N-CSRS 1 f3174d1.htm BLACKROCK FUNDS

UNITEDSTATES

SECURITIESANDEXCHANGECOMMISSION

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

BlackRock Short Obligations Fund

BlackRock Total Factor Fund

BlackRock Liquid Environmentally Aware Fund

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 07/31/2020

Date of reporting period: 01/31/2020

Item 1 – Report to Stockholders

 

LOGO   JANUARY 31, 2020

 

  

2020 Semi-Annual Report

(Unaudited)

 

BlackRock FundsSM

 

·  

BlackRock Liquid Environmentally Aware Fund

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

U.S. equities and bonds both delivered impressive returns over the last 12 months, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. Investors were further encouraged by the apparent cessation of trade hostilities between the United States and China late in 2019, although some of these gains were reversed in January 2020, as the spread of the coronavirus injected uncertainty into markets.

Returns for most securities were particularly strong in the second half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. In the United States, large-cap stocks led the broader market, while small-cap equities still posted healthy returns. Emerging market stocks, however, were constrained by coronavirus fears, losing most of their gains near the end of the reporting period.

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low despite an uptick late in the reporting period. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.

Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019. In December 2019, the Fed further reassured markets by indicating that it is unlikely to reverse course and tighten monetary policy in the near future. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan continued its accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.

Looking ahead, we believe there are reasons to remain cautious about the U.S. economy, most notably the uncertainty around the duration of the impact of the coronavirus-driven economic contraction, the U.S. presidential election and future earnings growth. At this time we are watching the developments around the world very closely to assess the full extent of the risks of economic disruption that could result from the global pandemic. Corporate earnings underperformed in 2019, but action by the Fed led to outstanding equity returns. With the future of monetary policy and consumer behaviors uncertain, earnings deterioration could act as a drag on equities.

Overall, we favor moderately increasing investment risk to benefit from expected growth. We are neutral on U.S. equities, but we favor emerging market and Japanese equities, which could benefit from an uptick in global trade and investment. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, extremely low yields and inflation risk limit the effectiveness of many bond classes as a counterweight in portfolios. We favor higher-yielding bonds from emerging markets, where central banks have more room for further accommodation, while strategically using U.S. Treasuries as stabilizers.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2020
     6-Month   12-Month

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

  9.31%   21.68%

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

  3.26   9.21

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

  6.12   12.10

Emerging market equities
(MSCI Emerging Markets Index)

  3.36   3.81

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

  0.98   2.22

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

  5.13   12.15

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

  4.20   9.64

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

  3.08   8.21

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

  3.43   9.40
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Money Market Overview

     4  

Fund Information

     5  

Disclosure of Expenses

     5  

Financial Statements:

  

Schedule of Investments

     6  

Statement of Assets and Liabilities

     9  

Statement of Operations

     10  

Statements of Changes in Net Assets

     11  

Financial Highlights

     12  

Notes to Financial Statements

     15  

Trustee and Officer Information

     20  

Additional Information

     21  

Glossary of Terms Used in This Report

     22  

 

 

 

LOGO

 

 

            3


Money Market Overview  For the Six-Month Period Ended January 31, 2020

 

January 2020 is officially in the books — as the second half of 2019 progressed, investors witnessed a pivot from the Fed’s first half “patient” approach to a more active Fed delivering 0.25% cuts in each of July, September and October to the Federal Funds target rate, which ended 2019 in a range of 1.50%-1.75%. Prompting these cuts, in our view, were concerns about slowing global growth amid uncertainties associated with geopolitical events including U.S.-China trade tensions, and muted inflation. We believe such concerns were also reflected in the slope of the U.S. Treasury yield curve between three months and 10 years, which was periodically inverted during 2019. However, even as the U.S. economy began to exhibit signs of softness, a strong labor market and rising consumer spending helped keep the economic expansion intact — with the support of the Fed’s more accommodative policy. We believe the future path for the Federal Funds rate looks to be stable for the foreseeable future as the Fed has acknowledged, in our opinion, a relatively high bar for further policy action.

Another notable event this year was the bout of temporary excessive volatility in the repurchase agreement (“repo”) market in mid-September, due in part to a prior contraction in excess reserves in the banking system, and outsized deposit flow activity related to corporate tax payments and the settlement of U.S. Treasury obligations. This prompted the Fed to inject a substantial amount of liquidity into the financial system during the balance of the year. Specifically, the Fed conducted regular overnight and term repo operations (known as temporary open market operations), and also began purchasing U.S. Treasury bills beginning at a rate of $60 billion per month in order to support the flow of funds and help maintain control over short-term interest rates. The dislocations in the repo market highlighted, in our opinion, the need for the Fed to determine the appropriate level of excess reserves in the post financial crisis regulatory environment.

The U.S. debt ceiling was again suspended in July, and net new U.S. Treasury bill issuance exceeded $250 billion in 2019. That said, the expanded footprint by the Fed in the U.S. Treasury bill market, in our view, contributed to a reduction in investable supply available to the public and in part caused a contraction in the relative value of such instruments during the latter part of 2019.

Another important development in 2019 included the government-sponsored agencies, having been guided by regulatory agencies, to issue floating rate notes indexed to the Secured Overnight Financing Rate (“SOFR”), a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities, and the reference rate generally expected to replace the London Interbank Offered Rate (“LIBOR”). In addition to the agency notes referenced to SOFR, some large financial institutions also issued certificates of deposit and commercial paper linked to this index, and demand for such obligations was generally strong. Investors also witnessed a pick-up in 2019 in investment grade green bond issuance where $29.0 billion in supply entered the market.

Sticking on the topic of demand, asset flows into money market mutual funds and short duration bond funds were strong while primary market investment grade issuance was reportedly down rather markedly. This technical backdrop supported spreads in credit instruments during 2019, and we believe this dynamic should continue to play out in 2020. Similar to 2018, we witnessed seasonal spread widening of the three-month LIBOR overnight-indexed swap spread, a general proxy for bank funding stress. In our opinion, issuers appeared willing to pay up in terms of additional yield spread to secure their funding needs over stress periods such as corporate tax payment days and balance sheet reporting dates, including most importantly year end, as investors paid close attention to the funding markets for clues to monetary system pressures. Throughout January, demand remained strong for commercial paper and other credit instruments, causing spreads to tighten. The three-month LIBOR overnight-indexed swap spread tightened to around 0.18% in January 2020 from around 0.39% in late December. This measure is expected to grind incrementally tighter in the weeks ahead.

With the market pricing in little action for further interest rate cuts, the Fed providing liquidity to the market during stress periods, assets continuing to flow into money market funds, and tentative optimism over the near-term outlook for global trade, we will consider 2019 historic in many ways and 2020 off to a historic start.

Looking ahead, based on recent communications, we believe the FOMC is likely to keep interest rate policy on hold for the foreseeable future, but we are cognizant that geopolitical events could bias risks to the downside. The net new supply of U.S. Treasury bills is expected to increase approximately $200 billion between January and mid- March; however, both the Fed’s footprint in the market and expected ongoing strong demand at the front end of the curve from other investors should contain the level of any related upward rate moves on U.S. Treasury bills, in our view. Publicly available U.S. Treasury bill supply is expected to contract materially beginning in the middle of March.

We believe green bond and commercial paper issuance will continue to increase throughout 2020. In our view, the Fed will continue to monitor conditions in the overnight repo market and provide liquidity to the banking system as needed to ensure adequate control of short-term interest rates.

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

 

 

4    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Information  as of January 31, 2020    BlackRock Liquid Environmentally Aware Fund

 

Investment Objective

BlackRock Liquid Environmentally Aware Fund’s (the “Fund”) investment objective is to seek as high a level of current income as is consistent with liquidity and preservation of capital while giving consideration to select environmental criteria.

 

CURRENT SEVEN-DAY YIELDS

 

    

7-Day

SEC Yields

   

7-Day

Yields

 

Institutional

    1.61     1.61

Direct

    1.71       1.71  

Investor A

    1.36       1.36  

The 7-Day SEC Yields may differ from the 7-Day Yields shown above due to the fact that the 7-Day SEC Yields exclude distributed capital gains.

Past performance is not indicative of future results.

PORTFOLIO COMPOSITION

 

Asset Type  

Percent of

Net Assets

 

Commercial Paper

    33

Repurchase Agreements

    30  

Certificates of Deposit

    23  

Corporate Bonds

    6  

Time Deposits

    4  

Foreign Agency Obligations

    2  

Other Assets Less Liabilities

    2  
 

 

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 and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on August 1, 2019 and held through January 31, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and 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.

Expense Example

 

    Actual           Hypothetical (a)           
     

Beginning

Account Value

(08/01/19)

 

 

 

    

Ending

Account Value

(01/31/20)

 

 

 

    

Expenses

Paid During

the Period (b)

 

 

 

           

Beginning

Account Value

(08/01/19)

 

 

 

    

Ending

Account Value

(01/31/20)

 

 

 

    

Expenses

Paid During

the Period (b)

 

 

 

      

Annualized
Expense
Ratio
 
 
 

Institutional

  $ 1,000.00      $ 1,009.50      $ 1.01       $ 1,000.00      $ 1,024.13      $ 1.02          0.20

Direct

    1,000.00        1,010.00        0.51         1,000.00        1,024.63        0.51          0.10  

Investor A

    1,000.00        1,008.20        2.27               1,000.00        1,022.87        2.29          0.45  

 

(a) 

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

(b) 

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 184/366.

 

 

FUND INFORMATION      5  


Schedule of Investments  (unaudited) 

January 31, 2020

  

BlackRock Liquid Environmentally Aware Fund

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Corporate Bonds — 6.4%

 

 
Banks — 2.5%                  

Australia & New Zealand Banking Group Ltd., 2.13%, 08/19/20

    USD       7,500     $ 7,516,181  

Bank of Nova Scotia (The), 2.15%, 07/14/20

      5,700       5,710,737  

Citibank NA, 2.10%, 06/12/20

      5,000       5,005,203  

Commonwealth Bank of Australia(a):

     

2.25%, 03/10/20

      1,250       1,250,687  

2.05%, 09/18/20

      3,500       3,506,668  

Nordea Bank Abp, (LIBOR USD 3 Month + 0.47%), 2.38%, 05/29/20(a)(b)

      1,686       1,688,662  
     

 

 

 
          24,678,138  
Capital Markets — 1.0%                  

UBS AG:

     

2.35%, 03/26/20

      5,500       5,504,950  

(LIBOR USD 3 Month + 0.85%), 2.76%, 06/01/20(b)

      1,600       1,604,421  

(LIBOR USD 3 Month + 0.58%), 2.46%, 06/08/20(a)(b)

      2,300       2,303,453  
     

 

 

 
        9,412,824  
Consumer Finance — 0.9%        

Toyota Motor Credit Corp.(b):

     

(LIBOR USD 3 Month + 0.26%), 2.10%, 04/17/20

      4,300       4,302,946  

(SOFR + 0.40%), 1.98%, 10/23/20

      5,000       5,003,919  
     

 

 

 
        9,306,865  
Entertainment — 2.0%                  

TWDC Enterprises 18 Corp., (LIBOR USD 3 Month + 0.13%), 2.03%, 03/04/20(b)

      20,000       20,006,097  
     

 

 

 

Total Corporate Bonds — 6.4%
(Cost: $63,359,838)

 

    63,403,924  
     

 

 

 

Foreign Agency Obligations — 2.3%

 

Canada — 2.3%                  

CPPIB Capital, Inc., (SOFR + 0.32%), 1.90%, 12/10/20(a)(b)

      23,250       23,254,130  
     

 

 

 

Total Foreign Agency Obligations — 2.3%
(Cost: $23,250,000)

 

    23,254,130  
     

 

 

 

Certificates of Deposit — 22.8%

 

Domestic — 0.1%                  

Goldman Sachs Bank USA, (SOFR + 0.25%), 1.83%, 06/29/20(b)

      1,000       999,995  
     

 

 

 
Euro — 2.4%                  

ABN AMRO Equity Plus Fund, 2.09%, 02/13/20

      2,000       2,000,305  

Banque Federative du Credit Mutuel SA, 1.93%, 01/08/21(c)

      17,500       17,206,870  

Credit Industriel et Commercial SA, 1.93%, 01/08/21(c)

      5,000       4,916,248  
     

 

 

 
        24,123,423  
Yankee — 20.3%(d)              

Banco Santander SA, New York, 1.91%, 02/14/20

      7,500       7,501,130  

Bank of Montreal, Chicago(b):

     

(LIBOR USD 1 Month + 0.18%), 1.96%, 05/01/20

      4,000       4,000,826  

(LIBOR USD 1 Month + 0.16%), 1.94%, 06/01/20

      2,000       2,000,541  

(LIBOR USD 1 Month + 0.18%), 1.87%, 06/08/20

      3,000       3,001,056  
Security         

Par

(000)

    Value  
Yankee (continued)                  

(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.91%, 07/13/20

    USD       1,000     $ 1,000,613  

(SOFR + 0.32%), 1.90%, 09/22/20

      10,000         10,005,970  

(SOFR + 0.40%), 1.98%, 10/02/20

      7,500       7,507,140  

Bank of Nova Scotia, Houston, (LIBOR USD 1 Month + 0.23%), 1.90%, 08/17/20(b)

      12,000       12,005,853  

Canadian Imperial Bank of Commerce, New York(b):

     

(LIBOR USD 3 Month + 0.17%), 2.07%, 03/18/20

      1,300       1,300,401  

(US Federal Funds Effective Rate (continuous series) + 0.26%), 1.86%, 04/16/20

      10,000       10,002,221  

Credit Industriel et Commercial SA, New York, (LIBOR USD 3 Month + 0.07%), 1.85%, 02/01/21(b)

      5,000       4,999,997  

Credit Suisse AG, New York(b):

     

(SOFR + 0.23%), 1.81%, 02/14/20

      2,390       2,390,203  

(SOFR + 0.38%), 1.96%, 03/06/20

      10,000       10,002,699  

(SOFR + 0.37%), 1.95%, 05/22/20

      4,000       4,002,101  

(SOFR + 0.26%), 1.84%, 06/11/20 - 06/12/20

      6,000       6,001,126  

(LIBOR USD 3 Month + 0.10%), 2.04%, 07/01/20

      5,000       5,001,610  

Mizuho Bank Ltd., New York, (LIBOR USD 1 Month + 0.21%), 1.87%, 03/27/20(b)

      25,000       25,005,248  

MUFG Bank Ltd., New York, (LIBOR USD 1 Month + 0.25%), 1.98%, 05/05/20(b)

      2,000       2,000,834  

Natixis SA, New York, (LIBOR USD 1 Month + 0.26%), 1.94%, 05/15/20(b)

      1,000       1,000,665  

Nordea Bank Abp, New York(b):

     

(LIBOR USD 3 Month + 0.15%), 2.06%, 02/14/20

      900       900,064  

(LIBOR USD 1 Month + 0.23%), 1.93%, 07/09/20

      7,500       7,504,541  

Skandinaviska Enskilda Banken AB, New York(b):

     

(LIBOR USD 3 Month + 0.15%), 2.06%, 10/02/20

      5,000       5,002,938  

(LIBOR USD 3 Month + 0.12%), 2.03%, 11/13/20

      10,000       10,006,949  

Standard Chartered Bank, New York:

     

1.97%, 02/27/20

      20,000       20,004,111  

1.98%, 03/23/20

      7,500       7,502,958  

Svenska Handelsbanken, New York, (LIBOR USD 3 Month + 0.15%), 2.06%, 10/02/20(b)

      15,000       15,011,766  

Toronto-Dominion Bank, New York:

     

2.00%, 03/17/20 - 09/30/20

      14,500       14,502,972  

2.17%, 07/24/20

      1,500       1,503,712  

(US Federal Funds Effective Rate (continuous series) + 0.37%), 1.97%, 09/08/20(b)

      1,250       1,251,256  
     

 

 

 
        201,921,501  
     

 

 

 

Total Certificates of Deposit — 22.8%
(Cost: $226,933,014)

 

    227,044,919  
     

 

 

 

Commercial Paper — 32.6%

 

 

ABN AMRO Funding USA LLC(c):

     

1.68%, 03/05/20

      5,000       4,992,171  

1.71%, 03/27/20

      5,000       4,986,933  

1.72%, 04/03/20

      6,300       6,281,368  

Alpine Securitization Ltd., (LIBOR USD 1 Month + 0.17%), 1.83%, 03/06/20(b)

      9,500       9,500,000  
 

 

 

6    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Liquid Environmentally Aware Fund

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Commercial Paper (continued)        

American Honda Finance Corp., 1.60%, 02/12/20(c)

    USD       10,000     $ 9,994,730  

Antalis SA, 1.68%, 02/20/20(c)

      10,000       9,990,833  

Australia & New Zealand Banking Group Ltd.(c):

     

1.62%, 02/20/20

      5,000       4,995,575  

1.66%, 03/13/20

      5,000       4,990,457  

Banco Santander SA, 1.64%, 04/03/20(c)

      12,500       12,464,781  

Bank of Nova Scotia (The):

     

1.66%, 03/30/20(c)

      15,000       14,959,978  

(LIBOR USD 1 Month + 0.18%), 1.96%, 05/01/20(b)

      4,000       4,000,815  

(LIBOR USD 1 Month + 0.16%), 1.82%, 05/27/20(b)

      2,000       2,000,399  

(LIBOR USD 1 Month + 0.18%), 1.86%, 06/11/20(b)

      2,000       2,000,625  

Barton Capital SA, 1.65%, 02/03/20(c)

      2,084       2,083,717  

BPCE SA, 1.74%, 07/31/20(c)

      5,000       4,957,028  

Canadian Imperial Bank of Commerce, (LIBOR USD 1 Month + 0.25%), 1.90%, 12/31/20(b)

      10,000       10,008,615  

Chariot Funding LLC, 1.61%, 02/03/20(c)

      20,000       19,997,358  

Commonwealth Bank of Australia(b):

     

(LIBOR USD 1 Month + 0.18%), 1.84%, 04/24/20

      2,500       2,499,668  

(LIBOR USD 3 Month + 0.05%), 1.93%, 10/09/20

      5,000       5,000,664  

Cooperatieve Rabobank UA, 1.55%, 02/07/20(c)

      10,000       9,997,025  

Credit Agricole Corporate and Investment Bank SA, 1.60%, 02/18/20(c)

      7,100       7,094,416  

European Investment Bank(c):

     

1.64%, 05/04/20

      5,000       4,978,968  

1.64%, 05/08/20

      5,000       4,978,045  

HSBC Bank plc(b):

     

(LIBOR USD 3 Month + 0.70%), 1.98%, 02/28/20

      3,000       3,000,354  

(LIBOR USD 3 Month + 0.23%), 2.08%, 10/13/20

      6,750       6,757,391  

Hydro-Quebec(c):

     

1.58%, 04/13/20

      25,000         24,921,221  

1.59%, 04/24/20

      2,969       2,958,206  

ING (US) Funding LLC(b):

     

(LIBOR USD 1 Month + 0.23%), 2.01%, 04/01/20

      10,000       10,002,526  

(LIBOR USD 3 Month + 0.15%), 2.06%, 09/14/20

      20,000       20,009,698  

Lloyds Bank plc, (LIBOR USD 3 Month + 0.06%), 1.96%, 07/06/20(b)

      7,500       7,500,612  
Security         

Par

(000)

    Value  
Commercial Paper (continued)        

Macquarie Bank Ltd., (LIBOR USD 1 Month + 0.25%), 1.94%, 07/08/20(b)

    USD       2,000     $ 2,001,234  

MetLife Short Term Funding LLC, 1.70%, 06/08/20(c)

      5,000       4,970,097  

MUFG Bank Ltd., 1.67%, 03/31/20(c)

      2,500       2,493,167  

National Australia Bank Ltd.(b):

     

(LIBOR USD 1 Month + 0.17%), 1.95%, 04/01/20

      5,000       4,999,285  

(LIBOR USD 1 Month + 0.23%), 1.89%, 08/20/20

      5,000       5,003,246  

Nordea Bank Abp, 1.71%, 04/29/20(c)

      2,000       1,991,698  

Pricoa Short Term Funding LLC, 1.65%, 02/14/20(c)

      4,000       3,997,471  

Province of Ontario Canada, 1.58%, 02/07/20(c)

      1,100       1,099,666  

Royal Bank of Canada(b):

     

(LIBOR USD 1 Month + 0.18%), 1.96%, 05/01/20

      4,000       4,000,826  

(SOFR + 0.31%), 1.89%, 08/17/20

      2,500       2,499,811  

(SOFR + 0.40%), 1.98%, 09/29/20

      13,000       13,002,421  

Santander UK plc, 1.66%, 03/02/20(c)

      17,500       17,475,392  

Societe Generale SA, 1.64%, 03/11/20(c)

      4,075       4,067,697  

Starbird Funding Corp., 1.60%, 02/03/20(c)

      2,030       2,029,734  

Toyota Motor Corp., (LIBOR USD 1 Month + 0.17%), 1.90%, 02/27/20(b)

      4,000       4,000,455  

UBS AG, 1.77%, 01/25/21(c)

      2,400       2,358,720  

Walt Disney Co. (The), 1.63%, 04/20/20(c)

      10,000       9,964,511  
     

 

 

 

Total Commercial Paper — 32.6%
(Cost: $323,769,006)

 

    323,859,608  
     

 

 

 

Time Deposits — 4.3%

 

 

Credit Agricole Corporate and Investment Bank SA, 1.57%, 02/03/20

      20,034       20,034,000  

Mizuho Bank Ltd., 1.60%, 02/03/20

      13,000       13,000,000  

Royal Bank of Canada, 1.57%, 02/03/20

      10,000       10,000,000  
   

 

 

 

Total Time Deposits — 4.3%
(Cost: $43,034,000)

 

    43,034,000  
   

 

 

 

Total Repurchase Agreements — 30.2%
(Cost: $301,000,000)

 

    301,000,000  
   

 

 

 

Total Investments — 98.6%
(Cost: $981,345,858)(e)

 

    981,596,581  

Other Assets Less Liabilities — 1.4%

 

    13,464,553  
   

 

 

 

Net Assets — 100.0%

      $   995,061,134  
   

 

 

 
 

 

(a) 

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.

(b) 

Variable rate security. Rate shown is the rate in effect as of period end.

(c) 

Rates are the current rate or a range of current rates as of period end.

(d) 

Issuer is a U.S. branch of a foreign domiciled bank.

(e) 

Cost for U.S. federal income tax purposes.

 

 

SCHEDULE OF INVESTMENTS      7  


Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Liquid Environmentally Aware Fund

 

Repurchase Agreements

 

     Repurchase Agreements       

Collateral

Counterparty   Coupon
Rate
    Purchase
Date
     Maturity
Date
    

Par

(000)

    

At Value

(000)

    

Proceeds

Including

Interest

      

Position

  

Original Par

  

Position

Received,

At Value

Bank of America Securities, Inc.

    1.59     01/31/20        02/03/20      $   130,000      $   130,000      $  130,017,225     U.S. Government Sponsored Agency Obligations, 3.50% to 4.00%, due 02/20/49 to 08/20/49    $  138,790,059    $  132,600,000
            

 

 

              

 

BMO Capital Markets Corp.

    1.59       01/31/20        02/03/20        20,000        20,000      20,002,650     U.S. Government Sponsored Agency Obligations, 1.91% to 5.00%, due 01/16/30 to 07/20/67    454,806,204    21,051,926
            

 

 

              

 

Citigroup Global Markets, Inc.

    1.59       01/31/20        02/03/20        50,000        50,000      50,006,625     U.S. Government Sponsored Agency Obligations, 3.00% to 7.00%, due 09/15/27 to 10/01/69    76,011,714    51,000,000
            

 

 

              

 

JP Morgan Securities LLC

    1.57       01/31/20        02/03/20        38,000        38,000      38,004,972     U.S. Treasury Obligations, 0.00% to 5.00%, due 03/26/20 to 11/15/49    36,218,200    38,760,002
    1.59       01/31/20        02/03/20        63,000        63,000      63,008,347     U.S. Government Sponsored Agency Obligations, 3.00% to 6.50%, due 09/20/33 to 12/20/49    247,661,035    64,260,000
            

 

 

              

 

Total JP Morgan Securities LLC

 

         $ 101,000                $  103,020,002
            

 

 

              

 

             $ 301,000                $  307,671,928
            

 

 

              

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:

 

                                                                                                                                   
      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Short-Term Securities (a)

   $        $ 981,596,581        $        $ 981,596,581  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) 

See above Schedule of Investments for values in each security type.

See notes to financial statements.

 

 

8    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statement of Assets and Liabilities  (unaudited)

January 31, 2020

 

    

BlackRock  

Liquid  
Environmentally  

Aware Fund  

ASSETS

 

Investments at value — unaffiliated (cost — $680,345,858)

  $ 680,596,581  

Cash

    13,019,205  

Repurchase agreements at value (cost — $301,000,000)

    301,000,000  

Receivables:

 

Interest — unaffiliated

    967,271  

From the Manager

    49,809  

Deferred offering costs

    86,161  

Prepaid expenses

    24,412  
 

 

 

 

Total assets

    995,743,439  
 

 

 

 

LIABILITIES

 

Payables:

 

Administration fees

    47,638  

Income dividend distributions

    488,973  

Investment advisory fees

    50,352  

Trustees’ and Officer’s fees

    1,422  

Professional fees

    51,637  

Service fees

    53  

Other accrued expenses

    42,230  
 

 

 

 

Total liabilities

    682,305  
 

 

 

 

NET ASSETS

  $ 995,061,134  
 

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 994,768,832  

Accumulated earnings

    292,302  
 

 

 

 

NET ASSETS

  $ 995,061,134  
 

 

 

 

NET ASSET VALUE

 

Institutional — Based on net assets of $166,081,161 and 166,017,862 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 1.0004  
 

 

 

 

Direct — Based on net assets of $828,726,826 and 828,403,710 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 1.0004  
 

 

 

 

Investor A — Based on net assets of $253,147 and 253,048 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 1.0004  
 

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      9  


 

Statement of Operations  (unaudited)

Six Months Ended January 31, 2020

 

    

BlackRock    

Liquid    
Environmentally    
Aware Fund    

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 7,076,580  
 

 

 

 

Total investment income

    7,076,580  
 

 

 

 

EXPENSES

 

Investment advisory

    363,037  

Administration — class specific

    207,444  

Offering

    120,518  

Professional

    33,671  

Registration

    28,031  

Accounting services

    22,375  

Custodian

    8,771  

Printing

    8,238  

Trustees and Officer

    5,481  

Service — class specific

    318  

Transfer agent — class specific

    50  

Miscellaneous

    9,252  
 

 

 

 

Total expenses

    807,186  

Less:

 

Fees waived and/or reimbursed by the Manager

    (381,554

Transfer agent fees waived and/or reimbursed — class specific

    (50
 

 

 

 

Total expenses after fees waived and/or reimbursed

    425,582  
 

 

 

 

Net investment income

    6,650,998  
 

 

 

 

REALIZED AND UNREALIZED GAIN

 

Net realized gain from investments

    8,910  

Net change in unrealized appreciation on investments

    217,987  
 

 

 

 

Net realized and unrealized gain

    226,897  
 

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $         6,877,895  
 

 

 

 

See notes to financial statements.

 

 

10    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BlackRock Liquid Environmentally Aware
Fund
 
   

Six Months Ended

01/31/20

(unaudited)

   

Period from

04/08/19(a)

to 07/31/19

 

 

 

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

          $ 6,650,998         $ 2,676,698  

Net realized gain

    8,910       15,347  

Net change in unrealized appreciation (depreciation)

    217,987       32,736  
 

 

 

 

Net increase in net assets resulting from operations

    6,877,895       2,724,781  
 

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS (b)

   

Institutional

    (1,095,311     (423,244

Direct

    (5,554,594     (2,251,811

Investor A

    (1,991     (1,643
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (6,651,896     (2,676,698
 

 

 

 

CAPITAL SHARE TRANSACTIONS

   

Net increase in net assets derived from capital share transactions

    594,905,059       399,881,993  
 

 

 

 

NET ASSETS

   

Total increase in net assets

    595,131,058       399,930,076  

Beginning of period

    399,930,076        
 

 

 

 

End of period

          $       995,061,134     $       399,930,076  
 

 

 

 

 

(a) 

Commencement of operations.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      11  


Financial Highlights

(For a share outstanding throughout each period)

 

    BlackRock Liquid Environmentally Aware
Fund
 
    Institutional  
   

Six Months Ended

01/31/20

(unaudited)

   

Period from

04/08/19  (a)

to 07/31/19

 

 

 

Net asset value, beginning of period

        $ 1.0001     $ 1.0000  
 

 

 

 

Net investment income (b)

    0.0089       0.0072  

Net realized and unrealized gain

    0.0005       0.0002  
 

 

 

 

Net increase from investment operations

    0.0094       0.0074  
 

 

 

 

Distributions from net investment income (c)

    (0.0091     (0.0073
 

 

 

 

Net asset value, end of period

        $ 1.0004     $ 1.0001  
 

 

 

 

Total Return (d)

   

Based on net asset value

    0.95%(e)       0.75%(e)  
 

 

 

 

Ratios to Average Net Assets

   

Total expenses

    0.29%(f)(g)       0.30%(g)(h)  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    0.20%(g)       0.19%(g)  
 

 

 

 

Net investment income

    1.77%(g)       2.30%(g)  
 

 

 

 

Supplemental Data

   

Net assets, end of period (000)

        $         166,081     $         65,788  
 

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Aggregate total return.

(f) 

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.31%.

(g) 

Annualized.

(h) 

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.37%.

See notes to financial statements.

 

 

12    2026 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Liquid Environmentally Aware
Fund
 
    Direct  
   

Six Months Ended

01/31/20

(unaudited)

   

Period from

04/08/19  (a)

to 07/31/19

 

 

 

Net asset value, beginning of period

        $ 1.0001     $ 1.0000  
 

 

 

 

Net investment income (b)

    0.0093       0.0076  

Net realized and unrealized gain

    0.0007       0.0001  
 

 

 

 

Net increase from investment operations

    0.0100       0.0077  
 

 

 

 

Distributions from net investment income (c)

    (0.0097     (0.0076
 

 

 

 

Net asset value, end of period

        $ 1.0004     $ 1.0001  
 

 

 

 

Total Return (d)

   

Based on net asset value

    1.00%(e)       0.78%(e)  
 

 

 

 

Ratios to Average Net Assets

   

Total expenses

    0.19%(f)(g)       0.22%(g)(h)  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    0.10%(g)       0.09%(g)  
 

 

 

 

Net investment income

    1.85%(g)       2.45%(g)  
 

 

 

 

Supplemental Data

   

Net assets, end of period (000)

        $         828,727     $         333,890  
 

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d)

Where applicable, assumes the reinvestment of distributions.

(e) 

Aggregate total return.

(f) 

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.21%.

(g) 

Annualized.

(h) 

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.29%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      13  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Liquid Environmentally Aware
Fund
 
    Investor A  
   

Six Months Ended

01/31/20

(unaudited)

   

Period from

04/08/19 (a)

to 07/31/19

 

 

 

Net asset value, beginning of period

        $ 1.0001     $ 1.0000  
 

 

 

 

Net investment income (b)

    0.0079       0.0066  

Net realized and unrealized gain

    0.0003       0.0001  
 

 

 

 

Net increase from investment operations

    0.0082       0.0067  
 

 

 

 

Distributions from net investment income (c)

    (0.0079     (0.0066
 

 

 

 

Net asset value, end of period

        $ 1.0004     $ 1.0001  
 

 

 

 

Total Return (d)

   

Based on net asset value

    0.82%(e)       0.67%(e)  
 

 

 

 

Ratios to Average Net Assets

   

Total expenses

    0.55%(f)(g)       0.58%(g)(h)  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    0.45%(g)       0.44%(g)  
 

 

 

 

Net investment income

    1.57%(g)       2.10%(g)  
 

 

 

 

Supplemental Data

   

Net assets, end of period (000)

        $         253     $         252  
 

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Aggregate total return.

(f)

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.58%.

(g) 

Annualized.

(h) 

Audit and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.65%.

See notes to financial statements.

 

 

14    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited)

 

1.

ORGANIZATION

BlackRock FundsSM (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 Liquid Environmentally Aware 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 Shares are sold only to certain eligible investors. Direct Shares are generally only available to investors on eligible electronic platforms. 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.

 

Share Class   Initial Sales Charge                  CDSC                 Conversion Privilege  

Institutional Shares

    No        No       None      

Direct Shares

    No        No       None  

Investor A Shares

    No        No (a)      None  

 

(a) 

Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) upon redemption of shares received in an exchange transaction for Investor A Shares of a fund advised by the Manager (defined below) or its affiliates where no initial sales charge was paid at the time of purchase of such fund.

The Fund prices and transacts its shares at a NAV per share calculated to four decimal places, reflecting market-based values of its portfolio holdings (i.e., at a “floating” NAV).

With respect to the Fund, the Board is permitted to impose a liquidity fee of up to 2% of the value of shares redeemed or temporarily restrict redemptions from the Fund for up to 10 business days during a 90 day period, in the event that the Fund’s weekly liquid assets fall below certain thresholds.

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 equity, multi-asset, index and money market 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 (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized 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 distributed at least annually and are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Liquidity Fees: Any liquidity fees imposed on the value of shares redeemed in the event that the Fund’s weekly liquid assets fall below certain thresholds are recorded as paid-in-capital. The liquidity fees are collected and retained by the Fund for the benefit of the Fund’s remaining shareholders.

Offering Costs: Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.

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. 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. 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.

 

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) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

 

 

NOTES TO FINANCIAL STATEMENTS      15  


Notes to Financial Statements  (unaudited) (continued)

 

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:

 

   

Investments are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

   

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. 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), 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.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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)

 

   

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments)

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. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

 

4.

SECURITIES AND OTHER INVESTMENTS

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 the fund and its counterparties. Typically, the 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, the fund could experience losses, delays and costs in liquidating the collateral.

Repurchase agreements are entered into by the 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 securities as 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 0.10% of the average daily value of the Fund’s net assets.

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 an annual rate of 0.25% based upon the average daily net assets attributable to Investor A Shares.

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.

 

 

16    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended January 31, 2020, the class specific service fees borne directly by Investor A Shares were $318.

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 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 0.14% of the average daily net assets for the Institutional Shares and Investor A Shares of the Fund and 0.04% of average daily net assets for the Direct Shares of the Fund.

For the six months ended January 31, 2020, the following table shows the class specific administration fees borne directly by each share class of the Fund:

 

Institutional

    $     86,940  

Direct

    120,326  

Investor A

    178  
      $   207,444  

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 six months ended January 31, 2020, the Fund did not pay any amounts to affiliates in return for these services.

For the six months ended January 31, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

 

Institutional

  $             26  

Direct

    11  

Investor A

    13  
    $ 50  

Expense Limitations, Waivers, and Reimbursements: The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend 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 0.00% for the Institutional, Investor A and Direct Shares.

The Manager has agreed not to reduce or discontinue these contractual expense limitations through November 30, 2030, unless approved by the Board, including a majority of the trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended January 31, 2020, the Manager waived and/or reimbursed $236,337, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed - class specific, in the Statement of Operations. For the six months ended January 31, 2020, class specific expense waivers and/or reimbursements are as follows:

 

           

Transfer Agent Fees

Waived and/or Reimbursed

 

Institutional

      $            26  

Direct

      11  

Investor A

      13  
              $            50  

The Manager and BRIL have also voluntarily agreed to waive a portion of their respective investment advisory and service and distribution fees and/or reimburse operating expenses to enable the Fund to maintain minimum levels of daily net investment income if applicable. These amounts, if any, are reported in the Statement of Operations as fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed — class specific. The Manager and BRIL may discontinue the waiver and/ or reimbursement at any time. For the six months ended January 31, 2020, there were no fees waived and/or reimbursed by the Manager under this agreement.

Effective January 1, 2020, the Manager voluntarily agreed to waive a portion of the investment advisory fees. This voluntary waiver may be reduced or discontinued at any time. Pursuant to this voluntary waiver, the Fund waived $145,217, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

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 period ended January 31, 2020, the Fund did not participate in the Interfund Lending Program.

 

 

NOTES TO FINANCIAL STATEMENTS      17  


Notes to Financial Statements  (unaudited) (continued)

 

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.

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 remains open for the year ended July 31, 2019.

Management has analyzed tax laws and regulations and their application to the Fund as of January 31, 2020, 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.

 

7.

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.

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.

A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of epidemics and pandemics such as the coronavirus, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. The impact of the outbreak may be short term or may last for an extended period of time.

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. 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.

 

 

18    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

8.

CAPITAL SHARE TRANSACTIONS

The number of shares sold, reinvested and redeemed for the Fund were transacted at each class’ floating NAV per share calculated to four decimal places.

Transactions in capital shares for each class were as follows:

 

    

Six Months Ended

01/31/20

    Period from 04/08/19(a) to 07/31/19  
     Shares    

Amount

    Shares    

Amount

 

Institutional

       

Shares sold

    121,031,317     $ 121,050,025       165,742,682     $ 165,750,997  

Shares issued in reinvestment of distributions

    865,679       865,909       40,126       40,130  

Shares redeemed

    (21,660,648     (21,664,988     (100,001,294     (100,023,517

Net increase

    100,236,348     $ 100,250,946       65,781,514     $ 65,767,610  

Direct

       

Shares sold

    530,900,004     $ 531,009,085       339,652,733     $ 339,662,021  

Shares issued in reinvestment of distributions

    2,831,969       2,832,737       281,716       281,751  

Shares redeemed

    (39,180,675     (39,189,114     (6,082,037     (6,081,031

Net increase

    494,551,298     $ 494,652,708       333,852,412     $ 333,862,741  

Investor A

       

Shares sold

        $       250,000     $ 249,999  

Shares issued in reinvestment of distributions

    1,405       1,405       1,643       1,643  

Net increase

    1,405     $ 1,405       251,643     $ 251,642  

Total Net Increase

    594,789,051     $ 594,905,059       399,885,569     $ 399,881,993  

 

(a)

Commencement of operations.

As of January 31, 2020, shares owned by BlackRock Financial Management, Inc., an affiliate of the Fund, were as follows:

 

Institutional

    253,456  

Direct

    249,500,000  

Investor A

    253,048  

 

9.

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.

 

 

NOTES TO FINANCIAL STATEMENTS      19  


Trustee and Officer Information

 

Mark Stalnecker, Chair of the Board and Trustee

Bruce R. Bond, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Lena G. Goldberg, Trustee

Henry R. Keizer, Trustee

Cynthia A. Montgomery, Trustee

Donald C. Opatrny, Trustee

Joseph P. Platt, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Thomas Callahan, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Lisa Belle, Anti-Money Laundering Compliance Officer

Janey Ahn, Secretary

 

Effective September 19, 2019, Lisa Belle replaced John MacKessy as the Anti-Money Laundering Compliance Officer of the Trust.

Effective September 19, 2019, Janey Ahn replaced Benjamin Archibald as the Secretary of the Trust.

Effective December 31, 2019, Robert M. Hernandez retired as Trustee of the Trust.

 

Investment Adviser and Administrator

BlackRock Advisors, LLC

Wilmington, DE 19809

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

Deloitte & Touche LLP

Boston, MA 02116

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

20    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information

 

General Information

Householding

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports 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 Transfer Agent at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Fund files its complete schedule of portfolio holdings with the SEC each month on Form N-MFP. The Fund’s reports on Form N-MFP are available on the SEC’s website at sec.gov. The Fund makes portfolio holdings available to shareholders on its website at blackrock.com

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Proxy Voting Record

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 upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at sec.gov.

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.

 

 

ADDITIONAL INFORMATION      21  


Glossary of Terms Used in This Report

 

Currency     
USD    United States Dollar

 

Portfolio Abbreviations
LIBOR    London Interbank Offered Rate
SOFR    Secured Overnight Financing Rate

 

 

22    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


 

Want to know more?

blackrock.com    |    877-275-1255 (1-877-ASK-1BLK)

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. You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund at any time. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call (800) 626-1960. The Fund’s current 7-day yield more closely reflects the current earnings of the Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.

LEAF-1/20-SAR

 

 

LOGO    LOGO


 

LOGO   JANUARY 31, 2020

 

  

2020 Semi-Annual Report

(unaudited)

 

BlackRock FundsSM

 

·  

BlackRock Total Factor Fund

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

U.S. equities and bonds both delivered impressive returns over the last 12 months, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. Investors were further encouraged by the apparent cessation of trade hostilities between the United States and China late in 2019, although some of these gains were reversed in January 2020, as the spread of the coronavirus injected uncertainty into markets.

Returns for most securities were particularly strong in the second half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. In the United States, large-cap stocks led the broader market, while small-cap equities still posted healthy returns. Emerging market stocks, however, were constrained by coronavirus fears, losing most of their gains near the end of the reporting period.

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low despite an uptick late in the reporting period. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.

Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019. In December 2019, the Fed further reassured markets by indicating that it is unlikely to reverse course and tighten monetary policy in the near future. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan continued its accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.

Looking ahead, we believe there are reasons to remain cautious about the U.S. economy, most notably the uncertainty around the duration of the impact of the coronavirus-driven economic contraction, the U.S. presidential election and future earnings growth. At this time we are watching the developments around the world very closely to assess the full extent of the risks of economic disruption that could result from the global pandemic. Corporate earnings underperformed in 2019, but action by the Fed led to outstanding equity returns. With the future of monetary policy and consumer behaviors uncertain, earnings deterioration could act as a drag on equities.

Overall, we favor moderately increasing investment risk to benefit from expected growth. We are neutral on U.S. equities, but we favor emerging market and Japanese equities, which could benefit from an uptick in global trade and investment. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, extremely low yields and inflation risk limit the effectiveness of many bond classes as a counterweight in portfolios. We favor higher-yielding bonds from emerging markets, where central banks have more room for further accommodation, while strategically using U.S. Treasuries as stabilizers.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2020
     6-Month   12-Month

U.S. large cap equities

(S&P 500® Index)

  9.31%   21.68%

U.S. small cap equities

(Russell 2000® Index)

  3.26   9.21

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

  6.12   12.10

Emerging market equities

(MSCI Emerging Markets Index)

  3.36   3.81

3-month Treasury bills

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

  0.98   2.22

U.S. Treasury securities

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

  5.13   12.15

U.S. investment grade bonds

(Bloomberg Barclays U.S. Aggregate Bond Index)

  4.20   9.64

Tax-exempt municipal bonds

(S&P Municipal Bond Index)

  3.08   8.21

U.S. high yield bonds

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

  3.43   9.40
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Fund Summary

     4  

About Fund Performance

     6  

Disclosure of Expenses

     6  

Derivative Financial Instruments

     6  

Consolidated Financial Statements:

  

Consolidated Schedule of Investments

     7  

Consolidated Statement of Assets and Liabilities

     44  

Consolidated Statement of Operations

     45  

Consolidated Statements of Changes in Net Assets

     46  

Consolidated Financial Highlights

     47  

Notes to Consolidated Financial Statements

     51  

Statement Regarding Liquidity Risk Management Program

     61  

Trustee and Officer Information

     62  

Additional Information

     63  

Glossary of Terms Used in this Report

     65  

 

 

LOGO

 

 

 

          3  


Fund Summary  as of January 31, 2020    BlackRock Total Factor Fund

 

Investment Objective

BlackRock Total Factor Fund’s (the “Fund”) investment objective is to seek total return.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended January 31, 2020, the Fund underperformed its reference benchmark, a blend of 60% MSCI World Index Hedged USD Net/40% Bloomberg Barclays U.S. Aggregate Bond Index. For the same period, the Fund also underperformed its secondary benchmark, the ICE BofAML 3-Month U.S. Treasury Bill Index.

What factors influenced performance?

The Fund utilizes a factor investing approach in order to provide a diversified engine for growth. The Fund targets 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 and being designed to be resilient to market shocks and drawdowns.

The long/short single-name equity component was the primary detractor from the Fund’s relative performance, as the momentum and quality factors weighed on results. In the third quarter of 2019, momentum strategies pared their gains from the first half of the year in conjunction with an unwind in the broader bond market. Quality strategies have been susceptible to geopolitical tensions due to the factor’s preference for companies with globally diversified supply chains. The combination of those tensions and a “junk firm” rally tied to the Phase 1 trade deal between the United States and China moved against the factor.

Within the long/short style factor component, the Fund’s positioning within currencies and commodities were substantial contributors to performance. Within currencies, continued geopolitical flare-ups resulted in a widening set of investment opportunities, particularly in emerging market foreign exchange. The value, momentum, and carry strategies were all able to take advantage of these favorable conditions. In commodities, value strategies were the primary drivers of returns, as the model was able to find price dislocations within the energy sector. From a factor perspective, value strategies were the top performers across the majority of asset classes in the long/short space, while low volatility equity strategies provided strong returns for a second straight year. Finally, the Fund’s risk parity component added significantly to performance, as the three targeted factors — real rates, inflation and economic growth — all delivered positive returns. Oscillating geopolitical tensions created a conducive environment for pro-cyclical and defensive exposures.

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 as a means to protect against unintended exposure to foreign currency risk. Over the period, the Fund’s use of derivatives had a negative impact on Fund 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.

The majority of the portfolio’s risk budget remained unchanged from the start of the period. The Fund is currently positioned slightly more defensively within single name equities as quality and low volatility have received a marginally higher allocation than value and momentum. Outside of single name equities, the portfolio remains slightly tilted toward momentum strategies and has a strategic exposure to economic growth surprises.

Describe portfolio positioning at period end.

The Fund continued to seek to deliver positive absolute returns by balancing risks among equities, bonds, commodities, currencies and diversifying strategies. At the end of the period, the Fund favored developed market equities to those of emerging markets but favored emerging market currencies over those of developed markets. Within the long/short rates component, the Fund favored U.S. and U.K. duration (and corresponding sensitivity to interest rates), funded by short positions to Australia and Canada. The long/short commodities component was effectively neutral within energy and maintained a slight net long position in precious metals.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

4    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of January 31, 2020 (continued)    BlackRock Total Factor Fund

 

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Asset Type

   
Percent of
Total Investments
 
 (a) 

Foreign Government Obligations

    87

U.S. Treasury Obligations

    13  

 

(a) 

Total Investments exclude short-term securities.

PORTFOLIO HOLDINGS

 

Security

   
Percent of
Total Investments
 
 (a) 

Republic of France

    33

Commonwealth of Australia

    17  

U.K. Treasury Inflation Linked Bonds

    14  

Canadian Government Bond

    14  

Federal Republic of Germany

    9  

U.S. Treasury Inflation Linked Notes

    9  

U.S. Treasury Inflation Linked Bonds

    4  

 

(a) 

Total Investments exclude short-term securities.

 

 

Performance Summary for the Period Ended January 31, 2020

 

                Average Annual Total Returns (a)(b)  
                1 Year           5 Years           Since Inception (c)  
     6-Month
Total Returns
           w/o sales
charge
   

w/sales

charge

           w/o sales
charge
    w/sales
charge
           w/o sales
charge
    w/sales
charge
 

Institutional

    0.19       7.24     N/A         3.73     N/A         3.78     N/A  

Investor A

    0.09         6.94       1.32       3.47       2.36       3.53       2.74

Investor C

    (0.30       6.24       5.24         2.71       2.71         2.75       2.75  

Class K

    0.21         7.36       N/A         3.77       N/A         3.81       N/A  

60% MSCI World Index Hedged USD Net/40% Bloomberg Barclays U.S. Aggregate Bond Index(d)

    6.51         15.60       N/A         7.26       N/A         8.52       N/A  

MSCI World Index Hedged USD Net(e)

    7.97         19.38       N/A         9.87       N/A         12.12       N/A  

Bloomberg Barclays U.S. Aggregate Bond Index(f)

    4.20         9.64       N/A         3.01       N/A         2.94       N/A  

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

    0.98               2.22       N/A               1.10       N/A               0.79       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” on page 6 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 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) 

The Fund commenced operations on December 27, 2012.

(d) 

This customized weighted index is comprised of the returns of the MSCI World Index Hedged USD Net (60%) and the Bloomberg Barclays U.S. Aggregate Bond Index (40%).

(e) 

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 U.S. Dollar (“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 composed of large and midcap stocks across 23 developed market countries and its local performance is calculated in 13 different currencies, including the Euro.

(f) 

A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes U.S. Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).

(g) 

An unmanaged index that tracks 3-month U.S. Treasury securities.

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

Past performance is not indicative of future results.

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

Expense Example    

 

    Actual           Hypothetical (a)           
     Beginning
Account Value
(08/01/19)
     Ending
Account Value
(01/31/20)
     Expenses
Paid During
the Period (b)
           Beginning
Account Value
(08/01/19)
     Ending
Account Value
(01/31/20)
     Expenses
Paid During
the Period (b)
       Annualized
Expense
Ratio
 

Institutional

  $ 1,000.00      $ 1,001.90      $ 2.77       $ 1,000.00      $ 1,022.37      $ 2.80          0.55

Investor A

    1,000.00        1,000.90        4.02         1,000.00        1,021.11        4.06          0.80  

Investor C

    1,000.00        997.00        7.78         1,000.00        1,017.34        7.86          1.55  

Class K

    1,000.00        1,002.10        2.52               1,000.00        1,022.62        2.54          0.50  

 

(a) 

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

(b) 

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 184/366 (to reflect the one-half year period shown)

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

 

 

FUND SUMMARY      5  


About Fund Performance

 

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. 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 ten years.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. Figures shown in the performance tables on the previous page assume reinvestment of all distributions, if any, at 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 agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. With respect to the Fund’s contractual waivers, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 6 of the Notes to Consolidated Financial Statements for additional information on waivers and/or reimbursements.

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, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example on the previous page (which is based on a hypothetical investment of $1,000 invested on August 1, 2019 and held through January 31, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the 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 example 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

The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Consolidated Financial Statements.

 

 

6    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited)

January 31, 2020

  

BlackRock Total Factor Fund

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Foreign Government Obligations — 15.4%

 

Australia — 3.1%                  

Commonwealth of Australia:

     

1.25%, 02/21/22

    AUD               3,001     $         2,096,797  

3.00%, 09/20/25

      3,589       2,907,384  

0.75%, 11/21/27

      1,981       1,461,171  

2.50%, 09/20/30

      2,256       1,993,081  

2.00%, 08/21/35

      1,688       1,531,502  

1.25%, 08/21/40

      1,456       1,249,633  

1.00%, 02/21/50

      1,497       1,315,767  
     

 

 

 
        12,555,335  
Canada — 2.4%                  

Canadian Government Bond:

     

6.97%, 12/01/21

    CAD       1,310       1,063,611  

6.59%, 12/01/26

      1,258       1,228,251  

4.00%, 12/01/31

      1,336       1,486,352  

3.97%, 12/01/36

      1,195       1,336,644  

2.45%, 12/01/41

      1,239       1,308,217  

1.77%, 12/01/44

      1,402       1,408,282  

1.38%, 12/01/47

      1,314       1,304,101  

0.52%, 12/01/50

      1,003       858,760  
     

 

 

 
        9,994,218  
France — 5.8%                  

Republic of France:

     

0.10%, 03/01/21

    EUR       598       673,737  

0.10%, 07/25/21

      802       908,628  

1.10%, 07/25/22

      1,978       2,343,443  

2.10%, 07/25/23

      1,810       2,252,784  

0.25%, 07/25/24

      1,672       2,005,580  

0.10%, 03/01/25

      960       1,140,616  

1.85%, 07/25/27

      2,078       2,891,594  

0.10%, 03/01/28

      990       1,215,942  

0.10%, 03/01/29

      523       655,071  

4.42%, 07/25/29

      1,049       1,705,815  

0.70%, 07/25/30(a)

      1,249       1,683,756  

4.08%, 07/25/32

      1,202       2,113,944  

0.10%, 07/25/36(a)

      514       683,001  

2.16%, 07/25/40(a)

      1,256       2,262,435  

0.10%, 07/25/47(a)

      868       1,237,206  
     

 

 

 
        23,773,552  
Germany — 1.7%                  

Federal Republic of Germany:

     

0.10%, 04/15/23

      1,569       1,821,683  

0.10%, 04/15/26

      1,509       1,842,614  

0.50%, 04/15/30

      1,397       1,877,797  

0.10%, 04/15/46

      826       1,308,636  
     

 

 

 
        6,850,730  
United Kingdom — 2.4%                  

U.K. Treasury Inflation Linked Bonds:

     

1.88%, 11/22/22

    GBP       205       305,393  

0.13%, 03/22/24

      220       323,274  

2.50%, 07/17/24

      215       345,606  

0.13%, 03/22/26

      140       217,603  

1.25%, 11/22/27

      213       375,957  

0.13%, 08/10/28

      110       183,170  

0.13%, 03/22/29

      213       360,333  

4.13%, 07/22/30

      97       228,312  

1.25%, 11/22/32

      166       343,693  

0.75%, 03/22/34

      168       339,427  
Security         

Par

(000)

    Value  
United Kingdom (continued)                  

2.00%, 01/26/35

    GBP       193     $ 447,718  

0.13%, 11/22/36

      118       232,067  

1.13%, 11/22/37

      195       450,904  

0.63%, 03/22/40

      209       471,541  

0.13%, 08/10/41

      101       215,294  

0.63%, 11/22/42

      177       421,959  

0.13%, 03/22/44

      217       483,127  

0.13%, 03/22/46

      141       322,428  

0.75%, 11/22/47

      170       456,366  

0.13%, 08/10/48

      110       261,594  

0.50%, 03/22/50

      177       471,877  

0.25%, 03/22/52

      154       404,861  

1.25%, 11/22/55

      160       560,699  

0.13%, 11/22/56

      68       187,356  

0.13%, 03/22/58

      129       361,497  

0.38%, 03/22/62

      159       508,184  

0.13%, 11/22/65

      84       267,858  

0.13%, 03/22/68

      152       514,376  
     

 

 

 
        10,062,474  
     

 

 

 

Total Foreign Government Obligations — 15.4%
(Cost: $61,562,220)

 

            63,236,309  
     

 

 

 

U.S. Treasury Obligations — 2.3%

 

U.S. Treasury Inflation Linked Bonds:

     

2.38%, 01/15/25 - 01/15/27

    USD       351       402,299  

2.00%, 01/15/26

      150       169,356  

1.75%, 01/15/28

      110       126,963  

3.63%, 04/15/28

      154       201,269  

2.50%, 01/15/29

      216       266,176  

3.88%, 04/15/29

      177       241,259  

3.38%, 04/15/32

      42       59,667  

2.13%, 02/15/40 - 02/15/41

      316       437,054  

0.75%, 02/15/42 - 02/15/45

      343       380,447  

0.63%, 02/15/43

      149       160,409  

1.38%, 02/15/44

      147       184,135  

1.00%, 02/15/46 - 02/15/49

      386       459,529  

0.88%, 02/15/47

      115       132,712  

U.S. Treasury Inflation Linked Notes:

     

1.13%, 01/15/21

      249       251,108  

0.13%, 04/15/21 - 07/15/26

              2,597       2,623,068  

0.63%, 07/15/21 - 01/15/26

      1,083       1,113,229  

0.38%, 07/15/23 - 07/15/27

      979       1,012,360  

0.50%, 04/15/24 - 01/15/28

      425       442,476  

0.25%, 01/15/25 - 07/15/29

      502       517,043  

0.75%, 07/15/28

      229       246,433  

0.88%, 01/15/29

      213       232,058  
 

 

 

 

Total U.S. Treasury Obligations — 2.3%
(Cost: $9,296,003)

 

    9,659,050  
 

 

 

 

Total Long-Term Investments — 17.7%
(Cost: $70,858,223)

 

    72,895,359  
     

 

 

 
           Shares        
Short-Term Securities — 69.8%  
Money Market Funds — 3.1%                  

BlackRock Liquidity Funds, T-Fund,
Institutional Class, 1.48%(b)*

      12,710,094       12,710,094  
     

 

 

 

Total Money Market Funds — 3.1%
(Cost: $12,710,094)

 

    12,710,094  
     

 

 

 
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      7  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
U.S. Treasury Obligations — 66.7%        

U.S. Treasury Bills(c):

     

1.73%, 07/16/20

    USD               66,000     $         65,550,879  

1.84%, 06/18/20

      55,000       54,687,987  

1.90%, 02/27/20

      51,000       50,950,105  

1.98%, 03/26/20

      55,500       55,378,648  
Security         

Par

(000)

    Value  
U.S. Treasury Obligations (continued)  

2.10%, 05/21/20

    USD               48,000     $ 47,780,136  
     

 

 

 

Total U.S. Treasury Obligations — 66.7%
(Cost: $274,065,847)

 

    274,347,755  
     

 

 

 

Total Short-Term Securities — 69.8%
(Cost: $286,775,941)

 

    287,057,849  
     

 

 

 

Total Investments — 87.5%
(Cost: $357,634,164)

 

    359,953,208  

Other Assets Less Liabilities — 12.5%

 

      51,365,200  
     

 

 

 

Net Assets — 100.0%

 

    $         411,318,408  
     

 

 

 
 
(a) 

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.

(b) 

Annualized 7-day yield as of period end.

(c) 

Rates are discount rates or a range of discount rates as of period end.

*

During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

Affiliate    Shares
Held at
07/31/19
     Net
Activity
     Shares
Held at
01/31/20
    

Value at

01/31/20

     Income     

Net

Realized
Gain (Loss) 
(a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     13,562,162        (852,068      12,710,094      $         12,710,094      $         132,559      $ 31      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Includes net capital gain distributions, if applicable.

 

 

8    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

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

                 

AEX Index

     292          02/21/20        $ 38,074        $ (1,193,013

CAC 40 10 Euro Index

     611          02/21/20          39,330          (1,522,894

IBEX 35 Index

     190          02/21/20          19,760          (297,181

Hang Seng China Enterprises Index

     176          02/27/20          11,614          (423,720

Hang Seng Index

     11          02/27/20          1,858          (31,459

Brent Crude Oil(a)

     218          02/28/20          12,343          (1,467,288

RBOB Gasoline(a)

     371          02/28/20          23,437          (769,590

Euro-Bund

     590          03/06/20          114,536          1,978,797  

TOPIX Index

     32          03/12/20          4,959          (80,661

SPI 200 Index

     236          03/19/20          27,465          686,181  

DAX Index

     7          03/20/20          2,522          (38,525

FTSE/MIB Index

     42          03/20/20          5,408          (84,659

U.S. Treasury 10 Year Note

     1,527          03/20/20          201,039          3,787,524  

100 oz Gold(a)

     57          03/27/20          9,034          101,552  

Long Gilt

     1,103          03/27/20          196,542          3,021,017  

Silver(a)

  

 

72

 

       03/27/20          6,484          346,918  
                 

 

 

 
                    4,012,999  
                 

 

 

 

Short Contracts

                 

WTI Crude Oil(a)

     177          02/20/20          9,126          982,300  

OMXS30 Index

     14          02/21/20          260          1,904  

Natural Gas(a)

     80          02/26/20          1,473          25,450  

SGX NIFTY 50 Index

     1,380          02/27/20          33,084          493,223  

Low Sulphur Gasoil(a)

     174          03/12/20          8,744          12,603  

Australia 10 Year Bond

     1,463          03/16/20          144,830          (2,110,621

S&P/TSX 60 Index

     158          03/19/20          24,630          161,411  

Canada 10 Year Bond

     1,352          03/20/20          145,242          (2,988,317

FTSE 100 Index

     202          03/20/20          19,252          645,188  

S&P 500 E-Mini Index

     117          03/20/20          18,860          (285,436
                 

 

 

 
                    (3,062,295
                 

 

 

 
                  $ 950,704  
                 

 

 

 

 

(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)
 
CHF        942,000 (a)      USD        965,932      Morgan Stanley & Co. International plc      03/18/20      $ 15,014  
EUR        863,000 (a)      USD        954,033      Morgan Stanley & Co. International plc      03/18/20        5,622  
GBP        6,477,994 (a)      USD        8,495,429      Morgan Stanley & Co. International plc      03/18/20        68,654  
INR        141,877,000 (a)     USD        1,957,950      Barclays Bank plc      03/18/20        13,450  
JPY        1,008,506,000 (a)     USD        9,248,905      Morgan Stanley & Co. International plc      03/18/20        80,222  
MXN        747,220,000 (a)     USD        38,305,190      Morgan Stanley & Co. International plc      03/18/20        989,541  
RUB        1,777,190,000 (a)     USD        27,556,922      Bank of America NA      03/18/20        113,352  
SEK        5,740,000      USD        595,732      JPMorgan Chase Bank NA      03/18/20        1,735  
USD        62,370,190 (a)      AUD        90,440,062      Morgan Stanley & Co. International plc      03/18/20        1,781,890  
USD        25,490,117 (a)      BRL        107,163,000      Bank of America NA      03/18/20        524,463  
USD        3,018,863 (a)      BRL        12,403,000      Barclays Bank plc      03/18/20        129,349  
USD        4,161,549 (a)      BRL        16,967,000      Deutsche Bank AG      03/18/20        208,764  
USD        5,148,646 (a)      BRL        20,706,000      JPMorgan Chase Bank NA      03/18/20        324,790  
USD        9,017,050 (a)      BRL        38,080,000      Morgan Stanley & Co. International plc      03/18/20        145,591  
USD        8,975,889 (a)      CAD        11,755,000      Morgan Stanley & Co. International plc      03/18/20        93,809  
USD        36,285,253 (a)      EUR        32,465,335      Morgan Stanley & Co. International plc      03/18/20        183,820  
USD        2,117,866 (a)      GBP        1,601,000      Morgan Stanley & Co. International plc      03/18/20        1,302  
USD        2,547,074 (a)      JPY        275,104,000      Morgan Stanley & Co. International plc      03/18/20        2,241  

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      9  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency

Purchased

    

Currency

Sold

     Counterparty    Settlement
Date
     Unrealized
Appreciation
(Depreciation)
 
USD        659,646 (a)      KRW        766,172,000      Bank of America NA      03/18/20      $ 18,713  
USD        46,028,815 (a)      KRW        54,642,187,000      Barclays Bank plc      03/18/20        318,494  
USD        7,726,097 (a)      KRW        9,034,013,000      BNP Paribas SA      03/18/20        168,792  
USD        4,106,948 (a)      KRW        4,888,665,000      Deutsche Bank AG      03/18/20        17,390  
USD        1,225,583 (a)      KRW        1,418,392,000      HSBC Bank plc      03/18/20        39,043  
USD        697,609 (a)      KRW        815,582,000      JPMorgan Chase Bank NA      03/18/20        15,343  
USD        5,155,996 (a)      KRW        5,945,859,000      Morgan Stanley & Co. International plc      03/18/20        182,054  
USD        1,939,921 (a)      MXN        36,487,000      Morgan Stanley & Co. International plc      03/18/20        21,146  
USD        246,562 (a)      NOK        2,251,000      Morgan Stanley & Co. International plc      03/18/20        1,792  
USD        12,974,303 (a)      NZD        19,579,000      Morgan Stanley & Co. International plc      03/18/20        311,473  
USD        535,798      SEK        5,038,000      Citibank NA      03/18/20        11,401  
USD        1,178,169      SEK        11,150,000      JPMorgan Chase Bank NA      03/18/20        17,584  
USD        288,722 (a)      SEK        2,723,468      Morgan Stanley & Co. International plc      03/18/20        5,241  
USD        231,109 (a)      SGD        314,000      Morgan Stanley & Co. International plc      03/18/20        981  
USD        1,644,695 (a)      TWD        49,180,000      Bank of America NA      03/18/20        22,391  
USD        27,495,536 (a)      TWD        831,769,000      HSBC Bank plc      03/18/20        57,912  
USD        526,411 (a)      TWD        15,673,000      Morgan Stanley & Co. International plc      03/18/20        9,405  
                     

 

 

 
                        5,902,764  
                     

 

 

 
AUD        12,796,000 (a)      USD        8,710,763      Morgan Stanley & Co. International plc      03/18/20        (138,368
BRL        17,265,000 (a)      USD        4,209,436      Deutsche Bank AG      03/18/20        (187,226
CAD        92,383,276 (a)      USD        70,427,282      Morgan Stanley & Co. International plc      03/18/20        (622,467
EUR        5,736,000 (a)      USD        6,426,880      Morgan Stanley & Co. International plc      03/18/20        (48,452
GBP        10,389,000 (a)      USD        13,901,845      Morgan Stanley & Co. International plc      03/18/20        (167,307
INR        3,030,933,000 (a)     USD        42,116,765      Barclays Bank plc      03/18/20        (1,539
INR        439,775,000 (a)     USD        6,147,551      HSBC Bank plc      03/18/20        (36,817
INR        185,269,000 (a)     USD        2,583,587      JPMorgan Chase Bank NA      03/18/20        (9,249
INR        579,727,000 (a)     USD        8,075,886      Morgan Stanley & Co. International plc      03/18/20        (20,500
JPY        397,854,367 (a)     USD        3,686,298      Morgan Stanley & Co. International plc      03/18/20        (5,969
NZD        12,984,000 (a)      USD        8,550,518      Morgan Stanley & Co. International plc      03/18/20        (153,042
RUB        33,549,900 (a)      USD        533,717      Bank of America NA      03/18/20        (11,355
RUB        30,156,000 (a)      USD        477,039      Barclays Bank plc      03/18/20        (7,520
RUB        200,486,699 (a)     USD        3,214,267      Deutsche Bank AG      03/18/20        (92,754
RUB        588,861,402 (a)     USD        9,350,170      HSBC Bank plc      03/18/20        (181,788
RUB        253,849,000 (a)     USD        4,059,648      Morgan Stanley & Co. International plc      03/18/20        (107,301
TWD        155,244,000 (a)     USD        5,157,050      BNP Paribas SA      03/18/20        (36,005
TWD        206,890,000 (a)     USD        6,940,715      Deutsche Bank AG      03/18/20        (116,020
USD        767,533 (a)      CHF        752,000      Morgan Stanley & Co. International plc      03/18/20        (15,558
USD        18,904,715 (a)      GBP        14,424,000      Morgan Stanley & Co. International plc      03/18/20        (164,203
USD        1,100,647 (a)      HKD        8,589,000      Morgan Stanley & Co. International plc      03/18/20        (4,468
USD        3,485,730 (a)      JPY        379,371,000      Morgan Stanley & Co. International plc      03/18/20        (23,619
USD        4,568,100 (a)      MXN        87,630,000      Morgan Stanley & Co. International plc      03/18/20        (40,178
                     

 

 

 
                        (2,191,705
                     

 

 

 
Net Unrealized Appreciation       $ 3,711,059  
                     

 

 

 

 

(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 Default 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)
 

CDX.NA.HY.33.V2

     5.00    Quarterly      12/20/24        B        USD        22,007      $ 1,978,364      $ 1,714,297      $ 264,067  

ITRAXX.EUR. CROSSOVER.32.V1

     5.00    Quarterly      12/20/24        CCC+        EUR        20,023        2,847,368        2,889,054        (41,686
                    

 

 

    

 

 

    

 

 

 
                     $ 4,825,732      $ 4,603,351      $ 222,381  
                    

 

 

    

 

 

    

 

 

 

 

 

10    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

(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 Swaps

 

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 February 2020

  BRL     (4,372,508   Merrill Lynch International & Co.     02/12/20       BRL       4,373     $ 36,674     $     $ 36,674  

BOVESPA Index Futures February 2020

  BRL     (1,965,428   Merrill Lynch International & Co.     02/12/20       BRL       1,965       6,678             6,678  

BOVESPA Index Futures February 2020

  BRL     (7,611,852   Merrill Lynch International & Co.     02/12/20       BRL       7,612       48,180             48,180  

TAIEX Futures February 2020

  TWD     1,292,430,101     Merrill Lynch International & Co.     02/19/20       TWD       1,292,430       (1,856,132           (1,856,132

TAIEX Futures February 2020

  TWD     130,923,137     Merrill Lynch International & Co.     02/19/20       TWD       130,923       (233,636           (233,636

KOSPI 200 Index Futures March 2020

  KRW     (9,626,174,250   Merrill Lynch International & Co.     03/12/20       KRW       9,626,174                    

KOSPI 200 Index Futures March 2020

  KRW     (9,914,518,250   Merrill Lynch International & Co.     03/12/20       KRW       9,914,518       542,974             542,974  

Swiss Market Index Futures March 2020

  CHF     3,012,292     JPMorgan Chase Bank NA     03/20/20       CHF       3,012       (60,520           (60,520

Swiss Market Index Futures March 2020

  CHF     19,575,616     JPMorgan Chase Bank NA     03/20/20       CHF       19,576       268,256             268,256  

Swiss Market Index Futures March 2020

  CHF     7,187,918     JPMorgan Chase Bank NA     03/20/20       CHF       7,188                    
             

 

 

   

 

 

   

 

 

 
              $ (1,247,526   $     $ (1,247,526
             

 

 

   

 

 

   

 

 

 

 

(a)

At termination, the fixed amount paid (received) will be exchanged for the total return of the reference entity.

OTC Total Return Swaps (a)

 

Reference Entity    Counterparty   

Termination

Date

    

Net

Notional

     Unrealized
Appreciation
(Depreciation)
     Net Value of
Reference
Entity
     Gross
Notional
Amount
Net Asset
Percentage
 

Equity Securities Long/Short

   Bank of America NA      02/15/23      $ 21,496,535      $ (2,006,743 )(b)     $ 19,414,405        108.4
   Citibank NA      02/24/23 - 02/27/23        20,651,215        (2,793,272 )(c)       17,751,839        115.0
   Credit Suisse International      02/13/20 - 02/08/23        19,191,010        (670,934 )(d)        18,438,394        114.6
   Deutsche Bank AG      02/17/23        157,746        19,966 (e)        177,659        0.3
   JPMorgan Chase Bank NA      02/08/23        109,662        44,109 (f)        132,490        0.4
           

 

 

    

 

 

    
            $ (5,406,874    $ 55,914,787     
           

 

 

    

 

 

    

 

(a) 

The Fund receives or pays the total return on a portfolio of long and short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 0-300 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:

Association of Banks in Singapore SGD 1 Month

Association of Banks in Singapore Swap Offer Rate Fixing 1 Month

Association of Banks in Singapore Interbank Offer Rate Overnight

ASX Australian Bank Bill Short Term Rates 1 Month

Canada Bankers Acceptances 1 Month

Copenhagen Interbank Offered Rate:

    DKK 1 Day

    DKK 1 Week

    DKK 1 Month

EMMI EURO Overnight Index Average Rate

Euro Denominated LIBOR Rate 1 Month

Hong Kong Dollar HIBOR Fixings:

    HKD 1 Week

    HKD 1 Month

Intercontinental Exchange LIBOR:

    CHF 1 Week

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      11  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

    CHF 1 Month

    EUR 1 Week

    EUR 1 Month

    GBP 1 Week

    GBP 1 Month

    JPY 1 Week

    JPY 1 Month

    USD 1 Week

    USD 1 Month

Norwegian Interbank Offered Rate:

    NOK 1 Week

    NOK 1 Month

    SGD 1 Month Deposit

Stockholm Interbank Offered Rate:

    SEK 1 Week

    SEK 1 Month

USD Overnight Bank Funding Rate

 

(b) 

Amount includes $75,387 of net dividends and financing fees.

(c) 

Amount includes $106,104 of net dividends and financing fees.

(d) 

Amount includes $81,682 of net dividends and financing fees.

(e) 

Amount includes $53 of net dividends and financing fees.

(f) 

Amount includes $21,281 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 Bank of America NA, as of January 31, 2020, expiration date 02/15/23:

 

     Shares     Value     % of Basket
Value
 

Reference Entity — Long

 

Australia                  

AGL Energy Ltd.

    23,442     $ 311,104       1.6

Aristocrat Leisure Ltd.

    6,490       154,781       0.8  

ASX Ltd.

    13,252       749,741       3.9  

Aurizon Holdings Ltd.

    519,195               1,861,057       9.6  

BHP Group Ltd.

    18,445       473,002       2.4  

BHP Group plc

    22,150       482,131       2.5  

Cochlear Ltd.

    750       119,450       0.6  

Macquarie Group Ltd.

    5,310       507,372       2.6  

Newcrest Mining Ltd.

    42,650       853,855       4.4  

QBE Insurance Group Ltd.

    3,790       34,501       0.2  

Rio Tinto Ltd.

    9,199       596,908       3.1  

Rio Tinto plc

    20,275       1,084,191       5.6  

Santos Ltd.

    6,930       39,774       0.2  

South32 Ltd.

    62,340       106,969       0.6  

Suncorp Group Ltd.

    53,090       453,530       2.3  

Sydney Airport

    19,130       106,403       0.5  

Telstra Corp. Ltd.

    133,900       341,438       1.8  

Treasury Wine Estates Ltd.

    27,560       236,728       1.2  

Wesfarmers Ltd.

    13,168       395,066       2.0  

Woolworths Group Ltd.

    20,480       568,808       2.9  
   

 

 

   
      9,476,809    
Austria                  

Erste Group Bank AG

    26,680       979,620       5.1  
   

 

 

   
Belgium                  

Ageas

    11,518       635,121       3.3  

Colruyt SA

    750       37,555       0.2  

Groupe Bruxelles Lambert SA

    4,952       497,645       2.6  

KBC Group NV

    5,620       412,370       2.1  

UCB SA

    7,930       729,736       3.7  
   

 

 

   
      2,312,427    
     Shares     Value     % of Basket
Value
 
Canada                  

Bank of Nova Scotia (The)

    460     $ 25,124       0.1

BCE, Inc.

    4,050       190,840       1.0  

Canadian Natural Resources Ltd.

    7,206       202,665       1.0  

Canadian Pacific Railway Ltd.

    570       151,416       0.8  

Canadian Tire Corp. Ltd., Class A

    2,830       303,508       1.6  

CGI, Inc.

    4,520       346,087       1.8  

Constellation Software, Inc.

    790       830,384       4.3  

Hydro One Ltd.

    43,810       890,501       4.6  

Imperial Oil Ltd.

    35,189       834,389       4.3  

Magna International, Inc.

    8,570       434,413       2.2  

Manulife Financial Corp.

    23,770       463,043       2.4  

National Bank of Canada

    20,648       1,145,672       5.9  

Nutrien Ltd.

    17,990       767,993       4.0  

Restaurant Brands International, Inc.

    5,820       355,078       1.8  

Rogers Communications, Inc., Class B

    5,290       264,860       1.4  

Royal Bank of Canada

    200       15,805       0.1  

Suncor Energy, Inc.

    30,191       922,794       4.8  

TC Energy Corp.

    2,200       120,639       0.6  

Thomson Reuters Corp.

    2,789       224,068       1.2  

Toronto-Dominion Bank (The)

    260       14,369       0.1  
   

 

 

   
              8,503,648    
Denmark                  

Carlsberg A/S, Class B

    10,020       1,463,259       7.5  

Demant A/S

    5,430       176,083       0.9  

GN Store Nord A/S

    3,710       184,016       1.0  

H Lundbeck A/S

    10,686       454,073       2.3  

Novo Nordisk A/S, Class B

    16,650       1,013,514       5.2  
   

 

 

   
      3,290,945    
Finland                  

Kone OYJ, Class B

    5,810       375,403       1.9  

UPM-Kymmene OYJ

    16,705       526,349       2.7  
   

 

 

   
      901,752    
 

 

 

12    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments   (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
France                  

Arkema SA

    2,762     $ 253,080       1.3

Bouygues SA

    700       27,657       0.1  

Bureau Veritas SA

    24,406       672,503       3.5  

Capgemini SE

    3,640       452,055       2.3  

Carrefour SA

    21,073       356,591       1.8  

Cie de Saint-Gobain

    34,160       1,288,801       6.6  

Danone SA

    3,923       313,936       1.6  

Eiffage SA

    5,380       623,616       3.2  

Hermes International

    810       604,849       3.1  

Legrand SA

    12,439       995,266       5.1  

L’Oreal SA

    410       114,040       0.6  

Orange SA

    14,749       208,492       1.1  

Peugeot SA

    4,830       99,451       0.5  

Publicis Groupe SA

    5,270       233,615       1.2  

Safran SA

    1,990       320,862       1.7  

Schneider Electric SE

    4,416       440,393       2.3  

Sodexo SA

    6,230       652,311       3.4  

Suez

    19,360       317,714       1.6  

TOTAL SA

    11,693       569,341       2.9  

Veolia Environnement SA

    19,989       589,684       3.0  

Vinci SA

    1,467       162,528       0.8  

Vivendi SA

    31,690       866,699       4.5  
   

 

 

   
              10,163,484    
Germany                  

adidas AG

    1,135       358,790       1.8  

Allianz SE (Registered)

    5,610       1,339,352       6.9  

BASF SE

    2,780       187,641       1.0  

Brenntag AG

    7,700       398,476       2.1  

Continental AG

    680       77,600       0.4  

Covestro AG

    6,144       258,925       1.3  

Deutsche Post AG (Registered)

    41,663       1,453,618       7.5  

Deutsche Telekom AG (Registered)

    29,009       469,824       2.4  

Evonik Industries AG

    28,683       786,023       4.0  

Hannover Rueck SE

    1,085       210,671       1.1  

HeidelbergCement AG

    15,221       1,026,523       5.3  

Henkel AG & Co. KGaA (Preference)

    7,980       811,586       4.2  

Knorr-Bremse AG

    3,410       372,551       1.9  

LEG Immobilien AG

    2,998       369,775       1.9  

Merck KGaA

    2,030       260,306       1.3  

Muenchener Rueckversicherungs-Gesellschaft AG (Registered)

    610       179,853       0.9  

RWE AG

    1,672       57,964       0.3  

Telefonica Deutschland Holding AG

    280,440       850,023       4.4  

Volkswagen AG (Preference)

    2,590       464,680       2.4  
   

 

 

   
      9,934,181    
Ireland                  

AerCap Holdings NV

    3,140       177,755       0.9  
   

 

 

   
Italy                  

Assicurazioni Generali SpA

    26,307       512,610       2.6  

Eni SpA

    52,857       740,400       3.8  

Ferrari NV

    2,040       344,254       1.8  

Intesa Sanpaolo SpA

    123,030       305,547       1.6  

Moncler SpA

    5,960       256,532       1.3  

Snam SpA

    14,940       80,073       0.4  
   

 

 

   
      2,239,416    
Japan                  

Aeon Co. Ltd.

    9,400       192,263       1.0  

AGC, Inc.

    11,000       370,792       1.9  

Ajinomoto Co., Inc.

    24,600       405,158       2.1  

Asahi Group Holdings Ltd.

    10,500       486,759       2.5  

Asahi Kasei Corp.

    5,400       55,233       0.3  
     Shares     Value     % of Basket
Value
 
Japan (continued)                  

Astellas Pharma, Inc.

    73,900     $ 1,305,822       6.7

Bridgestone Corp.

    12,400       439,196       2.3  

Canon, Inc.

    12,000       314,692       1.6  

Dai Nippon Printing Co. Ltd.

    43,600       1,202,251       6.2  

Denso Corp.

    5,100       209,213       1.1  

East Japan Railway Co.

    7,400       651,582       3.4  

FUJIFILM Holdings Corp.

    15,000       744,967       3.8  

Fujitsu Ltd.

    4,700       496,944       2.6  

Hitachi Ltd.

    9,000       342,788       1.8  

Honda Motor Co. Ltd.

    4,900       125,319       0.6  

Hoya Corp.

    400       38,282       0.2  

ITOCHU Corp.

    7,600       177,543       0.9  

Japan Post Holdings Co. Ltd.

    27,100       246,520       1.3  

Japan Post Insurance Co. Ltd.

    15,300       258,165       1.3  

Kao Corp.

    1,900       151,539       0.8  

Kikkoman Corp.

    2,000       96,915       0.5  

Kirin Holdings Co. Ltd.

    13,600       298,690       1.5  

Konami Holdings Corp.

    4,400       170,401       0.9  

Kyocera Corp.

    4,300       282,537       1.5  

Kyowa Kirin Co. Ltd.

    4,900       115,195       0.6  

Marubeni Corp.

    50,000       359,281       1.8  

MEIJI Holdings Co. Ltd.

    7,300       513,729       2.6  

Mitsubishi Chemical Holdings Corp.

    55,400       400,374       2.1  

Mitsubishi Electric Corp.

    46,100       639,184       3.3  

Mitsubishi Heavy Industries Ltd.

    18,000       656,593       3.4  

Mitsui & Co. Ltd.

    20,400       362,827       1.9  

MS&AD Insurance Group Holdings, Inc.

    18,400       611,114       3.1  

NEC Corp.

    4,700       209,213       1.1  

Nintendo Co. Ltd.

    800       294,285       1.5  

Nippon Steel Corp.

    18,000       249,759       1.3  

Nitori Holdings Co. Ltd.

    1,000       155,401       0.8  

Nitto Denko Corp.

    9,200       511,411       2.6  

Nomura Research Institute Ltd.

    18,400       404,905       2.1  

NTT Data Corp.

    34,000       477,606       2.5  

Obayashi Corp.

    29,300       321,332       1.7  

Olympus Corp.

    4,600       74,323       0.4  

Omron Corp.

    13,400       767,350       3.9  

Ono Pharmaceutical Co. Ltd.

    20,200       465,142       2.4  

ORIX Corp.

    24,000       405,419       2.1  

Otsuka Holdings Co. Ltd.

    8,200       364,288       1.9  

Panasonic Corp.

    65,800       653,922       3.4  

Recruit Holdings Co. Ltd.

    9,700       378,070       1.9  

Ricoh Co. Ltd.

    10,000       113,464       0.6  

Rohm Co. Ltd.

    1,700       122,290       0.6  

Secom Co. Ltd.

    2,900       254,483       1.3  

Sekisui House Ltd.

    59,500       1,279,379       6.6  

Seven & i Holdings Co. Ltd.

    35,300       1,353,520       7.0  

Shionogi & Co. Ltd.

    12,300       731,532       3.8  

Sompo Holdings, Inc.

    6,200       231,656       1.2  

Sony Corp.

    2,900       202,788       1.0  

Sumitomo Chemical Co. Ltd.

    139,400       592,338       3.0  

Sumitomo Corp.

    23,000       342,118       1.8  

Sumitomo Electric Industries Ltd.

    45,400       605,256       3.1  

Sumitomo Mitsui Financial Group, Inc.

    43,500       1,529,435       7.9  

Tokio Marine Holdings, Inc.

    100       5,428       0.0  

Tokyo Electron Ltd.

    1,500       329,919       1.7  

Tokyu Corp.

    2,400       42,294       0.2  

Toray Industries, Inc.

    49,300       322,585       1.7  

Toshiba Corp.

    10,200       325,996       1.7  

Trend Micro, Inc.

    10,700       559,079       2.9  

West Japan Railway Co.

    5,700       482,276       2.5  
   

 

 

   
              27,880,130    
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      13  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Luxembourg                  

Tenaris SA

    82,159     $ 849,079       4.4
   

 

 

   
Netherlands                  

Adyen NV

    230       211,349       1.1  

Akzo Nobel NV

    15,376       1,450,996       7.5  

ING Groep NV

    4,940       53,635       0.3  

Koninklijke Ahold Delhaize NV

    10,130       248,605       1.3  

Koninklijke KPN NV

    78,860       220,953       1.1  

Koninklijke Philips NV

    9,177       420,283       2.2  

NN Group NV

    5,420       188,120       1.0  

Randstad NV

    6,206       356,448       1.8  

Royal Dutch Shell plc, Class A

    30,578       802,990       4.1  

Wolters Kluwer NV

    10,295       773,583       4.0  
   

 

 

   
              4,726,962    
Norway                  

Equinor ASA

    4,370       78,868       0.4  

Orkla ASA

    24,730       238,738       1.2  

Telenor ASA

    15,916       287,619       1.5  

Yara International ASA

    1,540       55,926       0.3  
   

 

 

   
      661,151    
Portugal                  

Galp Energia SGPS SA

    17,650       266,701       1.4  

Jeronimo Martins SGPS SA

    5,580       96,020       0.5  
   

 

 

   
      362,721    
Singapore                  

Mapletree Industrial Trust

    17,100       34,757       0.2  
   

 

 

   
Spain                  

Aena SME SA

    630       116,601       0.6  

Amadeus IT Group SA

    1,830       143,483       0.7  

Banco Bilbao Vizcaya Argentaria SA

    66,340       343,416       1.8  

Cia de Distribucion Integral Logista Holdings SA

    54       1,212       0.0  

Iberdrola SA

    15,025       164,394       0.9  

Repsol SA

    57,515       791,566       4.1  

Telefonica SA

    103,157       697,724       3.6  
   

 

 

   
      2,258,396    
Sweden                  

Assa Abloy AB, Class B

    5,170       122,717       0.6  

Atlas Copco AB, Class A

    8,300       293,771       1.5  

Essity AB, Class B

    43,270       1,373,647       7.1  

Hennes & Mauritz AB, Class B

    32,940       722,697       3.7  

Investor AB, Class B

    15,078       825,596       4.3  

Kinnevik AB, Class B

    13,260       319,939       1.6  

Lundin Petroleum AB

    17,040       518,266       2.7  

Sandvik AB

    30,770       561,605       2.9  

Skanska AB, Class B

    16,290       377,060       1.9  

SKF AB, Class B

    9,046       165,584       0.9  

Swedish Match AB

    15,243       861,811       4.4  

Telefonaktiebolaget LM Ericsson, Class B

    28,920       227,381       1.2  

Volvo AB, Class B

    40,818       697,732       3.6  
   

 

 

   
      7,067,806    
Switzerland                  

Adecco Group AG (Registered)

    7,210       422,421       2.2  

Barry Callebaut AG (Registered)

    90       198,786       1.0  

Coca-Cola HBC AG

    36,696       1,347,924       6.9  

Geberit AG (Registered)

    2,050       1,081,850       5.6  

Kuehne + Nagel International AG (Registered)

    630       101,822       0.5  

LafargeHolcim Ltd. (Registered) .

    4,210       213,956       1.1  
     Shares     Value     % of Basket
Value
 
Switzerland (continued)                  

Logitech International SA (Registered)

    9,606     $ 430,324       2.2

Nestle SA (Registered)

    9,745       1,074,802       5.5  

Novartis AG (Registered)

    6,082       574,555       3.0  

Roche Holding AG

    6,751       2,264,749       11.7  

Schindler Holding AG

    2,803       724,030       3.7  

STMicroelectronics NV

    6,080       169,280       0.9  

Swatch Group AG (The)

    3,770       945,692       4.9  

Swiss Life Holding AG (Registered)

    378       190,011       1.0  

Swisscom AG (Registered)

    940       515,744       2.7  
   

 

 

   
              10,255,946    
United Kingdom                  

Admiral Group plc

    10,192       303,431       1.6  

Associated British Foods plc

    27,657       957,310       4.9  

AVEVA Group plc

    2,520       163,409       0.8  

BAE Systems plc

    15,400       128,020       0.7  

Berkeley Group Holdings plc

    590       40,825       0.2  

BP plc

    17,780       107,038       0.6  

British American Tobacco plc

    5,350       235,908       1.2  

BT Group plc

    61,690       131,088       0.7  

Burberry Group plc

    14,300       366,658       1.9  

Compass Group plc

    20,024       495,038       2.5  

Diageo plc

    1,820       71,968       0.4  

Experian plc

    12,862       447,700       2.3  

GlaxoSmithKline plc

    14,445       339,160       1.7  

Halma plc

    9,830       272,846       1.4  

Imperial Brands plc

    8,280       212,318       1.1  

Informa plc

    4,600       46,989       0.2  

InterContinental Hotels Group plc

    2,647       163,045       0.8  

ITV plc

    51,320       91,432       0.5  

Pearson plc

    65,409       488,208       2.5  

RELX plc

    1,180       31,308       0.2  

Rentokil Initial plc

    56,654       348,908       1.8  

Rightmove plc

    124,660       1,080,371       5.6  

Rolls-Royce Holdings plc

    18,660       164,363       0.8  

Sage Group plc (The)

    15,721       153,054       0.8  

Schroders plc

    8,920       377,668       1.9  

Smith & Nephew plc

    8,408       202,304       1.0  

Standard Chartered plc

    11,900       98,954       0.5  

Unilever plc

    27,202       1,622,637       8.4  

United Utilities Group plc

    6,220       83,228       0.4  

Vodafone Group plc

    524,720       1,030,928       5.3  

WPP plc

    8,040       99,966       0.5  
   

 

 

   
      10,356,080    
United States                  

AbbVie, Inc.

    6,540       529,871       2.7  

Accenture plc, Class A

    3,326       682,528       3.5  

Adobe, Inc.

    2,795       981,436       5.1  

Advance Auto Parts, Inc.

    1,520       200,260       1.0  

AES Corp.

    8,613       171,054       0.9  

Aflac, Inc.

    13,800       711,666       3.7  

Agilent Technologies, Inc.

    5,403       446,072       2.3  

Akamai Technologies, Inc.

    2,046       190,994       1.0  

Alexion Pharmaceuticals, Inc.

    4,650       462,164       2.4  

Alleghany Corp.

    1,070       853,496       4.4  

Allstate Corp. (The)

    7,150       847,561       4.4  

Ally Financial, Inc.

    62,474       2,001,042       10.3  

Alphabet, Inc., Class A

    370       530,129       2.7  

Amdocs Ltd.

    10,560       759,792       3.9  

Ameren Corp.

    4,626       379,563       2.0  

American Electric Power Co., Inc.

    6,294       655,961       3.4  

American Express Co.

    5,612       728,830       3.8  

American Financial Group, Inc.

    8,293       902,195       4.6  
 

 

 

14    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments   (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

American Water Works Co., Inc.

    2,660     $ 362,292       1.9

Ameriprise Financial, Inc.

    5,902       976,250       5.0  

AmerisourceBergen Corp.

    4,490       384,164       2.0  

AMETEK, Inc.

    1,778       172,733       0.9  

AO Smith Corp.

    5,740       245,041       1.3  

Applied Materials, Inc.

    2,064       119,691       0.6  

Arch Capital Group Ltd.

    6,670       294,547       1.5  

Arrow Electronics, Inc.

    3,570       271,106       1.4  

Aspen Technology, Inc.

    2,630       312,917       1.6  

Athene Holding Ltd., Class A

    1,396       60,810       0.3  

Autodesk, Inc.

    2,350       462,598       2.4  

Automatic Data Processing, Inc.

    1,392       238,575       1.2  

AutoZone, Inc.

    130       137,535       0.7  

Avery Dennison Corp.

    2,280       299,227       1.5  

Axalta Coating Systems Ltd.

    21,400       616,534       3.2  

Bank of New York Mellon Corp. (The)

    2,730       122,249       0.6  

Baxter International, Inc.

    1,740       155,243       0.8  

Best Buy Co., Inc.

    9,005       762,633       3.9  

Biogen, Inc.

    2,586       695,246       3.6  

Bio-Rad Laboratories, Inc., Class A

    1,570       566,644       2.9  

Booking Holdings, Inc.

    350       640,693       3.3  

Booz Allen Hamilton Holding Corp.

    13,057               1,018,968       5.2  

BorgWarner, Inc.

    2,210       75,781       0.4  

Bright Horizons Family Solutions, Inc.

    300       49,119       0.3  

Bristol-Myers Squibb Co.

    1,150       72,393       0.4  

Bristol-Myers Squibb Co., CVR

    2,860       9,953       0.1  

Broadridge Financial Solutions, Inc.

    1,410       168,002       0.9  

Bruker Corp.

    1,240       61,343       0.3  

Cabot Oil & Gas Corp.

    14,500       204,305       1.0  

Cadence Design Systems, Inc.

    7,544       543,998       2.8  

Capital One Financial Corp.

    3,249       324,250       1.7  

Cardinal Health, Inc.

    9,430       482,910       2.5  

Carlisle Cos., Inc.

    3,840       599,923       3.1  

CDW Corp.

    3,682       480,317       2.5  

Celanese Corp.

    2,698       279,243       1.4  

Cerner Corp.

    5,210       374,234       1.9  

CF Industries Holdings, Inc.

    1,330       53,572       0.3  

CH Robinson Worldwide, Inc.

    7,427       536,378       2.8  

Chevron Corp.

    3,183       341,027       1.8  

Cintas Corp.

    1,525       425,429       2.2  

Citigroup, Inc.

    1,980       147,332       0.8  

Citizens Financial Group, Inc.

    38,310       1,428,197       7.4  

Citrix Systems, Inc.

    13,905       1,685,564       8.7  

CMS Energy Corp.

    6,320       432,983       2.2  

Colgate-Palmolive Co.

    10,022       739,423       3.8  

Columbia Sportswear Co.

    3,287       308,715       1.6  

Comerica, Inc.

    17,387       1,063,389       5.5  

ConocoPhillips

    18,009       1,070,275       5.5  

Consolidated Edison, Inc.

    2,720       255,680       1.3  

Corteva, Inc.

    15,010       434,089       2.2  

Cummins, Inc.

    2,435       389,527       2.0  

Cypress Semiconductor Corp.

    16,020       373,747       1.9  

Darden Restaurants, Inc.

    8,333       970,211       5.0  

DaVita, Inc.

    2,470       197,279       1.0  

Delta Air Lines, Inc.

    2,400       133,776       0.7  

Devon Energy Corp.

    51,452       1,117,537       5.8  

Discover Financial Services

    3,963       297,740       1.5  

Discovery, Inc., Class C

    14,970       415,717       2.1  

Dollar General Corp.

    1,430       219,376       1.1  

Dover Corp.

    7,566       861,389       4.4  

DTE Energy Co.

    7,921       1,050,404       5.4  

Dunkin’ Brands Group, Inc.

    15,960       1,246,316       6.4  

E*TRADE Financial Corp.

    7,700       328,174       1.7  
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Eastman Chemical Co.

    810     $ 57,729       0.3

Eaton Corp. plc

    1,079       101,933       0.5  

eBay, Inc.

    24,252       813,897       4.2  

Edwards Lifesciences Corp.

    1,830       402,344       2.1  

Eli Lilly & Co.

    4,408       615,533       3.2  

Encompass Health Corp.

    6,210       478,356       2.5  

Entergy Corp.

    3,780       497,146       2.6  

EOG Resources, Inc.

    6,840       498,704       2.6  

Equitable Holdings, Inc.

    44,390               1,066,248       5.5  

Estee Lauder Cos., Inc. (The), Class A

    1,914       373,536       1.9  

Euronet Worldwide, Inc.

    1,360       214,390       1.1  

Evergy, Inc.

    4,516       325,875       1.7  

Exelon Corp.

    5,689       270,740       1.4  

Expedia Group, Inc.

    380       41,211       0.2  

Expeditors International of Washington, Inc.

    7,393       539,985       2.8  

Facebook, Inc., Class A

    250       50,478       0.3  

Fair Isaac Corp.

    1,260       506,999       2.6  

Fastenal Co.

    2,250       78,480       0.4  

Ferguson plc

    6,850       615,143       3.2  

Fifth Third Bancorp

    10,500       298,725       1.5  

FleetCor Technologies, Inc.

    1,690       532,739       2.7  

Fortinet, Inc.

    1,470       169,579       0.9  

Fortune Brands Home & Security, Inc.

    3,320       228,117       1.2  

Gap, Inc. (The)

    70,840       1,233,324       6.3  

Garmin Ltd.

    3,453       334,768       1.7  

General Mills, Inc.

    3,450       180,159       0.9  

General Motors Co.

    6,081       203,045       1.0  

Gilead Sciences, Inc.

    11,074       699,877       3.6  

Globe Life, Inc.

    7,187       749,317       3.9  

GoDaddy, Inc., Class A

    2,560       172,058       0.9  

HD Supply Holdings, Inc.

    6,056       246,721       1.3  

HEICO Corp., Class A

    4,160       399,984       2.1  

Henry Schein, Inc.

    2,700       186,138       1.0  

Hershey Co. (The)

    2,995       464,734       2.4  

Hewlett Packard Enterprise Co.

    63,175       880,028       4.5  

Hexcel Corp.

    2,660       197,425       1.0  

Hill-Rom Holdings, Inc.

    5,080       540,969       2.8  

Hilton Worldwide Holdings, Inc.

    2,825       304,535       1.6  

HollyFrontier Corp.

    13,600       610,912       3.1  

Hologic, Inc.

    11,194       599,103       3.1  

Home Depot, Inc. (The)

    882       201,184       1.0  

Honeywell International, Inc.

    6,047       1,047,461       5.4  

HP, Inc.

    37,888       807,772       4.2  

Hubbell, Inc.

    720       103,126       0.5  

IDEX Corp.

    420       68,817       0.4  

IDEXX Laboratories, Inc.

    1,380       373,994       1.9  

IHS Markit Ltd.

    2,070       163,240       0.8  

Incyte Corp.

    10,070       735,815       3.8  

Ingersoll-Rand plc

    1,980       263,795       1.4  

Intel Corp.

    670       42,833       0.2  

International Paper Co.

    15,894       647,204       3.3  

Interpublic Group of Cos., Inc. (The)

    21,566       489,548       2.5  

Intuit, Inc.

    208       58,319       0.3  

Jazz Pharmaceuticals plc

    2,770       397,080       2.0  

Johnson & Johnson

    2,200       327,514       1.7  

Johnson Controls International plc

    11,410       450,125       2.3  

JPMorgan Chase & Co.

    1,550       205,158       1.1  

Juniper Networks, Inc.

    3,540       81,208       0.4  

Kansas City Southern

    60       10,121       0.0  

KeyCorp

    5,990       112,073       0.6  

Keysight Technologies, Inc.

    3,410       317,096       1.6  

Kohl’s Corp.

    3,750       160,313       0.8  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      15  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Laboratory Corp. of America Holdings

    260     $ 45,604       0.2

Lam Research Corp.

    140       41,749       0.2  

Liberty Media Corp-Liberty SiriusXM, Class C

    23,017       1,128,293       5.8  

Lincoln National Corp.

    3,503       190,843       1.0  

LPL Financial Holdings, Inc.

    1,170       107,792       0.6  

Lululemon Athletica, Inc.

    1,110       265,723       1.4  

Marathon Oil Corp.

    62,703       712,933       3.7  

Masco Corp.

    7,671       364,526       1.9  

Maxim Integrated Products, Inc.

    5,059       304,147       1.6  

McKesson Corp.

    5,835       832,129       4.3  

Medtronic plc

    2,570       296,681       1.5  

Merck & Co., Inc.

    11,513       983,671       5.1  

MetLife, Inc.

    6,650       330,572       1.7  

Mettler-Toledo International, Inc.

    550       416,449       2.1  

Microsoft Corp.

    3,450       587,294       3.0  

Mondelez International, Inc., Class A

    6,460       370,675       1.9  

Monster Beverage Corp.

    3,230       215,118       1.1  

Morgan Stanley

    25,569       1,336,236       6.9  

NetApp, Inc.

    14,026       748,988       3.9  

Newmont Corp.

    10       451       0.0  

Nielsen Holdings plc

    41,080       838,032       4.3  

NIKE, Inc., Class B

    1,200       115,560       0.6  

NiSource, Inc.

    14,610       428,219       2.2  

Northern Trust Corp.

    2,580       252,350       1.3  

Norwegian Cruise Line Holdings Ltd.

    10,850       584,273       3.0  

NRG Energy, Inc.

    33,943               1,252,157       6.4  

NVR, Inc.

    170       648,885       3.3  

OGE Energy Corp.

    18,375       842,494       4.3  

Old Republic International Corp.

    3,930       88,622       0.5  

Omnicom Group, Inc.

    2,956       222,616       1.1  

Oracle Corp.

    23,283       1,221,193       6.3  

PACCAR, Inc.

    5,770       428,192       2.2  

Paychex, Inc.

    19,403       1,664,195       8.6  

Pentair plc

    1,170       50,228       0.3  

Philip Morris International, Inc.

    10,700       884,890       4.6  

Phillips 66

    5,440       497,053       2.6  

Pinnacle West Capital Corp.

    3,461       338,105       1.7  

Pool Corp.

    830       182,019       0.9  

PPG Industries, Inc.

    3,800       455,392       2.3  

Public Service Enterprise Group, Inc.

    3,920       232,064       1.2  

PulteGroup, Inc.

    730       32,595       0.2  

PVH Corp.

    1,160       101,117       0.5  

Qorvo, Inc.

    5,510       583,289       3.0  

Quest Diagnostics, Inc.

    2,400       265,608       1.4  

Raymond James Financial, Inc.

    9,730       889,614       4.6  

Regeneron Pharmaceuticals, Inc.

    830       280,490       1.4  

Regions Financial Corp.

    78,734       1,225,888       6.3  

Reliance Steel & Aluminum Co.

    4,790       549,892       2.8  

Republic Services, Inc.

    6,210       590,261       3.0  

Robert Half International, Inc.

    21,136       1,229,481       6.3  

Rockwell Automation, Inc.

    850       162,911       0.8  

Royal Gold, Inc.

    1,560       179,899       0.9  

S&P Global, Inc.

    1,440       422,971       2.2  

Sabre Corp.

    4,090       88,099       0.5  

salesforce.com, Inc.

    450       82,040       0.4  

Sealed Air Corp.

    7,141       253,506       1.3  

SEI Investments Co.

    4,000       261,040       1.3  

Sempra Energy

    630       101,203       0.5  

Sherwin-Williams Co. (The)

    140       77,979       0.4  

Signature Bank

    760       107,836       0.6  

Southern Co. (The)

    3,410       240,064       1.2  

Southwest Airlines Co.

    3,421       188,087       1.0  
     Shares     Value     % of Basket
Value
 
United States (continued)        

Spirit AeroSystems Holdings, Inc., Class A

    3,478     $ 227,183       1.2

Starbucks Corp.

    20,977       1,779,479       9.2  

STERIS plc

    2,208       332,724       1.7  

Stryker Corp.

    3,802       801,081       4.1  

Synchrony Financial

    24,186       783,868       4.0  

Synopsys, Inc.

    1,450       213,890       1.1  

T Rowe Price Group, Inc.

    5,167       689,950       3.6  

Target Corp.

    850       94,129       0.5  

Teledyne Technologies, Inc.

    1,302       475,308       2.4  

Teradyne, Inc.

    21,514       1,419,709       7.3  

Texas Instruments, Inc.

    3,520       424,688       2.2  

TJX Cos., Inc. (The)

    10,870       641,765       3.3  

T-Mobile US, Inc.

    580       45,930       0.2  

Toro Co. (The)

    910       72,818       0.4  

Tractor Supply Co.

    4,410       409,910       2.1  

United Continental Holdings, Inc.

    17,595       1,316,106       6.8  

United Parcel Service, Inc., Class B

    2,180       225,674       1.2  

Universal Health Services, Inc., Class B

    3,730       511,420       2.6  

US Bancorp

    1,069       56,892       0.3  

VeriSign, Inc.

    11,394       2,371,547       12.2  

Vertex Pharmaceuticals, Inc.

    3,852       874,597       4.5  

ViacomCBS, Inc.

    2,803       95,666       0.5  

Vistra Energy Corp.

    9,300       209,436       1.1  

VMware, Inc., Class A

    2,060       305,004       1.6  

WEC Energy Group, Inc.

    271       27,070       0.1  

West Pharmaceutical Services, Inc.

    3,617       564,071       2.9  

Western Union Co. (The)

    8,280       222,732       1.1  

Whirlpool Corp.

    2,310       337,653       1.7  

Workday, Inc., Class A

    2,240       413,571       2.1  

WR Berkley Corp.

    15,246       1,121,038       5.8  

WW Grainger, Inc.

    1,352       409,210       2.1  

Xcel Energy, Inc.

    2,630       181,970       0.9  

Xerox Holdings Corp.

    15,676       557,595       2.9  

Yum! Brands, Inc.

    12,082       1,277,913       6.6  

Zebra Technologies Corp., Class A

    260       62,145       0.3  

Zions Bancorp NA

    14,138       643,138       3.3  
   

 

 

   
      113,661,270    
   

 

 

   

Total Reference Entity — Long

 

            226,094,335    
   

 

 

   

Reference Entity — Short

 

Australia                  

Australia & New Zealand Banking Group Ltd.

    (31,260     (532,119     (2.7 )% 

Brambles Ltd.

    (25,830     (215,743     (1.1

Commonwealth Bank of Australia

    (15,982     (904,861     (4.7

Fortescue Metals Group Ltd.

    (125,224     (927,638     (4.8

Insurance Australia Group Ltd.

    (144,520     (679,547     (3.5

Lendlease Group

    (18,546     (222,742     (1.1

National Australia Bank Ltd.

    (47,385     (809,437     (4.2

Origin Energy Ltd.

    (22,621     (122,372     (0.6

Qantas Airways Ltd.

    (13,270     (56,262     (0.3

Ramsay Health Care Ltd.

    (5,370     (282,475     (1.5

Sonic Healthcare Ltd.

    (3,760     (78,812     (0.4

Transurban Group

    (64,820     (675,669     (3.5

Westpac Banking Corp.

    (64,997     (1,086,193     (5.6

WiseTech Global Ltd.

    (44,360     (724,881     (3.7

Woodside Petroleum Ltd.

    (30,310     (694,419     (3.6
   

 

 

   
      (8,013,170  
Belgium                  

Anheuser-Busch InBev SA/NV

    (8,678     (654,669     (3.4

Galapagos NV

    (1,330     (297,254     (1.5
 

 

 

16    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments   (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Belgium (continued)                  

Umicore SA

    (27,306   $         (1,257,261     (6.5 )% 
   

 

 

   
      (2,209,184  
Bermuda                  

RenaissanceRe Holdings Ltd.

    (1,190     (225,434     (1.2
   

 

 

   
Canada                  

Alimentation Couche-Tard, Inc., Class B

    (4,900     (163,765     (0.8

Barrick Gold Corp.

    (26,040     (482,261     (2.5

Brookfield Asset Management, Inc., Class A

    (7,330     (448,669     (2.3

Canadian National Railway Co.

    (9,960     (930,749     (4.8

Dollarama, Inc.

    (1,420     (48,381     (0.3

Enbridge, Inc.

    (23,218     (944,054     (4.9

Franco-Nevada Corp.

    (1,860     (211,425     (1.1

Great-West Lifeco, Inc.

    (4,820     (124,889     (0.6

Intact Financial Corp.

    (12,730     (1,379,099     (7.1

Inter Pipeline Ltd.

    (18,210     (303,408     (1.6

Loblaw Cos. Ltd.

    (5,370     (280,957     (1.5

Metro, Inc.

    (17,380     (708,517     (3.7

Pembina Pipeline Corp.

    (8,118     (310,881     (1.6

Shopify, Inc., Class A

    (900     (419,145     (2.2

Wheaton Precious Metals Corp.

    (20,490     (603,212     (3.1
   

 

 

   
      (7,359,412  
China                  

BeiGene Ltd., ADR

    (2,410     (367,188     (1.9
   

 

 

   
Denmark                  

Chr Hansen Holding A/S

    (5,646     (420,191     (2.2

Coloplast A/S, Class B

    (310     (39,085     (0.2

Danske Bank A/S

    (4,270     (71,280     (0.4

DSV PANALPINA A/S

    (12,550     (1,362,539     (7.0

Orsted A/S

    (10,217     (1,114,386     (5.7

Vestas Wind Systems A/S

    (510     (50,626     (0.2
   

 

 

   
      (3,058,107  
Finland                  

Elisa OYJ

    (5,999     (361,414     (1.9

Neste OYJ

    (13,890     (552,721     (2.8

Nokia OYJ

    (113,628     (442,320     (2.3

Nordea Bank Abp

    (152,477     (1,201,894     (6.2

Sampo OYJ, Class A

    (12,170     (550,902     (2.8

Stora Enso OYJ, Class R

    (9,170     (119,031     (0.6

Wartsila OYJ Abp

    (57,665     (708,283     (3.6
   

 

 

   
      (3,936,565  
France                  

Accor SA

    (29,536     (1,209,211     (6.2

Aeroports de Paris

    (2,978     (563,439     (2.9

Air Liquide SA

    (1,570     (227,006     (1.2

Airbus SE

    (1,843     (270,671     (1.4

Atos SE

    (1,220     (101,173     (0.5

AXA SA

    (16,140     (429,188     (2.2

BNP Paribas SA

    (2,620     (139,037     (0.7

Cie Generale des Etablissements Michelin SCA

    (3,440     (399,120     (2.1

Edenred

    (1,580     (85,323     (0.4

Electricite de France SA

    (44,473     (549,032     (2.8

EssilorLuxottica SA

    (7,006     (1,037,298     (5.3

Faurecia SE

    (3,300     (157,234     (0.8

Getlink

    (8,117     (143,194     (0.7

Iliad SA

    (480     (62,996     (0.3

Ingenico Group SA

    (8,100     (941,975     (4.9

LVMH Moet Hennessy Louis Vuitton SE

    (1,220     (531,276     (2.7
     Shares     Value     % of Basket
Value
 
France (continued)                  

Natixis SA

    (20,220   $ (85,387     (0.4 )% 

Pernod Ricard SA

    (800     (138,510     (0.7

Remy Cointreau SA

    (1,601     (168,607     (0.9

Renault SA

    (6,232     (243,754     (1.3

SCOR SE

    (9,840     (418,229     (2.2

Societe Generale SA

    (14,281     (462,129     (2.4

Teleperformance

    (1,476     (370,325     (1.9

Thales SA

    (760     (83,396     (0.4

Ubisoft Entertainment SA

    (570     (43,230     (0.2

Valeo SA

    (14,653     (435,211     (2.2

Worldline SA/France

    (5,820     (410,112     (2.1
   

 

 

   
              (9,706,063  
Germany                  

Bayer AG (Registered)

    (990     (79,453     (0.4

Bayerische Motoren Werke AG

    (13,548     (965,044     (5.0

Beiersdorf AG

    (440     (49,969     (0.3

Carl Zeiss Meditec AG

    (240     (29,302     (0.2

Commerzbank AG

    (68,191     (391,313     (2.0

Daimler AG (Registered)

    (12,960     (600,139     (3.1

Deutsche Bank AG (Registered)

    (72,470     (663,025     (3.4

Deutsche Boerse AG

    (2,310     (374,967     (1.9

Deutsche Lufthansa AG (Registered)

    (7,580     (115,471     (0.6

Deutsche Wohnen SE

    (1,782     (75,397     (0.4

E.ON SE

    (58,350     (661,163     (3.4

Fresenius SE & Co. KGaA

    (1,700     (86,803     (0.4

Infineon Technologies AG

    (9,425     (202,477     (1.0

MTU Aero Engines AG

    (910     (275,607     (1.4

Porsche Automobil Holding SE (Preference)

    (14,440     (973,703     (5.0

Puma SE

    (2,940     (235,414     (1.2

SAP SE

    (2,770     (360,741     (1.9

Siemens AG (Registered)

    (350     (43,168     (0.2

thyssenkrupp AG

    (41,667     (512,340     (2.6

TUI AG

    (31,133     (318,973     (1.6

Uniper SE

    (7,584     (248,457     (1.3

United Internet AG (Registered)

    (13,163     (425,542     (2.2

Vonovia SE

    (5,390     (307,641     (1.6

Wirecard AG

    (5,600     (827,263     (4.3

Zalando SE

    (1,700     (81,396     (0.4
   

 

 

   
      (8,904,768  
Italy                  

Davide Campari-Milano SpA

    (4,330     (41,854     (0.2

FinecoBank Banca Fineco SpA

    (38,740     (453,281     (2.3

Poste Italiane SpA

    (15,450     (176,980     (0.9

Recordati SpA

    (7,410     (317,079     (1.6

Telecom Italia SpA

    (130,510     (70,072     (0.4

Terna Rete Elettrica Nazionale SpA

    (5,520     (38,509     (0.2
   

 

 

   
      (1,097,775  
Japan                  

Advantest Corp.

    (1,000     (52,171     (0.3

ANA Holdings, Inc.

    (10,500     (327,959     (1.7

Asahi Intecc Co. Ltd.

    (10,000     (275,527     (1.4

Bandai Namco Holdings, Inc.

    (8,100     (470,679     (2.4

Chubu Electric Power Co., Inc.

    (47,800     (649,157     (3.3

Chugai Pharmaceutical Co. Ltd.

    (200     (20,486     (0.1

Daifuku Co. Ltd.

    (3,800     (228,801     (1.2

Dai-ichi Life Holdings, Inc.

    (9,400     (139,507     (0.7

Daito Trust Construction Co. Ltd.

    (1,200     (141,356     (0.7

Daiwa House Industry Co. Ltd.

    (10,000     (314,824     (1.6

Disco Corp.

    (2,400     (552,824     (2.8

Eisai Co. Ltd.

    (2,600     (195,940     (1.0

FamilyMart Co. Ltd.

    (4,500     (98,416     (0.5
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      17  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Japan (continued)                  

FANUC Corp.

    (1,500   $ (273,195     (1.4 )% 

Idemitsu Kosan Co. Ltd.

    (29,600     (738,765     (3.8

Isuzu Motors Ltd.

    (7,000     (68,582     (0.4

Japan Airlines Co. Ltd.

    (42,700     (1,201,171     (6.2

Japan Tobacco, Inc.

    (21,000     (444,034     (2.3

JFE Holdings, Inc.

    (16,300     (193,023     (1.0

Kajima Corp.

    (14,900     (189,027     (1.0

Kansai Electric Power Co., Inc. (The)

    (15,800     (177,321     (0.9

KDDI Corp.

    (19,700     (595,316     (3.1

Keyence Corp.

    (600     (201,694     (1.0

Koito Manufacturing Co. Ltd.

    (3,200     (138,869     (0.7

Komatsu Ltd.

    (17,100     (378,099     (1.9

Kose Corp.

    (1,300     (167,389     (0.9

Kubota Corp.

    (33,600     (526,162     (2.7

LINE Corp.

    (15,600     (768,704     (4.0

M3, Inc.

    (1,100     (32,016     (0.2

MINEBEA MITSUMI, Inc.

    (4,400     (85,474     (0.4

Mitsubishi Estate Co. Ltd.

    (7,600     (148,842     (0.8

Mitsui Fudosan Co. Ltd.

    (13,500     (357,554     (1.8

Mizuho Financial Group, Inc.

    (149,500     (221,698     (1.1

Murata Manufacturing Co. Ltd.

    (5,400     (305,720     (1.6

Nexon Co. Ltd.

    (17,800     (241,064     (1.2

Nidec Corp.

    (5,100     (641,431     (3.3

Nippon Telegraph & Telephone Corp.

    (4,500     (114,737     (0.6

NTT DOCOMO, Inc.

    (19,900     (565,407     (2.9

Obic Co. Ltd.

    (3,400     (463,289     (2.4

Oriental Land Co. Ltd.

    (2,600     (338,611     (1.7

PeptiDream, Inc.

    (15,500     (733,733     (3.8

Rakuten, Inc.

    (137,500     (1,060,737     (5.5

Resona Holdings, Inc.

    (41,000     (169,078     (0.9

Shimadzu Corp.

    (9,500     (266,617     (1.4

Shimano, Inc.

    (2,500     (383,319     (2.0

Shin-Etsu Chemical Co. Ltd.

    (1,500     (171,546     (0.9

Shiseido Co. Ltd.

    (8,100     (521,483     (2.7

SMC Corp.

    (1,000     (431,669     (2.2

SoftBank Group Corp.

    (17,800     (718,667     (3.7

Subaru Corp.

    (1,000     (25,012     (0.1

Sumitomo Metal Mining Co. Ltd.

    (3,900     (110,879     (0.6

Sumitomo Mitsui Trust Holdings, Inc.

    (2,400     (88,488     (0.5

Suzuki Motor Corp.

    (1,100     (50,331     (0.3

Sysmex Corp.

    (3,500     (250,391     (1.3

Taisei Corp.

    (9,600     (383,268     (2.0

Terumo Corp.

    (8,000     (287,966     (1.5

Tokyo Electric Power Co. Holdings, Inc.

    (76,100     (301,348     (1.6

Tokyo Gas Co. Ltd.

    (9,500     (208,867     (1.1

Toyota Motor Corp.

    (6,500     (451,930     (2.3

Unicharm Corp.

    (9,000     (308,013     (1.6

Yaskawa Electric Corp.

    (20,300     (694,905     (3.6

ZOZO, Inc.

    (26,000     (433,049     (2.2
   

 

 

   
              (21,096,137  
Luxembourg                  

ArcelorMittal SA

    (38,340     (563,139     (2.9

Eurofins Scientific SE

    (488     (262,473     (1.4

SES SA, FDR

    (6,680     (81,982     (0.4
   

 

 

   
      (907,594  
Netherlands                  

ABN AMRO Bank NV, CVA

    (8,520     (148,295     (0.8

Aegon NV

    (175,970     (712,661     (3.7

ASML Holding NV

    (640     (179,608     (0.9

Heineken NV

    (3,530     (384,089     (2.0
     Shares     Value     % of Basket
Value
 
Netherlands (continued)                  

Koninklijke Vopak NV

    (5,450   $ (291,827     (1.5 )% 
   

 

 

   
      (1,716,480  
Norway                  

Aker BP ASA

    (5,840     (164,497     (0.8

Mowi ASA

    (21,992     (524,548     (2.7

Norsk Hydro ASA

    (134,873     (421,525     (2.2
   

 

 

   
      (1,110,570  
Portugal                  

EDP — Energias de Portugal SA

    (78,860     (395,478     (2.1
   

 

 

   
South Africa                  

Anglo American plc

    (7,590     (198,054     (1.0

Mondi plc

    (18,720     (380,892     (2.0
   

 

 

   
      (578,946  
Spain                  

Banco Santander SA

    (48,852     (192,521     (1.0

CaixaBank SA

    (120,910     (353,392     (1.8

Cellnex Telecom SA

    (18,756     (932,833     (4.8

Cia de Distribucion Integral Logista Holdings SA

    (54     (1,212     (0.0

Endesa SA

    (17,810     (489,011     (2.5

Ferrovial SA

    (8,328     (264,543     (1.4

Grifols SA

    (29,904     (1,004,334     (5.2

Industria de Diseno Textil SA

    (8,110     (272,716     (1.4

Siemens Gamesa Renewable Energy SA

    (78,807     (1,256,074     (6.5
   

 

 

   
      (4,766,636  
Sweden                  

Alfa Laval AB

    (4,650     (116,079     (0.6

Boliden AB

    (7,600     (180,426     (0.9

Electrolux AB

    (940     (22,331     (0.1

Hexagon AB, Class B

    (9,733     (529,123     (2.7

ICA Gruppen AB

    (1,630     (71,670     (0.4

Skandinaviska Enskilda Banken AB, Class A

    (7,580     (74,905     (0.4

Svenska Handelsbanken AB, Class A

    (86,200     (844,520     (4.3

Swedbank AB, Class A

    (34,340     (527,247     (2.7

Tele2 AB, Class B

    (31,630     (477,205     (2.5

Telia Co. AB

    (12,270     (52,472     (0.3
   

 

 

   
              (2,895,978  
Switzerland                  

Alcon, Inc.

    (1,640     (96,888     (0.5

Baloise Holding AG (Registered)

    (3,951     (713,861     (3.7

Cie Financiere Richemont SA (Registered)

    (23,676     (1,719,417     (8.9

Clariant AG (Registered)

    (7,330     (164,996     (0.9

Credit Suisse Group AG (Registered)

    (60,749     (768,169     (4.0

Givaudan SA (Registered)

    (66     (217,765     (1.1

Julius Baer Group Ltd.

    (1,198     (59,861     (0.3

Lonza Group AG (Registered)

    (2,140     (878,877     (4.5

Partners Group Holding AG

    (620     (567,582     (2.9

SGS SA (Registered)

    (60     (173,560     (0.9

Sika AG (Registered)

    (6,052     (1,088,304     (5.6

Sonova Holding AG (Registered)

    (840     (210,648     (1.1

Straumann Holding AG (Registered)

    (110     (104,845     (0.5

Swiss Re AG

    (8,820     (995,945     (5.1

Temenos AG (Registered)

    (1,530     (246,129     (1.3

UBS Group AG (Registered)

    (5,880     (73,027     (0.4
   

 

 

   
      (8,079,874  
 

 

 

18    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments   (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United Kingdom                  

3i Group plc

    (33,650   $ (489,499     (2.5 )% 

Ashtead Group plc

    (1,500     (48,417     (0.2

Aviva plc

    (93,420     (489,567     (2.5

Barclays plc

    (91,370     (201,774     (1.0

Barratt Developments plc

    (31,870     (337,425     (1.7

Bunzl plc

    (10,715     (277,521     (1.4

CNH Industrial NV

    (29,171     (277,854     (1.4

Croda International plc

    (6,060     (397,953     (2.0

DCC plc

    (10,967     (885,497     (4.6

DS Smith plc

    (121,243     (543,590     (2.8

Fiat Chrysler Automobiles NV

    (35,720     (465,333     (2.4

Hargreaves Lansdown plc

    (26,947     (611,684     (3.2

International Consolidated Airlines Group SA

    (9,910     (74,264     (0.4

Intertek Group plc

    (1,753     (133,014     (0.7

Johnson Matthey plc

    (17,770     (609,264     (3.1

Lloyds Banking Group plc

    (336,170     (250,963     (1.3

London Stock Exchange Group plc

    (6,650     (687,216     (3.5

Melrose Industries plc

    (118,400     (362,859     (1.9

National Grid plc

    (51,355     (682,337     (3.5

Ocado Group plc

    (28,410     (458,074     (2.4

Persimmon plc

    (5,420     (218,199     (1.1

Prudential plc

    (3,930     (69,877     (0.4

Reckitt Benckiser Group plc

    (20,759     (1,718,293     (8.9

Royal Bank of Scotland Group plc

    (293,250     (839,928     (4.3

RSA Insurance Group plc

    (78,841     (572,013     (2.9

Severn Trent plc

    (11,450     (389,938     (2.0

Smiths Group plc

    (80,116     (1,781,364     (9.2

Spirax-Sarco Engineering plc

    (12,344     (1,450,111     (7.5

SSE plc

    (3,780     (75,244     (0.4

St James’s Place plc

    (101,542     (1,527,160     (7.9

Taylor Wimpey plc

    (134,928     (383,249     (2.0

Tesco plc

    (44,310     (144,119     (0.7

Whitbread plc

    (5,935     (349,862     (1.8
   

 

 

   
              (17,803,462  
United States                  

3M Co.

    (6,146     (975,124     (5.0

Abbott Laboratories

    (5,020     (437,443     (2.3

ABIOMED, Inc.

    (1,810     (337,185     (1.7

Activision Blizzard, Inc.

    (1,250     (73,100     (0.4

Alaska Air Group, Inc.

    (3,898     (251,772     (1.3

Albemarle Corp.

    (2,966     (238,110     (1.2

Align Technology, Inc.

    (450     (115,695     (0.6

Alnylam Pharmaceuticals, Inc.

    (5,336     (612,519     (3.2

Altria Group, Inc.

    (12,366     (587,756     (3.0

Amazon.com, Inc.

    (50     (100,436     (0.5

American Airlines Group, Inc.

    (26,950     (723,338     (3.7

American International Group, Inc.

    (21,632     (1,087,224     (5.6

Analog Devices, Inc.

    (1,960     (215,110     (1.1

Apache Corp.

    (13,730     (376,751     (1.9

Apple, Inc.

    (210     (64,997     (0.3

Aqua America, Inc.

    (30,421     (1,580,067     (8.1

Aramark

    (4,250     (187,595     (1.0

Archer-Daniels-Midland Co.

    (19,740     (883,562     (4.6

Arconic, Inc.

    (12,463     (373,267     (1.9

Arista Networks, Inc.

    (1,946     (434,620     (2.2

Arthur J Gallagher & Co.

    (9,852     (1,010,520     (5.2

AT&T, Inc.

    (3,780     (142,204     (0.7

Baker Hughes Co.

    (21,533     (466,405     (2.4

Ball Corp.

    (10,363     (748,001     (3.9

Bausch Health Cos., Inc.

    (9,150     (250,985     (1.3

Becton Dickinson and Co.

    (7,059     (1,942,496     (10.0

BioMarin Pharmaceutical, Inc.

    (1,713     (143,035     (0.7

Bio-Techne Corp.

    (2,666     (559,780     (2.9
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Black Knight, Inc.

    (11,730   $ (784,972     (4.0 )% 

Boeing Co. (The)

    (4,210     (1,339,917     (6.9

Boston Scientific Corp.

    (17,318     (725,105     (3.7

Broadcom, Inc.

    (440     (134,270     (0.7

Brown & Brown, Inc.

    (17,750     (796,975     (4.1

Brown-Forman Corp., Class B

    (8,223     (556,204     (2.9

Bunge Ltd.

    (870     (45,614     (0.2

Caesars Entertainment Corp.

    (29,460     (402,718     (2.1

CarMax, Inc.

    (3,260     (316,350     (1.6

Catalent, Inc.

    (18,570     (1,134,627     (5.8

Caterpillar, Inc.

    (4,521     (593,833     (3.1

Cboe Global Markets, Inc.

    (7,168     (883,241     (4.6

Centene Corp.

    (1,230     (77,256     (0.4

CenterPoint Energy, Inc.

    (1,630     (43,162     (0.2

CenturyLink, Inc.

    (24,580     (335,763     (1.7

Ceridian HCM Holding, Inc.

    (6,946     (509,072     (2.6

Charles Schwab Corp. (The)

    (4,143     (188,714     (1.0

Charter Communications, Inc., Class A

    (582     (301,162     (1.6

Chipotle Mexican Grill, Inc.

    (550     (476,718     (2.5

Church & Dwight Co., Inc.

    (5,066     (375,999     (1.9

Cigna Corp.

    (4,800     (923,424     (4.8

Cisco Systems, Inc.

    (2,590     (119,062     (0.6

Clorox Co. (The)

    (2,870     (451,480     (2.3

CME Group, Inc.

    (1,732     (376,035     (1.9

Coca-Cola Co. (The)

    (23,410     (1,367,144     (7.0

Cognex Corp.

    (6,473     (329,929     (1.7

Commerce Bancshares, Inc.

    (3,790     (256,431     (1.3

Conagra Brands, Inc.

    (35,430     (1,166,356     (6.0

Concho Resources, Inc.

    (7,131     (540,387     (2.8

Constellation Brands, Inc., Class A

    (2,835     (533,830     (2.8

Continental Resources, Inc.

    (4,298     (116,992     (0.6

Cooper Cos., Inc. (The)

    (260     (90,191     (0.5

Corning, Inc.

    (5,230     (139,589     (0.7

CoStar Group, Inc.

    (1,120     (731,349     (3.8

Costco Wholesale Corp.

    (940     (287,189     (1.5

Credit Acceptance Corp.

    (150     (64,347     (0.3

Crown Holdings, Inc.

    (4,969     (367,855     (1.9

Danaher Corp.

    (3,547     (570,606     (2.9

Deere & Co.

    (6,271     (994,455     (5.1

Dell Technologies, Inc., Class C

    (1,580     (77,057     (0.4

DexCom, Inc.

    (1,920     (462,240     (2.4

Diamondback Energy, Inc.

    (3,637     (270,593     (1.4

DISH Network Corp., Class A

    (4,870     (179,021     (0.9

DocuSign, Inc.

    (1,560     (122,476     (0.6

Dollar Tree, Inc.

    (380     (33,087     (0.2

Dominion Energy, Inc.

    (13,768             (1,180,606     (6.1

Dow, Inc.

    (13,580     (625,631     (3.2

DR Horton, Inc.

    (4,320     (255,744     (1.3

DuPont de Nemours, Inc.

    (6,469     (331,083     (1.7

DXC Technology Co.

    (16,700     (532,396     (2.7

East West Bancorp, Inc.

    (370     (16,961     (0.1

Edison International

    (4,710     (360,550     (1.9

Elanco Animal Health, Inc.

    (10,040     (310,236     (1.6

Emerson Electric Co.

    (1,220     (87,389     (0.5

EPAM Systems, Inc.

    (1,640     (374,150     (1.9

Equifax, Inc.

    (10,239     (1,534,826     (7.9

Erie Indemnity Co., Class A

    (1,740     (289,710     (1.5

Everest Re Group Ltd.

    (960     (265,507     (1.4

Eversource Energy

    (895     (82,734     (0.4

Exact Sciences Corp.

    (2,278     (212,492     (1.1

Exxon Mobil Corp.

    (5,860     (364,023     (1.9

FedEx Corp.

    (2,190     (316,762     (1.6

Fidelity National Information Services, Inc.

    (3,900     (560,274     (2.9
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      19  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

First Republic Bank

    (3,152   $ (349,494     (1.8 )% 

Fiserv, Inc.

    (3,332     (395,209     (2.0

FLIR Systems, Inc.

    (5,650     (291,201     (1.5

Flowserve Corp.

    (1,388     (64,792     (0.3

FMC Corp.

    (1,220     (116,620     (0.6

Ford Motor Co.

    (63,170     (557,159     (2.9

Fortive Corp.

    (790     (59,195     (0.3

Franklin Resources, Inc.

    (6,490     (164,197     (0.8

Freeport-McMoRan, Inc.

    (68,505     (760,405     (3.9

Gardner Denver Holdings, Inc.

    (14,820     (523,294     (2.7

Gartner, Inc.

    (7,018     (1,128,354     (5.8

GCI Liberty, Inc., Class A

    (1,560     (114,161     (0.6

General Electric Co.

    (27,434     (341,553     (1.8

Gentex Corp.

    (2,500     (74,425     (0.4

Genuine Parts Co.

    (5,500     (514,635     (2.7

Global Payments, Inc.

    (1,630     (318,583     (1.6

Guidewire Software, Inc.

    (18,168     (2,043,900     (10.5

Halliburton Co.

    (12,817     (279,539     (1.4

Hasbro, Inc.

    (1,050     (106,963     (0.6

Herbalife Nutrition Ltd.

    (1,730     (67,210     (0.3

Hess Corp.

    (1,840     (104,089     (0.5

Hormel Foods Corp.

    (27,064             (1,279,045     (6.6

Huntington Bancshares, Inc.

    (26,140     (354,720     (1.8

Huntington Ingalls Industries, Inc.

    (690     (180,090     (0.9

Illinois Tool Works, Inc.

    (670     (117,237     (0.6

Illumina, Inc.

    (480     (139,234     (0.7

Intercontinental Exchange, Inc.

    (4,550     (453,817     (2.3

International Flavors & Fragrances, Inc.

    (2,220     (291,064     (1.5

Intuitive Surgical, Inc.

    (1,370     (766,899     (4.0

Ionis Pharmaceuticals, Inc.

    (720     (41,990     (0.2

IPG Photonics Corp.

    (4,140     (528,554     (2.7

IQVIA Holdings, Inc.

    (1,870     (290,317     (1.5

Jack Henry & Associates, Inc.

    (630     (94,210     (0.5

Jacobs Engineering Group, Inc.

    (7,824     (723,955     (3.7

JM Smucker Co. (The)

    (780     (80,816     (0.4

Jones Lang LaSalle, Inc.

    (1,660     (281,901     (1.5

Kellogg Co.

    (8,330     (568,189     (2.9

Keurig Dr Pepper, Inc.

    (15,639     (446,181     (2.3

Kimberly-Clark Corp.

    (710     (101,700     (0.5

Kinder Morgan, Inc.

    (9,996     (208,617     (1.1

Kraft Heinz Co. (The)

    (12,090     (353,028     (1.8

L3Harris Technologies, Inc.

    (760     (168,211     (0.9

Lamb Weston Holdings, Inc.

    (2,880     (262,973     (1.4

Las Vegas Sands Corp.

    (8,900     (581,259     (3.0

Leidos Holdings, Inc.

    (2,450     (246,151     (1.3

Lennar Corp., Class A

    (5,969     (396,103     (2.0

Lennox International, Inc.

    (1,180     (274,916     (1.4

Liberty Broadband Corp., Class C

    (2,660     (353,594     (1.8

Live Nation Entertainment, Inc.

    (9,878     (673,284     (3.5

Lowe’s Cos., Inc.

    (1,570     (182,497     (0.9

Marathon Petroleum Corp.

    (16,177     (881,646     (4.5

Markel Corp.

    (171     (200,578     (1.0

MarketAxess Holdings, Inc.

    (1,140     (403,765     (2.1

Marriott International, Inc., Class A

    (3,680     (515,421     (2.7

Marsh & McLennan Cos., Inc.

    (4,290     (479,879     (2.5

Martin Marietta Materials, Inc.

    (1,133     (298,885     (1.5

Marvell Technology Group Ltd.

    (8,697     (209,076     (1.1

McCormick & Co., Inc. (Non-Voting)

    (6,343     (1,036,256     (5.3

McDonald’s Corp.

    (2,140     (457,896     (2.4

MGM Resorts International

    (8,441     (262,177     (1.4

Microchip Technology, Inc.

    (1,080     (105,278     (0.5

Middleby Corp. (The)

    (2,110     (236,658     (1.2

Mohawk Industries, Inc.

    (1,010     (132,997     (0.7

Molina Healthcare, Inc.

    (1,240     (152,483     (0.8
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Molson Coors Beverage Co., Class B

    (7,420   $ (412,404     (2.1 )% 

Mosaic Co. (The)

    (11,281     (223,815     (1.2

MSCI, Inc.

    (910     (260,078     (1.3

Nasdaq, Inc.

    (6,270     (730,204     (3.8

Netflix, Inc.

    (4,112             (1,419,010     (7.3

Newell Brands, Inc.

    (16,209     (316,562     (1.6

Noble Energy, Inc.

    (15,524     (306,909     (1.6

Nordson Corp.

    (4,989     (842,443     (4.3

Norfolk Southern Corp.

    (2,500     (520,525     (2.7

NortonLifeLock, Inc.

    (13,271     (377,162     (1.9

NVIDIA Corp.

    (3,140     (742,390     (3.8

Occidental Petroleum Corp.

    (21,850     (867,882     (4.5

Okta, Inc.

    (3,010     (385,430     (2.0

Old Dominion Freight Line, Inc.

    (670     (131,474     (0.7

ONEOK, Inc.

    (9,120     (682,814     (3.5

Packaging Corp. of America

    (1,200     (114,900     (0.6

Palo Alto Networks, Inc.

    (630     (147,911     (0.8

Parker-Hannifin Corp.

    (1,240     (242,656     (1.3

Paycom Software, Inc.

    (469     (149,217     (0.8

PerkinElmer, Inc.

    (1,437     (132,894     (0.7

Pfizer, Inc.

    (12,070     (449,487     (2.3

Pilgrim’s Pride Corp.

    (8,550     (222,728     (1.2

Pioneer Natural Resources Co.

    (3,208     (433,080     (2.2

Post Holdings, Inc.

    (6,272     (655,863     (3.4

PRA Health Sciences, Inc.

    (730     (73,956     (0.4

Procter & Gamble Co. (The)

    (1,570     (195,653     (1.0

Progressive Corp. (The)

    (1,520     (122,649     (0.6

Prudential Financial, Inc.

    (3,510     (319,621     (1.6

PTC, Inc.

    (5,530     (459,654     (2.4

QIAGEN NV

    (17,240             (575,830)       (3.0

QUALCOMM, Inc.

    (860     (73,367     (0.4

Reinsurance Group of America, Inc.

    (2,110     (303,945     (1.6

ResMed, Inc.

    (2,832     (450,203     (2.3

Rollins, Inc.

    (4,750     (180,262     (0.9

Roper Technologies, Inc.

    (280     (106,865     (0.6

Ross Stores, Inc.

    (540     (60,583     (0.3

Royal Caribbean Cruises Ltd.

    (930     (108,884     (0.6

RPM International, Inc.

    (2,070     (147,736     (0.8

Sage Therapeutics, Inc.

    (7,561     (501,143     (2.6

Seattle Genetics, Inc.

    (4,963     (537,940     (2.8

ServiceMaster Global Holdings, Inc.

    (4,240     (152,852     (0.8

Skyworks Solutions, Inc.

    (2,420     (273,823     (1.4

Splunk, Inc.

    (930     (144,392     (0.7

Square, Inc., Class A

    (5,340     (398,845     (2.1

SS&C Technologies Holdings, Inc.

    (3,290     (207,303     (1.1

Stanley Black & Decker, Inc.

    (4,858     (774,025     (4.0

State Street Corp.

    (9,235     (698,443     (3.6

Steel Dynamics, Inc.

    (2,850     (85,158     (0.4

Targa Resources Corp.

    (19,289     (704,048     (3.6

TD Ameritrade Holding Corp.

    (820     (38,934     (0.2

Teleflex, Inc.

    (1,598     (593,673     (3.1

Tesla, Inc.

    (1,910     (1,242,589     (6.4

Thermo Fisher Scientific, Inc.

    (510     (159,727     (0.8

Tiffany & Co.

    (2,923     (391,740     (2.0

TransUnion

    (2,548     (233,652     (1.2

Travelers Cos., Inc. (The)

    (2,260     (297,461     (1.5

Trimble, Inc.

    (1,870     (79,512     (0.4

Truist Financial Corp.

    (8,939     (460,984     (2.4

Twilio, Inc., Class A

    (9,730     (1,209,828     (6.2

Tyler Technologies, Inc.

    (2,140     (692,675     (3.6

Tyson Foods, Inc., Class A

    (3,720     (307,384     (1.6

Ubiquiti, Inc.

    (2,870     (469,015     (2.4

UGI Corp.

    (2,530     (105,223     (0.5

Union Pacific Corp.

    (2,130     (382,165     (2.0
 

 

 

20    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments   (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)  

United Rentals, Inc.

    (260   $ (35,279     (0.2 )% 

UnitedHealth Group, Inc.

    (860     (234,307     (1.2

Universal Display Corp.

    (440     (77,515     (0.4

Vail Resorts, Inc.

    (1,256     (294,545     (1.5

Verisk Analytics, Inc.

    (1,970     (320,066     (1.7

VF Corp.

    (3,600     (298,692     (1.5

WABCO Holdings, Inc.

    (1,090     (147,858     (0.8

Walgreens Boots Alliance, Inc.

    (1,170     (59,495     (0.3

Walt Disney Co. (The)

    (14,763     (2,041,871     (10.5

Waters Corp.

    (740     (165,605     (0.9

Wayfair, Inc., Class A

    (13,853     (1,298,026     (6.7

Wells Fargo & Co.

    (12,483     (585,952     (3.0

Western Digital Corp.

    (4,873     (319,181     (1.6

Westinghouse Air Brake Technologies Corp.

    (6,101     (450,620     (2.3

Westlake Chemical Corp.

    (12,090     (739,908     (3.8

WEX, Inc.

    (2,349     (509,545     (2.6

Williams Cos., Inc. (The)

    (15,117     (312,771     (1.6

Wynn Resorts Ltd.

    (2,712     (342,146     (1.8

XPO Logistics, Inc.

    (2,830     (251,644     (1.3

Xylem, Inc.

    (13,404     (1,094,571     (5.6

Zayo Group Holdings, Inc.

    (1,210     (42,048     (0.2

Zendesk, Inc.

    (2,530     (218,592     (1.1

Zimmer Biomet Holdings, Inc.

    (810     (119,799     (0.6
   

 

 

   
      (102,451,109  
   

 

 

   

Total Reference Entity — Short

 

    (206,679,930  
   

 

 

   

Net Value of Reference Entity — Bank of America NA

 

  $ 19,414,405    
   

 

 

   

 

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 January 31, 2020, expiration dates 02/24/23-02/27/23:

 

 

   

Reference Entity — Long

 

 
Australia                  

AGL Energy Ltd.

    470       6,237       0.0  

Aristocrat Leisure Ltd.

    22,550       537,799       3.0  

ASX Ltd.

    2,370       134,084       0.8  

Aurizon Holdings Ltd.

    385,153                   1,380,583       7.8  

BHP Group Ltd.

    55,947       1,434,700       8.1  

BHP Group plc

    46,860       1,019,984       5.7  

Macquarie Group Ltd.

    3,020       288,562       1.6  

Newcrest Mining Ltd.

    22,190       444,245       2.5  

QBE Insurance Group Ltd.

    15,668       142,628       0.8  

Rio Tinto Ltd.

    10,106       655,762       3.7  

Rio Tinto plc

    5,420       289,830       1.6  

Santos Ltd.

    24,520       140,730       0.8  

South32 Ltd.

    75,610       129,739       0.7  

Suncorp Group Ltd.

    24,497       209,270       1.2  

Telstra Corp. Ltd.

    100,765       256,946       1.5  

Treasury Wine Estates Ltd.

    45,050       386,959       2.2  

Wesfarmers Ltd.

    15,160       454,830       2.6  

Woolworths Group Ltd.

    43,430       1,206,218       6.8  
   

 

 

   
      9,119,106    
Austria                  

Erste Group Bank AG

    16,760       615,383       3.5  

OMV AG

    21,226       1,054,808       5.9  
   

 

 

   
      1,670,191    
Belgium                  

Ageas

    4,548       250,784       1.4  

Colruyt SA

    670       33,549       0.2  
     Shares     Value     % of Basket
Value
 
Belgium (continued)                  

Groupe Bruxelles Lambert SA

    6,756     $ 678,936       3.8

KBC Group NV

    5,190       380,818       2.1  

UCB SA

    2,931       269,717       1.5  
   

 

 

   
              1,613,804    
Canada                  

Bank of Montreal

    7,800       594,872       3.3  

Bank of Nova Scotia (The)

    7,530       411,265       2.3  

BCE, Inc.

    9,103       428,943       2.4  

Canadian Natural Resources Ltd.

    2,250       63,280       0.4  

Canadian Pacific Railway Ltd.

    780       207,200       1.2  

Canadian Tire Corp. Ltd., Class A

    2,720       291,710       1.6  

CGI, Inc.

    8,925       683,369       3.8  

Constellation Software, Inc.

    100       105,112       0.6  

Hydro One Ltd.

    32,950       669,756       3.8  

Imperial Oil Ltd.

    21,048       499,083       2.8  

Magna International, Inc.

    6,631       336,125       1.9  

Manulife Financial Corp.

    17,230       335,643       1.9  

National Bank of Canada

    40,349       2,238,799       12.6  

Nutrien Ltd.

    6,010       256,567       1.4  

Power Financial Corp.

    3,270       84,876       0.5  

Rogers Communications, Inc., Class B

    3,700       185,252       1.0  

Royal Bank of Canada

    570       45,044       0.3  

Sun Life Financial, Inc.

    840       39,493       0.2  

Suncor Energy, Inc.

    17,389       531,498       3.0  

TC Energy Corp.

    850       46,611       0.3  

Toronto-Dominion Bank (The)

    3,510       193,986       1.1  
   

 

 

   
      8,248,484    
China                  

BOC Hong Kong Holdings Ltd.

    300,000       991,675       5.6  
   

 

 

   
Denmark                  

Carlsberg A/S, Class B

    5,712       834,145       4.7  

Demant A/S

    10,940       354,761       2.0  

GN Store Nord A/S

    11,511       570,947       3.2  

H Lundbeck A/S

    15,960       678,178       3.8  

Novo Nordisk A/S, Class B

    4,248       258,583       1.5  
   

 

 

   
      2,696,614    
Finland                  

Kone OYJ, Class B

    4,770       308,205       1.7  

UPM-Kymmene OYJ

    23,312       734,525       4.1  
   

 

 

   
      1,042,730    
France                  

Alstom SA

    5,560       294,681       1.7  

Arkema SA

    1,722       157,786       0.9  

Bouygues SA

    5,800       229,156       1.3  

Bureau Veritas SA

    25,010       689,146       3.9  

Capgemini SE

    3,010       373,814       2.1  

Carrefour SA

    22,690       383,954       2.2  

Cie de Saint-Gobain

    20,420       770,413       4.3  

Danone SA

    5,757       460,701       2.6  

Dassault Systemes SE

    1,229       212,757       1.2  

Eiffage SA

    7,128       826,234       4.6  

Hermes International

    920       686,989       3.9  

Kering SA

    90       54,992       0.3  

Legrand SA

    4,923       393,898       2.2  

L’Oreal SA

    300       83,444       0.5  

Orange SA

    6,429       90,880       0.5  

Peugeot SA

    34,960       719,835       4.0  

Publicis Groupe SA

    11,470       508,456       2.9  

Safran SA

    2,270       366,008       2.1  

Schneider Electric SE

    1,053       105,012       0.6  

Sodexo SA

    2,760       288,985       1.6  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      21  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
France (continued)                  

Suez

    47,360     $ 777,218       4.4

TOTAL SA

    3,712       180,740       1.0  

Veolia Environnement SA

    14,897       439,468       2.5  

Vinci SA

    1,111       123,087       0.7  

Vivendi SA

    38,850       1,062,520       6.0  
   

 

 

   
              10,280,174    
Germany                  

adidas AG

    2,189       691,974       3.9  

Allianz SE (Registered)

    2,333       556,989       3.1  

BASF SE

    3,460       233,539       1.3  

Brenntag AG

    10,220       528,886       3.0  

Continental AG

    2,860       326,375       1.8  

Covestro AG

    3,210       135,278       0.8  

Deutsche Post AG (Registered)

    2,570       89,667       0.5  

Deutsche Telekom AG (Registered)

    22,904       370,949       2.1  

Evonik Industries AG

    15,753       431,692       2.4  

Hannover Rueck SE

    4,710       914,524       5.2  

HeidelbergCement AG

    3,267       220,330       1.2  

Henkel AG & Co. KGaA

     

(Preference)

    8,360       850,233       4.8  

HOCHTIEF AG

    7,651       884,955       5.0  

Knorr-Bremse AG

    1,808       197,529       1.1  

LEG Immobilien AG

    1,565       193,028       1.1  

Merck KGaA

    5,800       743,731       4.2  

Muenchener Rueckversicherungs- Gesellschaft AG (Registered)

    3,777       1,113,612       6.3  

RWE AG

    473       16,398       0.1  

Telefonica Deutschland Holding AG

    25,800       78,201       0.4  
   

 

 

   
      8,577,890    
Hong Kong                  

AIA Group Ltd.

    15,800       156,561       0.9  

CK Asset Holdings Ltd.

    63,000       402,504       2.3  

CLP Holdings Ltd.

    29,500       306,787       1.7  

Hang Seng Bank Ltd.

    28,200       570,016       3.2  

Henderson Land Development Co. Ltd.

    69,000       309,786       1.8  

New World Development Co. Ltd.

    88,000       109,924       0.6  

Sun Hung Kai Properties Ltd.

    25,500       355,224       2.0  

Wharf Real Estate Investment Co. Ltd.

    7,000       36,150       0.2  
   

 

 

   
      2,246,952    
Ireland                  

AerCap Holdings NV

    3,310       187,379       1.1  
   

 

 

   
Italy                  

Assicurazioni Generali SpA

    5,605       109,217       0.6  

Eni SpA

    53,515       749,616       4.2  

Ferrari NV

    1,380       232,877       1.3  

Intesa Sanpaolo SpA

    60,360       149,905       0.9  

Moncler SpA

    1,625       69,944       0.4  

Snam SpA

    74,210       397,741       2.2  
   

 

 

   
      1,709,300    
Japan                  

Aeon Co. Ltd.

    14,200       290,440       1.6  

AGC, Inc.

    6,400       215,733       1.2  

Ajinomoto Co., Inc.

    21,900       360,690       2.0  

Asahi Group Holdings Ltd.

    6,700       310,599       1.7  

Asahi Kasei Corp.

    4,000       40,913       0.2  

Astellas Pharma, Inc.

    47,300       835,797       4.7  

Bridgestone Corp.

    4,000       141,676       0.8  

Canon, Inc.

    10,700       280,600       1.6  

Dai Nippon Printing Co. Ltd.

    55,200       1,522,116       8.6  

Denso Corp.

    11,000       451,244       2.5  
     Shares     Value     % of Basket
Value
 
Japan (continued)                  

East Japan Railway Co.

    5,800     $ 510,699       2.9

FUJIFILM Holdings Corp.

    14,300       710,202       4.0  

Fujitsu Ltd.

    800       84,586       0.5  

Hitachi Ltd.

    3,900       148,541       0.8  

Honda Motor Co. Ltd.

    300       7,673       0.0  

Hoya Corp.

    1,900       181,840       1.0  

Inpex Corp.

    12,700       118,544       0.7  

ITOCHU Corp.

    10,000       233,610       1.3  

Itochu Techno-Solutions Corp.

    2,500       73,622       0.4  

Japan Post Holdings Co. Ltd.

    9,900       90,057       0.5  

Kao Corp.

    2,600       207,369       1.2  

Kikkoman Corp.

    900       43,612       0.2  

Kirin Holdings Co. Ltd.

    3,600       79,065       0.4  

Konami Holdings Corp.

    3,200       123,928       0.7  

Kyocera Corp.

    5,600       367,956       2.1  

Kyowa Kirin Co. Ltd.

    10,100       237,444       1.3  

Marubeni Corp.

    19,000       136,527       0.8  

MEIJI Holdings Co. Ltd.

    10,400       731,888       4.1  

Mitsubishi Chemical Holdings Corp.

    43,500       314,373       1.8  

Mitsubishi Corp.

    2,500       64,089       0.4  

Mitsubishi Electric Corp.

    18,900               262,051       1.5  

Mitsubishi Heavy Industries Ltd.

    6,900       251,694       1.4  

Mitsui & Co. Ltd.

    14,000       248,999       1.4  

MS&AD Insurance Group Holdings, Inc.

    17,100       567,937       3.2  

NEC Corp.

    3,200       142,443       0.8  

Nintendo Co. Ltd.

    200       73,571       0.4  

Nippon Steel Corp.

    5,700       79,090       0.4  

Nissan Motor Co. Ltd.

    13,100       71,084       0.4  

Nitori Holdings Co. Ltd.

    1,100       170,941       1.0  

Nitto Denko Corp.

    800       44,470       0.3  

Nomura Holdings, Inc.

    31,100       159,213       0.9  

Nomura Research Institute Ltd.

    6,900       151,839       0.9  

NTT Data Corp.

    19,100       268,302       1.5  

Obayashi Corp.

    39,400       432,099       2.4  

Olympus Corp.

    12,300       198,734       1.1  

Omron Corp.

    6,000       343,590       1.9  

Ono Pharmaceutical Co. Ltd.

    33,700       776,005       4.4  

ORIX Corp.

    27,100       457,786       2.6  

Otsuka Holdings Co. Ltd.

    9,100       404,271       2.3  

Panasonic Corp.

    41,300       410,440       2.3  

Recruit Holdings Co. Ltd.

    4,200       163,700       0.9  

Renesas Electronics Corp.

    13,100       82,416       0.5  

Ricoh Co. Ltd.

    22,300       253,026       1.4  

Rohm Co. Ltd.

    900       64,742       0.4  

Secom Co. Ltd.

    6,700       587,943       3.3  

Sekisui House Ltd.

    66,400       1,427,744       8.0  

Seven & i Holdings Co. Ltd.

    11,800       452,451       2.5  

Sharp Corp.

    3,300       44,765       0.3  

Shionogi & Co. Ltd.

    1,400       83,264       0.5  

Sompo Holdings, Inc.

    1,100       41,100       0.2  

Sony Corp.

    2,400       167,825       0.9  

Sumitomo Chemical Co. Ltd.

    175,500       745,734       4.2  

Sumitomo Corp.

    31,100       462,603       2.6  

Sumitomo Electric Industries Ltd.

    19,600       261,300       1.5  

Sumitomo Mitsui Financial Group, Inc.

    16,200       569,583       3.2  

T&D Holdings, Inc.

    4,700       50,099       0.3  

Tokio Marine Holdings, Inc.

    1,600       86,850       0.5  

Tokyo Electron Ltd.

    1,500       329,919       1.9  

Tokyu Corp.

    7,900       139,216       0.8  

Toray Industries, Inc.

    13,400       87,680       0.5  

Toshiba Corp.

    21,500       687,148       3.9  

Trend Micro, Inc.

    7,800       407,553       2.3  

West Japan Railway Co.

    3,700       313,056       1.8  
 

 

 

22    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Japan (continued)                  

Yamaha Corp.

    1,300     $ 66,413       0.4
   

 

 

   
              22,006,122    
Luxembourg                  

Tenaris SA

    32,310       333,911       1.9  
   

 

 

   
Macau                  

Sands China Ltd.

    148,800       717,559       4.1  
   

 

 

   
Netherlands                  

Adyen NV

    130       119,458       0.7  

Akzo Nobel NV

    20,786       1,961,524       11.0  

EXOR NV

    880       64,846       0.4  

ING Groep NV

    12,190       132,349       0.7  

Koninklijke DSM NV

    1,220       148,481       0.8  

Koninklijke KPN NV

    78,570       220,141       1.2  

Koninklijke Philips NV

    5,056       231,552       1.3  

NN Group NV

    13,090       454,335       2.6  

Randstad NV

    3,559       204,415       1.1  

Royal Dutch Shell plc, Class A

    23,516       617,539       3.5  

Wolters Kluwer NV

    5,404       406,065       2.3  
   

 

 

   
      4,560,705    
Norway                  

DNB ASA

    13,490       235,840       1.3  

Equinor ASA

    44,759       807,792       4.6  

Orkla ASA

    37,270       359,797       2.0  

Telenor ASA

    1,282       23,167       0.2  

Yara International ASA

    1,530       55,562       0.3  
   

 

 

   
      1,482,158    
Portugal                  

Galp Energia SGPS SA

    14,750       222,881       1.2  

Jeronimo Martins SGPS SA

    6,850       117,874       0.7  
   

 

 

   
      340,755    
Singapore                  

United Overseas Bank Ltd.

    14,900       277,917       1.6  
   

 

 

   
South Korea                  

Amorepacific Corp.

    360       55,722       0.3  

Hana Financial Group, Inc.

    36,402       1,005,992       5.7  

Hyundai Mobis Co. Ltd.

    4,259       814,421       4.6  

KB Financial Group, Inc.

    9,934       365,426       2.1  

Kia Motors Corp.

    16,335       555,600       3.1  

KT&G Corp.

    8,750       695,307       3.9  

LG Electronics, Inc.

    9,510       518,570       2.9  

LG Household & Health Care Ltd.

    366       382,807       2.2  

NCSoft Corp.

    382       202,364       1.1  

POSCO

    906       164,139       0.9  

Samsung Electronics Co. Ltd.

    6,030       279,388       1.6  

Samsung Electronics Co. Ltd. (Preference)

    6,900       269,726       1.5  

Shinhan Financial Group Co. Ltd.

    17,282       563,969       3.2  

SK Telecom Co. Ltd.

    2,809       538,106       3.0  
   

 

 

   
      6,411,537    
Spain                  

ACS Actividades de Construccion y Servicios SA

    47,508       1,579,501       8.9  

Aena SME SA

    3,172       587,075       3.3  

Amadeus IT Group SA

    2,760       216,401       1.2  

Banco Bilbao Vizcaya Argentaria SA

    44,770       231,756       1.3  

Iberdrola SA

    5,610       61,381       0.4  

Repsol SA

    66,205       911,165       5.1  

Telefonica SA

    50,160       339,268       1.9  
   

 

 

   
      3,926,547    
     Shares      Value      % of Basket
Value
 
Sweden                    

Assa Abloy AB, Class B

    2,480      $ 58,866        0.3

Atlas Copco AB, Class A

    17,051        548,280        3.1  

Essity AB, Class B

    21,570        684,760        3.9  

Hennes & Mauritz AB, Class B

    6,380        139,976        0.8  

Investor AB, Class B

    31,640        1,732,449        9.8  

Kinnevik AB, Class B

    3,978        95,982        0.5  

Lundin Petroleum AB

    7,790        236,930        1.3  

Sandvik AB

    15,015        274,049        1.5  

Skanska AB, Class B

    3,010        69,672        0.4  

SKF AB, Class B

    7,442        136,223        0.8  

Swedish Match AB

    5,827        329,448        1.9  

Telefonaktiebolaget LM Ericsson, Class B

    27,240        214,172        1.2  

Volvo AB, Class B

    75,967        1,298,560        7.3  
    

 

 

    
               5,819,367     
Switzerland                    

Adecco Group AG (Registered)

    1,650        96,670        0.5  

Coca-Cola HBC AG

    23,540        864,676        4.9  

Geberit AG (Registered)

    1,810        955,194        5.4  

Kuehne + Nagel International AG (Registered)

    1,160        187,481        1.1  

LafargeHolcim Ltd. (Registered) .

    5,860        297,810        1.7  

Logitech International SA (Registered)

    16,358        732,796        4.1  

Nestle SA (Registered)

    6,580        725,726        4.1  

Novartis AG (Registered)

    2,670        252,230        1.4  

Roche Holding AG

    6,620        2,220,802        12.5  

Schindler Holding AG

    5,710        1,474,924        8.3  

STMicroelectronics NV

    17,700        492,805        2.8  

Swatch Group AG (The)

    3,290        825,286        4.7  

Swiss Life Holding AG (Registered)

    137        68,866        0.4  

Swiss Prime Site AG (Registered)

    3,830        467,586        2.6  

Swisscom AG (Registered)

    120        65,840        0.4  
    

 

 

    
       9,728,692     
Taiwan                    

Chunghwa Telecom Co. Ltd.

    459,000        1,639,835        9.2  

MediaTek, Inc.

    36,000        455,486        2.6  

Taiwan Semiconductor Manufacturing Co. Ltd.

    46,000        474,454        2.7  
    

 

 

    
       2,569,775     
United Kingdom                    

Admiral Group plc

    3,110        92,589        0.5  

Associated British Foods plc

    14,176        490,683        2.8  

BAE Systems plc

    9,710        80,719        0.5  

Berkeley Group Holdings plc

    1,802        124,688        0.7  

BP plc

    162,838        980,302        5.5  

British American Tobacco plc

    2,180        96,127        0.5  

BT Group plc

    13,220        28,092        0.2  

Burberry Group plc

    6,570        168,458        0.9  

CK Hutchison Holdings Ltd.

    71,000        627,336        3.5  

Compass Group plc

    4,762        117,727        0.7  

Diageo plc

    12,012        474,992        2.7  

Experian plc

    6,543        227,749        1.3  

GlaxoSmithKline plc

    8,467        198,800        1.1  

Halma plc

    13,083        363,138        2.0  

Imperial Brands plc

    4,170        106,928        0.6  

Informa plc

    3,540        36,161        0.2  

InterContinental Hotels Group plc

    5,996        369,330        2.1  

ITV plc

    305,800        544,817        3.1  

JD Sports Fashion plc

    4,380        47,366        0.3  

Pearson plc

    31,160        232,576        1.3  

RELX plc

    7,702        204,348        1.1  

Rightmove plc

    88,401        766,131        4.3  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      23  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United Kingdom (continued)                  

Rolls-Royce Holdings plc

    14,590     $ 128,514       0.7

Sage Group plc (The)

    38,175       371,658       2.1  

Schroders plc

    9,330       395,027       2.2  

Smith & Nephew plc

    37,346       898,579       5.1  

Unilever plc

    17,189       1,025,348       5.8  

Vodafone Group plc

    116,070       228,045       1.3  

WPP plc

    15,004       186,553       1.0  
   

 

 

   
              9,612,781    
United States                  

AbbVie, Inc.

    601       48,693       0.3  

Adobe, Inc.

    2,200       772,508       4.4  

AES Corp.

    15,191       301,693       1.7  

Aflac, Inc.

    16,398       845,645       4.8  

Agilent Technologies, Inc.

    3,947       325,864       1.8  

Air Products & Chemicals, Inc.

    420       100,258       0.6  

Akamai Technologies, Inc.

    16,026       1,496,027       8.4  

Alexion Pharmaceuticals, Inc.

    2,130       211,701       1.2  

Alliant Energy Corp.

    10,979       651,713       3.7  

Allstate Corp. (The)

    4,685       555,360       3.1  

Ally Financial, Inc.

    30,438       974,929       5.5  

Alphabet, Inc., Class C

    366       524,484       3.0  

Amdocs Ltd.

    11,810       849,730       4.8  

Ameren Corp.

    4,044       331,810       1.9  

American Electric Power Co., Inc.

    4,923       513,075       2.9  

American Express Co.

    2,985       387,662       2.2  

American Financial Group, Inc.

    6,294       684,724       3.9  

Ameriprise Financial, Inc.

    4,211       696,542       3.9  

AmerisourceBergen Corp.

    13,060       1,117,414       6.3  

AMETEK, Inc.

    8,861       860,846       4.8  

Amgen, Inc.

    4,928       1,064,694       6.0  

AO Smith Corp.

    4,320       184,421       1.0  

Applied Materials, Inc.

    11,680       677,323       3.8  

Arrow Electronics, Inc.

    7,020       533,099       3.0  

Aspen Technology, Inc.

    6,596       784,792       4.4  

Atmos Energy Corp.

    4,060       475,142       2.7  

Autodesk, Inc.

    2,520       496,062       2.8  

Automatic Data Processing, Inc.

    2,978       510,399       2.9  

AutoZone, Inc.

    591       625,254       3.5  

Avery Dennison Corp.

    650       85,306       0.5  

Axalta Coating Systems Ltd.

    26,214       755,225       4.3  

Bank of New York Mellon Corp. (The)

    340       15,225       0.1  

Baxter International, Inc.

    3,189       284,523       1.6  

Best Buy Co., Inc.

    4,132       349,939       2.0  

Biogen, Inc.

    5,997       1,612,293       9.1  

Bio-Rad Laboratories, Inc., Class A

    1,440       519,725       2.9  

Booking Holdings, Inc.

    140       256,277       1.4  

Booz Allen Hamilton Holding Corp.

    13,944       1,088,190       6.1  

Bright Horizons Family Solutions, Inc.

    360       58,943       0.3  

Bristol-Myers Squibb Co., CVR

    1,987       6,915       0.0  

Broadridge Financial Solutions, Inc.

    530       63,150       0.4  

Cabot Oil & Gas Corp.

    11,192       157,695       0.9  

Cadence Design Systems, Inc.

    32,429       2,338,455       13.2  

Campbell Soup Co.

    109       5,274       0.0  

Capital One Financial Corp.

    7,660       764,468       4.3  

Cardinal Health, Inc.

    3,660       187,429       1.1  

Carlisle Cos., Inc.

    2,610       407,760       2.3  

Carnival plc

    8,490       346,746       2.0  

CDW Corp.

    3,246       423,441       2.4  

Celanese Corp.

    2,563       265,271       1.5  

Cerner Corp.

    7,180       515,739       2.9  

CF Industries Holdings, Inc.

    3,730       150,244       0.8  

CH Robinson Worldwide, Inc.

    6,127       442,492       2.5  
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Chevron Corp.

    3,727     $         399,311       2.2

Ciena Corp.

    24,400       992,348       5.6  

Cintas Corp.

    3,792       1,057,854       6.0  

Citizens Financial Group, Inc.

    16,657       620,973       3.5  

Citrix Systems, Inc.

    6,723       814,962       4.6  

CMS Energy Corp.

    18,740       1,283,877       7.2  

Colgate-Palmolive Co.

    4,789       353,332       2.0  

Columbia Sportswear Co.

    696       65,368       0.4  

Comcast Corp., Class A

    20,502       885,481       5.0  

Comerica, Inc.

    16,409       1,003,574       5.7  

Commerce Bancshares, Inc.

    9       609       0.0  

ConocoPhillips

    11,067       657,712       3.7  

Consolidated Edison, Inc.

    3,770       354,380       2.0  

Copart, Inc.

    2,750       279,015       1.6  

Corteva, Inc.

    10,410       301,057       1.7  

CSX Corp.

    4,327       330,323       1.9  

Cummins, Inc.

    3,310       529,501       3.0  

Cypress Semiconductor Corp.

    1,790       41,761       0.2  

Darden Restaurants, Inc.

    5,021       584,595       3.3  

DaVita, Inc.

    12,530       1,000,771       5.6  

Delta Air Lines, Inc.

    5,030       280,372       1.6  

Devon Energy Corp.

    27,700       601,644       3.4  

Discover Financial Services

    20,117       1,511,390       8.5  

Discovery, Inc., Class C

    6,100       169,397       1.0  

Dollar General Corp.

    350       53,694       0.3  

Dover Corp.

    7,871       896,113       5.0  

DTE Energy Co.

    13,536       1,795,009       10.1  

Dunkin’ Brands Group, Inc.

    7,240       565,372       3.2  

E*TRADE Financial Corp.

    3,990       170,054       1.0  

Eastman Chemical Co.

    640       45,613       0.3  

Eaton Corp. plc

    1,369       129,329       0.7  

eBay, Inc.

    61,114       2,050,986       11.6  

Edwards Lifesciences Corp.

    320       70,355       0.4  

Eli Lilly & Co.

    5,100       712,164       4.0  

Encompass Health Corp.

    567       43,676       0.2  

Entergy Corp.

    5,660       744,403       4.2  

EOG Resources, Inc.

    2,390       174,255       1.0  

Equitable Holdings, Inc.

    28,671       688,677       3.9  

Estee Lauder Cos., Inc. (The), Class A

    1,387       270,687       1.5  

Euronet Worldwide, Inc.

    260       40,986       0.2  

Evergy, Inc.

    673       48,564       0.3  

Exelon Corp.

    4,340       206,541       1.2  

Expedia Group, Inc.

    5,070       549,842       3.1  

Expeditors International of Washington, Inc.

    42,289       3,088,789       17.4  

Facebook, Inc., Class A

    810       163,547       0.9  

Fair Isaac Corp.

    1,648       663,122       3.7  

Fastenal Co.

    4,998       174,330       1.0  

Ferguson plc

    5,790       519,953       2.9  

Fifth Third Bancorp

    17,077       485,841       2.7  

FleetCor Technologies, Inc.

    970       305,773       1.7  

Fortinet, Inc.

    5,719       659,744       3.7  

Fortune Brands Home & Security, Inc.

    3,610       248,043       1.4  

Gap, Inc. (The)

    9,760       169,922       1.0  

Garmin Ltd.

    6,497       629,884       3.5  

General Mills, Inc.

    3,040       158,749       0.9  

General Motors Co.

    10       334       0.0  

Gilead Sciences, Inc.

    15,881       1,003,679       5.7  

Globe Life, Inc.

    8,054       839,710       4.7  

GoDaddy, Inc., Class A

    4,420       297,068       1.7  

HCA Healthcare, Inc.

    4,961       688,587       3.9  

HD Supply Holdings, Inc.

    13,101       533,735       3.0  

HEICO Corp., Class A

    1,350       129,803       0.7  
 

 

 

24    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Henry Schein, Inc.

    7,000     $         482,580       2.7

Hershey Co. (The)

    2,091       324,460       1.8  

Hewlett Packard Enterprise Co.

    125,939       1,754,330       9.9  

Hexcel Corp.

    1,550       115,041       0.6  

Hill-Rom Holdings, Inc.

    3,413       363,450       2.0  

Hilton Worldwide Holdings, Inc.

    3,880       418,264       2.4  

HollyFrontier Corp.

    6,080       273,114       1.5  

Hologic, Inc.

    4,930       263,854       1.5  

Home Depot, Inc. (The)

    280       63,868       0.4  

Honeywell International, Inc.

    2,958       512,385       2.9  

HP, Inc.

    61,760       1,316,723       7.4  

Hubbell, Inc.

    1,560       223,439       1.3  

IDEX Corp.

    2,690       440,757       2.5  

IDEXX Laboratories, Inc.

    748       202,715       1.1  

IHS Markit Ltd.

    3,920       309,131       1.7  

Incyte Corp.

    6,790       496,145       2.8  

Ingersoll-Rand plc

    3,563       474,698       2.7  

Intel Corp.

    1,200       76,716       0.4  

International Paper Co.

    10,354       421,615       2.4  

Interpublic Group of Cos., Inc. (The)

    28,605       649,334       3.7  

Intuit, Inc.

    2,533       710,203       4.0  

Jazz Pharmaceuticals plc

    1,140       163,419       0.9  

Johnson & Johnson

    2,616       389,444       2.2  

Johnson Controls International plc

    6,410       252,875       1.4  

JPMorgan Chase & Co.

    1,820       240,895       1.4  

Juniper Networks, Inc.

    10,730       246,146       1.4  

Kansas City Southern

    2,880       485,827       2.7  

Keysight Technologies, Inc.

    6,640       617,454       3.5  

Kohl’s Corp.

    2,820       120,555       0.7  

Lam Research Corp.

    2,541       757,752       4.3  

Liberty Media Corp-Liberty SiriusXM, Class C

    27,820       1,363,736       7.7  

Lincoln National Corp.

    3,140       171,067       1.0  

LKQ Corp.

    1,550       50,662       0.3  

Loews Corp.

    9,630       495,464       2.8  

LPL Financial Holdings, Inc.

    8,540       786,790       4.4  

Marathon Oil Corp.

    94,780       1,077,649       6.1  

Masco Corp.

    4,842       230,092       1.3  

Maxim Integrated Products, Inc.

    9,204       553,344       3.1  

McKesson Corp.

    2,389       340,695       1.9  

Medtronic plc

    1,890       218,182       1.2  

Merck & Co., Inc.

    7,770       663,869       3.7  

MetLife, Inc.

    7,510       373,322       2.1  

Mettler-Toledo International, Inc. .

    110       83,290       0.5  

Micron Technology, Inc.

    7,970       423,127       2.4  

Microsoft Corp.

    530       90,222       0.5  

Mondelez International, Inc., Class A

    7,506       430,694       2.4  

Monster Beverage Corp.

    1,980       131,868       0.7  

Morgan Stanley

    8,700       454,662       2.6  

Motorola Solutions, Inc.

    957       169,389       1.0  

NetApp, Inc.

    17,440       931,296       5.2  

Newmont Corp.

    4,920       221,695       1.2  

Nielsen Holdings plc

    24,830       506,532       2.9  

NIKE, Inc., Class B

    1,800       173,340       1.0  

NiSource, Inc.

    3,430       100,533       0.6  

Northern Trust Corp.

    2,860       279,737       1.6  

Norwegian Cruise Line Holdings Ltd.

    12,450       670,433       3.8  

NRG Energy, Inc.

    59,415       2,191,819       12.3  

NVR, Inc.

    100       381,697       2.2  

OGE Energy Corp.

    9,712       445,295       2.5  

Old Republic International Corp.

    6,450       145,448       0.8  

Omnicom Group, Inc.

    12,086       910,197       5.1  

Oracle Corp.

    10,533       552,456       3.1  

PACCAR, Inc.

    3,775       280,143       1.6  

Paychex, Inc.

    19,813       1,699,361       9.6  
     Shares     Value     % of Basket
Value
 
United States (continued)                  

PayPal Holdings, Inc.

    350     $         39,862       0.2

Pentair plc

    9,138       392,294       2.2  

PepsiCo, Inc.

    265       37,635       0.2  

Philip Morris International, Inc.

    1,950       161,265       0.9  

Phillips 66

    2,400       219,288       1.2  

Pinnacle West Capital Corp.

    5,186       506,620       2.9  

Pool Corp.

    1,280       280,704       1.6  

PPG Industries, Inc.

    3,460       414,646       2.3  

Public Service Enterprise Group, Inc.

    4,305       254,856       1.4  

PulteGroup, Inc.

    3,470       154,936       0.9  

PVH Corp.

    850       74,095       0.4  

Qorvo, Inc.

    1,158       122,586       0.7  

Quest Diagnostics, Inc.

    280       30,988       0.2  

Raymond James Financial, Inc.

    1,960       179,203       1.0  

Regeneron Pharmaceuticals, Inc.

    374       126,390       0.7  

Regions Financial Corp.

    17,270       268,894       1.5  

Reliance Steel & Aluminum Co.

    3,580       410,984       2.3  

Republic Services, Inc.

    5,010       476,201       2.7  

Robert Half International, Inc.

    11,566       672,794       3.8  

Rockwell Automation, Inc.

    1,140       218,492       1.2  

Royal Gold, Inc.

    1,120       129,158       0.7  

S&P Global, Inc.

    930       273,169       1.5  

Sabre Corp.

    3,000       64,620       0.4  

salesforce.com, Inc.

    540       98,447       0.6  

Sealed Air Corp.

    5,420       192,410       1.1  

SEI Investments Co.

    990       64,607       0.4  

Sempra Energy

    630       101,203       0.6  

ServiceNow, Inc.

    1,442       487,728       2.7  

Sherwin-Williams Co. (The)

    280       155,957       0.9  

Signature Bank

    580       82,296       0.5  

Snap-on, Inc.

    1,390       221,886       1.3  

Southwest Airlines Co.

    2,616       143,828       0.8  

Spirit AeroSystems Holdings, Inc., Class A

    3,130       204,452       1.2  

Starbucks Corp.

    7,595       644,284       3.6  

STERIS plc

    3,499       527,264       3.0  

Stryker Corp.

    2,142       451,319       2.5  

Synchrony Financial

    20,399       661,132       3.7  

Synopsys, Inc.

    7,057       1,040,978       5.9  

T Rowe Price Group, Inc.

    7,810       1,042,869       5.9  

Target Corp.

    5,160       571,418       3.2  

Teledyne Technologies, Inc.

    917       334,760       1.9  

Teradyne, Inc.

    21,660       1,429,343       8.1  

Texas Instruments, Inc.

    8,869       1,070,045       6.0  

TJX Cos., Inc. (The)

    5,290       312,322       1.8  

Tractor Supply Co.

    12,221       1,135,942       6.4  

Twitter, Inc.

    1,470       47,746       0.3  

United Continental Holdings, Inc.

    5,966       446,257       2.5  

United Parcel Service, Inc., Class B

    1,800       186,336       1.1  

Universal Health Services, Inc., Class B

    1,770       242,685       1.4  

US Bancorp

    2,730       145,291       0.8  

US Foods Holding Corp.

    5,140       206,474       1.2  

Veeva Systems, Inc., Class A

    2,720       398,779       2.2  

VeriSign, Inc.

    2,293       477,265       2.7  

Vertex Pharmaceuticals, Inc.

    4,460       1,012,643       5.7  

ViacomCBS, Inc.

    2,938       100,274       0.6  

Visa, Inc., Class A

    11,227       2,233,836       12.6  

Vistra Energy Corp.

    19,270       433,960       2.4  

VMware, Inc., Class A

    420       62,185       0.4  

Voya Financial, Inc.

    13,553       809,521       4.6  

Waste Management, Inc.

    1,190       144,823       0.8  

WEC Energy Group, Inc.

    489       48,846       0.3  

West Pharmaceutical Services, Inc.

    2,902       452,567       2.6  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      25  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Western Union Co. (The)

    8,311     $         223,566       1.3

Whirlpool Corp.

    1,920       280,646       1.6  

WR Berkley Corp.

    3,490       256,620       1.4  

WW Grainger, Inc.

    998       302,065       1.7  

Xcel Energy, Inc.

    2,800       193,732       1.1  

Xerox Holdings Corp.

    12,760       453,873       2.6  

Yum! Brands, Inc.

    8,182       865,410       4.9  

Zebra Technologies Corp., Class A

    130       31,073       0.2  

Zions Bancorp NA

    10,735       488,335       2.8  
   

 

 

   
      120,633,402    
   

 

 

   

Total Reference Entity — Long

      236,805,527    
   

 

 

   

Reference Entity — Short

 

Australia                  

Australia & New Zealand Banking Group Ltd.

    (16,160     (275,082     (1.5

Brambles Ltd.

    (24,820     (207,307     (1.2

Commonwealth Bank of Australia

    (5,850     (331,212     (1.9

CSL Ltd.

    (1,620     (333,183     (1.9

Insurance Australia Group Ltd.

    (83,420     (392,249     (2.2

Lendlease Group

    (47,110     (565,804     (3.2

National Australia Bank Ltd.

    (26,342     (449,977     (2.5

Ramsay Health Care Ltd.

    (12,780     (672,259     (3.8

Sonic Healthcare Ltd.

    (10,000     (209,607     (1.2

Transurban Group

    (13,860     (144,474     (0.8

Westpac Banking Corp.

    (41,610     (695,363     (3.9
   

 

 

   
      (4,276,517  
Belgium                  

Anheuser-Busch InBev SA/NV

    (4,917     (370,939     (2.1

Proximus SADP

    (7,190     (204,858     (1.1

Umicore SA

    (6,270     (288,692     (1.6
   

 

 

   
      (864,489  
Bermuda                  

RenaissanceRe Holdings Ltd.

    (540     (102,298     (0.6
   

 

 

   
Canada                  

Alimentation Couche-Tard, Inc., Class B

    (6,542     (218,643     (1.2

Barrick Gold Corp.

    (23,283     (431,201     (2.4

Brookfield Asset Management, Inc. Class A

    (10,620     (650,050     (3.7

Canadian Imperial Bank of Commerce

    (2,220     (181,036     (1.0

Canadian National Railway Co.

    (12,950     (1,210,161     (6.8

Dollarama, Inc.

    (5,460     (186,029     (1.1

Enbridge, Inc.

    (19,388     (788,324     (4.4

Fortis, Inc.

    (16,000     (697,839     (3.9

Franco-Nevada Corp.

    (480     (54,561     (0.3

Great-West Lifeco, Inc.

    (4,730     (122,557     (0.7

Husky Energy, Inc.

    (8,730     (56,797     (0.3

Intact Financial Corp.

    (4,120     (446,339     (2.5

Inter Pipeline Ltd.

    (19,330     (322,069     (1.8

Loblaw Cos. Ltd.

    (1,520     (79,526     (0.5

Metro, Inc.

    (31,270     (1,274,759     (7.2

Shopify, Inc., Class A

    (2,255     (1,050,192     (5.9

Wheaton Precious Metals Corp.

    (2,250     (66,239     (0.4
   

 

 

   
      (7,836,322  
China                  

BeiGene Ltd., ADR

    (2,570     (391,565     (2.2
     Shares     Value     % of Basket
Value
 
Denmark                  

AP Moller — Maersk A/S, Class B .

    (60   $         (71,746     (0.4 )% 

Chr Hansen Holding A/S

    (7,603     (565,836     (3.2

Danske Bank A/S

    (10,320     (172,275     (1.0

DSV PANALPINA A/S

    (12,930     (1,403,795     (7.9

Orsted A/S

    (8,756     (955,032     (5.4

Vestas Wind Systems A/S

    (520     (51,619     (0.3
   

 

 

   
      (3,220,303  
Finland                  

Elisa OYJ

    (720     (43,377     (0.2

Neste OYJ

    (16,030     (637,877     (3.6

Nokia OYJ

    (133,490     (519,637     (2.9

Nordea Bank Abp

    (80,567     (635,066     (3.6

Sampo OYJ, Class A

    (10,280     (465,347     (2.6

Wartsila OYJ Abp

    (108,144     (1,328,303     (7.5
   

 

 

   
      (3,629,607  
France                  

Accor SA

    (9,285     (380,130     (2.1

Aeroports de Paris

    (2,913     (551,141     (3.1

Air Liquide SA

    (2,390     (345,569     (2.0

Airbus SE

    (780     (114,554     (0.7

Atos SE

    (930     (77,124     (0.4

AXA SA

    (63,247     (1,681,838     (9.5

BNP Paribas SA

    (4,120     (218,638     (1.2

Bollore SA

    (3     (12     (0.0

Cie Generale des Etablissements Michelin SCA

    (3,530     (409,562     (2.3

Edenred

    (1,242     (67,070     (0.4

Electricite de France SA

    (5,829     (71,961     (0.4

EssilorLuxottica SA

    (4,330     (641,094     (3.6

Faurecia SE

    (4,610     (219,651     (1.2

Getlink

    (12,893     (227,449     (1.3

Ingenico Group SA

    (1,350     (156,996     (0.9

Ipsen SA

    (740     (54,916     (0.3

LVMH Moet Hennessy Louis Vuitton SE

    (800     (348,378     (2.0

Orpea

    (640     (83,324     (0.5

Remy Cointreau SA

    (190     (20,010     (0.1

Renault SA

    (7,870     (307,821     (1.7

SCOR SE

    (9,210     (391,452     (2.2

Societe Generale SA

    (15,940     (515,814     (2.9

Teleperformance

    (1,269     (318,389     (1.8

Ubisoft Entertainment SA

    (1,620     (122,863     (0.7

Valeo SA

    (6,877     (204,255     (1.2

Worldline SA/France

    (2,740     (193,077     (1.1
   

 

 

   
      (7,723,088  
Germany                  

Bayer AG (Registered)

    (7,970     (639,637     (3.6

Bayerische Motoren Werke AG

    (8,225     (585,879     (3.3

Beiersdorf AG

    (1,220     (138,551     (0.8

Commerzbank AG

    (15,654     (89,830     (0.5

Daimler AG (Registered)

    (16,820     (778,885     (4.4

Delivery Hero SE

    (2,160     (166,198     (0.9

Deutsche Bank AG (Registered) .

    (70,290     (643,080     (3.6

Deutsche Boerse AG

    (3,067     (497,846     (2.8

Deutsche Lufthansa AG (Registered)

    (12,450     (189,659     (1.1

E.ON SE

    (30,340     (343,782     (1.9

Fresenius SE & Co. KGaA

    (890     (45,444     (0.3

Infineon Technologies AG

    (12,426     (266,947     (1.5

KION Group AG

    (4,329     (270,960     (1.5

METRO AG

    (1     (14     (0.0

MTU Aero Engines AG

    (380     (115,089     (0.6
 

 

 

26    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Germany (continued)                  

Porsche Automobil Holding SE (Preference)

    (8,650   $ (583,278     (3.3 )% 

Puma SE

    (2,460     (196,979     (1.1

SAP SE

    (1,220     (158,882     (0.9

Siemens AG (Registered)

    (440     (54,269     (0.3

thyssenkrupp AG

    (8,422     (103,557     (0.6

Vonovia SE

    (3,710     (211,753     (1.2

Wirecard AG

    (2,134     (315,246     (1.8

Zalando SE

    (9,133     (437,287     (2.5
   

 

 

   
          (6,833,052  
Hong Kong                  

Hong Kong & China Gas Co. Ltd.

    (635,200     (1,215,569     (6.8

Hong Kong Exchanges & Clearing Ltd.

    (13,600     (446,861     (2.5

Techtronic Industries Co. Ltd.

    (183,732     (1,466,015     (8.3

WH Group Ltd.

    (161,500     (151,988     (0.9
   

 

 

   
      (3,280,433  
Italy                  

Atlantia SpA

    (7,884     (193,459     (1.1

Davide Campari-Milano SpA

    (28,241     (272,977     (1.5

Enel SpA

    (40,370     (351,878     (2.0

FinecoBank Banca Fineco SpA

    (21,410     (250,510     (1.4

Mediobanca Banca di Credito Finanziario SpA

    (7,370     (73,520     (0.4

Poste Italiane SpA

    (17,860     (204,587     (1.1

Recordati SpA

    (4,130     (176,725     (1.0

Telecom Italia SpA

    (63,100     (33,879     (0.2

UniCredit SpA

    (9,110     (121,685     (0.7
   

 

 

   
      (1,679,220  
Japan                  

Aisin Seiki Co. Ltd.

    (4,100     (136,489     (0.8

ANA Holdings, Inc.

    (25,700     (802,719     (4.5

Asahi Intecc Co. Ltd.

    (4,700     (129,497     (0.7

Bandai Namco Holdings, Inc.

    (3,300     (191,758     (1.1

Chubu Electric Power Co., Inc.

    (36,900     (501,128     (2.8

Chugai Pharmaceutical Co. Ltd.

    (4,500     (460,930     (2.6

Daifuku Co. Ltd.

    (17,200     (1,035,627     (5.8

Dai-ichi Life Holdings, Inc.

    (5,800     (86,079     (0.5

Daiichi Sankyo Co. Ltd.

    (1,700     (114,881     (0.6

Daito Trust Construction Co. Ltd.

    (900     (106,017     (0.6

Daiwa House Industry Co. Ltd.

    (5,100     (160,560     (0.9

Dentsu Group, Inc.

    (2,500     (82,848     (0.5

Disco Corp.

    (1,700     (391,583     (2.2

Eisai Co. Ltd.

    (1,700     (128,115     (0.7

FamilyMart Co. Ltd.

    (14,300     (312,744     (1.8

FANUC Corp.

    (2,100     (382,473     (2.2

Idemitsu Kosan Co. Ltd.

    (8,700     (217,137     (1.2

Japan Airlines Co. Ltd.

    (29,000     (815,783     (4.6

JFE Holdings, Inc.

    (20,900     (247,495     (1.4

JXTG Holdings, Inc.

    (45,900     (195,221     (1.1

Kansai Electric Power Co., Inc. (The)

    (52,600     (590,321     (3.3

KDDI Corp.

    (8,700     (262,906     (1.5

Keyence Corp.

    (2,300     (773,161     (4.4

Koito Manufacturing Co. Ltd.

    (5,800     (251,699     (1.4

Komatsu Ltd.

    (7,200     (159,199     (0.9

Kose Corp.

    (1,700     (218,894     (1.2

Kubota Corp.

    (42,400     (663,967     (3.7

LINE Corp.

    (5,300     (261,162     (1.5

M3, Inc.

    (35,400     (1,030,327     (5.8

Makita Corp.

    (4,600     (175,948     (1.0

MINEBEA MITSUMI, Inc.

    (5,000     (97,130     (0.5

Mitsubishi Estate Co. Ltd.

    (9,900     (193,886     (1.1
     Shares     Value     % of Basket
Value
 
Japan (continued)                  

Mitsui Fudosan Co. Ltd.

    (6,900   $ (182,750     (1.0 )% 

MonotaRO Co. Ltd.

    (26,700     (640,473     (3.6

Murata Manufacturing Co. Ltd.

    (3,000     (169,844     (1.0

Nexon Co. Ltd.

    (17,000     (230,230     (1.3

Nidec Corp.

    (2,500     (314,427     (1.8

Nippon Telegraph & Telephone Corp.

    (10,100     (257,520     (1.5

NTT DOCOMO, Inc.

    (8,600     (244,347     (1.4

Obic Co. Ltd.

    (2,500     (340,654     (1.9

Oriental Land Co. Ltd.

    (1,100     (143,258     (0.8

Pan Pacific International Holdings Corp.

    (7,500     (121,026     (0.7

PeptiDream, Inc.

    (5,300     (250,889     (1.4

Rakuten, Inc.

    (45,200     (348,693     (2.0

Resona Holdings, Inc.

    (5,000     (20,619     (0.1

Shimadzu Corp.

    (7,400     (207,681     (1.2

Shimano, Inc.

    (5,600     (858,634     (4.8

Shimizu Corp.

    (7,400     (75,901     (0.4

Shin-Etsu Chemical Co. Ltd.

    (2,000     (228,728     (1.3

Shiseido Co. Ltd.

    (6,200     (399,160     (2.2

SMC Corp.

    (1,000     (431,669     (2.4

SoftBank Group Corp.

    (15,758     (636,222     (3.6

Subaru Corp.

    (2,700     (67,534     (0.4

Sumitomo Metal Mining Co. Ltd.

    (21,400     (608,412     (3.4

Sumitomo Mitsui Trust Holdings, Inc.

    (11,400     (420,317     (2.4

Suzuki Motor Corp.

    (3,600     (164,721     (0.9

Sysmex Corp.

    (1,200     (85,848     (0.5

Taisei Corp.

    (20,700     (826,422     (4.7

Takeda Pharmaceutical Co. Ltd.

    (25,100     (963,925     (5.4

TDK Corp.

    (1,500     (158,813     (0.9

Terumo Corp.

    (9,300     (334,761     (1.9

Tokyo Electric Power Co. Holdings, Inc.

    (165,600     (655,758     (3.7

Tokyo Gas Co. Ltd.

    (17,200     (378,159     (2.1

Toyota Motor Corp.

    (3,600     (250,300     (1.4

Unicharm Corp.

    (10,600     (362,771     (2.0

Yaskawa Electric Corp.

    (18,300     (626,441     (3.5
   

 

 

   
          (23,184,591  
Luxembourg                  

Eurofins Scientific SE

    (180     (96,814     (0.6

SES SA, FDR

    (4,883     (59,928     (0.3
   

 

 

   
      (156,742  
Macau                  

Galaxy Entertainment Group Ltd.

    (116,000     (759,171     (4.3
   

 

 

   
Netherlands                  

ABN AMRO Bank NV, CVA

    (1,500     (26,108     (0.1

Aegon NV

    (123,380     (499,677     (2.8

ASML Holding NV

    (2,210     (620,209     (3.5

Heineken NV

    (2,700     (293,779     (1.7

Koninklijke Vopak NV

    (3,757     (201,173     (1.1
   

 

 

   
      (1,640,946  
Norway                  

Aker BP ASA

    (9,970     (280,829     (1.6

Mowi ASA

    (28,979     (691,200     (3.9

Norsk Hydro ASA

    (136,678     (427,166     (2.4
   

 

 

   
      (1,399,195  
Portugal                  

EDP — Energias de Portugal SA

    (50,410     (252,803     (1.4
   

 

 

   
Singapore                  

Singapore Telecommunications Ltd.

    (43,900     (105,635     (0.6
   

 

 

   
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      27  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
South Korea                  

Celltrion Healthcare Co. Ltd.

    (9,767   $ (459,332     (2.6 )% 

Hyundai Motor Co.

    (4,275     (443,797     (2.5

Kakao Corp.

    (570     (75,137     (0.4

LG Chem Ltd.

    (8,552     (2,384,638     (13.4

NAVER Corp.

    (7,000     (1,043,900     (5.9

Samsung Biologics Co. Ltd.

    (1,450     (582,784     (3.3

Samsung C&T Corp.

    (1,280     (115,188     (0.7

Samsung Electro-Mechanics Co. Ltd.

    (985     (100,989     (0.6

Samsung SDI Co. Ltd.

    (6,972     (1,587,094     (8.9

SK Hynix, Inc.

    (7,963     (605,876     (3.4

SK Innovation Co. Ltd.

    (8,577     (923,115     (5.2
   

 

 

   
          (8,321,850  
Spain                  

Banco Santander SA

    (114,120     (449,735     (2.5

CaixaBank SA

    (208,090     (608,200     (3.4

Cellnex Telecom SA

    (3,443     (171,238     (1.0

Endesa SA

    (6,760     (185,610     (1.0

Ferrovial SA

    (7,667     (243,546     (1.4

Grifols SA

    (16,257     (545,995     (3.1

Industria de Diseno Textil SA

    (7,270     (244,469     (1.4

Naturgy Energy Group SA

    (5,980     (157,721     (0.9

Siemens Gamesa Renewable Energy SA

    (15,808     (251,958     (1.4
   

 

 

   
      (2,858,472  
Sweden                  

Alfa Laval AB

    (2,210     (55,169     (0.3

Boliden AB

    (21,960     (521,335     (2.9

Electrolux AB

    (4,280     (101,677     (0.6

Hexagon AB, Class B

    (810     (44,035     (0.3

ICA Gruppen AB

    (6,630     (291,518     (1.6

Svenska Handelsbanken AB, Class A

    (39,330     (385,324     (2.2

Swedbank AB, Class A

    (45,140     (693,068     (3.9

Tele2 AB, Class B

    (16,120     (243,204     (1.4

Telia Co. AB

    (121,780     (520,785     (2.9
   

 

 

   
      (2,856,115  
Switzerland                  

ABB Ltd. (Registered)

    (32,710     (761,552     (4.3

Baloise Holding AG (Registered)

    (3,100     (560,104     (3.2

Cie Financiere Richemont SA (Registered)

    (1,698     (123,313     (0.7

Clariant AG (Registered)

    (8,830     (198,761     (1.1

Credit Suisse Group AG (Registered)

    (66,370     (839,246     (4.7

Julius Baer Group Ltd.

    (1,280     (63,959     (0.4

Lonza Group AG (Registered)

    (4,978     (2,044,415     (11.5

Partners Group Holding AG

    (770     (704,900     (4.0

Sika AG (Registered)

    (5,013     (901,465     (5.1

Sonova Holding AG (Registered)

    (1,370     (343,557     (1.9

Straumann Holding AG (Registered)

    (140     (133,438     (0.8

Swiss Re AG

    (6,740     (761,073     (4.3

Temenos AG (Registered)

    (3,320     (534,083     (3.0

UBS Group AG (Registered)

    (31,270     (388,362     (2.2

Zurich Insurance Group AG

    (1,740     (722,305     (4.1
   

 

 

   
      (9,080,533  
Taiwan                  

Delta Electronics, Inc.

    (114,000     (532,640     (3.0

Hon Hai Precision Industry Co. Ltd.

    (240     (653     (0.0

Largan Precision Co. Ltd.

    (9,000     (1,397,948     (7.9

Nanya Technology Corp.

    (157,000     (396,234     (2.2
   

 

 

   
      (2,327,475  
     Shares     Value     % of Basket
Value
 
United Arab Emirates                  

NMC Health plc

    (9,400   $ (159,859     (0.9 )% 
   

 

 

   
United Kingdom                  

CNH Industrial NV

    (34,290     (326,612     (1.8

Coca-Cola European Partners plc

    (4,400     (231,484     (1.3

Fiat Chrysler Automobiles NV

    (15,120     (196,972     (1.1

Intertek Group plc

    (1,575     (119,508     (0.7

Linde plc

    (6,700     (1,360,971     (7.7

National Grid plc

    (234     (3,109     (0.0

Prudential plc

    (4,830     (85,879     (0.5

RSA Insurance Group plc

    (24,840     (180,221     (1.0

SSE plc

    (2,870     (57,130     (0.3
   

 

 

   
          (2,561,886  
United States                  

3M Co.

    (2,697     (427,906     (2.4

Abbott Laboratories

    (1,480     (128,967     (0.7

ABIOMED, Inc.

    (2,840     (529,064     (3.0

Activision Blizzard, Inc.

    (10,858     (634,976     (3.6

Advanced Micro Devices, Inc.

    (22,111     (1,039,217     (5.9

Alaska Air Group, Inc.

    (6,387     (412,536     (2.3

Albemarle Corp.

    (11,544     (926,752     (5.2

Align Technology, Inc.

    (1,330     (341,943     (1.9

Allegion plc

    (3,460     (447,447     (2.5

Allergan plc

    (1,420     (265,029     (1.5

Alnylam Pharmaceuticals, Inc.

    (1,957     (224,644     (1.3

Altria Group, Inc.

    (13,975     (664,232     (3.7

Amazon.com, Inc.

    (80     (160,698     (0.9

American Airlines Group, Inc.

    (5,245     (140,776     (0.8

American International Group, Inc.

    (3,060     (153,796     (0.9

Amphenol Corp., Class A

    (7,618     (757,762     (4.3

Analog Devices, Inc.

    (4,850     (532,287     (3.0

Aon plc

    (2,620     (577,055     (3.3

Apple, Inc.

    (520     (160,945     (0.9

Aptiv plc

    (13,660     (1,158,231     (6.5

Aqua America, Inc.

    (27,441     (1,425,286     (8.0

Aramark

    (6,790     (299,711     (1.7

Archer-Daniels-Midland Co.

    (17,750     (794,490     (4.5

Arconic, Inc.

    (8,823     (264,249     (1.5

Arista Networks, Inc.

    (1,340     (299,276     (1.7

Arthur J Gallagher & Co.

    (16,197     (1,661,326     (9.4

AT&T, Inc.

    (8,480     (319,018     (1.8

Baker Hughes Co.

    (10,380     (224,831     (1.3

Ball Corp.

    (4,310     (311,096     (1.8

Bank of America Corp.

    (11,890     (390,349     (2.2

Bausch Health Cos., Inc.

    (16,120     (442,172     (2.5

Becton Dickinson and Co.

    (3,457     (951,297     (5.4

BioMarin Pharmaceutical, Inc.

    (1,078     (90,013     (0.5

Bio-Techne Corp.

    (5,360     (1,125,439     (6.3

Black Knight, Inc.

    (9,490     (635,071     (3.6

Boeing Co. (The)

    (3,420     (1,088,483     (6.1

Boston Scientific Corp.

    (12,149     (508,679     (2.9

Broadcom, Inc.

    (1,290     (393,656     (2.2

Brown & Brown, Inc.

    (9,886     (443,881     (2.5

Brown-Forman Corp., Class B

    (5,710     (386,224     (2.2

Caesars Entertainment Corp.

    (17,810     (243,463     (1.4

Campbell Soup Co.

    (111     (5,371     (0.0

CarMax, Inc.

    (1,650     (160,116     (0.9

Carnival Corp.

    (4,960     (215,909     (1.2

Catalent, Inc.

    (8,540     (521,794     (2.9

Caterpillar, Inc.

    (2,810     (369,093     (2.1

Cboe Global Markets, Inc.

    (5,460     (672,781     (3.8

Centene Corp.

    (4,239     (266,252     (1.5

CenturyLink, Inc.

    (15,650     (213,779     (1.2

Ceridian HCM Holding, Inc.

    (11,540     (845,767     (4.8
 

 

 

28    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Charles Schwab Corp. (The)

    (5,045   $ (229,800     (1.3 )% 

Charter Communications, Inc., Class A

    (1,595     (825,349     (4.6

Cheniere Energy, Inc.

    (3,200     (189,568     (1.1

Church & Dwight Co., Inc.

    (7,983     (592,498     (3.3

Cisco Systems, Inc.

    (3,440     (158,137     (0.9

Clorox Co. (The)

    (4,330     (681,152     (3.8

CME Group, Inc.

    (8,468         (1,838,487     (10.4

Coca-Cola Co. (The)

    (12,580     (734,672     (4.1

Cognex Corp.

    (7,895     (402,408     (2.3

Conagra Brands, Inc.

    (9,490     (312,411     (1.8

Concho Resources, Inc.

    (18,670     (1,414,813     (8.0

Constellation Brands, Inc., Class A

    (3,050     (574,315     (3.2

Continental Resources, Inc.

    (8,690     (236,542     (1.3

Cooper Cos., Inc. (The)

    (980     (339,952     (1.9

Corning, Inc.

    (8,640     (230,602     (1.3

CoStar Group, Inc.

    (40     (26,120     (0.1

Costco Wholesale Corp.

    (1,230     (375,790     (2.1

Credit Acceptance Corp.

    (140     (60,057     (0.3

Crown Holdings, Inc.

    (2,366     (175,155     (1.0

Danaher Corp.

    (3,070     (493,871     (2.8

Deere & Co.

    (1,550     (245,799     (1.4

Dell Technologies, Inc., Class C

    (780     (38,041     (0.2

DexCom, Inc.

    (4,743     (1,141,877     (6.4

DISH Network Corp., Class A

    (6,800     (249,968     (1.4

DocuSign, Inc.

    (31,217     (2,450,847     (13.8

Dollar Tree, Inc.

    (8,295     (722,246     (4.1

Dominion Energy, Inc.

    (17,837     (1,529,523     (8.6

Domino’s Pizza, Inc.

    (620     (174,685     (1.0

Dow, Inc.

    (21,440     (987,741     (5.6

DR Horton, Inc.

    (18,349     (1,086,261     (6.1

Duke Energy Corp.

    (8,650     (844,500     (4.8

DXC Technology Co.

    (11,510     (366,939     (2.1

Edison International

    (15,470     (1,184,229     (6.7

Elanco Animal Health, Inc.

    (26,360     (814,524     (4.6

Elastic NV

    (5,710     (370,465     (2.1

Emerson Electric Co.

    (1,210     (86,672     (0.5

EPAM Systems, Inc.

    (480     (109,507     (0.6

Equifax, Inc.

    (16,671     (2,498,983     (14.1

Erie Indemnity Co., Class A

    (2,770     (461,205     (2.6

Everest Re Group Ltd.

    (3,850     (1,064,794     (6.0

Eversource Energy

    (1,080     (99,835     (0.6

Exact Sciences Corp.

    (7,669     (715,364     (4.0

Exxon Mobil Corp.

    (22,460     (1,395,215     (7.9

FedEx Corp.

    (1,910     (276,262     (1.6

Fidelity National Financial, Inc.

    (4,689     (228,589     (1.3

Fidelity National Information Services, Inc.

    (7,200     (1,034,352     (5.8

First Republic Bank

    (4,729     (524,352     (3.0

Fiserv, Inc.

    (8,344     (989,682     (5.6

FLIR Systems, Inc.

    (5,700     (293,778     (1.7

FMC Corp.

    (820     (78,384     (0.4

Ford Motor Co.

    (36,380     (320,872     (1.8

Fortive Corp.

    (1,160     (86,919     (0.5

Franklin Resources, Inc.

    (3,680     (93,104     (0.5

Freeport-McMoRan, Inc.

    (82,860     (919,746     (5.2

Gardner Denver Holdings, Inc.

    (17,450     (616,160     (3.5

Gartner, Inc.

    (2,916     (468,834     (2.6

GCI Liberty, Inc., Class A

    (6,760     (494,697     (2.8

Gentex Corp.

    (4,850     (144,384     (0.8

Genuine Parts Co.

    (7,810     (730,782     (4.1

Global Payments, Inc.

    (2,720     (531,624     (3.0

Guidewire Software, Inc.

    (7,156     (805,050     (4.5

Halliburton Co.

    (7,060     (153,979     (0.9

Hasbro, Inc.

    (3,320     (338,208     (1.9
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Herbalife Nutrition Ltd.

    (1,330   $ (51,671     (0.3 )% 

Hess Corp.

    (3,020     (170,841     (1.0

Hormel Foods Corp.

    (7,860     (371,464     (2.1

Huntington Bancshares, Inc.

    (6,225     (84,473     (0.5

Huntington Ingalls Industries, Inc.

    (430     (112,230     (0.6

IAC/InterActiveCorp

    (480     (116,923     (0.7

Illinois Tool Works, Inc.

    (3,550     (621,179     (3.5

Illumina, Inc.

    (540     (156,638     (0.9

Intercontinental Exchange, Inc.

    (2,310     (230,399     (1.3

International Flavors & Fragrances, Inc.

    (19,472         (2,552,974     (14.4

Intuitive Surgical, Inc.

    (1,301     (728,274     (4.1

Invesco Ltd.

    (13,502     (233,585     (1.3

IPG Photonics Corp.

    (8,535     (1,089,663     (6.1

IQVIA Holdings, Inc.

    (4,060     (630,315     (3.6

Jack Henry & Associates, Inc.

    (2,160     (323,006     (1.8

Jacobs Engineering Group, Inc.

    (3,240     (299,797     (1.7

James Hardie Industries plc, CDI

    (9,780     (205,632     (1.2

JB Hunt Transport Services, Inc.

    (1,525     (164,593     (0.9

JM Smucker Co. (The)

    (1,370     (141,946     (0.8

Kellogg Co.

    (7,480     (510,211     (2.9

Keurig Dr Pepper, Inc.

    (31,599     (901,519     (5.1

Kimberly-Clark Corp.

    (1,220     (174,753     (1.0

Kinder Morgan, Inc.

    (9,000     (187,830     (1.1

Kraft Heinz Co. (The)

    (18,270     (533,484     (3.0

L3Harris Technologies, Inc.

    (3,500     (774,655     (4.4

Lamb Weston Holdings, Inc.

    (2,720     (248,363     (1.4

Las Vegas Sands Corp.

    (2,480     (161,969     (0.9

Leidos Holdings, Inc.

    (2,230     (224,048     (1.3

Lennar Corp., Class A

    (12,064     (800,567     (4.5

Lennox International, Inc.

    (860     (200,363     (1.1

Liberty Broadband Corp., Class C

    (1,280     (170,150     (1.0

Liberty Media Corp-Liberty Formula One, Class C

    (1,702     (79,637     (0.4

Live Nation Entertainment, Inc.

    (8,260     (563,002     (3.2

M&T Bank Corp.

    (390     (65,723     (0.4

Marathon Petroleum Corp.

    (4,287     (233,641     (1.3

MarketAxess Holdings, Inc.

    (790     (279,802     (1.6

Marriott International, Inc., Class A

    (7,166     (1,003,670     (5.7

Marsh & McLennan Cos., Inc.

    (11,659     (1,304,176     (7.3

Marvell Technology Group Ltd.

    (33,501     (805,364     (4.5

McCormick & Co., Inc. (Non-Voting)

    (1,370     (223,817     (1.3

McDonald’s Corp.

    (3,650     (780,990     (4.4

MGM Resorts International

    (3,244     (100,759     (0.6

Microchip Technology, Inc.

    (5,621     (547,935     (3.1

Middleby Corp. (The)

    (4,140     (464,342     (2.6

Mohawk Industries, Inc.

    (1,090     (143,531     (0.8

Molson Coors Beverage Co., Class B

    (7,830     (435,191     (2.5

Mosaic Co. (The)

    (14,920     (296,013     (1.7

MSCI, Inc.

    (270     (77,166     (0.4

Mylan NV

    (1,652     (35,386     (0.2

Nasdaq, Inc.

    (2,750     (320,265     (1.8

Netflix, Inc.

    (2,860     (986,957     (5.6

Newell Brands, Inc.

    (14,974     (292,442     (1.6

NextEra Energy, Inc.

    (4,030     (1,080,846     (6.1

Noble Energy, Inc.

    (9,053     (178,978     (1.0

Nordson Corp.

    (3,642     (614,988     (3.5

Norfolk Southern Corp.

    (2,200     (458,062     (2.6

NortonLifeLock, Inc.

    (4,550     (129,311     (0.7

Nucor Corp.

    (4,430     (210,381     (1.2

NVIDIA Corp.

    (180     (42,557     (0.2

Occidental Petroleum Corp.

    (6,820     (270,890     (1.5

Okta, Inc.

    (1,240     (158,782     (0.9

Old Dominion Freight Line, Inc.

    (1,250     (245,287     (1.4
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      29  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

ON Semiconductor Corp.

    (5,530   $ (128,019     (0.7 )% 

ONEOK, Inc.

    (6,100     (456,707     (2.6

Owens Corning

    (8,510     (514,770     (2.9

Packaging Corp. of America

    (2,910     (278,632     (1.6

Palo Alto Networks, Inc.

    (390     (91,564     (0.5

Parker-Hannifin Corp.

    (920     (180,035     (1.0

Paycom Software, Inc.

    (2,013     (640,456     (3.6

PerkinElmer, Inc.

    (2,510     (232,125     (1.3

Perrigo Co. plc

    (10,318     (588,539     (3.3

Pfizer, Inc.

    (2,070     (77,087     (0.4

Pilgrim’s Pride Corp.

    (7,520     (195,896     (1.1

Pioneer Natural Resources Co.

    (4,420     (596,700     (3.4

Post Holdings, Inc.

    (3,230     (337,761     (1.9

PPL Corp.

    (3,425     (123,951     (0.7

PRA Health Sciences, Inc.

    (423     (42,854     (0.2

Principal Financial Group, Inc.

    (3,530     (186,913     (1.1

Procter & Gamble Co. (The)

    (2,400     (299,088     (1.7

Progressive Corp. (The)

    (2,840     (229,160     (1.3

Prudential Financial, Inc.

    (5,200     (473,512     (2.7

PTC, Inc.

    (18,616         (1,547,362     (8.7

QIAGEN NV

    (24,748     (835,468     (4.7

QUALCOMM, Inc.

    (2,040     (174,032     (1.0

ResMed, Inc.

    (1,300     (206,661     (1.2

RingCentral, Inc., Class A

    (360     (74,009     (0.4

Rollins, Inc.

    (20,690     (785,186     (4.4

Roper Technologies, Inc.

    (120     (45,799     (0.3

Royal Caribbean Cruises Ltd.

    (1,840     (215,427     (1.2

RPM International, Inc.

    (1,600     (114,192     (0.6

Sage Therapeutics, Inc.

    (8,459     (560,663     (3.2

Sarepta Therapeutics, Inc.

    (8,900     (1,032,044     (5.8

Seattle Genetics, Inc.

    (8,940     (969,007     (5.5

Sensata Technologies Holding plc

    (17,633     (833,512     (4.7

ServiceMaster Global Holdings, Inc.

    (1,120     (40,376     (0.2

Sirius XM Holdings, Inc.

    (32,890     (232,532     (1.3

Skyworks Solutions, Inc.

    (1,440     (162,936     (0.9

Splunk, Inc.

    (3,210     (498,385     (2.8

Spotify Technology SA

    (1,580     (223,254     (1.3

SS&C Technologies Holdings, Inc.

    (12,889     (812,136     (4.6

Stanley Black & Decker, Inc.

    (874     (139,254     (0.8

State Street Corp.

    (8,396     (634,989     (3.6

Steel Dynamics, Inc.

    (3,030     (90,536     (0.5

Sysco Corp.

    (3,860     (317,060     (1.8

Targa Resources Corp.

    (28,485     (1,039,703     (5.9

TD Ameritrade Holding Corp.

    (1,710     (81,191     (0.5

Teleflex, Inc.

    (1,103     (409,776     (2.3

Tesla, Inc.

    (2,579     (1,677,820     (9.5

Thermo Fisher Scientific, Inc.

    (530     (165,991     (0.9

Tiffany & Co.

    (5,253     (704,007     (4.0

Travelers Cos., Inc. (The)

    (1,710     (225,070     (1.3

Trimble, Inc.

    (740     (31,465     (0.2

Truist Financial Corp.

    (23,330     (1,203,128     (6.8

Twilio, Inc., Class A

    (10,920     (1,357,793     (7.6

Tyler Technologies, Inc.

    (2,911     (942,232     (5.3

Tyson Foods, Inc., Class A

    (1,950     (161,128     (0.9

Ubiquiti, Inc.

    (590     (96,418     (0.5

UGI Corp.

    (7,310     (304,023     (1.7

Union Pacific Corp.

    (910     (163,272     (0.9

United Rentals, Inc.

    (340     (46,135     (0.3

UnitedHealth Group, Inc.

    (800     (217,960     (1.2

Universal Display Corp.

    (1,220     (214,927     (1.2

Vail Resorts, Inc.

    (2,110     (494,816     (2.8

Valero Energy Corp.

    (3,540     (298,457     (1.7

Verisk Analytics, Inc.

    (1,570     (255,078     (1.4

VF Corp.

    (1,810     (150,176     (0.8

WABCO Holdings, Inc.

    (620     (84,103     (0.5
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Walmart, Inc.

    (1,460   $ (167,155     (0.9 )% 

Walt Disney Co. (The)

    (22,075     (3,053,193     (17.2

Waters Corp.

    (680     (152,177     (0.9

Wayfair, Inc., Class A

    (9,362     (877,219     (4.9

Wells Fargo & Co.

    (16,390     (769,347     (4.3

Western Digital Corp.

    (10,014     (655,917     (3.7

Westinghouse Air Brake Technologies Corp.

    (7,530     (556,166     (3.1

Westlake Chemical Corp.

    (6,240     (381,888     (2.2

WEX, Inc.

    (590     (127,983     (0.7

Willis Towers Watson plc

    (525     (110,927     (0.6

Wynn Resorts Ltd.

    (2,534     (319,689     (1.8

Xylem, Inc.

    (8,947     (730,612     (4.1

Zayo Group Holdings, Inc.

    (5,890     (204,678     (1.2

Zendesk, Inc.

    (570     (49,248     (0.3

Zimmer Biomet Holdings, Inc.

    (2,264     (334,846     (1.9
   

 

 

   
      (123,551,521  
   

 

 

   

Total Reference Entity — Short

      (219,053,688  
   

 

 

   

Net Value of Reference Entity — Citibank NA

 

  $ 17,751,839    

The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Credit Suisse International, as of January 31, 2020, expiration dates 02/13/20 — 02/08/23:

 

     Shares     Value     % of Basket
Value
 

Reference Entity — Long

     
Australia                  

AGL Energy Ltd.

    9,385       124,550       0.7  

Aristocrat Leisure Ltd.

    10,040       239,446       1.3  

ASX Ltd.

    7,390       418,095       2.3  

Aurizon Holdings Ltd.

    282,910       1,014,092       5.5  

BHP Group Ltd.

    17,286       443,281       2.4  

BHP Group plc

    26,472       576,206       3.1  

Cochlear Ltd.

    140       22,297       0.1  

Newcrest Mining Ltd.

    48,583       972,633       5.3  

Oil Search Ltd.

    7,530       35,991       0.2  

QBE Insurance Group Ltd.

    15,910       144,831       0.8  

Rio Tinto Ltd.

    4,887       317,109       1.7  

Rio Tinto plc

    8,830       472,178       2.6  

South32 Ltd.

    36,690       62,956       0.3  

Suncorp Group Ltd.

    14,429       123,262       0.7  

Sydney Airport

    64,280       357,533       1.9  

Telstra Corp. Ltd.

    78,689       200,653       1.1  

Treasury Wine Estates Ltd.

    25,070       215,340       1.2  

Wesfarmers Ltd.

    36,851       1,105,604       6.0  

Woolworths Group Ltd.

    19,120       531,036       2.9  
   

 

 

   

 

 

 
              7,377,093    
Austria                  

Erste Group Bank AG

    8,070       296,309       1.6  

OMV AG

    13,215       656,708       3.6  
   

 

 

   
      953,017    
Belgium                  

Ageas

    2,250       124,069       0.7  

Colruyt SA

    2,260       113,166       0.6  

Groupe Bruxelles Lambert SA

    7,123       715,817       3.9  

KBC Group NV

    4,920       361,007       2.0  

UCB SA

    4,808       442,443       2.4  
   

 

 

   
      1,756,502    
Canada                  

Bank of Montreal

    6,737       513,802       2.8  

Bank of Nova Scotia (The)

    3,880       211,914       1.1  

BCE, Inc.

    6,700       315,711       1.7  
 

 

 

30    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Canada (continued)                  

Canadian Natural Resources Ltd.

    5,205     $ 146,388       0.8

Canadian Pacific Railway Ltd.

    521       138,399       0.7  

Canadian Tire Corp. Ltd., Class A

    4,764       510,922       2.8  

CGI, Inc.

    7,070       541,335       2.9  

Constellation Software, Inc.

    560       588,626       3.2  

Hydro One Ltd.

    26,630       541,293       2.9  

Imperial Oil Ltd.

    22,390       530,904       2.9  

Magna International, Inc.

    11,012       558,198       3.0  

Manulife Financial Corp.

    9,140       178,048       1.0  

National Bank of Canada

    15,310       849,489       4.6  

Nutrien Ltd.

    27,650       1,180,379       6.4  

Power Financial Corp.

    6,172       160,200       0.9  

Restaurant Brands International, Inc.

    3,270       199,503       1.1  

Rogers Communications, Inc., Class B

    9,574       479,351       2.6  

Royal Bank of Canada

    12,738       1,006,604       5.5  

Sun Life Financial, Inc.

    17,490       822,297       4.5  

Suncor Energy, Inc.

    25,811       788,919       4.3  

Toronto-Dominion Bank (The)

    20,530       1,134,626       6.2  
   

 

 

   
              11,396,908    
China                  

BOC Hong Kong Holdings Ltd.

    103,000       340,475       1.9  
   

 

 

   
Denmark                  

Carlsberg A/S, Class B

    15,303       2,234,755       12.1  

GN Store Nord A/S

    4,130       204,849       1.1  

H Lundbeck A/S

    6,860       291,498       1.6  

Novo Nordisk A/S, Class B

    11,531       701,911       3.8  
   

 

 

   
      3,433,013    
Finland                  

Kone OYJ, Class B

    7,350       474,907       2.6  

UPM-Kymmene OYJ

    9,753       307,302       1.7  
   

 

 

   
      782,209    
France                  

Alstom SA

    14,860       787,584       4.3  

Arkema SA

    3,355       307,416       1.7  

Bureau Veritas SA

    5,220       143,836       0.8  

Capgemini SE

    1,310       162,690       0.9  

Carrefour SA

    27,840       471,100       2.6  

Cie de Saint-Gobain

    22,610       853,038       4.6  

Danone SA

    7,502       600,344       3.3  

Dassault Systemes SE

    233       40,336       0.2  

Eiffage SA

    8,377       971,010       5.3  

Hermes International

    1,190       888,605       4.8  

Kering SA

    50       30,551       0.2  

Legrand SA

    5,771       461,748       2.5  

L’Oreal SA

    740       205,828       1.1  

Orange SA

    36,491       515,836       2.8  

Peugeot SA

    28,325       583,219       3.2  

Publicis Groupe SA

    6,190       274,398       1.5  

Safran SA

    6,230       1,004,508       5.4  

Schneider Electric SE

    3,840       382,950       2.1  

Sodexo SA

    2,190       229,304       1.2  

Suez

    5,220       85,665       0.5  

TOTAL SA

    3,070       149,481       0.8  

Veolia Environnement SA

    12,105       357,103       1.9  

Vinci SA

    850       94,171       0.5  

Vivendi SA

    11,047       302,128       1.6  
   

 

 

   
      9,902,849    
Germany                  

adidas AG

    2,190       692,291       3.8  

Allianz SE (Registered)

    3,057       729,839       4.0  
     Shares     Value     % of Basket
Value
 
Germany (continued)                  

BASF SE

    3,560     $ 240,288       1.3

Brenntag AG

    11,560       598,231       3.2  

Continental AG

    2,590       295,564       1.6  

Covestro AG

    7,686       323,910       1.8  

Deutsche Post AG (Registered)

    26,043       908,638       4.9  

Deutsche Telekom AG (Registered)

    70,805       1,146,744       6.2  

Evonik Industries AG

    9,720       266,365       1.4  

Hannover Rueck SE

    1,978       384,061       2.1  

HeidelbergCement AG

    9,684       653,101       3.5  

Henkel AG & Co. KGaA (Preference)

    5,770       586,824       3.2  

HOCHTIEF AG

    10,944       1,265,840       6.9  

Knorr-Bremse AG

    1,050       114,715       0.6  

LEG Immobilien AG

    2,520       310,818       1.7  

Merck KGaA

    2,940       376,995       2.0  

Muenchener Rueckversicherungs- Gesellschaft AG (Registered)

    2,291       675,479       3.7  

RWE AG

    1,027       35,603       0.2  

Telefonica Deutschland Holding AG

    240,250       728,206       3.9  

Volkswagen AG (Preference)

    270       48,441       0.3  
   

 

 

   
              10,381,953    
Hong Kong                  

CK Asset Holdings Ltd.

    84,000       536,672       2.9  

CLP Holdings Ltd.

    44,500       462,780       2.5  

Hang Seng Bank Ltd.

    43,600       881,301       4.8  

Henderson Land Development Co. Ltd.

    18,000       80,814       0.4  

New World Development Co. Ltd.

    218,000       272,311       1.5  

Sun Hung Kai Properties Ltd.

    24,500       341,294       1.9  
   

 

 

   
      2,575,172    
Ireland                  

AerCap Holdings NV

    1,000       56,610       0.3  
   

 

 

   
Italy                  

Assicurazioni Generali SpA

    22,488       438,194       2.4  

Eni SpA

    27,380       383,528       2.1  

Intesa Sanpaolo SpA

    21,300       52,899       0.3  

Moncler SpA

    2,541       109,370       0.6  

Snam SpA

    17,290       92,669       0.5  
   

 

 

   
      1,076,660    
Japan                  

Aeon Co. Ltd.

    6,400       130,902       0.7  

AGC, Inc.

    18,800       633,717       3.4  

Ajinomoto Co., Inc.

    30,900       508,918       2.8  

Asahi Group Holdings Ltd.

    11,400       528,482       2.9  

Asahi Kasei Corp.

    12,900       131,946       0.7  

Astellas Pharma, Inc.

    49,000       865,836       4.7  

Bridgestone Corp.

    13,300       471,073       2.6  

Dai Nippon Printing Co. Ltd.

    4,500       124,086       0.7  

Daiwa Securities Group, Inc.

    39,500       199,762       1.1  

Denso Corp.

    25,000       1,025,554       5.6  

East Japan Railway Co.

    100       8,805       0.0  

FUJIFILM Holdings Corp.

    10,200       506,578       2.7  

Fujitsu Ltd.

    2,200       232,612       1.3  

Hitachi Ltd.

    17,500       666,531       3.6  

Honda Motor Co. Ltd.

    3,800       97,186       0.5  

Inpex Corp.

    8,700       81,207       0.4  

Japan Post Holdings Co. Ltd.

    4,800       43,664       0.2  

Japan Post Insurance Co. Ltd.

    29,100       491,020       2.7  

Kao Corp.

    2,100       167,490       0.9  

Kirin Holdings Co. Ltd.

    10,300       226,214       1.2  

Konami Holdings Corp.

    3,800       147,164       0.8  

Kyocera Corp.

    6,100       400,809       2.2  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      31  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Japan (continued)                  

Kyowa Kirin Co. Ltd.

    6,400     $ 150,459       0.8

Marubeni Corp.

    35,800       257,245       1.4  

MEIJI Holdings Co. Ltd.

    13,200       928,934       5.0  

Mitsubishi Chemical Holdings Corp.

    68,100       492,157       2.7  

Mitsubishi Corp.

    3,900       99,979       0.5  

Mitsubishi Electric Corp.

    43,600       604,521       3.3  

Mitsubishi Heavy Industries Ltd.

    13,100       477,854       2.6  

Mitsui & Co. Ltd.

    8,300       147,621       0.8  

MS&AD Insurance Group Holdings, Inc.

    11,800       391,910       2.1  

NEC Corp.

    6,000       267,080       1.5  

Nintendo Co. Ltd.

    700       257,499       1.4  

Nippon Steel Corp.

    13,900       192,869       1.0  

Nissan Motor Co. Ltd.

    65,700       356,508       1.9  

Nitto Denko Corp.

    3,000       166,764       0.9  

Nomura Holdings, Inc.

    15,900       81,399       0.4  

Nomura Research Institute Ltd.

    15,500       341,088       1.9  

NTT Data Corp.

    33,200       466,368       2.5  

Obayashi Corp.

    64,600       708,466       3.8  

Omron Corp.

    8,600       492,478       2.7  

Ono Pharmaceutical Co. Ltd.

    31,400       723,043       3.9  

ORIX Corp.

    9,100       153,721       0.8  

Otsuka Holdings Co. Ltd.

    29,500       1,310,549       7.1  

Panasonic Corp.

    82,400       818,893       4.4  

Recruit Holdings Co. Ltd.

    6,600       257,244       1.4  

Renesas Electronics Corp.

    19,300       121,422       0.7  

Ricoh Co. Ltd.

    10,400       118,003       0.6  

Rohm Co. Ltd.

    3,600       258,968       1.4  

Secom Co. Ltd.

    2,300       201,831       1.1  

Sekisui House Ltd.

    73,000       1,569,658       8.5  

Seven & i Holdings Co. Ltd.

    14,600       559,813       3.0  

Shionogi & Co. Ltd.

    7,700       457,951       2.5  

Sony Corp.

    4,800       335,649       1.8  

Sumitomo Chemical Co. Ltd.

    255,200       1,084,396       5.9  

Sumitomo Electric Industries Ltd.

    46,700       622,587       3.4  

Sumitomo Mitsui Financial Group, Inc.

    14,300       502,780       2.7  

Tokio Marine Holdings, Inc.

    3,500       189,984       1.0  

Tokyo Electron Ltd.

    300       65,984       0.4  

Toray Industries, Inc.

    30,600       200,225       1.1  

Toshiba Corp.

    10,500       335,584       1.8  

Trend Micro, Inc.

    3,500       182,876       1.0  

West Japan Railway Co.

    1,500       126,915       0.7  

Yamaha Motor Co. Ltd.

    12,600       233,826       1.3  
   

 

 

   
          25,002,657    
Luxembourg                  

Tenaris SA

    38,311       395,928       2.2  
   

 

 

   
Macau                  

Sands China Ltd.

    80,400       387,714       2.1  
   

 

 

   
Netherlands                  

Adyen NV

    150       137,836       0.7  

Akzo Nobel NV

    36,404       3,435,357       18.6  

EXOR NV

    3,738       275,446       1.5  

Koninklijke Ahold Delhaize NV

    7,360       180,625       1.0  

Koninklijke DSM NV

    1,747       212,620       1.1  

Koninklijke Philips NV

    2,418       110,738       0.6  

NN Group NV

    10,403       361,073       2.0  

Randstad NV

    6,520       374,483       2.0  

Royal Dutch Shell plc, Class A

    41,280       1,084,029       5.9  

Wolters Kluwer NV

    8,008       601,734       3.3  
   

 

 

   
      6,773,941    
     Shares     Value     % of Basket
Value
 
Norway                  

Equinor ASA

    51,025     $ 920,878       5.0

Orkla ASA

    46,560       449,480       2.4  

Telenor ASA

    23,840       430,814       2.3  

Yara International ASA

    1,720       62,463       0.4  
   

 

 

   
      1,863,635    
Portugal                  

Galp Energia SGPS SA

    5,260       79,482       0.4  

Jeronimo Martins SGPS SA

    11,890       204,602       1.1  
   

 

 

   
      284,084    
Russia                  

Evraz plc

    17,290       80,274       0.4  
   

 

 

   
Singapore                  

Mapletree Industrial Trust

    3,900       7,927       0.1  

United Overseas Bank Ltd.

    36,900       688,263       3.7  
   

 

 

   
      696,190    
South Korea                  

Hana Financial Group, Inc.

    15,114       417,685       2.3  

Hyundai Mobis Co. Ltd.

    1,940       370,974       2.0  

KB Financial Group, Inc.

    14,499       533,351       2.9  

Kia Motors Corp.

    16,000       544,205       3.0  

KT&G Corp.

    9,666       768,096       4.2  

LG Electronics, Inc.

    5,120       279,188       1.5  

LG Household & Health Care Ltd.

    458       479,032       2.6  

NCSoft Corp.

    559       296,129       1.6  

POSCO

    1,148       207,981       1.1  

Samsung Electronics Co. Ltd.

    9,600       444,797       2.4  

Samsung Electronics Co. Ltd. (Preference)

    4,540       177,472       1.0  

Shinhan Financial Group Co. Ltd.

    27,555       899,211       4.9  

SK Telecom Co. Ltd.

    2,150       411,865       2.2  
   

 

 

   
              5,829,986    
Spain                  

ACS Actividades de Construccion y Servicios SA

    28,353       942,654       5.1  

Aena SME SA

    2,560       473,806       2.6  

Amadeus IT Group SA

    1,970       154,460       0.8  

Banco Bilbao Vizcaya Argentaria SA

    76,880       397,977       2.2  

Iberdrola SA

    16,235       177,633       1.0  

Repsol SA

    29,571       406,979       2.2  

Telefonica SA

    89,897       608,037       3.3  
   

 

 

   
      3,161,546    
Sweden                  

Assa Abloy AB, Class B

    4,300       102,066       0.6  

Atlas Copco AB, Class A

    12,993       412,747       2.2  

Essity AB, Class B

    45,894       1,456,948       7.9  

Hennes & Mauritz AB, Class B

    25,639       562,514       3.0  

Investor AB, Class B

    16,921       926,510       5.0  

Kinnevik AB, Class B

    3,800       91,687       0.5  

Lundin Petroleum AB

    12,110       368,322       2.0  

Sandvik AB

    7,658       139,771       0.8  

SKF AB, Class B

    2,640       48,324       0.3  

Swedish Match AB

    14,101       797,244       4.3  

Telefonaktiebolaget LM Ericsson, Class B

    6,950       54,644       0.3  

Volvo AB, Class B

    20,322       347,379       1.9  
   

 

 

   
      5,308,156    
Switzerland                  

Adecco Group AG (Registered)

    8,010       469,291       2.5  

Coca-Cola HBC AG

    10,678       392,226       2.1  

Geberit AG (Registered)

    1,390       733,547       4.0  
 

 

 

32    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Switzerland (continued)                  

Kuehne + Nagel International AG (Registered)

    540     $ 87,276       0.5

LafargeHolcim Ltd. (Registered)

    4,820       244,956       1.3  

Logitech International SA (Registered)

    6,674       298,978       1.6  

Nestle SA (Registered)

    13,157       1,451,121       7.9  

Novartis AG (Registered)

    4,678       441,922       2.4  

Roche Holding AG

    814       273,071       1.5  

Schindler Holding AG

    3,190       823,995       4.5  

STMicroelectronics NV

    20,185       561,992       3.1  

Swatch Group AG (The)

    5,040       1,264,268       6.9  

Swiss Life Holding AG (Registered)

    1,214       610,247       3.3  

Swiss Prime Site AG (Registered)

    2,430       296,667       1.6  

Swisscom AG (Registered)

    877       481,178       2.6  
   

 

 

   
          8,430,735    
United Kingdom                  

Admiral Group plc

    1,750       52,100       0.3  

Associated British Foods plc

    41,899       1,450,278       7.9  

AVEVA Group plc

    4,180       271,051       1.5  

BAE Systems plc

    12,320       102,416       0.6  

BP plc

    57,212       344,422       1.9  

British American Tobacco plc

    770       33,953       0.2  

BT Group plc

    22,030       46,813       0.3  

Burberry Group plc

    7,530       193,072       1.0  

CK Hutchison Holdings Ltd.

    37,500       331,339       1.8  

Compass Group plc

    15,510       383,442       2.1  

Experian plc

    9,280       323,018       1.7  

GlaxoSmithKline plc

    43,227       1,014,945       5.5  

Halma plc

    28,340       786,618       4.3  

Imperial Brands plc

    16,970       435,149       2.4  

Informa plc

    5,659       57,807       0.3  

InterContinental Hotels Group plc

    2,150       132,432       0.7  

ITV plc

    90,876       161,906       0.9  

Pearson plc

    38,020       283,779       1.5  

RELX plc

    4,910       130,271       0.7  

Rentokil Initial plc

    17,420       107,282       0.6  

Rightmove plc

    195,590       1,695,089       9.2  

Rolls-Royce Holdings plc

    18,640       164,187       0.9  

Sage Group plc (The)

    60,820       592,121       3.2  

Schroders plc

    2,150       91,030       0.5  

Smith & Nephew plc

    20,681       497,604       2.7  

Unilever plc

    9,365       558,635       3.0  

Vodafone Group plc

    336,930       661,973       3.6  

WPP plc

    28,120       349,632       1.9  
   

 

 

   
      11,252,364    
United States                  

AbbVie, Inc.

    10,058       814,899       4.4  

Adobe, Inc.

    1,420       498,619       2.7  

Advance Auto Parts, Inc.

    920       121,210       0.7  

AES Corp.

    5,289       105,040       0.6  

Aflac, Inc.

    13,765       709,861       3.9  

Agilent Technologies, Inc.

    1,703       140,600       0.8  

Air Products & Chemicals, Inc.

    760       181,420       1.0  

Akamai Technologies, Inc.

    11,652       1,087,714       5.9  

Alexion Pharmaceuticals, Inc.

    11,230       1,116,150       6.1  

Alleghany Corp.

    80       63,813       0.3  

Alliant Energy Corp.

    17,626       1,046,279       5.7  

Allstate Corp. (The)

    16,292       1,931,254       10.5  

Ally Financial, Inc.

    51,820       1,659,795       9.0  

Alphabet, Inc., Class A

    430       616,095       3.3  

Amdocs Ltd.

    17,662       1,270,781       6.9  

Ameren Corp.

    2,207       181,084       1.0  

American Electric Power Co., Inc.

    2,116       220,530       1.2  
     Shares     Value     % of Basket
Value
 
United States (continued)                  

American Express Co.

    1,982     $ 257,402       1.4

American Financial Group, Inc.

    7,896       859,006       4.7  

American Water Works Co., Inc.

    1,350       183,870       1.0  

Ameriprise Financial, Inc.

    2,089       345,541       1.9  

AmerisourceBergen Corp.

    8,080       691,325       3.8  

AMETEK, Inc.

    11,060           1,074,479       5.8  

Amgen, Inc.

    1,817       392,563       2.1  

AO Smith Corp.

    990       42,263       0.2  

Applied Materials, Inc.

    11,795       683,992       3.7  

Arch Capital Group Ltd.

    6,480       286,157       1.6  

Arrow Electronics, Inc.

    3,020       229,339       1.2  

Aspen Technology, Inc.

    6,138       730,299       4.0  

Athene Holding Ltd., Class A

    7,418       323,128       1.8  

Atmos Energy Corp.

    8,740       1,022,842       5.5  

Autodesk, Inc.

    750       147,638       0.8  

Automatic Data Processing, Inc.

    3,981       682,304       3.7  

AutoZone, Inc.

    232       245,447       1.3  

Avery Dennison Corp.

    2,492       327,050       1.8  

Axalta Coating Systems Ltd.

    31,042       894,320       4.9  

Bank of New York Mellon Corp. (The)

    590       26,420       0.1  

Baxter International, Inc.

    992       88,506       0.5  

Best Buy Co., Inc.

    12,835       1,086,996       5.9  

Biogen, Inc.

    10,180       2,736,893       14.8  

Bio-Rad Laboratories, Inc., Class A

    2,080       750,714       4.1  

Booking Holdings, Inc.

    330       604,082       3.3  

Booz Allen Hamilton Holding Corp.

    7,201       561,966       3.0  

Bright Horizons Family Solutions, Inc.

    1,190       194,839       1.1  

Bristol-Myers Squibb Co.

    11,518       725,058       3.9  

Bristol-Myers Squibb Co., CVR

    8,815       30,676       0.2  

Bruker Corp.

    1,760       87,067       0.5  

Cabot Oil & Gas Corp.

    26,201       369,172       2.0  

Cadence Design Systems, Inc.

    9,790       705,957       3.8  

Capital One Financial Corp.

    12,275       1,225,045       6.6  

Cardinal Health, Inc.

    14,174       725,851       3.9  

Carlisle Cos., Inc.

    4,920       768,652       4.2  

Carnival plc

    5,660       231,164       1.3  

CDW Corp.

    2,285       298,078       1.6  

Celanese Corp.

    1,868       193,338       1.0  

Cerner Corp.

    18,570       1,333,883       7.2  

CF Industries Holdings, Inc.

    4,850       195,358       1.1  

CH Robinson Worldwide, Inc.

    11,383       822,080       4.5  

Chevron Corp.

    600       64,284       0.3  

Ciena Corp.

    12,920       525,456       2.9  

Cintas Corp.

    2,520       703,004       3.8  

Citigroup, Inc.

    18,150       1,350,542       7.3  

Citizens Financial Group, Inc.

    11,601       432,485       2.3  

Citrix Systems, Inc.

    10,481       1,270,507       6.9  

CMS Energy Corp.

    6,350       435,039       2.4  

Colgate-Palmolive Co.

    5,378       396,789       2.2  

Comcast Corp., Class A

    12,575       543,114       2.9  

Comerica, Inc.

    2,167       132,534       0.7  

ConocoPhillips

    10,957       651,175       3.5  

Consolidated Edison, Inc.

    1,890       177,660       1.0  

Copart, Inc.

    440       44,642       0.2  

Corteva, Inc.

    20,660       597,487       3.2  

CSX Corp.

    982       74,966       0.4  

Cummins, Inc.

    7,147       1,143,306       6.2  

Cypress Semiconductor Corp.

    3,500       81,655       0.4  

Darden Restaurants, Inc.

    5,529       643,741       3.5  

DaVita, Inc.

    3,880       309,896       1.7  

Delta Air Lines, Inc.

    990       55,183       0.3  

Devon Energy Corp.

    35,023       760,700       4.1  

Discover Financial Services

    11,209       842,132       4.6  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      33  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Dollar General Corp.

    1,950     $ 299,150       1.6

Dover Corp.

    6,363       724,428       3.9  

DTE Energy Co.

    4,160       551,658       3.0  

Dunkin’ Brands Group, Inc.

    13,380       1,044,844       5.7  

E*TRADE Financial Corp.

    1,900       80,978       0.4  

Eaton Corp. plc

    4,252       401,686       2.2  

eBay, Inc.

    20,665       693,517       3.8  

Edwards Lifesciences Corp.

    1,790       393,549       2.1  

Electronic Arts, Inc.

    530       57,198       0.3  

Eli Lilly & Co.

    3,344       466,956       2.5  

Entergy Corp.

    8,134       1,069,784       5.8  

EOG Resources, Inc.

    3,000       218,730       1.2  

Equitable Holdings, Inc.

    1,723       41,386       0.2  

Estee Lauder Cos., Inc. (The), Class A

    6,298       1,229,118       6.7  

Euronet Worldwide, Inc.

    1,170       184,439       1.0  

Evergy, Inc.

    1,427       102,972       0.6  

Exelon Corp.

    14,740       701,477       3.8  

Expedia Group, Inc.

    9,290           1,007,501       5.5  

Expeditors International of Washington, Inc.

    10,147       741,137       4.0  

Fair Isaac Corp.

    1,074       432,156       2.3  

Fastenal Co.

    8,856       308,897       1.7  

Ferguson plc

    6,450       579,222       3.1  

Fifth Third Bancorp

    6,140       174,683       0.9  

FleetCor Technologies, Inc.

    1,280       403,494       2.2  

Fortinet, Inc.

    2,112       243,640       1.3  

Fortune Brands Home & Security, Inc.

    1,718       118,044       0.6  

Gap, Inc. (The)

    11,520       200,563       1.1  

Garmin Ltd.

    2,651       257,014       1.4  

General Mills, Inc.

    2,980       155,616       0.8  

General Motors Co.

    14,129       471,767       2.6  

Gilead Sciences, Inc.

    19,074       1,205,477       6.5  

Globe Life, Inc.

    10,100       1,053,026       5.7  

GoDaddy, Inc., Class A

    3,540       237,923       1.3  

HCA Healthcare, Inc.

    7,968       1,105,958       6.0  

HD Supply Holdings, Inc.

    11,750       478,695       2.6  

HEICO Corp., Class A

    990       95,189       0.5  

Henry Schein, Inc.

    12,915       890,360       4.8  

Hershey Co. (The)

    6,140       952,744       5.2  

Hewlett Packard Enterprise Co.

    46,503       647,787       3.5  

Hexcel Corp.

    530       39,337       0.2  

Hill-Rom Holdings, Inc.

    1,291       137,479       0.7  

Hilton Worldwide Holdings, Inc.

    7,544       813,243       4.4  

HollyFrontier Corp.

    10,110       454,141       2.5  

Hologic, Inc.

    5,950       318,444       1.7  

Home Depot, Inc. (The)

    1,679       382,980       2.1  

Honeywell International, Inc.

    3,512       608,349       3.3  

HP, Inc.

    24,262       517,266       2.8  

Hubbell, Inc.

    1,130       161,850       0.9  

IDEX Corp.

    3,311       542,507       2.9  

IDEXX Laboratories, Inc.

    1,801       488,089       2.6  

IHS Markit Ltd.

    440       34,698       0.2  

Incyte Corp.

    5,067       370,246       2.0  

Ingersoll-Rand plc

    3,721       495,749       2.7  

International Business Machines Corp.

    7,240       1,040,605       5.6  

International Paper Co.

    6,020       245,134       1.3  

Interpublic Group of Cos., Inc. (The)

    18,493       419,791       2.3  

Intuit, Inc.

    627       175,798       1.0  

Jazz Pharmaceuticals plc

    2,130       305,336       1.7  

Johnson & Johnson

    3,969       590,865       3.2  

Johnson Controls International plc

    6,600       260,370       1.4  

JPMorgan Chase & Co.

    1,240       164,126       0.9  
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Juniper Networks, Inc.

    6,140     $ 140,852       0.8

Kansas City Southern

    760       128,204       0.7  

Keysight Technologies, Inc.

    3,770       350,572       1.9  

Kohl’s Corp.

    810       34,628       0.2  

Lam Research Corp.

    2,410       718,686       3.9  

Liberty Media Corp-Liberty SiriusXM, Class C

    18,909       926,919       5.0  

LKQ Corp.

    2,480       81,059       0.4  

Loews Corp.

    2,380       122,451       0.7  

LPL Financial Holdings, Inc.

    6,880       633,854       3.4  

Marathon Oil Corp.

    44,640       507,557       2.8  

Masco Corp.

    2,789       132,533       0.7  

Masimo Corp.

    1,100       187,660       1.0  

Maxim Integrated Products, Inc.

    2,019       121,382       0.7  

McKesson Corp.

    11,990           1,709,894       9.3  

Medtronic plc

    450       51,948       0.3  

Merck & Co., Inc.

    10,132       865,678       4.7  

MetLife, Inc.

    11,075       550,538       3.0  

Mettler-Toledo International, Inc.

    612       463,394       2.5  

Microsoft Corp.

    10,420       1,773,797       9.6  

Mondelez International, Inc., Class A

    5,995       343,993       1.9  

Monster Beverage Corp.

    3,110       207,126       1.1  

Morgan Stanley

    9,847       514,604       2.8  

Motorola Solutions, Inc.

    439       77,703       0.4  

NetApp, Inc.

    4,734       252,796       1.4  

Nielsen Holdings plc

    7,324       149,410       0.8  

NIKE, Inc., Class B

    9,401       905,316       4.9  

NiSource, Inc.

    9,690       284,014       1.5  

Northern Trust Corp.

    5,360       524,262       2.8  

Norwegian Cruise Line Holdings Ltd.

    9,480       510,498       2.8  

NRG Energy, Inc.

    20,727       764,619       4.1  

NVR, Inc.

    80       305,358       1.7  

OGE Energy Corp.

    7,932       363,682       2.0  

Omnicom Group, Inc.

    2,004       150,921       0.8  

Oracle Corp.

    6,756       354,352       1.9  

PACCAR, Inc.

    2,500       185,525       1.0  

Paychex, Inc.

    14,959       1,283,033       7.0  

PayPal Holdings, Inc.

    2,870       326,864       1.8  

Pentair plc

    1,700       72,981       0.4  

PepsiCo, Inc.

    2,340       332,327       1.8  

Philip Morris International, Inc.

    470       38,869       0.2  

Phillips 66

    3,298       301,338       1.6  

Pinnacle West Capital Corp.

    7,223       705,615       3.8  

Pool Corp.

    490       107,457       0.6  

PPG Industries, Inc.

    2,920       349,933       1.9  

Public Service Enterprise Group, Inc.

    3,820       226,144       1.2  

PulteGroup, Inc.

    5,340       238,431       1.3  

Qorvo, Inc.

    4,507       477,111       2.6  

Quest Diagnostics, Inc.

    2,120       234,620       1.3  

Raymond James Financial, Inc.

    3,490       319,091       1.7  

Regeneron Pharmaceuticals, Inc.

    2,344       792,131       4.3  

Regions Financial Corp.

    14,783       230,171       1.2  

Reliance Steel & Aluminum Co.

    11,280       1,294,944       7.0  

Republic Services, Inc.

    765       72,713       0.4  

Robert Half International, Inc.

    8,774       510,384       2.8  

Rockwell Automation, Inc.

    1,570       300,906       1.6  

Royal Gold, Inc.

    2,130       245,632       1.3  

S&P Global, Inc.

    380       111,617       0.6  

salesforce.com, Inc.

    790       144,025       0.8  

Sealed Air Corp.

    4,970       176,435       1.0  

SEI Investments Co.

    5,520       360,235       2.0  

Sempra Energy

    930       149,395       0.8  

Service Corp. International

    850       40,758       0.2  

ServiceNow, Inc.

    462       156,262       0.8  
 

 

 

34    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Sherwin-Williams Co. (The)

    90     $ 50,129       0.3

Signature Bank

    2,350       333,442       1.8  

Snap-on, Inc.

    280       44,696       0.2  

Southern Co. (The)

    1,590       111,936       0.6  

Southwest Airlines Co.

    5,915       325,207       1.8  

Spirit AeroSystems Holdings, Inc., Class A

    660       43,111       0.2  

Starbucks Corp.

    14,360       1,218,159       6.6  

Stryker Corp.

    3,238       682,247       3.7  

SVB Financial Group

    760       182,651       1.0  

Synchrony Financial

    33,154       1,074,521       5.8  

Synopsys, Inc.

    5,646       832,841       4.5  

T Rowe Price Group, Inc.

    5,498       734,148       4.0  

Target Corp.

    860       95,236       0.5  

Teledyne Technologies, Inc.

    1,443       526,782       2.9  

Teradyne, Inc.

    13,618       898,652       4.9  

Texas Instruments, Inc.

    9,910       1,195,642       6.5  

TJX Cos., Inc. (The)

    16,375       966,780       5.2  

Toro Co. (The)

    810       64,816       0.4  

Tractor Supply Co.

    4,968       461,776       2.5  

United Continental Holdings, Inc.

    10,376       776,125       4.2  

United Parcel Service, Inc., Class B

    1,800       186,336       1.0  

Universal Health Services, Inc., Class B

    1,980       271,478       1.5  

US Bancorp

    1,938       103,140       0.6  

US Foods Holding Corp.

    1,470       59,050       0.3  

Veeva Systems, Inc., Class A

    1,160       170,068       0.9  

VeriSign, Inc.

    5,805       1,208,253       6.6  

Verizon Communications, Inc.

    4,550       270,452       1.5  

Vertex Pharmaceuticals, Inc.

    3,010       683,421       3.7  

Visa, Inc., Class A

    6,209       1,235,405       6.7  

Vistra Energy Corp.

    36,960       832,339       4.5  

VMware, Inc., Class A

    270       39,976       0.2  

Voya Financial, Inc.

    4,106       245,251       1.3  

Waste Management, Inc.

    2,247       273,460       1.5  

WEC Energy Group, Inc.

    370       36,959       0.2  

West Pharmaceutical Services, Inc.

    4,000       623,800       3.4  

Western Union Co. (The)

    12,240       329,256       1.8  

Workday, Inc., Class A

    850       156,936       0.9  

WR Berkley Corp.

    3,840       282,355       1.5  

WW Grainger, Inc.

    36       10,896       0.1  

Xcel Energy, Inc.

    4,470       309,279       1.7  

Xerox Holdings Corp.

    12,689       451,348       2.4  

Yum! Brands, Inc.

    7,831       828,285       4.5  

Zebra Technologies Corp., Class A

    1,380       329,848       1.8  

Zions Bancorp NA

    4,983       226,677       1.2  

Zoetis, Inc.

    620       83,210       0.5  
   

 

 

   
      119,632,949    
   

 

 

   

Total Reference Entity — Long

          239,132,620    
   

 

 

   

Reference Entity — Short

     
Australia                  

Australia & New Zealand Banking Group Ltd.

    (33,470     (569,739     (3.1

Brambles Ltd.

    (14,520     (121,277     (0.7

Commonwealth Bank of Australia

    (11,100     (628,454     (3.4

Fortescue Metals Group Ltd.

    (34,030     (252,088     (1.4

Insurance Australia Group Ltd.

    (149,110     (701,130     (3.8

Lendlease Group

    (73,456     (882,226     (4.8

National Australia Bank Ltd.

    (62,228     (1,062,987     (5.8

Origin Energy Ltd.

    (6,328     (34,232     (0.2

Qantas Airways Ltd.

    (26,110     (110,701     (0.6

Ramsay Health Care Ltd.

    (2,810     (147,813     (0.8

Sonic Healthcare Ltd.

    (18,770     (393,433     (2.1
     Shares     Value     % of Basket
Value
 
Australia (continued)                  

Transurban Group

    (137,760   $ (1,435,979     (7.8 )% 

Westpac Banking Corp.

    (84,667     (1,414,907     (7.7

WiseTech Global Ltd.

    (12,710     (207,693     (1.1

Woodside Petroleum Ltd.

    (11,190     (256,369     (1.4
   

 

 

   
      (8,219,028  
Belgium                  

Anheuser-Busch InBev SA/NV

    (3,365     (253,856     (1.4

Proximus SADP

    (1,980     (56,414     (0.3

Umicore SA

    (23,504     (1,082,204     (5.9
   

 

 

   
      (1,392,474  
Bermuda                  

RenaissanceRe Holdings Ltd.

    (20     (3,789     (0.0
   

 

 

   
Canada                  

Agnico Eagle Mines Ltd.

    (6,030     (372,774     (2.0

Barrick Gold Corp.

    (8,730     (161,680     (0.9

Brookfield Asset Management, Inc., Class A

    (11,280     (690,449     (3.7

Canadian Imperial Bank of Commerce

    (8,390     (684,184     (3.7

Dollarama, Inc.

    (2,000     (68,143     (0.4

Enbridge, Inc.

    (3,690     (150,037     (0.8

Franco-Nevada Corp.

    (3,710     (421,713     (2.3

Great-West Lifeco, Inc.

    (14,880     (385,549     (2.1

Intact Financial Corp.

    (1,840     (199,336     (1.1

Inter Pipeline Ltd.

    (12,820     (213,602     (1.2

Loblaw Cos. Ltd.

    (5,870     (307,117     (1.7
   

 

 

   
      (3,654,584  
China                  

BeiGene Ltd., ADR

    (2,980     (454,033     (2.5
   

 

 

   
Denmark                  

Chr Hansen Holding A/S

    (15,090     (1,123,040     (6.1

Danske Bank A/S

    (3,970     (66,272     (0.4

DSV PANALPINA A/S

    (6,821     (740,548     (4.0

Vestas Wind Systems A/S

    (1,210     (120,114     (0.6
   

 

 

   
      (2,049,974  
Finland                  

Elisa OYJ

    (4,688     (282,432     (1.5

Neste OYJ

    (4,870     (193,790     (1.1

Nokia OYJ

    (52,910     (205,963     (1.1

Nordea Bank Abp

    (127,349     (1,003,823     (5.5

Sampo OYJ, Class A

    (19,470     (881,352     (4.8

Stora Enso OYJ, Class R

    (3,940     (51,143     (0.3

Wartsila OYJ Abp

    (67,767     (832,364     (4.5
   

 

 

   
            (3,450,867  
France                  

Accor SA

    (15,037     (615,619     (3.3

Aeroports de Paris

    (3,296     (623,605     (3.4

Air Liquide SA

    (7,310     (1,056,950     (5.7

Atos SE

    (6,240     (517,474     (2.8

AXA SA

    (510     (13,562     (0.1

BNP Paribas SA

    (5,290     (280,727     (1.5

Cie Generale des Etablissements Michelin SCA

    (2,730     (316,744     (1.7

Edenred

    (2,174     (117,400     (0.6

Electricite de France SA

    (7,177     (88,602     (0.5

EssilorLuxottica SA

    (5,710     (845,415     (4.6

Faurecia SE

    (6,100     (290,644     (1.6

Iliad SA

    (2,623     (344,246     (1.9

Ingenico Group SA

    (2,920     (339,576     (1.8

Ipsen SA

    (1,652     (122,595     (0.7
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      35  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
France (continued)                  

LVMH Moet Hennessy Louis Vuitton SE

    (1,520   $ (661,918     (3.6 )% 

Natixis SA

    (23,903     (100,940     (0.6

Orpea

    (2,433     (316,763     (1.7

Pernod Ricard SA

    (1,230     (212,959     (1.2

Remy Cointreau SA

    (2,229     (234,744     (1.3

Renault SA

    (8,824     (345,135     (1.9

SCOR SE

    (11,355     (482,621     (2.6

Societe Generale SA

    (16,717     (540,957     (2.9

Teleperformance

    (1,001     (251,149     (1.4

Thales SA

    (2,990     (328,096     (1.8

Ubisoft Entertainment SA

    (3,670     (278,339     (1.5

Valeo SA

    (10,208     (303,189     (1.6

Worldline SA/France

    (4,200     (295,957     (1.6
   

 

 

   
      (9,925,926  
Germany                  

Bayer AG (Registered)

    (2,650     (212,677     (1.2

Bayerische Motoren Werke AG

    (9,210     (656,042     (3.6

Commerzbank AG

    (93,656     (537,443     (2.9

Daimler AG (Registered)

    (26,542     (1,229,082     (6.7

Delivery Hero SE

    (19,905     (1,531,562     (8.3

Deutsche Bank AG (Registered)

    (169,903     (1,554,435     (8.4

Deutsche Boerse AG

    (610     (99,017     (0.5

Deutsche Lufthansa AG (Registered)

    (19,620     (298,884     (1.6

Deutsche Wohnen SE

    (5,965     (252,381     (1.4

E.ON SE

    (68,850     (780,138     (4.2

Fresenius SE & Co. KGaA

    (890     (45,444     (0.3

Infineon Technologies AG

    (14,131     (303,576     (1.6

KION Group AG

    (3,183     (199,230     (1.1

MTU Aero Engines AG

    (350     (106,003     (0.6

Porsche Automobil Holding SE (Preference)

    (12,076     (814,297     (4.4

SAP SE

    (1,120     (145,859     (0.8

Siemens AG (Registered)

    (1,180     (145,539     (0.8

Siemens Healthineers AG

    (14,750     (693,180     (3.8

thyssenkrupp AG

    (103,990     (1,278,667     (6.9

TUI AG

    (37,482     (384,021     (2.1

United Internet AG (Registered)

    (13,311     (430,326     (2.3

Vonovia SE

    (5,440     (310,494     (1.7

Zalando SE

    (7,857     (376,193     (2.0
   

 

 

   
        (12,384,490  
Italy                  

Atlantia SpA

    (1,189     (29,176     (0.2

Davide Campari-Milano SpA

    (30,430     (294,136     (1.6

Enel SpA

    (5,440     (47,417     (0.3

Mediobanca Banca di Credito Finanziario SpA

    (20,560     (205,098     (1.1

Poste Italiane SpA

    (11,900     (136,315     (0.7

Recordati SpA

    (5,310     (227,219     (1.2

Telecom Italia SpA

    (1,327,110     (712,533     (3.9
   

 

 

   
      (1,651,894  
Japan                  

Aisin Seiki Co. Ltd.

    (4,300     (143,147     (0.8

ANA Holdings, Inc.

    (7,800     (243,627     (1.3

Asahi Intecc Co. Ltd.

    (8,100     (223,177     (1.2

Bandai Namco Holdings, Inc.

    (6,200     (360,273     (2.0

Chubu Electric Power Co., Inc.

    (39,600     (537,795     (2.9

Chugai Pharmaceutical Co. Ltd.

    (600     (61,457     (0.3

Daifuku Co. Ltd.

    (13,900     (836,931     (4.5

Dai-ichi Life Holdings, Inc.

    (25,600     (379,934     (2.1

Daiichi Sankyo Co. Ltd.

    (2,800     (189,216     (1.0

Daito Trust Construction Co. Ltd.

    (1,800     (212,034     (1.1
     Shares     Value     % of Basket
Value
 
Japan (continued)                  

Daiwa House Industry Co. Ltd.

    (8,100   $ (255,008     (1.4 )% 

Disco Corp.

    (2,500     (575,858     (3.1

Eisai Co. Ltd.

    (900     (67,826     (0.4

FamilyMart Co. Ltd.

    (11,200     (244,946     (1.3

FANUC Corp.

    (4,300     (783,159     (4.2

Idemitsu Kosan Co. Ltd.

    (31,700     (791,177     (4.3

Isuzu Motors Ltd.

    (4,300     (42,129     (0.2

Japan Airlines Co. Ltd.

    (11,700     (329,126     (1.8

Japan Tobacco, Inc.

    (14,300     (302,366     (1.6

JFE Holdings, Inc.

    (51,800     (613,410     (3.3

JXTG Holdings, Inc.

    (73,900     (314,310     (1.7

Kajima Corp.

    (53,500     (678,721     (3.7

Kansai Electric Power Co., Inc. (The)

    (28,300     (317,606     (1.7

KDDI Corp.

    (5,300     (160,161     (0.9

Keyence Corp.

    (2,400     (806,777     (4.4

Koito Manufacturing Co. Ltd.

    (3,100     (134,529     (0.7

Komatsu Ltd.

    (5,000     (110,555     (0.6

Kose Corp.

    (800     (103,009     (0.6

Kubota Corp.

    (33,600     (526,162     (2.9

LINE Corp.

    (3,600     (177,393     (1.0

M3, Inc.

    (16,200     (471,506     (2.6

Makita Corp.

    (17,100     (654,067     (3.5

MINEBEA MITSUMI, Inc.

    (2,500     (48,565     (0.3

Mitsubishi Estate Co. Ltd.

    (5,800     (113,590     (0.6

Mitsui Fudosan Co. Ltd.

    (18,400     (487,333     (2.6

MonotaRO Co. Ltd.

    (39,100     (937,921     (5.1

Murata Manufacturing Co. Ltd.

    (1,700     (96,245     (0.5

Nexon Co. Ltd.

    (14,000     (189,601     (1.0

Nidec Corp.

    (3,500     (440,198     (2.4

NTT DOCOMO, Inc.

    (3,700     (105,126     (0.6

Obic Co. Ltd.

    (2,400     (327,028     (1.8

Oriental Land Co. Ltd.

    (11,200     (1,458,632     (7.9

Pan Pacific International Holdings Corp.

    (13,200     (213,005     (1.2

PeptiDream, Inc.

    (9,800     (463,909     (2.5

Rakuten, Inc.

    (76,300     (588,613     (3.2

Resona Holdings, Inc.

    (13,500     (55,672     (0.3

Shimadzu Corp.

    (1,000     (28,065     (0.1

Shimano, Inc.

    (2,100     (321,988     (1.7

Shimizu Corp.

    (15,100     (154,878     (0.8

Shin-Etsu Chemical Co. Ltd.

    (1,700     (194,418     (1.1

Shiseido Co. Ltd.

    (5,600     (360,531     (2.0

SMC Corp.

    (1,900     (820,172     (4.4

SoftBank Group Corp.

    (23,300     (940,727     (5.1

Subaru Corp.

    (6,600     (165,083     (0.9

Sumitomo Metal Mining Co. Ltd.

    (17,200     (489,004     (2.6

Sumitomo Mitsui Trust Holdings, Inc.

    (2,300     (84,801     (0.5

Suzuki Motor Corp.

    (2,800     (128,116     (0.7

Sysmex Corp.

    (3,300     (236,083     (1.3

Taisei Corp.

    (26,000     (1,038,018     (5.6

TDK Corp.

    (800     (84,700     (0.5

Terumo Corp.

    (7,300     (262,769     (1.4

Tokyo Electric Power Co. Holdings, Inc.

    (60,400     (239,177     (1.3

Tokyo Gas Co. Ltd.

    (14,600     (320,996     (1.7

Toyota Motor Corp.

    (600     (41,717     (0.2

Unicharm Corp.

    (5,300     (181,385     (1.0

Yaskawa Electric Corp.

    (20,100     (688,058     (3.7

Z Holdings Corp.

    (23,200     (92,149     (0.5

ZOZO, Inc.

    (27,900     (464,695     (2.5
   

 

 

   
        (24,510,360  
 

 

 

36    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
Luxembourg                  

Eurofins Scientific SE

    (1,665   $ (895,528     (4.9 )% 

SES SA, FDR

    (39,195     (481,030     (2.6
   

 

 

   
      (1,376,558  
Netherlands                  

ABN AMRO Bank NV, CVA

    (10,870     (189,198     (1.0

Aegon NV

    (83,433     (337,895     (1.8

ASML Holding NV

    (530     (148,738     (0.8

Heineken NV

    (13,970     (1,520,034     (8.3

Koninklijke Vopak NV

    (10,730     (574,551     (3.1
   

 

 

   
      (2,770,416  
Norway                  

Aker BP ASA

    (5,880     (165,624     (0.9

Mowi ASA

    (16,379     (390,668     (2.1

Norsk Hydro ASA

    (27,782     (86,828     (0.5
   

 

 

   
      (643,120  
Portugal                  

EDP – Energias de Portugal SA

    (13,180     (66,097     (0.3
   

 

 

   
Singapore                  

Singapore Telecommunications Ltd.

    (114,400     (275,276     (1.5
   

 

 

   
South Africa                  

Anglo American plc

    (9,210     (240,327     (1.3

Mondi plc

    (13,920     (283,227     (1.5
   

 

 

   
      (523,554  
South Korea                  

Celltrion Healthcare Co. Ltd.

    (10,342     (486,373     (2.6

Celltrion, Inc.

    (7,400     (1,008,052     (5.5

Hyundai Motor Co.

    (5,812     (603,357     (3.3

Kakao Corp.

    (515     (67,887     (0.4

LG Chem Ltd.

    (1,478     (412,125     (2.2

NAVER Corp.

    (367     (54,730     (0.3

Samsung Biologics Co. Ltd.

    (4,431     (1,780,906     (9.7

Samsung Electro-Mechanics Co. Ltd.

    (287     (29,425     (0.2

Samsung SDI Co. Ltd.

    (1,716     (390,627     (2.1

SK Hynix, Inc.

    (2,330     (177,281     (1.0

SK Innovation Co. Ltd.

    (522     (56,181     (0.3
   

 

 

   
      (5,066,944  
Spain                  

Banco Santander SA

    (111,440     (439,173     (2.4

CaixaBank SA

    (115,543     (337,706     (1.8

Cellnex Telecom SA

    (31,905     (1,586,802     (8.6

Endesa SA

    (6,850     (188,081     (1.0

Ferrovial SA

    (16,389     (520,604     (2.8

Grifols SA

    (20,700     (695,215     (3.8

Industria de Diseno Textil SA

    (9,675     (325,342     (1.8

Naturgy Energy Group SA

    (1,040     (27,430     (0.2

Siemens Gamesa Renewable Energy SA

    (4,040     (64,392     (0.4
   

 

 

   
          (4,184,745  
Sweden                  

Alfa Laval AB

    (41,310     (1,031,227     (5.6

Boliden AB

    (29,893     (709,667     (3.8

Electrolux AB

    (6,100     (144,914     (0.8

Hexagon AB, Class B

    (11,253     (611,756     (3.3

ICA Gruppen AB

    (14,920     (656,024     (3.6

Skandinaviska Enskilda Banken AB, Class A

    (17,930     (177,183     (1.0

Svenska Handelsbanken AB, Class A

    (36,160     (354,267     (1.9

Swedbank AB, Class A

    (4,880     (74,926     (0.4
     Shares     Value     % of Basket
Value
 
Sweden (continued)                  

Tele2 AB, Class B

    (12,660   $ (191,003     (1.0 )% 

Telia Co. AB

    (45,880     (196,203     (1.1
   

 

 

   
          (4,147,170  
Switzerland                  

ABB Ltd. (Registered)

    (8,840     (205,812     (1.1

Alcon, Inc.

    (1,420     (83,891     (0.5

Baloise Holding AG (Registered)

    (3,530     (637,796     (3.5

Cie Financiere Richemont SA (Registered)

    (19,190     (1,393,631     (7.6

Clariant AG (Registered)

    (18,480     (415,980     (2.3

Givaudan SA (Registered)

    (55     (181,471     (1.0

Glencore plc

    (149,683     (437,762     (2.4

Julius Baer Group Ltd.

    (6,513     (325,439     (1.8

Lonza Group AG (Registered)

    (942     (386,870     (2.1

Partners Group Holding AG

    (950     (869,681     (4.7

Sika AG (Registered)

    (4,970     (893,733     (4.8

Sonova Holding AG (Registered) .

    (950     (238,233     (1.3

Straumann Holding AG (Registered)

    (140     (133,439     (0.7

Swiss Re AG

    (7,820     (883,026     (4.8

Temenos AG (Registered)

    (630     (101,347     (0.5

UBS Group AG (Registered)

    (43,662     (542,266     (2.9

Zurich Insurance Group AG

    (670     (278,129     (1.5
      (8,008,506  
   

 

 

   
United Arab Emirates                  

NMC Health plc

    (6,160     (104,758     (0.6
   

 

 

   
United Kingdom                  

3i Group plc

    (51,590     (750,468     (4.1

Aviva plc

    (74,550     (390,679     (2.1

Barclays plc

    (93,080     (205,550     (1.1

Barratt Developments plc

    (15,710     (166,330     (0.9

Bunzl plc

    (9,331     (241,675     (1.3

CNH Industrial NV

    (640     (6,096     (0.0

Coca-Cola European Partners plc

    (9,345     (491,640     (2.7

DCC plc

    (9,567     (772,458     (4.2

DS Smith plc

    (273,340     (1,225,513     (6.6

Hargreaves Lansdown plc

    (43,629     (990,358     (5.4

International Consolidated Airlines Group SA

    (14,820     (111,059     (0.6

Intertek Group plc

    (4,430     (336,140     (1.8

Johnson Matthey plc

    (25,540     (875,666     (4.8

Just Eat plc

    (201,930     (2,295,844     (12.5

Linde plc

    (5,030     (1,021,744     (5.5

Lloyds Banking Group plc

    (160,090     (119,513     (0.7

London Stock Exchange Group plc

    (5,101     (527,141     (2.9

Melrose Industries plc

    (113,306     (347,248     (1.9

National Grid plc

    (27,348     (363,364     (2.0

Ocado Group plc

    (121,190     (1,954,031     (10.6

Persimmon plc

    (7,460     (300,326     (1.6

Prudential plc

    (33,934     (603,360     (3.3

Reckitt Benckiser Group plc

    (10,588     (876,405     (4.8

Royal Bank of Scotland Group plc

    (158,990     (455,380     (2.5

RSA Insurance Group plc

    (50,720     (367,987     (2.0

Severn Trent plc

    (9,680     (329,659     (1.8

Smiths Group plc

    (45,689     (1,015,886     (5.5

Spirax-Sarco Engineering plc

    (10,714     (1,258,627     (6.8

SSE plc

    (53,390     (1,062,770     (5.8

St James’s Place plc

    (103,450     (1,555,856     (8.4

Standard Life Aberdeen plc

    (75,750     (300,987     (1.6

Taylor Wimpey plc

    (109,120     (309,944     (1.7

Tesco plc

    (52,230     (169,879     (0.9

Whitbread plc

    (17,554     (1,034,789     (5.6
   

 

 

   
      (22,834,372  
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      37  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States                  

3M Co.

    (2,580   $ (409,343     (2.2 )% 

Abbott Laboratories

    (5,010     (436,571     (2.4

ABIOMED, Inc.

    (350     (65,201     (0.4

Activision Blizzard, Inc.

    (3,417     (199,826     (1.1

Advanced Micro Devices, Inc.

    (25,459         (1,196,573     (6.5

Alaska Air Group, Inc.

    (8,023     (518,206     (2.8

Albemarle Corp.

    (1,220     (97,942     (0.5

Align Technology, Inc.

    (330     (84,843     (0.5

Allegion plc

    (2,460     (318,127     (1.7

Allergan plc

    (4,088     (762,984     (4.1

Alnylam Pharmaceuticals, Inc.

    (6,010     (689,888     (3.7

Altria Group, Inc.

    (7,730     (367,407     (2.0

Amazon.com, Inc.

    (190     (381,657     (2.1

American Airlines Group, Inc.

    (21,496     (576,953     (3.1

American International Group, Inc.

    (4,466     (224,461     (1.2

Amphenol Corp., Class A

    (10,645     (1,058,858     (5.7

Analog Devices, Inc.

    (2,320     (254,620     (1.4

Aon plc

    (2,800     (616,700     (3.3

Apple, Inc.

    (130     (40,236     (0.2

Aptiv plc

    (11,725     (994,163     (5.4

Aqua America, Inc.

    (12,620     (655,483     (3.6

Aramark

    (7,670     (338,554     (1.8

Archer-Daniels-Midland Co.

    (42,060     (1,882,606     (10.2

Arista Networks, Inc.

    (1,762     (393,525     (2.1

Arthur J Gallagher & Co.

    (11,860     (1,216,480     (6.6

AT&T, Inc.

    (7,140     (268,607     (1.5

Atlassian Corp. plc, Class A

    (2,948     (433,356     (2.3

Baker Hughes Co.

    (32,685     (707,957     (3.8

Ball Corp.

    (4,540     (327,697     (1.8

Bank of America Corp.

    (5,160     (169,403     (0.9

Bausch Health Cos., Inc.

    (13,556     (371,841     (2.0

Becton Dickinson and Co.

    (1,802     (495,874     (2.7

Bio-Techne Corp.

    (2,123     (445,766     (2.4

Black Knight, Inc.

    (5,020     (335,938     (1.8

Boeing Co. (The)

    (120     (38,192     (0.2

Boston Scientific Corp.

    (4,067     (170,285     (0.9

Broadcom, Inc.

    (1,240     (378,398     (2.1

Brown & Brown, Inc.

    (2,070     (92,943     (0.5

Brown-Forman Corp., Class B

    (4,859     (328,663     (1.8

Bunge Ltd.

    (5,477     (287,159     (1.6

Burlington Stores, Inc.

    (410     (89,163     (0.5

CarMax, Inc.

    (480     (46,579     (0.3

Carnival Corp.

    (2,050     (89,236     (0.5

Catalent, Inc.

    (36,390     (2,223,429     (12.1

Caterpillar, Inc.

    (4,742     (622,862     (3.4

Cboe Global Markets, Inc.

    (3,210     (395,536     (2.1

CBRE Group, Inc., Class A

    (3,750     (228,938     (1.2

Centene Corp.

    (4,380     (275,108     (1.5

CenterPoint Energy, Inc.

    (7,450     (197,276     (1.1

CenturyLink, Inc.

    (8,860     (121,028     (0.7

Ceridian HCM Holding, Inc.

    (5,970     (437,541     (2.4

Charles Schwab Corp. (The)

    (7,670     (349,368     (1.9

Charter Communications, Inc., Class A

    (320     (165,587     (0.9

Cheniere Energy, Inc.

    (9,108     (539,558     (2.9

Church & Dwight Co., Inc.

    (4,216     (312,912     (1.7

Cigna Corp.

    (4,390     (844,548     (4.6

Cisco Systems, Inc.

    (1,340     (61,600     (0.3

Clorox Co. (The)

    (5,990     (942,287     (5.1

CME Group, Inc.

    (7,442     (1,615,733     (8.8

Coca-Cola Co. (The)

    (780     (45,552     (0.2

Cognex Corp.

    (15,319     (780,809     (4.2

Conagra Brands, Inc.

    (15,013     (494,228     (2.7

Concho Resources, Inc.

    (13,592     (1,030,002     (5.6

Constellation Brands, Inc., Class A

    (2,500     (470,750     (2.6
     Shares     Value     % of Basket
Value
 
United States (continued)                  

Continental Resources, Inc.

    (3,857   $ (104,988     (0.6 )% 

Cooper Cos., Inc. (The)

    (1,450     (502,990     (2.7

Corning, Inc.

    (4,820     (128,646     (0.7

CoStar Group, Inc.

    (665     (434,238     (2.4

Credit Acceptance Corp.

    (310     (132,984     (0.7

Crown Holdings, Inc.

    (10,424     (771,689     (4.2

Danaher Corp.

    (5,760     (926,611     (5.0

Deere & Co.

    (6,377         (1,011,265     (5.5

Diamondback Energy, Inc.

    (6,215     (462,396     (2.5

DISH Network Corp., Class A

    (6,280     (230,853     (1.3

DocuSign, Inc.

    (7,553     (592,986     (3.2

Dollar Tree, Inc.

    (3,830     (333,478     (1.8

Dominion Energy, Inc.

    (4,220     (361,865     (2.0

Domino’s Pizza, Inc.

    (190     (53,533     (0.3

Dow, Inc.

    (5,370     (247,396     (1.3

DR Horton, Inc.

    (5,529     (327,317     (1.8

Duke Energy Corp.

    (2,640     (257,743     (1.4

DuPont de Nemours, Inc.

    (2,740     (140,233     (0.8

DXC Technology Co.

    (1,940     (61,847     (0.3

East West Bancorp, Inc.

    (4,250     (194,820     (1.1

Edison International

    (4,040     (309,262     (1.7

Elanco Animal Health, Inc.

    (10,720     (331,248     (1.8

Elastic NV

    (17,790     (1,154,215     (6.3

EPAM Systems, Inc.

    (260     (59,316     (0.3

Equifax, Inc.

    (290     (43,471     (0.2

Erie Indemnity Co., Class A

    (570     (94,905     (0.5

Everest Re Group Ltd.

    (1,430     (395,495     (2.1

Eversource Energy

    (4,559     (421,434     (2.3

Exxon Mobil Corp.

    (13,860     (860,983     (4.7

FedEx Corp.

    (1,590     (229,978     (1.2

Fidelity National Financial, Inc.

    (9,409     (458,689     (2.5

Fidelity National Information Services, Inc.

    (2,090     (300,249     (1.6

First Republic Bank

    (3,748     (415,578     (2.3

Fiserv, Inc.

    (1,580     (187,404     (1.0

FLIR Systems, Inc.

    (1,790     (92,257     (0.5

Flowserve Corp.

    (2,795     (130,471     (0.7

FMC Corp.

    (610     (58,310     (0.3

Ford Motor Co.

    (8,000     (70,560     (0.4

Fortive Corp.

    (1,190     (89,167     (0.5

Franklin Resources, Inc.

    (6,364     (161,009     (0.9

Freeport-McMoRan, Inc.

    (199,060     (2,209,566     (12.0

Gardner Denver Holdings, Inc.

    (25,290     (892,990     (4.8

Gartner, Inc.

    (6,463     (1,039,121     (5.6

GCI Liberty, Inc., Class A

    (3,050     (223,199     (1.2

General Electric Co.

    (24,559     (305,760     (1.7

Gentex Corp.

    (5,660     (168,498     (0.9

Genuine Parts Co.

    (5,390     (504,342     (2.7

Global Payments, Inc.

    (1,020     (199,359     (1.1

Graco, Inc.

    (9,760     (518,744     (2.8

Guidewire Software, Inc.

    (6,821     (767,363     (4.2

Halliburton Co.

    (17,350     (378,403     (2.1

Hasbro, Inc.

    (3,480     (354,508     (1.9

Herbalife Nutrition Ltd.

    (1,260     (48,951     (0.3

Hess Corp.

    (9,556     (540,583     (2.9

Hormel Foods Corp.

    (8,291     (391,833     (2.1

Huntington Bancshares, Inc.

    (13,620     (184,823     (1.0

Huntington Ingalls Industries, Inc.

    (1,130     (294,930     (1.6

IAC/InterActiveCorp

    (520     (126,667     (0.7

Illinois Tool Works, Inc.

    (2,970     (519,691     (2.8

Illumina, Inc.

    (610     (176,943     (1.0

Intercontinental Exchange, Inc.

    (4,399     (438,756     (2.4

International Flavors & Fragrances, Inc.

    (5,191     (680,592     (3.7

Intuitive Surgical, Inc.

    (579     (324,113     (1.8
 

 

 

38    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Invesco Ltd.

    (10,186   $ (176,218     (1.0 )% 

IPG Photonics Corp.

    (7,531     (961,483     (5.2

IQVIA Holdings, Inc.

    (3,713     (576,443     (3.1

Jack Henry & Associates, Inc.

    (3,290     (491,987     (2.7

Jacobs Engineering Group, Inc.

    (6,508     (602,185     (3.3

JB Hunt Transport Services, Inc.

    (3,075     (331,885     (1.8

JM Smucker Co. (The)

    (830     (85,996     (0.5

Keurig Dr Pepper, Inc.

    (18,738     (534,595     (2.9

Kimberly-Clark Corp.

    (2,490     (356,668     (1.9

Kinder Morgan, Inc.

    (16,347     (341,162     (1.8

Kraft Heinz Co. (The)

    (5,450     (159,140     (0.9

L3Harris Technologies, Inc.

    (1,870     (413,887     (2.2

Lamb Weston Holdings, Inc.

    (13,490         (1,231,772     (6.7

Las Vegas Sands Corp.

    (6,460     (421,903     (2.3

Leidos Holdings, Inc.

    (2,440     (245,147     (1.3

Lennar Corp., Class A

    (17,281     (1,146,767     (6.2

Lennox International, Inc.

    (910     (212,012     (1.1

Liberty Broadband Corp., Class C

    (4,917     (653,617     (3.5

Liberty Media Corp-Liberty Formula One, Class C

    (3,292     (154,033     (0.8

Live Nation Entertainment, Inc.

    (4,230     (288,317     (1.6

Lowe’s Cos., Inc.

    (1,070     (124,377     (0.7

M&T Bank Corp.

    (1,430     (240,984     (1.3

MarketAxess Holdings, Inc.

    (1,676     (593,606     (3.2

Marriott International, Inc., Class A

    (1,930     (270,316     (1.5

Marsh & McLennan Cos., Inc.

    (5,210     (582,791     (3.2

Martin Marietta Materials, Inc.

    (831     (219,218     (1.2

Marvell Technology Group Ltd.

    (23,040     (553,882     (3.0

McCormick & Co., Inc. (Non-Voting)

    (490     (80,051     (0.4

McDonald’s Corp.

    (940     (201,132     (1.1

Microchip Technology, Inc.

    (3,385     (329,970     (1.8

Middleby Corp. (The)

    (4,340     (486,774     (2.6

Mohawk Industries, Inc.

    (6,826     (898,848     (4.9

Molina Healthcare, Inc.

    (700     (86,079     (0.5

Molson Coors Beverage Co., Class B

    (5,130     (285,125     (1.5

Mosaic Co. (The)

    (8,950     (177,568     (1.0

MSCI, Inc.

    (850     (242,930     (1.3

Mylan NV

    (20     (428     (0.0

Nasdaq, Inc.

    (7,510     (874,615     (4.7

Netflix, Inc.

    (2,018     (696,392     (3.8

Newell Brands, Inc.

    (11,382     (222,290     (1.2

Nordson Corp.

    (2,270     (383,312     (2.1

Norfolk Southern Corp.

    (2,830     (589,234     (3.2

NortonLifeLock, Inc.

    (3,300     (93,786     (0.5

Nucor Corp.

    (3,780     (179,512     (1.0

NVIDIA Corp.

    (636     (150,369     (0.8

Occidental Petroleum Corp.

    (28,980     (1,151,086     (6.2

Okta, Inc.

    (4,460     (571,103     (3.1

ON Semiconductor Corp.

    (9,990     (231,268     (1.3

ONEOK, Inc.

    (12,824     (960,133     (5.2

Owens Corning

    (1,240     (75,008     (0.4

Packaging Corp. of America

    (890     (85,217     (0.5

Palo Alto Networks, Inc.

    (220     (51,652     (0.3

Parker-Hannifin Corp.

    (730     (142,854     (0.8

Paycom Software, Inc.

    (280     (89,085     (0.5

People’s United Financial, Inc.

    (4,800     (74,016     (0.4

PerkinElmer, Inc.

    (4,040     (373,619     (2.0

Perrigo Co. plc

    (4,590     (261,814     (1.4

Pfizer, Inc.

    (17,070     (635,687     (3.4

Pilgrim’s Pride Corp.

    (10,190     (265,450     (1.4

Pioneer Natural Resources Co.

    (330     (44,550     (0.2

Post Holdings, Inc.

    (6,240     (652,517     (3.5

PRA Health Sciences, Inc.

    (1,040     (105,362     (0.6

Principal Financial Group, Inc.

    (4,010     (212,329     (1.2
     Shares     Value     % of Basket
Value
 
United States (continued)  

Procter & Gamble Co. (The)

    (930   $ (115,897     (0.6 )% 

Progressive Corp. (The)

    (650     (52,448     (0.3

Prudential Financial, Inc.

    (3,960     (360,598     (2.0

QIAGEN NV

    (26,249     (881,906     (4.8

QUALCOMM, Inc.

    (1,090     (92,988     (0.5

ResMed, Inc.

    (2,586     (411,096     (2.2

RingCentral, Inc., Class A

    (2,040     (419,383     (2.3

Rollins, Inc.

    (27,910         (1,059,184     (5.7

Ross Stores, Inc.

    (1,500     (168,285     (0.9

Royal Caribbean Cruises Ltd.

    (740     (86,639     (0.5

RPM International, Inc.

    (540     (38,540     (0.2

Sage Therapeutics, Inc.

    (3,330     (220,712     (1.2

Sarepta Therapeutics, Inc.

    (8,007     (928,492     (5.0

Sensata Technologies Holding plc

    (8,295     (392,105     (2.1

ServiceMaster Global Holdings, Inc.

    (5,981     (215,615     (1.2

Sirius XM Holdings, Inc.

    (55,390     (391,607     (2.1

Skyworks Solutions, Inc.

    (565     (63,930     (0.3

Splunk, Inc.

    (11,720     (1,819,647     (9.9

Spotify Technology SA

    (6,090     (860,517     (4.7

Square, Inc., Class A

    (8,647     (645,844     (3.5

SS&C Technologies Holdings, Inc.

    (7,151     (450,585     (2.4

Stanley Black & Decker, Inc.

    (1,599     (254,769     (1.4

State Street Corp.

    (2,840     (214,789     (1.2

Sysco Corp.

    (1,720     (141,281     (0.8

Take-Two Interactive Software, Inc.

    (1,750     (218,120     (1.2

Tapestry, Inc.

    (1,880     (48,448     (0.3

Targa Resources Corp.

    (29,399     (1,073,064     (5.8

Teleflex, Inc.

    (468     (173,867     (0.9

Tiffany & Co.

    (4,430     (593,709     (3.2

Travelers Cos., Inc. (The)

    (2,480     (326,418     (1.8

Trimble, Inc.

    (4,610     (196,017     (1.1

Truist Financial Corp.

    (6,500     (335,205     (1.8

Twilio, Inc., Class A

    (1,420     (176,563     (1.0

Tyler Technologies, Inc.

    (2,890     (935,435     (5.1

Tyson Foods, Inc., Class A

    (1,160     (95,851     (0.5

Ubiquiti, Inc.

    (1,800     (294,156     (1.6

UGI Corp.

    (2,370     (98,568     (0.5

Union Pacific Corp.

    (460     (82,533     (0.4

United Rentals, Inc.

    (280     (37,993     (0.2

UnitedHealth Group, Inc.

    (440     (119,878     (0.6

Universal Display Corp.

    (660     (116,272     (0.6

Vail Resorts, Inc.

    (1,359     (318,699     (1.7

Verisk Analytics, Inc.

    (640     (103,981     (0.6

VF Corp.

    (4,350     (360,919     (2.0

Walgreens Boots Alliance, Inc.

    (1,200     (61,020     (0.3

Walmart, Inc.

    (5,190     (594,203     (3.2

Walt Disney Co. (The)

    (5,123     (708,562     (3.8

Wells Fargo & Co.

    (15,729     (738,319     (4.0

Western Digital Corp.

    (6,819     (446,644     (2.4

Westinghouse Air Brake Technologies Corp.

    (11,440     (844,958     (4.6

Westlake Chemical Corp.

    (3,540     (216,648     (1.2

WEX, Inc.

    (1,770     (383,948     (2.1

Willis Towers Watson plc

    (875     (184,879     (1.0

WRKCo, Inc.

    (2,740     (106,860     (0.6

Wynn Resorts Ltd.

    (4,585     (578,444     (3.1

XPO Logistics, Inc.

    (7,420     (659,786     (3.6

Xylem, Inc.

    (8,808     (719,261     (3.9

Zayo Group Holdings, Inc.

    (1,490     (51,778     (0.3

Zendesk, Inc.

    (10,907     (942,365     (5.1
 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      39  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

     Shares     Value     % of Basket
Value
 
United States (continued)                  

Zimmer Biomet Holdings, Inc.

    (2,630   $ (388,977     (2.1 )% 
   

 

 

   
      (102,995,291  
   

 

 

   

Total Reference Entity — Short

        (220,694,226  
   

 

 

   

Net Value of Reference Entity — Credit Suisse International

 

  $ 18,438,394    
   

 

 

   

The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Deutsche Bank AG, as of January 31, 2020, expiration date 02/17/23:

 

     Shares     Value     % of Basket
Value
 

Reference Entity — Long

     
Austria                  

OMV AG

    934     $ 46,414       26.1 %  
   

 

 

   
Germany                  

Hannover Rueck SE

    1       194       0.1  

HOCHTIEF AG

    1,648       190,617       107.3  
   

 

 

   
              190,811    
Japan                  

AGC, Inc.

    200       6,742       3.8  

Mitsui & Co. Ltd.

    3,700       65,807       37.0  

ORIX Corp.

    6,900       116,558       65.6  

Sumitomo Chemical Co. Ltd.

    29,000       123,227       69.4  

Yamaha Corp.

    100       5,109       2.9  
   

 

 

   
      317,443    
Netherlands                  

NN Group NV

    1,186       41,164       23.2  
   

 

 

   
Singapore                  

Mapletree Industrial Trust

    2,300       4,675       2.6  
   

 

 

   
Spain                  

ACS Actividades de Construccion y Servicios SA

    3       100       0.1  

Aena SME SA

    261       48,306       27.2  
   

 

 

   
      48,406    
Sweden                  

Volvo AB, Class B

    1,739       29,726       16.8  
   

 

 

   
United Kingdom                  

easyJet plc

    149       2,735       1.5  
   

 

 

   

Total Reference Entity — Long

      681,374    
   

 

 

   

Reference Entity — Short

     
Denmark                  

Chr Hansen Holding A/S

    (472     (35,128     (19.8
   

 

 

   
Japan                  

Nidec Corp.

    (1,000     (125,771     (70.8

Shin-Etsu Chemical Co. Ltd.

    (200     (22,873     (12.9

Sumitomo Metal Mining Co. Ltd. .

    (7,400     (210,386     (118.4

Yamaha Corp.

    (100     (5,109     (2.9
   

 

 

   
      (364,139  
Netherlands                  

NN Group NV

    (1,186     (41,164     (23.2
   

 

 

   
United Kingdom                  

CNH Industrial NV

    (6,353     (60,512     (34.1

 

     Shares     Value     % of Basket
Value
 
United Kingdom (continued)                  

easyJet plc

    (151   $ (2,772     (1.5 )% 
   

 

 

   
      (63,284  
   

 

 

   

Total Reference Entity — Short

      (503,715  
   

 

 

   

Net Value of Reference Entity — Deutsche Bank AG

 

  $         177,659    
   

 

 

   

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 January 31, 2020, expiration date 02/08/23:

 

     Shares     Value     % of Basket
Value
 

Reference Entity — Long

     
Japan                  

AGC, Inc.

    5,600     $ 188,767       142.5 %  

Kirin Holdings Co. Ltd.

    2,000       43,925       33.1  

MEIJI Holdings Co. Ltd.

    300       21,112       15.9  

Mitsubishi Heavy Industries Ltd.

    100       3,648       2.7  

ORIX Corp.

    6,900       116,558       88.0  
   

 

 

   
              374,010    
Singapore                  

Mapletree Industrial Trust

    59,600       121,140       91.4  
   

 

 

   
South Korea                  

HDC Holdings Co. Ltd.

    1       9       0.0  

Shinhan Financial Group Co. Ltd.

    4,633       151,190       114.1  
   

 

 

   
      151,199    
United States                  

Ally Financial, Inc.

    518       16,592       12.5  

American Financial Group, Inc.

    1,122       122,062       92.1  

Fortive Corp.

    1       75       0.1  
   

 

 

   
      138,729    
   

 

 

   

Total Reference Entity — Long

      785,078    
   

 

 

   

Reference Entity — Short

     
France                  

Electricite de France SA

    (1,211     (14,950     (11.3
   

 

 

   
Japan                  

Nidec Corp.

    (2,600     (327,004     (246.8

Shimano, Inc.

    (200     (30,666     (23.1

Sumitomo Metal Mining Co. Ltd.

    (1,800     (51,175     (38.6
   

 

 

   
      (408,845  
Taiwan                  

Delta Electronics, Inc.

    (2,792     (13,045     (9.8
   

 

 

   
United States                  

Arthur J Gallagher & Co.

    (218     (22,360     (16.9

Cognex Corp.

    (1,918     (97,760     (73.8

Lennar Corp., Class B

    (1     (53     (0.0

Nordson Corp.

    (566     (95,575     (72.1
   

 

 

   
      (215,748  
   

 

 

   

Total Reference Entity — Short

      (652,588  
   

 

 

   

Net Value of Reference Entity — JPMorgan Chase Bank NA

 

  $ 132,490    
   

 

 

   
 

 

 

40    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 4,603,351      $      $ 264,067      $ (41,686

OTC Swaps

                   966,837        (7,621,237

 

  (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.

 

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)

   $ 1,468,823      $      $ 1,987,907      $      $ 8,787,338      $      $ 12,244,068  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          5,902,764                      5,902,764  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

            264,067                                    264,067  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

                   966,837                             966,837  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,468,823      $ 264,067      $ 2,954,744      $ 5,902,764      $ 8,787,338      $      $ 19,377,736  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

     2,236,878               3,957,548               5,098,938               11,293,364  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          2,191,705                      2,191,705  

Swaps — centrally cleared

                    

Unrealized depreciation on centrally cleared swaps(a)

            41,686                                    41,686  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

                   7,621,237                             7,621,237  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 2,236,878      $ 41,686      $ 11,578,785      $ 2,191,705      $ 5,098,938      $      $ 21,147,992  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 six months ended January 31, 2020, 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

   $ 4,865,401      $      $ 65,379      $      $ 1,854,029      $      $ 6,784,809  

Forward foreign currency exchange contracts

                          3,078,313                      3,078,313  

Swaps

            424,091        (2,709,817                           (2,285,726
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 4,865,401      $ 424,091      $ (2,644,438    $ 3,078,313      $ 1,854,029      $      $ 7,577,396  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

     (1,662,426             (1,343,447             151,558               (2,854,315

Forward foreign currency exchange contracts

                          1,391,736                      1,391,736  

Swaps

            (39,997      (7,483,391                           (7,523,388
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ (1,662,426    $ (39,997    $ (8,826,838    $ 1,391,736      $ 151,558      $      $ (8,985,967
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      41  


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ 564,853,207  

Average notional value of contracts — short

     311,698,031  

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

     271,220,731  

Average amounts sold — in USD

     241,404,286  

Credit default swaps:

  

Average notional value — sell protection

     32,609,152  

Total return swaps:

  

Average notional value

     81,868,444  

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

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Futures contracts

   $ 2,687,967        $ 2,977,251  

Forward foreign currency exchange contracts

     5,902,764          2,191,705  

Swaps — Centrally cleared

              61,090  

Swaps — OTC(a)

     966,837          7,621,237  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

   $ 9,557,568        $ 12,851,283  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (2,687,967        (3,038,341
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 6,869,601        $ 9,812,942  
  

 

 

      

 

 

 

 

  (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(e)

   $ 678,919        $ (11,355      $        $ (667,564      $  

Barclays Bank plc(e)

     461,293          (9,059                          452,234  

BNP Paribas SA(e)

     168,792          (36,005                          132,787  

Citibank NA

     11,401          (11,401                           

Deutsche Bank AG

     19,966                                     19,966  

Deutsche Bank AG(e)

     226,154          (226,154                           

HSBC Bank plc(e)

     96,955          (96,955                           

JPMorgan Chase Bank NA

     331,684          (60,520                 (271,164         

JPMorgan Chase Bank NA(e)

     340,133          (9,249                 (260,000        70,884  

Merrill Lynch International & Co.

     634,506          (634,506                           

Morgan Stanley & Co. International plc(e)

     3,899,798          (1,511,432                 (2,070,000        318,366  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,869,601        $ (2,606,636      $        $ (3,268,728      $ 994,237  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

 

42    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock Total Factor Fund

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged (f)
       Net Amount
of Derivative
Liabilities  (d)(g)
 

Bank of America NA

   $ 2,006,743        $        $        $ (2,006,743      $  

Bank of America NA(e)

     11,355          (11,355                           

Barclays Bank plc(e)

     9,059          (9,059                           

BNP Paribas SA(e)

     36,005          (36,005                           

Citibank NA

     2,793,272          (11,401                 (1,890,000        891,871  

Credit Suisse International

     670,934                                     670,934  

Deutsche Bank AG(e)

     396,000          (226,154                          169,846  

HSBC Bank plc(e)

     218,605          (96,955                 (121,650         

JPMorgan Chase Bank NA

     60,520          (60,520                           

JPMorgan Chase Bank NA(e)

     9,249          (9,249                           

Merrill Lynch International & Co.

     2,089,768          (634,506                 (1,455,262         

Morgan Stanley & Co. International plc(e)

     1,511,432          (1,511,432                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 9,812,942        $ (2,606,636      $        $ (5,473,655      $ 1,732,651  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (c)

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (d)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (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) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (g) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Consolidated Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 72,895,359        $        $ 72,895,359  

Short-Term Securities:

                 

Money Market Funds

     12,710,094                            12,710,094  

U.S. Treasury Obligations

              274,347,755                   274,347,755  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 12,710,094        $ 347,243,114        $        $ 359,953,208  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Commodity contracts

   $ 1,468,823        $        $        $ 1,468,823  

Credit contracts

              264,067                   264,067  

Equity contracts

     1,987,907          966,837                   2,954,744  

Foreign currency exchange contracts

              5,902,764                   5,902,764  

Interest rate contracts

     8,787,338                            8,787,338  

Liabilities:

                 

Commodity contracts

     (2,236,878                          (2,236,878

Credit contracts

              (41,686                 (41,686

Equity contracts

     (3,957,548        (7,621,237                 (11,578,785

Foreign currency exchange contracts

              (2,191,705                 (2,191,705

Interest rate contracts

     (5,098,938                          (5,098,938
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 950,704        $ (2,720,960      $        $ (1,770,256
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Consolidated Schedule of Investments for values in each security type.

 
  (b) 

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.

 

See notes to consolidated financial statements.

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS      43  


 

Consolidated Statement of Assets and Liabilities  (unaudited)

January 31, 2020

 

     BlackRock Total  
Factor Fund  

ASSETS

 

Investments at value — unaffiliated (cost — $344,924,070)

  $   347,243,114  

Investments at value — affiliated (cost — $12,710,094)

    12,710,094  

Cash

    7,310,823  

Cash pledged:

 

Collateral — OTC derivatives

    7,140,000  

Futures contracts

    26,592,000  

Centrally cleared swaps

    1,963,000  

Foreign currency at value (cost — $14,897,681)

    14,944,936  

Receivables:

 

Capital shares sold

    2,880,528  

Dividends — affiliated

    23,953  

Interest — unaffiliated

    193,929  

From the Manager

    4,785  

Variation margin on futures contracts

    2,687,967  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

    5,902,764  

OTC swaps

    966,837  

Prepaid expenses

    67,869  
 

 

 

 

Total assets

    430,632,599  
 

 

 

 

LIABILITIES

 

Due to broker

    1,458,260  

Cash received as collateral for OTC derivatives

    4,020,000  

Payables:

 

Swaps

    95,322  

Administration fees

    14,493  

Capital shares redeemed

    587,353  

Investment advisory fees

    92,238  

Trustees’ and Officer’s fees

    2,358  

Other affiliates

    90  

Service and distribution fees

    2,638  

Variation margin on futures contracts

    2,977,251  

Variation margin on centrally cleared swaps

    61,090  

Other accrued expenses

    190,156  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

    2,191,705  

OTC swaps

    7,621,237  
 

 

 

 

Total liabilities

    19,314,191  
 

 

 

 

NET ASSETS

  $ 411,318,408  
 

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 410,785,697  

Accumulated earnings

    532,711  
 

 

 

 

NET ASSETS

  $ 411,318,408  
 

 

 

 

NET ASSET VALUE

 

Institutional — Based on net assets of $379,910,239 and 37,176,795 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 10.22  
 

 

 

 

Investor A — Based on net assets of $9,768,958 and 959,763 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 10.18  
 

 

 

 

Investor C — Based on net assets of $721,129 and 71,259 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 10.12  
 

 

 

 

Class K — Based on net assets of $20,918,082 and 2,045,548 shares outstanding, unlimited number of shares authorized, $0.001 par value

  $ 10.23  
 

 

 

 

See notes to consolidated financial statements.

 

 

44    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Statement of Operations  (unaudited)

Six Months Ended January 31, 2020

 

    

BlackRock Total   

Factor Fund   

INVESTMENT INCOME

 

Dividends — affiliated

  $ 132,559  

Dividends — unaffiliated

    847  

Interest — unaffiliated(a)

    2,228,224  
 

 

 

 

Total investment income

    2,361,630  
 

 

 

 

EXPENSES

 

Investment advisory

    759,400  

Accounting services

    125,028  

Transfer agent — class specific

    100,507  

Administration

    64,550  

Registration

    61,977  

Professional

    56,820  

Administration — class specific

    30,374  

Printing

    17,530  

Service and distribution — class specific

    14,478  

Custodian

    13,702  

Trustees and Officer

    902  

Miscellaneous

    33,689  
 

 

 

 

Total expenses

    1,278,957  

Less:

 

Administration fees waived — class specific

    (28,887

Fees waived and/or reimbursed by the Manager

    (378,813

Transfer agent fees waived and/or reimbursed — class specific

    (27,292
 

 

 

 

Total expenses after fees waived and/or reimbursed

    843,965  
 

 

 

 

Net investment income

    1,517,665  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (1,337,566

Capital gain distributions from investment companies — affiliated

    31  

Forward foreign currency exchange contracts

    3,078,313  

Foreign currency transactions

    45,875  

Futures contracts

    6,784,809  

Swaps

    (2,285,726
 

 

 

 

    6,285,736  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments — unaffiliated

    1,613,940  

Forward foreign currency exchange contracts

    1,391,736  

Foreign currency translations

    176,132  

Futures contracts

    (2,854,315

Swaps

    (7,523,388
 

 

 

 

    (7,195,895
 

 

 

 

Net realized and unrealized loss

    (910,159
 

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 607,506  
 

 

 

 

 

(a) 

Includes net inflationary and deflationary adjustments. See Note 4 of the Notes to Consolidated Financial Statements.

See notes to consolidated financial statements.

 

 

CONSOLIDATED FINANCIAL STATEMENTS      45  


 

Consolidated Statements of Changes in Net Assets

 

    BlackRock Total Factor Fund  
 

Six Months Ended

01/31/20

(unaudited)

   

Year Ended

07/31/19

 

 

 

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

 

Net investment income

          $ 1,517,665     $ 2,703,958  

Net realized gain

    6,285,736       4,700,080  

Net change in unrealized appreciation (depreciation)

    (7,195,895)       5,332,960  
 

 

 

 

Net increase in net assets resulting from operations

    607,506       12,736,998  
 

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS (a)

 

Institutional

    (7,545,741)       (3,930,218)  

Investor A

    (251,603)       (137,786)  

Investor C

    (16,900)       (11,637)  

Class K

    (567,568)       (506,840)  
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (8,381,812)       (4,586,481)  
 

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Net increase in net assets derived from capital share transactions

    186,327,288       67,856,470  
 

 

 

 

NET ASSETS

 

Total increase in net assets

    178,552,982       76,006,987  

Beginning of period

    232,765,426       156,758,439  
 

 

 

 

End of period

          $         411,318,408     $         232,765,426  
 

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to consolidated financial statements.

 

 

46    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

     BlackRock Total Factor Fund  
  Institutional  
 

Six Months Ended

01/31/20

     Year Ended July 31,  
  (unaudited)      2019      2018      2017      2016      2015  

Net asset value, beginning of period

  $ 10.50      $ 10.18      $ 10.18      $ 9.79      $ 9.96      $ 10.11  

Net investment income (loss) (a)

    0.05        0.16        0.08        (0.00 )(b)       (0.04      (0.06

Net realized and unrealized gain (loss)

    (0.03      0.44        0.39        0.53        0.29        0.28  

Net increase from investment operations

    0.02        0.60        0.47        0.53        0.25        0.22  

Distributions (c)

                

From net investment income

    (0.01      (0.24             (0.04      (0.42      (0.35

From net realized gain

    (0.29      (0.04      (0.47      (0.10             (0.02

Total distributions

    (0.30      (0.28      (0.47      (0.14      (0.42      (0.37

Net asset value, end of period

  $ 10.22      $ 10.50      $ 10.18      $ 10.18      $ 9.79      $ 9.96  

Total Return (d)

                

Based on net asset value

    0.19% (e)       6.10%        4.59%        5.46%        2.86%        2.24%  

Ratios to Average Net Assets (f)

                

Total expenses

    0.83% (g)       1.29%        1.82%        1.65%        1.61%        1.52%  

Total expenses after fees waived and/or reimbursed and paid indirectly

    0.55% (g)       0.55%        0.54%        0.68%        1.00%        1.00%  

Net investment income (loss)

    1.00% (g)       1.55%        0.76%        (0.03 )%       (0.45 )%       (0.61 )% 

Supplemental Data

                

Net assets, end of period (000)

  $ 379,910      $     206,351      $     122,627      $     31,334      $     27,712      $     35,597  

Portfolio turnover rate

    6%        74%        64%        73%        11%        4%  

 

(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) Aggregate total return.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

    

Six Months Ended
01/31/20

(unaudited)

     Year Ended July 31,  
   2019      2018      2017      2016      2015  

Investments in underlying funds

    0.01%        0.01%        0.05%        0.11%        0.08%        0.09%  

 

(g) 

Annualized.

See notes to consolidated financial statements.

 

 

CONSOLIDATED FINANCIAL HIGHLIGHTS      47  


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Factor Fund  
  Investor A  
  Six Months Ended      Year Ended July 31,  
 

01/31/20

(unaudited)

     2019      2018      2017      2016      2015  
   

Net asset value, beginning of period

  $ 10.46      $ 10.15      $ 10.15      $ 9.77      $ 9.93      $ 10.09  
       

Net investment income (loss) (a)

    0.04        0.13        0.02        (0.02      (0.07      (0.09

Net realized and unrealized gain (loss)

    (0.03      0.44        0.42        0.52        0.30        0.28  
       

Net increase from investment operations

    0.01        0.57        0.44        0.50        0.23        0.19  
       

Distributions (b)

                

From net investment income

           (0.22             (0.02      (0.39      (0.33

From net realized gain

    (0.29      (0.04      (0.44      (0.10             (0.02
       

Total distributions

    (0.29      (0.26      (0.44      (0.12      (0.39      (0.35
       

Net asset value, end of period

  $ 10.18      $ 10.46      $ 10.15      $ 10.15      $ 9.77      $ 9.93  
       

Total Return (c)

                

Based on net asset value

    0.09%(d)        5.80%        4.35%        5.16%        2.68%        1.97%  
       

Ratios to Average Net Assets (e)

                

Total expenses

    1.22%(f)        1.65%        2.20%        2.09%        2.03%        1.94%  
       

Total expenses after fees waived and/or reimbursed and paid indirectly

    0.80%(f)        0.80%        0.80%        0.91%        1.25%        1.25%  

Net investment income (loss)

    0.77%(f)        1.28%        0.18%        (0.21)%        (0.70)%        (0.86)%  
       

Supplemental Data

                

Net assets, end of period (000)

  $ 9,769      $ 7,423      $ 4,936      $ 2,327      $ 1,448      $ 1,811  
       

Portfolio turnover rate

    6%        74%        64%        73%        11%        4%  
       

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

(d) Aggregate total return.

(e) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

Six Months Ended
01/31/20

(unaudited)

     Year Ended July 31,  
   2019      2018      2017      2016      2015  

Investments in underlying funds

    0.01      0.01      0.05      0.11      0.08      0.09
       

 

(f) 

Annualized.

See notes to consolidated financial statements.

 

 

48    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Factor Fund  
    Investor C  
   

Six Months Ended
01/31/20

(unaudited)

    Year Ended July 31,  
    2019     2018     2017     2016     2015  
             

Net asset value, beginning of period

  $ 10.40     $ 10.08     $ 10.07     $ 9.71     $ 9.84     $ 10.02  

Net investment income (loss) (a)

    0.00 (b)      0.04       (0.11     (0.10     (0.13     (0.16

Net realized and unrealized gain (loss)

    (0.03     0.44       0.48       0.52       0.29       0.29  

Net increase (decrease) from investment operations

    (0.03     0.48       0.37       0.42       0.16       0.13  

Distributions (c)

           

From net investment income

          (0.12                 (0.29     (0.29

From net realized gain

    (0.25     (0.04     (0.36     (0.06           (0.02

Total distributions

    (0.25     (0.16     (0.36     (0.06     (0.29     (0.31

Net asset value, end of period

  $ 10.12     $ 10.40     $ 10.08     $ 10.07     $ 9.71     $ 9.84  

Total Return (d)

           

Based on net asset value

    (0.30)%(e)       4.95%       3.62%       4.40%       1.82%       1.32%  

Ratios to Average Net Assets (f)

           

Total expenses

    1.94%(g )      2.47%       2.98%       2.80%       2.72%       2.59%  

Total expenses after fees waived and/or reimbursed and paid indirectly

    1.55%(g )      1.55%       1.55%       1.68%       2.00%       2.00%  

Net investment income (loss)

    0.04%(g )      0.41%       (1.08)%       (1.01)%       (1.45)%       (1.56)%  

Supplemental Data

           

Net assets, end of period (000)

  $     721     $     608     $     755     $     908     $     659     $     851  

Portfolio turnover rate

    6%       74%       64%       73%       11%       4%  

 

(a) Based on average shares outstanding.

(b) Amount is less than $0.005 per share.

(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

(e) Aggregate total return.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

    Six Months Ended    

Year Ended July 31,

 
     01/31/20
(unaudited)
            2019             2018             2017             2016             2015  

Investments in underlying funds

    0.01%       0.01%       0.05%       0.11%       0.08%       0.09%  

 

(g) 

Annualized.

See notes to consolidated financial statements.

 

 

CONSOLIDATED FINANCIAL HIGHLIGHTS      49  


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Factor Fund  
    Class K  
    Six Months Ended     Year Ended July 31,     Period from  
   

01/31/20

(unaudited)

    2019     2018    

02/03/17(a)

to 07/31/17

 
         

Net asset value, beginning of period

  $ 10.51     $ 10.18     $ 10.18     $ 9.76  

Net investment income(b)

    0.06       0.14       0.28       0.01  

Net realized and unrealized gain (loss)

    (0.04     0.47       0.19       0.41  

Net increase from investment operations

    0.02       0.61       0.47       0.42  

Distributions(c)

       

From net investment income

    (0.01     (0.24            

From net realized gain

    (0.29 )     (0.04     (0.47      

Total distributions

    (0.30     (0.28     (0.47      

Net asset value, end of period

  $ 10.23     $ 10.51     $ 10.18     $ 10.18  

Total Return(d)

       

Based on net asset value

    0.21%(e)       6.23%       4.61%       4.30%(e)  

Ratios to Average Net Assets(f)

       

Total expenses

    0.78%(g)       1.29%       1.81%       1.84%(g)  

Total expenses after fees waived and/or reimbursed and paid indirectly

    0.50%(g)       0.50%       0.50%       0.49%(g)  

Net investment income

    1.09%(g)       1.43%       2.79%       0.28%(g)  

Supplemental Data

       

Net assets, end of period (000)

  $         20,918     $         18,383     $         28,440     $         230  

Portfolio turnover rate

    6%       74%       64%       73%(h)  

 

(a) Commencement of operations.

(b) Based on average shares outstanding.

(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) Where applicable, assumes the reinvestment of distributions.

(e) Aggregate total return.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

    Six Months Ended         Year Ended July 31,         Period from  
    

01/31/20

(unaudited)

    2019     2018     02/03/17 (a)
to 07/31/17
 

Investments in underlying funds

    0.01%       0.01%       0.05%       0.11%  

 

(g) 

Annualized.

(h) 

Portfolio turnover rate is representative of the Fund for the entire year.

See notes to consolidated financial statements.

 

 

50    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Consolidated Financial Statements  (unaudited) 

 

1.

ORGANIZATION

BlackRock FundsSM (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 non-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).

 

Share Class   Initial 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 10 years

 

(a) 

Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase.

(b) 

A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase.

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.

Basis of Consolidation: The accompanying consolidated financial statements of the Fund include the account of BlackRock Cayman Strategic Risk Allocation Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of the Fund and primarily invests in commodity-related instruments and other derivatives. The 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 Subsidiary. The net assets of the Subsidiary as of period end were $11,576,174, which is 2.8% of the Fund’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to the Fund, except that the 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 on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized 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 portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold 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.

Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and swaps) that would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, 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 or obligations.

Distributions: Distributions from net investment income are declared and paid at least annually. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset the Fund’s ordinary income and/or capital gains for that year.

 

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS      51  


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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. 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. 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.

 

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) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at the official dosing price each day, if available. For equity investments traded on more than one exchange, the official dosing price on the exchange where the stock is primarily traded is used. 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 securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. 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), 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.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

   

Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

 

   

Futures contracts traded on exchanges are valued at their last sale price.

 

   

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. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

   

Swap agreements are valued utilizing quotes received daily by the Fund’s pricing service 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.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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

 

 

52    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

  curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

   

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative 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 will be 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 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, 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 contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Consolidated Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amounts 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.

 

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS      53  


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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 Fund’s counterparty on the swap agreement becomes the CCP. 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, including at termination, are recorded as realized gains (losses) in the Consolidated Statement of Operations.

 

   

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

   

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Fund receives payment from or makes a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the 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, the 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

 

 

54    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it 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, it 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.

 

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  

The Manager provides investment management and other services to the Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, the Fund pays the Manager based on the Fund’s net assets, which includes the assets of the Subsidiary.

The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of the Fund for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.

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:

 

     Service Fees     Distribution Fees  

Investor A

    0.25    

Investor C

    0.25       0.75  

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 six months ended January 31, 2020, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:

 

    

    Service and

Distribution

Fees

 

Investor A

  $ 10,918  

Investor C

    3,560  
    $ 14,478  

 

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS      55  


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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.

 

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  

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 six months ended January 31, 2020, 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:

 

Institutional

Investor A

  $

 

        27,489

874

 

 

Investor C

    71  

Class K

    1,940  
    $ 30,374  

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 six months ended January 31, 2020, the Fund did not pay any amounts to affiliates in return for these services.

The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended January 31, 2020, 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:

 

Institutional

  $             186  

Investor A

    72  

Investor C

    7  

Class K

    202  
    $ 467  

For the six months ended January 31, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

 

Institutional

Investor A

  $

 

90,443

8,514

 

 

Investor C

    592  

Class K

    958  
    $       100,507  

Other Fees: For the six months ended January 31, 2020, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $182.

For the six months ended January 31, 2020, affiliates received CDSCs of $59 for Investor C 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 November 30, 2020. 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. Prior to November 27, 2019, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations. For the six months ended January 31, 2020, the amount waived was $5,478.

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 November 30, 2020. 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 six months ended January 31, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.

 

 

56    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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:

 

Institutional

    0.55

Investor A

    0.80  

Investor C

    1.55  

Class K

    0.50  

The Manager has agreed not to reduce or discontinue these contractual expense limitations through November 30, 2020, 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 six months ended January 31, 2020, the Manager waived and/ or reimbursed $373,335, which is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations.

These amounts waived and/or reimbursed are included in administration fees waived — class specific and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Consolidated Statement of Operations. For the six months ended January 31, 2020, class specific expense waivers and/or reimbursements were as follows:

 

    

Administration Fees

Waived

 

Institutional

                      $ 26,003  

Investor A

    873  

Investor C

    71  

Class K

    1,940  
                        $ 28,887  
 
    

Transfer Agent Fees

Waived and/or Reimbursed

 

Institutional

                      $ 19,537  

Investor A

    6,366  

Investor C

    431  

Class K

    958  
                        $ 27,292  

With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:

(1) the Fund has more than $50 million in assets for the fiscal year, and

(2) the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator.

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective December 27, 2019, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses was terminated.

The following Fund level and class specific waivers and/or reimbursements previously recorded by the Fund, which were subject to recoupment by the Manager, expired on December 27, 2019:

 

  Fund Level

  $     2,394,598  

  Institutional

    69,506  

  Investor A

    16,391  

  Investor C

    2,549  

  Class K

    10,446  

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 six months ended January 31, 2020, the Fund did not participate in the Interfund Lending Program.

 

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS      57  


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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 Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Consolidated Statement of Operations.

 

7.

PURCHASES AND SALES

For the six months ended January 31, 2020, purchases and sales of investments, excluding short-term securities, were as follows:

 

     Purchases        Sales  

Non-U.S. Government Securities

  $ 33,977,186        $ 2,507,422  

U.S. Government Securities

    4,953,591          285,193  

 

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 each of the four years ended July 31, 2019. 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 January 31, 2020, 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.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

 

 

Tax cost

  $ 361,267,080  
 

 

 

 

Gross unrealized appreciation

  $ 18,361,110  

Gross unrealized depreciation

    (21,445,238
 

 

 

 

Net unrealized depreciation

  $       (3,084,128
 

 

 

 

 

9.

BANK BORROWINGS

The Trust, on behalf of the Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 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) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (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. The agreement expires in April 2020 unless extended or renewed. Prior to April 18, 2019, Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Consolidated Statement of Operations. 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 six months ended January 31, 2020, 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.

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.

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

 

 

58    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

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.

The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of epidemics and pandemics such as the coronavirus, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. The impact of the outbreak may be short term or may last for an extended period of time.

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. 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.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund.

With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

Concentration Risk: 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 increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Fund invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Fund’s investments.

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.

 

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS      59  


Notes to Consolidated Financial Statements  (unaudited) (continued)

 

11.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

 

 
   

Six Months Ended

01/31/20

   

Year Ended

07/31/19

 
 

 

 

 
    Shares     Amount     Shares     Amount  

 

 

Institutional

       

Shares sold

    19,893,806     $ 205,245,390       14,250,924     $ 142,379,931  

Shares issued in reinvestment of distributions

    659,597       6,741,082       363,611       3,512,487  

Shares redeemed

    (3,026,755     (31,478,665     (7,011,880     (69,633,579
 

 

 

 

Net increase

    17,526,648     $ 180,507,807       7,602,655     $ 76,258,839  
 

 

 

 

Investor A

       

Shares sold and automatic conversion of shares

    421,473     $ 4,382,799       495,638     $ 4,953,372  

Shares issued in reinvestment of distributions

    24,603       250,453       13,966       134,634  

Shares redeemed

    (195,812     (2,018,307     (286,397     (2,856,377
 

 

 

 

Net increase

    250,264     $ 2,614,945       223,207     $ 2,231,629  
 

 

 

 

Investor C

       

Shares sold

    17,624     $ 183,021       17,287     $ 178,659  

Shares issued in reinvestment of distributions

    1,668       16,900       1,165       11,221  

Shares redeemed and automatic conversion of shares

    (6,479     (66,941     (34,885     (345,819
 

 

 

 

Net increase (decrease)

    12,813     $ 132,980       (16,433   $ (155,939
 

 

 

 

Class K

       

Shares sold

    670,111     $ 7,035,021       451,565     $ 4,522,254  

Shares issued in reinvestment of distributions

    55,535       571,969       51,821       501,104  

Shares redeemed

    (429,739     (4,535,434     (1,546,880     (15,501,417
 

 

 

 

Net increase (decrease)

    295,907     $ 3,071,556       (1,043,494   $ (10,478,059
 

 

 

 

Total Net Increase

            18,085,632     $         186,327,288             6,765,935     $         67,856,470  
 

 

 

 

 

12.

SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the consolidated financial statements.

 

 

60    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statement Regarding Liquidity Risk Management Program

 

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Board of Trustees (the “Board”) of BlackRock FundsSM, on behalf of BlackRock Total Factor Fund, met on November 14-15, 2019 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the BlackRock open-end funds, excluding money market funds (each, a “Fund”), pursuant to the Liquidity Rule. The Board has appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain Funds, as the program administrator for each Fund’s Program, as applicable. BlackRock has delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the operation of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through September 30, 2019 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing a Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also described BlackRock’s methodology in establishing a Fund’s HUM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:

A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions: During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a Fund participated in borrowings for investment purposes (such as tender option bonds and reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a Fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.

B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: During the Program Reporting Period, the Committee reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size (“RATS”). Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a Fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.

C. Holdings of cash and cash equivalents, as well as borrowing arrangements: The Committee considered the terms of the credit facility applicable to the Funds, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple Funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio and BlackRock Credit Strategies Income Fund, each a series of BlackRock Funds V). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 

 

STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM      61  


Trustee and Officer Information

 

Mark Stalnecker, Chair of the Board and Trustee

Bruce R. Bond, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Lena G. Goldberg, Trustee

Henry R. Keizer, Trustee

Cynthia A. Montgomery, Trustee

Donald C. Opatrny, Trustee

Joseph P. Platt, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Thomas Callahan, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Lisa Belle, Anti-Money Laundering Compliance Officer

Janey Ahn, Secretary

 

Effective September 19, 2019, Lisa Belle replaced John MacKessy as the Anti-Money Laundering Compliance Officer of the Trust.

 

Effective September 19, 2019, Janey Ahn replaced Benjamin Archibald as the Secretary of the Trust.

 

Effective December 31, 2019, Robert M. Hernandez retired as Trustee of the Trust.

 

Investment Adviser and Administrator

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

Accounting Agent

JPMorgan Chase Bank, N.A.

New York, NY 10179

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Custodian

JPMorgan Chase Bank, N.A.

New York, NY 10179

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Philadelphia, PA 19103

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

62    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information

 

General Information

Householding

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports 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, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at sec.gov. The Fund’s Form N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Proxy Voting Record

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 upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) 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      63  


Additional Information  (continued)

 

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.

 

 

64    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Glossary of Terms Used in this Report

 

Currency
AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CHF    Swiss Franc
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
RUB    New Russian Ruble
SEK    Swedish Krona
SGD    Singapore Dollar
TWD    Taiwan New Dollar
USD    United States Dollar

 

Portfolio Abbreviations
ADR    American Depositary Receipts
CDI    Crest Depository Interests
CVA    Certification Van Aandelon (Dutch Certificate)
CVR    Contingent Value Rights
FDR    Fiduciary Depositary Receipt
HIBOR    Hong Kong Interbank Offer Rate
LIBOR    London Interbank Offered Rate
MSCI    Morgan Stanley Capital International
OTC    Over-the-counter
RBOB    Reformulated Gasoline Blend Stock for Oxygen Blending
S&P    Standard & Poor’s
SCA    Svenska Cellulosa Aktiebolaget
WTI    West Texas Intermediate

    

 

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      65  


 

Want to know more?

blackrock.com    |    877-275-1255 (1-877-ASK-1BLK)

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-1/20-SAR

 

 

 

LOGO    LOGO

 

(GRAPHIC)  JANUARY 31, 2020

  

  2020 Semi–Annual Report (Unaudited)

 

BlackRock FundsSM

 

BlackRock Short Obligations Fund

 

  Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.  
     
  You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.  
     
  If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.  

 

Not FDIC Insured - May Lose Value - No Bank Guarantee  

 

 

The Markets in Review

 

Dear Shareholder,

 

U.S. equities and bonds both delivered impressive returns over the last 12 months, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. Investors were further encouraged by the apparent cessation of trade hostilities between the United States and China late in 2019, although some of these gains were reversed in January 2020, as the spread of the coronavirus injected uncertainty into markets.

 

Returns for most securities were particularly strong in the second half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. In the United States, large-cap stocks led the broader market, while small-cap equities still posted healthy returns. Emerging market stocks, however, were constrained by coronavirus fears, losing most of their gains near the end of the reporting period.

 

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long- term Treasuries, generally posted the strongest returns, as inflation remained low despite an uptick late in the reporting period. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.

 

Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019. In December 2019, the Fed further reassured markets by indicating that it is unlikely to reverse course and tighten monetary policy in the near future. Following in the Fed's footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan continued its accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

 

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.

 

Looking ahead, we believe there are reasons to remain cautious about the U.S. economy, most notably the uncertainty around the duration of the impact of the coronavirus-driven economic contraction, the U.S. presidential election and future earnings growth. At this time we are watching the developments around the world very closely to assess the full extent of the risks of economic disruption that could result from the global pandemic. Corporate earnings underperformed in 2019, but action by the Fed led to outstanding equity returns. With the future of monetary policy and consumer behaviors uncertain, earnings deterioration could act as a drag on equities.

 

Overall, we favor moderately increasing investment risk to benefit from expected growth. We are neutral on U.S. equities, but we favor emerging market and Japanese equities, which could benefit from an uptick in global trade and investment. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, extremely low yields and inflation risk limit the effectiveness of many bond classes as a counterweight in portfolios. We favor higher-yielding bonds from emerging markets, where central banks have more room for further accommodation, while strategically using U.S. Treasuries as stabilizers.

 

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today's markets.

 

(GRAPHIC) 

 

Rob Kapito
President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2020

  6-Month 12-Month
U.S. large cap equities (S&P 500® Index) 9.31% 21.68%
U.S. small cap equities (Russell 2000® Index) 3.26 9.21
International equities (MSCI Europe, Australasia, Far East Index) 6.12 12.10
Emerging market equities (MSCI Emerging Markets Index) 3.36 3.81
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index) 0.98 2.22
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index) 5.13 12.15
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index) 4.20 9.64
Tax-exempt municipal bonds (S&P Municipal Bond Index) 3.08 8.21
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) 3.43 9.40

 

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

 

 


Sincerely,

 

(GRAPHIC) 

 

Rob Kapito
President, BlackRock Advisors, LLC

 

2 T h i s   P a g e   i s  n o t   P a r t   o f   Y o u r   F u n d   R e p o r t

 

 

Table of Contents

 

  Page
The Markets in Review 2
Semi-Annual Report:  
Fund Summary 4
About Fund Performance 6
Disclosure of Expenses 6
Financial Statements:  
Schedule of Investments 7
Statement of Assets and Liabilities 17
Statement of Operations 18
Statements of Changes in Net Assets 19
Financial Highlights 20
Notes to Financial Statements 23
Statement Regarding Liquidity Risk Management Program 30
Trustee and Officer Information 31
Additional Information 32
Glossary of Terms Used in this Report 34

 

 

         
     

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program. Electronic copies of shareholder reports and prospectuses are also available on BlackRock's website.

 

TO ENROLL IN ELECTRONIC DELIVERY:

 

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

 

Shareholders Who Hold Accounts Directly with BlackRock:

1. Access the BlackRock website at blackrock.com

2. Select “Access Your Account”

3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions 

 
         

 

  3

 

 

Fund Summary as of January 31, 2020 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 six-month period ended January 31, 2020, the Fund outperformed its benchmark, the ICE BofAML 6-Month U.S. Treasury Bill Index.

 

What factors influenced performance?

During the period, the Fund's holdings of commercial paper, investment grade corporate bonds in the financial sector, certificates of deposit and repurchase agreements contributed to Fund performance.

 

Conversely, in a declining interest rate environment, the lower yields of new security purchases weighed on returns as the Fund's focus on shorter maturities exposed the portfolio to reinvestment risk.

 

Describe recent portfolio activity.

As of January 31, 2020, the Fund held an approximately 50% allocation to commercial paper, certificates of deposit and repurchase agreements. The Fund continued to favor longer duration securities (i.e., those more sensitive to changes in interest rates) throughout the period given the accommodative stance of the Fed following three short-term rate reductions in 2019. The Fund continued to take advantage of the relative value derived from corporate bonds within the short-term credit markets, as the technical backdrop favors this asset class. The investment adviser saw strong demand for bonds with maturities of three years or less as supply remained limited. The Fund also maintained an allocation to repurchase agreements, as the investment adviser believed that the yield and liquidity from this asset class was favorable relative to short-dated money market instruments. However, following the Fed's intervention in supplying additional liquidity to the banking system, the Fund reduced its allocation to repurchase agreements slightly to 5%, as the Securities Overnight Financing Rate (“SOFR”) consistently traded near the bottom of the Fed's target range. In addition, the Fund kept its floating rate note (“FRN”) allocation relatively stable at between 35% to 40% of portfolio assets. In the investment adviser's opinion, FRNs offered excellent incremental income per unit of duration and are expected to continue to offer attractive yields given that the Fed appears to be on hold.

 

Describe Fund positioning at period end.

At period end, the Fund was positioned with a neutral duration. The Fund also held attractively valued investment grade credits and short-dated commercial paper, and was overweight in FRNs.

 

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.

 

Portfolio Information

 

PORTFOLIO COMPOSITION
Asset Type   Percent of
Net Assets
 
Corporate Bonds   43%
Commercial Paper   26 
Certificates of Deposit   23 
Repurchase Agreements   5 
Asset-Backed Securities   3 
Foreign Agency Obligations   (a)
Investment Companies   (a)
Money Market Funds   (a)
Municipal Bonds   (a)
Liabilities in Excess of Other Assets   (a)
MATURITY BREAKDOWN 
   Percent of
Net Assets
 
1-7 days   5%
8-14 days   2 
15-30 days   5 
31-60 days   9 
61-90 days   9 
91-120 days   7 
121-150 days   4 
>150 days   59 

 

(a)Represents less than 1% of the Fund's net assets.

 

4 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Fund Summary as of January 31, 2020 (continued) BlackRock Short Obligations Fund

 

Performance Summary for the Period Ended January 31, 2020

 

               Average Annual Total Returns (a)(b) 
   Standardized
30-Day Yields (c)
   Unsubsidized
30-Day Yields (c)
   6-Month Total
Returns
   1 Year   5 Years   Since
Inception (d)
 
Institutional   1.74%   1.61%   1.28%   2.83%   1.61%   1.26%
Investor A   1.56    1.46    1.19    2.63    1.36    0.99 
Class K   1.84    1.71    1.23    2.82    1.69    1.33 
ICE BofAML 6-Month U.S. Treasury Bill Index (e)           1.13    2.49    1.29    0.94 

 

(a)See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes.

(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)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.

(d)The Fund commenced operations on November 15, 2012.

(e)An unmanaged index that tracks 6-Month U.S. Treasury securities.

Past performance is not indicative 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.

 

Expense Example

 

   Actual   Hypothetical (a)     
   Beginning
Account Value
(08/01/19)
   Ending
Account Value
(01/31/20)
   Expenses
Paid During
the Period (b)
   Beginning
Account Value
(08/01/19)
   Ending
Account Value
(01/31/20)
   Expenses
Paid During
the Period (b)
   Annualized
Expense
Ratio
 
Institutional  $1,000.00   $1,012.80  $1.52   $1,000.00   $1,023.63   $1.53    0.30%
Investor A   1,000.00    1,011.90    2.43    1,000.00    1,022.72    2.44    0.48 
Class K   1,000.00    1,012.30    1.01    1,000.00    1,024.13    1.02    0.20 

 

(a)Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

(b)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 184/366 (to reflect the one-half year period shown).

 

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

 

F u n d   S u m m a r y 5

 

About Fund Performance

 

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Institutional Shares performance shown prior to the Institutional Shares inception date of July 9, 2013 is that of Class K Shares (which have no distribution or service fees) and was restated Institution Shares fees.

  

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”) 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 affliliates where no initial sales charge was paid at time of purchase of such fund. These shares are generally 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 reflected Investor A Shares fees.

  

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables on the previous page assume reinvestment of all distributions, if any, at 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.

  

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 and/or reimbursement, the Fund’s performance would have been lower. With respect to the Fund's voluntary waiver, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver may be reduced or discontinued at any time. With respect to the Fund's contractual waiver, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 5 of 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 on the previous page (which is based on a hypothetical investment of $1,000 invested on August 1, 2019 and held through January 31, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

 

The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and 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 example that appear in shareholder reports of other funds.

 

The expenses shown in the expense example are intented to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such 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.

 

6 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Schedule of Investments (unaudited) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Asset-Backed Securities — 2.6%
BMW Vehicle Owner Trust, Series 2019-A, Class A2, 2.05%, 05/25/22   USD21,980   $22,029,062 
Carmax Auto Owner Trust, Series 2019-3, Class A2B, (LIBOR USD 1 Month + 0.25%), 1.93%, 12/15/22(a)   4,250    4,253,038 
CarMax Auto Owner Trust:          
Series 2019-1, Class A2A, 3.02%, 07/15/22   1,713    1,721,477 
Series 2019-3, Class A2A, 2.21%, 12/15/22   4,050    4,066,320 
Series 2020-1, Class A2, 1.87%, 04/17/23   7,870    7,893,294 
DCENT, Series 2019-A2, Class A, (LIBOR USD 1 Month + 0.00%), 1.95%, 12/15/23   25,000    25,088,577 
Ford Credit Auto Lease Trust, Series 2020-A, Class A2, 1.80%, 07/15/22   15,770    15,770,000 
Hyundai Auto Receivables Trust, Series 2019-B, Class A2, 1.93%, 07/15/22   10,000    10,025,840 
Mercedes-Benz Auto Receivables Trust, Series 2018-1, Class A2A, 2.71%, 04/15/21   162    162,240 
USAA Auto Owner Trust, Series 2019-1, Class A2, 2.26%, 02/15/22   11,510    11,528,994 
           
Total Asset-Backed Securities — 2.6%     
(Cost: $102,302,359)   102,538,842 
           
Corporate Bonds — 42.5%          
           
Aerospace & Defense — 1.1%          
Lockheed Martin Corp., 2.50%, 11/23/20   16,000    16,094,129 
Raytheon Co., 3.13%, 10/15/20   6,600    6,665,282 
United Technologies Corp.:          
1.90%, 05/04/20   15,275    15,279,062 
(LIBOR USD 3 Month + 0.65%), 2.55%, 08/16/21(a)   4,865    4,865,925 
         42,904,398 
Auto Components — 0.1%     
Toyota Industries Corp., 3.11%, 03/12/22(b)   2,559    2,621,666 
           
Automobiles — 1.7%(b)          
BMW US Capital LLC:          
(LIBOR USD 3 Month + 0.38%), 2.25%, 04/06/20(a)   4,350    4,353,663 
3.25%, 08/14/20   880    887,158 
(LIBOR USD 3 Month + 0.50%), 2.40%, 08/13/21(a)   10,000    10,041,865 
2.95%, 04/14/22   4,000    4,096,367 
Daimler Finance North America LLC:          
2.25%, 03/02/20   10,750    10,753,832 
3.10%, 05/04/20   5,576    5,593,198 
2.30%, 02/12/21   2,000    2,006,379 
3.00%, 02/22/21   5,000    5,057,103 
Hyundai Capital America:          
2.55%, 04/03/20   5,970    5,973,755 
(LIBOR USD 3 Month + 0.80%), 2.71%, 04/03/20(a)   425    425,460 
3.00%, 10/30/20   2,255    2,272,600 
(LIBOR USD 3 Month + 0.82%), 2.71%, 03/12/21(a)   1,000    1,002,206 
Nissan Motor Acceptance Corp., (LIBOR USD 3 Month + 0.39%), 2.35%, 09/28/20(a) .   750    750,703 
Volkswagen Group of America Finance LLC:          
2.40%, 05/22/20   3,379    3,384,274 
3.88%, 11/13/20   7,000    7,106,449 
2.50%, 09/24/21   665    671,300 
(LIBOR USD 3 Month + 0.86%), 2.79%, 09/24/21(a)   5,215    5,259,136 
         69,635,448 
Security  Par
(000)
   Value 
         
Banks — 19.7%          
ABN AMRO Bank NV(b):          
2.45%, 06/04/20   USD13,974   $14,003,346 
(LIBOR USD 3 Month + 0.41%), 2.23%, 01/19/21(a)   8,400    8,424,757 
2.65%, 01/19/21   16,170    16,299,392 
(LIBOR USD 3 Month + 0.57%), 2.49%, 08/27/21(a)   1,000    1,005,780 
ANZ New Zealand Int'l Ltd., 2.75%, 01/22/21(b)   14,508    14,650,326 
Australia & New Zealand Banking Group Ltd.:          
(LIBOR USD 3 Month + 0.32%), 2.22%, 11/09/20(a)(b)   1,500    1,503,263 
2.25%, 11/09/20   2,425    2,435,439 
2.70%, 11/16/20   7,130    7,189,634 
4.88%, 01/12/21(b)   3,000    3,088,333 
(LIBOR USD 3 Month + 0.87%), 2.78%, 11/23/21(a)(b)   8,000    8,094,759 
Bank of America Corp.:          
2.63%, 10/19/20   4,000    4,024,428 
5.88%, 01/05/21   4,050    4,202,090 
(LIBOR USD 3 Month + 0.63%), 2.33%, 10/01/21(a)   9,000    9,032,137 
Bank of America NA(a):          
(LIBOR USD 3 Month + 0.35%), 2.26%, 05/24/21    12,000    12,011,333 
(SOFR + 0.55%), 2.13%, 06/21/21   8,000    8,005,131 
(LIBOR USD 3 Month + 0.32%), 2.11%, 07/26/21    5,000    5,002,646 
Bank of Montreal, (LIBOR USD 3 Month + 0.34%), 2.19%, 07/13/20(a)   4,000    4,005,526 
Bank of Nova Scotia (The):          
2.15%, 07/14/20   2,000    2,003,767 
2.35%, 10/21/20   6,800    6,832,516 
2.50%, 01/08/21   1,256    1,265,493 
Banque Federative du Credit Mutuel SA(b):          
2.20%, 07/20/20   15,511    15,541,642 
2.75%, 10/15/20   5,270    5,306,079 
1.96%, 07/21/21   8,000    8,020,752 
2.13%, 11/21/22   10,040    10,118,333 
Barclays Bank plc, (LIBOR USD 3 Month + 0.30%), 2.65%, 12/14/20(a)    7,000    7,017,150 
BNP Paribas SA:          
2.38%, 05/21/20   2,650    2,655,386 
5.00%, 01/15/21   21,500    22,158,798 
BNZ International Funding Ltd.(b):          
2.75%, 03/02/21   2,085    2,108,806 
2.90%, 02/21/22   5,300    5,419,636 
Canadian Imperial Bank of Commerce, (LIBOR USD 3 Month + 0.31%), 2.21%, 10/05/20(a)   1,000    1,001,455 
Capital One NA:          
2.95%, 07/23/21   5,673    5,766,366 
2.15%, 09/06/22   8,185    8,248,597 
Citibank NA:          
2.10%, 06/12/20   2,000    2,002,081 
2.13%, 10/20/20   3,700    3,709,044 
(LIBOR USD 3 Month + 0.35%), 2.25%, 02/12/21(a)   3,550    3,558,565 
2.85%, 02/12/21   8,700    8,795,514 
(SOFR + 0.60%), 2.13%, 03/13/21(a)   10,460    10,463,870 
(LIBOR USD 3 Month + 0.57%), 2.38%, 07/23/21(a)   1,000    1,006,269 
(LIBOR USD 3 Month + 0.53%), 3.16%, 02/19/22(a)   12,000    12,168,176 
Citigroup, Inc.(a):          
(SOFR + 0.87%), 2.31%, 11/04/22   4,000    4,027,102 
(SOFR + 0.87%), 2.41%, 11/04/22   5,000    5,024,532 


S c h e d u l e   o f   I n v e s t m e n t s 7

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Banks (continued)          
Commonwealth Bank of Australia:          
(LIBOR USD 3 Month + 0.45%), 2.34%, 03/10/20(a)(b)  USD1,135   $1,135,665 
5.00%, 03/19/20(b)   2,250    2,259,172 
2.05%, 09/18/20(b)   15,000    15,028,576 
2.40%, 11/02/20   1,900    1,909,585 
2.20%, 11/09/20(b)   6,000    6,022,299 
2.55%, 03/15/21   6,990    7,059,303 
Cooperatieve Rabobank UA:          
4.50%, 01/11/21   19,000    19,493,046 
2.50%, 01/19/21   5,500    5,542,868 
3.13%, 04/26/21   4,800    4,886,080 
2.75%, 01/10/22   3,790    3,868,066 
DNB Bank ASA(b):          
2.38%, 06/02/21   2,439    2,461,413 
2.15%, 12/02/22   9,000    9,083,457 
(LIBOR USD 3 Month + 0.62%), 2.53%, 12/02/22(a)   7,000    7,056,642 
Fifth Third Bank:          
2.20%, 10/30/20   1,000    1,003,289 
1.80%, 01/30/23   6,840    6,859,726 
HSBC Bank USA NA, 4.88%, 08/24/20   1,330    1,352,509 
HSBC Holdings plc:          
(LIBOR USD 3 Month + 2.24%), 4.12%, 03/08/21(a)   2,500    2,555,139 
5.10%, 04/05/21   3,000    3,114,909 
(LIBOR USD 3 Month + 0.60%), 2.50%, 05/18/21(a)   2,715    2,718,538 
2.95%, 05/25/21   11,000    11,169,053 
(LIBOR USD 3 Month + 0.65%), 2.54%, 09/11/21(a)   1,500    1,504,350 
2.65%, 01/05/22   4,000    4,060,080 
HSBC USA, Inc., 2.35%, 03/05/20   4,000    4,002,320 
JPMorgan Chase & Co.:          
2.75%, 06/23/20   4,000    4,011,847 
(LIBOR USD 3 Month + 0.55%), 2.44%, 03/09/21(a)   5,000    5,002,039 
Lloyds Bank plc:          
2.70%, 08/17/20   5,312    5,339,504 
6.38%, 01/21/21   3,500    3,657,433 
3.30%, 05/07/21   1,000    1,020,343 
Manufacturers & Traders Trust Co., 2.05%, 08/17/20   9,390    9,401,768 
Mitsubishi UFJ Trust & Banking Corp., 2.65%, 10/19/20(b)   19,225    19,352,483 
Mizuho Bank Ltd.(b):          
2.40%, 03/26/20   2,000    2,001,820 
2.70%, 10/20/20   13,100    13,186,913 
MUFG Bank Ltd.(b):          
2.30%, 03/05/20   5,000    5,002,399 
2.75%, 09/14/20   6,012    6,049,262 
2.85%, 09/08/21   2,000    2,032,454 
National Australia Bank Ltd.:          
2.63%, 07/23/20   2,000    2,008,254 
2.50%, 01/12/21   1,000    1,006,870 
2.63%, 01/14/21   10,837    10,930,731 
1.88%, 07/12/21   3,000    3,009,405 
1.88%, 12/13/22   10,830    10,888,631 
National Bank of Canada, 2.15%, 06/12/20   12,652    12,665,925 
Nordea Bank Abp(b):          
2.13%, 05/29/20   11,215    11,228,224 
(LIBOR USD 3 Month + 0.47%), 2.38%, 05/29/20(a)   3,000    3,004,737 
2.50%, 09/17/20   4,000    4,019,113 
4.88%, 01/14/21   9,400    9,678,681 
Security  Par
(000)
   Value 
         
Banks (continued)          
Royal Bank of Canada, 2.15%, 10/26/20  USD3,000   $3,009,695 
Santander UK plc:          
2.38%, 03/16/20   8,563    8,569,679 
2.13%, 11/03/20   22,578    22,639,387 
(LIBOR USD 3 Month + 0.30%), 2.20%, 11/03/20(a)   500    500,767 
3.40%, 06/01/21   9,000    9,199,285 
2.10%, 01/13/23   3,560    3,589,082 
Skandinaviska Enskilda Banken AB:          
2.30%, 03/11/20   2,000    2,001,199 
2.45%, 05/27/20(b)    5,700    5,710,533 
(LIBOR USD 3 Month + 0.72%), 2.63%, 12/01/20(a)(b)    3,000    3,014,447 
2.63%, 03/15/21   8,655    8,747,735 
(LIBOR USD 3 Month + 0.43%), 2.33%, 05/17/21(a)(b)    2,000    2,005,572 
3.25%, 05/17/21(b)    1,500    1,528,194 
3.05%, 03/25/22(b)    9,275    9,501,032 
2.20%, 12/12/22(b)    4,740    4,776,451 
(LIBOR USD 3 Month + 0.65%), 2.53%, 12/12/22(a)(b)    4,000    4,018,210 
Societe Generale SA(b):          
2.63%, 09/16/20   11,205    11,262,989 
2.50%, 04/08/21   6,725    6,783,201 
5.20%, 04/15/21   1,429    1,489,095 
Sumitomo Mitsui Banking Corp.:          
2.65%, 07/23/20   9,000    9,032,133 
2.45%, 10/20/20   2,400    2,412,585 
Svenska Handelsbanken AB:          
(LIBOR USD 3 Month + 0.36%), 2.25%, 09/08/20(a)   395    395,830 
2.40%, 10/01/20   2,500    2,512,112 
3.35%, 05/24/21   1,190    1,216,170 
Toronto-Dominion Bank (The):          
3.00%, 06/11/20   7,450    7,482,359 
(LIBOR USD 3 Month + 0.43%), 2.32%, 06/11/21(a)   1,500    1,507,281 
Truist Bank:          
2.25%, 06/01/20   8,500    8,510,493 
(LIBOR USD 3 Month + 0.50%), 3.53%, 10/26/21(a)   6,000    6,080,596 
Truist Financial Corp.:          
2.15%, 02/01/21   9,387    9,420,129 
3.95%, 03/22/22   1,243    1,297,355 
US Bank NA, (LIBOR USD 3 Month + 0.29%), 3.10%, 05/21/21(a)   7,929    7,964,681 
Wells Fargo & Co., (LIBOR USD 3 Month + 1.34%), 3.24%, 03/04/21(a)    2,000    2,026,498 
Wells Fargo Bank NA:          
(LIBOR USD 3 Month + 0.38%), 2.27%, 05/21/21(a)   5,000    5,005,101 
(LIBOR USD 3 Month + 0.50%), 2.31%, 07/23/21(a)   10,000    10,018,560 
(LIBOR USD 3 Month + 0.49%), 3.33%, 07/23/21(a)   3,520    3,545,787 
(LIBOR USD 3 Month + 0.51%), 2.31%, 10/22/21(a)   1,500    1,507,451 
3.63%, 10/22/21   5,000    5,157,803 
(LIBOR USD 3 Month + 0.61%), 2.90%, 05/27/22(a)   3,000    3,045,218 
(LIBOR USD 3 Month + 0.66%), 2.54%, 09/09/22(a)   20,000    20,126,045 
Westpac Banking Corp.:          
3.05%, 05/15/20   3,000    3,010,962 
2.60%, 11/23/20   17,613    17,741,348 


8 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Banks (continued)          
2.00%, 01/13/23  USD5,345   $5,393,630 
         788,599,850 
Biotechnology — 1.9%          
AbbVie, Inc.:          
2.50%, 05/14/20   21,556    21,582,398 
(LIBOR USD 3 Month + 0.35%), 2.24%, 05/21/21(a)(b)   12,000    12,027,793 
2.15%, 11/19/21(b)   15,000    15,095,694 
Gilead Sciences, Inc.:          
2.35%, 02/01/20   1,275    1,275,000 
2.55%, 09/01/20   26,869    26,989,670 
         76,970,555 
Capital Markets — 5.7%          
Bank of New York Mellon (The), (LIBOR USD 3 Month + 0.28%), 2.18%, 06/04/21(a)    25,000    25,024,778 
Credit Suisse AG:          
4.38%, 08/05/20   7,000    7,091,922 
2.10%, 11/12/21   9,250    9,311,568 
(SOFR + 0.45%), 2.04%, 02/04/22(a)   16,000    16,004,800 
Goldman Sachs Bank USA, (SOFR + 0.60%), 2.18%, 05/24/21(a)   5,895    5,900,777 
Goldman Sachs Group, Inc. (The):          
2.60%, 04/23/20   18,000    18,020,745 
2.60%, 12/27/20   12,880    12,921,941 
ING Bank NV(b):          
2.45%, 03/16/20   13,855    13,865,930 
2.70%, 08/17/20   3,025    3,039,942 
2.75%, 03/22/21   1,330    1,346,502 
2.05%, 08/15/21   4,684    4,705,982 
Macquarie Bank Ltd.(b):          
2.85%, 01/15/21   9,743    9,837,341 
(LIBOR USD 3 Month + 0.45%), 2.36%, 11/24/21(a)   26,000    26,105,561 
Morgan Stanley:          
(LIBOR USD 3 Month + 0.55%), 2.45%, 02/10/21(a)   8,000    8,000,927 
2.50%, 04/21/21   7,000    7,067,953 
(LIBOR USD 3 Month + 1.40%), 3.22%, 04/21/21(a)   2,000    2,030,725 
(SOFR + 0.83%), 2.41%, 06/10/22(a)   10,000    10,041,825 
(SOFR + 0.70%), 2.24%, 01/20/23(a)   15,000    15,020,097 
UBS AG:          
2.20%, 06/08/20(b)    8,795    8,804,189 
4.88%, 08/04/20   2,400    2,437,925 
(LIBOR USD 3 Month + 0.48%), 2.39%, 12/01/20(a)(b)   5,000    5,013,345 
2.45%, 12/01/20(b)    16,060    16,135,000 
         227,729,775 
Chemicals — 0.1%          
Air Liquide Finance SA, 1.75%, 09/27/21(b)   3,197    3,198,524 
           
Consumer Finance — 3.4%          
American Express Co., 2.20%, 10/30/20   35,000    35,084,936 
American Honda Finance Corp.:          
(LIBOR USD 3 Month + 0.15%), 2.04%, 02/21/20(a)   1,000    1,000,122 
3.15%, 01/08/21   1,405    1,423,574 
(LIBOR USD 3 Month + 0.35%), 2.24%, 06/11/21(a)   6,645    6,668,317 
2.20%, 06/27/22   10,500    10,614,097 
Capital One Financial Corp., 2.50%, 05/12/20   1,134    1,135,457 
Caterpillar Financial Services Corp.:          
2.00%, 03/05/20   490    490,111 
(LIBOR USD 3 Month + 0.25%), 2.17%, 08/26/20(a)   5,000    5,006,568 
Security  Par
(000)
   Value 
         
Consumer Finance (continued)     
(LIBOR USD 3 Month + 0.30%), 2.18%, 03/08/21(a)  USD13,000   $13,032,174 
(LIBOR USD 3 Month + 0.20%), 1.88%, 11/12/21(a)   10,000    10,015,720 
1.95%, 11/18/22   6,645    6,700,250 
Harley-Davidson Financial Services, Inc.(b):          
2.15%, 02/26/20   6,175    6,174,841 
(LIBOR USD 3 Month + 0.50%), 2.39%, 05/21/20(a)   2,000    2,002,238 
2.85%, 01/15/21   2,100    2,116,794 
John Deere Capital Corp.:          
(LIBOR USD 3 Month + 0.29%), 2.22%, 06/22/20(a)   2,000    2,002,177 
(LIBOR USD 3 Month + 0.42%), 2.25%, 07/10/20(a)   2,000    2,003,389 
2.45%, 09/11/20   785    788,602 
PACCAR Financial Corp., (LIBOR USD 3 Month  + 0.45%), 2.35%, 06/17/22(a) .   20,000    20,103,874 
Toyota Motor Credit Corp.:          
(LIBOR USD 3 Month + 0.37%), 2.26%, 03/12/20(a)   1,000    1,000,517 
(LIBOR USD 3 Month + 0.24%), 2.07%, 07/15/20(a)   2,000    2,001,502 
3.05%, 01/08/21   1,220    1,236,053 
(LIBOR USD 3 Month + 0.29%), 2.16%, 10/07/21(a)   7,000    7,017,317 
         137,618,630 
Diversified Financial Services — 0.5%     
JPMorgan Chase Bank NA:          
(LIBOR USD 3 Month + 0.28%), 2.60%, 02/01/21(a)   7,000    7,000,000 
(SOFR + 0.61%), 2.19%, 02/19/21(a)   2,500    2,500,209 
(LIBOR USD 3 Month + 0.37%), 2.27%, 02/19/21(a)   4,000    4,001,146 
3.09%, 04/26/21(c)    6,500    6,519,786 
         20,021,141 
Diversified Telecommunication Services — 1.1%     
BellSouth LLC, 4.27%, 04/26/20(b)(d) .   8,000    8,040,240 
Verizon Communications, Inc., (LIBOR USD 3 Month + 0.55%), 2.45%, 05/22/20(a)   34,640    34,689,112 
         42,729,352 
Electric Utilities — 1.0%          
NextEra Energy Capital Holdings, Inc.:          
Series H, 3.34%, 09/01/20   995    1,003,241 
(LIBOR USD 3 Month + 0.45%), 2.41%, 09/28/20(a)   9,356    9,375,425 
(LIBOR USD 3 Month + 0.48%), 2.38%, 05/04/21(a)   15,000    15,029,798 
2.40%, 09/01/21   6,070    6,132,914 
2.90%, 04/01/22   2,225    2,277,335 
Xcel Energy, Inc., 2.40%, 03/15/21   7,238    7,289,313 
         41,108,026 
Energy Equipment & Services — 0.2%     
Schlumberger Finance Canada Ltd.(b):          
2.20%, 11/20/20   2,500    2,508,377 
2.65%, 11/20/22   3,500    3,575,228 
         6,083,605 
Entertainment — 0.4%(a)          
NBCUniversal Enterprise, Inc., (LIBOR USD 3 Month + 0.40%), 2.31%, 04/01/21(b)    9,000    9,037,052 
Walt Disney Co. (The), (LIBOR USD 3 Month + 0.25%), 2.16%, 09/01/21   6,000    6,019,400 
         15,056,452 

 

S c h e d u l e   o f   I n v e s t m e n t s 9

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Health Care Providers & Services — 0.2%
UnitedHealth Group, Inc.:          
2.70%, 07/15/20  USD3,500   $3,515,547 
1.95%, 10/15/20   3,557    3,565,009 
         7,080,556 
Insurance — 1.8%(b)          
Jackson National Life Global Funding(a):          
(LIBOR USD 3 Month + 0.30%), 2.13%, 10/15/20   3,000    3,005,130 
(SOFR + 0.60%), 2.15%, 01/06/23   36,000    36,103,097 
Metropolitan Life Global Funding I, (SOFR + 0.57%), 2.11%, 01/13/23(a)    24,390    24,475,889 
Suncorp-Metway Ltd.:          
2.35%, 04/27/20   6,795    6,803,766 
(LIBOR USD 3 Month + 0.50%), 2.32%, 10/19/20(a)   1,500    1,500,526 
2.38%, 11/09/20   1,970    1,978,994 
         73,867,402 
IT Services — 0.4%          
International Business Machines Corp., (LIBOR USD 3 Month + 0.40%), 2.30%, 05/13/21(a)   17,000    17,086,490 
           
Media — 0.0%          
Comcast Corp., (LIBOR USD 3 Month + 0.33%), 2.24%, 10/01/20(a)   1,500    1,502,950 
           
Oil, Gas & Consumable Fuels — 1.2%          
BP Capital Markets plc, (LIBOR USD 3 Month + 0.25%), 2.16%, 11/24/20(a) .   22,000    22,044,359 
Enterprise Products Operating LLC:          
5.20%, 09/01/20   2,600    2,649,498 
2.85%, 04/15/21   9,000    9,093,770 
3.50%, 02/01/22   11,000    11,367,335 
TransCanada PipeLines Ltd., 3.80%, 10/01/20   3,590    3,634,548 
         48,789,510 
Pharmaceuticals — 0.4%          
Bristol-Myers Squibb Co., 2.88%, 08/15/20(b)   14,957    15,045,169 
           
Road & Rail — 0.3%          
Ryder System, Inc.:          
2.65%, 03/02/20   1,000    1,000,108 
2.50%, 05/11/20   6,000    6,006,678 
2.88%, 09/01/20   1,847    1,855,247 
3.50%, 06/01/21   3,799    3,879,237 
         12,741,270 
Semiconductors & Semiconductor Equipment — 0.6%          
Lam Research Corp.:          
2.75%, 03/15/20   5,181    5,184,103 
2.80%, 06/15/21   19,373    19,643,926 
         24,828,029 
Thrifts & Mortgage Finance — 0.7%          
BPCE SA:          
3.15%, 07/31/20(b)    5,000    5,035,431 
2.75%, 12/02/21   8,938    9,092,271 
Nationwide Building Society, 2.00%, 01/27/23(b)   14,515    14,596,602 
         28,724,304 
Total Corporate Bonds — 42.5%          
(Cost: $1,696,313,178)         1,703,943,102 
Security   Par
(000)
    Value 
           
Foreign Agency Obligations — 0.4%     
           
France — 0.4%          
Electricite de France SA, 2.35%, 10/13/20(b)  USD15,100   $15,141,919 
           
Total Foreign Agency Obligations — 0.4%     
(Cost: $15,082,309)         15,141,919 
           
    Shares      
Investment Companies — 0.4%     
BlackRock Liquid Environmentally Aware Fund*   17,059,223    17,066,047 
           
Total Investment Companies — 0.4%     
(Cost: $17,062,637)         17,066,047 
           
    Par
(000)
      
Municipal Bonds — 0.0%          
Michigan Finance Authority (Trinity Health Credit Group), Series 2019-T, RB, 2.03%, 12/01/20   550    550,170 
           
Total Municipal Bonds — 0.0%          
(Cost: $550,000)         550,170 
           
Total Long-Term Investments — 45.9%     
(Cost: $1,831,310,483)        1,839,240,080 
           
Short-Term Securities — 54.3%          
           
Certificates of Deposit — 23.3%          
           
Domestic — 0.6%(a)          
Goldman Sachs Bank USA:          
(SOFR + 0.25%), 1.83%, 06/29/20   7,000    6,999,964 
(SOFR + 0.43%), 2.01%, 02/26/21   6,000    5,998,091 
Morgan Stanley Bank NA, (US Federal Funds Effective Rate (continuous series) + 0.55%), 2.32%, 02/19/21   6,200    6,200,798 
Wells Fargo Bank NA, (LIBOR USD 3 Month + 0.15%), 2.05%, 01/15/21    5,000    5,002,808 
         24,201,661 
Euro — 3.9%          
ABN AMRO Bank NV:          
1.90%, 04/03/20(e)   6,000    5,982,589 
1.85%, 05/11/20   15,000    15,006,705 
Credit Industriel et Commercial SA, 1.94%, 01/08/21(e)   12,000    11,798,775 
DZ Bank AG Deutsche Zentral, 2.20%, 02/03/20(e)   12,000    11,998,260 
DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main, 2.18%, 02/27/20(e)   30,000    29,960,901 
Landesbank Baden-Wuerttemberg Capital Markets plc, 2.28%, 02/05/20(e)   30,000    29,993,098 
Mizuho Bank Ltd., London, 2.18%, 03/23/20   12,000    12,008,765 
National Westminster Bank plc, 1.84%, 07/23/20   40,000    40,005,200 
         156,754,293 
Yankee — 18.8%(f)          
Bank of Montreal, Chicago(a):          
(LIBOR USD 1 Month + 0.16%), 1.94%, 06/01/20   13,000    13,003,518 
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.91%, 07/13/20   8,000    8,004,899 

 

10 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

  

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Yankee (continued)          
(SOFR + 0.40%), 1.98%, 10/02/20  USD 12,000   $12,011,424 
(LIBOR USD 3 Month + 0.10%),1.93%, 02/12/21   9,200    9,201,803 
Bank of Nova Scotia, Houston(a):          
(LIBOR USD 3 Month + 0.18%), 2.08%, 02/18/20   1,000    1,000,111 
(US Federal Funds Effective Rate (continuous series) + 0.26%), 1.86%, 04/16/20   2,000    2,000,431 
(US Federal Funds Effective Rate (continuous series) + 0.45%), 2.05%, 10/23/20   8,000    8,013,680 
(LIBOR USD 3 Month + 0.10%), 1.98%, 02/08/21   5,000    5,000,966 
Barclays Bank plc, New York:          
(LIBOR USD 3 Month + 0.50%), 2.39%, 02/07/20(a)   2,000    2,000,033 
(LIBOR USD 1 Month + 0.48%), 2.13%, 04/30/20(a)   6,500    6,506,125 
2.05%, 06/22/20   5,000    5,005,443 
(LIBOR USD 1 Month + 0.48%), 2.16%, 08/10/20(a)   6,000    6,007,302 
(LIBOR USD 3 Month + 0.45%), 2.32%, 10/08/20(a)   4,500    4,501,495 
2.01%, 12/08/20   13,750    13,773,169 
Bayerische Landesbank, New York, (LIBOR  USD 3 Month + 0.18%), 1.98%, 01/28/21(a)   23,100    23,099,978 
BNP Paribas SA, New York, (LIBOR USD 3 Month + 0.25%), 2.16%, 02/01/21(a)   20,000    20,023,527 
Canadian Imperial Bank of Commerce, New  York(a):          
(LIBOR USD 1 Month + 0.17%), 1.85%, 05/13/20   5,000    5,002,388 
(LIBOR USD 1 Month + 0.25%), 1.96%, 01/04/21   15,000    15,013,161 
Credit Agricole Corporate & Investment Bank SA, New York, (LIBOR USD 3 Month +0.21%), 2.04%, 07/15/21(a)   11,000    10,999,976 
Credit Agricole Corporate and Investment Bank  SA, New York(a):          
(LIBOR USD 3 Month + 0.39%), 2.29%, 05/11/20   1,000    1,000,978 
(LIBOR USD 3 Month + 0.47%), 2.32%, 07/13/20   2,000    2,003,594 
(LIBOR USD 3 Month + 0.35%), 2.12%, 07/30/20 - 01/11/21   24,000    24,034,293 
(LIBOR USD 3 Month + 0.29%), 2.20%, 08/25/20   2,000    2,002,431 
(LIBOR USD 3 Month + 0.40%), 2.33%, 09/24/20   1,000    1,002,011 
(LIBOR USD 3 Month + 0.60%), 2.44%, 01/14/21   2,000    2,009,123 
Credit Agricole Corporate and Investment Bank, New York, (LIBOR USD 3 Month + 0.48%), 2.36%, 09/09/21(a)   6,000    6,021,566 
Credit Industriel et Commercial SA, New York(a):          
(LIBOR USD 1 Month + 0.22%), 1.88%, 04/24/20   15,000    15,004,363 
(US Federal Funds Effective Rate (continuous series) + 0.36%), 1.96%, 07/21/20   6,000    6,005,245 
Credit Suisse AG, New York:          
(SOFR + 0.41%), 1.99%, 02/28/20(a)   2,000    2,000,529 
(SOFR + 0.37%), 1.95%, 05/22/20(a)   10,000    10,005,252 
(SOFR + 0.32%), 1.90%, 07/27/20(a)   9,000    9,002,774 
(SOFR + 0.45%), 2.03%, 09/25/20(a)   10,000    10,011,800 
Security  Par
(000)
   Value 
         
Yankee (continued)          
1.97%, 11/20/20  USD2,000   $2,002,902 
(LIBOR USD 3 Month + 0.16%), 2.04%, 12/11/20(a)   9,000    9,005,335 
(LIBOR USD 3 Month + 0.23%), 2.12%, 12/30/20(a)   5,000    5,005,777 
DNB Bank ASA, New York, (LIBOR USD 3 Month + 0.22%), 2.04%, 07/19/21(a)   20,000    20,022,974 
Kookmin Bank, New York, (LIBOR USD 3 Month + 0.37%), 2.17%, 02/17/21(a)   42,000    41,999,782 
Lloyds Bank Corporate Markets plc, New York:          
(LIBOR USD 3 Month + 0.30%), 2.19%, 03/13/20(a)   5,000    5,002,042 
2.72%, 04/09/20   4,000    4,007,816 
(LIBOR USD 3 Month + 0.50%), 2.43%, 09/24/20(a)   1,500    1,503,686 
2.03%, 12/18/20   5,500    5,510,676 
1.93%, 01/06/21   7,000    7,007,860 
(LIBOR USD 3 Month + 0.52%), 2.31%, 04/26/21(a)   14,000    14,037,233 
(LIBOR USD 3 Month + 0.55%), 2.37%, 07/19/21(a)   15,800    15,833,968 
Mizuho Bank Ltd., New York:          
(LIBOR USD 3 Month + 0.33%), 2.16%, 04/15/20(a)   1,000    1,000,729 
1.93%, 04/30/20   8,000    8,004,612 
MUFG Bank Ltd., New York:          
(LIBOR USD 3 Month + 0.18%), 2.09%, 02/24/20(a)   2,000    2,000,318 
2.72%, 02/24/20   4,000    4,002,887 
2.84%, 02/24/20   2,000    2,001,597 
1.95%, 10/15/20   4,000    4,006,597 
1.96%, 10/15/20   3,300    3,305,703 
1.98%, 10/15/20   2,500    2,504,638 
(LIBOR USD 3 Month + 0.50%), 2.29%, 01/25/21(a)   1,000    1,003,779 
(LIBOR USD 3 Month + 0.50%), 2.34%, 07/16/21(a)   5,000    5,010,670 
Natixis SA, New York:          
(LIBOR USD 1 Month + 0.26%), 1.94%, 05/15/20(a)   6,000    6,003,990 
(SOFR + 0.30%), 1.88%, 06/05/20(a)   7,000    7,005,066 
(LIBOR USD 3 Month + 0.39%), 2.20%, 07/23/20(a)   3,000    3,005,313 
1.93%, 11/12/20   12,000    12,015,962 
Nordea Bank Abp, New York(a):          
(LIBOR USD 3 Month + 0.27%), 2.17%, 08/10/20   1,000    1,001,282 
(LIBOR USD 3 Month + 0.29%), 2.18%, 02/05/21   8,000    8,015,066 
(LIBOR USD 3 Month + 0.32%), 2.21%, 05/05/21   6,000    6,012,597 
(LIBOR USD 3 Month + 0.26%), 2.14%, 01/07/22   9,000    8,999,978 
(LIBOR USD 3 Month + 0.23%), 1.99%, 01/28/22   9,000    9,000,000 
Norinchukin Bank (The), New York, 1.80%, 07/15/20   5,000    5,001,547 
Norinchukin Bank, New York, 1.94%, 04/09/20   20,000    20,011,163 
Skandinaviska Enskilda Banken AB, New York:          
(LIBOR USD 3 Month + 0.15%), 2.06%, 10/02/20(a)   7,000    7,004,112 
1.93%, 10/16/20   4,000    4,005,520 
Societe Generale SA, New York, (LIBOR USD 3 Month + 0.23%), 2.14%, 02/02/21(a)   9,000    9,007,006 
Societe Generale, New York:          
2.88%, 02/06/20   2,000    2,000,424 

 

S c h e d u l e   o f   I n v e s t m e n t s 11

 

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Yankee (continued)          
2.80%, 03/13/20  USD 2,000   $2,002,649 
(LIBOR USD 1 Month + 0.32%), 2.00%, 05/14/20(a)   8,000    8,005,359 
Standard Chartered Bank, New York:          
1.99%, 05/01/20 - 06/08/20   28,500    28,519,188 
(LIBOR USD 3 Month + 0.28%), 2.19%, 11/06/20(a)   10,000    10,014,221 
Sumitomo Mitsui Banking Corp., New York(a):          
(LIBOR USD 3 Month + 0.41%), 2.31%, 06/18/20   7,000    7,010,524 
(LIBOR USD 3 Month + 0.42%), 2.22%, 07/24/20   2,000    2,003,845 
(LIBOR USD 3 Month + 0.39%), 2.29%, 02/12/21   12,000    12,036,361 
(LIBOR USD 3 Month + 0.36%), 2.26%, 04/06/21 - 05/13/21   14,350    14,384,047 
(LIBOR USD 3 Month + 0.35%), 2.20%, 07/12/21   3,000    3,005,522 
(LIBOR USD 3 Month + 0.44%), 2.33%, 09/10/21   7,000    7,018,633 
(LIBOR USD 3 Month + 0.38%), 2.21%, 10/12/21   11,000    11,014,580 
Sumitomo Mitsui Trust Bank Ltd., New York(a):          
(LIBOR USD 1 Month + 0.20%), 1.85%, 02/19/20   10,000    10,001,090 
(LIBOR USD 3 Month + 0.19%), 2.10%, 02/25/20 - 05/18/20   9,000    9,003,703 
Svenska Handelsbanken, New York(a):          
(LIBOR USD 3 Month + 0.28%), 2.18%, 09/11/20   3,000    3,004,681 
(LIBOR USD 3 Month + 0.15%), 2.06%, 10/02/20   15,000    15,011,765 
(LIBOR USD 1 Month + 0.25%), 2.03%, 01/04/21   15,000    15,017,398 
(LIBOR USD 3 Month + 0.26%), 2.14%, 01/06/22   8,000    7,999,981 
Swedbank AB, New York, (LIBOR USD 1 Month  + 0.20%), 1.91%, 02/07/20(a)   5,000    5,000,352 
Toronto-Dominion Bank, New York:          
2.00%, 03/17/20   10,000    10,004,653 
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.91%, 07/16/20(a)   8,000    8,004,993 
2.17%, 07/24/20   7,000    7,017,323 
(LIBOR USD 3 Month + 0.19%), 2.14%, 09/28/20(a)   10,000    10,010,248 
Westpac Banking Corp., New York, (LIBOR  USD 3 Month + 0.15%), 2.04%, 12/09/20(a)   15,000    15,012,504 
         752,247,615 
Total Certificates of Deposits — 23.3%
(Cost: $932,307,071)        933,203,569 
           
Commercial Paper — 26.2%     
      
Albion Capital Corp. SA, 1.73%, 04/27/20(e)   6,000    5,976,148 
Amcor Finance USA, Inc.(e):          
1.80%, 02/05/20   6,450    6,448,589 
2.26%, 02/28/20   8,000    7,988,949 
Atlantic Asset Securitization LLC, 2.14%, 03/24/20(e)   5,000    4,987,758 
Banco Santander SA(e):          
1.98%, 06/26/20   9,000    8,936,459 
1.92%, 07/07/20   4,000    3,970,331 
Security  Par
(000)
   Value 
         
Commercial Paper (continued)     
      
Bank of Nova Scotia (The)(a):          
(LIBOR USD 1 Month + 0.17%), 1.85%, 05/15/20   USD5,000   $5,001,072 
(LIBOR USD 1 Month + 0.16%), 1.82%, 05/27/20   5,000    5,000,997 
(LIBOR USD 1 Month + 0.16%), 1.81%, 05/29/20   4,000    4,000,774 
Barclays Bank plc, 1.85%, 01/28/21(e)   3,000    2,944,945 
Bayerische Landesbank, 2.20%, 02/06/20(e)   7,000    6,998,147 
Bedford Row Funding Corp., 1.96%, 04/16/20(e)   3,000    2,989,430 
Bell Canada, Inc.(e):          
2.23%, 02/13/20   11,000    10,992,731 
1.91%, 04/07/20   8,000    7,972,277 
1.87%, 04/14/20   9,000    8,965,349 
1.80%, 04/16/20   1,700    1,693,264 
1.89%, 04/17/20   23,000    22,907,613 
1.85%, 04/21/20   8,000    7,966,070 
BP Capital Markets plc, 2.92%, 03/02/20(e)   9,000    8,987,577 
BPCE SA(e):          
1.96%, 07/31/20   2,000    1,982,811 
2.04%, 12/23/20   10,000    9,842,949 
Brookfield Renewable Partners LP(e):          
1.94%, 03/25/20   4,000    3,989,224 
1.97%, 04/23/20   4,000    3,983,262 
Cancara Asset Securitisation LLC, 1.97%, 06/03/20(e)   5,000    4,970,653 
CenterPoint Energy, Inc., 1.90%, 02/11/20(e)   15,500    15,492,185 
Citigroup Global Markets, Inc., 1.97%, 05/26/20(e)   5,000    4,974,061 
Collateralized Commercial Paper FLEX Co. LLC, (LIBOR USD 3 Month + 0.12%), 1.95%, 01/08/21(a)   5,000    5,000,908 
Cooperatieve Rabobank UA, 1.91%, 02/07/20(e)   7,000    6,997,918 
Daimler Finance North America LLC(e):          
2.18%, 03/09/20   2,000    1,996,232 
2.16%, 03/30/20   12,250    12,213,882 
DNB Bank ASA, (LIBOR USD 1 Month + 0.19%), 1.92%, 03/05/20(a)   11,000    11,001,537 
Electricite de France SA, 1.76%, 04/27/20(e)   20,000    19,912,130 
Enbridge Energy Partners LP(e):          
2.13%, 02/04/20   8,875    8,873,342 
1.90%, 02/07/20   25,000    24,991,736 
1.87%, 02/21/20 - 02/24/20   12,063    12,049,546 
Exelon Generation Co. LLC, 1.77%, 02/18/20(e)   15,000    14,986,830 
Federation des Caisses Desjardins du Quebec, 1.95%, 03/17/20(e)   5,350    5,339,062 
Fidelity National Information Services, Inc., 1.74%, 02/12/20(e)   6,600    6,596,165 
HSBC Bank plc(a):          
(LIBOR USD 3 Month + 0.23%), 2.08%, 10/13/20   7,000    7,007,666 
(LIBOR USD 1 Month + 0.29%), 1.94%, 12/30/20   15,000    15,009,764 
Hyundai Capital America(e):          
2.03%, 02/14/20   8,000    7,994,574 
2.22%, 06/09/20   15,800    15,693,877 
ING US Funding LLC(a):          
(LIBOR USD 3 Month + 0.15%), 2.06%, 09/14/20   10,000    10,004,849 
(LIBOR USD 3 Month + 0.17%), 2.10%, 09/23/20   10,000    10,005,649 
(LIBOR USD 3 Month + 0.20%), 2.02%, 10/19/20   5,000    5,004,592 
Keurig Dr Pepper, Inc., 1.79%, 03/20/20(e)   13,000    12,968,274 

 

12 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020 (Percentages shown are based on Net Assets)

 

Security  Par
(000)
   Value 
         
Commercial Paper (continued)     
      
Lloyds Bank plc, (LIBOR USD 1 Month + 0.17%), 1.82%, 02/21/20(a)  USD 5,000   $5,000,477 
LMA-Americas LLC, 1.92%, 05/12/20(e)   5,000    4,976,228 
Lowe's Cos., Inc., 2.14%, 03/06/20(e)   33,000    32,942,796 
Mondelez International, Inc., 1.97%, 02/18/20(e)   20,000    19,982,440 
National Australia Bank Ltd., (LIBOR USD 3 Month + 0.12%), 2.01%, 12/09/20(a)   15,000    15,008,743 
National Grid Electricity Transmission plc, 2.01%, 02/07/20(e)   9,000    8,997,025 
National Grid USA, 1.86%, 03/18/20(e)   4,000    3,990,647 
Nationwide Building Society(e):          
1.96%, 03/23/20   6,000    5,984,972 
2.02%, 04/01/20   15,000    14,955,496 
1.96%, 05/26/20   10,000    9,942,322 
NextEra Energy Capital Holdings, Inc.(e):          
2.08%, 02/27/20   9,000    8,988,026 
1.81%, 03/26/20   3,000    2,991,764 
1.85%, 03/30/20   10,000    9,970,516 
Nissan Motor Acceptance Corp.(e):          
1.86%, 02/21/20   15,000    14,984,583 
2.25%, 02/28/20   12,500    12,482,354 
2.01%, 03/02/20   13,000    12,979,469 
2.03%, 03/09/20   3,000    2,994,104 
2.03%, 03/26/20   5,000    4,985,509 
1.91%, 04/07/20   2,500    2,491,136 
2.22%, 06/12/20   8,000    7,941,983 
Nordea Bank AB, 2.68%, 04/27/20(e)   5,000    4,979,724 
Oversea-Chinese Banking Corp. Ltd., (LIBOR  USD 3 Month + 0.09%), 2.01%, 08/26/20(a)   7,000    6,999,206 
Parker-Hannifin Corp.(e):          
2.06%, 03/05/20 - 03/31/20   10,000    9,977,806 
2.05%, 03/11/20   3,000    2,994,333 
2.19%, 04/16/20   3,000    2,989,062 
Reckitt Benckiser Treasury Services plc(e):          
1.84%, 02/07/20   17,000    16,994,546 
2.52%, 04/09/20   8,000    7,973,703 
2.23%, 04/20/20   12,000    11,953,787 
2.50%, 04/30/20   18,000    17,921,250 
2.14%, 05/29/20   5,000    4,968,845 
Royal Bank of Canada:          
2.01%, 03/18/20(e)   12,000    11,974,463 
(SOFR + 0.31%), 1.89%, 08/17/20(a)   22,000    21,998,336 
(SOFR + 0.40%), 1.98%, 10/02/20(a)   1,500    1,500,271 
Salisbury Receivables Co. LLC, (SOFR + 0.30%), 1.88%, 02/20/20(a)   4,000    4,000,287 
Shell International Finance BV, 1.97%, 06/26/20(e)   6,825    6,779,017 
Societe Generale SA(a):          
(LIBOR USD 1 Month + 0.38%), 2.03%, 08/20/20   10,000    10,013,633 
(LIBOR USD 3 Month + 0.25%), 2.14%, 12/14/20   8,000    8,010,201 
Sonoco Products Co., 1.90%, 02/03/20(e)   2,000    1,999,721 
Starbucks Corp.(e):          
2.08%, 03/12/20   11,100    11,076,992 
1.92%, 06/16/20   10,000    9,926,933 
Sumitomo Mitsui Trust Bank Ltd., 2.00%, 04/07/20(e)   13,000    12,959,716 
Suncor Energy, Inc.(e):          
2.01%, 02/05/20   6,000    5,998,593 
2.01%, 02/07/20   17,250    17,244,298 
1.99%, 02/14/20   15,000    14,989,827 
2.02%, 02/21/20   7,000    6,992,805 
2.03%, 03/09/20   5,000    4,990,579 
1.96%, 03/31/20   10,000    9,970,000 
Security  Par
(000)
   Value 
         
Commercial Paper (continued)     
      
1.83%, 04/30/20  USD 7,000   $6,968,150 
Suncorp-Metway Ltd.(e):          
2.11%, 02/24/20   10,000    9,988,333 
1.92%, 05/11/20   12,000    11,939,636 
1.94%, 05/26/20   4,000    3,976,310 
1.92%, 06/09/20   11,000    10,926,514 
Svenska Handelsbanken AB, 1.94%, 10/16/20(e)   8,000    7,901,695 
Telstra Corp. Ltd., 1.82%, 04/28/20(e)   8,180    8,143,068 
TELUS Corp., 2.11%, 04/06/20(e)   2,000    1,993,385 
Toronto-Dominion Bank (The), (LIBOR USD 1 Month + 0.18%), 1.86%, 06/12/20(a)   9,000    9,003,202 
Total Capital Canada Ltd., 1.90%, 04/23/20(e)   5,000    4,981,348 
TransCanada PipeLines Ltd.(e):          
2.06%, 02/04/20   10,000    9,998,132 
2.05%, 03/02/20   9,000    8,986,197 
2.15%, 03/03/20   8,400    8,386,702 
2.09%, 03/10/20 - 03/16/20   13,000    12,972,123 
2.02%, 04/06/20   2,500    2,491,732 
2.01%, 04/07/20   13,000    12,956,329 
1.81%, 04/09/20   3,000    2,989,616 
UBS AG, (LIBOR USD 3 Month + 0.20%), 2.05%, 07/10/20(a)   6,000    6,004,670 
VW Credit, Inc.(e):          
1.87%, 02/21/20   20,000    19,979,443 
2.50%, 04/01/20   2,000    1,993,897 
2.04%, 01/29/21   18,500    18,088,852 
Walgreens Boots Alliance, Inc.(e):          
2.43%, 02/03/20   5,000    4,999,302 
2.17%, 03/09/20   1,500    1,497,174 
2.12%, 05/08/20   10,000    9,950,238 
Welltower, Inc., 2.16%, 03/20/20(e)   7,750    7,731,086 
Total Commercial Paper — 26.2%          
(Cost: $1,048,921,991)        1,049,227,816 

 

   Shares     
         
Money Market Funds — 0.0%     
BlackRock Liquidity Funds, T-Fund, Institutional  Class, 1.48%(g)*   378,461    378,461 
           
Total Money Market Funds — 0.0%     
(Cost: $378,461)        378,461 
           
Total Repurchase Agreements — 4.8%
(Cost: $191,500,000)        191,500,000 
           
Total Short-Term Securities — 54.3%     
(Cost: $2,173,107,523)        2,174,309,846 
           
Total Investments — 100.2%     
(Cost: $4,004,418,006)   4,013,549,926 
Liabilities in Excess of Other Assets — (0.2)%   (8,462,525)
Net Assets — 100.0%       $4,005,087,401 

 

S c h e d u l e   o f   I n v e s t m e n t s 13

 

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020  

 

(a) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(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 shown is the rate in effect as of period end.
(d) Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(e) Rates are the current rate or a range of current rates as of period end.
(f) Issuer is a U.S. branch of a foreign domiciled bank.
(g) Annualized 7-day yield as of period end.
* During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

                             
Affiliate  Shares Held at 07/31/19   Net Activity   Shares Held at 01/31/20   Value at 01/31/20   Income   Net Realized Gain (Loss) (a)   Change in Unrealized Appreciation (Depreciation) 
BlackRock Liquid Environmentally Aware Fund       17,059,223    17,059,223   $17,066,047   $87,453   $   $3,410 
BlackRock Liquidity Funds, T-Fund, Institutional Class   189,379    189,082    378,461    378,461    61,078         
                  $17,444,508   $148,531   $   $3,410 

 

(a) Includes net capital gain distributions, if applicable.

 

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.

 

Repurchase Agreements
   Repurchase Agreements   Collateral
Counterparty  Coupon Rate   Purchase Date  Maturity Date  Par (000)   At Value (000)   Proceeds Including Interest   Position  Original Par   Position Received, At Value 
Bank of America Securities, Inc.   1.98%(a)  01/31/20  03/09/20  $20,000   $20,000   $20,041,800   Corporate/Debt Obligations, 2.55% to 7.69%, due 01/27/32 to 01/23/50  $19,972,743   $21,000,000 
    2.18(a)  01/31/20  03/19/20   1,000    1,000    1,002,907   Corporate/Debt Obligation, 3.00%, due 10/25/58   1,594,652    1,200,001 
    2.28(a)  01/31/20  04/08/20   4,000    4,000    4,017,227   Corporate/Debt Obligation, 3.00%, due 10/25/58   6,378,605    4,800,000 
Total Bank of America Securities, Inc.                  $25,000                $27,000,001 
Barclays Bank plc   2.05   11/01/19  02/03/20   15,000    15,000    15,080,292   Corporate/Debt Obligations, 1.91% to 4.21%, due 11/25/35 to 05/25/43   21,072,215    17,250,000 
    2.18(a)  01/31/20  05/08/20   20,000    20,000    20,118,689   Corporate/Debt Obligations, 1.83% to 10.33%, due 05/01/26 to 08/25/59   51,832,761    23,000,000 
    2.22   08/26/19  02/26/20   15,000    15,000    15,170,200   Corporate/Debt Obligations, 2.05% to 2.64%, due 06/25/35 to 05/25/47   22,242,116    17,250,000 
Total Barclays Bank plc                  $50,000                $57,500,000 
Citigroup Global Markets, Inc.   2.11(a)  01/31/20  04/05/20   3,000    3,000    3,011,442   Corporate/Debt Obligations, 1.40% to 4.00%, due 08/27/57 to 05/25/58   4,198,835    3,210,000 

 

14 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
   
January 31, 2020  

  

        
   Repurchase Agreements   Collateral
Counterparty  Coupon Rate   Purchase Date  Maturity Date  Par
(000)
   At Value (000)   Proceeds Including Interest   Position  Original Par   Position Received, At Value 
    2.13%(a)  01/31/20  05/05/20  $6,000   $6,000   $6,033,679   Corporate/Debt Obligations, 2.45% to 6.55%, due 05/15/27 to 07/15/36  $5,618,341   $6,301,782 
Total Citigroup Global Markets, Inc.                  $9,000                $9,511,782 
Credit Suisse Securities USA LLC   2.11(a)  01/31/20  03/09/20   1,000    1,000    1,002,229   Corporate/Debt Obligations, 1.47% to 5.97%, due 06/20/35 to 10/20/45   10,186,538    1,150,000 
    2.23(a)  01/31/20  04/08/20   25,000    25,000    25,105,353   Corporate/Debt Obligations, 0.03% to 10.75%, due 02/01/21 to 05/25/45   333,582,795    28,267,453 
Total Credit Suisse Securities USA LLC                  $26,000                $29,417,453 
JP Morgan Securities LLC   1.88(a)  01/31/20  02/10/20   20,000    20,000    20,010,444   Corporate/Debt Obligations, 0.08% to 8.00%, due 03/15/20 to 10/25/58   625,689,939    21,484,089 
    2.15(a)  01/31/20  05/04/20   4,000    4,000    4,022,467   Corporate/Debt Obligations, 2.73% to 6.35%, due 08/01/22 to 12/31/49   4,460,845    4,321,523 
    2.21   11/13/19  02/13/20   17,000    17,000    17,096,012   Corporate/Debt Obligations, 3.36% to 8.00%, due 04/19/21 to 03/25/58   17,764,777    18,616,737 
Total JP Morgan Securities LLC                  $41,000                $44,422,349 
Mizuho Securities USA LLC   2.20(a)  01/31/20  03/09/20   3,500    3,500    3,508,110   U.S. Government Sponsored Agency Obligation, 7.76%, due 02/25/26   3,753,544    3,675,001 
Wells Fargo Securities LLC   2.09   12/04/19  03/04/20   15,000    15,000    15,079,246   Corporate/Debt Obligations, 0.00%, due 03/19/20 to 03/20/20   15,789,082    15,750,001 
    2.13   12/20/19  03/20/20   22,000    22,000    22,118,452   Corporate/Debt Obligations, 0.00%, due 01/29/09 to 05/12/20   23,368,698    23,100,000 
Total Wells Fargo Securities LLC                  $37,000                $38,850,001 
                   $191,500                $210,376,587 

 

(a)Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

 

Fair Value Hierarchy as of Period End

 

Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

 

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:

 

   Level 1   Level 2   Level 3   Total 
Assets:                
Investments:                
Long-Term Investments:                    
Asset-Backed Securities  $   $102,538,842   $   $102,538,842 
Corporate Bonds (a)       1,703,943,102        1,703,943,102 
Foreign Agency Obligations (a)       15,141,919        15,141,919 

 

S c h e d u l e   o f   I n v e s t m e n t s 15

 

 

 

Schedule of Investments (unaudited) (continued) BlackRock Short Obligations Fund
January 31, 2020  

 

   Level 1   Level 2   Level 3   Total 
Investment Companies  $17,066,047   $   $   $17,066,047 
Municipal Bonds       550,170        550,170 
Short-Term Securities:                    
Certificates of Deposit       933,203,569        933,203,569 
Commercial Paper       1,049,227,816        1,049,227,816 
Money Market Funds   378,461            378,461 
Repurchase Agreements       191,500,000        191,500,000 
   $17,444,508   $3,996,105,418   $   $4,013,549,926 

 

(a)See above Schedule of Investments for values in each industry or country.

 

See notes to financial statements.

 

16 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

 

Statement of Assets and Liabilities (unaudited)

January 31, 2020

 

   BlackRock
Short
Obligations
Fund
 
     
ASSETS    
Investments at value — unaffiliated (cost — $3,795,476,908)  $3,804,605,418 
Investments at value — affiliated (cost — $17,441,098)   17,444,508 
Cash   6,196 
Repurchase agreements at value (cost — $191,500,000)   191,500,000 
Receivables:     
Capital shares sold   38,778,076 
Dividends — affiliated   31,581 
Interest — unaffiliated   12,076,344 
From the Manager   3,633 
Prepaid expenses   255,818 
Total assets   4,064,701,574 
      
LIABILITIES     
Payables:     
Investments purchased   30,045,950 
Administration fees   160,460 
Board realignment and consolidation   172 
Capital shares redeemed   27,912,771 
Income dividend distributions   51,494 
Investment advisory fees   445,947 
Service fees   468,857 
Other accrued expenses   528,522 
Total liabilities   59,614,173 
      
NET ASSETS  $4,005,087,401 
      
NET ASSETS CONSIST OF     
Paid-in capital  $3,995,701,755 
Accumulated earnings   9,385,646 
NET ASSETS  $4,005,087,401 
      
NET ASSET VALUE     
Institutional — Based on net assets of $1,574,225,983 and 156,859,052 shares outstanding, unlimited number of shares authorized, $0.001 par value  $10.04 
Investor A — Based on net assets of $2,336,947,821 and 232,975,279 shares outstanding, unlimited number of shares authorized, $0.001 par value  $10.03 
Class K — Based on net assets of $93,913,597 and 9,342,411 shares outstanding, unlimited number of shares authorized, $0.001 par value  $10.05 

 

See notes to financial statements.

 

F i n a n c i a l   S t a t e m e n t s 17

 

 

 

Statement of Operations (unaudited)

Six Months Ended January 31, 2020

 

    BlackRock
Short
Obligations
Fund
 
      
INVESTMENT INCOME     
Dividends — affiliated  $148,531 
Interest — unaffiliated   37,561,168 
Total investment income   37,709,699 
      
EXPENSES     
Investment advisory   3,818,221 
Service — class specific   2,114,033 
Transfer agent — class specific   974,267 
Administration   595,484 
Administration — class specific   315,055 
Registration   294,655 
Professional   47,174 
Accounting services   43,476 
Custodian   33,307 
Trustees and Officer   6,468 
Printing   5,820 
Miscellaneous   16,278 
Total expenses   8,264,238 
Less:     
Administration fees waived — class specific   (145,654)
Fees waived and/or reimbursed by the Manager   (1,717,943)
Transfer agent fees waived and/or reimbursed — class specific   (217,951)
Total expenses after fees waived and/or reimbursed   6,182,690 
Net investment income   31,527,009 
      
REALIZED AND UNREALIZED GAIN     
Net realized gain from investments   183,967 
Net change in unrealized appreciation (depreciation) on:     
Investments — affiliated   3,410 
Investments — unaffiliated   5,528,604 
    5,532,014 
Net realized and unrealized gain   5,715,981 
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $37,242,990 

 

See notes to financial statements.

 

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Statements of Changes in Net Assets

 

   BlackRock Short Obligations Fund 
   Six Months Ended
01/31/20
(unaudited)
   Year Ended
07/31/19
 
         
INCREASE (DECREASE) IN NET ASSETS          
           
OPERATIONS          
Net investment income  $31,527,009   $21,585,928 
Net realized gain   183,967    101,020 
Net change in unrealized appreciation (depreciation)   5,532,014    3,814,620 
Net increase in net assets resulting from operations   37,242,990    25,501,568 
           
DISTRIBUTIONS TO SHAREHOLDERS (a)          
Institutional   (14,300,577)   (10,836,451)
Investor A   (16,163,457)   (8,354,874)
Class K   (1,161,669)   (2,487,319)
Decrease in net assets resulting from distributions to shareholders   (31,625,703)   (21,678,644)
           
CAPITAL SHARE TRANSACTIONS          
Net increase in net assets derived from capital share transactions   1,613,052,888    2,228,911,866 
           
NET ASSETS          
Total increase in net assets   1,618,670,175    2,232,734,790 
Beginning of period   2,386,417,226    153,682,436 
End of period  $4,005,087,401   $2,386,417,226 

 

(a)Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See notes to financial statements.

 

F i n a n c i a l   S t a t e m e n t s 19

 

 

 

Financial Highlights

(For a share outstanding throughout each period)

 

   BlackRock Short Obligations Fund 
   Institutional 
   Six Months Ended   Year Ended July 31, 
   01/31/20
(unaudited)
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $10.02   $9.99   $10.03   $10.02   $10.00   $10.01 
                               
Net investment income (a)   0.11    0.26    0.18    0.12    0.08    0.05 
Net realized and unrealized gain (loss)   0.02    0.03    (0.05)   0.01    0.02    (0.01)
Net increase from investment operations   0.13    0.29    0.13    0.13    0.10    0.04 
                               
Distributions (b)                              
From net investment income   (0.11)   (0.26)   (0.17)   (0.12)   (0.08)   (0.05)
From net realized gain       (0.00)(c)   (0.00)(c)   (0.00)(c)   (0.00)(c)    
Total distributions   (0.11)   (0.26)   (0.17)   (0.12)   (0.08)   (0.05)
Net asset value, end of period  $10.04   $10.02   $9.99   $10.03   $10.02   $10.00 
                               
Total Return (d)                              
Based on net asset value   1.28%(e)   2.96%   1.34%   1.30%   0.98%   0.45%
                               
Ratios to Average Net Assets                              
Total expenses   0.46%(f)   0.45%   0.60%   0.54%(g)   0.58%(g)   1.02%
Total expenses after fees waived and/or reimbursed.   0.30%(f)   0.26%   0.28%   0.24%   0.13%   0.12%
Net investment income   2.11%(f)   2.59%   1.75%   1.17%   0.79%   0.55%
                               
Supplemental Data                              
Net assets, end of period (000)  $1,574,226   $1,117,218   $70,512   $38,160   $16,945   $10,182 
Portfolio turnover rate   4%   18%   87%   140%   184%   68%

 

(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)Aggregate total return.

(f)Annualized.

(g)Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratios. See notes to financial statements.

 

See notes to financial statements.

 

20 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

 BlackRock Short Obligations Fund
 Investor A
   Six Months Ended
01/31/20
(unaudited)
  Year Ended
07/31/2019
  Period from
03/09/18 (a)
to 07/31/18
 
Net asset value, beginning of period  $10.01   $9.99   $9.99  
Net investment income (b)   0.10    0.24    0.07  
Net realized and unrealized gain   0.02    0.02    0.00 (c)
Net increase from investment operations   0.12    0.26    0.07  
                 
Distributions (d)                
From net investment income   (0.10)   (0.24)   (0.07 )
From net realized gain       (0.00)(e)     
Total distributions    (0.10)   (0.24)   (0.07 )
Net asset value, end of period   $10.03   $10.01   $9.99  
                 

Total Return (f)

                
Based on net asset value   1.19%(g)   2.63%   0.73 %(g)
                 

Ratios to Average Net Assets

                
Total expenses   0.59%(h)   0.64%   0.78 %(h)(i)
Total expenses after fees waived and/or reimbursed    0.48%(h)   0.47%   0.42 %(h)
Net investment income   1.91%(h)   2.37%   1.87 %(h)
                 

Supplemental Data

                
Net assets, end of period (000)  $2,336,948   $1,136,936   $621  
Portfolio turnover rate   4%   18%   87 %

 

(a)Commencement of operations.
(b)Based on average shares outstanding.
(c)Amount is less than $0.005 per share.
(d)Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(e)Amount is greater than $(0.005) per share.
(f)Where applicable, assumes the reinvestment of distributions.
(g)Aggregate total return.
(h)Annualized.
(i)Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.84%

 

See notes to financial statements.

 

F i n a n c i a l   H i g h l i g h t s 21

 

 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

 BlackRock Short Obligations Fund
 Class K (a) 
    Six Months Ended   Year Ended July 31, 
    

01/31/20 

(unaudited)

    2019    2018    2017    2016    

2015

 
Net asset value, beginning of period   $10.04   $10.01   $10.04   $10.03   $10.01   $10.02 
Net investment income (b)   0.11    0.26    0.18    0.12    0.08    0.06 
Net realized and unrealized gain (loss)    0.01    0.04    (0.03)   0.01    0.02    (0.01)
Net increase from investment operations   0.12    0.30    0.15    0.13    0.10    0.05 
                               
Distributions (c)                              

From net investment income

   (0.11)   (0.27)   (0.18)   (0.12)   (0.08)   (0.06)
From net realized gain       (0.00)(d)   (0.00)(d)   (0.00)(d)   (0.00)(d)    
Total distributions    (0.11)   (0.27)   (0.18)   (0.12)   (0.08)   (0.06)
                               
Net asset value, end of period   $10.05   $10.04   $10.01   $10.04   $10.03   $10.01 
                               
Total Return (e)                              
Based on net asset value    1.23%(f)   3.02%   1.52%   1.35%   1.01%   0.47%
                               
Ratios to Average Net Assets                              
Total expenses   0.33%(g)   0.45%   0.53%   0.50%(h)   0.55%(h)   0.99%
Total expenses after fees waived and/or reimbursed   0.20%(g)   0.20%   0.20%   0.17%   0.10%   0.10%
Net investment income   2.26%(g)   2.64%   1.78%   1.22%   0.79%   0.57%
                               
Supplemental Data                              
Net assets, end of period (000)   $93,914   $132,264   $82,549   $98,882   $31,918   $41,660 
Portfolio turnover rate   4%   18%   87%   140%   184%   68%

 

(a)On the close of business on September 1, 2015, the Fund’s BlackRock Shares were redesignated as Class K Shares.
(b)Based on average shares outstanding.
(c)Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)Amount is greater than $(0.005) per share.
(e)Where applicable, assumes the reinvestment of distributions.
(f)Aggregate total return.
(g)Annualized.
(h)Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratios.

 

See notes to financial statements.

 

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Notes to Financial Statements (unaudited)

 

1.       ORGANIZATION

 

BlackRock FundsSM (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.

 

Share Class Initial Sales Charge CDSC   Conversion Privilege  
Institutional Shares No No   None  
Investor A Shares No No (a) None  
Class K Shares No No   None  

 

(a)Investor A Shares may be subject to a contingent deferred sales charge (“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 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 equity, multi-asset, index and money market 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 on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities is recognized 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 date 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.

 

Recent Accounting Standards: The Fund has adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Fund has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning with the fiscal six months ended January 31, 2020. The adjusted cost basis of securities at July 31, 2019 is $2,394,203,213.

 

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value (“NAV”) of the Fund.

 

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. 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. 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.

 

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) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

 

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:

 

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or

 

N o t e s   t o   F i n a n c i a l   S t a t e m e n t s 23

 

 

Notes to Financial Statements (unaudited) (continued)

 

dealers as obtained from a third party pricing service. 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), 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.

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

 

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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)

 

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s own assumptions used in determining the fair value of investments)

 

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments 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.

 

24 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Notes to Financial Statements (unaudited) (continued)

 

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 the fund and its counterparties. Typically, the 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, the fund could experience losses, delays and costs in liquidating the collateral.

 

Repurchase agreements are entered into by the 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 securities as 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. 

   
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  

 

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:

 

  Service Fees
Investor A 0.25%

 

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 six months ended January 31, 2020, the class specific service fees borne directly by Investor A Shares of the Fund were $2,114,033.

 

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.

 

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  

 

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 six months ended January 31, 2020, the following table shows the class specific administration fees borne directly by each share class of the Fund:

 

Institutional $ 135,650
Investor A   169,109
Class K   10,296
  $ 315,055

 

N o t e s   t o   F i n a n c i a l   S t a t e m e n t s 25

 

 

Notes to Financial Statements (unaudited) (continued)

 

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 six months ended January 31, 2020, the Fund did not pay any amounts to affiliates in return for these services.

 

The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended January 31, 2020, 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:

 

Institutional $ 739
Class K 76
  $ 815

 

For the six months ended January 31, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

 

Institutional $ 898,367
Investor A   75,307
Class K   593
  $ 974,267

 

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 November 30, 2020. 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. Prior to November 27, 2019, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended January 31, 2020, the amount waived was $5,381.

 

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 November 30, 2020. 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 six months ended January 31, 2020, 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:

 

  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 November 30, 2020 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.

 

For the six months ended January 31, 2020, the Manager waived and/or reimbursed $1,712,562 which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

 

These amounts waived and/or reimbursed are included as administration fees waived — class specific, and transfer agent fees waived and/or reimbursed — class specific respectively, in the Statement of Operations. For the six months ended January 31, 2020, class specific expense waivers and/or reimbursements are as follows: 

 
  Administration Fees Waived
Institutional $ 135,358
Class K   10,296
  $ 145,654
 
  Transfer Agent Fees Waived and/or Reimbursed
Institutional $ 217,359
Class K   592
  $ 217,951

 

With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to

 

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Notes to Financial Statements (unaudited) (continued)

 

exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:

 

(1)the Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year; and

 

(2)the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator.

 

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective December 1, 2019, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund's contractual caps on net expenses was terminated.

 

The following fund level and class specific waivers and/or reimbursements previously recorded by the Fund, which were subject to recoupment by the Manager, expired on December 1, 2019:

 

Fund Level $          1,128,427
Institutional 357,110
Investor A 1,978
Class K 45,116

 

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 six months ended January 31, 2020, 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 Statement of Operations.

 

6.            PURCHASES AND SALES

 

For the six months ended January 31, 2020, purchases and sales of investments, excluding short-term securities, were $1,039,485,087 and $63,560,317, 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 each of the four years ended January 31, 2020. 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 January 31, 2020, 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.

 

As of January 31, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

Tax cost  $4,004,519,587 
Gross unrealized appreciation  $9,090,380 
Gross unrealized depreciation   (60,041)
Net unrealized appreciation  $9,030,339 

 

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 a party to a 364-day, $2.25 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) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate

 

N o t e s   t o   F i n a n c i a l   S t a t e m e n t s 27

 

 

Notes to Financial Statements (unaudited) (continued)

 

(but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2020 unless extended or renewed. Prior to April 18, 2019, Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statement of Operations. 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 six months ended January 31, 2020, 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.

 

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.

 

A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of epidemics and pandemics such as the coronavirus, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. The impact of the outbreak may be short term or may last for an extended period of time.

 

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. 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.

 

Concentration Risk: 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 increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

 

10.        CAPITAL SHARE TRANSACTIONS

 

Transactions in capital shares for each class were as follows:

 

   Six Months Ended
01/31/20
  Year Ended
07/31/19
   Shares  Amount  Shares  Amount
Institutional            
Shares sold   95,475,668   $957,514,514    142,508,870   $1,425,362,403 
Shares issued in reinvestment of distributions   1,423,782    14,283,134    1,079,202    10,802,669 
Shares redeemed   (51,569,290)   (517,182,835)   (39,114,775)   (391,440,840)
Net increase   45,330,160   $454,614,813    104,473,297   $1,044,724,232 
Investor A                    
Shares sold   182,723,288   $1,831,170,990    144,973,662   $1,449,924,963 
Shares issued in reinvestment of distributions   1,608,221    16,120,233    833,852    8,343,868 
Shares redeemed   (64,885,965)   (650,292,253)   (32,339,935)   (323,530,598)
Net increase   119,445,544   $1,196,998,970    113,467,579   $1,134,738,233 
Class K                    
Shares sold   1,525,898   $15,325,569    23,094,460   $231,354,214 
Shares issued in reinvestment of distributions   88,587    889,653    186,813    1,872,728 
Shares redeemed   (5,451,705)   (54,776,117)   (18,345,855)   (183,777,541)
Net increase (decrease)   (3,837,220)  $(38,560,895)   4,935,418   $49,449,401 
Total Net Increase   160,938,484   $1,613,052,888    222,876,294   $2,228,911,866 

 

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Notes to Financial Statements (unaudited) (continued)

 

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.

 

N o t e s   t o   F i n a n c i a l   S t a t e m e n t s 29

 

 

Statement Regarding Liquidity Risk Management Program

 

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

 

The Board of Trustees (the “Board”) of BlackRock FundsSM, on behalf of BlackRock Short Obligations Fund, met on November 12-13, 2019 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the BlackRock open-end funds, excluding money market funds (each, a “Fund”), pursuant to the Liquidity Rule. The Board has appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain Funds, as the program administrator for each Fund’s Program, as applicable. BlackRock has delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the operation of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through September 30, 2019 (the “Program Reporting Period”).

 

The Report described the Program’s liquidity classification methodology for categorizing a Fund's investments (including derivative transactions) into one of four liquidity buckets. It also described BlackRock’s methodology in establishing a Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually.

 

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:

 

A.  The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions: During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a Fund participated in borrowings for investment purposes (such as tender option bonds and reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a Fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.

 

B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: During the Program Reporting Period, the Committee reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size (“RATS”). Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a Fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.

 

C.  Holdings of cash and cash equivalents, as well as borrowing arrangements: The Committee considered the terms of the credit facility applicable to the Funds, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple Funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio and BlackRock Credit Strategies Income Fund, each a series of BlackRock Funds V). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

 

There were no material changes to the Program during the Program Reporting Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 

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Trustee and Officer Information

 

Mark Stalnecker, Chair of the Board and Trustee  
Bruce R. Bond, Trustee  
Susan J. Carter, Trustee  
Collette Chilton, Trustee  
Neil A. Cotty, Trustee  
Lena G. Goldberg, Trustee  
Henry R. Keizer, Trustee  
Cynthia A. Montgomery, Trustee  
Donald C. Opatrny, Trustee  
Joseph P. Platt, Trustee  
Kenneth L. Urish, Trustee  
Claire A. Walton, Trustee  
Robert Fairbairn, Trustee  
John M. Perlowski, Trustee, President And Chief Executive Officer  
Thomas Callahan, Vice President  
Jennifer McGovern, Vice President  
Neal J. Andrews, Chief Financial Officer  
Jay M. Fife, Treasurer  
Charles Parks, Chief Compliance Officer  
Lisa Belle, Anti-Money Laundering Compliance Officer  
Janey Ahn, Secretary  

 

Effective September 19, 2019, Lisa Belle replaced John Mackessy as tha Anti-Money Laundering Compliance Officer of the Trust.
 
Effective September 19, 2019, Janey Ahn replaced Benjamin Archibald as the Secretary of the Trust.
 
Effective December 31, 2019, Robert M. Hernandez retired as Trustee of the Trust.

 

Investment Adviser and Administrator Independent Registered Public Accounting Firm
BlackRock Advisors, LLC PricewaterhouseCoopers LLP
Wilmington, DE 19809 Philadelphia, PA 19103
   
Accounting Agent Distributor
JPMorgan Chase Bank, N.A. BlackRock Investments, LLC
New York, NY 10179 New York, NY 10022
   
Transfer Agent Legal Counsel
BNY Mellon Investment Servicing (US) Inc. Sidley Austin LLP
Wilmington, DE 19809 New York, NY 10019
   
Custodian Address of the Trust
JPMorgan Chase Bank, N.A. 100 Bellevue Parkway
New York, NY 10179 Wilmington, DE 19809

 

T r u s t e e    a n d   O f f i c e r     I n f o r m a t i o n 31

 

 

 

Additional Information

 

General Information

 

Householding

 

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports 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 Funds 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, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund's Forms N-PORT and N-Q are available on the SEC's website at sec.gov. The Fund’s Form N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

 

Availability of Proxy Voting Policies and Procedures

 

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at blackrock.com; and (3) on the SEC's website at sec.gov.

 

Availability of Proxy Voting Record

 

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 upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) 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.

 

32 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Additional Information (continued)

 

BlackRock Privacy Principles

 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguardin 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 right 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 recei applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (ii 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 a respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this 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 m 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.

 

A d d i t i o n a l    I n f o r m a t i o n 33

 

 

 

Glossary of Terms Used in this Report

 

Currency

 

USD United States Dollar

 

Portfolio Abbreviations

 

LIBOR London Interbank Offered Rate
RB Revenue Bonds
SOFR Secured Overnight Financing Rate

 

34 2 0 2 0   B l a c k R o c k   S e m i - A n n u a l   R e p o r t   t o   S h a r e h o l d e r s

 

 

Want to know more?

 

blackrock.com      |     877-275-1255 (1-877-ASK-1BLK)

 

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-1/20-SAR

 

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Item 2 – Code of Ethics – Not Applicable to this semi-annual report

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 – Audit Committee of Listed Registrants – 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 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 – Not Applicable to this semi-annual report

(a)(2) – Section 302 Certifications are attached

2

 

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Section 906 Certifications are attached

3

 

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

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Funds

Date: April 3, 2020

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

Date: April 3, 2020

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Funds

Date: April 3, 2020

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