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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>United Kingdom of Great Britain and Northern Ireland</name>
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        <name>N/A</name>
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        <name>French Republic</name>
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        <name>N/A</name>
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        <name>United Kingdom of Great Britain and Northern Ireland</name>
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        <name>United States of America</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <pctVal>-0.00365411146</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <amtCurSold>2929055.40000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3805048000.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>-8049.42000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Canada</name>
        <lei>4BFD7AQU0A75QLAHK410</lei>
        <title>Canadian Government Bond</title>
        <cusip>135087XQ2</cusip>
        <identifiers>
          <isin value="CA135087XQ21"/>
          <other otherDesc="Inhouse Asset ID" value="135087XQ2"/>
        </identifiers>
        <balance>1697586.88000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.28055000"/>
        <valUSD>1710406.11000000</valUSD>
        <pctVal>0.776455269156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="3127"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-16496.38000000</valUSD>
        <pctVal>-0.00748869002</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>386668000.00000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>2894685.23000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>-16496.38000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810TE8</cusip>
        <identifiers>
          <isin value="US912810TE82"/>
          <other otherDesc="Inhouse Asset ID" value="912810TE8"/>
        </identifiers>
        <balance>117601.12000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>98637.94000000</valUSD>
        <pctVal>0.044777639534</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828XL9</cusip>
        <identifiers>
          <isin value="US912828XL95"/>
          <other otherDesc="Inhouse Asset ID" value="912828XL9"/>
        </identifiers>
        <balance>727216.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>741675.40000000</valUSD>
        <pctVal>0.336690666015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="100329"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-3605.16000000</valUSD>
        <pctVal>-0.00163659698</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Toronto Dominion Bank</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
            </counterparties>
            <amtCurSold>1560000.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>1896162.84000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-02</settlementDt>
            <unrealizedAppr>-3605.16000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>91282CBF7</cusip>
        <identifiers>
          <isin value="US91282CBF77"/>
          <other otherDesc="Inhouse Asset ID" value="91282CBF7"/>
        </identifiers>
        <balance>528862.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>529681.81000000</valUSD>
        <pctVal>0.240454141239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ETRSI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="BRY3GHP54"/>
        </identifiers>
        <balance>1555263050.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="KRW" exchangeRt="1299.10000000"/>
        <valUSD>14529.71000000</valUSD>
        <pctVal>0.006595901302</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Merrill Lynch International</counterpartyName>
              <counterpartyLei>AHYI0DDQ2LCHPGHJC422</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>KOSPI 200 Index Futures</indexName>
                <indexIdentifier>KR4101S90005</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="1555263050.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-09-08</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1555263050.00000000</notionalAmt>
            <curCd>KRW</curCd>
            <unrealizedAppr>14529.71000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="3362"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>64566.07000000</valUSD>
        <pctVal>0.029310387145</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>7480823.96000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>7356000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>64566.07000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>9128285W6</cusip>
        <identifiers>
          <isin value="US9128285W63"/>
          <other otherDesc="Inhouse Asset ID" value="9128285W6"/>
        </identifiers>
        <balance>461882.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>485801.95000000</valUSD>
        <pctVal>0.220534457658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="1989"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-493845.35000000</valUSD>
        <pctVal>-0.22418583628</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>30361065.96000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>38253000.00000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>-493845.35000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United Kingdom of Great Britain and Northern Ireland</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>U.K. Treasury Inflation Linked Bonds</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="GB00B3Y1JG82"/>
          <other otherDesc="Inhouse Asset ID" value="BRSDBR505"/>
        </identifiers>
        <balance>221496.60000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.82115289"/>
        <valUSD>310684.87000000</valUSD>
        <pctVal>0.141038378516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="3469"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-28584.99000000</valUSD>
        <pctVal>-0.01297643055</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>1699000.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1297962.15000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>-28584.99000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828H45</cusip>
        <identifiers>
          <isin value="US912828H458"/>
          <other otherDesc="Inhouse Asset ID" value="912828H45"/>
        </identifiers>
        <balance>1209398.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1221917.56000000</valUSD>
        <pctVal>0.554701203643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>


      <explntrNote note="IBORs are undergoing a change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs). Floating rate swap terms reflected as Libors may be using the RFR to calculate the actual rate." noteItem="C.11.f.i.2"/>

      <explntrNote note="SRATFF-BCC (Barclays Bank PLC): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-2050 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:    AUD - 1D Overnight Reserve Bank of Australia Rate (AONIA) CHF - Swiss Average Rate O/N (SSARON) DKK - 1M Copenhagen Interbank Offer Rate (CIBOR) EUR - 1D Euro Short Term Rate (ESTR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - Overnight Index Average (HONIA) JPY - Provisional 1D Overnight Tokyo Average Rate (TONA) NOK - 1M Norway Interbank Offer Rate (NIBOR) NZD - 1M New Zealand Bank Bill Rate (BBR) SEK - 1M Stockholm Interbank Offer Rate (STIBOR) SGD - Overnight Rate Average (SORA) USD - 1D Overnight Bank Funding Rate (OBFR01) " noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-GSC (Goldman Sachs Bank USA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-2280 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:    AUD - 1D Overnight Reserve Bank of Australia Rate (AONIA) CAD - 1D Overnight Bank of Canada Repo Rate (CORRA) CHF - Swiss Average Rate O/N (SSARON) DKK - Danish Tom/Next Reference Rate (DETNT/N) EUR - 1D Euro Short Term Rate (ESTR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - Overnight Index Average (HONIA) ILS - 1D Overnight Tel Aviv Interbank Offer Rate (TELBOR) JPY - Provisional 1D Overnight Tokyo Average Rate (TONA) NOK - Norwegian Overnight Weighted Average (NOWA) NZD - 1D New Zealand Official Overnight Deposit Rate (NZOCO) SEK - 1D Overnight Stockholm Interbank Offer Rate (STIBOR) SGD - Overnight Rate Average (SORA) USD - 1D Overnight Fed Funds Effective Rate (FEDL01) " noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-MLC (Merrill Lynch International): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 0-70 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:    AUD - 1D Overnight Reserve Bank of Australia Rate (AONIA) Bank of Canada Overnight Rate Target (CABROVER) CHF - Swiss Average Rate O/N (SSARON) DKK - 1W Copenhagen Interbank Swap Rate (CIBOR) EUR - 1D Euro Short Term Rate (ESTR) GBP - 1D Sterling Overnight Index Average (SONIA) ILS - 1M Tel Aviv Interbank Offer Rate (TELBOR) JPY - Provisional 1D Overnight Tokyo Average Rate (TONA) NOK - 1W Norway Interbank Offer Rate (NIBOR) NZD - 1M New Zealand Bank Bill Rate (BBR) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) USD - 1D Overnight Bank Funding Rate (OBFR01) " noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-CTC (Citibank NA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 0-477 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:    AUD - 1D Overnight Reserve Bank of Australia Rate (AONIA) CAD - 1D Overnight Bank of Canada Repo Rate (CORRA) CHF - Swiss Average Rate O/N (SSARON) DKK - 1W Copenhagen Interbank Swap Rate (CIBOR) EUR - 1D Euro Short Term Rate (ESTR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - Overnight Index Average (HONIA) ILS - 1M Tel Aviv Interbank Offer Rate (TELBOR) JPY - Provisional 1D Overnight Tokyo Average Rate (TONA) NOK - 1W Norway Interbank Offer Rate (NIBOR) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) SGD - Overnight Rate Average (SORA) USD - 1D Overnight Bank Funding Rate (OBFR01) " noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-JMC (JPMorgan Chase Bank NA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-35 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:    Bank of Canada Overnight Rate Target (CABROVER) CAD - Overnight Interbank Rate Overnight USD - 1D Overnight Bank Funding Rate (OBFR01) " noteItem="C.11.f.i.1"/>


      <explntrNote note="Monthly returns presented in B.5.a have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
      <explntrNote note="SRATFF-BPC (BNP Paribas): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 0-1200 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:    AUD - 1D Overnight Reserve Bank of Australia Rate (AONIA) Bank of Canada Overnight Rate Target (CABROVER) CHF - Swiss Average Rate O/N (SSARON) DKK - Annualized Overnight Deposit MID Rate EUR - 1D Euro Short Term Rate (ESTR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - Overnight Index Average (HONIA) JPY - 1D Overnight Tokyo Average Rate (TONA) NOK - Norwegian Overnight Weighted Average (NOWA) NZD - 1D New Zealand Official Overnight Deposit Rate (NZOCO) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) SGD - Overnight Rate Average (SORA) USD - 1D Overnight Bank Funding Rate (OBFR01) " noteItem="C.11.f.i.1"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2022-07-31</ncom:dateSigned>
      <ncom:nameOfApplicant>BlackRock Funds</ncom:nameOfApplicant>
      <ncom:signature>Ann Frechette</ncom:signature>
      <ncom:signerName>Ann Frechette</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
