBP
5,000
USD
6,434
Barclays
Bank
plc
09/05/23
(16)
USD
2,225,648
AUD
3,315,350
UBS
AG
09/05/23
(4,151)
AUD
722,000
(a)
USD
488,219
JPMorgan
Chase
Bank
NA
09/20/23
(2,397)
AUD
39,317,000
USD
26,958,547
JPMorgan
Chase
Bank
NA
09/20/23
(502,781)
AUD
3,095,000
(a)
USD
2,130,446
Morgan
Stanley
&
Co.
International
plc
09/20/23
(47,871)
CAD
169,000
USD
128,934
JPMorgan
Chase
Bank
NA
09/20/23
(685)
CAD
262,000
(a)
USD
198,828
JPMorgan
Chase
Bank
NA
09/20/23
(4)
CNY
77,098,000
(a)
USD
10,846,041
JPMorgan
Chase
Bank
NA
09/20/23
(4,723)
EUR
704,000
(a)
USD
787,103
JPMorgan
Chase
Bank
NA
09/20/23
(11,129)
GBP
603,000
USD
774,971
JPMorgan
Chase
Bank
NA
09/20/23
(945)
INR
5,490,000
USD
67,023
BNP
Paribas
SA
09/20/23
(368)
JPY
826,266,000
(a)
USD
5,992,937
JPMorgan
Chase
Bank
NA
09/20/23
(138,591)
JPY
749,821,000
USD
5,462,714
JPMorgan
Chase
Bank
NA
09/20/23
(150,004)
KRW
369,560,000
USD
290,265
Deutsche
Bank
AG
09/20/23
(204)
KRW
527,349,000
USD
418,040
HSBC
Bank
plc
09/20/23
(4,134)
NZD
362,000
USD
224,936
JPMorgan
Chase
Bank
NA
09/20/23
(83)
SEK
2,039,000
(a)
USD
200,964
JPMorgan
Chase
Bank
NA
09/20/23
(6,783)
TWD
6,772,000
USD
217,728
Barclays
Bank
plc
09/20/23
(1,767)
TWD
246,345,000
USD
8,040,615
BNP
Paribas
SA
09/20/23
(184,618)
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
13
Forward
Foreign
Currency
Exchange
Contracts
(continued)
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
TWD
49,132,000
USD
1,583,381
Citibank
NA
09/20/23
$
(16,551)
TWD
4,269,000
USD
138,443
HSBC
Bank
plc
09/20/23
(2,304)
USD
103,374
BRL
503,000
Citibank
NA
09/20/23
(2,085)
USD
1,420,892
BRL
6,970,000
Goldman
Sachs
International
09/20/23
(40,444)
USD
185,562
BRL
888,000
JPMorgan
Chase
Bank
NA
09/20/23
(617)
USD
1,556,835
CAD
2,067,000
JPMorgan
Chase
Bank
NA
09/20/23
(11,748)
USD
304,440
CHF
272,000
JPMorgan
Chase
Bank
NA
09/20/23
(9,172)
USD
1,691,073
(a)
CNY
12,047,000
JPMorgan
Chase
Bank
NA
09/20/23
(2,945)
USD
10,045,855
EUR
9,264,000
JPMorgan
Chase
Bank
NA
09/20/23
(165,256)
USD
2,310,999
(a)
GBP
1,835,000
JPMorgan
Chase
Bank
NA
09/20/23
(44,454)
USD
11,914,408
GBP
9,331,000
JPMorgan
Chase
Bank
NA
09/20/23
(63,101)
USD
374,399
HKD
2,927,000
JPMorgan
Chase
Bank
NA
09/20/23
(1,062)
USD
62,102
INR
5,128,282
Barclays
Bank
plc
09/20/23
(162)
USD
945,958
INR
78,021,000
BNP
Paribas
SA
09/20/23
(1,315)
USD
77,082
INR
6,365,718
JPMorgan
Chase
Bank
NA
09/20/23
(206)
USD
2,335,056
JPY
332,973,000
JPMorgan
Chase
Bank
NA
09/20/23
(24,158)
USD
18,221,172
KRW
23,341,868,000
JPMorgan
Chase
Bank
NA
09/20/23
(99,417)
USD
13,269,801
(a)
MXN
230,870,000
JPMorgan
Chase
Bank
NA
09/20/23
(390,845)
USD
668,570
NOK
7,168,000
JPMorgan
Chase
Bank
NA
09/20/23
(39,819)
USD
9,377,537
NZD
15,275,000
JPMorgan
Chase
Bank
NA
09/20/23
(110,374)
USD
1,371,918
SEK
14,752,000
JPMorgan
Chase
Bank
NA
09/20/23
(32,966)
USD
409,491
SGD
548,000
JPMorgan
Chase
Bank
NA
09/20/23
(3,616)
USD
54,861
ZAR
1,036,000
JPMorgan
Chase
Bank
NA
09/20/23
(2,801)
(2,220,599)
$
651,417
(a)
All
or
a
portion
of
the
security
is
held
by
a
wholly-owned
subsidiary.
See
Note
1
of
the
Notes
to
Consolidated
Financial
Statements
for
details
on
the
wholly-owned
subsidiary.
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
39.V1
..
5.00
%
Quarterly
06/20/28
BB-
EUR
983
$
57,321
$
11,931
$
45,390
Markit
CDX
North
American
High
Yield
Index
Series
40.V1
...........
5.00
Quarterly
06/20/28
B+
USD
1,104
45,227
(1,212)
46,439
$
102,548
$
10,719
$
91,829
(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
2023
................
BRL
(244,728)
Merrill
Lynch
International
&
Co.
08/16/23
BRL
245
$
(110)
$
—
$
(110)
Mexican
Bolsa
Index
Futures
September
2023
........
TWD
75,595,183
Merrill
Lynch
International
&
Co.
08/16/23
TWD
75,595
(10,882)
—
(10,882)
AMSTERDAM
Index
Futures
August
2023
...........
EUR
(777,217)
HSBC
Bank
plc
08/18/23
EUR
777
(13,220)
—
(13,220)
AMSTERDAM
Index
Futures
August
2023
...........
EUR
(1,077,817)
HSBC
Bank
plc
08/18/23
EUR
1,078
(29,818)
—
(29,818)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
14
(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
-
Future
(continued)
Reference
Entity
Fixed
Amount
Paid
/
(Received)
by
the
Fund
(a)
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
KOSPI
200
Index
Futures
September
2023
........
KRW
(953,784,150)
Merrill
Lynch
International
&
Co.
09/14/23
KRW
953,784
$
(905)
$
—
$
(905)
KOSPI
200
Index
Futures
September
2023
........
KRW
(1,114,997,325)
Merrill
Lynch
International
&
Co.
09/14/23
KRW
1,114,997
(10,642)
—
(10,642)
KOSPI
200
Index
Futures
September
2023
........
KRW
(260,197,950)
Merrill
Lynch
International
&
Co.
09/14/23
KRW
260,198
(188)
—
(188)
Swiss
Market
Index
Futures
September
2023
........
CHF
(110,287)
HSBC
Bank
plc
09/15/23
CHF
110
(3,547)
—
(3,547)
Swiss
Market
Index
Futures
September
2023
........
CHF
(224,233)
HSBC
Bank
plc
09/15/23
CHF
224
(2,898)
—
(2,898)
Swiss
Market
Index
Futures
September
2023
........
CHF
(222,733)
HSBC
Bank
plc
09/15/23
CHF
223
(4,618)
—
(4,618)
$
(76,828)
$
—
$
(76,828)
(a)
At
termination,
the
fixed
amount
paid
(received)
will
be
exchanged
for
the
total
return
of
the
reference
entity.
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
$
(248,077)
$
(30,702)
(c)
$
(301,089)
132.7
%
Monthly
BNP
Paribas
SA
(d)
11/17/23
(316,011)
(6,629)
(e)
(348,497)
53.1
Monthly
Citibank
NA
(f)
02/24/28
(335,064)
(65,827)
(g)
(388,248)
48.2
Monthly
Goldman
Sachs
Bank
USA
(h)
08/19/26
275,771
(13,931)
(i)
232,934
14.2
Monthly
JPMorgan
Chase
Bank
NA
(j)
08/10/23
998,911
38,838
(k)
1,038,911
3.3
Monthly
Merrill
Lynch
International
&
Co.
(l)
03/15/28
(254,106)
(24,364)
(m)
(263,110)
9.1
$
(102,615)
$
(29,099)
(b)
(d)
(f)
Range:
10-246
basis
points
10-35
basis
points
0-300
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)
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
15
Benchmarks:
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:
0-3,500
basis
points
15-35
basis
points
0-222
basis
points
Benchmarks:
AUD
-
1D
Overnight
Reserve
Bank
of
Australia
Rate
(AONIA)
CAD
-
Overnight
Interbank
Rate
Overnight
AUD
-
1D
Overnight
Reserve
Bank
of
Australia
Rate
(AONIA)
CAD
-
1D
Overnight
Bank
of
Canada
Repo
Rate
(CORRA)
CHF
-
Swiss
Average
Rate
O/N
(SSARON)
Bank
of
Canada
Overnight
Rate
Target
(CABROVER)
CHF
-
Swiss
Average
Rate
O/N
(SSARON)
USD
-
1D
Overnight
Bank
Funding
Rate
(OBFR01)
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)
HKD
-
Overnight
Index
Average
(HONIA)
JPY
-
Provisional
1D
Overnight
Tokyo
Average
Rate
(TONA)
ILS
-
1D
Overnight
Tel
Aviv
Interbank
Offer
Rate
(TELBOR)
NOK
-
1W
Norway
Interbank
Offer
Rate
(NIBOR)
JPY
-
Provisional
1D
Overnight
Tokyo
Average
Rate
(TONA)
NZD
-
1M
New
Zealand
Bank
Bill
Rate
(BBR)
NOK
-
Norwegian
Overnight
Weighted
Average
(NOWA)
SGD
-
Overnight
Rate
Average
(SORA)
NZD
-
1D
New
Zealand
Official
Overnight
Deposit
Rate
(NZOCO)
USD
-
1D
Overnight
Bank
Funding
Rate
(OBFR01)
SGD
-
Overnight
Rate
Average
(SORA)
USD
-
1D
Overnight
Fed
Funds
Effective
Rate
(FEDL01)
(c)
Amount
includes
$22,310
of
net
dividends
and
financing
fees.
(e)
Amount
includes
$25,857
of
net
dividends
and
financing
fees.
(g)
Amount
includes
$(12,643)
of
net
dividends
and
financing
fees.
(i)
Amount
includes
$28,906
of
net
dividends
and
financing
fees.
(k)
Amount
includes
$(1,162)
of
net
dividends
and
financing
fees.
(m)
Amount
includes
$(15,360)
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
Aristocrat
Leisure
Ltd.
......
1,273
$
33,716
(11.2)
%
BHP
Group
Ltd.
..........
3,511
109,269
(36.3)
Fortescue
Metals
Group
Ltd.
..
3,113
45,763
(15.2)
Macquarie
Group
Ltd.
......
236
27,831
(9.2)
Rio
Tinto
Ltd.
............
648
51,312
(17.0)
Sonic
Healthcare
Ltd.
......
5,747
135,789
(45.1)
South32
Ltd.
............
4,627
12,184
(4.1)
415,864
Belgium
Sofina
SA
..............
95
22,589
(7.5)
Umicore
SA
.............
335
9,921
(3.3)
32,510
China
NXP
Semiconductors
NV
....
198
44,150
(14.7)
Denmark
AP
Moller
-
Maersk
A/S,
Class
B
10
20,542
(6.8)
Carlsberg
A/S,
Class
B
.....
523
78,441
(26.1)
Danske
Bank
A/S
.........
306
7,266
(2.4)
DSV
A/S
...............
37
7,405
(2.5)
Genmab
A/S
............
151
62,242
(20.7)
Pandora
A/S
............
1,152
115,237
(38.3)
291,133
Shares
Value
%
of
Basket
Value
Finland
Nokia
OYJ
..............
3,792
$
14,906
(4.9)
%
Nordea
Bank
Abp
.........
1,923
21,765
(7.2)
36,671
France
Arkema
SA
.............
1,287
138,789
(46.1)
BNP
Paribas
SA
..........
1,160
76,499
(25.4)
Bureau
Veritas
SA
.........
3,076
84,479
(28.1)
Carrefour
SA
............
2,060
41,182
(13.7)
Cie
de
Saint-Gobain
.......
171
11,565
(3.8)
Credit
Agricole
SA
.........
2,859
35,495
(11.8)
Dassault
Aviation
SA
.......
428
83,144
(27.6)
Eiffage
SA
..............
1,267
131,816
(43.8)
Eurazeo
SE
.............
591
36,086
(12.0)
Hermes
International
.......
29
64,185
(21.3)
La
Francaise
des
Jeux
SAEM
.
882
33,672
(11.2)
Legrand
SA
.............
371
37,194
(12.3)
Orange
SA
..............
1,255
14,186
(4.7)
Publicis
Groupe
SA
........
510
41,119
(13.7)
Safran
SA
..............
587
97,450
(32.4)
Societe
Generale
SA
.......
1,290
35,084
(11.6)
TotalEnergies
SE
.........
178
10,815
(3.6)
Wendel
SE
.............
340
33,563
(11.1)
1,006,323
Germany
Beiersdorf
AG
............
201
26,031
(8.6)
Deutsche
Bank
AG
(Registered)
963
10,675
(3.5)
DHL
Group
.............
4,450
228,833
(76.0)
Dr
Ing
hc
F
Porsche
AG
(Preference)
..........
127
15,530
(5.2)
E.ON
SE
...............
958
12,119
(4.0)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
16
Shares
Value
%
of
Basket
Value
Germany
(continued)
Heidelberg
Materials
AG
....
1,824
$
147,831
(49.1)
%
Infineon
Technologies
AG
....
1,670
73,372
(24.4)
Mercedes-Benz
Group
AG
...
915
73,075
(24.3)
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
148
55,714
(18.5)
Rational
AG
.............
98
73,359
(24.4)
Scout24
SE
.............
1,077
71,196
(23.6)
Siemens
AG
(Registered)
....
704
119,991
(39.9)
Volkswagen
AG
(Preference)
.
142
18,811
(6.2)
926,537
Hong
Kong
Power
Assets
Holdings
Ltd.
..
8,500
44,550
(14.8)
Sun
Hung
Kai
Properties
Ltd.
.
6,000
75,340
(25.0)
119,890
Israel
Check
Point
Software
Technologies
Ltd.
.......
201
26,574
(8.8)
Teva
Pharmaceutical
Industries
Ltd.,
ADR
............
3,752
31,517
(10.5)
58,091
Italy
Coca-Cola
HBC
AG
........
2,503
73,646
(24.5)
Mediobanca
Banca
di
Credito
Finanziario
SpA
........
11,028
146,966
(48.8)
Poste
Italiane
SpA
.........
881
10,064
(3.4)
230,676
Japan
Bridgestone
Corp.
.........
7,200
298,767
(99.2)
Chubu
Electric
Power
Co.,
Inc.
5,800
72,661
(24.1)
Daiwa
House
Industry
Co.
Ltd.
5,200
141,330
(46.9)
Dentsu
Group,
Inc.
........
800
26,769
(8.9)
Fuji
Electric
Co.
Ltd.
.......
1,700
76,856
(25.5)
FUJIFILM
Holdings
Corp.
....
100
5,807
(1.9)
Hamamatsu
Photonics
KK
...
400
19,273
(6.4)
Hankyu
Hanshin
Holdings,
Inc.
1,800
59,801
(19.9)
Hitachi
Ltd.
.............
1,300
85,104
(28.3)
Honda
Motor
Co.
Ltd.
......
5,200
165,783
(55.1)
Hoya
Corp.
.............
300
34,938
(11.6)
Hulic
Co.
Ltd.
............
17,700
150,702
(50.1)
Japan
Post
Insurance
Co.
Ltd.
1,200
19,392
(6.4)
KDDI
Corp.
.............
4,000
117,727
(39.1)
Kirin
Holdings
Co.
Ltd.
......
2,700
39,880
(13.2)
Kobayashi
Pharmaceutical
Co.
Ltd.
................
1,500
82,457
(27.4)
Kurita
Water
Industries
Ltd.
...
900
36,194
(12.0)
Marubeni
Corp.
...........
1,200
21,246
(7.1)
Mazda
Motor
Corp.
........
8,800
87,300
(29.0)
Mitsubishi
Electric
Corp.
.....
6,000
86,587
(28.8)
Mitsubishi
Estate
Co.
Ltd.
....
3,400
41,669
(13.8)
Mitsui
Chemicals,
Inc.
......
1,400
40,256
(13.4)
Mitsui
Fudosan
Co.
Ltd.
.....
1,100
22,599
(7.5)
NGK
Insulators
Ltd.
........
7,200
88,303
(29.3)
Nippon
Express
Holdings,
Inc.
.
3,800
222,799
(74.0)
Nissan
Chemical
Corp.
.....
2,200
98,858
(32.8)
Nisshin
Seifun
Group,
Inc.
...
3,300
40,923
(13.6)
Nissin
Foods
Holdings
Co.
Ltd.
700
59,021
(19.6)
Nitto
Denko
Corp.
.........
3,100
220,444
(73.2)
Nomura
Real
Estate
Holdings,
Inc.
.................
3,600
89,291
(29.7)
Obic
Co.
Ltd.
............
200
32,728
(10.9)
Ono
Pharmaceutical
Co.
Ltd.
.
2,700
49,478
(16.4)
Shares
Value
%
of
Basket
Value
Japan
(continued)
Oracle
Corp.
Japan
........
800
$
56,079
(18.6)
%
ORIX
Corp.
.............
2,900
55,786
(18.5)
Osaka
Gas
Co.
Ltd.
........
7,600
119,585
(39.7)
Persol
Holdings
Co.
Ltd.
.....
3,900
77,144
(25.6)
Seiko
Epson
Corp.
........
2,500
41,054
(13.6)
Sekisui
Chemical
Co.
Ltd.
....
11,700
177,717
(59.0)
Shionogi
&
Co.
Ltd.
........
5,200
217,922
(72.4)
Shizuoka
Financial
Group,
Inc.
1,900
15,869
(5.3)
Subaru
Corp.
............
2,000
37,907
(12.6)
Sumitomo
Realty
&
Development
Co.
Ltd.
..............
700
18,760
(6.2)
Suntory
Beverage
&
Food
Ltd.
1,900
67,634
(22.5)
Tokyo
Gas
Co.
Ltd.
........
4,800
108,845
(36.2)
TOPPAN,
Inc.
............
2,700
63,554
(21.1)
Toyota
Tsusho
Corp.
.......
1,800
105,309
(35.0)
Trend
Micro,
Inc.
..........
100
4,725
(1.6)
Unicharm
Corp.
..........
1,800
66,598
(22.1)
West
Japan
Railway
Co.
....
500
20,542
(6.8)
Yakult
Honsha
Co.
Ltd.
.....
1,000
55,486
(18.4)
3,945,459
Luxembourg
ArcelorMittal
SA
..........
576
16,659
(5.5)
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
800
13,603
(4.5)
ASML
Holding
NV
.........
106
75,924
(25.2)
EXOR
NV
..............
1,806
168,763
(56.1)
ING
Groep
NV
...........
3,475
50,723
(16.8)
Randstad
NV
............
390
22,848
(7.6)
Shell
plc
...............
475
14,396
(4.8)
Wolters
Kluwer
NV
........
296
37,171
(12.3)
383,428
New
Zealand
Spark
New
Zealand
Ltd.
.....
29,439
94,780
(31.5)
Xero
Ltd.
...............
341
28,031
(9.3)
122,811
Norway
DNB
Bank
ASA
...........
6,399
131,867
(43.8)
Norsk
Hydro
ASA
.........
4,472
29,289
(9.7)
161,156
Singapore
Jardine
Cycle
&
Carriage
Ltd.
.
600
15,486
(5.1)
Singapore
Airlines
Ltd.
......
11,500
65,148
(21.6)
Singapore
Telecommunications
Ltd.
................
12,900
25,878
(8.6)
STMicroelectronics
NV
.....
1,106
59,156
(19.7)
United
Overseas
Bank
Ltd.
...
3,900
88,466
(29.4)
254,134
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
.........
3,531
123,510
(41.0)
Amadeus
IT
Group
SA
......
76
5,452
(1.8)
Banco
Bilbao
Vizcaya
Argentaria
SA
.................
7,069
56,032
(18.6)
Corp.
ACCIONA
Energias
Renovables
SA
........
535
16,840
(5.6)
Industria
de
Diseno
Textil
SA
..
302
11,560
(3.8)
Repsol
SA
..............
2,133
32,565
(10.8)
245,959
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
17
Shares
Value
%
of
Basket
Value
Sweden
Assa
Abloy
AB,
Class
B
.....
5,604
$
134,736
(44.7)
%
Epiroc
AB,
Class
A
........
4,046
80,781
(26.8)
Indutrade
AB
............
1,475
30,955
(10.3)
Sandvik
AB
.............
1,446
29,372
(9.8)
Swedbank
AB,
Class
A
......
3,627
66,525
(22.1)
Volvo
AB,
Class
B
.........
2,604
57,441
(19.1)
Volvo
Car
AB,
Class
B
......
3,815
18,858
(6.3)
418,668
Switzerland
Baloise
Holding
AG
(Registered)
132
20,432
(6.8)
Chocoladefabriken
Lindt
&
Spruengli
AG
..........
2
24,460
(8.1)
Clariant
AG
(Registered)
....
3,251
53,271
(17.7)
Geberit
AG
(Registered)
.....
136
77,180
(25.6)
Helvetia
Holding
AG
(Registered)
...........
322
47,651
(15.8)
Kuehne
+
Nagel
International
AG
(Registered)
...........
447
139,865
(46.5)
Partners
Group
Holding
AG
..
45
50,519
(16.8)
Swiss
Life
Holding
AG
(Registered)
...........
8
5,087
(1.7)
UBS
Group
AG
(Registered)
..
3,305
73,334
(24.4)
491,799
United
Kingdom
Auto
Trader
Group
plc
......
16,228
134,588
(44.7)
Berkeley
Group
Holdings
plc
..
1,146
63,898
(21.2)
BP
plc
.................
20,923
129,816
(43.1)
Centrica
plc
.............
48,939
86,727
(28.8)
CK
Hutchison
Holdings
Ltd.
..
3,000
18,502
(6.2)
Coca-Cola
Europacific
Partners
plc
.................
1,861
117,969
(39.2)
Compass
Group
plc
........
141
3,669
(1.2)
DCC
plc
...............
1,270
73,531
(24.4)
Informa
plc
..............
6,387
62,145
(20.6)
InterContinental
Hotels
Group
plc
.................
400
29,563
(9.8)
Johnson
Matthey
plc
.......
847
19,589
(6.5)
NatWest
Group
plc
........
3,914
12,286
(4.1)
RELX
plc
...............
1,457
49,038
(16.3)
Sage
Group
plc
(The)
......
10,533
126,697
(42.1)
Smiths
Group
plc
.........
6,486
141,457
(47.0)
Taylor
Wimpey
plc
.........
62,369
91,549
(30.4)
Tesco
plc
...............
3,976
13,169
(4.4)
WPP
plc
...............
8,784
95,910
(31.9)
1,270,103
United
States
A
O
Smith
Corp.
..........
563
40,891
(13.6)
AbbVie,
Inc.
.............
297
44,425
(14.8)
Adobe,
Inc.
.............
312
170,405
(56.6)
Agilent
Technologies,
Inc.
....
822
100,095
(33.2)
Airbnb,
Inc.,
Class
A
.......
393
59,811
(19.9)
Align
Technology,
Inc.
......
43
16,249
(5.4)
Allegion
plc
.............
8
935
(0.3)
Alphabet,
Inc.,
Class
A
......
371
49,239
(16.4)
Altria
Group,
Inc.
..........
1,422
64,587
(21.4)
American
Express
Co.
......
160
27,021
(9.0)
AMETEK,
Inc.
...........
463
73,432
(24.4)
Apple,
Inc.
..............
611
120,031
(39.9)
Arch
Capital
Group
Ltd.
.....
242
18,801
(6.2)
Atlassian
Corp.,
Class
A
.....
320
58,221
(19.3)
Autodesk,
Inc.
...........
1,347
285,551
(94.8)
Automatic
Data
Processing,
Inc.
77
19,039
(6.3)
AutoZone,
Inc.
...........
10
24,817
(8.2)
Shares
Value
%
of
Basket
Value
United
States
(continued)
Bank
of
New
York
Mellon
Corp.
(The)
...............
1,837
$
83,326
(27.7)
%
Best
Buy
Co.,
Inc.
.........
444
36,874
(12.2)
Booking
Holdings,
Inc.
......
10
29,708
(9.9)
Booz
Allen
Hamilton
Holding
Corp.
...............
361
43,710
(14.5)
Bristol-Myers
Squibb
Co.
....
3,017
187,627
(62.3)
Builders
FirstSource,
Inc.
....
523
75,537
(25.1)
Cadence
Design
Systems,
Inc.
1,068
249,923
(83.0)
Cardinal
Health,
Inc.
.......
327
29,911
(9.9)
Caterpillar,
Inc.
...........
213
56,481
(18.8)
Centene
Corp.
...........
481
32,751
(10.9)
CH
Robinson
Worldwide,
Inc.
.
116
11,621
(3.9)
Chipotle
Mexican
Grill,
Inc.
...
8
15,698
(5.2)
Cigna
Group
(The)
........
217
64,037
(21.3)
Citigroup,
Inc.
............
467
22,257
(7.4)
Cognizant
Technology
Solutions
Corp.,
Class
A
.........
801
52,890
(17.6)
ConocoPhillips
...........
518
60,979
(20.3)
CSX
Corp.
..............
1,842
61,375
(20.4)
Cummins,
Inc.
...........
371
96,757
(32.1)
CVS
Health
Corp.
.........
861
64,308
(21.4)
Darden
Restaurants,
Inc.
....
339
57,264
(19.0)
Dell
Technologies,
Inc.,
Class
C
1,532
81,073
(26.9)
Dentsply
Sirona,
Inc.
.......
721
29,936
(9.9)
Dexcom,
Inc.
............
19
2,367
(0.8)
Discover
Financial
Services
..
479
50,558
(16.8)
DocuSign,
Inc.
...........
709
38,158
(12.7)
Domino's
Pizza,
Inc.
.......
132
52,370
(17.4)
DR
Horton,
Inc.
...........
410
52,078
(17.3)
DuPont
de
Nemours,
Inc.
....
614
47,665
(15.8)
Eaton
Corp.
plc
...........
73
14,988
(5.0)
eBay,
Inc.
..............
4,710
209,642
(69.6)
Edwards
Lifesciences
Corp.
..
1,161
95,283
(31.6)
Entergy
Corp.
............
78
8,011
(2.7)
Etsy,
Inc.
...............
563
57,229
(19.0)
Exelon
Corp.
............
39
1,633
(0.5)
Expedia
Group,
Inc.
........
1,103
135,151
(44.9)
Expeditors
International
of
Washington,
Inc.
........
257
32,716
(10.9)
Fair
Isaac
Corp.
..........
140
117,316
(39.0)
Fortinet,
Inc.
.............
1,332
103,523
(34.4)
Fortune
Brands
Innovations,
Inc.
1,968
139,866
(46.5)
Fox
Corp.,
Class
A
........
1,062
35,524
(11.8)
Franklin
Resources,
Inc.
.....
2,009
58,743
(19.5)
Gilead
Sciences,
Inc.
.......
1,216
92,586
(30.7)
Hartford
Financial
Services
Group,
Inc.
(The)
.......
570
40,972
(13.6)
HCA
Healthcare,
Inc.
.......
330
90,027
(29.9)
Hershey
Co.
(The)
........
698
161,454
(53.6)
Hewlett
Packard
Enterprise
Co.
4,071
70,754
(23.5)
Hologic,
Inc.
.............
806
64,013
(21.3)
Hubbell,
Inc.
.............
98
30,576
(10.2)
Humana,
Inc.
............
22
10,050
(3.3)
IDEXX
Laboratories,
Inc.
....
173
95,968
(31.9)
Incyte
Corp.
.............
2,504
159,555
(53.0)
Ingersoll
Rand,
Inc.
........
228
14,882
(4.9)
Intercontinental
Exchange,
Inc.
239
27,437
(9.1)
Intuitive
Surgical,
Inc.
......
47
15,247
(5.1)
Invesco
Ltd.
.............
1,068
17,942
(6.0)
James
Hardie
Industries
plc,
CDI
................
720
21,101
(7.0)
Jazz
Pharmaceuticals
plc
....
1,060
138,245
(45.9)
JB
Hunt
Transport
Services,
Inc.
791
161,317
(53.6)
JM
Smucker
Co.
(The)
......
260
39,169
(13.0)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
18
Shares
Value
%
of
Basket
Value
United
States
(continued)
Juniper
Networks,
Inc.
......
1,162
$
32,304
(10.7)
%
Keysight
Technologies,
Inc.
...
1,354
218,102
(72.4)
KKR
&
Co.,
Inc.
..........
188
11,163
(3.7)
Kroger
Co.
(The)
..........
259
12,598
(4.2)
Lam
Research
Corp.
.......
96
68,975
(22.9)
Lattice
Semiconductor
Corp.
..
1,037
94,305
(31.3)
Lennar
Corp.,
Class
A
......
371
47,054
(15.6)
LKQ
Corp.
..............
422
23,121
(7.7)
Lowe's
Cos.,
Inc.
.........
312
73,092
(24.3)
Lululemon
Athletica,
Inc.
....
2
757
(0.2)
Marathon
Oil
Corp.
........
1,624
42,662
(14.2)
Marathon
Petroleum
Corp.
...
165
21,948
(7.3)
Masco
Corp.
............
169
10,255
(3.4)
McKesson
Corp.
..........
52
20,925
(6.9)
Meta
Platforms,
Inc.,
Class
A
.
43
13,700
(4.5)
MetLife,
Inc.
.............
687
43,260
(14.4)
Mettler-Toledo
International,
Inc.
107
134,549
(44.7)
MGM
Resorts
International
...
990
50,262
(16.7)
Microchip
Technology,
Inc.
...
1,460
137,152
(45.6)
Microsoft
Corp.
...........
1
336
(0.1)
Moody's
Corp.
...........
231
81,485
(27.1)
MSCI,
Inc.
..............
18
9,865
(3.3)
NetApp,
Inc.
.............
1,764
137,610
(45.7)
Neurocrine
Biosciences,
Inc.
..
488
49,722
(16.5)
Nordson
Corp.
...........
677
170,340
(56.6)
Nucor
Corp.
.............
360
61,952
(20.6)
Old
Dominion
Freight
Line,
Inc.
62
26,008
(8.6)
Owens
Corning
...........
288
40,317
(13.4)
Palo
Alto
Networks,
Inc.
.....
222
55,491
(18.4)
Paycom
Software,
Inc.
......
80
29,501
(9.8)
PepsiCo,
Inc.
............
495
92,793
(30.8)
Pinterest,
Inc.,
Class
A
......
1,621
46,993
(15.6)
PPL
Corp.
..............
843
23,208
(7.7)
Procter
&
Gamble
Co.
(The)
..
66
10,316
(3.4)
Prudential
Financial,
Inc.
....
1,246
120,227
(39.9)
PulteGroup,
Inc.
..........
1,206
101,774
(33.8)
Qorvo,
Inc.
..............
261
28,715
(9.5)
Reliance
Steel
&
Aluminum
Co.
542
158,730
(52.7)
Roche
Holding
AG
........
350
108,518
(36.0)
Rollins,
Inc.
.............
1,314
53,651
(17.8)
Schneider
Electric
SE
......
172
30,680
(10.2)
Sensata
Technologies
Holding
plc
.................
263
11,112
(3.7)
Snap-on,
Inc.
............
392
106,797
(35.5)
Splunk,
Inc.
.............
1,213
131,404
(43.6)
SS&C
Technologies
Holdings,
Inc.
.................
335
19,514
(6.5)
Starbucks
Corp.
..........
950
96,492
(32.0)
State
Street
Corp.
.........
167
12,097
(4.0)
Steel
Dynamics,
Inc.
.......
804
85,690
(28.5)
Stellantis
NV
............
6,763
138,762
(46.1)
Stryker
Corp.
............
190
53,848
(17.9)
Synopsys,
Inc.
...........
381
172,136
(57.2)
TJX
Cos.,
Inc.
(The)
.......
534
46,207
(15.3)
UGI
Corp.
..............
2,853
77,002
(25.6)
United
Parcel
Service,
Inc.,
Class
B
..................
473
88,513
(29.4)
Valero
Energy
Corp.
.......
89
11,473
(3.8)
Veeva
Systems,
Inc.,
Class
A
.
176
35,943
(11.9)
VeriSign,
Inc.
............
1,301
274,446
(91.1)
Vertex
Pharmaceuticals,
Inc.
..
503
177,227
(58.9)
Visa,
Inc.,
Class
A
.........
104
24,724
(8.2)
Walmart,
Inc.
............
87
13,908
(4.6)
Waters
Corp.
............
451
124,571
(41.4)
Shares
Value
%
of
Basket
Value
United
States
(continued)
West
Pharmaceutical
Services,
Inc.
.................
79
$
29,075
(9.7)
%
Westinghouse
Air
Brake
Technologies
Corp.
......
369
43,704
(14.5)
Westlake
Corp.
...........
778
106,975
(35.5)
WW
Grainger,
Inc.
.........
148
109,297
(36.3)
Xylem,
Inc.
..............
280
31,570
(10.5)
Zimmer
Biomet
Holdings,
Inc.
.
30
4,145
(1.4)
9,642,757
Preferred
Securities
Germany
Henkel
AG
&
Co.
KGaA
(Preference)
..........
358
27,626
(9.2)
Total
Reference
Entity
—
Long
............
20,142,404
Reference
Entity
—
Short
Common
Stocks
Australia
APA
Group
..............
(2,356)
(15,849)
5.3
ASX
Ltd.
...............
(2,684)
(112,134)
37.2
Aurizon
Holdings
Ltd.
......
(44,212)
(113,307)
37.6
Commonwealth
Bank
of
Australia
.............
(1,950)
(138,740)
46.1
Computershare
Ltd.
........
(2,943)
(49,634)
16.5
Endeavour
Group
Ltd.
......
(13,937)
(56,965)
18.9
IDP
Education
Ltd.
........
(2,365)
(39,634)
13.2
IGO
Ltd.
...............
(8,679)
(81,099)
26.9
Northern
Star
Resources
Ltd.
.
(1,772)
(13,833)
4.6
Qantas
Airways
Ltd.
.......
(1,011)
(4,442)
1.5
Ramsay
Health
Care
Ltd.
....
(1,140)
(45,176)
15.0
REA
Group
Ltd.
..........
(740)
(78,450)
26.1
Reece
Ltd.
..............
(3,725)
(49,188)
16.3
SEEK
Ltd.
..............
(1,205)
(20,208)
6.7
Treasury
Wine
Estates
Ltd.
...
(8,315)
(62,934)
20.9
Woodside
Energy
Group
Ltd.
.
(1,878)
(48,406)
16.1
(929,999)
Belgium
D'ieteren
Group
..........
(753)
(131,509)
43.7
Brazil
MercadoLibre,
Inc.
........
(16)
(19,809)
6.6
Yara
International
ASA
......
(881)
(35,982)
11.9
(55,791)
China
Prosus
NV
..............
(769)
(60,833)
20.2
Denmark
Coloplast
A/S,
Class
B
......
(1,414)
(175,769)
58.4
Demant
A/S
.............
(284)
(11,302)
3.8
Orsted
A/S
..............
(535)
(46,556)
15.5
(233,627)
Finland
Fortum
OYJ
.............
(3,130)
(42,371)
14.1
Kesko
OYJ,
Class
B
.......
(2,953)
(59,086)
19.6
Kone
OYJ,
Class
B
........
(1,429)
(73,297)
24.3
(174,754)
France
Accor
SA
...............
(332)
(12,527)
4.2
Adevinta
ASA
............
(5,256)
(38,879)
12.9
Aeroports
de
Paris
........
(499)
(68,908)
22.9
Air
Liquide
SA
...........
(421)
(75,693)
25.1
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
19
Shares
Value
%
of
Basket
Value
France
(continued)
Alstom
SA
..............
(2,332)
$
(71,406)
23.7
%
Bouygues
SA
............
(6,293)
(225,425)
74.9
Cie
Generale
des
Etablissements
Michelin
SCA
..........
(453)
(14,834)
4.9
EssilorLuxottica
SA
........
(734)
(147,663)
49.0
LVMH
Moet
Hennessy
Louis
Vuitton
SE
............
(136)
(126,313)
42.0
Remy
Cointreau
SA
........
(460)
(78,963)
26.2
Renault
SA
.............
(651)
(28,593)
9.5
Sartorius
Stedim
Biotech
....
(297)
(92,923)
30.9
SEB
SA
................
(151)
(16,904)
5.6
(999,031)
Germany
adidas
AG
..............
(645)
(130,216)
43.3
Bechtle
AG
.............
(1,784)
(78,520)
26.1
Carl
Zeiss
Meditec
AG
......
(586)
(67,906)
22.6
Covestro
AG
............
(1,536)
(82,512)
27.4
Daimler
Truck
Holding
AG
...
(570)
(21,392)
7.1
Evonik
Industries
AG
.......
(4,644)
(96,191)
31.9
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(488)
(25,344)
8.4
Fresenius
SE
&
Co.
KGaA
...
(95)
(2,981)
1.0
Hannover
Rueck
SE
.......
(181)
(38,621)
12.8
HelloFresh
SE
...........
(1,272)
(36,271)
12.0
LEG
Immobilien
SE
........
(348)
(24,605)
8.2
Puma
SE
...............
(1,009)
(68,190)
22.6
Siemens
Healthineers
AG
....
(1,249)
(72,571)
24.1
Symrise
AG
.............
(518)
(56,582)
18.8
Telefonica
Deutschland
Holding
AG
.................
(19,209)
(51,756)
17.2
Vonovia
SE
.............
(3,305)
(77,007)
25.6
Zalando
SE
.............
(515)
(17,780)
5.9
(948,445)
Hong
Kong
CK
Infrastructure
Holdings
Ltd.
(11,500)
(60,943)
20.3
HKT
Trust
&
HKT
Ltd.
......
(86,000)
(101,583)
33.7
Prudential
plc
............
(5,769)
(80,110)
26.6
(242,636)
Ireland
AIB
Group
plc
............
(18,040)
(84,854)
28.2
Kingspan
Group
plc
........
(742)
(59,556)
19.8
(144,410)
Italy
Amplifon
SpA
............
(1,342)
(45,403)
15.1
FinecoBank
Banca
Fineco
SpA
(1,666)
(25,868)
8.6
Nexi
SpA
...............
(12,024)
(104,128)
34.6
(175,399)
Japan
Advantest
Corp.
..........
(100)
(13,831)
4.6
Aeon
Co.
Ltd.
............
(5,300)
(114,791)
38.1
Bandai
Namco
Holdings,
Inc.
.
(1,800)
(40,724)
13.5
Brother
Industries
Ltd.
......
(3,200)
(49,881)
16.6
Daiichi
Sankyo
Co.
Ltd.
.....
(1,100)
(33,880)
11.3
Daikin
Industries
Ltd.
.......
(700)
(141,539)
47.0
Eisai
Co.
Ltd.
............
(800)
(50,475)
16.8
GMO
Payment
Gateway,
Inc.
.
(400)
(30,516)
10.1
Ibiden
Co.
Ltd.
...........
(500)
(30,390)
10.1
Iida
Group
Holdings
Co.
Ltd.
..
(5,300)
(92,975)
30.9
Itochu
Techno-Solutions
Corp.
.
(2,900)
(73,498)
24.4
Japan
Exchange
Group,
Inc.
..
(1,200)
(20,908)
6.9
Japan
Post
Bank
Co.
Ltd.
....
(1,700)
(14,143)
4.7
Keio
Corp.
..............
(2,000)
(66,481)
22.1
Shares
Value
%
of
Basket
Value
Japan
(continued)
Keisei
Electric
Railway
Co.
Ltd.
(1,600)
$
(66,408)
22.1
%
Keyence
Corp.
...........
(100)
(44,874)
14.9
Kobe
Bussan
Co.
Ltd.
......
(1,200)
(31,963)
10.6
Koei
Tecmo
Holdings
Co.
Ltd.
.
(4,000)
(68,445)
22.7
Konami
Group
Corp.
.......
(600)
(33,658)
11.2
Kose
Corp.
.............
(400)
(39,170)
13.0
Kubota
Corp.
............
(10,500)
(158,613)
52.7
Kyocera
Corp.
...........
(500)
(26,906)
8.9
Lasertec
Corp.
...........
(400)
(60,553)
20.1
Lixil
Corp.
..............
(7,400)
(94,571)
31.4
M3,
Inc.
................
(700)
(16,187)
5.4
Makita
Corp.
............
(2,900)
(81,435)
27.0
MINEBEA
MITSUMI,
Inc.
....
(1,200)
(22,227)
7.4
Mitsubishi
Chemical
Group
Corp.
...............
(5,200)
(31,105)
10.3
Mitsui
OSK
Lines
Ltd.
......
(3,400)
(87,896)
29.2
Mizuho
Financial
Group,
Inc.
..
(7,400)
(125,544)
41.7
Nexon
Co.
Ltd.
...........
(1,300)
(24,803)
8.2
NIDEC
Corp.
............
(200)
(11,945)
4.0
Nintendo
Co.
Ltd.
.........
(3,600)
(162,845)
54.1
Nippon
Paint
Holdings
Co.
Ltd.
(2,600)
(23,822)
7.9
Nippon
Telegraph
&
Telephone
Corp.
...............
(78,300)
(89,788)
29.8
Nippon
Yusen
KK
.........
(1,000)
(24,326)
8.1
Nitori
Holdings
Co.
Ltd.
.....
(500)
(61,226)
20.3
Nomura
Research
Institute
Ltd.
(2,800)
(79,562)
26.4
NTT
Data
Group
Corp.
......
(5,800)
(80,685)
26.8
Oji
Holdings
Corp.
.........
(5,300)
(20,926)
6.9
Rakuten
Group,
Inc.
.......
(29,900)
(117,111)
38.9
Renesas
Electronics
Corp.
...
(3,200)
(61,740)
20.5
Rohm
Co.
Ltd.
...........
(300)
(28,112)
9.3
SCSK
Corp.
.............
(2,700)
(44,888)
14.9
Sharp
Corp.
.............
(18,300)
(108,815)
36.1
Shimano,
Inc.
............
(500)
(75,364)
25.0
SoftBank
Group
Corp.
......
(1,100)
(55,949)
18.6
Sompo
Holdings,
Inc.
......
(600)
(26,526)
8.8
Sony
Group
Corp.
.........
(100)
(9,367)
3.1
Square
Enix
Holdings
Co.
Ltd.
.
(2,800)
(129,694)
43.1
Sumitomo
Chemical
Co.
Ltd.
..
(7,700)
(23,748)
7.9
Sumitomo
Electric
Industries
Ltd.
................
(6,200)
(79,496)
26.4
T&D
Holdings,
Inc.
........
(900)
(14,633)
4.9
Taisei
Corp.
.............
(2,600)
(98,531)
32.7
Takeda
Pharmaceutical
Co.
Ltd.
(1,100)
(33,632)
11.2
Tobu
Railway
Co.
Ltd.
......
(1,600)
(42,339)
14.1
Toho
Co.
Ltd.
............
(500)
(19,491)
6.5
Tosoh
Corp.
.............
(7,100)
(92,802)
30.8
Toyota
Motor
Corp.
........
(1,200)
(20,176)
6.7
Yamato
Holdings
Co.
Ltd.
....
(400)
(7,491)
2.5
Yaskawa
Electric
Corp.
.....
(800)
(34,776)
11.6
Z
Holdings
Corp.
..........
(48,900)
(136,334)
45.3
(3,604,530)
Jordan
Hikma
Pharmaceuticals
plc
...
(2,221)
(59,645)
19.8
Luxembourg
Eurofins
Scientific
SE
......
(2,146)
(147,595)
49.0
Netherlands
Aegon
NV
..............
(12,977)
(70,443)
23.4
Akzo
Nobel
NV
...........
(1,349)
(115,404)
38.3
Argenx
SE
..............
(194)
(97,706)
32.4
Euronext
NV
............
(630)
(47,952)
15.9
Heineken
NV
............
(169)
(16,542)
5.5
IMCD
NV
...............
(1,084)
(164,258)
54.6
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
20
Shares
Value
%
of
Basket
Value
Netherlands
(continued)
OCI
NV
................
(2,604)
$
(74,213)
24.6
%
(586,518)
Norway
Aker
BP
ASA
............
(4,559)
(127,709)
42.4
Gjensidige
Forsikring
ASA
...
(1,365)
(21,548)
7.2
Orkla
ASA
..............
(2,752)
(21,716)
7.2
(170,973)
Singapore
Capitaland
Investment
Ltd.
...
(32,000)
(81,904)
27.2
Spain
Cellnex
Telecom
SA
.......
(1,420)
(57,992)
19.2
EDP
Renovaveis
SA
.......
(2,497)
(47,695)
15.8
Grifols
SA
..............
(5,051)
(74,201)
24.6
(179,888)
Sweden
Alfa
Laval
AB
............
(1,456)
(54,503)
18.1
Atlas
Copco
AB,
Class
A
....
(2,024)
(28,753)
9.6
Beijer
Ref
AB
............
(7,140)
(97,094)
32.2
Embracer
Group
AB
.......
(18,528)
(53,181)
17.7
EQT
AB
................
(1,990)
(47,535)
15.8
Holmen
AB,
Class
B
.......
(1,214)
(46,764)
15.5
Kinnevik
AB,
Class
B
.......
(688)
(9,390)
3.1
Tele2
AB,
Class
B
.........
(2,533)
(19,060)
6.3
Telia
Co.
AB
.............
(27,688)
(59,501)
19.8
(415,781)
Switzerland
Bachem
Holding
AG
.......
(790)
(72,973)
24.2
Banque
Cantonale
Vaudoise
(Registered)
...........
(1,423)
(159,719)
53.1
Barry
Callebaut
AG
(Registered)
(29)
(54,375)
18.1
DSM-Firmenich
AG
........
(923)
(101,991)
33.9
Givaudan
SA
(Registered)
...
(7)
(23,628)
7.9
Lonza
Group
AG
(Registered)
.
(265)
(153,975)
51.1
SIG
Group
AG
...........
(5,002)
(133,722)
44.4
Sonova
Holding
AG
(Registered)
(134)
(37,352)
12.4
Swiss
Prime
Site
AG
(Registered)
...........
(694)
(67,186)
22.3
(804,921)
United
Kingdom
abrdn
plc
...............
(8,673)
(25,811)
8.6
Admiral
Group
plc
.........
(2,364)
(64,544)
21.4
AstraZeneca
plc
..........
(616)
(88,505)
29.4
BT
Group
plc
............
(10,621)
(16,643)
5.5
CNH
Industrial
NV
.........
(1,466)
(21,173)
7.0
Diageo
plc
..............
(398)
(17,370)
5.8
Entain
plc
..............
(2,293)
(40,842)
13.6
Hargreaves
Lansdown
plc
...
(2,935)
(32,112)
10.7
Linde
plc
...............
(55)
(21,487)
7.1
National
Grid
plc
..........
(3,286)
(43,555)
14.5
Ocado
Group
plc
.........
(3,055)
(36,778)
12.2
Pearson
plc
.............
(8,020)
(88,714)
29.5
Persimmon
plc
...........
(2,757)
(40,988)
13.6
Phoenix
Group
Holdings
plc
..
(9,089)
(64,215)
21.3
Schroders
plc
............
(12,133)
(71,582)
23.8
Smith
&
Nephew
plc
.......
(9,119)
(138,727)
46.1
SSE
plc
................
(3,447)
(74,535)
24.8
Vodafone
Group
plc
........
(23,303)
(22,167)
7.4
Wise
plc,
Class
A
.........
(6,080)
(60,641)
20.1
(970,389)
Shares
Value
%
of
Basket
Value
United
States
Advance
Auto
Parts,
Inc.
....
(998)
$
(74,241)
24.7
%
Advanced
Micro
Devices,
Inc.
.
(340)
(38,896)
12.9
Air
Products
&
Chemicals,
Inc.
(519)
(158,466)
52.6
Albemarle
Corp.
..........
(149)
(31,630)
10.5
Albertsons
Cos.,
Inc.,
Class
A
.
(1,360)
(29,553)
9.8
Alliant
Energy
Corp.
.......
(1,566)
(84,157)
28.0
Allstate
Corp.
(The)
........
(536)
(60,396)
20.1
Alnylam
Pharmaceuticals,
Inc.
.
(42)
(8,207)
2.7
Amazon.com,
Inc.
.........
(542)
(72,455)
24.1
Amcor
plc
..............
(18,662)
(191,472)
63.6
American
Electric
Power
Co.,
Inc.
.................
(321)
(27,202)
9.0
American
Water
Works
Co.,
Inc.
(165)
(24,326)
8.1
Amphenol
Corp.,
Class
A
....
(478)
(42,212)
14.0
Aptiv
plc
...............
(401)
(43,905)
14.6
Aramark
...............
(3,063)
(123,653)
41.1
Arthur
J
Gallagher
&
Co.
....
(121)
(25,991)
8.6
Aspen
Technology,
Inc.
.....
(934)
(166,719)
55.4
AT&T,
Inc.
..............
(1,211)
(17,584)
5.8
Avantor,
Inc.
.............
(2,826)
(58,131)
19.3
Axon
Enterprise,
Inc.
.......
(98)
(18,221)
6.1
Ball
Corp.
..............
(1,554)
(91,204)
30.3
Baxter
International,
Inc.
....
(1,800)
(81,414)
27.0
Bentley
Systems,
Inc.,
Class
B
(14)
(754)
0.3
BILL
Holdings,
Inc.
........
(490)
(61,417)
20.4
BioMarin
Pharmaceutical,
Inc.
.
(1,337)
(117,562)
39.0
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(106)
(42,968)
14.3
Bio-Techne
Corp.
.........
(619)
(51,625)
17.1
Blackstone,
Inc.
..........
(472)
(49,461)
16.4
Broadridge
Financial
Solutions,
Inc.
.................
(628)
(105,454)
35.0
Bunge
Ltd.
..............
(43)
(4,673)
1.6
Burlington
Stores,
Inc.
......
(174)
(30,906)
10.3
Caesars
Entertainment,
Inc.
..
(612)
(36,120)
12.0
Campbell
Soup
Co.
........
(1,740)
(79,727)
26.5
CarMax,
Inc.
............
(937)
(77,406)
25.7
Carnival
Corp.
...........
(2,305)
(43,426)
14.4
CBRE
Group,
Inc.,
Class
A
...
(665)
(55,401)
18.4
Celanese
Corp.
..........
(1,193)
(149,590)
49.7
Charles
River
Laboratories
International,
Inc.
.......
(321)
(67,262)
22.3
Charles
Schwab
Corp.
(The)
..
(1,158)
(76,544)
25.4
Chesapeake
Energy
Corp.
...
(520)
(43,857)
14.6
Chewy,
Inc.,
Class
A
.......
(859)
(29,120)
9.7
Citizens
Financial
Group,
Inc.
.
(737)
(23,776)
7.9
Clarivate
plc
.............
(1,410)
(13,409)
4.5
Cleveland-Cliffs,
Inc.
.......
(685)
(12,090)
4.0
Cloudflare,
Inc.,
Class
A
.....
(618)
(42,500)
14.1
CME
Group,
Inc.
..........
(377)
(75,008)
24.9
Coinbase
Global,
Inc.,
Class
A
(179)
(17,651)
5.9
Constellation
Energy
Corp.
...
(723)
(69,878)
23.2
Cooper
Cos.,
Inc.
(The)
.....
(29)
(11,347)
3.8
Corteva,
Inc.
............
(238)
(13,430)
4.5
CoStar
Group,
Inc.
........
(698)
(58,611)
19.5
Costco
Wholesale
Corp.
.....
(57)
(31,958)
10.6
Crowdstrike
Holdings,
Inc.,
Class
A
..................
(149)
(24,087)
8.0
Crown
Holdings,
Inc.
.......
(570)
(52,873)
17.6
CSL
Ltd.
...............
(875)
(157,602)
52.3
CyberArk
Software
Ltd.
.....
(140)
(23,241)
7.7
Darling
Ingredients,
Inc.
.....
(1,362)
(94,318)
31.3
Datadog,
Inc.,
Class
A
......
(336)
(39,218)
13.0
DaVita,
Inc.
.............
(377)
(38,450)
12.8
Dick's
Sporting
Goods,
Inc.
...
(129)
(18,189)
6.0
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
21
Shares
Value
%
of
Basket
Value
United
States
(continued)
Dollar
General
Corp.
.......
(700)
$
(118,202)
39.3
%
Dollar
Tree,
Inc.
..........
(654)
(100,932)
33.5
Dominion
Energy,
Inc.
......
(1,726)
(92,427)
30.7
DoorDash,
Inc.,
Class
A
.....
(357)
(32,412)
10.8
Duke
Energy
Corp.
........
(75)
(7,021)
2.3
Elevance
Health,
Inc.
.......
(104)
(49,050)
16.3
Enphase
Energy,
Inc.
.......
(94)
(14,272)
4.7
Entegris,
Inc.
............
(1,811)
(198,685)
66.0
EQT
Corp.
..............
(763)
(32,183)
10.7
Erie
Indemnity
Co.,
Class
A
..
(151)
(33,516)
11.1
Essential
Utilities,
Inc.
......
(1,048)
(44,320)
14.7
Exact
Sciences
Corp.
......
(123)
(11,997)
4.0
Fifth
Third
Bancorp
........
(183)
(5,325)
1.8
First
Solar,
Inc.
...........
(373)
(77,360)
25.7
FleetCor
Technologies,
Inc.
...
(129)
(32,109)
10.7
Generac
Holdings,
Inc.
.....
(52)
(7,992)
2.7
General
Electric
Co.
.......
(223)
(25,476)
8.5
General
Mills,
Inc.
.........
(94)
(7,026)
2.3
Hasbro,
Inc.
.............
(1,289)
(83,218)
27.6
Hess
Corp.
.............
(656)
(99,535)
33.1
Home
Depot,
Inc.
(The)
.....
(359)
(119,849)
39.8
Hyatt
Hotels
Corp.,
Class
A
...
(940)
(118,769)
39.4
Illumina,
Inc.
............
(120)
(23,058)
7.7
Insulet
Corp.
............
(92)
(25,461)
8.5
Intel
Corp.
..............
(1,512)
(54,084)
18.0
International
Business
Machines
Corp.
...............
(842)
(121,400)
40.3
International
Paper
Co.
.....
(2,296)
(82,794)
27.5
Jack
Henry
&
Associates,
Inc.
.
(789)
(132,213)
43.9
Kinder
Morgan,
Inc.
........
(1,061)
(18,790)
6.2
Las
Vegas
Sands
Corp.
.....
(1,975)
(118,125)
39.2
Leidos
Holdings,
Inc.
.......
(1,202)
(112,423)
37.3
Liberty
Broadband
Corp.,
Class
C
..................
(156)
(13,904)
4.6
Liberty
Media
Corp-Liberty
Formula
One,
Class
C
....
(1,739)
(126,251)
41.9
Live
Nation
Entertainment,
Inc.
(364)
(31,941)
10.6
LPL
Financial
Holdings,
Inc.
..
(250)
(57,340)
19.0
M&T
Bank
Corp.
..........
(337)
(47,133)
15.7
MarketAxess
Holdings,
Inc.
..
(219)
(58,959)
19.6
Marriott
International,
Inc.,
Class
A
..................
(452)
(91,218)
30.3
Martin
Marietta
Materials,
Inc.
.
(145)
(64,737)
21.5
Marvell
Technology,
Inc.
.....
(804)
(52,364)
17.4
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(62)
(5,548)
1.8
Moderna,
Inc.
............
(64)
(7,530)
2.5
MongoDB,
Inc.
...........
(45)
(19,053)
6.3
Motorola
Solutions,
Inc.
.....
(280)
(80,256)
26.7
Nasdaq,
Inc.
............
(550)
(27,769)
9.2
Newmont
Corp.
..........
(519)
(22,275)
7.4
Northern
Trust
Corp.
.......
(696)
(55,763)
18.5
Novocure
Ltd.
............
(709)
(23,142)
7.7
Okta,
Inc.
...............
(302)
(23,212)
7.7
Paramount
Global,
Class
B
...
(4,755)
(76,223)
25.3
Pentair
plc
..............
(517)
(35,931)
11.9
PG&E
Corp.
.............
(2,944)
(51,844)
17.2
Pool
Corp.
..............
(90)
(34,627)
11.5
Raymond
James
Financial,
Inc.
(93)
(10,236)
3.4
Regions
Financial
Corp.
.....
(1,748)
(35,607)
11.8
Repligen
Corp.
...........
(380)
(65,193)
21.7
Republic
Services,
Inc.
.....
(953)
(144,008)
47.8
Roper
Technologies,
Inc.
....
(314)
(154,818)
51.4
Salesforce,
Inc.
...........
(284)
(63,903)
21.2
Sanofi
.................
(580)
(61,877)
20.6
Shares
Value
%
of
Basket
Value
United
States
(continued)
Snap,
Inc.,
Class
A
........
(3,574)
$
(40,601)
13.5
%
Snowflake,
Inc.,
Class
A
.....
(285)
(50,647)
16.8
SolarEdge
Technologies,
Inc.
.
(230)
(55,536)
18.4
Southwest
Airlines
Co.
......
(591)
(20,189)
6.7
Stanley
Black
&
Decker,
Inc.
..
(1,038)
(103,042)
34.2
Take-Two
Interactive
Software,
Inc.
.................
(1,518)
(232,163)
77.1
Teledyne
Technologies,
Inc.
..
(337)
(129,587)
43.0
Teleflex,
Inc.
.............
(18)
(4,521)
1.5
Tenaris
SA
..............
(4,574)
(76,009)
25.2
Tesla,
Inc.
..............
(125)
(33,429)
11.1
Thermo
Fisher
Scientific,
Inc.
.
(255)
(139,908)
46.5
T-Mobile
US,
Inc.
.........
(1,057)
(145,623)
48.4
Tractor
Supply
Co.
........
(16)
(3,584)
1.2
Trade
Desk,
Inc.
(The),
Class
A
(85)
(7,757)
2.6
Truist
Financial
Corp.
.......
(651)
(21,626)
7.2
Twilio,
Inc.,
Class
A
........
(987)
(65,172)
21.6
Tyson
Foods,
Inc.,
Class
A
...
(1,215)
(67,700)
22.5
UiPath,
Inc.,
Class
A
.......
(388)
(7,015)
2.3
Union
Pacific
Corp.
........
(302)
(70,070)
23.3
US
Bancorp
.............
(848)
(33,649)
11.2
Verizon
Communications,
Inc.
.
(2,978)
(101,490)
33.7
VF
Corp.
...............
(2,400)
(47,544)
15.8
Vimeo,
Inc.
.............
(1)
(4)
0.0
(a)
Walgreens
Boots
Alliance,
Inc.
(1,898)
(56,883)
18.9
Walt
Disney
Co.
(The)
......
(882)
(78,401)
26.0
Warner
Bros
Discovery,
Inc.
..
(5,734)
(74,943)
24.9
Waste
Connections,
Inc.
.....
(626)
(88,372)
29.4
Waste
Management,
Inc.
....
(766)
(125,463)
41.7
Webster
Financial
Corp.
.....
(1,210)
(57,257)
19.0
Western
Digital
Corp.
.......
(338)
(14,385)
4.8
Williams
Cos.,
Inc.
(The)
....
(4,913)
(169,253)
56.2
Wynn
Resorts
Ltd.
........
(354)
(38,579)
12.8
Zebra
Technologies
Corp.,
Class
A
..................
(186)
(57,281)
19.0
ZoomInfo
Technologies,
Inc.
..
(2,617)
(66,917)
22.2
Zscaler,
Inc.
.............
(44)
(7,057)
2.3
(9,245,287)
Preferred
Securities
Germany
Sartorius
AG
(Preference)
...
(193)
(79,628)
26.4
Total
Reference
Entity
—
Short
............
(20,443,493)
Net
Value
of
Reference
Entity
—
Barclays
Bank
plc
................................
$
(301,089)
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:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
......
4,936
130,731
(37.5)
BlueScope
Steel
Ltd.
.......
3,430
50,582
(14.5)
Brambles
Ltd.
............
12,608
119,282
(34.2)
Coles
Group
Ltd.
.........
1,711
20,923
(6.0)
Lottery
Corp.
Ltd.
(The)
.....
39,134
136,182
(39.1)
QBE
Insurance
Group
Ltd.
...
1,358
14,418
(4.1)
Rio
Tinto
Ltd.
............
396
31,357
(9.0)
South32
Ltd.
............
21,578
56,819
(16.3)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
22
Shares
Value
%
of
Basket
Value
Australia
(continued)
Suncorp
Group
Ltd.
........
2,250
$
21,560
(6.2)
%
581,854
Austria
OMV
AG
...............
1,428
64,337
(18.5)
Belgium
Sofina
SA
..............
163
38,757
(11.1)
Canada
Bank
of
Montreal
.........
346
32,153
(9.2)
Canadian
Imperial
Bank
of
Commerce
...........
533
23,476
(6.7)
Canadian
National
Railway
Co.
1,175
142,427
(40.9)
Canadian
Natural
Resources
Ltd.
................
796
48,407
(13.9)
Canadian
Utilities
Ltd.,
Class
A
119
2,964
(0.8)
CGI,
Inc.
...............
281
28,555
(8.2)
Constellation
Software,
Inc.
..
30
63,382
(18.2)
Descartes
Systems
Group,
Inc.
(The)
...............
318
24,803
(7.1)
Dollarama,
Inc.
...........
1,060
69,823
(20.0)
FirstService
Corp.
.........
59
9,240
(2.6)
iA
Financial
Corp.,
Inc.
......
176
12,194
(3.5)
Imperial
Oil
Ltd.
..........
1,838
99,019
(28.4)
Loblaw
Cos.
Ltd.
..........
883
78,346
(22.5)
National
Bank
of
Canada
....
320
25,063
(7.2)
Power
Corp.
of
Canada
.....
875
24,791
(7.1)
Suncor
Energy,
Inc.
........
1,560
48,812
(14.0)
TFI
International,
Inc.
.......
176
22,590
(6.5)
Toromont
Industries
Ltd.
.....
362
30,843
(8.8)
786,888
China
NXP
Semiconductors
NV
....
45
10,034
(2.9)
Denmark
Novo
Nordisk
A/S,
Class
B
...
205
33,057
(9.5)
Novozymes
A/S,
Class
B
....
758
38,016
(10.9)
71,073
Finland
Nokia
OYJ
..............
1,139
4,477
(1.3)
Nordea
Bank
Abp
.........
3,542
40,090
(11.5)
Orion
OYJ,
Class
B
........
268
10,300
(2.9)
54,867
Germany
E.ON
SE
...............
7,360
93,106
(26.7)
GEA
Group
AG
...........
1,447
61,413
(17.6)
Heidelberg
Materials
AG
....
215
17,425
(5.0)
Mercedes-Benz
Group
AG
...
170
13,577
(3.9)
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
39
14,681
(4.2)
SAP
SE
................
757
103,264
(29.6)
Scout24
SE
.............
44
2,909
(0.8)
306,375
Hong
Kong
Hongkong
Land
Holdings
Ltd.
.
3,700
13,186
(3.8)
Power
Assets
Holdings
Ltd.
..
12,500
65,515
(18.8)
Swire
Pacific
Ltd.,
Class
A
...
5,500
45,976
(13.2)
Swire
Properties
Ltd.
.......
8,000
20,074
(5.7)
144,751
Shares
Value
%
of
Basket
Value
Italy
Coca-Cola
HBC
AG
........
45
$
1,324
(0.4)
%
Eni
SpA
................
7,190
109,769
(31.5)
Ferrari
NV
..............
141
45,203
(13.0)
Mediobanca
Banca
di
Credito
Finanziario
SpA
........
894
11,914
(3.4)
Poste
Italiane
SpA
.........
6,436
73,522
(21.1)
Snam
SpA
..............
31,825
167,296
(48.0)
UniCredit
SpA
...........
979
24,788
(7.1)
433,816
Japan
BayCurrent
Consulting,
Inc.
..
600
19,377
(5.6)
Chugai
Pharmaceutical
Co.
Ltd.
1,300
38,690
(11.1)
Concordia
Financial
Group
Ltd.
2,800
12,807
(3.7)
Dentsu
Group,
Inc.
........
1,600
53,538
(15.4)
Fuji
Electric
Co.
Ltd.
.......
1,400
63,293
(18.2)
Hakuhodo
DY
Holdings,
Inc.
..
2,600
29,912
(8.6)
Hamamatsu
Photonics
KK
...
1,400
67,454
(19.3)
Idemitsu
Kosan
Co.
Ltd.
.....
700
14,782
(4.2)
Inpex
Corp.
.............
1,100
14,203
(4.1)
Japan
Tobacco,
Inc.
.......
4,900
108,729
(31.2)
Kirin
Holdings
Co.
Ltd.
......
1,300
19,202
(5.5)
Kurita
Water
Industries
Ltd.
...
600
24,129
(6.9)
MISUMI
Group,
Inc.
........
900
16,465
(4.7)
Mitsubishi
Electric
Corp.
.....
1,700
24,533
(7.0)
Mitsubishi
Estate
Co.
Ltd.
....
2,900
35,542
(10.2)
Mitsubishi
UFJ
Financial
Group,
Inc.
.................
2,200
17,715
(5.1)
NGK
Insulators
Ltd.
........
1,600
19,623
(5.6)
Nisshin
Seifun
Group,
Inc.
...
600
7,441
(2.1)
Nissin
Foods
Holdings
Co.
Ltd.
1,000
84,316
(24.2)
Nomura
Real
Estate
Holdings,
Inc.
.................
1,500
37,205
(10.7)
Ono
Pharmaceutical
Co.
Ltd.
.
5,300
97,124
(27.9)
Persol
Holdings
Co.
Ltd.
.....
1,500
29,671
(8.5)
Resona
Holdings,
Inc.
......
2,600
14,155
(4.1)
Seiko
Epson
Corp.
........
300
4,927
(1.4)
Shimadzu
Corp.
..........
100
3,037
(0.9)
Subaru
Corp.
............
1,800
34,116
(9.8)
Sumitomo
Mitsui
Financial
Group,
Inc.
...........
900
42,167
(12.1)
Sumitomo
Mitsui
Trust
Holdings,
Inc.
.................
1,300
50,572
(14.5)
Sysmex
Corp.
...........
400
27,086
(7.8)
Terumo
Corp.
............
700
22,924
(6.6)
Tokyo
Gas
Co.
Ltd.
........
3,500
79,366
(22.8)
Toray
Industries,
Inc.
.......
3,500
19,598
(5.6)
Trend
Micro,
Inc.
..........
200
9,449
(2.7)
USS
Co.
Ltd.
............
1,500
26,010
(7.5)
Yakult
Honsha
Co.
Ltd.
.....
1,400
77,680
(22.3)
ZOZO,
Inc.
..............
1,100
21,474
(6.2)
1,268,312
Netherlands
ABN
AMRO
Bank
NV,
CVA
...
1,289
21,917
(6.3)
ING
Groep
NV
...........
875
12,772
(3.7)
Koninklijke
Ahold
Delhaize
NV
.
2,894
99,752
(28.6)
Wolters
Kluwer
NV
........
188
23,608
(6.8)
158,049
New
Zealand
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
................
1,557
23,771
(6.8)
Spark
New
Zealand
Ltd.
.....
6,695
21,555
(6.2)
45,326
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
23
Shares
Value
%
of
Basket
Value
Norway
DNB
Bank
ASA
...........
2,776
$
57,206
(16.4)
%
Norsk
Hydro
ASA
.........
11,957
78,311
(22.5)
135,517
Singapore
Jardine
Cycle
&
Carriage
Ltd.
.
1,400
36,134
(10.4)
Singapore
Airlines
Ltd.
......
5,200
29,458
(8.5)
United
Overseas
Bank
Ltd.
...
200
4,537
(1.3)
70,129
Spain
Banco
Santander
SA
.......
21,893
88,716
(25.5)
Naturgy
Energy
Group
SA
...
652
19,880
(5.7)
108,596
Sweden
Epiroc
AB,
Class
A
........
1,116
22,282
(6.4)
Evolution
AB
............
71
8,755
(2.5)
Industrivarden
AB,
Class
C
...
4,958
140,464
(40.3)
SKF
AB,
Class
B
..........
892
16,995
(4.9)
Svenska
Handelsbanken
AB,
Class
A
..............
2,148
18,859
(5.4)
207,355
Switzerland
Baloise
Holding
AG
(Registered)
45
6,966
(2.0)
Julius
Baer
Group
Ltd.
......
422
29,889
(8.6)
Swatch
Group
AG
(The)
.....
41
13,122
(3.8)
49,977
United
Kingdom
3i
Group
plc
.............
1,473
37,372
(10.7)
NatWest
Group
plc
........
14,613
45,871
(13.2)
Sage
Group
plc
(The)
......
2,601
31,286
(9.0)
Smiths
Group
plc
.........
1,545
33,696
(9.7)
St
James's
Place
plc
.......
1,459
17,612
(5.0)
165,837
United
States
A
O
Smith
Corp.
..........
921
66,892
(19.2)
Allegion
plc
.............
462
53,989
(15.5)
Alphabet,
Inc.,
Class
A
......
110
14,599
(4.2)
American
International
Group,
Inc.
.................
554
33,395
(9.6)
Amgen,
Inc.
.............
44
10,303
(3.0)
ANSYS,
Inc.
.............
85
29,079
(8.3)
BRP,
Inc.
...............
120
11,039
(3.2)
Centene
Corp.
...........
181
12,324
(3.5)
CH
Robinson
Worldwide,
Inc.
.
331
33,160
(9.5)
Cheniere
Energy,
Inc.
......
144
23,308
(6.7)
Cintas
Corp.
.............
415
208,347
(59.8)
Copart,
Inc.
.............
850
75,132
(21.6)
CSX
Corp.
..............
2,731
90,997
(26.1)
CVS
Health
Corp.
.........
608
45,412
(13.0)
Dentsply
Sirona,
Inc.
.......
513
21,300
(6.1)
Dexcom,
Inc.
............
199
24,787
(7.1)
DocuSign,
Inc.
...........
377
20,290
(5.8)
Entergy
Corp.
............
152
15,610
(4.5)
EOG
Resources,
Inc.
.......
283
37,506
(10.8)
Etsy,
Inc.
...............
58
5,896
(1.7)
Exelon
Corp.
............
684
28,632
(8.2)
Expeditors
International
of
Washington,
Inc.
........
938
119,407
(34.3)
FedEx
Corp.
............
67
18,087
(5.2)
Fortinet,
Inc.
.............
24
1,865
(0.5)
Gartner,
Inc.
.............
37
13,083
(3.8)
General
Motors
Co.
........
285
10,935
(3.1)
Shares
Value
%
of
Basket
Value
United
States
(continued)
GoDaddy,
Inc.,
Class
A
.....
450
$
34,691
(10.0)
%
Graco,
Inc.
..............
847
67,193
(19.3)
GSK
plc
...............
3,150
56,074
(16.1)
Hartford
Financial
Services
Group,
Inc.
(The)
.......
896
64,404
(18.5)
Holcim
Ltd
..............
2,388
166,436
(47.8)
Hologic,
Inc.
.............
1,133
89,983
(25.8)
HubSpot,
Inc.
............
24
13,933
(4.0)
Humana,
Inc.
............
38
17,360
(5.0)
Illinois
Tool
Works,
Inc.
......
575
151,409
(43.4)
Intuit,
Inc.
..............
161
82,384
(23.6)
Invesco
Ltd.
.............
2,481
41,681
(12.0)
James
Hardie
Industries
plc,
CDI
................
2,018
59,141
(17.0)
JM
Smucker
Co.
(The)
......
73
10,997
(3.2)
KLA
Corp.
..............
257
132,085
(37.9)
Lennar
Corp.,
Class
A
......
85
10,781
(3.1)
Lennox
International,
Inc.
....
62
22,781
(6.5)
LKQ
Corp.
..............
703
38,517
(11.1)
Lululemon
Athletica,
Inc.
....
74
28,011
(8.0)
McDonald's
Corp.
.........
41
12,021
(3.5)
Microsoft
Corp.
...........
400
134,368
(38.6)
Mohawk
Industries,
Inc.
.....
229
24,352
(7.0)
Nestle
SA
(Registered)
.....
537
65,793
(18.9)
Nordson
Corp.
...........
255
64,161
(18.4)
Old
Dominion
Freight
Line,
Inc.
55
23,072
(6.6)
O'Reilly
Automotive,
Inc.
....
196
181,455
(52.1)
Otis
Worldwide
Corp.
.......
955
86,867
(24.9)
Paychex,
Inc.
............
662
83,061
(23.8)
Pinterest,
Inc.,
Class
A
......
45
1,305
(0.4)
Procter
&
Gamble
Co.
(The)
..
813
127,072
(36.5)
Qorvo,
Inc.
..............
45
4,951
(1.4)
QUALCOMM,
Inc.
.........
185
24,451
(7.0)
ServiceNow,
Inc.
..........
211
123,013
(35.3)
Signature
Bank
...........
129
6
(0.0)
(b)
Stryker
Corp.
............
90
25,507
(7.3)
Synchrony
Financial
.......
540
18,652
(5.4)
Texas
Instruments,
Inc.
.....
108
19,440
(5.6)
Trimble,
Inc.
.............
910
48,958
(14.0)
Ulta
Beauty,
Inc.
..........
27
12,010
(3.4)
United
Rentals,
Inc.
........
34
15,799
(4.5)
Universal
Health
Services,
Inc.,
Class
B
..............
39
5,419
(1.6)
Valero
Energy
Corp.
.......
87
11,215
(3.2)
Whirlpool
Corp.
...........
365
52,655
(15.1)
Zimmer
Biomet
Holdings,
Inc.
.
232
32,051
(9.2)
3,310,889
Total
Reference
Entity
—
Long
............
8,012,739
Reference
Entity
—
Short
Common
Stocks
Australia
APA
Group
..............
(829)
(5,577)
1.6
ASX
Ltd.
...............
(1,073)
(44,828)
12.9
EBOS
Group
Ltd.
.........
(2,837)
(67,987)
19.5
Flutter
Entertainment
plc
....
(172)
(34,211)
9.8
Insurance
Australia
Group
Ltd.
(26,121)
(104,275)
29.9
Lendlease
Corp.
Ltd.
.......
(1,776)
(10,325)
3.0
Mineral
Resources
Ltd.
.....
(908)
(43,872)
12.6
Orica
Ltd.
..............
(3,847)
(40,820)
11.7
Pilbara
Minerals
Ltd.
.......
(7,303)
(23,892)
6.8
Reece
Ltd.
..............
(255)
(3,367)
1.0
Santos
Ltd.
.............
(8,132)
(43,758)
12.5
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
24
Shares
Value
%
of
Basket
Value
Australia
(continued)
Transurban
Group
.........
(26,075)
$
(251,755)
72.2
%
(674,667)
Austria
Verbund
AG
.............
(408)
(33,805)
9.7
Canada
Agnico
Eagle
Mines
Ltd.
.....
(794)
(41,625)
11.9
Algonquin
Power
&
Utilities
Corp.
...............
(7,873)
(64,959)
18.6
CAE,
Inc.
...............
(457)
(10,442)
3.0
Cameco
Corp.
...........
(348)
(12,235)
3.5
Emera,
Inc.
.............
(2,354)
(95,488)
27.4
GFL
Environmental,
Inc.
.....
(3,435)
(117,300)
33.7
IGM
Financial,
Inc.
........
(551)
(17,170)
4.9
Intact
Financial
Corp.
.......
(199)
(29,399)
8.4
Ivanhoe
Mines
Ltd.,
Class
A
..
(1,340)
(14,206)
4.1
Keyera
Corp.
............
(3,605)
(90,245)
25.9
Nuvei
Corp.
.............
(219)
(7,469)
2.1
Parkland
Corp.
...........
(2,490)
(67,998)
19.5
Quebecor,
Inc.,
Class
B
.....
(163)
(3,990)
1.1
RB
Global,
Inc.
...........
(258)
(16,662)
4.8
Restaurant
Brands
International,
Inc.
.................
(994)
(76,096)
21.8
Shopify,
Inc.,
Class
A
.......
(754)
(50,936)
14.6
TC
Energy
Corp.
..........
(2,023)
(72,504)
20.8
Thomson
Reuters
Corp.
.....
(173)
(23,353)
6.7
WSP
Global,
Inc.
.........
(781)
(107,586)
30.9
(919,663)
China
Prosus
NV
..............
(175)
(13,844)
4.0
Xinyi
Glass
Holdings
Ltd.
....
(10,000)
(16,641)
4.8
(30,485)
Denmark
ROCKWOOL
A/S,
Class
B
...
(82)
(22,055)
6.3
Tryg
A/S
...............
(299)
(5,903)
1.7
Vestas
Wind
Systems
A/S
...
(1,715)
(45,870)
13.2
(73,828)
Finland
UPM-Kymmene
OYJ
.......
(4,442)
(147,064)
42.2
Wartsila
OYJ
Abp
.........
(891)
(11,194)
3.2
(158,258)
France
Adevinta
ASA
............
(5,385)
(39,833)
11.4
Germany
Commerzbank
AG
.........
(1,020)
(12,201)
3.5
Fresenius
Medical
Care
AG
&
Co.
KGaA
............
(1,124)
(58,374)
16.7
Fresenius
SE
&
Co.
KGaA
...
(699)
(21,936)
6.3
LEG
Immobilien
SE
........
(142)
(10,040)
2.9
Merck
KGaA
............
(518)
(91,025)
26.1
Symrise
AG
.............
(137)
(14,965)
4.3
(208,541)
Italy
Amplifon
SpA
............
(891)
(30,144)
8.7
Davide
Campari-Milano
NV
..
(9,490)
(127,630)
36.6
FinecoBank
Banca
Fineco
SpA
(2,423)
(37,623)
10.8
Infrastrutture
Wireless
Italiane
SpA
................
(16,407)
(205,757)
59.1
Shares
Value
%
of
Basket
Value
Italy
(continued)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
......
(703)
$
(36,303)
10.4
%
(437,457)
Japan
Bandai
Namco
Holdings,
Inc.
.
(1,100)
(24,887)
7.2
CyberAgent,
Inc.
..........
(2,000)
(12,644)
3.6
Daito
Trust
Construction
Co.
Ltd.
(300)
(32,271)
9.3
Iida
Group
Holdings
Co.
Ltd.
..
(7,400)
(129,814)
37.3
Japan
Airlines
Co.
Ltd.
......
(1,500)
(32,476)
9.3
Japan
Exchange
Group,
Inc.
..
(4,700)
(81,889)
23.5
JSR
Corp.
..............
(1,000)
(28,687)
8.2
Kintetsu
Group
Holdings
Co.
Ltd.
................
(1,800)
(60,384)
17.3
Koei
Tecmo
Holdings
Co.
Ltd.
.
(500)
(8,556)
2.5
Koito
Manufacturing
Co.
Ltd.
..
(2,300)
(42,291)
12.1
Konami
Group
Corp.
.......
(700)
(39,268)
11.3
Kose
Corp.
.............
(300)
(29,378)
8.4
Kyocera
Corp.
...........
(400)
(21,525)
6.2
M3,
Inc.
................
(300)
(6,937)
2.0
McDonald's
Holdings
Co.
Japan
Ltd.
................
(300)
(11,809)
3.4
MinebeaMitsumi,
Inc.
.......
(600)
(11,114)
3.2
Mitsui
OSK
Lines
Ltd.
......
(500)
(12,926)
3.7
MonotaRO
Co.
Ltd.
........
(1,800)
(21,969)
6.3
Nexon
Co.
Ltd.
...........
(1,700)
(32,435)
9.3
Nomura
Holdings,
Inc.
......
(13,000)
(53,781)
15.4
NTT
Data
Group
Corp.
......
(3,700)
(51,471)
14.8
Shimano,
Inc.
............
(200)
(30,145)
8.7
SoftBank
Group
Corp.
......
(1,300)
(66,121)
19.0
Sony
Group
Corp.
.........
(500)
(46,833)
13.4
T&D
Holdings,
Inc.
........
(1,200)
(19,511)
5.6
Toyota
Motor
Corp.
........
(1,900)
(31,946)
9.2
Yamato
Holdings
Co.
Ltd.
....
(4,000)
(74,912)
21.5
Yaskawa
Electric
Corp.
.....
(900)
(39,123)
11.2
Z
Holdings
Corp.
..........
(3,400)
(9,479)
2.7
(1,064,582)
Netherlands
Adyen
NV
..............
(35)
(64,961)
18.7
Aegon
NV
..............
(2,527)
(13,717)
3.9
Ferrovial
SE
.............
(564)
(18,690)
5.4
Universal
Music
Group
NV
...
(2,518)
(64,586)
18.5
(161,954)
New
Zealand
Auckland
International
Airport
Ltd.
................
(25,589)
(133,581)
38.3
Norway
Aker
BP
ASA
............
(1)
(28)
0.0
(a)
Gjensidige
Forsikring
ASA
...
(1,764)
(27,847)
8.0
(27,875)
Singapore
Capitaland
Investment
Ltd.
...
(7,600)
(19,452)
5.6
Sea
Ltd.,
ADR
...........
(764)
(50,821)
14.6
Venture
Corp.
Ltd.
.........
(12,600)
(142,052)
40.8
(212,325)
South
Korea
Delivery
Hero
SE
.........
(1,125)
(51,063)
14.7
Spain
CaixaBank
SA
...........
(6,726)
(27,208)
7.8
Cellnex
Telecom
SA
.......
(4,062)
(165,888)
47.6
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
25
Shares
Value
%
of
Basket
Value
Spain
(continued)
EDP
Renovaveis
SA
.......
(834)
$
(15,930)
4.6
%
(209,026)
Sweden
Getinge
AB,
Class
B
.......
(1,408)
(26,235)
7.5
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(1,408)
(23,682)
6.8
Hexagon
AB,
Class
B
......
(7,976)
(77,334)
22.2
Securitas
AB,
Class
B
......
(1,162)
(9,891)
2.8
Svenska
Cellulosa
AB
SCA,
Class
B
..............
(8,236)
(109,436)
31.4
Swedish
Orphan
Biovitrum
AB
.
(3,593)
(70,326)
20.2
(316,904)
Switzerland
ABB
Ltd.
(Registered)
......
(649)
(26,043)
7.5
Adecco
Group
AG
(Registered)
(712)
(29,017)
8.3
Bachem
Holding
AG
.......
(58)
(5,358)
1.5
Barry
Callebaut
AG
(Registered)
(28)
(52,500)
15.1
EMS-Chemie
Holding
AG
(Registered)
...........
(102)
(85,134)
24.4
Swiss
Prime
Site
AG
(Registered)
...........
(621)
(60,119)
17.3
(258,171)
United
Kingdom
Admiral
Group
plc
.........
(427)
(11,658)
3.3
Hargreaves
Lansdown
plc
...
(4,577)
(50,078)
14.4
Rentokil
Initial
plc
.........
(4,336)
(35,357)
10.2
Severn
Trent
plc
..........
(1,776)
(58,207)
16.7
(155,300)
United
States
AES
Corp.
(The)
..........
(800)
(17,304)
5.0
Alcoa
Corp.
.............
(743)
(26,889)
7.7
Allstate
Corp.
(The)
........
(70)
(7,888)
2.3
Alnylam
Pharmaceuticals,
Inc.
.
(186)
(36,344)
10.4
American
Electric
Power
Co.,
Inc.
.................
(449)
(38,048)
10.9
Analog
Devices,
Inc.
.......
(153)
(30,528)
8.8
Ball
Corp.
..............
(368)
(21,598)
6.2
Bio-Techne
Corp.
.........
(616)
(51,374)
14.7
Boeing
Co.
(The)
.........
(369)
(88,136)
25.3
Brown
&
Brown,
Inc.
.......
(908)
(63,969)
18.4
Caesars
Entertainment,
Inc.
..
(457)
(26,972)
7.7
Campbell
Soup
Co.
........
(370)
(16,953)
4.9
Catalent,
Inc.
............
(1,674)
(81,222)
23.3
Ceridian
HCM
Holding,
Inc.
..
(793)
(56,152)
16.1
Charles
River
Laboratories
International,
Inc.
.......
(93)
(19,487)
5.6
Charter
Communications,
Inc.,
Class
A
..............
(28)
(11,345)
3.3
Citizens
Financial
Group,
Inc.
.
(9)
(290)
0.1
Cooper
Cos.,
Inc.
(The)
.....
(297)
(116,204)
33.3
Costco
Wholesale
Corp.
.....
(40)
(22,427)
6.4
CSL
Ltd.
...............
(12)
(2,161)
0.6
Datadog,
Inc.,
Class
A
......
(148)
(17,275)
5.0
Dominion
Energy,
Inc.
......
(85)
(4,552)
1.3
Exact
Sciences
Corp.
......
(201)
(19,606)
5.6
Fifth
Third
Bancorp
........
(730)
(21,243)
6.1
First
Citizens
BancShares,
Inc.,
Class
A
..............
(53)
(75,859)
21.8
Ford
Motor
Co.
...........
(4,635)
(61,228)
17.6
Gen
Digital,
Inc.
..........
(1,860)
(36,177)
10.4
Generac
Holdings,
Inc.
.....
(49)
(7,531)
2.2
General
Electric
Co.
.......
(128)
(14,623)
4.2
Shares
Value
%
of
Basket
Value
United
States
(continued)
Haleon
plc
..............
(5,947)
$
(25,670)
7.4
%
Hasbro,
Inc.
.............
(178)
(11,492)
3.3
Hormel
Foods
Corp.
.......
(4,537)
(185,473)
53.2
Huntington
Bancshares,
Inc.
..
(5,402)
(66,120)
19.0
Huntington
Ingalls
Industries,
Inc.
.................
(278)
(63,848)
18.3
International
Flavors
&
Fragrances,
Inc.
........
(414)
(35,029)
10.0
Jacobs
Solutions,
Inc.
......
(234)
(29,346)
8.4
KeyCorp
...............
(3,415)
(42,039)
12.1
Kimberly-Clark
Corp.
.......
(49)
(6,326)
1.8
Kinder
Morgan,
Inc.
........
(4,095)
(72,522)
20.8
Markel
Group,
Inc.
........
(7)
(10,148)
2.9
Marvell
Technology,
Inc.
.....
(179)
(11,658)
3.3
Masimo
Corp.
............
(61)
(7,460)
2.1
Match
Group,
Inc.
.........
(362)
(16,837)
4.8
McCormick
&
Co.,
Inc.
(Non-
Voting)
..............
(205)
(18,343)
5.3
Micron
Technology,
Inc.
.....
(452)
(32,268)
9.3
Palantir
Technologies,
Inc.,
Class
A
..................
(1,726)
(34,244)
9.8
PNC
Financial
Services
Group,
Inc.
(The)
............
(1,033)
(141,407)
40.6
Pool
Corp.
..............
(11)
(4,232)
1.2
Progressive
Corp.
(The)
.....
(863)
(108,721)
31.2
Revvity,
Inc.
.............
(289)
(35,533)
10.2
Rivian
Automotive,
Inc.,
Class
A
(1,710)
(47,264)
13.6
RPM
International,
Inc.
.....
(268)
(27,687)
7.9
Sealed
Air
Corp.
..........
(1,148)
(52,372)
15.0
Sherwin-Williams
Co.
(The)
..
(205)
(56,683)
16.3
Southwest
Airlines
Co.
......
(1,592)
(54,383)
15.6
STERIS
plc
.............
(572)
(129,015)
37.0
Targa
Resources
Corp.
.....
(1,740)
(142,663)
40.9
Target
Corp.
.............
(408)
(55,680)
16.0
Teleflex,
Inc.
.............
(209)
(52,495)
15.1
Tenaris
SA
..............
(3,495)
(58,078)
16.7
Toast,
Inc.,
Class
A
........
(1,303)
(28,757)
8.3
Tractor
Supply
Co.
........
(49)
(10,976)
3.1
Truist
Financial
Corp.
.......
(311)
(10,331)
3.0
Tyler
Technologies,
Inc.
.....
(319)
(126,525)
36.3
Unity
Software,
Inc.
........
(895)
(41,027)
11.8
US
Bancorp
.............
(848)
(33,649)
9.7
VF
Corp.
...............
(1,389)
(27,516)
7.9
Vimeo,
Inc.
.............
(1)
(4)
0.0
(a)
Warner
Bros
Discovery,
Inc.
..
(765)
(9,999)
2.9
WEC
Energy
Group,
Inc.
....
(200)
(17,972)
5.2
Wolfspeed,
Inc.
...........
(1,511)
(99,575)
28.6
ZoomInfo
Technologies,
Inc.
..
(65)
(1,662)
0.5
(3,036,414)
Zambia
First
Quantum
Minerals
Ltd.
..
(884)
(26,219)
7.5
Preferred
Securities
Germany
Porsche
Automobil
Holding
SE
(Preference)
..........
(1,288)
(75,999)
21.8
Sartorius
AG
(Preference)
...
(134)
(55,286)
15.8
(131,285)
Total
Reference
Entity
—
Short
............
(8,361,236)
Net
Value
of
Reference
Entity
—
BNP
Paribas
SA
$
(348,497)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
26
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
date
February
24,
2028:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Australia
BHP
Group
Ltd.
..........
2,793
$
86,923
(22.4)
%
Cochlear
Ltd.
............
1,891
304,210
(78.3)
Coles
Group
Ltd.
.........
943
11,532
(3.0)
Telstra
Group
Ltd.
.........
47,056
134,684
(34.7)
537,349
Belgium
Elia
Group
SA
...........
262
32,259
(8.3)
Canada
AltaGas
Ltd.
.............
3,679
72,623
(18.7)
ARC
Resources
Ltd.
.......
3,851
58,175
(15.0)
Brookfield
Corp.,
Class
A
....
646
22,550
(5.8)
Canadian
Utilities
Ltd.,
Class
A
1,593
39,672
(10.2)
CGI,
Inc.
...............
298
30,282
(7.8)
Descartes
Systems
Group,
Inc.
(The)
...............
479
37,360
(9.6)
Dollarama,
Inc.
...........
355
23,384
(6.0)
Element
Fleet
Management
Corp.
...............
1,727
27,857
(7.2)
Franco-Nevada
Corp.
......
829
120,969
(31.2)
Pembina
Pipeline
Corp.
.....
2,608
82,572
(21.3)
Royal
Bank
of
Canada
......
633
62,755
(16.2)
Sun
Life
Financial,
Inc.
......
577
30,367
(7.8)
Suncor
Energy,
Inc.
........
1,189
37,203
(9.6)
645,769
China
BOC
Hong
Kong
Holdings
Ltd.
36,000
109,874
(28.3)
NXP
Semiconductors
NV
....
49
10,926
(2.8)
120,800
Denmark
Danske
Bank
A/S
.........
95
2,256
(0.6)
DSV
A/S
...............
123
24,617
(6.3)
Novo
Nordisk
A/S,
Class
B
...
156
25,155
(6.5)
52,028
Finland
Elisa
OYJ
..............
2,215
115,546
(29.8)
France
Amundi
SA
.............
1,961
120,337
(31.0)
BNP
Paribas
SA
..........
160
10,552
(2.7)
Carrefour
SA
............
1,546
30,906
(8.0)
Cie
de
Saint-Gobain
.......
2,391
161,706
(41.7)
Eurazeo
SE
.............
2,282
139,338
(35.9)
Ipsen
SA
...............
695
87,589
(22.6)
La
Francaise
des
Jeux
SAEM
.
305
11,644
(3.0)
Thales
SA
..............
120
17,951
(4.6)
Wendel
SE
.............
757
74,727
(19.2)
654,750
Germany
Allianz
SE
(Registered)
.....
117
27,963
(7.2)
Deutsche
Bank
AG
(Registered)
5,039
55,858
(14.4)
Mercedes-Benz
Group
AG
...
259
20,684
(5.3)
Muenchener
Rueckversicherungs-
Gesellschaft
AG
(Registered)
20
7,529
(2.0)
Shares
Value
%
of
Basket
Value
Germany
(continued)
Nemetschek
SE
..........
534
$
38,859
(10.0)
%
150,893
Hong
Kong
Power
Assets
Holdings
Ltd.
..
3,500
18,344
(4.7)
Israel
Israel
Discount
Bank
Ltd.,
Class
A
..................
4,334
22,956
(5.9)
Wix.com
Ltd.
............
314
29,617
(7.6)
52,573
Italy
Assicurazioni
Generali
SpA
...
4,552
96,960
(25.0)
Coca-Cola
HBC
AG
........
684
20,125
(5.2)
Prysmian
SpA
...........
1,874
74,726
(19.2)
191,811
Japan
Astellas
Pharma,
Inc.
.......
17,900
261,740
(67.4)
Central
Japan
Railway
Co.
...
1,800
229,380
(59.1)
Daiwa
House
Industry
Co.
Ltd.
1,300
35,333
(9.1)
Dentsu
Group,
Inc.
........
300
10,038
(2.6)
Fuji
Electric
Co.
Ltd.
.......
900
40,689
(10.5)
Hitachi
Ltd.
.............
1,800
117,836
(30.4)
Hulic
Co.
Ltd.
............
11,000
93,656
(24.1)
Japan
Post
Insurance
Co.
Ltd.
1,600
25,856
(6.7)
Japan
Tobacco,
Inc.
.......
500
11,095
(2.9)
Kurita
Water
Industries
Ltd.
...
1,200
48,258
(12.4)
MISUMI
Group,
Inc.
........
800
14,635
(3.8)
Mitsubishi
Corp.
..........
200
10,233
(2.6)
Mitsubishi
HC
Capital,
Inc.
...
12,100
80,046
(20.6)
Nippon
Express
Holdings,
Inc.
.
500
29,316
(7.6)
Nisshin
Seifun
Group,
Inc.
...
6,500
80,607
(20.8)
ORIX
Corp.
.............
4,900
94,259
(24.3)
Otsuka
Corp.
............
700
29,150
(7.5)
Persol
Holdings
Co.
Ltd.
.....
1,100
21,759
(5.6)
Sekisui
Chemical
Co.
Ltd.
....
4,900
74,429
(19.2)
Seven
&
i
Holdings
Co.
Ltd.
..
300
12,446
(3.2)
Shimadzu
Corp.
..........
500
15,185
(3.9)
Shionogi
&
Co.
Ltd.
........
200
8,382
(2.2)
Suntory
Beverage
&
Food
Ltd.
800
28,478
(7.3)
TOPPAN,
Inc.
............
600
14,123
(3.6)
1,386,929
Netherlands
Koninklijke
Ahold
Delhaize
NV
.
896
30,884
(7.9)
Koninklijke
KPN
NV
........
47,853
173,144
(44.6)
Shell
plc
...............
4,301
130,354
(33.6)
334,382
Norway
DNB
Bank
ASA
...........
508
10,469
(2.7)
Equinor
ASA
............
663
20,280
(5.2)
30,749
Singapore
Jardine
Cycle
&
Carriage
Ltd.
.
2,100
54,201
(13.9)
Singapore
Telecommunications
Ltd.
................
33,600
67,404
(17.3)
121,605
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
.........
575
20,113
(5.2)
Amadeus
IT
Group
SA
......
246
17,647
(4.5)
Corp.
ACCIONA
Energias
Renovables
SA
........
1,066
33,553
(8.6)
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
27
Shares
Value
%
of
Basket
Value
Spain
(continued)
Iberdrola
SA
.............
5,963
$
74,427
(19.2)
%
Naturgy
Energy
Group
SA
...
2,019
61,561
(15.9)
207,301
Sweden
Assa
Abloy
AB,
Class
B
.....
217
5,217
(1.4)
Indutrade
AB
............
726
15,236
(3.9)
SKF
AB,
Class
B
..........
304
5,792
(1.5)
Volvo
Car
AB,
Class
B
......
9,731
48,100
(12.4)
74,345
Switzerland
Clariant
AG
(Registered)
....
1,980
32,445
(8.3)
Helvetia
Holding
AG
(Registered)
...........
1,049
155,234
(40.0)
Partners
Group
Holding
AG
..
17
19,085
(4.9)
VAT
Group
AG
...........
9
3,825
(1.0)
210,589
United
Kingdom
3i
Group
plc
.............
421
10,681
(2.7)
Auto
Trader
Group
plc
......
5,296
43,923
(11.3)
Barclays
plc
.............
40,832
81,024
(20.9)
BP
plc
.................
7,079
43,921
(11.3)
CK
Hutchison
Holdings
Ltd.
..
22,000
135,681
(34.9)
InterContinental
Hotels
Group
plc
.................
29
2,143
(0.6)
Reckitt
Benckiser
Group
plc
..
429
32,137
(8.3)
349,510
United
States
AbbVie,
Inc.
.............
74
11,069
(2.9)
Akamai
Technologies,
Inc.
...
108
10,206
(2.6)
Altria
Group,
Inc.
..........
565
25,662
(6.6)
American
Express
Co.
......
439
74,138
(19.1)
Amgen,
Inc.
.............
45
10,537
(2.7)
Archer-Daniels-Midland
Co.
..
409
34,749
(9.0)
AutoZone,
Inc.
...........
5
12,409
(3.2)
Best
Buy
Co.,
Inc.
.........
204
16,942
(4.4)
Booking
Holdings,
Inc.
......
75
222,810
(57.4)
Boston
Scientific
Corp.
......
202
10,474
(2.7)
Bristol-Myers
Squibb
Co.
....
904
56,220
(14.5)
BRP,
Inc.
...............
631
58,049
(15.0)
CenterPoint
Energy,
Inc.
....
339
10,201
(2.6)
CH
Robinson
Worldwide,
Inc.
.
238
23,843
(6.1)
Cheniere
Energy,
Inc.
......
11
1,780
(0.5)
Cigna
Group
(The)
........
74
21,837
(5.6)
Coca-Cola
Co.
(The)
.......
164
10,157
(2.6)
CSX
Corp.
..............
314
10,463
(2.7)
CVS
Health
Corp.
.........
151
11,278
(2.9)
Dentsply
Sirona,
Inc.
.......
1,286
53,395
(13.8)
Dover
Corp.
.............
76
11,094
(2.9)
Dropbox,
Inc.,
Class
A
......
3,476
93,678
(24.1)
DuPont
de
Nemours,
Inc.
....
157
12,188
(3.1)
Eastman
Chemical
Co.
.....
45
3,851
(1.0)
Eaton
Corp.
plc
...........
65
13,346
(3.4)
Entergy
Corp.
............
5
514
(0.1)
Equitable
Holdings,
Inc.
.....
734
21,058
(5.4)
Exelon
Corp.
............
321
13,437
(3.5)
Expeditors
International
of
Washington,
Inc.
........
381
48,501
(12.5)
Fiserv,
Inc.
..............
147
18,553
(4.8)
Fox
Corp.,
Class
A
........
297
9,935
(2.6)
Gartner,
Inc.
.............
39
13,790
(3.6)
Gilead
Sciences,
Inc.
.......
159
12,106
(3.1)
GoDaddy,
Inc.,
Class
A
.....
134
10,330
(2.7)
Shares
Value
%
of
Basket
Value
United
States
(continued)
HP,
Inc.
................
326
$
10,703
(2.8)
%
HubSpot,
Inc.
............
18
10,450
(2.7)
Humana,
Inc.
............
29
13,248
(3.4)
Jazz
Pharmaceuticals
plc
....
351
45,777
(11.8)
JM
Smucker
Co.
(The)
......
71
10,696
(2.8)
Kroger
Co.
(The)
..........
671
32,637
(8.4)
Lamb
Weston
Holdings,
Inc.
..
340
35,234
(9.1)
Lennar
Corp.,
Class
A
......
15
1,902
(0.5)
LyondellBasell
Industries
NV,
Class
A
..............
1,409
139,294
(35.9)
Masco
Corp.
............
201
12,197
(3.1)
McKesson
Corp.
..........
40
16,096
(4.1)
Mohawk
Industries,
Inc.
.....
74
7,869
(2.0)
Moody's
Corp.
...........
127
44,799
(11.5)
NIKE,
Inc.,
Class
B
........
232
25,611
(6.6)
Nordson
Corp.
...........
204
51,328
(13.2)
Norfolk
Southern
Corp.
.....
315
73,581
(19.0)
Nucor
Corp.
.............
94
16,176
(4.2)
NVIDIA
Corp.
............
63
29,439
(7.6)
ON
Semiconductor
Corp.
....
101
10,883
(2.8)
PepsiCo,
Inc.
............
104
19,496
(5.0)
PPL
Corp.
..............
419
11,535
(3.0)
Procter
&
Gamble
Co.
(The)
..
103
16,099
(4.1)
Prudential
Financial,
Inc.
....
8
772
(0.2)
SEI
Investments
Co.
.......
162
10,204
(2.6)
SS&C
Technologies
Holdings,
Inc.
.................
348
20,271
(5.2)
State
Street
Corp.
.........
162
11,735
(3.0)
Stellantis
NV
............
1,158
23,760
(6.1)
Teradyne,
Inc.
...........
533
60,197
(15.5)
TJX
Cos.,
Inc.
(The)
.......
661
57,196
(14.7)
Valero
Energy
Corp.
.......
184
23,719
(6.1)
Viatris,
Inc.
..............
1,056
11,120
(2.9)
Visa,
Inc.,
Class
A
.........
52
12,362
(3.2)
Walmart,
Inc.
............
179
28,615
(7.4)
West
Pharmaceutical
Services,
Inc.
.................
62
22,818
(5.9)
Yum!
Brands,
Inc.
.........
76
10,463
(2.7)
1,896,882
Total
Reference
Entity
—
Long
............
7,184,414
Reference
Entity
—
Short
Common
Stocks
Australia
Qantas
Airways
Ltd.
.......
(5,529)
(24,293)
6.3
Belgium
KBC
Group
NV
...........
(317)
(23,859)
6.1
Brazil
Yara
International
ASA
......
(528)
(21,565)
5.6
Canada
Barrick
Gold
Corp.
........
(386)
(6,668)
1.7
Canadian
Pacific
Kansas
City
Ltd.
................
(3,511)
(288,889)
74.4
GFL
Environmental,
Inc.
.....
(109)
(3,722)
0.9
Keyera
Corp.
............
(165)
(4,130)
1.1
Northland
Power,
Inc.
......
(2,053)
(39,716)
10.2
Pan
American
Silver
Corp.
...
(8,868)
(150,103)
38.7
RB
Global,
Inc.
...........
(1,116)
(72,073)
18.6
Restaurant
Brands
International,
Inc.
.................
(130)
(9,952)
2.6
(575,253)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
28
Shares
Value
%
of
Basket
Value
Chile
Lundin
Mining
Corp.
.......
(6,171)
$
(55,175)
14.2
%
China
Xinyi
Glass
Holdings
Ltd.
....
(19,000)
(31,618)
8.1
Finland
Stora
Enso
OYJ,
Class
R
....
(2,048)
(25,107)
6.5
France
Air
Liquide
SA
...........
(135)
(24,272)
6.2
Alstom
SA
..............
(353)
(10,809)
2.8
Bollore
SE
..............
(1)
(6)
0.0
(a)
EssilorLuxottica
SA
........
(62)
(12,473)
3.2
Getlink
SE
..............
(6,932)
(121,846)
31.4
LVMH
Moet
Hennessy
Louis
Vuitton
SE
............
(45)
(41,795)
10.8
Remy
Cointreau
SA
........
(327)
(56,132)
14.5
Renault
SA
.............
(1,744)
(76,599)
19.7
Sartorius
Stedim
Biotech
....
(83)
(25,968)
6.7
(369,900)
Germany
Brenntag
SE
............
(141)
(10,939)
2.8
Daimler
Truck
Holding
AG
...
(327)
(12,272)
3.2
Evonik
Industries
AG
.......
(89)
(1,844)
0.5
Merck
KGaA
............
(272)
(47,797)
12.3
RWE
AG
...............
(271)
(11,664)
3.0
Siemens
Energy
AG
.......
(732)
(12,401)
3.2
(96,917)
Hong
Kong
Hang
Seng
Bank
Ltd.
......
(1,400)
(21,400)
5.5
Hong
Kong
&
China
Gas
Co.
Ltd.
................
(116,150)
(99,640)
25.6
MTR
Corp.
Ltd.
...........
(61,339)
(282,668)
72.8
Techtronic
Industries
Co.
Ltd.
.
(3,000)
(34,082)
8.8
Wharf
Real
Estate
Investment
Co.
Ltd.
..............
(24,000)
(128,795)
33.2
(566,585)
Italy
Davide
Campari-Milano
NV
..
(9,569)
(128,692)
33.1
DiaSorin
SpA
............
(764)
(85,715)
22.1
FinecoBank
Banca
Fineco
SpA
(1,923)
(29,859)
7.7
Intesa
Sanpaolo
SpA
.......
(13,464)
(38,933)
10.0
(283,199)
Japan
Azbil
Corp.
..............
(1,300)
(41,022)
10.6
Canon,
Inc.
.............
(700)
(18,092)
4.7
CyberAgent,
Inc.
..........
(4,900)
(30,977)
8.0
Dai
Nippon
Printing
Co.
Ltd.
..
(1,100)
(31,269)
8.1
Daiichi
Sankyo
Co.
Ltd.
.....
(600)
(18,480)
4.8
Fujitsu
Ltd.
..............
(100)
(12,949)
3.3
Hitachi
Construction
Machinery
Co.
Ltd.
..............
(900)
(27,008)
7.0
Ibiden
Co.
Ltd.
...........
(100)
(6,078)
1.6
Japan
Airlines
Co.
Ltd.
......
(600)
(12,990)
3.3
Kawasaki
Kisen
Kaisha
Ltd.
..
(2,500)
(75,387)
19.4
Kintetsu
Group
Holdings
Co.
Ltd.
................
(1,400)
(46,965)
12.1
Koei
Tecmo
Holdings
Co.
Ltd.
.
(3,900)
(66,733)
17.2
Komatsu
Ltd.
............
(3,300)
(92,448)
23.8
Konami
Group
Corp.
.......
(300)
(16,829)
4.3
Kyocera
Corp.
...........
(200)
(10,762)
2.8
Lasertec
Corp.
...........
(100)
(15,138)
3.9
Lixil
Corp.
..............
(3,900)
(49,841)
12.8
Shares
Value
%
of
Basket
Value
Japan
(continued)
MINEBEA
MITSUMI,
Inc.
....
(2,900)
$
(53,716)
13.8
%
Mitsubishi
Heavy
Industries
Ltd.
(500)
(23,722)
6.1
Murata
Manufacturing
Co.
Ltd.
(3,600)
(213,846)
55.1
Nippon
Paint
Holdings
Co.
Ltd.
(2,900)
(26,571)
6.8
Nippon
Telegraph
&
Telephone
Corp.
...............
(49,300)
(56,533)
14.6
Nissan
Motor
Co.
Ltd.
......
(2,300)
(10,132)
2.6
Nomura
Holdings,
Inc.
......
(19,200)
(79,430)
20.5
Oji
Holdings
Corp.
.........
(6,100)
(24,085)
6.2
Oriental
Land
Co.
Ltd.
......
(1,700)
(65,201)
16.8
SBI
Holdings,
Inc.
.........
(600)
(12,670)
3.3
Sekisui
House
Ltd.
........
(1,700)
(34,683)
8.9
Sumitomo
Metal
Mining
Co.
Ltd.
(5,900)
(203,758)
52.5
Takeda
Pharmaceutical
Co.
Ltd.
(2,200)
(67,265)
17.3
Toho
Co.
Ltd.
............
(1,600)
(62,373)
16.1
Toshiba
Corp.
............
(2,800)
(90,401)
23.3
(1,597,354)
Macau
Galaxy
Entertainment
Group
Ltd.
................
(7,000)
(51,097)
13.2
Netherlands
ASM
International
NV
......
(23)
(10,927)
2.8
Heineken
NV
............
(95)
(9,299)
2.4
OCI
NV
................
(245)
(6,982)
1.8
(27,208)
Norway
Orkla
ASA
..............
(2,058)
(16,239)
4.2
Salmar
ASA
.............
(2,372)
(109,583)
28.2
(125,822)
Portugal
Galp
Energia
SGPS
SA
.....
(2,538)
(33,729)
8.7
Singapore
Keppel
Corp.
Ltd.
.........
(6,100)
(33,875)
8.7
Sea
Ltd.,
ADR
...........
(235)
(15,632)
4.0
Singapore
Exchange
Ltd.
....
(3,100)
(22,661)
5.8
(72,168)
Sweden
Atlas
Copco
AB,
Class
A
....
(769)
(10,924)
2.8
Boliden
AB
..............
(351)
(10,323)
2.7
Embracer
Group
AB
.......
(5,255)
(15,083)
3.9
H
&
M
Hennes
&
Mauritz
AB,
Class
B
..............
(590)
(9,924)
2.5
Kinnevik
AB,
Class
B
.......
(172)
(2,347)
0.6
Sagax
AB,
Class
B
........
(1,412)
(31,354)
8.1
(79,955)
Switzerland
ABB
Ltd.
(Registered)
......
(728)
(29,213)
7.5
Adecco
Group
AG
(Registered)
(134)
(5,461)
1.4
BKW
AG
...............
(145)
(25,947)
6.7
Cie
Financiere
Richemont
SA,
Class
A
..............
(67)
(10,789)
2.8
Givaudan
SA
(Registered)
...
(9)
(30,379)
7.8
Temenos
AG
(Registered)
...
(252)
(21,673)
5.6
Zurich
Insurance
Group
AG
..
(34)
(16,439)
4.2
(139,901)
United
Arab
Emirates
NMC
Health
plc
..........
(9,400)
—
0.0
(a)
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
29
Shares
Value
%
of
Basket
Value
United
Kingdom
AstraZeneca
plc
..........
(270)
$
(38,793)
10.0
%
Croda
International
plc
......
(1,079)
(81,695)
21.0
Diageo
plc
..............
(1,212)
(52,894)
13.6
HSBC
Holdings
plc
........
(1,220)
(10,134)
2.6
Imperial
Brands
plc
........
(440)
(10,395)
2.7
Linde
plc
...............
(64)
(25,003)
6.4
M&G
plc
...............
(8,190)
(21,097)
5.4
Phoenix
Group
Holdings
plc
..
(5,961)
(42,115)
10.8
Rentokil
Initial
plc
.........
(29,598)
(241,347)
62.2
Schroders
plc
............
(19,139)
(112,916)
29.1
Spirax-Sarco
Engineering
plc
.
(147)
(20,994)
5.4
Unilever
plc
.............
(336)
(18,054)
4.7
(675,437)
United
States
Abbott
Laboratories
........
(102)
(11,356)
2.9
Amazon.com,
Inc.
.........
(77)
(10,293)
2.7
Amcor
plc
..............
(1,878)
(19,268)
5.0
American
Electric
Power
Co.,
Inc.
.................
(201)
(17,033)
4.4
Amphenol
Corp.,
Class
A
....
(441)
(38,945)
10.0
Analog
Devices,
Inc.
.......
(321)
(64,049)
16.5
Aptiv
plc
...............
(92)
(10,073)
2.6
Arthur
J
Gallagher
&
Co.
....
(176)
(37,805)
9.7
Avery
Dennison
Corp.
......
(225)
(41,402)
10.7
Axon
Enterprise,
Inc.
.......
(10)
(1,859)
0.5
Baker
Hughes
Co.
.........
(937)
(33,535)
8.6
Bentley
Systems,
Inc.,
Class
B
(2,716)
(146,338)
37.7
Bio-Rad
Laboratories,
Inc.,
Class
A
..................
(29)
(11,755)
3.0
Block,
Inc.,
Class
A
........
(131)
(10,549)
2.7
BorgWarner,
Inc.
..........
(448)
(20,832)
5.4
Carlisle
Cos.,
Inc.
.........
(40)
(11,088)
2.9
Chevron
Corp.
...........
(76)
(12,438)
3.2
Cincinnati
Financial
Corp.
....
(91)
(9,790)
2.5
Colgate-Palmolive
Co.
......
(130)
(9,914)
2.6
Corteva,
Inc.
............
(470)
(26,522)
6.8
Coterra
Energy,
Inc.
.......
(448)
(12,338)
3.2
Danaher
Corp.
...........
(191)
(48,716)
12.5
Deere
&
Co.
.............
(25)
(10,740)
2.8
Dow,
Inc.
...............
(1,028)
(58,051)
15.0
Duke
Energy
Corp.
........
(1,905)
(178,346)
45.9
EPAM
Systems,
Inc.
.......
(44)
(10,420)
2.7
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
..............
(52)
(9,360)
2.4
FMC
Corp.
..............
(356)
(34,258)
8.8
Freeport-McMoRan,
Inc.
....
(231)
(10,314)
2.7
Gen
Digital,
Inc.
..........
(9,531)
(185,378)
47.7
Generac
Holdings,
Inc.
.....
(36)
(5,533)
1.4
General
Mills,
Inc.
.........
(767)
(57,326)
14.8
Genuine
Parts
Co.
........
(137)
(21,334)
5.5
Haleon
plc
..............
(898)
(3,876)
1.0
Hilton
Worldwide
Holdings,
Inc.
(210)
(32,653)
8.4
International
Flavors
&
Fragrances,
Inc.
........
(130)
(10,999)
2.8
International
Paper
Co.
.....
(851)
(30,687)
7.9
Jacobs
Solutions,
Inc.
......
(386)
(48,408)
12.5
JPMorgan
Chase
&
Co.
.....
(136)
(21,483)
5.5
Keurig
Dr
Pepper,
Inc.
......
(409)
(13,910)
3.6
Kinder
Morgan,
Inc.
........
(1,962)
(34,747)
8.9
Knight-Swift
Transportation
Holdings,
Inc.
..........
(211)
(12,818)
3.3
Lear
Corp.
..............
(238)
(36,833)
9.5
Lucid
Group,
Inc.
.........
(5,854)
(44,549)
11.5
Masimo
Corp.
............
(263)
(32,165)
8.3
Shares
Value
%
of
Basket
Value
United
States
(continued)
Merck
&
Co.,
Inc.
.........
(1,017)
$
(108,463)
27.9
%
Micron
Technology,
Inc.
.....
(17)
(1,214)
0.3
Moderna,
Inc.
............
(332)
(39,063)
10.1
Monday.com
Ltd.
.........
(144)
(26,032)
6.7
Mondelez
International,
Inc.,
Class
A
..............
(747)
(55,375)
14.3
Mosaic
Co.
(The)
.........
(178)
(7,255)
1.9
Netflix,
Inc.
..............
(25)
(10,974)
2.8
NRG
Energy,
Inc.
.........
(2,279)
(86,579)
22.3
Okta,
Inc.
...............
(394)
(30,283)
7.8
ONEOK,
Inc.
............
(184)
(12,335)
3.2
Oracle
Corp.
............
(86)
(10,082)
2.6
Pool
Corp.
..............
(27)
(10,388)
2.7
Progressive
Corp.
(The)
.....
(367)
(46,235)
11.9
PTC,
Inc.
...............
(81)
(11,811)
3.0
Revvity,
Inc.
.............
(85)
(10,451)
2.7
Roper
Technologies,
Inc.
....
(27)
(13,312)
3.4
Sanofi
.................
(162)
(17,283)
4.5
Schlumberger
NV
.........
(205)
(11,960)
3.1
Seagate
Technology
Holdings
plc
.................
(275)
(17,462)
4.5
Skyworks
Solutions,
Inc.
....
(87)
(9,950)
2.6
Southern
Co.
(The)
........
(3,632)
(262,739)
67.7
Swiss
Re
AG
............
(93)
(9,704)
2.5
Sysco
Corp.
.............
(1,123)
(85,696)
22.1
Thermo
Fisher
Scientific,
Inc.
.
(19)
(10,425)
2.7
T-Mobile
US,
Inc.
.........
(208)
(28,656)
7.4
Tractor
Supply
Co.
........
(92)
(20,607)
5.3
TransUnion
.............
(198)
(15,779)
4.1
Tyson
Foods,
Inc.,
Class
A
...
(1,210)
(67,421)
17.4
Union
Pacific
Corp.
........
(47)
(10,905)
2.8
UnitedHealth
Group,
Inc.
....
(27)
(13,672)
3.5
Vail
Resorts,
Inc.
..........
(144)
(33,911)
8.7
Verizon
Communications,
Inc.
.
(302)
(10,292)
2.6
W
R
Berkley
Corp.
........
(564)
(34,793)
9.0
Walt
Disney
Co.
(The)
......
(289)
(25,689)
6.6
Waste
Management,
Inc.
....
(59)
(9,664)
2.5
Xcel
Energy,
Inc.
..........
(159)
(9,974)
2.6
(2,696,520)
Total
Reference
Entity
—
Short
............
(7,572,662)
Net
Value
of
Reference
Entity
—
Citibank
NA
..
$
(388,248)
The
following
table
represents
the
individual
long
and
short
positions
and
related
values
of
equity
securities
underlying
the
total
return
swap
with
Goldman
Sachs
Bank
USA,
as
of
period
end,
termination
date
August
19,
2026:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Canada
Canadian
Natural
Resources
Ltd.
................
390
23,717
10.2
Canadian
Utilities
Ltd.,
Class
A
2,284
56,881
24.4
Franco-Nevada
Corp.
......
1,002
146,214
62.8
Hydro
One
Ltd.
...........
4,553
128,443
55.1
355,255
China
SITC
International
Holdings
Co.
Ltd.
................
7,000
15,338
6.6
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
30
Shares
Value
%
of
Basket
Value
France
Bureau
Veritas
SA
.........
2,844
$
78,107
33.5
%
Engie
SA
...............
1,810
29,694
12.8
Thales
SA
..............
16
2,393
1.0
110,194
Germany
Deutsche
Bank
AG
(Registered)
167
1,851
0.8
Hong
Kong
CK
Asset
Holdings
Ltd.
.....
28,500
165,046
70.9
CLP
Holdings
Ltd.
.........
3,500
28,529
12.2
Power
Assets
Holdings
Ltd.
..
8,500
44,550
19.1
Swire
Properties
Ltd.
.......
8,000
20,075
8.6
258,200
Ireland
CRH
plc
...............
274
16,322
7.0
Israel
Bank
Leumi
Le-Israel
BM
....
2,876
22,958
9.9
Italy
Mediobanca
Banca
di
Credito
Finanziario
SpA
........
6,664
88,808
38.1
Snam
SpA
..............
25,212
132,534
56.9
221,342
Japan
MISUMI
Group,
Inc.
........
400
7,318
3.1
Mitsubishi
HC
Capital,
Inc.
...
20,300
134,292
57.6
Ricoh
Co.
Ltd.
...........
3,300
29,356
12.6
Sumitomo
Realty
&
Development
Co.
Ltd.
..............
800
21,439
9.2
192,405
Netherlands
Koninklijke
KPN
NV
........
6,582
23,815
10.2
New
Zealand
Spark
New
Zealand
Ltd.
.....
11,740
37,798
16.2
Singapore
Singapore
Telecommunications
Ltd.
................
36,100
72,419
31.1
Switzerland
Kuehne
+
Nagel
International
AG
(Registered)
...........
193
60,389
25.9
United
Kingdom
Auto
Trader
Group
plc
......
496
4,114
1.8
CK
Hutchison
Holdings
Ltd.
..
2,500
15,418
6.6
19,532
United
States
Applied
Materials,
Inc.
......
1,281
194,187
83.4
Cadence
Design
Systems,
Inc.
141
32,995
14.2
Copart,
Inc.
.............
691
61,077
26.2
Dropbox,
Inc.,
Class
A
......
8,884
239,424
102.8
Nordson
Corp.
...........
107
26,922
11.5
NVR,
Inc.
...............
42
264,870
113.7
Sirius
XM
Holdings,
Inc.
.....
4,950
25,245
10.8
Yum!
Brands,
Inc.
.........
512
70,487
30.3
915,207
Total
Reference
Entity
—
Long
............
2,323,025
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Short
Common
Stocks
Australia
Ampol
Ltd.
..............
(619)
$
(13,709)
(5.9)
%
Computershare
Ltd.
........
(3,775)
(63,666)
(27.3)
EBOS
Group
Ltd.
.........
(740)
(17,733)
(7.6)
Lendlease
Corp.
Ltd.
.......
(8,514)
(49,497)
(21.3)
Reece
Ltd.
..............
(2,333)
(30,807)
(13.2)
SEEK
Ltd.
..............
(3,041)
(50,998)
(21.9)
(226,410)
Belgium
D'ieteren
Group
..........
(16)
(2,794)
(1.2)
Canada
Cameco
Corp.
...........
(3,055)
(107,405)
(46.1)
IGM
Financial,
Inc.
........
(2,807)
(87,468)
(37.6)
Ivanhoe
Mines
Ltd.,
Class
A
..
(6,931)
(73,481)
(31.5)
Rogers
Communications,
Inc.,
Class
B
..............
(4,053)
(177,469)
(76.2)
WSP
Global,
Inc.
.........
(272)
(37,469)
(16.1)
(483,292)
China
ESR
Group
Ltd.
..........
(6,200)
(10,872)
(4.7)
Xinyi
Glass
Holdings
Ltd.
....
(12,000)
(19,969)
(8.6)
(30,841)
France
Alstom
SA
..............
(46)
(1,408)
(0.6)
Hong
Kong
Hang
Seng
Bank
Ltd.
......
(800)
(12,229)
(5.2)
New
World
Development
Co.
Ltd.
................
(8,000)
(19,784)
(8.5)
(32,013)
Italy
DiaSorin
SpA
............
(577)
(64,735)
(27.8)
Intesa
Sanpaolo
SpA
.......
(380)
(1,099)
(0.4)
(65,834)
Japan
Canon,
Inc.
.............
(1,200)
(31,015)
(13.3)
FANUC
Corp.
............
(1,700)
(52,007)
(22.3)
Hikari
Tsushin,
Inc.
........
(300)
(44,516)
(19.1)
Kintetsu
Group
Holdings
Co.
Ltd.
................
(1,100)
(36,901)
(15.8)
Nippon
Yusen
KK
.........
(400)
(9,731)
(4.2)
Rakuten
Group,
Inc.
.......
(10,700)
(41,909)
(18.0)
Sharp
Corp.
.............
(1,500)
(8,919)
(3.8)
Tokyu
Corp.
.............
(15,600)
(197,928)
(85.0)
(422,926)
Macau
Sands
China
Ltd.
.........
(10,400)
(40,066)
(17.2)
Netherlands
Argenx
SE
..............
(58)
(29,211)
(12.5)
Norway
Orkla
ASA
..............
(6,739)
(53,176)
(22.8)
Singapore
Capitaland
Investment
Ltd.
...
(19,800)
(50,678)
(21.8)
Singapore
Technologies
Engineering
Ltd.
........
(70,600)
(198,210)
(85.1)
(248,888)
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
31
Shares
Value
%
of
Basket
Value
Switzerland
Bachem
Holding
AG
.......
(8)
$
(739)
(0.3)
%
United
Kingdom
Liberty
Global
plc,
Class
A
...
(3,328)
(61,801)
(26.5)
Smith
&
Nephew
plc
.......
(1,482)
(22,546)
(9.7)
(84,347)
United
States
CyberArk
Software
Ltd.
.....
(202)
(33,534)
(14.4)
Dominion
Energy,
Inc.
......
(109)
(5,837)
(2.5)
Hormel
Foods
Corp.
.......
(946)
(38,672)
(16.6)
NextEra
Energy,
Inc.
.......
(2,026)
(148,506)
(63.8)
NRG
Energy,
Inc.
.........
(251)
(9,535)
(4.1)
Progressive
Corp.
(The)
.....
(618)
(77,856)
(33.4)
Southern
Co.
(The)
........
(119)
(8,608)
(3.7)
Tradeweb
Markets,
Inc.,
Class
A
(262)
(21,429)
(9.2)
Vail
Resorts,
Inc.
..........
(37)
(8,713)
(3.7)
WEC
Energy
Group,
Inc.
....
(172)
(15,456)
(6.6)
(368,146)
Total
Reference
Entity
—
Short
............
(2,090,091)
Net
Value
of
Reference
Entity
—
Goldman
Sachs
Bank
USA
...........................
$
232,934
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
August
10,
2023:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Canada
Canadian
Imperial
Bank
of
Commerce
...........
83
3,656
0.4
Canadian
Utilities
Ltd.,
Class
A
2,759
68,711
6.6
Empire
Co.
Ltd.,
Class
A
....
7,738
210,137
20.2
Manulife
Financial
Corp.
.....
9,962
199,142
19.2
Power
Corp.
of
Canada
.....
528
14,959
1.4
Toromont
Industries
Ltd.
.....
193
16,444
1.6
513,049
South
Korea
HDC
Holdings
Co.
Ltd.
......
1
5
0.0
(a)
Switzerland
Novartis
AG
(Registered)
....
5,023
525,894
50.6
United
States
Fortive
Corp.
............
1
78
0.0
(a)
Total
Reference
Entity
—
Long
............
1,039,026
Reference
Entity
—
Short
Common
Stocks
United
States
Lennar
Corp.,
Class
B
......
(1)
(115)
(0.0)
(b)
Net
Value
of
Reference
Entity
—
JPMorgan
Chase
Bank
NA
............................
$
1,038,911
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
March
15,
2028:
Shares
Value
%
of
Basket
Value
Reference
Entity
—
Long
Common
Stocks
Australia
Cochlear
Ltd.
............
123
$
19,787
(7.5)
%
France
Cie
de
Saint-Gobain
.......
742
50,183
(19.1)
Hermes
International
.......
16
35,412
(13.5)
85,595
Germany
Bayerische
Motoren
Werke
AG
1,298
158,291
(60.2)
Continental
AG
...........
140
11,177
(4.2)
169,468
Ireland
CRH
plc
...............
2,992
178,236
(67.7)
Israel
Check
Point
Software
Technologies
Ltd.
.......
35
4,627
(1.8)
Japan
TDK
Corp.
..............
1,400
53,632
(20.4)
New
Zealand
Spark
New
Zealand
Ltd.
.....
8,384
26,993
(10.3)
Spain
Iberdrola
SA
.............
4,020
50,176
(19.1)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
..
11,000
67,841
(25.8)
United
States
American
International
Group,
Inc.
.................
1,841
110,976
(42.2)
AMETEK,
Inc.
...........
562
89,133
(33.9)
Apple,
Inc.
..............
420
82,509
(31.4)
Archer-Daniels-Midland
Co.
..
87
7,392
(2.8)
Bristol-Myers
Squibb
Co.
....
106
6,592
(2.5)
Cintas
Corp.
.............
6
3,012
(1.1)
Coca-Cola
Co.
(The)
.......
463
28,674
(10.9)
eBay,
Inc.
..............
334
14,866
(5.7)
Edwards
Lifesciences
Corp.
..
578
47,437
(18.0)
VeriSign,
Inc.
............
41
8,649
(3.3)
Yum!
Brands,
Inc.
.........
1,635
225,090
(85.6)
624,330
Total
Reference
Entity
—
Long
............
1,280,685
Reference
Entity
—
Short
Common
Stocks
Australia
IDP
Education
Ltd.
........
(1,012)
(16,959)
6.4
Northern
Star
Resources
Ltd.
.
(1,399)
(10,921)
4.2
Rio
Tinto
plc
.............
(151)
(9,981)
3.8
Westpac
Banking
Corp.
.....
(1)
(15)
0.0
(a)
(37,876)
Canada
GFL
Environmental,
Inc.
.....
(1,277)
(43,608)
16.6
IGM
Financial,
Inc.
........
(1,347)
(41,973)
15.9
Ivanhoe
Mines
Ltd.,
Class
A
..
(5,984)
(63,441)
24.1
Nuvei
Corp.
.............
(469)
(15,994)
6.1
Rogers
Communications,
Inc.,
Class
B
..............
(1,905)
(83,415)
31.7
(248,431)
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
32
Shares
Value
%
of
Basket
Value
Chile
Lundin
Mining
Corp.
.......
(1,732)
$
(15,486)
5.9
%
China
Xinyi
Glass
Holdings
Ltd.
....
(21,000)
(34,946)
13.3
Finland
Neste
OYJ
..............
(637)
(23,451)
8.9
France
Vivendi
SE
..............
(1,373)
(12,259)
4.7
Germany
RWE
AG
...............
(317)
(13,643)
5.2
Siemens
Energy
AG
.......
(633)
(10,724)
4.1
(24,367)
Italy
DiaSorin
SpA
............
(229)
(25,692)
9.8
Japan
JSR
Corp.
..............
(800)
(22,949)
8.7
Kao
Corp.
..............
(600)
(22,795)
8.7
Kintetsu
Group
Holdings
Co.
Ltd.
................
(900)
(30,192)
11.5
Oji
Holdings
Corp.
.........
(6,600)
(26,059)
9.9
Sharp
Corp.
.............
(11,500)
(68,381)
26.0
(170,376)
Netherlands
Ferrovial
SE
.............
(3,842)
(127,320)
48.4
Norway
Gjensidige
Forsikring
ASA
...
(3,104)
(49,001)
18.6
Singapore
Capitaland
Investment
Ltd.
...
(29,100)
(74,481)
28.3
Singapore
Technologies
Engineering
Ltd.
........
(32,200)
(90,402)
34.4
(164,883)
United
Kingdom
Ashtead
Group
plc
........
(187)
(13,835)
5.3
Vodafone
Group
plc
........
(23,878)
(22,714)
8.6
(36,549)
Shares
Value
%
of
Basket
Value
United
States
Arthur
J
Gallagher
&
Co.
....
(87)
$
(18,688)
7.1
%
Charter
Communications,
Inc.,
Class
A
..............
(25)
(10,130)
3.8
Conagra
Brands,
Inc.
.......
(567)
(18,603)
7.1
CSL
Ltd.
...............
(122)
(21,974)
8.3
Danaher
Corp.
...........
(72)
(18,364)
7.0
Dow,
Inc.
...............
(180)
(10,165)
3.9
General
Mills,
Inc.
.........
(213)
(15,920)
6.0
Genuine
Parts
Co.
........
(71)
(11,056)
4.2
Hormel
Foods
Corp.
.......
(2,221)
(90,794)
34.5
IDEX
Corp.
.............
(70)
(15,807)
6.0
International
Flavors
&
Fragrances,
Inc.
........
(137)
(11,592)
4.4
JPMorgan
Chase
&
Co.
.....
(111)
(17,534)
6.7
Kellogg
Co.
.............
(149)
(9,967)
3.8
Keurig
Dr
Pepper,
Inc.
......
(651)
(22,140)
8.4
Laboratory
Corp.
of
America
Holdings
.............
(52)
(11,124)
4.2
Lucid
Group,
Inc.
.........
(6,007)
(45,713)
17.4
Marriott
International,
Inc.,
Class
A
..................
(55)
(11,100)
4.2
Mondelez
International,
Inc.,
Class
A
..............
(444)
(32,914)
12.5
Newmont
Corp.
..........
(317)
(13,606)
5.2
Packaging
Corp.
of
America
..
(115)
(17,635)
6.7
Regeneron
Pharmaceuticals,
Inc.
.................
(24)
(17,806)
6.8
Southwest
Airlines
Co.
......
(663)
(22,648)
8.6
Target
Corp.
.............
(53)
(7,233)
2.7
Thermo
Fisher
Scientific,
Inc.
.
(19)
(10,424)
4.0
Toro
Co.
(The)
...........
(161)
(16,366)
6.2
UnitedHealth
Group,
Inc.
....
(58)
(29,369)
11.2
Walt
Disney
Co.
(The)
......
(117)
(10,400)
4.0
Waste
Management,
Inc.
....
(143)
(23,422)
8.9
Xcel
Energy,
Inc.
..........
(170)
(10,664)
4.1
(573,158)
Total
Reference
Entity
—
Short
............
(1,543,795)
Net
Value
of
Reference
Entity
—
Merrill
Lynch
International
&
Co.
.....................
$
(263,110)
(a)
Rounds
to
less
than
0.1%.
(b)
Amount
is
greater
than
(0.1)%.
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)
..........................................................
$
11,931
$
(1,212)
$
91,829
$
—
OTC
Swaps
...................................................................
—
—
38,838
(218,281)
(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.
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
33
Derivative
Financial
Instruments
Categorized
by
Risk
Exposure
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)
......
$
227,189
$
—
$
634,679
$
—
$
48,764
$
—
$
910,632
Forward
foreign
currency
exchange
contracts
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
......................
—
—
—
2,872,016
—
—
2,872,016
Swaps
—
centrally
cleared
Unrealized
appreciation
on
centrally
cleared
swaps
(a)
.
—
91,829
—
—
—
—
91,829
Swaps
—
OTC
Unrealized
appreciation
on
OTC
swaps;
Swap
premiums
paid
................................
—
—
38,838
—
—
—
38,838
$
227,189
$
91,829
$
673,517
$
2,872,016
$
48,764
$
—
$
3,913,315
Liabilities
—
Derivative
Financial
Instruments
Futures
contracts
Unrealized
depreciation
on
futures
contracts
(a)
......
$
217,029
$
—
$
50,164
$
—
$
4,108
$
—
$
271,301
Forward
foreign
currency
exchange
contracts
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
......................
—
—
—
2,220,599
—
—
2,220,599
Swaps
—
OTC
Unrealized
depreciation
on
OTC
swaps;
Swap
premiums
received
.............................
—
—
218,281
—
—
—
218,281
$
217,029
$
—
$
268,445
$
2,220,599
$
4,108
$
—
$
2,710,181
(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).
For
the
period
ended
July
31,
2023,
the
effect
of
derivative
financial
instruments
in
the
Consolidated
Statement
of
Operations
was
as
follows:
Commodity
Contracts
Credit
Contracts
Equity
Contracts
Foreign
Currency
Exchange
Contracts
Interest
Rate
Contracts
Other
Contracts
Total
Net
Realized
Gain
(Loss)
from
Futures
contracts
.......................
$
3,095,652
$
—
$
8,603,994
$
—
$
(1,395,021)
$
—
$
10,304,625
Forward
foreign
currency
exchange
contracts
....
—
—
—
7,187,305
—
—
7,187,305
Options
purchased
(a)
.....................
—
—
—
—
125,714
—
125,714
Options
written
........................
—
—
—
—
(129,936)
—
(129,936)
Swaps
..............................
—
134,911
9,794,844
—
709,076
—
10,638,831
$
3,095,652
$
134,911
$
18,398,838
$
7,187,305
$
(690,167)
$
—
$
28,126,539
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Futures
contracts
.......................
$
(543,478)
$
—
$
(1,511,715)
$
—
$
94,983
$
—
$
(1,960,210)
Forward
foreign
currency
exchange
contracts
....
—
—
—
(286,932)
—
—
(286,932)
Options
purchased
(b)
.....................
—
—
—
—
115,771
—
115,771
Swaps
..............................
—
998,349
(3,473,455)
—
—
—
(2,475,106)
$
(543,478)
$
998,349
$
(4,985,170)
$
(286,932)
$
210,754
$
—
$
(4,606,477)
(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.
2023
BlackRock
Annual
Report
to
Shareholders
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
34
For
more
information
about
the
Fund’s
investment
risks
regarding
derivative
financial
instruments,
refer
to
the
Notes
to
Consolidated
Financial
Statements.
Derivative
Financial
Instruments
—
Offsetting
as
of
Period
End
Average
Quarterly
Balances
of
Outstanding
Derivative
Financial
Instruments
Futures
contracts
Average
notional
value
of
contracts
—
long
..................................................................................
$
135,555,209
Average
notional
value
of
contracts
—
short
.................................................................................
$
106,353,361
Forward
foreign
currency
exchange
contracts
Average
amounts
purchased
—
in
USD
....................................................................................
$
252,436,553
Average
amounts
sold
—
in
USD
........................................................................................
$
213,330,125
Options
Average
notional
value
of
swaption
contracts
purchased
.........................................................................
$
11,886,612
Average
notional
value
of
swaption
contracts
written
...........................................................................
$
4,808,628
Credit
default
swaps
Average
notional
value
—
sell
protection
...................................................................................
$
10,363,234
Interest
rate
swaps
Average
notional
value
—
pays
fixed
rate
...................................................................................
$
—
(a)
Total
return
swaps
Average
notional
value
...............................................................................................
$
315,204,551
(a)
Derivative
financial
instrument
not
held
at
any
quarter-end.
The
risk
exposure
table
serves
as
an
indicator
of
activity
during
the
period.
The
Fund's
derivative
assets
and
liabilities
(by
type)
were
as
follows:
Assets
Liabilities
Derivative
Financial
Instru
ments
$
3,095,652
Futures
contracts
....................................................................................
$
125,868
$
59,410
Forward
foreign
currency
exchange
contracts
.................................................................
2,872,016
2,220,599
Swaps
—
centrally
cleared
..............................................................................
6,303
—
Swaps
—
OTC
(a)
.....................................................................................
38,838
218,281
Total
derivative
assets
and
liabilities
in
the
Consolidated
Statement
of
Assets
and
Liabilities
....................................
$
3,043,025
$
2,498,290
Derivatives
not
subject
to
a
Master
Netting
Agreement
or
similar
agreement
("MNA")
........................................
(132,171)
(59,410)
Total
derivative
assets
and
liabilities
subject
to
an
MNA
............................................................
$
2,910,854
$
2,438,880
(a)
Includes
unrealized
appreciation
(depreciation)
on
OTC
swaps
and
swap
premiums
(paid/received)
in
the
Consolidated
Statement
of
Assets
and
Liabilities.
The
following
tables
present
the
Fund's
derivative
assets
and
liabilities
by
counterparty
net
of
amounts
available
for
offset
under
an
MNA
and
net
of
the
related
collateral
received
and
pledged
by
the
Fund:
Counterparty
Derivative
Assets
Subject
to
an
MNA
by
Counterparty
Derivatives
Available
for
Offset
(a)
Non-cash
Collateral
Received
Cash
Collateral
Received
(b)
Net
Amount
of
Derivative
Assets
(c)(d)
Bank
of
America
NA
..............................
$
33,348
$
—
$
—
$
—
$
33,348
Barclays
Bank
plc
................................
28,915
(28,915)
—
—
—
BNP
Paribas
SA
.................................
91,776
(91,776)
—
—
—
Citibank
NA
....................................
17,729
(17,729)
—
—
—
Deutsche
Bank
AG
...............................
319,011
(204)
—
—
318,807
Goldman
Sachs
International
........................
6,207
(6,207)
—
—
—
HSBC
Bank
plc
..................................
223,164
(60,539)
—
—
162,625
JPMorgan
Chase
Bank
NA
..........................
1,186,154
(1,186,154)
—
—
—
JPMorgan
Chase
Bank
NA
(e)
.........................
999,870
(601,871)
—
(397,999)
—
Toronto
Dominion
Bank
............................
587
(587)
—
—
—
UBS
AG
......................................
3,879
(3,879)
—
—
—
Westpac
Banking
Corp.
............................
214
—
—
—
214
$
2,910,854
$
(1,997,861)
$
—
$
(397,999)
$
514,994
Consolidated
Schedule
of
Investments
(continued)
July
31,
2023
BlackRock
Total
Factor
Fund
Consolidated
Schedule
of
Investments
35
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.
See
notes
to
consolidated
financial
statements.
Counterparty
Derivative
Liabilities
Subject
to
an
MNA
by
Counterparty
Derivatives
Available
for
Offset
(a)
Non-cash
Collateral
Pledged
Cash
Collateral
Pledged
(b)
Net
Amount
of
Derivative
Liabilities
(c)(f)
Barclays
Bank
plc
................................
$
78,240
$
(28,915)
$
—
$
—
$
49,325
BNP
Paribas
SA
.................................
192,930
(91,776)
—
—
101,154
Citibank
NA
....................................
84,463
(17,729)
—
—
66,734
Deutsche
Bank
AG
...............................
204
(204)
—
—
—
Goldman
Sachs
Bank
USA
..........................
13,931
—
—
—
13,931
Goldman
Sachs
International
........................
72,538
(6,207)
—
—
66,331
HSBC
Bank
plc
..................................
60,539
(60,539)
—
—
—
JPMorgan
Chase
Bank
NA
..........................
1,218,811
(1,186,154)
—
—
32,657
JPMorgan
Chase
Bank
NA
(e)
.........................
601,871
(601,871)
—
—
—
Merrill
Lynch
International
&
Co.
......................
47,091
—
—
(22,727)
24,364
Morgan
Stanley
&
Co.
International
plc
(e)
.................
47,871
—
—
—
47,871
Toronto
Dominion
Bank
............................
16,240
(587)
—
—
15,653
UBS
AG
......................................
4,151
(3,879)
—
—
272
$
2,438,880
$
(1,997,861)
$
—
$
(22,727)
$
418,292
(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/pledged,
if
any,
from
the
individual
counterparty
is
not
shown
for
financial
reporting
purposes.
(c)
Net
amount
may
also
include
forward
foreign
currency
exchange
contracts
that
are
not
required
to
be
collateralized.
(d)
Net
amount
represents
the
net
amount
receivable
from
the
counterparty
in
the
event
of
default.
(e)
Represents
derivatives
owned
by
the
BlackRock
Cayman
Strategic
Risk
Allocation
Fund,
Ltd.,
a
wholly-owned
subsidiary
of
the
Fund.
See
Note
1
of
the
Notes
to
Consolidated
Financial
Statements.
(f)
Net
amount
represents
the
net
amount
payable
due
to
the
counterparty
in
the
event
of
default.
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Foreign
Government
Obligations
..............................
$
—
$
5,810,720
$
—
$
5,810,720
U.S.
Treasury
Obligations
...................................
—
4,161,056
—
4,161,056
Short-Term
Securities
Money
Market
Funds
......................................
12,192,722
—
—
12,192,722
$
12,192,722
$
9,971,776
$
—
$
22,164,498
Derivative
Financial
Instruments
(a)
Assets
Commodity
contracts
.......................................
$
227,189
$
—
$
—
$
227,189
Credit
contracts
...........................................
—
91,829
—
91,829
Equity
contracts
...........................................
2,303
671,214
—
673,517
Foreign
currency
exchange
contracts
............................
—
2,872,016
—
2,872,016
Interest
rate
contracts
.......................................
48,764
—
—
48,764
Liabilities
Commodity
contracts
.......................................
(217,029)
—
—
(217,029)
Equity
contracts
...........................................
(18,320)
(250,125)
—
(268,445)
Foreign
currency
exchange
contracts
............................
—
(2,220,599)
—
(2,220,599)
Interest
rate
contracts
.......................................
(4,108)
—
—
(4,108)
$
38,799
$
1,164,335
$
—
$
1,203,134
(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,
2023
2023
BlackRock
Annual
Report
to
Shareholders
36
See
notes
to
consolidated
financial
statements.
BlackRock
Total
Factor
Fund
ASSETS
Investments,
at
value
—
unaffiliated
(a)
........................................................................................
$
9,971,776
Investments,
at
value
—
affiliated
(b)
..........................................................................................
12,192,722
Cash
.............................................................................................................
1,067,172
Cash
pledged:
–
Collateral
—
OTC
derivatives
............................................................................................
3,136,000
Futures
contracts
....................................................................................................
1,718,000
Centrally
cleared
swaps
................................................................................................
177,000
Foreign
currency,
at
value
(c)
...............................................................................................
1,897,357
Receivables:
–
Swaps
..........................................................................................................
278,002
Capital
shares
sold
...................................................................................................
89,326
Dividends
—
affiliated
.................................................................................................
47,541
Interest
—
unaffiliated
.................................................................................................
15,517
From
the
Manager
...................................................................................................
47,763
Variation
margin
on
futures
contracts
.......................................................................................
125,868
Variation
margin
on
centrally
cleared
swaps
..................................................................................
6,303
Unrealized
appreciation
on:
–
Forward
foreign
currency
exchange
contracts
.................................................................................
2,872,016
OTC
swaps
........................................................................................................
38,838
Prepaid
expenses
.....................................................................................................
77,704
Total
assets
.........................................................................................................
33,758,905
LIABILITIES
Due
to
broker
........................................................................................................
51,561
Cash
received:
–
Collateral
—
OTC
derivatives
............................................................................................
515,323
Payables:
–
Swaps
..........................................................................................................
22,022
Accounting
services
fees
...............................................................................................
141,206
Administration
fees
...................................................................................................
3,373
Capital
shares
redeemed
...............................................................................................
83,084
Investment
advisory
fees
..............................................................................................
6,470
Trustees'
and
Officer's
fees
.............................................................................................
2,049
Other
affiliate
fees
...................................................................................................
5
Professional
fees
....................................................................................................
74,405
Service
and
distribution
fees
.............................................................................................
648
Transfer
agent
fees
..................................................................................................
43,920
Variation
margin
on
futures
contracts
.......................................................................................
59,410
Other
accrued
expenses
...............................................................................................
33,235
Unrealized
depreciation
on:
–
Forward
foreign
currency
exchange
contracts
.................................................................................
2,220,599
OTC
swaps
........................................................................................................
218,281
Total
liabilities
........................................................................................................
3,475,591
Commitments
and
contingent
liabilities
$
–
NET
ASSETS
........................................................................................................
$
30,283,314
NET
ASSETS
CONSIST
OF:
Paid-in
capital
........................................................................................................
$
44,129,946
Accumulated
loss
.....................................................................................................
(13,846,632)
NET
ASSETS
........................................................................................................
$
30,283,314
(a)
Investments,
at
cost
—
unaffiliated
........................................................................................
$
10,275,966
(b)
Investments,
at
cost
—
affiliated
..........................................................................................
$
12,192,722
(c)
Foreign
currency,
at
cost
...............................................................................................
$
1,919,816
Consolidated
Statement
of
Assets
and
Liabilities
(continued)
July
31,
2023
37
Consolidated
Financial
Statements
See
notes
to
consolidated
financial
statements.
BlackRock
Total
Factor
Fund
NET
ASSET
VALUE
Institutional
Net
assets
.........................................................................................................
$
19,676,635
Shares
outstanding
..................................................................................................
2,155,428
Net
asset
value
.....................................................................................................
$
9.13
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Investor
A
Net
assets
.........................................................................................................
$
2,542,665
Shares
outstanding
..................................................................................................
281,125
Net
asset
value
.....................................................................................................
$
9.04
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Investor
C
Net
assets
.........................................................................................................
$
183,524
Shares
outstanding
..................................................................................................
20,762
Net
asset
value
.....................................................................................................
$
8.84
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Class
K
Net
assets
.........................................................................................................
$
7,880,490
Shares
outstanding
..................................................................................................
861,443
Net
asset
value
.....................................................................................................
$
9.15
Shares
authorized
...................................................................................................
Unlimited
Par
value
.........................................................................................................
$
0.001
Consolidated
Statement
of
Operations
Year
Ended
July
31,
2023
2023
BlackRock
Annual
Report
to
Shareholders
38
See
notes
to
consolidated
financial
statements.
BlackRock
Total
Factor
Fund
INVESTMENT
INCOME
Dividends
—
affiliated
.................................................................................................
$
1,180,259
Interest
—
unaffiliated
.................................................................................................
5,403,882
Total
investment
income
.................................................................................................
6,584,141
EXPENSES
Investment
advisory
..................................................................................................
896,659
Accounting
services
..................................................................................................
317,524
Transfer
agent
—
class
specific
..........................................................................................
203,745
Registration
.......................................................................................................
203,010
Professional
.......................................................................................................
102,737
Administration
.....................................................................................................
76,216
Printing
and
postage
.................................................................................................
40,173
Administration
—
class
specific
..........................................................................................
35,866
Custodian
.........................................................................................................
32,814
Service
and
distribution
—
class
specific
....................................................................................
11,469
Trustees
and
Officer
..................................................................................................
8,862
Miscellaneous
......................................................................................................
68,279
Total
expenses
.......................................................................................................
1,997,354
Less:
–
Administration
fees
waived
.............................................................................................
(3,350)
Administration
fees
waived
by
the
Manager
—
class
specific
.......................................................................
(35,610)
Fees
waived
and/or
reimbursed
by
the
Manager
...............................................................................
(847,630)
Transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
—
class
specific
..........................................................
(121,372)
Total
expenses
after
fees
waived
and/or
reimbursed
..............................................................................
989,392
Net
investment
income
..................................................................................................
5,594,749
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
$
15,526,852
Net
realized
gain
(loss)
from:
$
–
Investments
—
unaffiliated
...........................................................................................
(14,973,807)
Forward
foreign
currency
exchange
contracts
...............................................................................
7,187,305
Foreign
currency
transactions
.........................................................................................
6,222
Futures
contracts
..................................................................................................
10,304,625
Options
written
...................................................................................................
(129,936)
Swaps
.........................................................................................................
10,638,831
A
13,033,240
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investments
—
unaffiliated
...........................................................................................
7,234,403
Forward
foreign
currency
exchange
contracts
...............................................................................
(286,932)
Foreign
currency
translations
..........................................................................................
(18,543)
Futures
contracts
..................................................................................................
(1,960,210)
Swaps
.........................................................................................................
(2,475,106)
A
2,493,612
Net
realized
and
unrealized
gain
...........................................................................................
15,526,852
NET
INCREASE
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
..................................................................
$
21,121,601
Consolidated
Statements
of
Changes
in
Net
Assets
39
Consolidated
Financial
Statements
See
notes
to
consolidated
financial
statements.
BlackRock
Total
Factor
Fund
Year
Ended
07/31/23
Year
Ended
07/31/22
INCREASE
(DECREASE)
IN
NET
ASSETS
OPERATIONS
Net
investment
income
..............................................................................
$
5,594,749
$
2,067,511
Net
realized
gain
(loss)
..............................................................................
13,033,240
(3,031,084
)
Net
change
in
unrealized
appreciation
(depreciation)
..........................................................
2,493,612
(11,016,537
)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
.....................................................
21,121,601
(11,980,110
)
DISTRIBUTIONS
TO
SHAREHOLDERS
(a)
Institutional
.....................................................................................
(14,262,774
)
(7,362,432
)
Investor
A
......................................................................................
(324,840
)
(245,216
)
Investor
C
......................................................................................
(11,536
)
(6,344
)
Class
K
.......................................................................................
(1,105,293
)
(1,467,551
)
Decrease
in
net
assets
resulting
from
distributions
to
shareholders
...................................................
(15,704,443
)
(9,081,543
)
CAPITAL
SHARE
TRANSACTIONS
Net
increase
(decrease)
in
net
assets
derived
from
capital
share
transactions
...........................................
(195,470,794
)
27,256,860
NET
ASSETS
Total
increase
(decrease)
in
net
assets
.....................................................................
(190,053,636
)
6,195,207
Beginning
of
year
....................................................................................
220,336,950
214,141,743
End
of
year
........................................................................................
$
30,283,314
$
220,336,950
(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)
2023
BlackRock
Annual
Report
to
Shareholders
40
BlackRock
Total
Factor
Fund
Institutional
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
............................
$
8.71
$
9.51
$
8.78
$
10.50
$
10.18
Net
investment
income
(loss)
(a)
..............................
0.26
0.08
(0.02
)
0.09
0.16
Net
realized
and
unrealized
gain
(loss)
.........................
0.87
(0.51
)
0.75
(1.51
)
0.44
Net
increase
(decrease)
from
investment
operations
.................
1.13
(0.43
)
0.73
(1.42
)
0.60
Distributions
(b)
–
–
–
–
–
From
net
investment
income
...............................
(0.71
)
(0.37
)
—
(0.01
)
(0.24
)
From
net
realized
gain
....................................
—
—
—
(0.29
)
(0.04
)
Total
distributions
........................................
(0.71
)
(0.37
)
—
(0.30
)
(0.28
)
Net
asset
value,
end
of
year
................................
$
9.13
$
8.71
$
9.51
$
8.78
$
10.50
Total
Return
(c)
—
—
—
—
—
Based
on
net
asset
value
...................................
14.24
%
(4.85
)%
8.31
%
(13.93
)%
6.10
%
Ratios
to
Average
Net
Assets
(d)
Total
expenses
..........................................
1.11
%
1.02
%
0.96
%
0.84
%
1.29
%
Total
expenses
after
fees
waived
and/or
reimbursed
.................
0.55
%
0.55
%
0.55
%
0.55
%
0.55
%
Net
investment
income
(loss)
................................
3.13
%
0.90
%
(0.19
)%
0.97
%
1.55
%
Supplemental
Data
Net
assets,
end
of
year
(000)
.................................
$
19,677
$
178,571
$
176,703
$
265,507
$
206,351
Portfolio
turnover
rate
......................................
66
%
(e)
101
%
49
%
166
%
74
%
(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.
(e)
Excludes
underlying
investments
in
total
return
swaps.
See
notes
to
consolidated
financial
statements.
Consolidated
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
41
Consolidated
Financial
Highlights
BlackRock
Total
Factor
Fund
Investor
A
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
.............................
$
8.62
$
9.44
$
8.74
$
10.46
$
10.15
Net
investment
income
(loss)
(a)
...............................
0.24
0.05
(0.04
)
0.07
0.13
Net
realized
and
unrealized
gain
(loss)
..........................
0.86
(0.51
)
0.74
(1.50
)
0.44
Net
increase
(decrease)
from
investment
operations
..................
1.10
(0.46
)
0.70
(1.43
)
0.57
Distributions
(b)
–
–
–
–
–
From
net
investment
income
................................
(0.68
)
(0.36
)
—
(0.00
)
(c)
(0.22
)
From
net
realized
gain
.....................................
—
—
—
(0.29
)
(0.04
)
Total
distributions
.........................................
(0.68
)
(0.36
)
—
(0.29
)
(0.26
)
Net
asset
value,
end
of
year
.................................
$
9.04
$
8.62
$
9.44
$
8.74
$
10.46
Total
Return
(d)
—
—
—
—
—
Based
on
net
asset
value
....................................
13.99
%
(5.20
)%
8.01
%
(14.07
)%
5.80
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................................
1.49
%
1.35
%
1.31
%
1.22
%
1.65
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
0.80
%
0.80
%
0.80
%
0.80
%
0.80
%
Net
investment
income
(loss)
.................................
2.87
%
0.59
%
(0.46
)%
0.73
%
1.28
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
2,543
$
5,144
$
5,892
$
6,916
$
7,423
Portfolio
turnover
rate
.......................................
66
%
(f)
101
%
49
%
166
%
74
%
(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.
(f)
Excludes
underlying
investments
in
total
return
swaps.
See
notes
to
consolidated
financial
statements.
Consolidated
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
2023
BlackRock
Annual
Report
to
Shareholders
42
BlackRock
Total
Factor
Fund
Investor
C
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
.............................
$
8.44
$
9.28
$
8.66
$
10.40
$
10.08
Net
investment
income
(loss)
(a)
...............................
0.18
(0.01
)
(0.10
)
(0.01
)
0.04
Net
realized
and
unrealized
gain
(loss)
..........................
0.84
(0.50
)
0.72
(1.48
)
0.44
Net
increase
(decrease)
from
investment
operations
..................
1.02
(0.51
)
0.62
(1.49
)
0.48
Distributions
(b)
–
–
–
–
–
From
net
investment
income
................................
(0.62
)
(0.33
)
—
(0.00
)
(c)
(0.12
)
From
net
realized
gain
.....................................
—
—
—
(0.25
)
(0.04
)
Total
distributions
.........................................
(0.62
)
(0.33
)
—
(0.25
)
(0.16
)
Net
asset
value,
end
of
year
.................................
$
8.84
$
8.44
$
9.28
$
8.66
$
10.40
Total
Return
(d)
—
—
—
—
—
Based
on
net
asset
value
....................................
13.20
%
(5.88
)%
7.16
%
(14.68
)%
4.95
%
Ratios
to
Average
Net
Assets
(e)
Total
expenses
...........................................
2.42
%
2.22
%
2.08
%
1.92
%
2.47
%
Total
expenses
after
fees
waived
and/or
reimbursed
..................
1.53
%
1.54
%
1.54
%
1.55
%
1.55
%
Net
investment
income
(loss)
.................................
2.23
%
(0.16
)%
(1.19
)%
(0.06
)%
0.41
%
Supplemental
Data
Net
assets,
end
of
year
(000)
..................................
$
184
$
154
$
221
$
304
$
608
Portfolio
turnover
rate
.......................................
66
%
(f)
101
%
49
%
166
%
74
%
(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.
(f)
Excludes
underlying
investments
in
total
return
swaps.
See
notes
to
consolidated
financial
statements.
Consolidated
Financial
Highlights
(continued)
(For
a
share
outstanding
throughout
each
period)
43
Consolidated
Financial
Highlights
BlackRock
Total
Factor
Fund
Class
K
Year
Ended
07/31/23
Year
Ended
07/31/22
Year
Ended
07/31/21
Year
Ended
07/31/20
Year
Ended
07/31/19
Net
asset
value,
beginning
of
year
............................
$
8.72
$
9.52
$
8.79
$
10.51
$
10.18
Net
investment
income
(loss)
(a)
..............................
0.26
0.09
(0.02
)
0.10
0.14
Net
realized
and
unrealized
gain
(loss)
.........................
0.89
(0.52
)
0.75
(1.52
)
0.47
Net
increase
(decrease)
from
investment
operations
.................
1.15
(0.43
)
0.73
(1.42
)
0.61
Distributions
(b)
–
–
–
–
–
From
net
investment
income
...............................
(0.72
)
(0.37
)
—
(0.01
)
(0.24
)
From
net
realized
gain
....................................
—
—
—
(0.29
)
(0.04
)
Total
distributions
........................................
(0.72
)
(0.37
)
—
(0.30
)
(0.28
)
Net
asset
value,
end
of
year
................................
$
9.15
$
8.72
$
9.52
$
8.79
$
10.51
Total
Return
(c)
—
—
—
—
—
Based
on
net
asset
value
...................................
14.39
%
(4.83
)%
8.30
%
(13.89
)%
6.23
%
Ratios
to
Average
Net
Assets
(d)
Total
expenses
..........................................
1.07
%
0.92
%
0.87
%
0.77
%
1.29
%
Total
expenses
after
fees
waived
and/or
reimbursed
.................
0.50
%
0.50
%
0.50
%
0.50
%
0.50
%
Net
investment
income
(loss)
................................
3.12
%
0.98
%
(0.18
)%
1.08
%
1.43
%
Supplemental
Data
Net
assets,
end
of
year
(000)
.................................
$
7,880
$
36,468
$
31,325
$
29,458
$
18,383
Portfolio
turnover
rate
......................................
66
%
(e)
101
%
49
%
166
%
74
%
(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.
(e)
Excludes
underlying
investments
in
total
return
swaps.
See
notes
to
consolidated
financial
statements.
Notes
to
Consolidated
Financial
Statements
2023
BlackRock
Annual
Report
to
Shareholders
44
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.
On
May
23,
2023,
the
Board
of
Trustees
approved
a
proposal
to
close
the
Fund
to
new
and
subsequent
investments
and
thereafter
to
liquidate
the
Fund.
On
September
22,
2023,
the
Fund
will
no
longer
accept
orders
from
new
investors
or
existing
shareholders
to
purchase
Fund
shares.
On
or
about
September
29,
2023
(the
“Liquidation
Date”),
all
of
the
assets
of
the
Fund
will
be
liquidated
completely.
The
Fund,
together
with
certain
other
registered
investment
companies
advised
by
BlackRock
Advisors,
LLC
(the
“Manager”) or
its
affiliates,
is
included
in
a
complex
of
funds
referred
to
as
the BlackRock
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.
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
$
1,047,583
,
which
is
3.5
%
of
the
Fund's
consolidated
net
assets.
Intercompany
accounts
and
transactions,
if
any,
have
been
eliminated.
The
Cayman
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.
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)
45
Notes
to
Consolidated
Financial
Statements
Net
income
and
realized
gains
from
investments
held
by
the
Cayman
Subsidiary
are
treated
as
ordinary
income
for
tax
purposes. If
a
net
loss
is
realized
by
the Cayman
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.
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
Board
of
Trustees
of
the
Trust
(the
“Board”)
has
approved
the
designation
of
the
Fund’s
Manager
as
the
valuation
designee
for
the
Fund.
The
Fund
determines
the
fair
values
of
its
financial
instruments
using
various
independent
dealers
or
pricing
services
under
the
Manager’s
policies.
If
a
security’s
market
price
is
not
readily
available
or
does
not
otherwise
accurately
represent
the
fair
value
of
the
security,
the
security
will
be
valued
in
accordance
with
the
Manager’s
policies
and
procedures
as
reflecting
fair
value.
The
Manager
has
formed
a
committee
(the
“Valuation
Committee”)
to
develop
pricing
policies
and
procedures
and
to
oversee
the
pricing
function
for
all
financial
instruments,
with
assistance
from
other
BlackRock
pricing
committees.
Fair
Value
Inputs
and
Methodologies:
The
following
methods
and
inputs
are
used
to
establish
the
fair
value
of
the
Fund’s
assets
and
liabilities:
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.
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
Valuation
Committee
in
accordance
with the
Manager's policies
and
procedures
as
reflecting
fair
value
(“Fair
Valued
Investments”).
The
fair
valuation
approaches
that
may
be
used
by
the
Valuation
Committee include
market
approach,
income
approach
and
cost
approach.
Valuation
techniques
such
as
discounted
cash
flow,
use
of
market
comparables
and
matrix
pricing
are
types
of
valuation
approaches
and
are
typically
used
in
determining
fair
value.
When
determining
the
price
for
Fair
Valued
Investments,
the
Valuation
Committee
seeks
to
determine
the
price
that
the
Fund
might
reasonably
expect
to
receive
or
pay
from
the
current
sale
or
purchase
of
that
asset
or
liability
in
an
arm’s-length
transaction.
Fair
value
determinations
shall
be
based
upon
all
available
factors
that
the
Valuation
Committee
deems
relevant
and
consistent
with
the
principles
of
fair
value
measurement.
Fair
Value
Hierarchy:
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
These
inputs
to
valuation
techniques
are
categorized
into
a
fair
value
hierarchy
consisting
of
three
broad
levels
for
financial reporting purposes
as
follows:
Level
1
—
Unadjusted
price
quotations
in
active
markets/exchanges
for
identical
assets
or
liabilities
that
the
Fund
has
the
ability
to
access;
Level
2
—
Other
observable
inputs
(including,
but
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
loss
severities,
credit
risks
and
default
rates)
or
other
market–corroborated
inputs);
and
Notes
to
Consolidated
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
46
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
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
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.
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.
Notes
to
Consolidated
Financial
Statements
(continued)
47
Notes
to
Consolidated
Financial
Statements
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
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.
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,
Notes
to
Consolidated
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
48
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.
Interest
rate
swaps
—
Interest
rate
swaps
are
entered
into
to
gain
or
reduce
exposure
to
interest
rates
or
to
manage
duration,
the
yield
curve
or
interest
rate
(interest
rate
risk).
Interest
rate
swaps
are
agreements
in
which
one
party
pays
a
stream
of
interest
payments,
either
fixed
or
floating,
in
exchange
for
another
party’s
stream
of
interest
payments,
either
fixed
or
floating,
on
the
same
notional
amount
for
a
specified
period
of
time.
In
more
complex
interest
rate
swaps,
the
notional
principal
amount
may
decline
(or
amortize)
over
time.
Swap
transactions
involve,
to
varying
degrees,
elements
of
interest
rate,
credit
and
market
risks
in
excess
of
the
amounts
recognized
in
the
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(s)
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
Cayman
Subsidiary.
The
Manager
does
not
receive
separate
compensation
from
the
Cayman
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
Cayman Subsidiary.
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)
49
Notes
to
Consolidated
Financial
Statements
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.
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,
2023,
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,
2023,
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,
2023,
the
Fund
paid
the
following
amounts
to
affiliates
of
BlackRock
in
return
for
these
services,
which
are
included
in
transfer
agent
—
class
specific
in
the
Consolidated
Statement
of
Operations:
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,
2023,
the
Fund
reimbursed
the
Manager
the
following
amounts
for
costs
incurred
in
running
the
call
center,
which
are
included
in
transfer
agent
—
class
specific
in
the
Consolidated
Statement
of
Operations:
For
the
year ended
July
31,
2023,
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,
2023
,
affiliates
earned
underwriting
discounts,
direct
commissions
and
dealer
concessions
on
sales
of
the Fund's
Investor
A
Shares for
a
total
of
$260
.
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,
2024.
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,
2023,
the
amount
waived
was
$21,913.
Share
Class
Service
Fees
Distribution
Fees
Investor
A
.................................................................................................
0.25%
—%
Investor
C
.................................................................................................
0.25
0.75
Share
Class
Service
and
Distribution
Fees
Investor
A
........................................................................................................
$
9,937
Investor
C
........................................................................................................
1,532
$
11,469
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
..........................................
$
31,755
$
795
$
30
$
3,286
$
35,866
Institutional
.............................................................................................................
$
2,307
Investor
A
..............................................................................................................
1
,
846
Institutional
Investor
A
Investor
C
Class
K
Total
Reimbursed
Amount
....................................................
$
2
10
$
23
8
$
1
$
13
4
$
5
83
Institutional
Investor
A
Investor
C
Class
K
Total
Transfer
agent
fees
-
class
specific
..........................................
$
194,186
$
6,842
$
398
$
2,319
$
203,745
Notes
to
Consolidated
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
50
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,
2024.
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,
2023,
there
were
no
fees
waived
and/or
reimbursed
by
the
Manager
pursuant
to
this
arrangement.
The
Manager
contractually
agreed
to
waive
and/or
reimburse
fees
or
expenses
in
order
to
limit
expenses,
excluding
interest
expense,
dividend
expense,
tax
expense,
acquired
fund
fees
and
expenses,
and
certain
other
fund
expenses,
which
constitute
extraordinary
expenses
not
incurred
in
the
ordinary
course
of
the
Fund’s
business
(“expense
limitation”).
The
expense
limitations
as
a
percentage
of
average
daily
net
assets
are
as
follows:
The
Manager
has
agreed
not
to
reduce
or
discontinue
the
contractual
expense
limitations
through
June
30,
2024,
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,
2023,
the
Manager
waived
and/or
reimbursed
investment
advisory
fees
of
$825,717 which
is
included
in
fees
waived
and/or
reimbursed
by
the
Manager
in
the
Consolidated
Statement
of
Operations.
The
Fund
also
had
a
waiver
of
administration
fees,
which
are
included
in
Administration
fees
waived
in
the
Consolidated
Statement
of
Operations.
For
the
year
ended
July
31,
2023,
the
amount
was
$3,350.
In
addition,
these
amounts
waived
and/or
reimbursed
by
the
Manager are
included
in administration
fees
waived
by
the
Manager
—
class
specific
and
transfer
agent
fees
waived
and/or
reimbursed
by
the
Manager
—
class
specific,
respectively,
in
the
Consolidated
Statement
of
Operations.
For
the
year ended
July
31,
2023,
class
specific
expense
waivers
and/or
reimbursements are as
follows:
Interfund
Lending:
In
accordance
with
an
exemptive
order
(the
“Order”)
from
the
U.S.
Securities
and
Exchange
Commission
("SEC"),
the
Fund
may
participate
in
a
joint
lending
and
borrowing
facility
for
temporary
purposes
(the
“Interfund
Lending
Program”),
subject
to
compliance
with
the
terms
and
conditions
of
the
Order,
and
to
the
extent
permitted
by
the
Fund’s
investment
policies
and
restrictions.
The
Fund
is
currently
permitted
to
borrow
and
lend
under
the
Interfund
Lending
Program.
A
lending
BlackRock
fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
fund
through
the
Interfund
Lending
Program.
A
borrowing
BlackRock
fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets
(or
any
lower
threshold
provided
for
by
the fund’s
investment
restrictions).
If
a
borrowing
BlackRock
fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
each
of
its
outstanding
interfund
loans
will
be
subject
to
collateralization
of
at
least
102%
of
the
outstanding
principal
value
of
the
loan.
All
interfund
loans
are
for
temporary
or
emergency
purposes
and
the
interest
rate
to
be
charged
will
be
the
average
of
the
highest
current
overnight
repurchase
agreement
rate
available
to
a
lending
fund
and
the
bank
loan
rate,
as
calculated
according
to
a
formula
established
by
the
Board.
During the
year
ended
July
31,
2023,
the
Fund
did
not
participate
in
the
Interfund
Lending
Program.
Trustees
and
Officers:
Certain
trustees
and/or
officers
of
the Trust are directors and/or
officers
of BlackRock
or
its
affiliates.
The
Fund
reimburses
the
Manager
for
a
portion
of
the
compensation
paid
to
the
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,
2023,
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%
Share
Class
Administration
Fees
Waived
by
the
Manager
-
Class
Specific
Transfer
Agent
Fees
Waived
and/or
Reimbursed
by
the
Manager
-
Class
Specific
Institutional
....................................................................................
$
31,518
$
113,
767
Investor
A
.....................................................................................
792
4,981
Investor
C
.....................................................................................
30
340
Class
K
......................................................................................
3,270
2,284
$
35,610
$
121,
372
U.S.
Government
Securities
Other
Securities
Fund
Name
Purchases
Sales
Purchases
Sales
BlackRock
Total
Factor
Fund
..............................................
$
32,852,932
$
85,036,875
$
5,928,330
$
20,774,940
Notes
to
Consolidated
Financial
Statements
(continued)
51
Notes
to
Consolidated
Financial
Statements
Management
has
analyzed
tax
laws
and
regulations
and
their
application
to
the Fund
as
of
July
31,
2023,
inclusive
of
the
open
tax
return
years,
and
does
not
believe
that
there
are
any
uncertain
tax
positions
that
require
recognition
of
a
tax
liability
in
the
Fund’s
consolidated
financial
statements.
The
tax
character
of
distributions
paid
was
as
follows:
As
of
July
31,
2023,
the
tax
components
of
accumulated earnings
(loss) were
as
follows:
(a)
Amounts
available
to
offset
future
realized
capital
gains.
(b)
The
difference
between
book-basis
and
tax-basis
net
unrealized
gains
(losses)
was
attributable
primarily
to
the
tax
deferral
of
losses
on
wash
sales
and
straddles,
the
realization
for
tax
purposes
of
unrealized
gains
(losses)
on
certain
futures
and
foreign
currency
exchange
contracts
and
the
accounting
for
swap
agreements.
As
of
July
31,
2023, gross
unrealized
appreciation
and
depreciation
based
on
cost
of
investments
(including
short
positions
and
derivatives,
if
any)
for
U.S.
federal
income
tax
purposes
were
as
follows:
9.
BANK
BORROWINGS
The
Trust,
on
behalf
of
the
Fund,
along
with
certain
other
funds
managed
by
the
Manager
and
its
affiliates
(“Participating
Funds”), is
party
to
a
364-day,
$2.50
billion
credit
agreement
with
a
group
of
lenders.
Under
this
agreement,
the
Fund
may
borrow
to
fund
shareholder
redemptions.
Excluding
commitments
designated
for
certain
individual
funds,
the
Participating
Funds,
including
the
Fund,
can
borrow
up
to
an
aggregate
commitment
amount
of
$1.75
billion
at
any
time
outstanding,
subject
to
asset
coverage
and
other
limitations
as
specified
in
the
agreement.
The
credit
agreement
has
the
following
terms:
a
fee
of
0.10%
per
annum
on
unused
commitment
amounts
and
interest
at
a
rate
equal
to
the
higher
of
(a)
Overnight
Bank
Funding
Rate
(“OBFR”)
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.80%
per
annum,
(b)
the
Fed
Funds
rate
(but,
in
any
event,
not
less
than
0.00%)
in
effect
from
time
to
time
plus
0.80%
per
annum
on
amounts
borrowed
or
(c)
the
sum
of
(x)
Daily
Simple
Secured
Overnight
Financing
Rate
(“SOFR”)
(but,
in
any
event,
not
less
than
0.00%)
on
the
date
the
loan
is
made
plus
0.10%
and
(y)
0.80%
per
annum. The
agreement
expires
in
April
2024
unless
extended
or
renewed. These
fees
were
allocated
among
such
funds
based
upon
portions
of
the
aggregate
commitment
available
to
them
and
relative
net
assets
of
Participating
Funds.
During
the
year ended
July
31,
2023,
the
Fund
did
not
borrow
under
the
credit
agreement.
10.
PRINCIPAL
RISKS
In
the
normal
course
of
business,
the
Fund
invests
in
securities
or
other
instruments
and
may
enter
into
certain
transactions,
and
such
activities
subject
the
Fund
to
various
risks,
including
among
others,
fluctuations
in
the
market
(market
risk)
or
failure
of
an
issuer
to
meet
all
of
its
obligations.
The
value
of
securities
or
other
instruments
may
also
be
affected
by
various
factors,
including,
without
limitation:
(i)
the
general
economy;
(ii)
the
overall
market
as
well
as
local,
regional
or
global
political
and/or
social
instability;
(iii)
regulation,
taxation
or
international
tax
treaties
between
various
countries;
or
(iv)
currency,
interest
rate
and
price
fluctuations.
Local,
regional
or
global
events
such
as
war,
acts
of
terrorism,
the
spread
of
infectious
illness
or
other
public
health
issues,
recessions,
or
other
events
could
have
a
significant
impact
on
the
Fund
and its
investments.
The
Fund’s
prospectus
provides
details
of
the
risks
to
which
the
Fund
is
subject.
Market Risk:
The
Fund
may
be
exposed
to
prepayment
risk,
which
is
the
risk
that
borrowers
may
exercise
their
option
to
prepay
principal
earlier
than
scheduled
during
periods
of
declining
interest
rates,
which
would
force
the
Fund
to
reinvest
in
lower
yielding
securities. The
Fund
may
also
be
exposed
to
reinvestment
risk,
which
is
the
risk
that
income
from
the
Fund’s
portfolio
will
decline
if
the Fund
invests
the
proceeds
from
matured,
traded
or
called
fixed-income
securities
at
market
interest
rates
that
are
below
the
Fund
portfolio’s
current
earnings
rate.
Infectious
Illness
Risk:
An
outbreak
of
an
infectious
illness,
such
as
the
COVID-19
pandemic,
may
adversely
impact
the
economies
of
many
nations
and
the
global
economy,
and
may
impact
individual
issuers
and
capital
markets
in
ways
that
cannot
be
foreseen.
An
infectious
illness
outbreak
may
result
in,
among
other
things,
closed
international
borders,
prolonged
quarantines,
supply
chain
disruptions,
market
volatility
or
disruptions
and
other
significant
economic,
social
and
political
impacts.
Valuation
Risk:
The
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
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.
Fund
Name
Year
Ended
07/31/23
Year
Ended
07/31/22
BlackRock
Total
Factor
Fund
Ordinary
income
...........................................................................................
$
15,704,443
$
9,081,543
Fund
Name
Undistributed
Ordinary
Income
Non-Expiring
Capital
Loss
Carryforwards
(a)
Net
Unrealized
Gains
(Losses)
(b)
Total
BlackRock
Total
Factor
Fund
...............................................
$
12,140,518
$
(25,869,584)
$
(117,566)
$
(13,846,632)
Fund
Name
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Appreciation
(Depreciation)
BlackRock
Total
Factor
Fund
.........................................
$
23,274,855
$
3,200,177
$
(3,201,266)
$
(1,089)
Notes
to
Consolidated
Financial
Statements
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
52
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.
Geographic/Asset
Class
Risk:
A
diversified
portfolio,
where
this
is appropriate
and
consistent
with
a
fund’s
objectives,
minimizes
the
risk
that
a
price
change
of
a
particular
investment
will
have
a
material
impact
on
the
NAV
of
a
fund.
The
investment
concentrations
within
the
Fund’s
portfolio
are
disclosed
in
its Consolidated
Schedule
of
Investments.
The
Fund
invests
a
significant
portion
of
its
assets
in
securities
of
issuers
located
in
the
United
States.
A
decrease
in
imports
or
exports,
changes
in
trade
regulations,
inflation
and/or
an
economic
recession
in
the
United
States
may
have
a
material
adverse
effect
on
the
U.S.
economy
and
the
securities
listed
on
U.S.
exchanges.
Proposed
and
adopted
policy
and
legislative
changes
in
the
United
States
may
also
have
a
significant
effect
on
U.S.
markets
generally,
as
well
as
on
the
value
of
certain
securities.
Governmental
agencies
project
that
the
United
States
will
continue
to
maintain
elevated
public
debt
levels
for
the
foreseeable
future
which
may
constrain
future
economic
growth.
Circumstances
could
arise
that
could
prevent
the
timely
payment
of
interest
or
principal
on
U.S.
government
debt,
such
as
reaching
the
legislative
“debt
ceiling.”
Such
non-payment
would
result
in
substantial
negative
consequences
for
the
U.S.
economy
and
the
global
financial
system.
If
U.S.
relations
with
certain
countries
deteriorate,
it
could
adversely
affect
issuers
that
rely
on
the
United
States
for
trade.
The
United
States
has
also
experienced
increased
internal
unrest
and
discord.
If
these
trends
were
to
continue,
they
may
have
an
adverse
impact
on
the
U.S.
economy
and
the
issuers
in
which
the
Fund
invests.
The
Fund
invests
a
significant
portion
of
its
assets
in fixed-income securities and/or uses
derivatives tied
to
the
fixed-income
markets.
Changes
in
market
interest
rates
or
economic
conditions
may affect
the
value
and/or
liquidity
of
such investments.
Interest
rate
risk
is
the
risk
that
prices
of
bonds
and
other
fixed-income
securities
will
decrease
as
interest
rates
rise
and
increase
as
interest
rates
fall.
The
Fund(s) may
be
subject
to
a
greater
risk
of
rising
interest
rates
due
to
the period
of
historically
low
interest
rates
that
ended
in
March
2022. The
Federal
Reserve
has
recently been
raising the
federal
funds
rate
as
part
of
its
efforts
to
address
inflation.
There
is
a
risk
that
interest
rates
will
continue
to
rise,
which
will
likely
drive
down
the
prices
of
bonds
and
other
fixed-income
securities,
and
could
negatively
impact
the
Fund’s
performance.
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.
Notes
to
Consolidated
Financial
Statements
(continued)
53
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
the
following
items
were
noted:
The
Fund
paid
ordinary
income
distributions
in
the
following
amounts
per
share
on
September
19,
2023
to
the
shareholders
of
record
on
September
15,
2023.
Year
Ended
07/31/23
Year
Ended
07/31/22
Fund
Name/Share
Class
Shares
Amount
Shares
Amount
BlackRock
Total
Factor
Fund
Institutional
Shares
sold
.............................................
9,810,661
$
81,905,892
5,265,156
$
49,078,579
Shares
issued
in
reinvestment
of
distributions
........................
1,780,609
14,253,035
764,492
7,323,832
Shares
redeemed
.........................................
(29,947,138)
(260,515,760)
(4,099,381)
(37,425,622)
(18,355,868)
$
(164,356,833)
1,930,267
$
18,976,789
Investor
A
Shares
sold
and
automatic
conversion
of
shares
......................
121,570
$
1,043,088
147,294
$
1,375,036
Shares
issued
in
reinvestment
of
distributions
........................
40,568
322,212
25,609
243,546
Shares
redeemed
.........................................
(477,471)
(4,076,498)
(200,729)
(1,826,725)
(315,333)
$
(2,711,198)
(27,826)
$
(208,143)
Investor
C
Shares
sold
.............................................
3,341
$
28,156
1,080
$
10,000
Shares
issued
in
reinvestment
of
distributions
........................
1,479
11,536
679
6,344
Shares
redeemed
and
automatic
conversion
of
shares
..................
(2,261)
(18,113)
(7,355)
(67,843)
2,559
$
21,579
(5,596)
$
(51,499)
Class
K
Shares
sold
.............................................
156,419
$
1,298,267
1,491,397
$
14,103,314
Shares
issued
in
reinvestment
of
distributions
........................
24,990
200,492
42,109
404,248
Shares
redeemed
.........................................
(3,502,303)
(29,923,101)
(641,135)
(5,967,849)
(3,320,894)
$
(28,424,342)
892,371
$
8,539,713
(21,989,536)
$
(195,470,794)
2,789,216
$
27,256,860
Share
Class
Ordinary
Income
Institutional
.......................................................................................................
$
5.638455
Investor
A
........................................................................................................
5.625615
Investor
C
........................................................................................................
5.581189
Class
K
.........................................................................................................
5.663327
Report
of
Independent
Registered
Public
Accounting
Firm
2023
BlackRock
Annual
Report
to
Shareholders
54
To
the
Board
of
Trustees
of
BlackRock
Funds
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,
referred
to
hereafter
as
the
"Fund")
as
of
July
31,
2023,
the
related
consolidated
statement
of
operations
for
the
year
ended
July
31,
2023,
the
consolidated
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
July
31,
2023,
including
the
related
notes,
and
the
consolidated
financial
highlights
for
each
of
the
five
years
in
the
period
ended
July
31,
2023
(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,
2023,
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,
2023
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
July
31,
2023
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,
2023
by
correspondence
with
the
custodian,
transfer
agent
and
brokers.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
/s/PricewaterhouseCoopers
LLP
Philadelphia,
Pennsylvania
September
26,
2023
We
have
served
as
the
auditor
of
one
or
more
BlackRock
investment
companies
since
2000.
Important
Tax
Information
(unaudited)
55
Important
Tax
Information
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
of
distributions
from
direct
federal
obligation
interest
for
the
fiscal
year
ended
July
31,
2023:
The
law
varies
in
each
state
as
to
whether
and
what
percent
of
ordinary
income
dividends
attributable
to
federal
obligations
is
exempt
from
state
income
tax.
Shareholders
are
advised
to
check
with
their
tax
advisers
to
determine
if
any
portion
of
the
dividends
received
is
exempt
from
state
income
tax.
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest
income
eligible
to
be
treated
as
a
Section
163(j)
interest
dividend
for
the
fiscal
year
ended
July
31,
2023:
The
Fund
hereby
designates
the
following
amount,
or
maximum
amount
allowable
by
law,
as
interest-related
dividends
eligible
for
exemption
from
U.S.
withholding
tax
for
nonresident
aliens
and
foreign
corporations
for
the
fiscal
year
ended
July
31,
2023:
Fund
Name
Federal
Obligation
Interest
BlackRock
Total
Factor
Fund
...........................................................................................
$
2,408,735
Fund
Name
Interest
Dividends
BlackRock
Total
Factor
Fund
...........................................................................................
$
6,187,265
Fund
Name
Interest-Related
Dividends
BlackRock
Total
Factor
Fund
...........................................................................................
$
3,281,411
Disclosure
of
Investment
Advisory
Agreement
and
Sub-Advisory
Agreement
2023
BlackRock
Annual
Report
to
Shareholders
56
The
Board
of
Trustees
(the
“Board,”
the
members
of
which
are
referred
to
as
“Board
Members”)
of
BlackRock
Funds
(the
“Trust”)
met
on
April
18,
2023
(the
“April
Meeting”)
and
May
23-24,
2023
(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
of
which
extended
over
a
two-day
period,
as
well
as
additional
ad
hoc
meetings
and
executive
sessions
throughout
the
year,
as
needed.
The
committees
of
the
Board
similarly
met
throughout
the
year.
The
Board
also
had
an
additional
one-day
meeting
to
consider
specific
information
regarding
the
renewal
of
the
Agreements.
In
considering
the
renewal
of
the
Agreements,
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
are
continuously
engaged
in
a
process
with
their
independent
legal
counsel
and
BlackRock
to
review
the
nature
and
scope
of
the
information
provided
to
the
Board
to
better
assist
its
deliberations.
The
materials
provided
in
connection
with
the
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)
57
Disclosure
of
Investment
Advisory
Agreement
and
Sub-Advisory
Agreement
A.
Nature,
Extent
and
Quality
of
the
Services
Provided
by
BlackRock
The
Board,
including
the
Independent
Board
Members,
reviewed
the
nature,
extent
and
quality
of
services
provided
by
BlackRock,
including
the
investment
advisory
services,
and
the
resulting
performance
of
the
Fund.
Throughout
the
year,
the
Board
compared
Fund
performance
to
the
performance
of
a
comparable
group
of
mutual
funds,
relevant
benchmarks,
and
performance
metrics,
as
applicable.
The
Board
met
with
BlackRock’s
senior
management
personnel
responsible
for
investment
activities,
including
the
senior
investment
officers.
The
Board
also
reviewed
the
materials
provided
by
the
Fund’s
portfolio
management
team
discussing
the
Fund’s
performance,
investment
strategies
and
outlook.
The
Board
considered,
among
other
factors,
with
respect
to
BlackRock:
the
experience
of
investment
personnel
generally
and
the
Fund’s
portfolio
management
team;
research
capabilities;
investments
by
portfolio
managers
in
the
funds
they
manage;
portfolio
trading
capabilities;
use
of
technology;
commitment
to
compliance;
credit
analysis
capabilities;
risk
analysis
and
oversight
capabilities;
and
the
approach
to
training
and
retaining
portfolio
managers
and
other
research,
advisory
and
management
personnel.
The
Board
also
considered
BlackRock’s
overall
risk
management
program,
including
the
continued
efforts
of
BlackRock
and
its
affiliates
to
address
cybersecurity
risks
and
the
role
of
BlackRock’s
Risk
&
Quantitative
Analysis
Group.
The
Board
engaged
in
a
review
of
BlackRock’s
compensation
structure
with
respect
to
the
Fund’s
portfolio
management
team
and
BlackRock’s
ability
to
attract
and
retain
high-quality
talent
and
create
performance
incentives.
In
addition
to
investment
advisory
services,
the
Board
considered
the
nature
and
quality
of
the
administrative
and
other
non-investment
advisory
services
provided
to
the
Fund.
BlackRock
and
its
affiliates
provide
the
Fund
with
certain
administrative,
shareholder
and
other
services
(in
addition
to
any
such
services
provided
to
the
Fund
by
third
parties)
and
officers
and
other
personnel
as
are
necessary
for
the
operations
of
the
Fund.
In
particular,
BlackRock
and
its
affiliates
provide
the
Fund
with
administrative
services
including,
among
others:
(i)
responsibility
for
disclosure
documents,
such
as
the
prospectus,
the
summary
prospectus
(as
applicable),
the
statement
of
additional
information
and
periodic
shareholder
reports;
(ii)
oversight
of
daily
accounting
and
pricing;
(iii)
responsibility
for
periodic
filings
with
regulators;
(iv)
overseeing
and
coordinating
the
activities
of
third-party
service
providers
including,
among
others,
the
Fund's
custodian,
fund
accountant,
transfer
agent,
and
auditor;
(v)
organizing
Board
meetings
and
preparing
the
materials
for
such
Board
meetings;
(vi)
providing
legal
and
compliance
support;
(vii)
furnishing
analytical
and
other
support
to
assist
the
Board
in
its
consideration
of
strategic
issues
such
as
the
merger,
consolidation
or
repurposing
of
certain
open-end
funds;
and
(viii)
performing
or
managing
administrative
functions
necessary
for
the
operation
of
the
Fund,
such
as
tax
reporting,
expense
management,
fulfilling
regulatory
filing
requirements,
overseeing
the
Fund’s
distribution
partners,
and
shareholder
call
center
and
other
services.
The
Board
reviewed
the
structure
and
duties
of
BlackRock’s
fund
administration,
shareholder
services,
and
legal
and
compliance
departments
and
considered
BlackRock’s
policies
and
procedures
for
assuring
compliance
with
applicable
laws
and
regulations.
The
Board
considered
the
operation
of
BlackRock’s
business
continuity
plans.
The
Board
noted
that
the
engagement
of
the
Sub-Advisor
with
respect
to
the
Fund
facilitates
the
provision
of
investment
advice
and
trading
by
investment
personnel
out
of
non-U.S.
jurisdictions.
The
Board
considered
that
this
arrangement
provides
additional
flexibility
to
the
portfolio
management
team,
which
may
benefit
the
Fund
and
its
shareholders.
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,
2022,
as
compared
to
its
Performance
Peers.
Broadridge
ranks
funds
in
quartiles,
ranging
from
first
to
fourth,
where
first
is
the
most
desirable
quartile
position
and
fourth
is
the
least
desirable.
In
connection
with
its
review,
the
Board
received
and
reviewed
information
regarding
the
investment
performance
of
the
Fund
as
compared
to
its
Performance
Peers
and,
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
each
of
the
one-,
three-
and
five-year
periods
reported,
the
Fund
underperformed
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
that
the
fee
and
expense
information
in
the
Broadridge
report
for
the
Fund
reflected
information
for
a
specific
period
and
that
historical
asset
levels
and
expenses
may
differ
from
current
levels,
particularly
in
a
period
of
market
volatility.
The
Board
considered
the
services
provided
and
the
fees
charged
by
BlackRock
and
its
affiliates
to
other
types
of
clients
with
similar
investment
mandates,
as
applicable,
including
institutional
accounts
and
sub-advised
mutual
funds
(including
mutual
funds
sponsored
by
third
parties).
Disclosure
of
Investment
Advisory
Agreement
and
Sub-Advisory
Agreement
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
58
The
Board
received
and
reviewed
statements
relating
to
BlackRock’s
financial
condition.
The
Board
reviewed
BlackRock’s
profitability
methodology
and
was
also
provided
with
an
estimated
profitability
analysis
that
detailed
the
revenues
earned
and
the
expenses
incurred
by
BlackRock
for
services
provided
to
the
Fund.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
the
Fund
and
other
funds
the
Board
currently
oversees
for
the
year
ended
December
31,
2022
compared
to
available
aggregate
estimated
profitability
data
provided
for
the
prior
two
years.
The
Board
reviewed
BlackRock’s
estimated
profitability
with
respect
to
certain
other
U.S.
fund
complexes
managed
by
the
Manager
and/or
its
affiliates.
The
Board
reviewed
BlackRock’s
assumptions
and
methodology
of
allocating
expenses
in
the
estimated
profitability
analysis,
noting
the
inherent
limitations
in
allocating
costs
among
various
advisory
products.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
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
and
resources,
assumption
of
risk,
and
liability
profile
in
servicing
the
Fund,
including
in
contrast
to
what
is
required
of
BlackRock
with
respect
to
other
products
with
similar
investment
mandates
across
the
open-end
fund,
ETF,
closed-end
fund,
sub-advised
mutual
fund,
separately
managed
account,
collective
investment
trust,
and
institutional
separate
account
product
channels,
as
applicable.
The
Board
noted
that
the
Fund’s
contractual
management
fee
rate
ranked
in
the
first
quartile,
and
that
the
actual
management
fee
rate
and
total
expense
ratio
each
ranked
in
the
first
quartile
relative
to
the
Fund’s
Expense
Peers.
The
Board
also
noted
that
the
Fund
has
an
advisory
fee
arrangement
that
includes
breakpoints
that
adjust
the
fee
rate
downward
as
the
size
of
the
Fund
increases
above
certain
contractually
specified
levels.
The
Board
additionally
noted
that
the
breakpoints
can,
conversely,
adjust
the
advisory
fee
rate
upward
as
the
size
of
the
Fund
decreases
below
certain
contractually
specified
levels.
The
Board
further
noted
that
BlackRock
and
the
Board
have
contractually
agreed
to
a
cap
on
the
Fund’s
total
expenses
as
a
percentage
of
the
Fund’s
average
daily
net
assets
on
a
class-by-class
basis.
D.
Economies
of
Scale
The
Board,
including
the
Independent
Board
Members,
considered
the
extent
to
which
economies
of
scale
might
be
realized
as
the
assets
of
the
Fund
increase,
including
the
existence
of
fee
waivers
and/or
expense
caps,
as
applicable,
noting
that
any
contractual
fee
waivers
and
contractual
expense
caps
had
been
approved
by
the
Board.
In
its
consideration,
the
Board
further
considered
the
continuation
and/or
implementation
of
fee
waivers
and/or
expense
caps,
as
applicable.
The
Board
also
considered
the
extent
to
which
the
Fund
benefits
from
such
economies
of
scale
in
a
variety
of
ways,
and
whether
there
should
be
changes
in
the
advisory
fee
rate
or
breakpoint
structure
in
order
to
enable
the
Fund
to
more
fully
participate
in
these
economies
of
scale.
The
Board
considered
the
Fund’s
asset
levels
and
whether
the
current
fee
schedule
was
appropriate.
E.
Other
Factors
Deemed
Relevant
by
the
Board
Members
The
Board,
including
the
Independent
Board
Members,
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
BlackRock
or
its
affiliates
may
derive
from
BlackRock’s
respective
relationships
with
the
Fund,
both
tangible
and
intangible,
such
as
BlackRock’s
ability
to
leverage
its
investment
professionals
who
manage
other
portfolios
and
its
risk
management
personnel,
an
increase
in
BlackRock’s
profile
in
the
investment
advisory
community,
and
the
engagement
of
BlackRock’s
affiliates
as
service
providers
to
the
Fund,
including
for
administrative,
distribution,
securities
lending
and
cash
management
services.
With
respect
to
securities
lending,
during
the
year
the
Board
also
considered
information
provided
by
independent
third-party
consultants
related
to
the
performance
of
each
BlackRock
affiliate
as
securities
lending
agent.
The
Board
also
considered
BlackRock’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
improve
the
quality
of,
its
operations.
The
Board
also
noted
that,
subject
to
applicable
law,
BlackRock
may
use
and
benefit
from
third-party
research
obtained
by
soft
dollars
generated
by
certain
registered
fund
transactions
to
assist
in
managing
all
or
a
number
of
its
other
client
accounts.
In
connection
with
its
consideration
of
the
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,
in
a
continuation
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,
2024,
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,
2024.
Based
upon
its
evaluation
of
all
of
the
aforementioned
factors
in
their
totality,
as
well
as
other
information,
the
Board,
including
the
Independent
Board
Members,
was
satisfied
that
the
terms
of
the
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
advised
by
independent
legal
counsel
throughout
the
deliberative
process.
Trustee
and
Officer
Information
59
Trustee
and
Officer
Information
Independent
Trustees
(a)
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
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
5
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
169
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
from
2018
to
2022;
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;
Member
of
the
President's
Counsel,
Commonfund
since
2023.
28
RICs
consisting
of
169
Portfolios
None
Collette
Chilton
1958
Trustee
(Since
2015)
Chief
Investment
Officer,
Williams
College
from
2006
to
2023;
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
169
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
169
Portfolios
None
Lena
G.
Goldberg
1949
Trustee
(Since
2019)
Director,
Pioneer
Legal
Institute
since
2023;
Director,
Charles
Stark
Draper
Laboratory,
Inc.
from
2013
to
2021;
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
169
Portfolios
None
Henry
R.
Keizer
1956
Trustee
(Since
2019)
Director,
Park
Indemnity
Ltd.
(captive
insurer)
from
2010
to
2022.
28
RICs
consisting
of
169
Portfolios
GrafTech
International
Ltd.
(materials
manufacturing);
Sealed
Air
Corp.
(packaging);
WABCO
(commercial
vehicle
safety
systems)
from
2015
to
2020;
Hertz
Global
Holdings
(car
rental)
from
2015
to
2021.
Cynthia
A.
Montgomery
1952
Trustee
(Since
2007)
Professor,
Harvard
Business
School
since
1989.
28
RICs
consisting
of
169
Portfolios
None
Trustee
and
Officer
Information
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
60
Name
Year
of
Birth
(b)
Position(s)
Held
(Length
of
Service)
(c)
Principal
Occupation(s)
During
Past
5
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
5
Years
Donald
C.
Opatrny
1952
Trustee
(Since
2019)
Chair
of
the
Board
of
Phoenix
Art
Museum
since
2022
and
Trustee
thereof
since
2018;
Chair
of
the
Investment
Committee
of
The
Arizona
Community
Foundation
since
2022
and
Trustee
thereof
since
2020;
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;
Member
of
Affordable
Housing
Supply
Board
of
Jackson,
Wyoming
since
2017;
Member,
Investment
Funds
Committee,
State
of
Wyoming
since
2017;
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.
28
RICs
consisting
of
169
Portfolios
None
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
2001,
Emeritus
since
2022;
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
169
Portfolios
None
Claire
A.
Walton
1957
Trustee
(Since
2016)
Advisory
Board
Member,
Grossman
School
of
Business
at
the
University
of
Vermont
since
2023;
Advisory
Board
Member,
Scientific
Financial
Systems
since
2022;
General
Partner
of
Neon
Liberty
Capital
Management,
LLC
since
2003;
Chief
Operating
Officer
and
Chief
Financial
Officer
of
Liberty
Square
Asset
Management,
LP
from
1998
to
2015;
Director,
Boston
Hedge
Fund
Group
from
2009
to
2018;
Director,
Massachusetts
Council
on
Economic
Education
from
2013
to
2015;
Director,
Woodstock
Ski
Runners
from
2013
to
2022.
28
RICs
consisting
of
169
Portfolios
None
Independent
Trustees
(a)
(continued)
Trustee
and
Officer
Information
(continued)
61
Trustee
and
Officer
Information
Interested
Trustees
(a)(d)
(a)
The
address
of
each
Trustee
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(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;
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
5
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
5
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.
98
RICs
consisting
of
273
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.
100
RICs
consisting
of
275
Portfolios
None
Trustee
and
Officer
Information
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
62
Officers
Who
Are
Not
Trustees
(a)
(a)
The
address
of
each
Officer
is
c/o
BlackRock,
Inc.,
50
Hudson
Yards,
New
York,
New
York
10001.
(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
5
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;
Co-Head
of
BlackRock
Solutions'
Portfolio
Analytics
Group;
previously
Mr.
Villacorta
was
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.
Aaron
Wasserman
1974
Chief
Compliance
Officer
(Since
2023)
Managing
Director
of
BlackRock,
Inc.
since
2018;
Chief
Compliance
Officer
of
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-Income
Complex
and
the
iShares
Complex
since
2023;
Deputy
Chief
Compliance
Officer
for
the
BlackRock-advised
funds
in
the
BlackRock
Multi-Asset
Complex,
the
BlackRock
Fixed-
Income
Complex
and
the
iShares
Complex
from
2014
to
2023.
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,
2022,
Joseph
P.
Platt
retired
as
a
Trustee
of
the
Trust.
Effective
July
1,
2023,
Aaron
Wasserman
replaced
Charles
Park
as
Chief
Compliance
Officer
of
the
Trust.
Additional
Information
63
Additional
Information
Tailored
Shareholder
Reports
for
Open-End Mutual
Funds
and
ETFs
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Fund.
General
Information
Quarterly
performance,
semi-annual
and
annual
reports,
current
net
asset
value
and
other
information
regarding
the
Fund
may
be
found
on
BlackRock’s
website,
which
can
be
accessed
at
blackrock.com
.
Any
reference
to
BlackRock’s
website
in
this
report
is
intended
to
allow
investors
public
access
to
information
regarding
the
Fund
and
does
not,
and
is
not
intended
to,
incorporate
BlackRock’s
website
in
this
report.
Householding
The
Fund
will
mail
only
one
copy
of
shareholder
documents,
including
prospectuses,
annual
and
semi-annual
reports,
Rule
30e-3
notices
and
proxy
statements,
to
shareholders
with
multiple
accounts
at
the
same
address.
This
practice
is
commonly
called
“householding”
and
is
intended
to
reduce
expenses
and
eliminate
duplicate
mailings
of
shareholder
documents.
Mailings
of
your
shareholder
documents
may
be
householded
indefinitely
unless
you
instruct
us
otherwise.
If
you
do
not
want
the
mailing
of
these
documents
to
be
combined
with
those
for
other
members
of
your
household,
please
call
the
Fund at
(800)
441-7762.
Availability
of
Quarterly
Schedule
of
Investments
The
Fund
files
its
complete
schedule
of
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
Fund’s
Form
N-PORT is
available
on
the
SEC’s
website
at
sec.gov
.
Additionally,
the
Fund
makes
its
portfolio
holdings
for
the
first
and
third
quarters
of
each
fiscal
year
available
at
blackrock.com/fundreports
.
Availability
of
Proxy
Voting
Policies,
Procedures and
Voting
Records
A
description
of
the
policies
and
procedures
that
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
information
about
how
the
Fund
voted
proxies
relating
to
securities
held
in
the
Fund's
portfolio
during
the
most
recent
12-month
period
ended
June
30 is
available
without
charge,
upon
request (1)
by
calling
(800)
441-7762
;
(2)
on
the
BlackRock
website
at
blackrock.com
;
and
(3)
on
the
SEC’s
website
at
sec.gov
.
BlackRock’s
Mutual
Fund
Family
BlackRock
offers
a
diverse
lineup
of
open-end
mutual
funds
crossing
all
investment
styles
and
managed
by
experts
in
equity,
fixed-income
and
tax-exempt
investing.
Visit
blackrock.com
for
more
information.
Shareholder
Privileges
Account
Information
Call
us
at
(800)
441-7762
from
8:00
AM
to
6:00
PM
ET
on
any
business
day
to
get
information
about
your
account
balances,
recent
transactions
and
share
prices.
You
can
also
visit
blackrock.com
for
more
information.
Automatic
Investment
Plans
Investor
class
shareholders
who
want
to
invest
regularly
can
arrange
to
have
$50
or
more
automatically
deducted
from
their
checking
or
savings
account
and
invested
in
any
of
the
BlackRock
funds.
Systematic
Withdrawal
Plans
Investor
class
shareholders
can
establish
a
systematic
withdrawal
plan
and
receive
periodic
payments
of
$50
or
more
from
their
BlackRock
funds,
as
long
as
their
account
balance
is
at
least
$10,000.
Retirement
Plans
Shareholders
may
make
investments
in
conjunction
with
Traditional,
Rollover,
Roth,
Coverdell,
Simple
IRAs,
SEP
IRAs
and
403(b)
Plans.
Additional
Information
(continued)
2023
BlackRock
Annual
Report
to
Shareholders
64
BlackRock
Privacy
Principles
BlackRock
is
committed
to
maintaining
the
privacy
of
its
current
and
former
fund
investors
and
individual
clients
(collectively,
“Clients”)
and
to
safeguarding
their
non-public
personal
information.
The
following
information
is
provided
to
help
you
understand
what
personal
information
BlackRock
collects,
how
we
protect
that
information
and
why
in
certain
cases
we
share
such
information
with
select
parties.
If
you
are
located
in
a
jurisdiction
where
specific
laws,
rules
or
regulations
require
BlackRock
to
provide
you
with
additional
or
different
privacy-related
rights
beyond
what
is
set
forth
below,
then
BlackRock
will
comply
with
those
specific
laws,
rules
or
regulations.
BlackRock
obtains
or
verifies
personal
non-public
information
from
and
about
you
from
different
sources,
including
the
following:
(i)
information
we
receive
from
you
or,
if
applicable,
your
financial
intermediary,
on
applications,
forms
or
other
documents;
(ii)
information
about
your
transactions
with
us,
our
affiliates,
or
others;
(iii)
information
we
receive
from
a
consumer
reporting
agency;
and
(iv)
from
visits
to
our
websites.
BlackRock
does
not
sell
or
disclose
to
non-affiliated
third
parties
any
non-public
personal
information
about
its
Clients,
except
as
permitted
by
law
or
as
is
necessary
to
respond
to
regulatory
requests
or
to
service
Client
accounts.
These
non-affiliated
third
parties
are
required
to
protect
the
confidentiality
and
security
of
this
information
and
to
use
it
only
for
its
intended
purpose.
We
may
share
information
with
our
affiliates
to
service
your
account
or
to
provide
you
with
information
about
other
BlackRock
products
or
services
that
may
be
of
interest
to
you.
In
addition,
BlackRock
restricts
access
to
non-public
personal
information
about
its
Clients
to
those
BlackRock
employees
with
a
legitimate
business
need
for
the
information.
BlackRock
maintains
physical,
electronic
and
procedural
safeguards
that
are
designed
to
protect
the
non-public
personal
information
of
its
Clients,
including
procedures
relating
to
the
proper
storage
and
disposal
of
such
information.
Fund
and
Service
Providers
Investment
Adviser
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
10001
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
65
Glossary
of
Terms
Used
in
this
Report
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
ZAR
South
African
Rand
Portfolio
Abbreviation
ADR
American
Depositary
Receipts
CVA
Certification
Van
Aandelon
(Dutch
Certificate)
MSCI
Morgan
Stanley
Capital
International
OTC
Over-the-counter
RBOB
Reformulated
Gasoline
Blend
Stock
for
Oxygen
Blending
SCA
Svenska
Cellulosa
Aktiebolaget
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-7/23-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
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 Short Obligations Fund | $24,442 | $23,300 | $0 | $0 | $0 | $0 | $0 | $0 |
BlackRock Total Factor Fund | $44,137 | $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 Short Obligations Fund | $0 | $0 |
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
(a)(3)
Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4)
Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Funds
SMBy: __/s/ John M. Perlowski_______________
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Funds
SMDate: September 26, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: __/s/ John M. Perlowski________________
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Funds
SMDate: September 26, 2023
By: __/s/ Trent Walker_____________________
Trent Walker
Chief Financial Officer (principal financial officer) of
BlackRock Funds
SMDate: September 26, 2023