UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-07899 and 811-07885
| Name of Fund: | BlackRock Index Funds, Inc. |
| iShares MSCI EAFE International Index Fund |
| iShares Russell 2000 Small-Cap Index Fund |
| Quantitative Master Series LLC |
| Master Small Cap Index Series |
| Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Index Funds, Inc. and Quantitative Master Series LLC, 55 East 52nd Street, New York, NY 10055
Registrants’ telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2021
Date of reporting period: 06/30/2021
| Item 1 – | Report to Stockholders |
(a) The Report to Shareholders is attached herewith.
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JUNE 30, 2021 |
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2021 Semi-Annual Report (Unaudited)
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BlackRock FundsSM
🌑 iShares Municipal Bond Index Fund
🌑 iShares Short-Term TIPS Bond Index Fund
BlackRock Index Funds, Inc.
🌑 iShares MSCI EAFE International Index Fund
🌑 iShares Russell 2000 Small-Cap Index Fund
| Not FDIC Insured • May Lose Value • No Bank Guarantee | ||
| 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 |
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| Fund Financial Statements: |
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| Series Financial Statements: |
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| Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
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| Fund Summary as of June 30, 2021 | iShares Municipal Bond Index Fund |
Investment Objective
iShares Municipal Bond Index Fund’s (the “Fund”) investment objective is to seek to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the ICE BofA US Municipal Securities Index (the “Underlying Index”).
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2021, the Fund’s Institutional Shares returned 1.22%, Investor A Shares returned 1.09%, Class K Shares returned 1.24%, and Investor P Shares returned 1.09%. The Fund’s benchmark, the ICE BofA US Municipal Securities Index, returned 1.36% for the same period.
Returns for the Fund’s respective share classes differ from the benchmark indexes based on individual share-class expenses.
Describe the market environment.
During the period, market interest rates moved higher with the 10-year U.S. Treasury yield, rising by 52 basis points (0.52%) to 1.45%. Risk assets performed well with COVID-19 continuing to take a backseat as vaccination rates progress and reopening continued across much of the developed world. Inflation continued to pick up with the deadline consumer price index (“CPI”) reaching 5% in the May 2021 report and core CPI reaching 3.80% on a year over year basis.
These record-setting inflation prints continued to fuel market debate as to whether the uptick in inflation is transitory, as much of the increase can be attributed to supply constraints and reopening sensitive components of CPI. The Fed’s June 2021 Federal Open Market Committee (“FOMC”) meeting resulted in no changes to the Fed Funds rate or asset purchase guidance. However, the Fed’s “dot plot” displaying FOMC members’ expectations for the benchmark overnight lending rate signaled that the median forecast is for two interest rate increases in 2023, a moving forward of rate hikes compared to prior forecasts of none in 2023. The announcement precipitated a strong hawkish reaction from investors evidenced by a sharp move higher in Treasury rates and rise in the U.S. dollar. Fed Chair Jerome Powell noted that substantial further progress in employment and inflation readings remain the threshold for tapering asset purchases, and that that stage is “still a ways off” while dropping the phrase it would be “some time” before being reached. A handful of FOMC participants have also advocated for starting the tapering process with mortgage-backed securities (“MBS”) rather than continuing to fuel the hot housing market, while others prefer the simplicity of tapering MBS and U.S. Treasury purchases simultaneously.
The Treasury yield curve flattened over the period as the market brought forward expectations for short term rate hikes and priced in a Fed move that perhaps would tolerate less inflation than previously expected. The U.S. dollar also gained as a result, strengthening 2.9% in June.
Municipal bonds outperformed Treasuries for the duration of the period, supported by the prospect of higher taxes and fiscal stimulus with the Democrats gaining control of the Senate following the January 2021 elections in Georgia.
Describe recent portfolio activity.
During the period, the Fund maintained its objective of seeking to provide investment results that correspond to the total return performance of the Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included transaction costs and maturity.
Describe portfolio positioning at period end.
The Fund remained positioned to attempt to match the risk characteristics of the Index, irrespective of the market’s future direction.
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 | 2 0 2 1 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 June 30, 2021 (continued) | iShares Municipal Bond Index Fund |
Performance Summary for the Period Ended June 30, 2021
| Average Annual Total Returns(a)(b) | ||||||||||||||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||||||||||
| Standardized 30-Day Yields |
Unsubsidized 30-Day Yields |
6-Month Total Returns |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
||||||||||||||||||||||||||||
| Institutional |
0.69 | % | 0.69 | % | 1.22 | % | 4.25 | % | N/A | 3.09 | % | N/A | 3.77 | % | N/A | |||||||||||||||||||||
| Investor A |
0.43 | 0.40 | 1.09 | 3.99 | N/A | 2.95 | N/A | 3.70 | N/A | |||||||||||||||||||||||||||
| Investor P |
0.43 | 0.43 | 1.09 | 3.98 | (0.18 | )% | 2.95 | 2.11 | % | 3.70 | 3.28 | % | ||||||||||||||||||||||||
| Class K |
0.73 | 0.69 | 1.24 | 4.29 | N/A | 3.10 | N/A | 3.78 | N/A | |||||||||||||||||||||||||||
| ICE BofA US Municipal Securities Index(c) |
— | — | 1.36 | 4.64 | N/A | 3.33 | N/A | 4.45 | N/A | |||||||||||||||||||||||||||
| (a) | Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. On November 19, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the State Farm Tax Advantaged Bond Fund (the “Predecessor Fund”), a series of State Farm Mutual Fund Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization. |
| (b) | The Fund generally invests at least 80% of its assets, plus the amount of any borrowings for investment purposes, in securities or other financial instruments that are components of or have economic characteristics similar to the securities in the Underlying Index. |
| (c) | ICE BofA US Municipal Securities Index is an index that tracks the performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| Actual | Hypothetical(a) | |||||||||||||||||||||||||||
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Beginning Account Value (01/01/21) |
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Ending Account Value (06/30/21) |
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Expenses Paid During the Period |
(b) |
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Beginning Account Value (01/01/21) |
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Ending Account Value (06/30/21) |
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Expenses Paid During the Period |
(b) |
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Annualized Expense Ratio |
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| Institutional |
$ 1,000.00 | $ 1,012.20 | $ 1.25 | $ 1,000.00 | $ 1,023.55 | $ 1.25 | 0.25 | % | ||||||||||||||||||||
| Investor A |
1,000.00 | 1,010.90 | 2.49 | 1,000.00 | 1,022.32 | 2.51 | 0.50 | |||||||||||||||||||||
| Investor P |
1,000.00 | 1,010.90 | 2.49 | 1,000.00 | 1,022.32 | 2.51 | 0.50 | |||||||||||||||||||||
| Class K |
1,000.00 | 1,012.40 | 1.00 | 1,000.00 | 1,023.80 | 1.00 | 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 365. |
| (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 181/365 (to reflect the six-month period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
| F U N D S U M M A R Y |
5 |
| Fund Summary as of June 30, 2021 (continued) | iShares Municipal Bond Index Fund |
Portfolio Information
| (a) | Excludes short-term securities. |
| (b) | For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector 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 sector sub-classifications for reporting ease. |
| (c) | Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years. |
| (d) | Rounds to less than 1% of total investments. |
| (e) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (f) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Fund’s total investments. |
| 6 | 2 0 2 1 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 June 30, 2021 | iShares Short-Term TIPS Bond Index Fund |
Investment Objective
iShares Short-Term TIPS Bond Index Fund’s (the “Fund”) investment objective is to seek to track the investment results of an index composed of U.S. 0-5 Year Treasury Inflation-Protected Securities.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2021, the Fund’s Institutional Shares returned 2.71%, Investor A Shares returned 2.57% and Class K Shares returned 2.71%. For the same period, the Fund’s benchmark, the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L), the (“Underlying Index”), returned 2.78%.
Returns for the Fund’s respective share classes differ from the Underlying Index based on individual share-class expenses.
What factors influenced performance?
Prices for Treasury inflation-protected securities (“TIPS”) are influenced by changes in inflation expectations as well as the direction of nominal Treasury yields. For the six-month period, the Bloomberg Barclays US TIPS Index posted a return of 1.73% while the Fund’s benchmark, the Bloomberg Barclays U.S. TIPS 0-5 Years Index, returned 2.78%, with returns for the former index limited by rising longer-term nominal Treasury yields.
April 2021’s month-over-month core consumer price inflation print hit the highest level since the early 1980s, followed by the second-highest print in May 2021. Details showed the drastic increase was supported by unprecedented spikes in subcomponents that are unlikely to be sustained in the long term. However, other core components, such as the Owners’ Equivalent Rent are firming independently of those categories. The labor market recovery also picked up pace as initial jobless claims edged materially lower while the unemployment rate trickled down to 5.8% in May 2021.
The string of positive data shifted the Fed’s stance, as some Federal Open Market Committee (“FOMC”) members began discussing the potential for asset purchase tapering conversations to begin while underscoring that any changes will be communicated well in advance of any action. At the FOMC meeting on June 16, 2021, Fed officials began discussing the process of scaling back bond purchases, and 11 of 18 FOMC members signaled at least two rate hikes by the end of 2023. This was a drastic shift when compared to the Fed’s earlier claims that it would view near-term high inflation readouts as transitory.
Nominal Treasury yields declined in June 2021 as the change in Fed tone overshadowed the market’s reaction to strong inflation data. This resulted in active trading, which inverted the inflation curve, with the five-year breakeven (the inflation rate required to compensate investors for lower TIP yields versus nominal Treasuries) moving above the 10-year.
President Biden announced a bipartisan infrastructure plan in late June 2021. The deal is expected to be worth approximately $1 trillion, well below the initial plan for $2.3 trillion unveiled in March 2021. While the deal’s passage is uncertain, stocks climbed to record highs on the news.
Describe recent portfolio activity.
During the period, the Fund maintained its objective of seeking to provide investment results that correspond to the total return performance of the Underlying Index by selecting securities in accordance with their relative proportion within the Underlying Index. Other factors considered in security selection included transaction costs and maturity.
Describe portfolio positioning at period end.
The Fund remains positioned to attempt to match the risk and return characteristics of the Index, irrespective of the future direction of inflation expectations.
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.
| F U N D S U M M A R Y |
7 |
| Fund Summary as of June 30, 2021 (continued) | iShares Short-Term TIPS Bond Index Fund |
Performance Summary for the Period Ended June 30, 2021
| Average Annual Total Returns(a)(b) | ||||||||||||||||
| |
6-Month Total Returns |
|
1 Year | 5 Years | |
Since Inception |
(c) | |||||||||
| Institutional |
2.71 | % | 5.75 | % | 2.74 | % | 3.00 | % | ||||||||
| Investor A |
2.57 | 5.54 | 2.47 | 2.74 | ||||||||||||
| Class K |
2.71 | 5.80 | 2.76 | 3.03 | ||||||||||||
| Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L)(d) |
2.78 | 5.95 | 2.84 | 3.11 | ||||||||||||
| (a) | Average annual total returns reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related fees. |
| (b) | The Fund generally invests at least 90% of its assets, plus the amount of any borrowing for investment purposes, in securities of the Underlying Index. From time to time when conditions warrant, however, the Fund may invest at least 80% of its assets in securities of the Underlying Index. The Fund may invest a portion of the remainder of its assets in securities not included in the Underlying Index, but which BlackRock Advisors, LLC believes will help the Fund track the Underlying Index. |
| (c) | The Fund commenced operations on February 16, 2016. |
| (d) | Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L) measures the performance of the inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of less than five years. |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| Actual | Hypothetical(a) | |||||||||||||||||||||||||||||||
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Beginning Account Value (01/01/21) |
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Ending Account Value (06/30/21) |
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Expenses Paid During the Period |
(b) |
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Beginning Account Value (01/01/21) |
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Ending Account Value (06/30/21) |
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Expenses Paid During the Period |
(b) |
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Annualized Expense Ratio |
| ||||||||||||
| Institutional |
$ 1,000.00 | $ 1,027.10 | $ 0.30 | $ 1,000.00 | $ 1,024.50 | $ 0.30 | 0.06 | % | ||||||||||||||||||||||||
| Investor A |
1,000.00 | 1,025.70 | 1.81 | 1,000.00 | 1,023.01 | 1.81 | 0.36 | |||||||||||||||||||||||||
| Class K |
1,000.00 | 1,027.10 | 0.30 | 1,000.00 | 1,024.50 | 0.30 | 0.06 | |||||||||||||||||||||||||
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
| (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 181/365 (to reflect the six-month period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
| 8 | 2 0 2 1 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 June 30, 2021 | iShares MSCI EAFE International Index Fund |
Investment Objective
iShares MSCI EAFE International Index Fund’s (the “Fund”) investment objective is to match the performance of the MSCI EAFE Index (Europe, Australasia, Far East) (the “MSCI EAFE Index”) in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2021, the Fund’s Institutional Shares returned 8.92%, Investor A Shares returned 8.78%, Class K Shares returned 8.99%, and Investor P Shares returned 8.81%. The benchmark MSCI EAFE Index returned 8.83% for the same period.
Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses.
Describe the market environment.
The vaccination rollout in developed markets during the first quarter of 2021 boosted optimism for a global economic recovery. However, the reappearance of high numbers of daily COVID-19 cases across Europe weighed down on the general sentiment, especially as social restrictions were tightened again across Europe.
Energy was the best performing sector of the MSCI EAFE Index. This was primarily due to oil, as prices increased given a surge in demand while OPEC left production levels unchanged, and the Suez Canal blockage raised concern about the delivery of oil. Financials also posted strong positive returns across regions, extending the rally from November 2020, supported by rising hopes of a sustainable opening of the economy. The consumer discretionary sector also rallied over the first quarter, including car makers in Europe that announced environmentally friendly expansion plans.
European countries including Sweden and Norway were the strongest performers in the MSCI EAFE Index in the first quarter of 2021, while U.K. equities were the biggest contributor to the overall return, extending the rally since late November 2020. In the Asia-Pacific region, Japanese equities posted a positive return over the first quarter of 2021 supported by higher-than- expected quarterly earnings results and by the low daily new COVID-19 cases recorded across the country, but trailed other Asian-Pacific markets including Australia, Hong Kong and Singapore.
After a relatively slow start in the second quarter of 2021, the vaccination rate across developed markets picked up, leading to more economic activities restarting. The prospect for strong growth, signaled by strong economic data, also boosted European equities over the quarter. Strong corporate earnings in Europe supported market performance as companies benefited from a combination of demand recovery and supply constraints. Services increased over the quarter, as the ease of Covid-19 restrictions helped fuel higher demand. However, despite the improving economic outlook, the European Central Bank policy makers signaled that it was still too soon to withdraw stimulus measures, while despite the Bank of England announcing its plans to slow its quantitative easing program.
In Japan, a consistent increase in COVID-19 cases led the government to extend the state of emergency until June 20, 2021. While the market performance was initially weighed down by the slow vaccination campaign, the market began to rally in the second quarter of 2021 as the government rolled out mass vaccination efforts throughout the country. The Japanese equity market started to recover by the end of May, but investors’ concerns over the low vaccination rate persisted, resulting in slight negative performance for the quarter.
Most of the Global Industry Classification sectors within the MSCI EAFE Index posted positive returns over the second quarter of 2021. Health care, consumer staples, and information technology were the best performers, while utilities, communication services and energy were among the lowest performers.
Describe recent portfolio activity.
During the six-month period, as changes were made to the composition of the MSCI EAFE Index, the Fund purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.
Describe portfolio positioning at period end.
The Fund remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.
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.
| F U N D S U M M A R Y |
9 |
| Fund Summary as of June 30, 2021 (continued) | iShares MSCI EAFE International Index Fund |
Performance Summary for the Period Ended June 30, 2021
| Average Annual Total Returns(a)(b) | ||||||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||
| 6-Month Total Returns |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
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| Institutional |
8.92 | % | 32.06 | % | N/A | 10.20 | % | N/A | 5.74 | % | N/A | |||||||||||||||||
| Investor A |
8.78 | 31.65 | N/A | 9.91 | N/A | 5.46 | N/A | |||||||||||||||||||||
| Investor P |
8.81 | 31.64 | 24.73 | % | 9.92 | 8.74 | % | 5.47 | 4.91 | % | ||||||||||||||||||
| Class K |
8.99 | 32.06 | N/A | 10.26 | N/A | 5.79 | N/A | |||||||||||||||||||||
| MSCI EAFE Index(c) |
8.83 | 32.35 | N/A | 10.28 | N/A | 5.89 | N/A | |||||||||||||||||||||
| (a) | Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. |
| (b) | Prior to August 1, 2016, the Fund invested all of its assets in Master International Index Series, a series of Quantitative Master Series LLC. Master International Index Series invested in a statistically selected sample of equity securities included in the MSCI EAFE Index and in derivative instruments linked to the MSCI EAFE Index. On August 1, 2016, the Fund ceased to invest in the Master International Index Series as part of a “master/feeder” structure and instead began to operate as a stand-alone fund. |
| (c) | A free float adjusted, market capitalization weighted index designed to measure equity performance of developed markets, excluding the United States and Canada. |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| Actual | Hypothetical(a) | |||||||||||||||||||||||||||
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Beginning Account Value (01/01/21) |
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Ending Account Value (06/30/21) |
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Expenses Paid During the Period |
(b) |
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Beginning Account Value (01/01/21) |
|
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Ending Account Value (06/30/21) |
|
|
Expenses Paid During the Period |
(b) |
|
Annualized Expense Ratio |
| ||||||||
| Institutional |
$ 1,000.00 | $ 1,089.20 | $ 0.47 | $ 1,000.00 | $ 1,024.35 | $ 0.45 | 0.09 | % | ||||||||||||||||||||
| Investor A |
1,000.00 | 1,087.80 | 1.76 | 1,000.00 | 1,023.11 | 1.71 | 0.34 | |||||||||||||||||||||
| Investor P |
1,000.00 | 1,088.10 | 1.76 | 1,000.00 | 1,023.11 | 1.71 | 0.34 | |||||||||||||||||||||
| Class K |
1,000.00 | 1,089.90 | 0.21 | 1,000.00 | 1,024.60 | 0.20 | 0.04 | |||||||||||||||||||||
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
| (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 181/365 (to reflect the six-month period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
| 10 | 2 0 2 1 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 June 30, 2021 (continued) | iShares MSCI EAFE International Index Fund |
Portfolio Information
| (a) | Rounds to less than 1% of net assets. |
| # | Includes holdings within countries that are 1% or less of net assets. Please refer to the Schedule of Investments for such countries. |
| F U N D S U M M A R Y |
11 |
| Fund Summary as of June 30, 2021 | iShares Russell 2000 Small-Cap Index Fund |
Investment Objective
iShares Russell 2000 Small-Cap Index Fund’s (the “Fund”) investment objective is to match the performance of the Russell 2000® Index as closely as possible before the deduction of Fund expenses.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2021, the Fund’s Institutional Shares returned 17.44%, Investor A Shares returned 17.30%, Class K Shares returned 17.48%, and Investor P Shares returned 17.32%. The benchmark Russell 2000® Index returned 17.54% for the same period.
Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in Master Small Cap Index Series (the “Series”), a series of Quantitative Master Series LLC.
Describe the market environment.
Following the strong end to 2020, favorable market conditions continued with signs of a sooner-than-expected economic activity restart. Monetary conditions remained supportive, as the Fed signaled a continuing environment of low interest rates. With both the Senate and Congress passing a new $1.9 trillion stimulus package, and the United States starting to lead in the COVID-19 vaccine rollout, optimism continued to rise for strong economic growth in the first quarter of 2021. Despite the heightened volatility at the beginning of the quarter related to retail trading activity, the positive news about the stimulus package and the potential infrastructure bill soothed the market and supported a positive return over the quarter.
Over the second quarter of 2021, the U.S. equity market rallied as the COVID-19 vaccination campaign continued to accelerate, and as more signs emerged for a sooner-than-expected economic activity restart. The U.S. Consumer Price Index (a measure of the average change overtime in the prices paid by consumers for a market basket of consumer goods and services) increased by more than 4% (over the one-year period as of April 2021), which raised questions on whether this surge was sparked by temporary factors at play. However, inflation concerns and the Fed’s cautious optimism about the recovery muted the market rally in May 2021. In June 2021, the U.S. equity market extended its rally, supported by the prospect of more fiscal stimulus, as President Joe Biden reached a bipartisan $1 trillion agreement for infrastructure spending. The domestic markets continued climbing in June, as Fed commentary eased investors’ worries about the potential for tightening monetary policy too quickly. Furthermore, U.S. economic data over the second quarter of 2021 was generally very strong.
Describe recent portfolio activity.
During the six-month period, as changes were made to the composition of the Russell 2000® Index, the Series purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.
The Fund had a slightly elevated cash position at period end, which had no material impact on performance.
Describe portfolio positioning at period end.
The Series remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.
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.
Performance Summary for the Period Ended June 30, 2021
| Average Annual Total Returns(a)(b) | ||||||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||
| 6-Month Total Returns |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
Without Sales Charge |
With Sales Charge |
||||||||||||||||||||||
| Institutional |
17.44 | % | 61.86 | % | N/A | 16.43 | % | N/A | 12.30 | % | N/A | |||||||||||||||||
| Investor A |
17.30 | 61.49 | N/A | 16.16 | N/A | 12.04 | N/A | |||||||||||||||||||||
| Investor P |
17.32 | 61.47 | 52.99 | % | 16.15 | 14.90 | % | 12.03 | 11.43 | % | ||||||||||||||||||
| Class K |
17.48 | 61.88 | N/A | 16.50 | N/A | 12.38 | N/A | |||||||||||||||||||||
| Russell 2000® Index(c) |
17.54 | 62.03 | N/A | 16.47 | N/A | 12.34 | N/A | |||||||||||||||||||||
| (a) | Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. |
| (b) | The Fund invests all of its assets in the Series. The Series may invest in a statistically selected sample of the stocks included in the Russell 2000® Index and in derivative instruments linked to the Russell 2000® Index. |
| (c) | An unmanaged index that is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. |
N/A — Not applicable as the share class and index do not have a sales charge.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
| 12 | 2 0 2 1 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 June 30, 2021 (continued) | iShares Russell 2000 Small-Cap Index Fund |
Expense Example
| Actual | Hypothetical(a) | |||||||||||||||||||||||||||
|
|
Beginning Account Value (01/01/21) |
|
|
Ending Account Value (06/30/21) |
|
|
Expenses Paid During the Period |
(b) |
|
Beginning Account Value (01/01/21) |
|
|
Ending Account Value (06/30/21) |
|
|
Expenses Paid During the Period |
(b) |
|
Annualized Expense Ratio |
| ||||||||
| Institutional |
$ 1,000.00 | $ 1,174.40 | $ 0.65 | $ 1,000.00 | $ 1,024.20 | $ 0.60 | 0.12 | % | ||||||||||||||||||||
| Investor A |
1,000.00 | 1,173.00 | 1.99 | 1,000.00 | 1,022.96 | 1.86 | 0.37 | |||||||||||||||||||||
| Investor P |
1,000.00 | 1,173.20 | 1.99 | 1,000.00 | 1,022.96 | 1.86 | 0.37 | |||||||||||||||||||||
| Class K |
1,000.00 | 1,174.80 | 0.38 | 1,000.00 | 1,024.45 | 0.35 | 0.07 | |||||||||||||||||||||
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
| (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 181/365 (to reflect the six-month period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
| F U N D S U M M A R Y |
13 |
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.
On November 19, 2018, the iShares Municipal Bond Index Fund acquired all of the assets and assumed certain stated liabilities, of the State Farm Tax Advantaged Bond Fund (the “Predecessor Fund”), a series of State Farm Mutual Fund Trust, in a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. Accordingly, information provided herein for periods prior to the Reorganization is that of the Predecessor Fund. See Note 1 of the Notes to Financial Statements for additional information regarding the Reorganization.
Institutional and Class K Shares performance of iShares Municipal Bond Index Fund shown prior to the Institutional and Class K Shares inception date of November 19, 2018 is that of Investor A Shares, which reflect the performance of Premier Shares of the Predecessor Fund. The performance of iShares Municipal Bond Index Fund’s Institutional and Class K Shares would be substantially similar to Investor A Shares because Institutional Shares, Class K Shares and Investor A Shares invest in the same portfolio of securities and performance would only differ to the extent that Institutional Shares, Class K Shares and Investor A Shares have different expenses. The actual returns of Institutional and Class K Shares would have been higher than those of the Investor A Shares because Institutional and Class K Shares have lower expenses than the Investor A Shares.
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. These shares are generally available through financial intermediaries. Investor A Shares performance of iShares Municipal Bond Index Fund shown prior to the Reorganization is that of the Premier Shares of the Predecessor Fund.
Investor P Shares (available in iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund) 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). These shares are only available to investors purchasing shares through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund’s distributor to offer such shares. Investor P Share performance of iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund shown prior to the Investor P Shares inception date of August 6, 2018 is that of Institutional Shares (which have no distribution or service fees) and was restated to reflect Investor P Shares fees.
Investor P Shares (available in iShares Municipal Bond Index Fund) are subject to a maximum initial sales charge (front-end load) of 4.00% 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 only available to investors purchasing shares through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with the Fund’s distributor to offer such shares. Investor P Shares performance shown prior to the Reorganization is that of the Premier Shares of the Predecessor Fund.
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of the Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables 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”), each Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waiver(s) and/or reimbursement(s), each Fund’s performance would have been lower. With respect to each Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.
The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.
Shareholders of each 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 examples shown (which are based on a
| 14 | 2 0 2 1 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 |
Disclosure of Expenses (continued)
hypothetical investment of $1,000 invested on January 1, 2021 and held through June 30, 2021) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide 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 examples also provide information about hypothetical account values and hypothetical expenses based on a 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 these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are 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 Funds 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 Funds’ 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 a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S |
15 |
| Schedule of Investments (unaudited) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| 16 | 2 0 2 1 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) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Transportation (continued) |
||||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB (continued) |
||||||||
| Series A, AMT, 4.00%, 05/01/49 |
$ | 1,000 | $ | 1,147,837 | ||||
| San Joaquin Hills Transportation Corridor Agency, Refunding RB, Series A, Senior Lien, 5.00%, 01/15/34 |
1,000 | 1,136,722 | ||||||
|
|
|
|||||||
| 9,404,002 | ||||||||
| Utilities — 4.0% |
||||||||
| City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, 5.00%, 11/01/35 |
1,305 | 1,589,090 | ||||||
| East Bay Municipal Utility District Water System Revenue, Refunding RB, Series B, 5.00%, 06/01/33 |
1,435 | 1,783,648 | ||||||
| Los Angeles Department of Water & Power Power System Revenue, RB, Series D, 5.00%, 07/01/44 |
1,500 | 1,693,949 | ||||||
| Los Angeles Department of Water & Power Power System Revenue, Refunding RB |
||||||||
| Series A, 5.00%, 07/01/30 |
1,500 | 1,733,909 | ||||||
| Series A, 5.00%, 07/01/37 |
1,000 | 1,245,522 | ||||||
| Sacramento Municipal Utility District, RB, Series A, 5.00%, 08/15/41 |
575 | 628,569 | ||||||
| Sacramento Municipal Utility District, Refunding RB, Series X, 5.00%, 08/15/26 |
1,500 | 1,508,683 | ||||||
| San Diego Public Facilities Financing Authority, Refunding RB, Series A, Subordinate, 5.00%, 08/01/43 |
500 | 627,056 | ||||||
| San Francisco City & County Public Utilities Commission Wastewater Revenue, Refunding RB, Series B, 4.00%, 10/01/42 |
1,500 | 1,558,375 | ||||||
| State of California Department of Water Resources, Refunding RB, Series AW, 5.00%, 12/01/26(a) |
1,000 | 1,239,453 | ||||||
|
|
|
|||||||
| 13,608,254 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds in California |
69,960,982 | |||||||
| Colorado — 2.3% |
||||||||
| County/City/Special District/School District — 0.9% |
| |||||||
| City & County of Denver Colorado, Refunding RB, Series A, 4.00%, 08/01/46 |
1,500 | 1,686,846 | ||||||
| El Paso County School District No. 20 Academy, Refunding GO, (SAW), 4.00%, 12/15/24 |
1,350 | 1,372,945 | ||||||
|
|
|
|||||||
| 3,059,791 | ||||||||
| Health — 0.3% |
||||||||
| Colorado Health Facilities Authority, Refunding RB, Series A, 5.00%, 08/01/44 |
1,000 | 1,242,450 | ||||||
|
|
|
|||||||
| State — 0.2% |
||||||||
| State of Colorado, COP, Series N, 4.00%, 03/15/43 |
500 | 576,660 | ||||||
|
|
|
|||||||
| Transportation — 0.5% |
||||||||
| City & County of Denver Colorado Airport System Revenue, Refunding ARB, Series A, AMT, 5.00%, 12/01/35 |
1,000 | 1,246,164 | ||||||
| E-470 Public Highway Authority, Refunding RB, Series A, 5.00%, 09/01/40 |
400 | 452,525 | ||||||
|
|
|
|||||||
| 1,698,689 | ||||||||
| Security | Par (000) |
Value | ||||||
| Utilities — 0.4% |
||||||||
| Board of Water Commissioners City & County of Denver, RB, Series A, 4.00%, 12/15/26 |
$ | 1,230 | $ | 1,250,789 | ||||
|
|
|
|||||||
| Total Municipal Bonds in Colorado |
7,828,379 | |||||||
|
|
|
|||||||
| Connecticut — 2.1% |
||||||||
| Health — 0.3% |
||||||||
| Connecticut State Health & Educational Facilities Authority, Refunding RB, 5.00%, 12/01/45 |
1,000 | 1,197,895 | ||||||
|
|
|
|||||||
| State — 1.8% |
||||||||
| State of Connecticut Special Tax Revenue, RB |
||||||||
| Series A, 5.00%, 09/01/24 |
400 | 458,780 | ||||||
| Series A, 5.00%, 10/01/29 |
725 | 796,888 | ||||||
| Series A, 4.00%, 05/01/36 |
1,000 | 1,208,640 | ||||||
| Series A, 4.00%, 09/01/36 |
430 | 489,606 | ||||||
| State of Connecticut, GO |
||||||||
| Series A, 5.00%, 10/15/23 |
850 | 942,234 | ||||||
| Series A, 5.00%, 10/15/27 |
400 | 441,063 | ||||||
| Series B, 5.00%, 06/15/28 |
400 | 469,542 | ||||||
| Series B, 4.00%, 06/15/33 |
850 | 949,326 | ||||||
| State of Connecticut, Refunding GO, Series B, 5.00%, 05/15/25 |
250 | 293,893 | ||||||
|
|
|
|||||||
| 6,049,972 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds in Connecticut |
7,247,867 | |||||||
| District of Columbia — 1.9% |
||||||||
| State — 0.5% |
||||||||
| District of Columbia, GO |
||||||||
| Series D, 5.00%, 06/01/26 |
500 | 609,626 | ||||||
| Series D, 4.00%, 06/01/34 |
1,000 | 1,174,033 | ||||||
|
|
|
|||||||
| 1,783,659 | ||||||||
| Transportation — 0.5% |
||||||||
| Washington Metropolitan Area Transit Authority, RB, Series A, 4.00%, 07/15/45 |
1,500 | 1,796,671 | ||||||
|
|
|
|||||||
| Utilities — 0.9% |
||||||||
| District of Columbia Water & Sewer Authority, Refunding RB |
||||||||
| Sub-Series A, 5.00%, 10/01/45 |
1,510 | 1,759,565 | ||||||
| Series C, Sub-Lien, 5.00%, 10/01/44 |
1,000 | 1,134,445 | ||||||
|
|
|
|||||||
| 2,894,010 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds in District of Columbia |
6,474,340 | |||||||
| Florida — 2.7% |
||||||||
| County/City/Special District/School District — 0.7% |
| |||||||
| County of Miami-Dade Florida Transit System, RB, Series A, 4.00%, 07/01/50 |
1,500 | 1,781,501 | ||||||
| School Board of Miami-Dade County, Refunding COP, Series D, 5.00%, 02/01/27 |
500 | 596,952 | ||||||
|
|
|
|||||||
| 2,378,453 | ||||||||
| State — 0.3% |
||||||||
| State of Florida, Refunding GO, Series A, 5.00%, 07/01/25 |
1,000 | 1,181,986 | ||||||
|
|
|
|||||||
| Transportation — 1.7% |
||||||||
| Central Florida Expressway Authority, Refunding RB, Series B, Senior Lien, 5.00%, 07/01/33 |
1,000 | 1,207,557 | ||||||
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
17 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| 18 | 2 0 2 1 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) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
19 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| 20 | 2 0 2 1 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) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
21 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares Municipal Bond Index Fund (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/21 |
Shares Held at 06/30/21 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class |
$ | 4,146,259 | $ | — | $ | (822,369 | )(a) | $ | 1,592 | $ | (1,597 | ) | $ | 3,323,885 | 3,323,221 | $ | 160 | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| 22 | 2 0 2 1 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) June 30, 2021 |
iShares Municipal Bond Index Fund |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Municipal Bonds |
$ | — | $ | 331,981,527 | $ | — | $ | 331,981,527 | ||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
3,323,885 | — | — | 3,323,885 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 3,323,885 | $ | 331,981,527 | $ | — | $ | 335,305,412 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
23 |
| Schedule of Investments (unaudited) June 30, 2021 |
iShares Short-Term TIPS Bond Index Fund (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/21 |
Shares Held at 06/30/21 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 2,084,465 | $ | 833,366 | (a) | $ | — | $ | — | $ | — | $ | 2,917,831 | 2,917,831 | $ | 198 | (b) | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| U.S. Treasury Obligations |
$ | — | $ | 80,875,642 | $ | — | $ | 80,875,642 | ||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
2,917,831 | — | — | 2,917,831 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 2,917,831 | $ | 80,875,642 | $ | — | $ | 83,793,473 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 24 | 2 0 2 1 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) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
25 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| 26 | 2 0 2 1 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) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
| Germany (continued) | ||||||||
| Siemens Energy AG(a) |
178,096 | $ | 5,364,795 | |||||
| Siemens Healthineers AG(c) |
121,342 | 7,439,867 | ||||||
| Symrise AG |
57,178 | 7,968,138 | ||||||
| TeamViewer AG(a)(c) |
71,424 | 2,682,466 | ||||||
| Telefonica Deutschland Holding AG |
461,416 | 1,218,010 | ||||||
| Uniper SE |
41,010 | 1,510,943 | ||||||
| United Internet AG, Registered Shares |
48,127 | 1,968,252 | ||||||
| Volkswagen AG |
14,500 | 4,765,647 | ||||||
| Vonovia SE |
241,030 | 15,576,685 | ||||||
| Zalando SE(a)(c) |
95,486 | 11,545,507 | ||||||
|
|
|
|||||||
| 662,093,326 | ||||||||
| Hong Kong — 2.9% | ||||||||
| AIA Group Ltd. |
5,421,483 | 67,256,614 | ||||||
| Bank of East Asia Ltd. |
587,187 | 1,090,535 | ||||||
| BOC Hong Kong Holdings Ltd. |
1,678,034 | 5,687,376 | ||||||
| CK Asset Holdings Ltd. |
899,089 | 6,188,441 | ||||||
| CK Infrastructure Holdings Ltd. |
295,844 | 1,762,318 | ||||||
| CLP Holdings Ltd. |
738,761 | 7,301,057 | ||||||
| ESR Cayman Ltd.(a)(c) |
891,600 | 3,006,243 | ||||||
| Galaxy Entertainment Group Ltd.(a) |
974,058 | 7,788,650 | ||||||
| Hang Lung Properties Ltd. |
927,565 | 2,249,611 | ||||||
| Hang Seng Bank Ltd.(d) |
345,448 | 6,890,899 | ||||||
| Henderson Land Development Co. Ltd. |
652,774 | 3,089,088 | ||||||
| HK Electric Investments & HK Electric Investments Ltd., Class SS(b) |
1,218,116 | 1,234,353 | ||||||
| HKT Trust & HKT Ltd., Class SS(b) |
1,717,417 | 2,339,250 | ||||||
| Hong Kong & China Gas Co. Ltd.(d) |
5,028,383 | 7,807,691 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
523,143 | 31,142,562 | ||||||
| Hongkong Land Holdings Ltd. |
519,893 | 2,475,955 | ||||||
| Jardine Matheson Holdings Ltd. |
97,086 | 6,205,687 | ||||||
| Link REIT(d) |
934,443 | 9,041,052 | ||||||
| Melco Resorts & Entertainment Ltd., ADR(a) |
97,594 | 1,617,133 | ||||||
| MTR Corp. Ltd.(d) |
695,033 | 3,869,940 | ||||||
| New World Development Co. Ltd. |
688,824 | 3,572,206 | ||||||
| Power Assets Holdings Ltd. |
619,618 | 3,802,011 | ||||||
| Sino Land Co. Ltd. |
1,445,975 | 2,279,483 | ||||||
| SJM Holdings Ltd.(a) |
889,053 | 970,465 | ||||||
| Sun Hung Kai Properties Ltd. |
584,088 | 8,680,683 | ||||||
| Swire Pacific Ltd., Class A |
222,200 | 1,505,538 | ||||||
| Swire Properties Ltd. |
541,936 | 1,614,252 | ||||||
| Techtronic Industries Co. Ltd. |
619,631 | 10,798,288 | ||||||
| WH Group Ltd.(c) |
4,342,607 | 3,897,932 | ||||||
| Wharf Real Estate Investment Co. Ltd. |
751,245 | 4,367,018 | ||||||
| Xinyi Glass Holdings Ltd. |
840,000 | 3,422,538 | ||||||
|
|
|
|||||||
| 222,954,869 | ||||||||
| Ireland — 1.0% | ||||||||
| CRH PLC |
351,906 | 17,796,349 | ||||||
| Experian PLC |
411,188 | 15,875,618 | ||||||
| Flutter Entertainment PLC(a) |
74,603 | 13,527,481 | ||||||
| James Hardie Industries PLC |
197,698 | 6,708,304 | ||||||
| Kerry Group PLC, Class A |
71,128 | 9,944,446 | ||||||
| Kingspan Group PLC |
69,374 | 6,556,760 | ||||||
| Smurfit Kappa Group PLC |
109,434 | 5,951,383 | ||||||
|
|
|
|||||||
| 76,360,341 | ||||||||
| Isle of Man — 0.1% | ||||||||
| Entain PLC(a) |
260,689 | 6,299,187 | ||||||
|
|
|
|||||||
| Israel — 0.6% | ||||||||
| Azrieli Group Ltd. |
18,223 | 1,284,019 | ||||||
| Bank Hapoalim BM(a) |
515,238 | 4,136,648 | ||||||
| Bank Leumi Le-Israel BM(a) |
638,782 | 4,853,927 | ||||||
| Security | Shares | Value | ||||||
| Israel (continued) | ||||||||
| Check Point Software Technologies Ltd.(a) |
49,995 | $ | 5,805,919 | |||||
| CyberArk Software Ltd.(a) |
17,536 | 2,284,415 | ||||||
| Elbit Systems Ltd. |
11,595 | 1,502,094 | ||||||
| ICL Group Ltd. |
317,967 | 2,157,556 | ||||||
| Isracard Ltd.(a) |
1 | 3 | ||||||
| Israel Discount Bank Ltd., Class A(a) |
528,238 | 2,516,436 | ||||||
| Mizrahi Tefahot Bank Ltd.(a) |
62,020 | 1,910,499 | ||||||
| Nice Ltd.(a) |
27,942 | 6,897,018 | ||||||
| Teva Pharmaceutical Industries Ltd., ADR(a)(d) |
489,632 | 4,847,357 | ||||||
| Wix.com Ltd.(a)(d) |
25,137 | 7,296,768 | ||||||
|
|
|
|||||||
| 45,492,659 | ||||||||
| Italy — 2.0% | ||||||||
| Amplifon SpA |
55,843 | 2,761,085 | ||||||
| Assicurazioni Generali SpA |
494,526 | 9,928,449 | ||||||
| Atlantia SpA(a) |
219,640 | 3,988,225 | ||||||
| Davide Campari-Milano NV |
256,494 | 3,438,094 | ||||||
| DiaSorin SpA |
11,224 | 2,123,757 | ||||||
| Enel SpA |
3,645,770 | 33,879,661 | ||||||
| Eni SpA |
1,124,472 | 13,709,040 | ||||||
| Ferrari NV |
56,217 | 11,605,784 | ||||||
| FinecoBank Banca Fineco SpA(a) |
270,017 | 4,712,153 | ||||||
| Infrastrutture Wireless Italiane SpA(c) |
147,172 | 1,661,933 | ||||||
| Intesa Sanpaolo SpA |
7,403,247 | 20,479,869 | ||||||
| Mediobanca Banca di Credito
Finanziario |
279,305 | 3,267,910 | ||||||
| Moncler SpA |
86,081 | 5,835,253 | ||||||
| Nexi SpA(a)(c) |
196,265 | 4,312,973 | ||||||
| Poste Italiane SpA(c) |
234,290 | 3,100,957 | ||||||
| Prysmian SpA |
114,186 | 4,097,685 | ||||||
| Recordati Industria Chimica e Farmaceutica SpA |
46,383 | 2,653,212 | ||||||
| Snam SpA |
905,108 | 5,235,824 | ||||||
| Telecom Italia SpA/Milano |
7,108,601 | 3,623,883 | ||||||
| Terna SPA |
629,331 | 4,693,352 | ||||||
| UniCredit SpA |
954,712 | 11,287,269 | ||||||
|
|
|
|||||||
| 156,396,368 | ||||||||
| Japan — 22.8% | ||||||||
| ABC-Mart, Inc. |
14,535 | 835,988 | ||||||
| Acom Co. Ltd. |
169,054 | 737,642 | ||||||
| Advantest Corp. |
88,600 | 7,955,111 | ||||||
| Aeon Co. Ltd. |
290,346 | 7,794,263 | ||||||
| AGC, Inc. |
85,648 | 3,587,831 | ||||||
| Aisin Corp. |
71,846 | 3,080,574 | ||||||
| Ajinomoto Co., Inc. |
209,854 | 5,451,928 | ||||||
| ANA Holdings, Inc.(a) |
68,311 | 1,605,452 | ||||||
| Asahi Group Holdings Ltd. |
204,702 | 9,567,509 | ||||||
| Asahi Intecc Co. Ltd. |
93,500 | 2,235,446 | ||||||
| Asahi Kasei Corp. |
558,668 | 6,140,420 | ||||||
| Astellas Pharma, Inc. |
830,043 | 14,464,877 | ||||||
| Azbil Corp. |
54,800 | 2,270,732 | ||||||
| Bandai Namco Holdings, Inc. |
89,004 | 6,159,911 | ||||||
| Bridgestone Corp. |
255,941 | 11,633,124 | ||||||
| Brother Industries Ltd. |
105,763 | 2,112,448 | ||||||
| Canon, Inc. |
446,748 | 10,097,379 | ||||||
| Capcom Co. Ltd. |
78,400 | 2,291,523 | ||||||
| Casio Computer Co. Ltd. |
86,581 | 1,452,797 | ||||||
| Central Japan Railway Co. |
64,740 | 9,837,273 | ||||||
| Chiba Bank Ltd. |
243,570 | 1,472,135 | ||||||
| Chubu Electric Power Co., Inc. |
287,211 | 3,513,923 | ||||||
| Chugai Pharmaceutical Co. Ltd. |
299,630 | 11,876,310 | ||||||
| Concordia Financial Group Ltd. |
487,970 | 1,793,182 | ||||||
| Cosmos Pharmaceutical Corp. |
9,100 | 1,337,068 | ||||||
| CyberAgent, Inc. |
179,316 | 3,840,422 | ||||||
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
27 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| 28 | 2 0 2 1 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) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
29 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| 30 | 2 0 2 1 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) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
31 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares MSCI EAFE International Index Fund (Percentages shown are based on Net Assets) |
| 32 | 2 0 2 1 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) June 30, 2021 |
iShares MSCI EAFE International Index Fund |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/21 |
Shares Held at 06/30/21 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 30,455,641 | $ | — | $ | (1,608,882 | )(a) | $ | 2,870 | $ | (3,056 | ) | $ | 28,846,573 | 28,829,276 | $ | 106,964 | (b) | $ | — | ||||||||||||||||
| BlackRock Cash Funds: Treasury, SL Agency Shares |
28,526,482 | — | (24,243,115 | )(a) | — | — | 4,283,367 | 4,283,367 | 1,290 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 2,870 | $ | (3,056 | ) | $ | 33,129,940 | $ | 108,254 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Contracts |
||||||||||||||||
| Nikkei 225 Index |
173 | 09/09/21 | $ | 22,377 | $ | (192,032 | ) | |||||||||
| SPI 200 Index |
96 | 09/16/21 | 13,001 | (90,936 | ) | |||||||||||
| Euro Stoxx 50 Index |
735 | 09/17/21 | 35,345 | (598,457 | ) | |||||||||||
| FTSE 100 Index |
209 | 09/17/21 | 20,181 | (305,560 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | (1,186,985 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Liabilities — Derivative Financial Instruments |
|
|||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | 1,186,985 | $ | — | $ | — | $ | — | $ | 1,186,985 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements 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 June 30, 2021, the effect of derivative financial instruments in the Statements 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 |
$ | — | $ | — | $ | 6,331,054 | $ | — | $ | — | $ | — | $ | 6,331,054 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | (2,088,971 | ) | $ | — | $ | — | $ | — | $ | (2,088,971 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Average Quarterly Balances of Outstanding Derivative Financial Instruments |
| Futures contracts |
||||
| Average notional value of contracts — long |
$ | 110,886,105 | ||
| F U N D S C H E D U L E S O F I N V E S T M E N T S |
33 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
iShares MSCI EAFE International Index Fund |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | 2,675,583 | $ | 558,159,198 | $ | — | $ | 560,834,781 | ||||||||
| Austria |
— | 14,775,188 | — | 14,775,188 | ||||||||||||
| Belgium |
1,328,826 | 64,410,192 | — | 65,739,018 | ||||||||||||
| Chile |
— | 3,558,290 | — | 3,558,290 | ||||||||||||
| China |
4,018,421 | 7,390,570 | — | 11,408,991 | ||||||||||||
| Denmark |
4,201,013 | 192,109,251 | — | 196,310,264 | ||||||||||||
| Finland |
— | 96,564,540 | — | 96,564,540 | ||||||||||||
| France |
— | 848,527,133 | — | 848,527,133 | ||||||||||||
| Germany |
— | 662,093,326 | — | 662,093,326 | ||||||||||||
| Hong Kong |
2,707,668 | 220,247,201 | — | 222,954,869 | ||||||||||||
| Ireland |
— | 76,360,341 | — | 76,360,341 | ||||||||||||
| Isle of Man |
— | 6,299,187 | — | 6,299,187 | ||||||||||||
| Israel |
20,234,459 | 25,258,200 | — | 45,492,659 | ||||||||||||
| Italy |
— | 156,396,368 | — | 156,396,368 | ||||||||||||
| Japan |
3,135,414 | 1,755,908,350 | — | 1,759,043,764 | ||||||||||||
| Jordan |
— | 2,603,523 | — | 2,603,523 | ||||||||||||
| Luxembourg |
— | 22,439,235 | — | 22,439,235 | ||||||||||||
| Macau |
— | 5,763,799 | — | 5,763,799 | ||||||||||||
| Malta |
— | — | 11 | 11 | ||||||||||||
| Netherlands |
— | 426,747,139 | — | 426,747,139 | ||||||||||||
| New Zealand |
— | 24,135,824 | — | 24,135,824 | ||||||||||||
| Norway |
1,858,523 | 45,841,801 | — | 47,700,324 | ||||||||||||
| Poland |
1,799,276 | — | — | 1,799,276 | ||||||||||||
| Portugal |
8,649,048 | 2,475,324 | 1 | 11,124,373 | ||||||||||||
| Singapore |
1,695,930 | 76,285,525 | — | 77,981,455 | ||||||||||||
| Spain |
2,992,835 | 186,145,293 | — | 189,138,128 | ||||||||||||
| Sweden |
15,217,263 | 251,636,766 | — | 266,854,029 | ||||||||||||
| Switzerland |
9,757,822 | 768,251,182 | — | 778,009,004 | ||||||||||||
| United Arab Emirates |
— | — | 1 | 1 | ||||||||||||
| United Kingdom |
9,072,932 | 960,426,039 | — | 969,498,971 | ||||||||||||
| Preferred Securities |
||||||||||||||||
| Preferred Stocks |
— | 46,656,698 | — | 46,656,698 | ||||||||||||
| Rights |
156,451 | — | — | 156,451 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
33,129,940 | — | — | 33,129,940 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 122,631,404 | $ | 7,507,465,483 | $ | 13 | $ | 7,630,096,900 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Liabilities |
||||||||||||||||
| Equity Contracts |
$ | (1,186,985 | ) | $ | — | $ | — | $ | (1,186,985 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| 34 | 2 0 2 1 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 |
Statements of Assets and Liabilities (unaudited)
June 30, 2021
| iShares Municipal Bond Index Fund |
iShares Short-Term TIPS Bond Index Fund |
iShares MSCI EAFE International Index Fund |
iShares Russell 2000 Small-Cap Index Fund |
|||||||||||||
|
|
||||||||||||||||
| ASSETS |
||||||||||||||||
| Investments, at value — unaffiliated(a)(b) |
$ | 331,981,527 | $ | 80,875,642 | $ | 7,596,966,960 | $ | — | ||||||||
| Investments, at value — Master Small Cap Index Series |
— | — | — | 3,355,158,806 | ||||||||||||
| Investments, at value — affiliated(c) |
3,323,885 | 2,917,831 | 33,129,940 | — | ||||||||||||
| Cash pledged for futures contracts |
— | — | 6,741,086 | — | ||||||||||||
| Foreign currency, at value(d) |
— | — | 70,538,455 | — | ||||||||||||
| Receivables: |
||||||||||||||||
| Securities lending income — affiliated |
— | 39 | 34,614 | — | ||||||||||||
| Capital shares sold |
118,424 | 79,931 | 12,279,005 | 7,854,821 | ||||||||||||
| Dividends — unaffiliated |
— | — | 23,413,113 | — | ||||||||||||
| Dividends — affiliated |
— | — | 40 | — | ||||||||||||
| Interest — unaffiliated |
3,748,089 | 105,860 | — | — | ||||||||||||
| From the Manager |
— | 12,024 | — | — | ||||||||||||
| Variation margin on futures contracts |
— | — | 6,913 | — | ||||||||||||
| Prepaid expenses |
31,907 | 33,714 | 15,186 | 69,563 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total assets |
339,203,832 | 84,025,041 | 7,743,125,312 | 3,363,083,190 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| Collateral on securities loaned, at value |
— | — | 28,867,849 | — | ||||||||||||
| Payables: |
||||||||||||||||
| Investments purchased |
— | 1,252,444 | — | — | ||||||||||||
| Administration fees |
— | — | 262,257 | 109,700 | ||||||||||||
| Capital shares redeemed |
143,716 | 149,813 | 13,765,810 | 6,511,757 | ||||||||||||
| Contributions to the Master Portfolio |
— | — | — | 1,343,064 | ||||||||||||
| Income dividend distributions |
6,817 | 6,638 | — | — | ||||||||||||
| Investment advisory fees |
27,766 | — | 64,090 | — | ||||||||||||
| Directors’ and Officer’s fees |
3,444 | 3,098 | 34,449 | 304 | ||||||||||||
| Other accrued expenses |
118,220 | 75,552 | 368,727 | 248,901 | ||||||||||||
| Professional fees |
75,910 | — | 61,733 | — | ||||||||||||
| Service fees |
68,138 | 241 | 112,559 | 131,231 | ||||||||||||
| Variation margin on futures contracts |
— | — | 511,941 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total liabilities |
444,011 | 1,487,786 | 44,049,415 | 8,344,957 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 338,759,821 | $ | 82,537,255 | $ | 7,699,075,897 | $ | 3,354,738,233 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS CONSIST OF |
||||||||||||||||
| Paid-in capital |
$ | 310,854,397 | $ | 80,795,432 | $ | 6,375,467,261 | $ | 2,161,158,853 | ||||||||
| Accumulated earnings |
27,905,424 | 1,741,823 | 1,323,608,636 | 1,193,579,380 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 338,759,821 | $ | 82,537,255 | $ | 7,699,075,897 | $ | 3,354,738,233 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) Investments, at cost — unaffiliated |
$ | 304,551,420 | $ | 79,029,303 | $ | 5,200,680,120 | $ | — | ||||||||
| (b) Securities loaned, at value |
$ | — | $ | — | $ | 27,016,374 | $ | — | ||||||||
| (c) Investments, at cost — affiliated |
$ | 3,323,885 | $ | 2,917,831 | $ | 33,119,449 | $ | — | ||||||||
| (d) Foreign currency, at cost |
$ | — | $ | — | $ | 71,924,827 | $ | — | ||||||||
| F U N D F I N A N C I A L S T A T E M E N T S |
35 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2021
| iShares Municipal Bond Index Fund |
iShares Short-Term TIPS Bond Index Fund |
iShares MSCI EAFE International Index Fund |
iShares Russell 2000 Small-Cap Index Fund |
|||||||||||||
|
|
||||||||||||||||
| NET ASSET VALUE |
||||||||||||||||
| Institutional |
||||||||||||||||
| Net assets |
$ | 8,619,611 | $ | 16,445,977 | $ | 1,056,854,654 | $ | 504,781,355 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares outstanding |
701,422 | 1,582,647 | 66,109,275 | 17,767,070 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value |
$ | 12.29 | $ | 10.39 | $ | 15.99 | $ | 28.41 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares authorized |
Unlimited | Unlimited | 1.208 billion | 208 million | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Par value |
$ | 0.001 | $ | 0.001 | $ | 0.0001 | $ | 0.0001 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor A |
||||||||||||||||
| Net assets |
$ | 24,031,133 | $ | 1,209,653 | $ | 380,503,956 | $ | 249,862,913 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares outstanding |
1,955,332 | 115,993 | 23,988,008 | 8,796,011 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value |
$ | 12.29 | $ | 10.43 | $ | 15.86 | $ | 28.41 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares authorized |
Unlimited | Unlimited | 208 million | 208 million | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Par value |
$ | 0.001 | $ | 0.001 | $ | 0.0001 | $ | 0.0001 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor P |
||||||||||||||||
| Net assets |
$ | 306,002,065 | N/A | $ | 153,817,352 | $ | 375,265,526 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares outstanding |
24,898,827 | N/A | 9,730,803 | 13,253,143 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value |
$ | 12.29 | N/A | $ | 15.81 | $ | 28.32 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares authorized |
Unlimited | N/A | 2 billion | 2 billion | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Par value |
$ | 0.001 | N/A | $ | 0.0001 | $ | 0.0001 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class K |
||||||||||||||||
| Net assets |
$ | 107,012 | $ | 64,881,625 | $ | 6,107,899,935 | $ | 2,224,828,439 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares outstanding |
8,707 | 6,220,846 | 381,623,924 | 78,054,827 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value |
$ | 12.29 | $ | 10.43 | $ | 16.01 | $ | 28.50 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares authorized |
Unlimited | Unlimited | 1.208 billion | 1.208 billion | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Par value |
$ | 0.001 | $ | 0.001 | $ | 0.0001 | $ | 0.0001 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 36 | 2 0 2 1 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 |
Statements of Operations (unaudited)
Six Months Ended June 30, 2021
| iShares Municipal Bond Index Fund |
iShares Short-Term TIPS Bond Index Fund |
iShares MSCI EAFE International Index Fund |
iShares Russell 2000 Small-Cap Index Fund |
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends — unaffiliated |
|
$ | — | $ | — | $ | 128,343,844 | $ | — | |||||||||||||||||||||
| Dividends — affiliated |
160 | 149 | 1,290 | — | ||||||||||||||||||||||||||
| Interest — unaffiliated |
4,555,755 | 1,371,387 | — | — | ||||||||||||||||||||||||||
| Securities lending income — affiliated — net |
— | 49 | 106,964 | — | ||||||||||||||||||||||||||
| Non-cash dividends — unaffiliated |
— | — | 7,424,272 | — | ||||||||||||||||||||||||||
| Foreign withholding tax claims |
— | — | 175,914 | — | ||||||||||||||||||||||||||
| Foreign taxes withheld |
— | — | (12,098,420 | ) | — | |||||||||||||||||||||||||
| Net investment income allocated from the Master Small Cap Index Series: |
||||||||||||||||||||||||||||||
| Dividends — unaffiliated |
— | — | — | 10,494,704 | ||||||||||||||||||||||||||
| Dividends — affiliated |
— | — | — | 56,492 | ||||||||||||||||||||||||||
| Interest - unaffliated |
— | — | — | 460 | ||||||||||||||||||||||||||
| Securities lending income — affiliated — net |
— | — | — | 646,591 | ||||||||||||||||||||||||||
| Foreign taxes withheld |
— | — | — | (46,626 | ) | |||||||||||||||||||||||||
| Expenses |
— | — | — | (272,795 | ) | |||||||||||||||||||||||||
| Fees waived |
— | — | — | 12,375 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total investment income |
4,555,915 | 1,371,585 | 123,953,864 | 10,891,201 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Service — class specific |
414,753 | 1,860 | 649,857 | 815,068 | ||||||||||||||||||||||||||
| Investment advisory |
169,764 | 3,405 | 362,811 | — | ||||||||||||||||||||||||||
| Transfer agent — class specific |
101,470 | 5,453 | — | 417,834 | ||||||||||||||||||||||||||
| Professional |
59,664 | 45,385 | 58,792 | 38,526 | ||||||||||||||||||||||||||
| Registration |
38,862 | 26,580 | — | 57,192 | ||||||||||||||||||||||||||
| Printing and postage |
10,627 | 17,584 | — | 13,856 | ||||||||||||||||||||||||||
| Directors and Officer |
4,567 | 4,262 | 38,582 | 425 | ||||||||||||||||||||||||||
| Accounting services |
4,525 | 4,502 | — | 2,503 | ||||||||||||||||||||||||||
| Custodian |
2,075 | 660 | — | — | ||||||||||||||||||||||||||
| Administration |
— | — | — | 631,055 | ||||||||||||||||||||||||||
| Administration — class specific |
— | — | 1,483,710 | — | ||||||||||||||||||||||||||
| Miscellaneous |
34,711 | 7,137 | 550 | 9,140 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total expenses |
841,018 | 116,828 | 2,594,302 | 1,985,599 | ||||||||||||||||||||||||||
| Less: |
||||||||||||||||||||||||||||||
| Fees waived and/or reimbursed by the Administrator |
— | — | — | (2,705 | ) | |||||||||||||||||||||||||
| Fees waived and/or reimbursed by the Manager |
(2,274 | ) | (89,026 | ) | (103,260 | ) | — | |||||||||||||||||||||||
| Transfer agent fees waived and/or reimbursed — class specific |
(7,415 | ) | (5,020 | ) | — | (88,999 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed | 831,329 | 22,782 | 2,491,042 | 1,893,895 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income | 3,724,586 | 1,348,803 | 121,462,822 | 8,997,306 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net realized gain (loss) from: |
||||||||||||||||||||||||||||||
| Investments — unaffiliated |
(29,892 | ) | 10,058 | (3,034,016 | ) | — | ||||||||||||||||||||||||
| Investments — affiliated |
1,592 | — | 2,870 | — | ||||||||||||||||||||||||||
| Foreign currency transactions |
— | — | (3,297,314 | ) | — | |||||||||||||||||||||||||
| Futures contracts |
— | — | 6,331,054 | — | ||||||||||||||||||||||||||
| Net realized gain (loss) allocated from the Master Small Cap Index Series from: |
||||||||||||||||||||||||||||||
| Investments |
— | — | — | 198,537,483 | ||||||||||||||||||||||||||
| Investments — affiliated |
— | — | — | 2,620,746 | ||||||||||||||||||||||||||
| Futures contracts |
— | — | — | 2,814,225 | ||||||||||||||||||||||||||
| Swaps |
— | — | — | 641,321 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (28,300 | ) | 10,058 | 2,594 | 204,613,775 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| F U N D F I N A N C I A L S T A T E M E N T S |
37 |
Statements of Operations (unaudited) (continued)
Six Months Ended June 30, 2021
| iShares Municipal Bond Index Fund |
|
|
iShares Short-Term TIPS Bond Index Fund |
|
|
iShares MSCI EAFE International Index Fund |
|
|
iShares Russell 2000 Small-Cap Index Fund |
| ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) on: |
|
|||||||||||||||||||||||||||||||||||||
| Investments — unaffiliated |
$ | (78,504 | ) | $ | 487,495 | $ | 496,953,520 | $ | — | |||||||||||||||||||||||||||||
| Investments — affiliated |
(1,597 | ) | — | (3,056 | ) | — | ||||||||||||||||||||||||||||||||
| Foreign currency translations |
— | — | (3,377,389 | ) | — | |||||||||||||||||||||||||||||||||
| Futures contracts |
— | — | (2,088,971 | ) | — | |||||||||||||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) allocated from Master Small Cap Index Series on: |
||||||||||||||||||||||||||||||||||||||
| Investments |
— | — | — | 271,004,667 | ||||||||||||||||||||||||||||||||||
| Investments — affiliated |
— | — | — | (412,294 | ) | |||||||||||||||||||||||||||||||||
| Futures contracts |
— | — | — | (232,156 | ) | |||||||||||||||||||||||||||||||||
| Swaps |
— | — | — | (132,624 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (80,101 | ) | 487,495 | 491,484,104 | 270,227,593 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(108,401 | ) | 497,553 | 491,486,698 | 474,841,368 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 3,616,185 | $ | 1,846,356 | $ | 612,949,520 | $ | 483,838,674 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
See notes to financial statements.
| 38 | 2 0 2 1 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 |
Statements of Changes in Net Assets (unaudited)
| iShares Municipal Bond Index Fund | iShares Short-Term TIPS Bond Index Fund |
|||||||||||||||||||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended 12/31/20 |
Six Months Ended 06/30/21 (unaudited) |
Year Ended 12/31/20 |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||
| Net investment income |
$ | 3,724,586 | $ | 7,731,382 | $ | 1,348,803 | $ | 489,933 | ||||||||||||||||||
| Net realized gain (loss) |
(28,300 | ) | 767,093 | 10,058 | (17,788 | ) | ||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) |
(80,101 | ) | 7,265,897 | 487,495 | 1,249,446 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net increase in net assets resulting from operations |
3,616,185 | 15,764,372 | 1,846,356 | 1,721,591 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||||||||||||
| Institutional |
(91,544 | ) | (79,249 | ) | (294,258 | ) | (161,714 | ) | ||||||||||||||||||
| Investor A |
(250,468 | ) | (555,959 | ) | (21,971 | ) | (7,803 | ) | ||||||||||||||||||
| Investor P |
(3,324,313 | ) | (7,699,970 | ) | — | — | ||||||||||||||||||||
| Class K |
(1,294 | ) | (2,823 | ) | (1,032,574 | ) | (322,417 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Decrease in net assets resulting from distributions to shareholders |
(3,667,619 | ) | (8,338,001 | ) | (1,348,803 | ) | (491,934 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||
| Net increase (decrease) in net assets derived from capital share transactions |
(7,497,423 | ) | (19,069,783 | ) | 22,479,813 | 40,760,633 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||
| Total increase (decrease) in net assets |
(7,548,857 | ) | (11,643,412 | ) | 22,977,366 | 41,990,290 | ||||||||||||||||||||
| Beginning of period |
346,308,678 | 357,952,090 | 59,559,889 | 17,569,599 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| End of period |
$ | 338,759,821 | $ | 346,308,678 | $ | 82,537,255 | $ | 59,559,889 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| F U N D F I N A N C I A L S T A T E M E N T S |
39 |
Statements of Changes in Net Assets (unaudited) (continued)
| iShares MSCI EAFE International Index Fund | iShares Russell 2000 Small-Cap Index Fund | |||||||||||||||||||||||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended 12/31/20 |
Six Months Ended 06/30/21 (unaudited) |
Year Ended 12/31/20 |
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||
| Net investment income |
$ | 121,462,822 | $ | 145,663,273 | $ | 8,997,306 | $ | 25,488,135 | ||||||||||||||||||||||
| Net realized gain (loss) |
2,594 | (319,994,595 | ) | 204,613,775 | (3,821,572 | ) | ||||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) |
491,484,104 | 250,780,805 | 270,227,593 | 449,403,875 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net increase in net assets resulting from operations |
612,949,520 | 76,449,483 | 483,838,674 | 471,070,438 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||||||||||||||||
| Institutional |
— | (18,981,824 | ) | — | (4,630,689 | ) | ||||||||||||||||||||||||
| Investor A |
(37 | ) | (6,032,650 | ) | (32 | ) | (3,073,130 | ) | ||||||||||||||||||||||
| Investor P |
— | (2,476,048 | ) | — | (3,977,992 | ) | ||||||||||||||||||||||||
| Class K |
— | (100,271,486 | ) | — | (26,461,320 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Decrease in net assets resulting from distributions to shareholders |
(37 | ) | (127,762,008 | ) | (32 | ) | (38,143,131 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||
| Net increase (decrease) in net assets derived from capital share transactions |
439,109,402 | (1,539,505,451 | ) | 116,603,813 | 17,181,682 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||
| Total increase (decrease) in net assets |
1,052,058,885 | (1,590,817,976 | ) | 600,442,455 | 450,108,989 | |||||||||||||||||||||||||
| Beginning of period |
6,647,017,012 | 8,237,834,988 | 2,754,295,778 | 2,304,186,789 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| End of period |
$ | 7,699,075,897 | $ | 6,647,017,012 | $ | 3,354,738,233 | $ | 2,754,295,778 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
(a) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
See notes to financial statements.
| 40 | 2 0 2 1 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 |
(For a share outstanding throughout each period)
| iShares Municipal Bond Index Fund | ||||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Period from |
|||||||||||||||||||||||||||||||||
| Year Ended December 31, | 11/19/18 | (a) | ||||||||||||||||||||||||||||||||
|
2020 |
2019 |
to 12/31/18 | ||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.48 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net investment income(b) |
0.15 | 0.30 | 0.30 | 0.04 | ||||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.00 | )(c) | 0.29 | 0.56 | 0.14 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net increase from investment operations |
0.15 | 0.59 | 0.86 | 0.18 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Distributions(d) |
||||||||||||||||||||||||||||||||||
| From net investment income |
(0.15 | ) | (0.30 | ) | (0.30 | ) | (0.04 | ) | ||||||||||||||||||||||||||
| From net realized gain |
— | (0.02 | ) | (0.13 | ) | (0.03 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total distributions |
(0.15 | ) | (0.32 | ) | (0.43 | ) | (0.07 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net asset value, end of period |
$ | 12.29 | $ | 12.29 | $ | 12.02 | $ | 11.59 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||
| Based on net asset value |
1.22 | %(f) | 4.97 | % | 7.52 | % | 1.56 | %(f) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Ratios to Average Net Assets(g) |
||||||||||||||||||||||||||||||||||
| Total expenses |
0.25 | %(h) | 0.23 | % | 0.30 | %(i) | 0.32 | %(h)(j)(k) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.25 | %(h) | 0.22 | % | 0.23 | %(i) | 0.17 | %(h)(j)(k) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net investment income |
2.43 | %(h) | 2.46 | % | 2.49 | % | 2.74 | %(h) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 8,620 | $ | 6,115 | $ | 477 | $ | 101 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Portfolio turnover rate |
4 | % | 8 | % | 24 | % | 3 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Commencement of operations. |
| ||||||||||||||||||||||||||||||||
| (b) | Based on average shares outstanding. |
| ||||||||||||||||||||||||||||||||
| (c) | Amount is greater than $(0.005) per share. |
| ||||||||||||||||||||||||||||||||
| (d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| ||||||||||||||||||||||||||||||||
| (e) | Where applicable, assumes the reinvestment of distributions. |
| ||||||||||||||||||||||||||||||||
| (f) | Aggregate total return. |
| ||||||||||||||||||||||||||||||||
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| ||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Period from |
|||||||||||||||||||||||||||||||||
| Year Ended December 31, | 11/19/18 | (a) | ||||||||||||||||||||||||||||||||
|
2020
|
2019 |
to 12/31/18 | ||||||||||||||||||||||||||||||||
| Investments in underlying funds |
— | % | — | % | 0.01 | % | 0.01 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (h) | Annualized. | |||||||||||||||||
| (i) | Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.24% and 0.23%, respectively. | |||||||||||||||||
| (j) | Reorganization and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.69% and 0.21%, respectively. | |||||||||||||||||
| (k) | Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.26% and 0.16%, respectively. | |||||||||||||||||
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
41 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Municipal Bond Index Fund (continued) | ||||||||||||||||||||||||||||||
| Investor A | ||||||||||||||||||||||||||||||
|
|
Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, | ||||||||||||||||||||||||||||
| 2020 | 2019 | 2018 | (a) | 2017 | 2016 | (b) | ||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.81 | $ | 11.68 | $ | 11.90 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net investment income(c) |
0.13 | 0.27 | 0.27 | 0.39 | 0.31 | 0.28 | ||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.00 | )(d) | 0.29 | 0.56 | (0.25 | ) | 0.13 | (0.22 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net increase from investment operations |
0.13 | 0.56 | 0.83 | 0.14 | 0.44 | 0.06 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions(e) |
||||||||||||||||||||||||||||||
| From net investment income |
(0.13 | ) | (0.27 | ) | (0.27 | ) | (0.31 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||||||||
| From net realized gain |
— | (0.02 | ) | (0.13 | ) | (0.05 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total distributions |
(0.13 | ) | (0.29 | ) | (0.40 | ) | (0.36 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net asset value, end of period |
$ | 12.29 | $ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.81 | $ | 11.68 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(f) |
||||||||||||||||||||||||||||||
| Based on net asset value |
1.09 | %(g) | 4.70 | % | 7.24 | % | 1.24 | % | 3.83 | % | 0.48 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Ratios to Average Net Assets(h) |
||||||||||||||||||||||||||||||
| Total expenses |
0.53 | %(i) | 0.50 | % | 0.62 | %(j) | 0.77 | %(k) | 0.56 | % | 0.56 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.50 | %(i) | 0.48 | % | 0.50 | %(j) | 0.41 | %(k) | 0.37 | % | 0.56 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net investment income |
2.18 | %(i) | 2.22 | % | 2.25 | % | 3.36 | % | 2.61 | % | 2.35 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 24,031 | $ | 23,315 | $ | 23,805 | $ | 25,418 | $ | 396,544 | $ | 435,948 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Portfolio turnover rate |
4 | % | 8 | % | 24 | % | 3 | % | 1 | % | 8 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (a) | On November 19, 2018, State Farm Tax Advantaged Bond Fund was reorganized into the Fund. The activity in the table above is for the accounting survivor, State Farm Tax Advantaged Bond Fund Premier Class, for the periods prior to the date of the reorganization, and for the post-reorganization combined fund thereafter. |
| ||||||||||||||||||||||||||||
| (b) | Effective May 23, 2016, Legacy Class A shares were renamed Premier shares. |
| ||||||||||||||||||||||||||||
| (c) | Based on average shares outstanding. |
| ||||||||||||||||||||||||||||
| (d) | Amount is greater than $(0.005) per share. |
| ||||||||||||||||||||||||||||
| (e) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| ||||||||||||||||||||||||||||
| (f) | Where applicable, assumes the reinvestment of distributions. |
| ||||||||||||||||||||||||||||
| (g) | Aggregate total return. |
| ||||||||||||||||||||||||||||
| (h) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| ||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, | |||||||||||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
| Investments in underlying funds |
— | % | — | % | 0.01 | % | 0.01 | % | — | % | — | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (i) | Annualized. |
| ||||||||||||||||||||||||||||
| (j) | Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.56% and 0.50%, respectively. |
| ||||||||||||||||||||||||||||
| (k) | Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively. |
| ||||||||||||||||||||||||||||
See notes to financial statements.
| 42 | 2 0 2 1 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)
| iShares Municipal Bond Index Fund (continued) | ||||||||||||||||||||||||||||
| Investor P | ||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
||||||||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||||||||
|
|
2020 |
|
|
2019 |
|
|
2018 |
(a) |
|
2017 |
|
|
2016 |
(b) | ||||||||||||||
| Net asset value, beginning of period |
$ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.81 | $ | 11.68 | $ | 11.90 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income(c) |
0.13 | 0.27 | 0.27 | 0.39 | 0.31 | 0.28 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.00 | )(d) | 0.29 | 0.56 | (0.25 | ) | 0.13 | (0.22 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net increase from investment operations |
0.13 | 0.56 | 0.83 | 0.14 | 0.44 | 0.06 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Distributions(e) |
||||||||||||||||||||||||||||
| From net investment income |
(0.13 | ) | (0.27 | ) | (0.27 | ) | (0.31 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||||||
| From net realized gain |
— | (0.02 | ) | (0.13 | ) | (0.05 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total distributions |
(0.13 | ) | (0.29 | ) | (0.40 | ) | (0.36 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net asset value, end of period |
$ | 12.29 | $ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.81 | $ | 11.68 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total Return(f) |
||||||||||||||||||||||||||||
| Based on net asset value |
1.09 | %(g) | 4.69 | % | 7.25 | % | 1.24 | % | 3.83 | % | 0.48 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Ratios to Average Net Assets(h) |
||||||||||||||||||||||||||||
| Total expenses |
0.50 | %(i) | 0.50 | % | 0.53 | %(j) | 0.77 | %(k) | 0.56 | % | 0.56 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.50 | %(i) | 0.49 | % | 0.50 | %(j) | 0.41 | %(k) | 0.37 | % | 0.56 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income |
2.19 | %(i) | 2.21 | % | 2.26 | % | 3.35 | % | 2.61 | % | 2.35 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 306,002 | $ | 316,772 | $ | 333,565 | $ | 352,137 | $ | 396,544 | $ | 435,948 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Portfolio turnover rate |
4 | % | 8 | % | 24 | % | 3 | % | 1 | % | 8 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (a) | On November 19, 2018, State Farm Tax Advantaged Bond Fund was reorganized into the Fund. The activity in the table above is for the accounting survivor, State Farm Tax Advantaged Bond Fund Premier Class, for the periods prior to the date of the reorganization, and for the post-reorganization combined fund thereafter. |
| ||||||||||||||||||||||||||
| (b) | Effective May 23, 2016, Legacy Class A shares were renamed Premier shares. |
| ||||||||||||||||||||||||||
| (c) | Based on average shares outstanding. |
| ||||||||||||||||||||||||||
| (d) | Amount is greater than $(0.005) per share. |
| ||||||||||||||||||||||||||
| (e) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| ||||||||||||||||||||||||||
| (f) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| ||||||||||||||||||||||||||
| (g) | Aggregate total return. |
| ||||||||||||||||||||||||||
| (h) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| ||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
||||||||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||
| Investments in underlying funds |
— | % | — | % | 0.01 | % | 0.01 | % | — | % | — | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| (i) | Annualized. |
| ||||||||||||||||||||||||||
| (j) | Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.47% and 0.50%, respectively. |
| ||||||||||||||||||||||||||
| (k) | Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively. |
| ||||||||||||||||||||||||||
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
43 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Municipal Bond Index Fund (continued) | ||||||||||||||||||||||||||||||||||
| Class K | ||||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Period from |
|||||||||||||||||||||||||||||||||
| Year Ended December 31, | 11/19/18 | (a) | ||||||||||||||||||||||||||||||||
|
2020 |
2019 |
to 12/31/18 | ||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 12.29 | $ | 12.02 | $ | 11.59 | $ | 11.48 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net investment income(b) |
0.15 | 0.30 | 0.30 | 0.04 | ||||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.00 | )(c) | 0.29 | 0.56 | 0.14 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net increase from investment operations |
0.15 | 0.59 | 0.86 | 0.18 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Distributions(d) |
||||||||||||||||||||||||||||||||||
| From net investment income |
(0.15 | ) | (0.30 | ) | (0.30 | ) | (0.04 | ) | ||||||||||||||||||||||||||
| From net realized gain |
— | (0.02 | ) | (0.13 | ) | (0.03 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total distributions |
(0.15 | ) | (0.32 | ) | (0.43 | ) | (0.07 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net asset value, end of period |
$ | 12.29 | $ | 12.29 | $ | 12.02 | $ | 11.59 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||
| Based on net asset value |
1.24 | %(f) | 5.00 | % | 7.57 | % | 1.57 | %(f) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Ratios to Average Net Assets(g) |
||||||||||||||||||||||||||||||||||
| Total expenses |
0.23 | %(h) | 0.24 | % | 0.27 | %(i) | 0.33 | %(h)(j)(k) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.20 | %(h) | 0.20 | % | 0.20 | %(i) | 0.16 | %(h)(j)(k) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Net investment income |
2.48 | %(h) | 2.50 | % | 2.55 | % | 2.74 | %(h) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 107 | $ | 107 | $ | 105 | $ | 101 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Portfolio turnover rate |
4 | % | 8 | % | 24 | % | 3 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Commencement of operations. |
| ||||||||||||||||||||||||||||||||
| (b) | Based on average shares outstanding. |
| ||||||||||||||||||||||||||||||||
| (c) | Amount is greater than $(0.005) per share. |
| ||||||||||||||||||||||||||||||||
| (d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| ||||||||||||||||||||||||||||||||
| (e) | Where applicable, assumes the reinvestment of distributions. |
| ||||||||||||||||||||||||||||||||
| (f) | Aggregate total return. |
| ||||||||||||||||||||||||||||||||
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| ||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 |
Period from |
|||||||||||||||||||||||||||||||||
| Year Ended December 31, | 11/19/18 | (a) | ||||||||||||||||||||||||||||||||
| 2020 | 2019 | to 12/31/18 | ||||||||||||||||||||||||||||||||
| Investments in underlying funds |
— | % | — | % | 0.01 | % | 0.01 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (h) | Annualized. | |||||||||||||||||
| (i) | Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.21% and 0.20%, respectively. | |||||||||||||||||
| (j) | Reorganization and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.20%, respectively. | |||||||||||||||||
| (k) | Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.27% and 0.15%, respectively. | |||||||||||||||||
See notes to financial statements.
| 44 | 2 0 2 1 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)
| iShares Short-Term TIPS Bond Index Fund | ||||||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Period from |
|||||||||||||||||||||||||||||||||||
| Year Ended December 31, |
02/16/16 | (a) | ||||||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
to 12/31/16 | ||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 10.30 | $ | 9.98 | $ | 9.74 | $ | 9.95 | $ | 10.05 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Net investment income(b) |
0.18 | 0.25 | 0.15 | 0.22 | 0.16 | 0.17 | ||||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.10 | 0.23 | 0.30 | (0.16 | ) | (0.08 | ) | 0.08 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Net increase from investment operations |
0.28 | 0.48 | 0.45 | 0.06 | 0.08 | 0.25 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||||||||
| From net investment income |
(0.19 | ) | (0.16 | ) | (0.21 | ) | (0.26 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||||||||||||||
| From net realized gain |
— | (0.00 | )(d) | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||||
| Return of capital |
— | — | — | — | (0.00 | )(d) | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total distributions |
(0.19 | ) | (0.16 | ) | (0.21 | ) | (0.27 | ) | (0.18 | ) | (0.20 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Net asset value, end of period |
$ | 10.39 | $ | 10.30 | $ | 9.98 | $ | 9.74 | $ | 9.95 | $ | 10.05 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||||
| Based on net asset value |
2.71 | %(f) | 4.89 | % | 4.66 | % | 0.56 | % | 0.88 | % | 2.49 | %(f) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||||||||
| Total expenses |
0.33 | %(g) | 0.55 | % | 3.24 | % | 4.96 | % | 5.07 | % | 18.22 | %(g)(h) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.06 | %(g) | 0.07 | % | 0.11 | % | 0.09 | % | 0.08 | % | 0.09 | %(g) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Net investment income |
3.56 | %(g) | 2.51 | % | 1.47 | % | 2.19 | % | 1.64 | % | 1.91 | %(g) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 16,446 | $ | 16,549 | $ | 721 | $ | 976 | $ | 3,348 | $ | 476 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Portfolio turnover rate |
3 | % | 22 | % | 45 | % | 80 | % | 200 | % | 10 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Annualized. |
| (h) | Audit, offering and organization costs were not annualized in the calculation of expense ratios. If these expenses were annualized, the total expenses would have been 19.98%. |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
45 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Short-Term TIPS Bond Index Fund (continued) | ||||||||||||||||||||||||||||||||||
| Investor A | ||||||||||||||||||||||||||||||||||
|
|
Six Months Ended 06/30/21 (unaudited) |
|
Year Ended December 31, |
|
Period from 02/16/16 |
(a) | ||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
to 12/31/16 | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 10.34 | $ | 9.97 | $ | 9.74 | $ | 9.95 | $ | 10.04 | $ | 10.00 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income(b) |
0.15 | 0.07 | 0.19 | 0.20 | 0.14 | 0.16 | ||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.12 | 0.39 | 0.23 | (0.18 | ) | (0.07 | ) | 0.06 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net increase from investment operations |
0.27 | 0.46 | 0.42 | 0.02 | 0.07 | 0.22 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||||||
| From net investment income |
(0.18 | ) | (0.09 | ) | (0.19 | ) | (0.22 | ) | (0.16 | ) | (0.17 | ) | ||||||||||||||||||||||
| From net realized gain |
— | (0.00 | )(d) | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
| Return of capital |
— | — | — | — | (0.00 | )(d) | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total distributions |
(0.18 | ) | (0.09 | ) | (0.19 | ) | (0.23 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net asset value, end of period |
$ | 10.43 | $ | 10.34 | $ | 9.97 | $ | 9.74 | $ | 9.95 | $ | 10.04 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||
| Based on net asset value |
2.57 | %(f) | 4.64 | % | 4.39 | % | 0.22 | % | 0.76 | % | 2.18 | %(f) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||||||
| Total expenses |
0.75 | %(g) | 1.18 | % | 3.36 | % | 6.40 | % | 6.24 | % | 20.84 | %(g)(h) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.36 | %(g) | 0.36 | % | 0.36 | % | 0.36 | % | 0.36 | % | 0.36 | %(g) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income |
2.89 | %(g) | 0.71 | % | 1.94 | % | 2.00 | % | 1.35 | % | 1.81 | %(g) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 1,210 | $ | 1,475 | $ | 737 | $ | 526 | $ | 256 | $ | 62 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Portfolio turnover rate |
3 | % | 22 | % | 45 | % | 80 | % | 200 | % | 10 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Annualized. |
| (h) | Audit, offering and organization costs were not annualized in the calculation of expense ratios. If these expenses were annualized, the total expenses would have been 22.90%. |
See notes to financial statements.
| 46 | 2 0 2 1 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)
| iShares Short-Term TIPS Bond Index Fund (continued) | ||||||||||||||||||||||||||||||||||
| Class K | ||||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Period from |
|||||||||||||||||||||||||||||||||
| Year Ended December 31, | 02/16/16 | (a) | ||||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
to 12/31/16 | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 10.34 | $ | 9.98 | $ | 9.76 | $ | 9.95 | $ | 10.05 | $ | 10.00 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income(b) |
0.21 | 0.12 | 0.25 | 0.31 | 0.25 | 0.19 | ||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.07 | 0.36 | 0.21 | (0.25 | ) | (0.16 | ) | 0.06 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net increase from investment operations |
0.28 | 0.48 | 0.46 | 0.06 | 0.09 | 0.25 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||||||
| From net investment income |
(0.19 | ) | (0.12 | ) | (0.24 | ) | (0.24 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||||||||||||
| From net realized gain |
— | (0.00 | )(d) | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
| Return of capital |
— | — | — | — | (0.00 | )(d) | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total distributions |
(0.19 | ) | (0.12 | ) | (0.24 | ) | (0.25 | ) | (0.19 | ) | (0.20 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net asset value, end of period |
$ | 10.43 | $ | 10.34 | $ | 9.98 | $ | 9.76 | $ | 9.95 | $ | 10.05 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||
| Based on net asset value |
2.71 | %(f) | 4.87 | % | 4.72 | % | 0.60 | % | 0.89 | % | 2.52 | %(f) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||||||
| Total expenses |
0.33 | %(g) | 0.71 | % | 2.14 | % | 5.80 | % | 2.82 | % | 20.61 | %(g)(h) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.06 | %(g) | 0.06 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.06 | %(g) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income |
4.12 | %(g) | 1.17 | % | 2.55 | % | 3.13 | % | 2.45 | % | 2.17 | %(g) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 64,882 | $ | 41,536 | $ | 16,112 | $ | 1,788 | $ | 1,138 | $ | 904 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Portfolio turnover rate |
3 | % | 22 | % | 45 | % | 80 | % | 200 | % | 10 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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) | Amount is greater than $(0.005) per share. |
| (e) | Where applicable, assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Annualized. |
| (h) | Audit, offering and organization costs were not annualized in the calculation of expense ratios. If these expenses were annualized, the total expenses would have been 22.68% |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
47 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares MSCI EAFE International Index Fund | ||||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
||||||||||||||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 14.68 | $ | 13.86 | $ | 11.76 | $ | 14.18 | $ | 11.60 | $ | 11.81 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income(a) |
0.25 | 0.30 | 0.42 | 0.42 | 0.39 | 0.28 | ||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss)(b) |
1.06 | 0.81 | 2.14 | (2.31 | ) | 2.53 | (0.16 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net increase (decrease) from investment operations |
1.31 | 1.11 | 2.56 | (1.89 | ) | 2.92 | 0.12 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||||||
| From net investment income |
— | (0.29 | ) | (0.46 | ) | (0.53 | ) | (0.34 | ) | (0.33 | ) | |||||||||||||||||||||||
| Return of capital |
— | — | — | (0.00 | )(d) | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total distributions |
— | (0.29 | ) | (0.46 | ) | (0.53 | ) | (0.34 | ) | (0.33 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net asset value, end of period |
$ | 15.99 | $ | 14.68 | $ | 13.86 | $ | 11.76 | $ | 14.18 | $ | 11.60 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||||
| Based on net asset value |
8.92 | %(f) | 8.03 | % | 21.80 | % | (13.37 | )% | 25.24 | % | 0.99 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||||||
| Total expenses |
0.09 | %(g) | 0.09 | % | 0.08 | % | 0.11 | %(h)(i) | 0.09 | % | 0.15 | %(j)(k) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.09 | %(g) | 0.09 | % | 0.08 | % | 0.10 | %(h)(i) | 0.09 | % | 0.11 | %(j)(k) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Net investment income |
3.30 | %(g) | 2.35 | % | 3.23 | % | 3.02 | %(i) | 2.92 | % | 2.44 | %(j)(k) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 1,056,855 | $ | 1,004,855 | $ | 876,551 | $ | 753,659 | $ | 705,986 | $ | 649,763 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Portfolio turnover rate |
2 | % | 8 | % | 4 | % | 43 | % | 23 | % | 42 | %(l) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (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 reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.09% respectively. |
| (i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
| (j) | Includes the Fund’s share of the Master International Index’s allocated expenses and/or net investment income. |
| (k) | Includes the Fund’s share of the Master International Index’s allocated fees waived of 0.16%. |
| (l) | Portfolio turnover rate includes transactions from Master International Index prior to August 1, 2016. |
See notes to financial statements.
| 48 | 2 0 2 1 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)
| iShares MSCI EAFE International Index Fund (continued) | ||||||||||||||||||||||||||||||
| Investor A | ||||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
||||||||||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 14.58 | $ | 13.78 | $ | 11.69 | $ | 14.09 | $ | 11.54 | $ | 11.75 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net investment income(a) |
0.23 | 0.27 | 0.39 | 0.38 | 0.34 | 0.32 | ||||||||||||||||||||||||
| Net realized and unrealized gain (loss)(b) |
1.05 | 0.78 | 2.12 | (2.28 | ) | 2.52 | (0.23 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net increase (decrease) from investment operations |
1.28 | 1.05 | 2.51 | (1.90 | ) | 2.86 | 0.09 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||
| From net investment income |
(0.00 | )(d) | (0.25 | ) | (0.42 | ) | (0.50 | ) | (0.31 | ) | (0.30 | ) | ||||||||||||||||||
| Return of capital |
— | — | — | (0.00 | )(d) | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total distributions |
— | (0.25 | ) | (0.42 | ) | (0.50 | ) | (0.31 | ) | (0.30 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net asset value, end of period |
$ | 15.86 | $ | 14.58 | $ | 13.78 | $ | 11.69 | $ | 14.09 | $ | 11.54 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||
| Based on net asset value |
8.78 | %(f) | 7.68 | % | 21.53 | % | (13.57 | )% | 24.84 | % | 0.78 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||
| Total expenses |
0.34 | %(g) | 0.35 | % | 0.35 | % | 0.36 | %(h)(i) | 0.36 | % | 0.38 | %(j)(k) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.34 | %(g) | 0.35 | % | 0.35 | % | 0.36 | %(h)(i) | 0.35 | % | 0.37 | %(j)(k) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net investment income |
3.06 | %(g) | 2.11 | % | 3.00 | % | 2.74 | %(i) | 2.60 | % | 2.78 | %(j)(k) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 380,504 | $ | 351,999 | $ | 340,750 | $ | 305,043 | $ | 373,846 | $ | 238,053 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Portfolio turnover rate |
2 | % | 8 | % | 4 | % | 43 | % | 23 | % | 42 | %(l) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (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 reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.36% and 0.35% respectively. |
| (i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
| (j) | Includes the Fund’s share of the Master International Index’s allocated expenses and/or net investment income. |
| (k) | Includes the Fund’s share of the Master International Index’s allocated fees waived of 0.39%. |
| (l) | Portfolio turnover rate includes transactions from Master International Index prior to August 1, 2016. |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
49 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares MSCI EAFE International Index Fund (continued) | ||||||||||||||||||||||
| Investor P | ||||||||||||||||||||||
|
|
Six Months Ended 06/30/21 (unaudited) |
|
Year Ended December 31, | |
Period from 08/06/18 |
(a) | ||||||||||||||||
|
2020 |
2019 |
to 12/31/18 | ||||||||||||||||||||
| Net asset value, beginning of period |
$ | 14.53 | $ | 13.73 | $ | 11.65 | $ | 13.87 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income(b) |
0.23 | 0.26 | 0.39 | 0.01 | ||||||||||||||||||
| Net realized and unrealized gain (loss)(c) |
1.05 | 0.79 | 2.11 | (1.70 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net increase (decrease) from investment operations |
1.28 | 1.05 | 2.50 | (1.69 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Distributions(d) |
||||||||||||||||||||||
| From net investment income |
— | (0.25 | ) | (0.42 | ) | (0.53 | ) | |||||||||||||||
| Return of capital |
— | — | — | (0.00 | )(e) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total distributions |
— | (0.25 | ) | (0.42 | ) | (0.53 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net asset value, end of period |
$ | 15.81 | $ | 14.53 | $ | 13.73 | $ | 11.65 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total Return(f) |
||||||||||||||||||||||
| Based on net asset value |
8.81 | %(g) | 7.68 | % | 21.51 | % | (12.25 | )%(g) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||
| Total expenses |
0.34 | %(h) | 0.37 | % | 0.39 | % | 0.33 | %(h)(i)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.34 | %(h) | 0.37 | % | 0.36 | % | 0.32 | %(h)(i)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income |
3.03 | %(h) | 2.08 | % | 2.97 | % | 0.23 | %(h)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Supplemental Data |
||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 153,817 | $ | 146,759 | $ | 149,612 | $ | 137,266 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Portfolio turnover rate |
2 | % | 8 | % | 4 | % | 43 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Commencement of operations. |
| (b) | Based on average shares outstanding. |
| (c) | The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (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, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (g) | Aggregate total return. |
| (h) | Annualized. |
| (i) | Reorganization costs, offering and board realignment and consolidation expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 0.34% and 0.33% respectively. |
| (j) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
See notes to financial statements.
| 50 | 2 0 2 1 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)
| iShares MSCI EAFE International Index Fund (continued) | ||||||||||||||||||||||||||||||||
| Class K | ||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, |
|||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 14.69 | $ | 13.87 | $ | 11.76 | $ | 14.18 | $ | 11.61 | $ | 11.82 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.26 | 0.31 | 0.43 | 0.43 | 0.38 | 0.38 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss)(b) |
1.06 | 0.80 | 2.14 | (2.31 | ) | 2.54 | (0.26 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
1.32 | 1.11 | 2.57 | (1.88 | ) | 2.92 | 0.12 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||||||||||
| From net investment income |
— | (0.29 | ) | (0.46 | ) | (0.54 | ) | (0.35 | ) | (0.33 | ) | |||||||||||||||||||||
| Return of capital |
— | — | — | (0.00 | )(d) | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
— | (0.29 | ) | (0.46 | ) | (0.54 | ) | (0.35 | ) | (0.33 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 16.01 | $ | 14.69 | $ | 13.87 | $ | 11.76 | $ | 14.18 | $ | 11.61 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
8.99 | %(f) | 8.07 | % | 21.94 | % | (13.33 | )% | 25.17 | % | 1.03 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||||||
| Total expenses |
0.04 | %(g) | 0.04 | % | 0.03 | % | 0.06 | %(h)(i) | 0.06 | % | 0.07 | %(j)(k) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.04 | %(g) | 0.04 | % | 0.03 | % | 0.05 | %(h)(i) | 0.06 | % | 0.07 | %(j)(k) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
3.38 | %(g) | 2.39 | % | 3.28 | % | 3.12 | %(i) | 2.80 | % | 3.25 | %(j)(k) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 6,107,900 | $ | 5,143,404 | $ | 6,870,922 | $ | 6,420,732 | $ | 9,509,257 | $ | 4,042,470 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate |
2 | % | 8 | % | 4 | % | 43 | % | 23 | % | 42 | %(l) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (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 reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.05% and 0.04% respectively. |
| (i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
| (j) | Includes the Fund’s share of the Master International Index’s allocated expenses and/or net investment income. |
| (k) | Includes the Fund’s share of the Master International Index’s allocated fees waived of 0.08%. |
| (l) | Portfolio turnover rate includes transactions from Master International Index prior to August 1, 2016. |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
51 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Russell 2000 Small-Cap Index Fund | ||||||||||||||||||||||||||||||||
| Institutional |
||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, | |||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 24.19 | $ | 20.46 | $ | 16.87 | $ | 19.72 | $ | 17.76 | $ | 15.32 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.07 | 0.23 | 0.27 | 0.28 | 0.25 | 0.23 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
4.15 | 3.84 | 4.02 | (2.40 | ) | 2.34 | 3.03 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
4.22 | 4.07 | 4.29 | (2.12 | ) | 2.59 | 3.26 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
— | (0.25 | ) | (0.28 | ) | (0.20 | ) | (0.21 | ) | (0.22 | ) | |||||||||||||||||||||
| From net realized gain |
— | (0.09 | ) | (0.42 | ) | (0.53 | ) | (0.42 | ) | (0.60 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
— | (0.34 | ) | (0.70 | ) | (0.73 | ) | (0.63 | ) | (0.82 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 28.41 | $ | 24.19 | $ | 20.46 | $ | 16.87 | $ | 19.72 | $ | 17.76 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(c) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
17.44 | %(d) | 19.97 | % | 25.50 | % | (10.94 | )% | 14.55 | % | 21.33 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(e)(f) |
||||||||||||||||||||||||||||||||
| Total expenses |
0.13 | %(g) | 0.16 | % | 0.16 | % | 0.18 | %(h) | 0.18 | % | 0.19 | %(i) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.12 | %(g) | 0.12 | % | 0.12 | % | 0.12 | %(h) | 0.11 | % | 0.14 | %(i) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
0.53 | %(g) | 1.22 | % | 1.38 | % | 1.38 | % | 1.36 | % | 1.44 | %(i) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 504,781 | $ | 331,429 | $ | 227,381 | $ | 200,990 | $ | 167,351 | $ | 229,491 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate of the Series |
23 | % | 27 | % | 20 | % | 28 | % | 30 | % | 39 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Aggregate total return. |
| (e) | Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income. |
| (f) | Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%. |
| (g) | Annualized. |
| (h) | Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.16% and 0.10% respectively. |
| (i) | Excludes expenses incurred indirectly of 0.01% as a result of the Series’ investments in underlying funds. |
See notes to financial statements.
| 52 | 2 0 2 1 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)
| iShares Russell 2000 Small-Cap Index Fund (continued) | ||||||||||||||||||||||||||||||||
| Investor A | ||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, | |||||||||||||||||||||||||||||||
|
2020 |
2019 |
2018 |
2017 |
2016 |
||||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 24.22 | $ | 20.49 | $ | 16.89 | $ | 19.74 | $ | 17.78 | $ | 15.34 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.05 | 0.17 | 0.22 | 0.22 | 0.21 | 0.18 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
4.14 | 3.85 | 4.03 | (2.40 | ) | 2.34 | 3.03 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
4.19 | 4.02 | 4.25 | (2.18 | ) | 2.55 | 3.21 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
(0.00 | )(c) | (0.20 | ) | (0.23 | ) | (0.14 | ) | (0.17 | ) | (0.17 | ) | ||||||||||||||||||||
| From net realized gain |
— | (0.09 | ) | (0.42 | ) | (0.53 | ) | (0.42 | ) | (0.60 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
— | (0.29 | ) | (0.65 | ) | (0.67 | ) | (0.59 | ) | (0.77 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 28.41 | $ | 24.22 | $ | 20.49 | $ | 16.89 | $ | 19.74 | $ | 17.78 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(d) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
17.30 | %(e) | 19.66 | % | 25.20 | % | (11.19 | )% | 14.35 | % | 21.04 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(f)(g) |
||||||||||||||||||||||||||||||||
| Total expenses |
0.40 | %(h) | 0.41 | % | 0.42 | % | 0.43 | %(i) | 0.45 | % | 0.49 | %(j) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.37 | %(h) | 0.37 | % | 0.37 | % | 0.37 | %(i) | 0.37 | % | 0.41 | %(j) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
0.39 | %(h) | 0.93 | % | 1.14 | % | 1.08 | % | 1.13 | % | 1.14 | %(j) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 249,863 | $ | 257,905 | $ | 273,413 | $ | 254,591 | $ | 249,980 | $ | 116,722 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate of the Series |
23 | % | 27 | % | 20 | % | 28 | % | 30 | % | 39 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average Common 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) | Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income. |
| (g) | Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%. |
| (h) | Annualized. |
| (i) | Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.41% and 0.35% respectively. |
| (j) | Excludes expenses incurred indirectly of 0.01% as a result of the Series’ investments in underlying funds. |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
53 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Russell 2000 Small-Cap Index Fund (continued) | ||||||||||||||||||||||
| Investor P | ||||||||||||||||||||||
| |
Six Months Ended 06/30/21 (unaudited) |
|
Year Ended December 31, |
|
|
Period from 08/06/18 |
(a) | |||||||||||||||
|
2020 |
2019 |
to 12/31/18 | ||||||||||||||||||||
| Net asset value, beginning of period |
$ | 24.14 | $ | 20.43 | $ | 16.84 | $ | 21.76 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income(b) |
0.05 | 0.18 | 0.22 | 0.17 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
4.13 | 3.82 | 4.02 | (4.38 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net increase (decrease) from investment operations |
4.18 | 4.00 | 4.24 | (4.21 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Distributions(c) |
||||||||||||||||||||||
| From net investment income |
— | (0.20 | ) | (0.23 | ) | (0.19 | ) | |||||||||||||||
| From net realized gain |
— | (0.09 | ) | (0.42 | ) | (0.52 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total distributions |
— | (0.29 | ) | (0.65 | ) | (0.71 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net asset value, end of period |
$ | 28.32 | $ | 24.14 | $ | 20.43 | $ | 16.84 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total Return(d) |
||||||||||||||||||||||
| Based on net asset value |
17.32 | %(e) | 19.65 | % | 25.25 | % | (19.49 | )%(e) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Ratios to Average Net Assets(f)(g) |
||||||||||||||||||||||
| Total expenses |
0.38 | %(h) | 0.41 | % | 0.40 | % | 0.39 | %(h)(i)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.37 | %(h) | 0.37 | % | 0.36 | % | 0.35 | %(h)(i)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income |
0.34 | %(h) | 0.95 | % | 1.14 | % | 2.12 | %(h) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Supplemental Data |
||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 375,266 | $ | 329,486 | $ | 301,163 | $ | 265,393 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Portfolio turnover rate of the Series |
23 | % | 27 | % | 20 | % | 28 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Commencement of operations. |
| (b) | Based on average Common Shares outstanding. |
| (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) | Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income. |
| (g) | Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%. |
| (h) | Annualized. |
| (i) | Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.38% and 0.35% respectively. |
| (j) | Reorganization costs, offering and board realignment and consolidation expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 0.40% and 0.37% respectively. |
See notes to financial statements.
| 54 | 2 0 2 1 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)
| iShares Russell 2000 Small-Cap Index Fund (continued) | ||||||||||||||||||||||||||||||||
| Class K | ||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended December 31, | |||||||||||||||||||||||||||||||
| (unaudited) |
2020 |
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 24.26 | $ | 20.52 | $ | 16.91 | $ | 19.77 | $ | 17.79 | $ | 15.35 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.09 | 0.24 | 0.28 | 0.30 | 0.27 | 0.24 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
4.15 | 3.85 | 4.04 | (2.43 | ) | 2.34 | 3.02 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
4.24 | 4.09 | 4.32 | (2.13 | ) | 2.61 | 3.26 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
— | (0.26 | ) | (0.29 | ) | (0.20 | ) | (0.21 | ) | (0.22 | ) | |||||||||||||||||||||
| From net realized gain |
— | (0.09 | ) | (0.42 | ) | (0.53 | ) | (0.42 | ) | (0.60 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
— | (0.35 | ) | (0.71 | ) | (0.73 | ) | (0.63 | ) | (0.82 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 28.50 | $ | 24.26 | $ | 20.52 | $ | 16.91 | $ | 19.77 | $ | 17.79 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(c) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
17.48 | %(d) | 20.00 | % | 25.62 | % | (10.93 | )% | 14.69 | % | 21.32 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(e)(f) |
||||||||||||||||||||||||||||||||
| Total expenses |
0.07 | %(g) | 0.08 | % | 0.08 | % | 0.11 | %(h) | 0.14 | % | 0.17 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.07 | %(g) | 0.07 | % | 0.07 | % | 0.07 | %(h) | 0.07 | % | 0.10 | %(i) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
0.64 | %(g) | 1.26 | % | 1.44 | % | 1.44 | % | 1.40 | % | 1.48 | %(i) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 2,224,828 | $ | 1,835,475 | $ | 1,502,229 | $ | 945,929 | $ | 474,830 | $ | 60,086 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate of the Series |
23 | % | 27 | % | 20 | % | 28 | % | 30 | % | 39 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Aggregate total return. |
| (e) | Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income. |
| (f) | Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%. |
| (g) | Annualized. |
| (h) | Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.05% respectively. |
| (i) | Excludes expenses incurred indirectly of 0.01% as a result of the Series’ investments in underlying funds. |
See notes to financial statements.
| F U N D F I N A N C I A L H I G H L I G H T S |
55 |
Notes to Financial Statements (unaudited)
| 1. | ORGANIZATION |
BlackRock FundsSM (the “Trust”) and BlackRock Index Funds, Inc. (the “Corporation”), are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. BlackRock FundsSM is organized as a Massachusetts business trust. BlackRock Index Funds, Inc. is organized as a Maryland corporation. The following, each of which is a series of one of BlackRock FundsSM or BlackRock Index Funds, Inc., are referred to herein collectively as the “Funds” or individually as a “Fund”:
| Registrant Name | Fund Name | Herein Referred To As | Diversification Classification | |||
| BlackRock FundsSM |
iShares Municipal Bond Index Fund | Municipal Bond Index | Diversified | |||
| iShares Short-Term TIPS Bond Index Fund | Short-Term TIPS Bond Index | Diversified | ||||
| BlackRock Index Funds, Inc. |
iShares MSCI EAFE International Index Fund | International Index | Diversified | |||
| iShares Russell 2000 Small-Cap Index Fund | Small Cap Index | Diversified | ||||
Small Cap Index seeks to achieve its investment objective by investing all of its assets in Master Small Cap Index Series (the “Series”), a series of Quantitative Master Series LLC (the “Master LLC”), and an affiliate of Small Cap Index, which has the same investment objective and strategies as Small Cap Index. The value of Small Cap Index’s investment in the Series reflects Small Cap Index’s proportionate interest in the net assets of the Series. The performance of Small Cap Index is directly affected by the performance of the Series. At June 30, 2021, the percentage of the Series owned by Small Cap Index was 72.10%. The financial statements of the Series, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with Small Cap Index’s financial statements.
Each 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 P Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Investor P Shares are only available through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with the Fund’s distributor to offer such shares. 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, Investor A and Class K Shares |
No | No | None | |||||
| Investor P Shares |
Yes | No | (a) | None | ||||
| (a) | Investor P 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. |
The Board of Trustees of the Trust and the Board of Directors of the Corporation are collectively referred to throughout this report as the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Directors”.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are 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. Each 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 Municipal Bond Index, Short-Term TIPS Bond Index and International Index, 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 using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when International Index is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
For Small Cap Index, for financial reporting purposes, contributions to and withdrawals from the Series are accounted for on a trade date basis. Small Cap Index records its proportionate share of the Series’ income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, Small Cap Index accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: Each 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.
| 56 | 2 0 2 1 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)
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements 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. Each 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.
Foreign Taxes: The International Index may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, a 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 Funds 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 paid by International Index and Small Cap Index are recorded on the ex-dividend dates. Distributions from net investment income for Municipal Bond Index and Short-Term TIPS Bond Index are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. Small Cap Index’s policy is to value its financial instruments at fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments. Small Cap Index records its investment in the Series at fair value based on the Small Cap Index’s proportionate interest in the net assets of the Series. Valuation of securities held by the Series is discussed in Note 3 of the Series’ Notes to Financial Statements, which are included elsewhere in this report.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
| • | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
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 Funds’ net assets. Each business day, the Funds use 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.
| • | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third party pricing services. 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), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a |
| F U N D 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 |
57 |
Notes to Financial Statements (unaudited) (continued)
| benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
| • | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”). |
| • | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each 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.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By Third Party Pricing Services | ||
| Market approach |
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; | |
| (ii) recapitalizations and other transactions across the capital structure; and | ||
| (iii) market multiples of comparable issuers. | ||
| Income approach |
(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; | |
| (ii) quoted prices for similar investments or assets in active markets; and | ||
| (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | ||
| Cost approach. |
(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; | |
| (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | ||
| (iii) relevant news and other public sources; and | ||
| (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. | ||
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used, as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
| • | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies
| 58 | 2 0 2 1 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)
that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is included as interest income in the Statements 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.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Forward Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
Securities Lending: Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are disclosed in the Funds Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value — unaffiliated and collateral on securities loaned at value, respectively.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the International Index securities on loan by counterparty which are subject to offset under an MSLA:
| Counterparty | |
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
Net Amount | |||
| BofA Securities, Inc. |
$ 1,525,873 | $ (1,525,873 | ) | $ — | ||||||
| F U N D 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 |
59 |
Notes to Financial Statements (unaudited) (continued)
| Counterparty | |
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
Net Amount | |||
| HSBC Bank PLC |
$ | 6,394,023 | $ | (6,394,023 | ) | $ — | ||||
| J.P. Morgan Securities LLC |
2,539,109 | (2,539,109 | ) | — | ||||||
| Morgan Stanley & Co. LLC |
4,301,040 | (4,301,040 | ) | — | ||||||
| SG Americas Securities LLC |
1,480,428 | (1,480,428 | ) | — | ||||||
| State Street Bank & Trust Company |
1,577,322 | (1,577,322 | ) | — | ||||||
| UBS AG |
8,588,991 | (8,588,991 | ) | — | ||||||
| Virtu Americas LLC |
609,588 | (609,588 | ) | — | ||||||
|
|
|
|
|
| ||||||
| $ | 27,016,374 | $ | (27,016,374 | ) | $ — | |||||
|
|
|
|
|
| ||||||
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Funds.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their 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 Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds 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 Funds are 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 Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree 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 Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: Each of the Trust and the Corporation, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets.
| Municipal Bond Index | Short-Term TIPS Bond Index | International Index | ||||||||||
| Investment advisory fees |
0.10 | % | 0.01 | % | 0.01 | % | ||||||
Service Fees: The Funds entered into a Distribution Agreement and Distribution and Service Plans 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, each 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 each Fund as follows:
| Municipal Bond Index | Short-Term TIPS Bond Index | International Index | Small Cap Index | |||||||||||||||||||||||||||||||||
| Share Class | Service Fees | Distribution Fees | Service Fees | Distribution Fees | Service Fees | Distribution Fees | Service Fees | Distribution Fees | ||||||||||||||||||||||||||||
| Investor A | 0.25 | % | N/A | 0.25 | % | N/A | 0.25 | % | N/A | 0.25 | % | N/A | ||||||||||||||||||||||||
| Investor P | 0.25 | N/A | N/A | N/A | 0.25 | N/A | 0.25 | N/A | ||||||||||||||||||||||||||||
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
| 60 | 2 0 2 1 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)
For the six months ended June 30, 2021, the following table shows the class specific service and distribution fees borne directly by each share class of each Fund:
| Fund Name | Investor A | Investor P | Total | |||||||
| Municipal Bond Index |
$ | 29,112 | $ | 385,641 | $ 414,753 | |||||
| Short-Term TIPS Bond Index |
1,860 | — | 1,860 | |||||||
| International Index |
461,893 | 187,964 | 649,857 | |||||||
| Small Cap Index |
361,353 | 453,715 | 815,068 | |||||||
Administration: The Corporation, on behalf of Small Cap Index and International Index, entered into an Administration Agreement with BlackRock Advisors, LLC (the “Administrator”), an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, Small Cap Index pays the Administrator a monthly fee at an annual rate of 0.04% of the average daily net assets of Small Cap Index. Small Cap Index does not pay an investment advisory fee or investment management fee. Effective January 1, 2021 for International Index, the Administrator is entitled to receive for these administrative services an annual fee of 0.08% based on the average daily net assets of each Fund’s Institutional, Investor A and Investor P Shares and 0.03% of the average daily net assets of Class K Shares.
For the six months ended June 30, 2021, the following table shows the class specific administration fees borne directly by each share class of the Fund:
| Fund Name | Institutional | Investor A | Investor P | Class K | Total | |||||||||||||||
| International Index |
$ | 424,186 | $ | 147,839 | $ | 60,150 | $ | 851,535 | $ | 1,483,710 | ||||||||||
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds 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 June 30, 2021, the Funds 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 Funds. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended June 30, 2021, each 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 Statements of Operations:
| Fund Name | Institutional | Investor A | Investor P | Class K | Total | |||||||||||||
| Municipal Bond Index |
$ | 12 | $ | 3,004 | $ | 721 | $ | 7 | $ 3,744 | |||||||||
| Short-Term TIPS Bond Index |
15 | 228 | — | 302 | 545 | |||||||||||||
| Small Cap Index |
2,644 | 14,047 | 1,434 | 2,175 | 20,300 | |||||||||||||
For the six months ended June 30, 2021, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:
| Fund Name | Institutional | Investor A | Investor P | Class K | Total | |||||||||||||
| Municipal Bond Index |
$ | 2,356 | $ | 10,225 | $ | 88,866 | $ | 23 | $ 101,470 | |||||||||
| Short-Term TIPS Bond Index |
59 | 1,243 | — | 4,151 | 5,453 | |||||||||||||
| Small Cap Index |
128,373 | 128,419 | 124,804 | 36,238 | 417,834 | |||||||||||||
Other Fees: For the six months ended June 30, 2021, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of each Fund’s Investor P Shares as follows:
| Fund Name | Investor P | |
| Municipal Bond Index |
$ 7,727 | |
| International Index |
5,862 | |
| Small Cap Index |
11,797 | |
For the six months ended June 30, 2021, affiliates received CDSCs as follows:
| Fund Name | Investor P | |
| Municipal Bond Index |
$ 179 | |
Expense Limitations, Waivers, Reimbursements, and Recoupments: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023 with respect to iShares Municipal Bond Index Fund, Short-Term TIPS Bond Index Fund and International Index Fund. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Trust or the Corporation, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of a Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2021, the amounts waived were as follows:
| Fund Name | Fees Waived and/or Reimbursed by the Manager |
|||
| Municipal Bond Index |
$ | 782 | ||
| Short-Term TIPS Bond Index |
689 | |||
| F U N D 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 |
61 |
Notes to Financial Statements (unaudited) (continued)
| Fund Name | Fees Waived and/or Reimbursed by the Manager |
|||
| International Index |
$ | 5,886 | ||
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023 with respect to iShares Municipal Bond Index Fund, Short-Term TIPS Bond Index Fund and International Index Fund. 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 a Fund. For the six months ended June 30, 2021, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
|
|
||||||||||||||||
| Fund Name | Institutional | Investor A | Investor P | Class K | ||||||||||||
|
|
||||||||||||||||
| Municipal Bond Index |
0.25 | % | 0.50 | % | 0.50 | % | 0.20 | % | ||||||||
| Short-Term TIPS Bond Index |
0.11 | 0.36 | — | 0.06 | ||||||||||||
| Small Cap Index |
0.12 | 0.37 | 0.37 | 0.07 | ||||||||||||
|
|
||||||||||||||||
The Manager has agreed not to reduce or discontinue these contractual expense limitations through June 30, 2023 with respect to iShares Municipal Bond Index Fund, Short-Term TIPS Bond Index Fund and Small-Cap Index Fund, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. For the six months ended June 30, 2021, amounts included in the Statements of Operations were as follows:
|
|
||||||||
| Fund Name | Fees Waived and/or Reimbursed by the Manager |
Fees Waived and/or Reimbursed by the Administrator |
||||||
|
|
||||||||
| Municipal Bond Index |
$ | 1,492 | $ | — | ||||
| Short-Term TIPS Bond Index |
88,337 | — | ||||||
| Small Cap Index |
— | 2,705 | ||||||
|
|
||||||||
The fees and expenses of the Fund’s Independent Trustees, counsel to the Independent Trustees and the Fund’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. The manager has contractually agreed to reimburse the Fund or provide an offsetting credit for such independent expenses through June 30, 2031. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2021, the amount waived and/or reimbursed was $97,374.
For the six months ended June 30, 2021, class specific expense waivers and/or reimbursements are as follows:
| Transfer Agent Fees Waived and/or Reimbursed - Class Specific | ||||||||||||||||||
| Fund Name | Institutional | Investor A | Investor P | Class K | Total | |||||||||||||
| Municipal Bond Index |
$ | 159 | $ | 3,292 | $ | 3,947 | $ | 17 | $ 7,415 | |||||||||
| Short-Term TIPS Bond Index |
— | 870 | — | 4,150 | 5,020 | |||||||||||||
| Small Cap Index |
16,462 | 47,466 | 23,253 | 1,818 | 88,999 | |||||||||||||
With respect to the contractual expense limitation, if during a 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) each 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 a 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 February 16, 2023 for Short-Term TIPS Bond Index and November 16, 2025 for Municipal Bond Index, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund’s contractual caps on net expenses will be terminated.
As of June 30, 2021, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:
|
|
||||||||||||
| Expiring | ||||||||||||
| Fund Name/Fund Level/Share Class | December 31, 2021 | December 31, 2022 | December 31, 2023 | |||||||||
|
|
||||||||||||
| Municipal Bond Index |
||||||||||||
| Fund Level |
$ | 117,994 | $ | 16,665 | $ | 1,492 | ||||||
|
|
||||||||||||
| 62 | 2 0 2 1 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)
|
|
||||||||||||
| Expiring | ||||||||||||
| Fund Name/Fund Level/Share Class | December 31, 2021 | December 31, 2022 | December 31, 2023 | |||||||||
|
|
||||||||||||
| Institutional |
15 | 37 | 159 | |||||||||
| Investor A |
20,437 | 3,359 | 3,292 | |||||||||
| Investor P |
7,174 | 2,353 | 3,947 | |||||||||
| Class K |
38 | 35 | 17 | |||||||||
| Short-Term TIPS Bond Index |
||||||||||||
| Fund Level |
$ | 178,375 | $ | 202,508 | $ | 88,337 | ||||||
| Institutional |
713 | 173 | — | |||||||||
| Investor A |
1,410 | 1,581 | 870 | |||||||||
| Class K |
3,831 | 8,574 | 4,150 | |||||||||
|
|
||||||||||||
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2021, each Fund paid BTC the following amounts for securities lending agent services:
| Fund Name | Amounts | |
| Short-Term TIPS Bond Index |
$ 21 | |
| International Index |
27,918 | |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, each 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 each Fund’s investment policies and restrictions. Each 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 June 30, 2021, the Funds did not participate in the Interfund Lending Program.
Directors and Officers: Certain directors and/or officers of the Trust and the Corporation are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s and the Corporation’s Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
Other Transactions: International Index may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended June 30, 2021, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
|
|
||||||||||||
| Fund Name | Purchases | Sales | Net Realized Gain (Loss) |
|||||||||
|
|
||||||||||||
| International Index |
$ | 179,780,943 | $ | 7,088,065 | $ | (273,823 | ) | |||||
|
|
||||||||||||
| F U N D 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 |
63 |
Notes to Financial Statements (unaudited) (continued)
| 7. | PURCHASES AND SALES |
For the six months ended June 30, 2021, purchases and sales of investments, excluding short-term investments, were as follows:
| Fund Name | Purchases | Sales | ||||
| Municipal Bond Index |
$ | 12,407,370 | $ 17,121,928 | |||
| Short-Term TIPS Bond Index |
24,132,843 | 2,186,431 | ||||
| International Index |
643,788,432 | 121,896,699 | ||||
| 8. | INCOME TAX INFORMATION |
It is each 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.
Each 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 each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each 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 Funds as of June 30, 2021, 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 Funds’ financial statements.
As of December 31, 2020, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
|
|
||||
| Fund Name | Non-Expiring | |||
|
|
||||
| Short-Term TIPS Bond Index |
$ | 80,825 | ||
| International Index |
938,565,731 | |||
|
|
|
|||
As of June 30, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
|
|
||||||||||||||||
| Fund Name | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Municipal Bond Index |
$ | 307,877,367 | $ | 27,433,514 | $ | (5,470 | ) | $ | 27,428,044 | |||||||
| Short-Term TIPS Bond Index |
81,985,679 | 1,886,156 | (78,362 | ) | 1,807,794 | |||||||||||
| International Index |
5,500,701,831 | 2,623,829,348 | (495,621,264 | ) | 2,128,208,084 | |||||||||||
| 9. | BANK BORROWINGS |
The Trust and the Corporation, on behalf of the Funds, 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 Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, 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 2022 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2021, the Funds did not borrow under the credit agreement.
| 10. | PRINCIPAL RISKS |
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each 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 Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
| 64 | 2 0 2 1 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)
Short-Term TIPS Bond Index and International Index may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: Municipal Bond Index and Short-Term TIPS Bond Index 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 each Fund to reinvest in lower yielding securities. Municipal Bond Index and Short-Term TIPS Bond Indexmay also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a 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. A 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 each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a 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 a 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 a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A 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.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage 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 Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
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.
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds 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, a 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 Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in securities within a single or limited number of market sectors. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Fund and could affect the income from, or the value or liquidity of, the Fund’s portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.
| F U N D 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 |
65 |
Notes to Financial Statements (unaudited) (continued)
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use 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 Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
Certain Funds invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Fund’s portfolio. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.
Certain Funds invest a significant portion of their 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 Funds’ 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.
Certain Funds invest a significant portion of their assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Funds’ investments.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
|
|
||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended 12/31/20 |
|||||||||||||||
| Fund Name / Share Class | Shares | Amounts | Shares | Amounts | ||||||||||||
|
|
||||||||||||||||
| Municipal Bond Index |
||||||||||||||||
| Institutional |
||||||||||||||||
| Shares sold |
266,709 | $ | 3,269,854 | 527,852 | $ | 6,373,345 | ||||||||||
| Shares issued in reinvestment of distributions |
7,474 | 91,467 | 6,176 | 75,290 | ||||||||||||
| Shares redeemed |
(70,387 | ) | (865,700 | ) | (76,103 | ) | (912,767 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 203,796 | $ | 2,495,621 | 457,925 | $ | 5,535,868 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor A |
||||||||||||||||
| Shares sold |
145,631 | $ | 1,789,870 | 249,370 | $ | 3,026,784 | ||||||||||
| Shares issued in reinvestment of distributions |
17,973 | 219,938 | 39,734 | 482,349 | ||||||||||||
| Shares redeemed |
(105,276 | ) | (1,289,291 | ) | (372,148 | ) | (4,458,279 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 58,328 | $ | 720,517 | (83,044 | ) | $ | (949,146 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor P |
||||||||||||||||
| Shares sold |
672,316 | $ | 8,260,095 | 1,241,638 | $ | 14,991,034 | ||||||||||
| Shares issued in reinvestment of distributions |
276,177 | 3,379,308 | 631,465 | 7,663,856 | ||||||||||||
| Shares redeemed |
(1,824,085 | ) | (22,352,964 | ) | (3,844,076 | ) | (46,311,395 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (875,592 | ) | $ | (10,713,561 | ) | (1,970,973 | ) | $ | (23,656,505 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class K |
||||||||||||||||
| Shares sold |
— | $ | — | — | $ | — | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | — | — | ||||||||||||
| Shares redeemed |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| — | $ | — | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (613,468 | ) | $ | (7,497,423 | ) | (1,596,092 | ) | $ | (19,069,783 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 66 | 2 0 2 1 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)
|
|
||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended 12/31/20 |
|||||||||||||||
| Fund Name / Share Class |
Shares | Amounts | Shares | Amounts | ||||||||||||
|
|
||||||||||||||||
| Short-Term TIPS Bond Index |
||||||||||||||||
| Institutional |
||||||||||||||||
| Shares sold |
41,456 | $ | 431,244 | 1,538,927 | $ | 15,651,855 | ||||||||||
| Shares issued in reinvestment of distributions |
28,150 | 293,314 | 15,764 | 160,899 | ||||||||||||
| Shares redeemed |
(93,882 | ) | (974,507 | ) | (20,028 | ) | (197,981 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (24,276 | ) | $ | (249,949 | ) | 1,534,663 | $ | 15,614,773 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor A |
||||||||||||||||
| Shares sold |
59,298 | $ | 616,464 | 105,697 | $ | 1,079,056 | ||||||||||
| Shares issued in reinvestment of distributions |
2,017 | 21,093 | 708 | 7,134 | ||||||||||||
| Shares redeemed |
(88,060 | ) | (921,035 | ) | (37,518 | ) | (378,343 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (26,745 | ) | $ | (283,478 | ) | 68,887 | $ | 707,847 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class K |
||||||||||||||||
| Shares sold |
2,650,383 | $ | 27,674,585 | 3,597,381 | $ | 36,446,814 | ||||||||||
| Shares issued in reinvestment of distributions |
97,078 | 1,015,383 | 30,909 | 312,634 | ||||||||||||
| Shares redeemed |
(544,866 | ) | (5,676,728 | ) | (1,224,848 | ) | (12,321,435 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 2,202,595 | $ | 23,013,240 | 2,403,442 | $ | 24,438,013 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 2,151,574 | $ | 22,479,813 | 4,006,992 | $ | 40,760,633 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
|
||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended 12/31/20 |
|||||||||||||||
| Fund Name / Share Class |
Shares | Amounts | Shares | Amounts | ||||||||||||
|
|
||||||||||||||||
| International Index |
||||||||||||||||
| Institutional |
||||||||||||||||
| Shares sold |
13,328,556 | $ | 207,076,718 | 36,055,673 | $ | 432,943,808 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 1,213,193 | 17,385,549 | ||||||||||||
| Shares redeemed |
(15,682,727 | ) | (246,407,230 | ) | (32,041,822 | ) | (387,367,687 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (2,354,171 | ) | $ | (39,330,512 | ) | 5,227,044 | $ | 62,961,670 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor A |
||||||||||||||||
| Shares sold |
5,325,048 | $ | 81,812,156 | 10,068,833 | $ | 124,413,156 | ||||||||||
| Shares issued in reinvestment of distributions |
3 | 37 | 421,138 | 5,991,136 | ||||||||||||
| Shares redeemed |
(5,477,770 | ) | (84,515,245 | ) | (11,084,750 | ) | (139,444,486 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (152,719 | ) | $ | (2,703,052 | ) | (594,779 | ) | $ | (9,040,194 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor P |
||||||||||||||||
| Shares sold |
274,073 | $ | 4,219,517 | 539,569 | $ | 6,667,907 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 174,418 | 2,472,469 | ||||||||||||
| Shares redeemed |
(643,365 | ) | (9,828,434 | ) | (1,511,779 | ) | (18,866,767 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (369,292 | ) | $ | (5,608,917 | ) | (797,792 | ) | $ | (9,726,391 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class K |
||||||||||||||||
| Shares sold |
69,437,317 | $ | 1,071,029,822 | 86,478,810 | $ | 1,086,784,228 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 6,757,548 | 96,913,800 | ||||||||||||
| Shares redeemed |
(37,929,573 | ) | (584,277,939 | ) | (238,407,702 | ) | (2,767,398,564 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 31,507,744 | $ | 486,751,883 | (145,171,344 | ) | $ | (1,583,700,536 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 28,631,562 | $ | 439,109,402 | (141,336,871 | ) | $ | (1,539,505,451 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
|
||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended 12/31/20 |
|||||||||||||||
| Fund Name / Share Class |
Shares | Amounts | Shares | Amounts | ||||||||||||
|
|
||||||||||||||||
| Small Cap Index |
||||||||||||||||
| Institutional |
||||||||||||||||
| Shares sold |
6,504,323 | $ | 181,222,348 | 7,274,334 | $ | 131,368,583 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 196,130 | 4,588,006 | ||||||||||||
| Shares redeemed |
(2,437,339 | ) | (67,063,484 | ) | (4,882,192 | ) | (88,356,989 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 4,066,984 | $ | 114,158,864 | 2,588,272 | $ | 47,599,600 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| F U N D 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 |
67 |
Notes to Financial Statements (unaudited) (continued)
|
|
||||||||||||||||
| Six Months Ended 06/30/21 |
Year Ended 12/31/20 |
|||||||||||||||
| Fund Name / Share Class (continued) |
Shares | Amounts | Shares | Amounts | ||||||||||||
|
|
||||||||||||||||
| Small Cap Index (continued) |
||||||||||||||||
| Investor A |
||||||||||||||||
| Shares sold |
2,027,539 | $ | 55,654,622 | 3,519,232 | $ | 64,827,304 | ||||||||||
| Shares issued in reinvestment of distributions |
1 | 32 | 129,265 | 3,018,237 | ||||||||||||
| Shares redeemed |
(3,881,259 | ) | (109,095,556 | ) | (6,342,853 | ) | (117,082,253 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1,853,719 | ) | $ | (53,440,902 | ) | (2,694,356 | ) | $ | (49,236,712 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor P |
||||||||||||||||
| Shares sold |
474,912 | $ | 12,907,858 | 922,473 | $ | 16,362,434 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 170,625 | 3,975,291 | ||||||||||||
| Shares redeemed |
(871,069 | ) | (23,669,816 | ) | (2,186,516 | ) | (40,047,212 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (396,157 | ) | $ | (10,761,958 | ) | (1,093,418 | ) | $ | (19,709,487 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class K |
||||||||||||||||
| Shares sold |
14,239,719 | $ | 389,661,809 | 28,669,918 | $ | 514,018,462 | ||||||||||
| Shares issued in reinvestment of distributions |
— | — | 1,126,186 | 26,411,311 | ||||||||||||
| Shares redeemed |
(11,832,482 | ) | (323,014,000 | ) | (27,354,595 | ) | (501,901,492 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 2,407,237 | $ | 66,647,809 | 2,441,509 | $ | 38,528,281 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 4,224,345 | $ | 116,603,813 | 1,242,007 | $ | 17,181,682 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
As of June 30, 2021, shares owned by BlackRock HoldCo 2, Inc., an affiliate of the Fund, were as follows:
|
| ||||||||||||||
| Fund Name | Institutional | Investor A | Class K | Total | ||||||||||
|
| ||||||||||||||
| Short-Term TIPS Bond Index |
5,000 | 5,000 | 90,000 | 100,000 | ||||||||||
As of June 30, 2021, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:
|
| ||||||||||||||||||
| Fund Name | Institutional | Investor A | Investor P | Class K | Total | |||||||||||||
|
| ||||||||||||||||||
| Municipal Bond Index |
8,707 | 871 | 871 | 8,707 | 19,156 | |||||||||||||
| International Index |
— | — | 14,420 | — | 14,420 | |||||||||||||
| Small Cap Index |
— | — | 9,191 | — | 9,191 | |||||||||||||
|
| ||||||||||||||||||
| 12. | SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds 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.
| 68 | 2 0 2 1 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 |
| Series Portfolio Information as of June 30, 2021 | Master Small Cap Index Series
|
| (a) | Rounds to less than 1% of net assets. |
| (b) | For Master Small Cap Index Series (the “Series”) compliance purposes, the Series’s sector classifications refer to one or more of the sector subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| S E R I E S P O R T F O L I O I N F O R M A T I O N |
69 |
| Schedule of Investments (unaudited) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 70 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
71 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 72 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
73 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 74 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
75 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 76 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
77 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 78 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
79 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 80 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
81 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 82 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
83 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 84 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
85 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 86 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
87 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
| 88 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
For Series compliance purposes, the Series’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.
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
89 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series |
Affiliates
Investments in issuers considered to be affiliate(s) of the Series during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
||||||||||||||||||||||||||||||||||||||||
| Affiliated Issuer | Value at 12/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/21 |
Shares Held at 06/30/21 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||||||
|
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 294,236,196 | $ | 66,042,374 | (a) | $ | — | $ | 26,024 | $ | (28,017 | ) | $ | 360,276,577 | 360,060,541 | $ | 904,131 | (b) | $ | — | |||||||||||||||||||
| BlackRock Cash Funds: Treasury, SL Agency Shares |
14,601,134 | 56,016,085 | (a) | — | — | — | 70,617,219 | 70,617,219 | 3,338 | — | ||||||||||||||||||||||||||||||
| iShares Russell 2000 ETF |
8,597,035 | 162,715,117 | (143,979,892 | ) | 3,608,812 | (543,813 | ) | 30,397,259 | 132,525 | 75,014 | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | 3,634,836 | $ | (571,830 | ) | $ | 461,291,055 | $ | 982,483 | $ | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
||||||||||||||||
| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Long Contracts |
||||||||||||||||
| Russell 2000 E-Mini Index |
231 | 09/17/21 | $ | 26,655 | $ | (125,346 | ) | |||||||||
|
|
|
|||||||||||||||
OTC Total Return Swaps
| Reference Entity | Payment Frequency |
Counterparty(a) | Termination Date |
Net Notional | Accrued Unrealized Appreciation (Depreciation) |
Net Value of Entity |
Gross Notional Amount Net Asset Percentage |
|||||||||||||||||||||||
| Equity Securities Long |
Monthly | Goldman Sachs Bank USA(b) | 02/27/23 | $ | 2,402,630 | $ | 54,854 | (c) | $ | 2,416,311 | 0.1 | % | ||||||||||||||||||
| Monthly | HSBC Bank USA N.A.(d) | 02/10/23 | 671,387 | (53,423 | )(e) | 617,745 | 0.0 | |||||||||||||||||||||||
| Monthly | JPMorgan Chase Bank N.A.(f) | 02/08/23 | 1,402,070 | (50,578 | )(g) | 1,350,001 | 0.0 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (49,147 | ) | $ | 4,384,057 | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | The Series receives the total return on a portfolio of long positions underlying the total return swap. The Series pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Series pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
| (c) | Amount includes $41,173 of net dividends and financing fees. |
| (e) | Amount includes $219 of net dividends and financing fees. |
| (g) | Amount includes $1,491 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:
| (b) | (d) | (f) | ||||
| Range: | 65 basis points | 65 basis points | 65 basis points | |||
| Benchmarks: | USD - 1M US Dollar LIBOR BBA | USD - 1M US Dollar LIBOR BBA | USD - 1M US Dollar LIBOR BBA |
| 90 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series |
Balances Reported in the Statement of Assets and Liabilities for OTC Swaps
| Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
| OTC Swaps |
$ | — | $ | — | $ | 54,854 | $ | (104,001 | ) | |||||||
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
91 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the 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 |
||||||||||||||||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized appreciation on OTC swaps; Swap premiums paid |
$ | — | $ | — | $ | 54,854 | $ | — | $ | — | $ | — | $ | 54,854 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on
futures |
$ | — | $ | — | $ | 125,346 | $ | — | $ | — | $ | — | $ | 125,346 | ||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized depreciation on OTC swaps; Swap premiums received |
— | — | 104,001 | — | — | — | 104,001 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | 229,347 | $ | — | $ | — | $ | — | $ | 229,347 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Series Schedule of Investments. In the 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 net unrealized appreciation (depreciation). |
For the six months ended June 30, 2021, the effect of derivative financial instruments in the Statement of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | 3,959,488 | $ | — | $ | — | $ | — | $ | 3,959,488 | ||||||||||||||
| Swaps |
— | — | 914,097 | — | — | — | 914,097 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | 4,873,585 | $ | — | $ | — | $ | — | $ | 4,873,585 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | (318,076 | ) | $ | — | $ | — | $ | — | $ | (318,076 | ) | ||||||||||||
| Swaps |
— | — | (199,903 | ) | — | — | — | (199,903 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | (517,979 | ) | $ | — | $ | — | $ | — | $ | (517,979 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts |
||||
| Average notional value of contracts — long |
$ | 31,274,233 | ||
| Total return swaps |
||||
| Average notional value |
$ | 3,139,561 | ||
For more information about the Series’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Series’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
| Derivative Financial Instruments |
||||||||
| Futures contracts |
$ | 36,660 | $ | — | ||||
| Swaps — OTC(a) |
54,854 | 104,001 | ||||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities in the Statement of Assets and Liabilities |
91,514 | 104,001 | ||||||
|
|
|
|
|
|||||
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(36,660 | ) | — | |||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities subject to an MNA |
$ | 54,854 | $ | 104,001 | ||||
|
|
|
|
|
|||||
| (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities. |
| 92 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series |
The following table presents the Series’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 Series:
| Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
|
|
Non-Cash Collateral Received |
|
|
Cash Collateral Received |
|
|
Net Amount of Derivative Assets |
(a) | |||||
| Goldman Sachs Bank USA |
$ | 54,854 | $ | — | $ | — | $ | — | $ | 54,854 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
|
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(b) | |||||
| HSBC Bank USA N.A. |
$ | 53,423 | $ | — | $ | — | $ | — | $ | 53,423 | ||||||||||
| JPMorgan Chase Bank N.A. |
50,578 | — | — | — | 50,578 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 104,001 | $ | — | $ | — | $ | — | $ | 104,001 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (b) | Net amount represents the net amount payable due to counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Series’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Series’s financial instruments categorized in the fair value hierarchy. The breakdown of the Series’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Advertising Agencies |
$ | 20,298,274 | $ | — | $ | — | $ | 20,298,274 | ||||||||
| Aerospace |
34,452,728 | — | — | 34,452,728 | ||||||||||||
| Agriculture, Fishing & Ranching |
18,089,229 | — | — | 18,089,229 | ||||||||||||
| Air Transport |
21,654,437 | — | — | 21,654,437 | ||||||||||||
| Alternative Energy |
13,297,829 | — | — | 13,297,829 | ||||||||||||
| Aluminum |
10,012,746 | — | — | 10,012,746 | ||||||||||||
| Asset Management & Custodian |
46,539,537 | — | — | 46,539,537 | ||||||||||||
| Auto Parts |
58,638,763 | — | — | 58,638,763 | ||||||||||||
| Auto Services |
7,199,278 | — | — | 7,199,278 | ||||||||||||
| Back Office Support, HR & Consulting |
66,431,948 | — | — | 66,431,948 | ||||||||||||
| Banks: Diversified |
340,392,556 | — | — | 340,392,556 | ||||||||||||
| Banks: Savings, Thrift & Mortgage Lending |
46,254,645 | — | — | 46,254,645 | ||||||||||||
| Beverage: Soft Drinks |
14,982,555 | — | — | 14,982,555 | ||||||||||||
| Biotechnology |
447,753,672 | — | 66,827 | 447,820,499 | ||||||||||||
| Building Materials |
32,946,214 | — | — | 32,946,214 | ||||||||||||
| Building: Climate Control |
9,434,535 | — | — | 9,434,535 | ||||||||||||
| Building: Roofing, Wallboard & Plumbing |
8,818,660 | — | — | 8,818,660 | ||||||||||||
| Cable Television Services |
8,993,606 | — | — | 8,993,606 | ||||||||||||
| Casinos & Gambling |
18,902,913 | — | — | 18,902,913 | ||||||||||||
| Cement |
2,283,593 | — | — | 2,283,593 | ||||||||||||
| Chemicals: Diversified |
35,484,272 | — | — | 35,484,272 | ||||||||||||
| Chemicals: Specialty |
36,405,546 | — | — | 36,405,546 | ||||||||||||
| Coal |
4,429,262 | — | — | 4,429,262 | ||||||||||||
| Commercial Banks |
2,493,543 | — | — | 2,493,543 | ||||||||||||
| Commercial Finance & Mortgage Companies |
13,159,668 | — | — | 13,159,668 | ||||||||||||
| Commercial Services & Supplies |
906,296 | — | — | 906,296 | ||||||||||||
| Commercial Services: Rental & Leasing |
25,859,515 | — | — | 25,859,515 | ||||||||||||
| Commercial Vehicles & Parts |
14,592,986 | — | — | 14,592,986 | ||||||||||||
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
93 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Communications Technology |
$ | 42,441,812 | $ | — | $ | — | $ | 42,441,812 | ||||||||
| Computer Services Software & Systems |
354,149,420 | — | — | 354,149,420 | ||||||||||||
| Computer Technology |
30,566,193 | 86,636 | — | 30,652,829 | ||||||||||||
| Construction |
20,283,147 | — | — | 20,283,147 | ||||||||||||
| Consumer Electronics |
9,457,088 | — | — | 9,457,088 | ||||||||||||
| Consumer Lending |
33,081,137 | — | — | 33,081,137 | ||||||||||||
| Consumer Services: Miscellaneous |
13,463,963 | — | — | 13,463,963 | ||||||||||||
| Containers & Packaging |
12,571,781 | — | — | 12,571,781 | ||||||||||||
| Cosmetics |
3,971,356 | — | — | 3,971,356 | ||||||||||||
| Diversified Financial Services |
29,374,878 | — | — | 29,374,878 | ||||||||||||
| Diversified Manufacturing Operations |
24,354,243 | — | — | 24,354,243 | ||||||||||||
| Diversified Materials & Processing |
8,958,283 | — | — | 8,958,283 | ||||||||||||
| Diversified Media |
2,050,090 | — | — | 2,050,090 | ||||||||||||
| Diversified Retail |
44,989,586 | — | — | 44,989,586 | ||||||||||||
| Drug & Grocery Store Chains |
9,601,474 | — | — | 9,601,474 | ||||||||||||
| Education Services |
24,731,193 | — | — | 24,731,193 | ||||||||||||
| Electronic Components |
36,723,336 | — | — | 36,723,336 | ||||||||||||
| Electronic Entertainment |
1,296,384 | — | — | 1,296,384 | ||||||||||||
| Electronics |
25,061,186 | — | — | 25,061,186 | ||||||||||||
| Energy Equipment |
32,894,943 | — | — | 32,894,943 | ||||||||||||
| Engineering & Contracting Services |
39,733,193 | — | — | 39,733,193 | ||||||||||||
| Entertainment |
48,203,977 | — | — | 48,203,977 | ||||||||||||
| Environmental, Maintenance, & Security Service |
24,852,298 | — | — | 24,852,298 | ||||||||||||
| Financial Data & Systems |
23,357,041 | — | — | 23,357,041 | ||||||||||||
| Food & Staples Retailing |
159,188 | — | — | 159,188 | ||||||||||||
| Foods |
56,913,757 | — | — | 56,913,757 | ||||||||||||
| Forest Products |
10,142,763 | — | — | 10,142,763 | ||||||||||||
| Forms & Bulk Printing Services |
4,537,393 | — | — | 4,537,393 | ||||||||||||
| Fruit & Grain Processing |
1,551,256 | — | — | 1,551,256 | ||||||||||||
| Funeral Parlors & Cemeteries |
7,602,488 | — | — | 7,602,488 | ||||||||||||
| Gas Pipeline |
5,570,246 | — | — | 5,570,246 | ||||||||||||
| Glass |
1,586,067 | — | — | 1,586,067 | ||||||||||||
| Gold |
6,072,863 | — | — | 6,072,863 | ||||||||||||
| Health Care Equipment & Supplies |
2,039,430 | — | — | 2,039,430 | ||||||||||||
| Health Care Facilities |
38,718,278 | — | — | 38,718,278 | ||||||||||||
| Health Care Management Services |
19,953,111 | — | — | 19,953,111 | ||||||||||||
| Health Care Services |
113,448,837 | — | — | 113,448,837 | ||||||||||||
| Health Care: Miscellaneous |
11,048,021 | — | — | 11,048,021 | ||||||||||||
| Home Building |
41,652,647 | — | — | 41,652,647 | ||||||||||||
| Hotel/Motel |
7,905,927 | — | — | 7,905,927 | ||||||||||||
| Household Appliances |
1,024,380 | — | — | 1,024,380 | ||||||||||||
| Household Equipment & Products |
18,218,524 | — | — | 18,218,524 | ||||||||||||
| Household Furnishings |
15,411,878 | — | — | 15,411,878 | ||||||||||||
| Insurance: Life |
21,968,590 | — | — | 21,968,590 | ||||||||||||
| Insurance: Multi-Line |
20,256,972 | — | — | 20,256,972 | ||||||||||||
| Insurance: Property-Casualty |
66,849,771 | — | — | 66,849,771 | ||||||||||||
| International Trade & Diversified Logistic |
5,141,868 | — | — | 5,141,868 | ||||||||||||
| Internet Software & Services |
6,244,127 | — | — | 6,244,127 | ||||||||||||
| Leisure Time |
38,917,320 | — | — | 38,917,320 | ||||||||||||
| Life Sciences Tools & Services |
348,997 | — | — | 348,997 | ||||||||||||
| Luxury Items |
7,152,883 | — | — | 7,152,883 | ||||||||||||
| Machinery: Agricultural |
6,433,103 | — | — | 6,433,103 | ||||||||||||
| Machinery: Construction & Handling |
9,668,606 | — | — | 9,668,606 | ||||||||||||
| Machinery: Industrial |
72,318,360 | — | — | 72,318,360 | ||||||||||||
| Machinery: Specialty |
4,152,197 | — | — | 4,152,197 | ||||||||||||
| Manufactured Housing |
7,372,413 | — | — | 7,372,413 | ||||||||||||
| Medical & Dental Instruments & Supplies |
110,317,875 | — | — | 110,317,875 | ||||||||||||
| Medical Equipment |
78,754,505 | — | — | 78,754,505 | ||||||||||||
| Medical Services |
6,339,394 | — | — | 6,339,394 | ||||||||||||
| Metal Fabricating |
34,747,348 | — | — | 34,747,348 | ||||||||||||
| Metals & Minerals: Diversified |
34,941,185 | — | 1 | 34,941,186 | ||||||||||||
| Office Supplies & Equipment |
15,943,897 | — | — | 15,943,897 | ||||||||||||
| Oil & Gas Producers |
2,150,691 | — | — | 2,150,691 | ||||||||||||
| 94 | 2 0 2 1 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) June 30, 2021 |
Master Small Cap Index Series |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Oil Well Equipment & Services |
$ | 35,610,440 | $ | — | $ | — | $ | 35,610,440 | ||||||||
| Oil, Gas & Consumable Fuels |
5,510,503 | — | — | 5,510,503 | ||||||||||||
| Oil: Crude Producers |
111,193,106 | — | — | 111,193,106 | ||||||||||||
| Oil: Refining & Marketing |
15,038,167 | — | — | 15,038,167 | ||||||||||||
| Paints & Coatings |
9,525,018 | — | — | 9,525,018 | ||||||||||||
| Paper |
9,844,245 | — | — | 9,844,245 | ||||||||||||
| Personal Care |
17,841,421 | — | — | 17,841,421 | ||||||||||||
| Pharmaceuticals |
112,232,556 | — | — | 112,232,556 | ||||||||||||
| Photography |
2,205,030 | — | — | 2,205,030 | ||||||||||||
| Plastics |
3,647,727 | — | — | 3,647,727 | ||||||||||||
| Power Transmission Equipment |
10,967,533 | — | — | 10,967,533 | ||||||||||||
| Printing & Copying Services |
7,720,915 | — | — | 7,720,915 | ||||||||||||
| Producer Durables: Miscellaneous |
436,943 | — | — | 436,943 | ||||||||||||
| Production Technology Equipment |
22,301,097 | — | — | 22,301,097 | ||||||||||||
| Publishing |
10,690,577 | — | — | 10,690,577 | ||||||||||||
| Radio & TV Broadcasters |
19,393,658 | — | — | 19,393,658 | ||||||||||||
| Railroad Equipment |
5,566,551 | — | — | 5,566,551 | ||||||||||||
| Real Estate |
30,023,546 | — | — | 30,023,546 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
299,648,669 | — | — | 299,648,669 | ||||||||||||
| Real Estate Management & Development |
2,680,546 | — | — | 2,680,546 | ||||||||||||
| Recreational Vehicles & Boats |
15,183,504 | — | — | 15,183,504 | ||||||||||||
| Rental & Leasing Services: Consumer |
19,334,320 | — | — | 19,334,320 | ||||||||||||
| Restaurants |
64,520,070 | — | — | 64,520,070 | ||||||||||||
| Scientific Instruments: Control & Filter |
30,488,855 | — | — | 30,488,855 | ||||||||||||
| Scientific Instruments: Electrical |
28,180,683 | — | — | 28,180,683 | ||||||||||||
| Scientific Instruments: Gauges & Meters |
17,034,232 | — | — | 17,034,232 | ||||||||||||
| Scientific Instruments: Pollution Control |
12,465,437 | — | — | 12,465,437 | ||||||||||||
| Securities Brokerage & Services |
4,424,532 | — | — | 4,424,532 | ||||||||||||
| Semiconductors & Components |
90,100,026 | — | — | 90,100,026 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
5,781,585 | — | — | 5,781,585 | ||||||||||||
| Shipping |
22,487,305 | — | — | 22,487,305 | ||||||||||||
| Software |
7,448,546 | — | — | 7,448,546 | ||||||||||||
| Specialty Retail |
113,159,551 | — | — | 113,159,551 | ||||||||||||
| Steel |
10,505,910 | — | — | 10,505,910 | ||||||||||||
| Technology: Miscellaneous |
13,770,100 | — | — | 13,770,100 | ||||||||||||
| Telecommunications Equipment |
13,664,215 | — | — | 13,664,215 | ||||||||||||
| Textile Products |
1,852,038 | — | — | 1,852,038 | ||||||||||||
| Textiles Apparel & Shoes |
33,301,252 | — | — | 33,301,252 | ||||||||||||
| Thrifts & Mortgage Finance |
7,420,701 | — | — | 7,420,701 | ||||||||||||
| Toys |
1,012,673 | — | — | 1,012,673 | ||||||||||||
| Transportation Miscellaneous |
12,170,058 | — | — | 12,170,058 | ||||||||||||
| Truckers |
24,189,133 | — | — | 24,189,133 | ||||||||||||
| Utilities: Electrical |
47,180,005 | — | — | 47,180,005 | ||||||||||||
| Utilities: Gas Distributors |
26,731,035 | — | — | 26,731,035 | ||||||||||||
| Utilities: Miscellaneous |
8,924,106 | — | — | 8,924,106 | ||||||||||||
| Utilities: Telecommunications |
46,930,776 | — | — | 46,930,776 | ||||||||||||
| Utilities: Water |
15,795,576 | — | — | 15,795,576 | ||||||||||||
| Corporate Bonds |
— | 17,381 | — | 17,381 | ||||||||||||
| Investment Companies |
30,397,259 | — | — | 30,397,259 | ||||||||||||
| Warrants |
4,820 | — | — | 4,820 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
430,893,796 | — | — | 430,893,796 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 5,057,884,311 | $ | 104,017 | $ | 66,828 | $ | 5,058,055,156 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Assets |
||||||||||||||||
| Equity Contracts |
$ | — | $ | 54,854 | $ | — | $ | 54,854 | ||||||||
| S E R I E S S C H E D U L E O F I N V E S T M E N T S |
95 |
| Schedule of Investments (unaudited) (continued) June 30, 2021 |
Master Small Cap Index Series |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Liabilities |
||||||||||||||||
| Equity Contracts |
$ | (125,346 | ) | $ | (104,001 | ) | $ | — | $ | (229,347 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (125,346 | ) | $ | (49,147 | ) | $ | — | $ | (174,493 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| 96 | 2 0 2 1 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)
June 30, 2021
| Master Small Cap Index Series |
||||
|
|
||||
| ASSETS |
| |||
| Investments, at value — unaffiliated(a)(b) |
$ | 4,596,764,101 | ||
| Investments, at value — affiliated(c) |
461,291,055 | |||
| Cash pledged for futures contracts |
1,537,000 | |||
| Receivables: |
||||
| Investments sold |
10,280,141 | |||
| Securities lending income — affiliated |
149,314 | |||
| Swaps |
134,211 | |||
| Dividends — unaffiliated |
3,196,414 | |||
| Dividends — affiliated |
236 | |||
| Variation margin on futures contracts |
36,660 | |||
| Unrealized appreciation on OTC swaps |
54,854 | |||
| Prepaid expenses |
14,819 | |||
|
|
|
|||
| Total assets |
5,073,458,805 | |||
|
|
|
|||
| LIABILITIES |
||||
| Bank overdraft |
1,108,118 | |||
| Collateral on securities loaned, at value |
360,174,563 | |||
| Payables: |
||||
| Investments purchased |
50,950,944 | |||
| Withdrawals to investors |
7,464,753 | |||
| Investment advisory fees |
34,879 | |||
| Directors’ fees |
5,681 | |||
| Other accrued expenses |
174,246 | |||
| Other affiliates |
13,325 | |||
| Unrealized depreciation on OTC swaps |
104,001 | |||
|
|
|
|||
| Total liabilities |
420,030,510 | |||
|
|
|
|||
| NET ASSETS |
$ | 4,653,428,295 | ||
|
|
|
|||
| NET ASSETS CONSIST OF |
||||
| Investors’ capital |
$ | 3,180,041,694 | ||
| Net unrealized appreciation (depreciation) |
1,473,386,601 | |||
|
|
|
|||
| NET ASSETS |
$ | 4,653,428,295 | ||
|
|
|
|||
| (a) Investments, at cost — unaffiliated |
$ | 3,124,398,949 | ||
| (b) Securities loaned, at value |
$ | 348,323,994 | ||
| (c) Investments, at cost — affiliated |
$ | 460,095,113 | ||
See notes to financial statements.
| S E R I E S F I N A N C I A L S T A T E M E N T S |
97 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2021
| Master Small Cap Index Series |
||||||||
|
|
||||||||
| INVESTMENT INCOME |
||||||||
| Dividends — unaffiliated |
$ | 14,600,032 | ||||||
| Dividends — affiliated |
78,352 | |||||||
| Interest — unaffiliated |
3,978 | |||||||
| Securities lending income — affiliated — net |
904,131 | |||||||
| Foreign taxes withheld |
(65,139 | ) | ||||||
|
|
|
|||||||
| Total investment income |
15,521,354 | |||||||
|
|
|
|||||||
| EXPENSES |
||||||||
| Investment advisory |
219,723 | |||||||
| Custodian |
67,696 | |||||||
| Professional |
39,982 | |||||||
| Accounting services |
20,499 | |||||||
| Directors |
8,526 | |||||||
| Printing and postage |
8,394 | |||||||
| Miscellaneous |
15,216 | |||||||
|
|
|
|||||||
| Total expenses |
380,036 | |||||||
| Less: |
||||||||
| Fees waived and/or reimbursed by the Manager |
(17,222 | ) | ||||||
|
|
|
|||||||
| Total expenses after fees waived and/or reimbursed |
362,814 | |||||||
|
|
|
|||||||
| Net investment income |
15,158,540 | |||||||
|
|
|
|||||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||
| Net realized gain from: |
||||||||
| Investments — unaffiliated |
275,795,148 | |||||||
| Investments — affiliated |
3,634,836 | |||||||
| Futures contracts |
3,959,488 | |||||||
| Swaps |
914,097 | |||||||
|
|
|
|||||||
| 284,303,569 | ||||||||
|
|
|
|||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investments — unaffiliated |
383,482,480 | |||||||
| Investments — affiliated |
(571,830 | ) | ||||||
| Futures contracts |
(318,076 | ) | ||||||
| Swaps |
(199,903 | ) | ||||||
|
|
|
|||||||
| 382,392,671 | ||||||||
|
|
|
|||||||
| Net realized and unrealized gain |
666,696,240 | |||||||
|
|
|
|||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 681,854,780 | ||||||
|
|
|
|||||||
See notes to financial statements.
| 98 | 2 0 2 1 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 |
Statements of Changes in Net Assets
| Master Small Cap Index Series | ||||||||
| Six Months Ended 06/30/21 (unaudited) |
Year Ended 12/31/20 |
|||||||
|
|
||||||||
| INCREASE (DECREASE) IN NET ASSETS |
||||||||
| OPERATIONS |
||||||||
| Net investment income |
$ | 15,158,540 | $ | 40,760,858 | ||||
| Net realized gain |
284,303,569 | 16,530,624 | ||||||
| Net change in unrealized appreciation (depreciation) |
382,392,671 | 633,813,782 | ||||||
|
|
|
|
|
|||||
| Net increase in net assets resulting from operations |
681,854,780 | 691,105,264 | ||||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS |
||||||||
| Proceeds from contributions |
773,464,066 | 935,046,677 | ||||||
| Value of withdrawals |
(697,108,712 | ) | (1,056,617,358 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets derived from capital transactions |
76,355,354 | (121,570,681 | ) | |||||
|
|
|
|
|
|||||
| NET ASSETS |
||||||||
| Total increase in net assets |
758,210,134 | 569,534,583 | ||||||
| Beginning of period |
3,895,218,161 | 3,325,683,578 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 4,653,428,295 | $ | 3,895,218,161 | ||||
|
|
|
|
|
|||||
See notes to financial statements.
| S E R I E S F I N A N C I A L S T A T E M E N T S |
99 |
Financial Highlights (unaudited)
| Master Small Cap Index Series
|
||||||||||||||||||||||||||||
|
Six Months Ended 06/30/21 (unaudited) |
Year Ended December 31, | |||||||||||||||||||||||||||
|
2020 |
2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
| Total Return |
||||||||||||||||||||||||||||
| Total return |
17.52 | %(a) | 20.08 | % | 25.70 | % | (10.96 | )% | 14.69 | % | 21.49 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Ratios to Average Net Assets |
||||||||||||||||||||||||||||
| Total expenses |
0.02 | %(b) | 0.03 | % | 0.02 | % | 0.03 | % | 0.06 | % | 0.07 | %(c) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.02 | %(b) | 0.02 | % | 0.02 | % | 0.03 | % | 0.05 | % | 0.06 | %(c) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income |
0.69 | %(b) | 1.29 | % | 1.49 | % | 1.49 | % | 1.41 | % | 1.49 | %(c) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 4,653,428 | $ | 3,895,218 | $ | 3,325,684 | $ | 2,309,730 | $ | 1,278,155 | $ | 666,690 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Portfolio turnover rate |
23 | % | 27 | % | 20 | % | 28 | % | 30 | % | 39 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| (a) | Aggregate total return. |
| (b) | Annualized. |
| (c) | Excludes expenses incurred indirectly of 0.01% as a result of the Series’ investments in underlying funds. |
See notes to financial statements.
| 100 | 2 0 2 1 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)
| 1. | ORGANIZATION |
Quantitative Master Series LLC (the “Master LLC”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Master LLC is organized as a Delaware statutory trust. Master Small Cap Index Series (“the “Series”) is a series of the Master LLC. The Series is classified as diversified. The Series’ Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.
The Series, 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 Series is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Series is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.
Foreign Taxes: The Series may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Series invests. These foreign taxes, if any, are paid by the Series and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Statement of Assets and Liabilities.
The Series files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Series may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where the Series enters into certain investments (e.g., futures contracts and swaps) that would be treated as “senior securities” for 1940 Act purposes, the Series 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 Series 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.
Indemnifications: In the normal course of business, the Series enters into contracts that contain a variety of representations that provide general indemnification. The Series’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Series, which cannot be predicted with any certainty.
Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Series’ investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Series is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
| S E R I E S 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 |
101 |
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 Series’ assets and liabilities:
| • | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange (“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 Series’ net assets. Each business day, the Series 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 (including money market funds) are valued at that day’s published net asset value (“NAV”). |
| • | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
| • | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Series 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.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
|
Standard Inputs Generally Considered By Third Party Pricing Services
| ||
| Market approach |
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
(ii) recapitalizations and other transactions across the capital structure; and
(iii) market multiples of comparable issuers.
| |
| Income approach |
(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
(ii) quoted prices for similar investments or assets in active markets; and
(iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
| |
| Cost approach |
(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
(iii) relevant news and other public sources; and
(iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
| |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used, as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Series. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Series is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Series could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access; |
| 102 | 2 0 2 1 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)
| • | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending: The Series may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Series collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Series is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Series and any additional required collateral is delivered to the Series, or excess collateral returned by the Series, on the next business day. During the term of the loan, the Series is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of any securities on loan, all of which were classified as common stocks in the Series’ Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value - unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Series, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Series’ securities on loan by counterparty which are subject to offset under an MSLA:
|
|
||||||||||||||||||||
| Securities | Cash Collateral | Net | ||||||||||||||||||
| Counterparty |
Loaned at Value | Received | (a) | Amount | ||||||||||||||||
|
|
||||||||||||||||||||
| Barclays Capital, Inc. |
$ | 8,867,683 | $ | (8,867,683 | ) | $ — | ||||||||||||||
| BNP Paribas Securities Corp. |
2,265,860 | (2,265,860 | ) | — | ||||||||||||||||
| BofA Securities, Inc. |
68,420,592 | (68,420,592 | ) | — | ||||||||||||||||
| Citadel Clearing LLC |
946,025 | (946,025 | ) | — | ||||||||||||||||
| Citigroup Global Markets, Inc. |
42,301,405 | (42,301,405 | ) | — | ||||||||||||||||
| Credit Suisse Securities (USA) LLC |
15,774,050 | (15,774,050 | ) | — | ||||||||||||||||
| J.P. Morgan Securities LLC |
143,931,878 | (143,931,878 | ) | — | ||||||||||||||||
| Jefferies LLC |
14,725,170 | (14,725,170 | ) | — | ||||||||||||||||
| Nomura Securities International, Inc. |
215,332 | (215,332 | ) | — | ||||||||||||||||
| Pershing LLC |
14,115 | (14,115 | ) | — | ||||||||||||||||
| Scotia Capital (USA), Inc. |
5,246,838 | (5,246,838 | ) | — | ||||||||||||||||
| State Street Bank & Trust Company |
12,755,605 | (12,755,605 | ) | — | ||||||||||||||||
| TD Prime Services LLC |
1,032,056 | (1,032,056 | ) | — | ||||||||||||||||
| UBS AG |
20,316,338 | (20,316,338 | ) | — | ||||||||||||||||
| Virtu Americas LLC |
2,727,348 | (2,727,348 | ) | — | ||||||||||||||||
| S E R I E S 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 |
103 |
Notes to Financial Statements (unaudited) (continued)
|
|
||||||||||||||||||||
| Securities | Cash Collateral | Net | ||||||||||||||||||
| Counterparty |
Loaned at Value | Received | (a) | Amount | ||||||||||||||||
|
|
||||||||||||||||||||
| Wells Fargo Bank, National Association |
$ | 2,910,193 | $ | (2,910,193 | ) | $ | — | |||||||||||||
| Wells Fargo Securities LLC. |
5,873,506 | (5,873,506 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $ | 348,323,994 | $ | (348,323,994 | ) | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Series is disclosed in the Series’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Series benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Series could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Series.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series 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 Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Series 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 Series 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 Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Series 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 Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Series 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 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 Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Series’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Series’ counterparty on the swap. The Series is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Series 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 Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Series 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 shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statement of Operations, including those at termination.
| • | 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
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Notes to Financial Statements (unaudited) (continued)
the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Series 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 Series 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 Series and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the 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 Series 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 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 Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Series and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Series and the counterparty.
Cash collateral that has been pledged to cover obligations of the Series and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Series, if any, is noted in the 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 Series. Any additional required collateral is delivered to/pledged by the Series 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 Series 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 Series from the counterparties are not fully collateralized, the Series bears the risk of loss from counterparty non-performance. Likewise, to the extent the Series has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, the Series 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 Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of the Series’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Series.
For such services, the Series pays the Manager a monthly fee at an annual rate equal to 0.01% of the average daily value of the Series’ net assets.
For the six months ended June 30, 2021, the Series reimbursed the Manager for certain accounting services, which is included in accounting services in the Statement of Operations. The reimbursements were $15,978.
| S E R I E S 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 |
105 |
Notes to Financial Statements (unaudited) (continued)
With respect to the Series, the Manager entered into a sub-advisory agreement with BlackRock Fund Advisors (“BFA”), an affiliate of the Manager. The Manager pays BFA for services it provides for that portion of the Series for which BFA acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Series to the Manager.
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Series, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Series. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2021, the amount waived was $16,133.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Series’ assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2021, the Manager waived $1,089 in investment advisory fees pursuant to this arrangement.
The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business (“expense limitation”). The expense limitation as a percentage of average daily net assets is 0.07%.
The Manager has agreed not to reduce or discontinue these contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. For the six months ended June 30, 2021, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Series is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Series bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Series retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Series retains 77% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Series, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by the Series is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2021, the Series paid BTC $323,487 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Series 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 Series’ investment policies and restrictions. The Series 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.
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Notes to Financial Statements (unaudited) (continued)
During the period ended June 30, 2021, the Series did not participate in the Interfund Lending Program.
Directors and Officers: Certain directors and/or officers of Master LLC are directors and/or officers of BlackRock or its affiliates.
Other Transactions: The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended June 30, 2021, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
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| Series Name | Purchases | Sales | Net Realized Gain (Loss) |
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| Master Small Cap Index Series |
$ | 103,260,266 | $ | 267,809,538 | $ | 130,257,729 | ||||||
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| 7. | PURCHASES AND SALES |
For the six months ended June 30, 2021, purchases and sales of investments, excluding short-term investments, were $1,087,032,353 and $997,417,404, respectively.
| 8. | INCOME TAX INFORMATION |
The Series is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no U.S. federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Series 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 Series’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on the Series’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 Series as of June 30, 2021, 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 Series’ financial statements.
As of June 30, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
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| Series Name | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation |
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| Master Small Cap Index Series |
$ | 3,653,670,681 | $ | 1,612,762,744 | $ | (208,552,762 | ) | $ | 1,404,209,982 | |||||||||
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| 9. | BANK BORROWINGS |
The Master LLC, on behalf of the Series, 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 Series may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Series, 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 2022 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2021, the Series did not borrow under the credit agreement.
| 10. | PRINCIPAL RISKS |
In the normal course of business, the Series invests in securities or other instruments and may enter into certain transactions, and such activities subject the Series 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 Series and its investments. The Series’ prospectus provides details of the risks to which the Series is subject.
| S E R I E S 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 |
107 |
Notes to Financial Statements (unaudited) (continued)
The Series may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Series may invest in illiquid investments. An illiquid investment is any investment that the Series 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 Series 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 Series’ NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Series may lose value, regardless of the individual results of the securities and other instruments in which the Series invests.
The price the Series could receive upon the sale of any particular portfolio investment may differ from the Series’ 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 Series’ results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Series, and the Series could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Series’ ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk: The Series may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Series 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 Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ 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 Series.
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.
With exchange-traded futures, there is less counterparty credit risk to the Series 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 Series 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 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 Series.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Series’ portfolio are disclosed in its Schedule of Investments.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Series may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Series is uncertain.
| 11. | SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Series 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.
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Disclosure of Investment Advisory Agreement
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Funds (the “Trust”) met on April 7, 2021 (the “April Meeting”) and May 10-12, 2021 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Agreement”) between the Trust, on behalf of iShares Municipal Bond Index Fund (the “Fund”), and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Fund’s investment advisor.
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreement for the Fund on an annual basis. The Board members whom are not “interested persons” of the Trust, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had a fifth one-day meeting to consider specific information surrounding the renewal of the Agreement. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The members of the Board gave attention to all of the information that was furnished, and each Board Member placed varying degrees of importance on the various pieces of information that were provided to them. The Board evaluated the information available to it on a fund by fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
| D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T |
109 |
Disclosure of Investment Advisory Agreement (continued)
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of the Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2020, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its benchmark. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of the Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-year period reported, the Fund’s net performance within the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2020 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including,
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Disclosure of Investment Advisory Agreement (continued)
among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which the Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Trust, on behalf of the Fund, for a one-year term ending June 30, 2022. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Funds (the “Trust”) met on April 7, 2021 (the “April Meeting”) and May 10-12, 2021 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of iShares Short-Term TIPS Bond Index Fund (the “Fund”), and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Fund Advisors (the “Sub-Advisor”) with respect to the Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for the Fund on an annual basis. The Board members whom are not “interested persons” of the Trust, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The members of the Board gave attention to all of the information that was furnished, and each Board Member placed varying degrees of importance on the various pieces of information that were provided to them. The Board evaluated the information available to it on a fund by fund basis. The
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of the Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2020, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its benchmark. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of the Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-year period reported, the Fund’s net performance was below the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s below tolerance performance relative to its benchmark over the period. The Board was informed that, among other things, the Fund’s underperformance relative to its benchmark and breach of its lower tolerance, was primarily driven by negative performance stemming from rebalance activity.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2020 compared to available
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked first out of four funds, and that the actual management fee rate and total expense ratio ranked first out of four funds and third out of four funds, respectively, relative to the Fund’s Expense Peers. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which the Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of the Fund, for a one-year term ending June 30, 2022, and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to the Fund, for a one-year term ending June 30, 2022. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
The Board of Directors of Quantitative Master Series LLC (the “Master LLC”) met on April 7, 2021 (the “April Meeting”) and May 10-12, 2021 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Master LLC Advisory Agreement”) between the Master LLC, on behalf of Master Small Cap Index Series (the “Master Fund”) and BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor. The Board of Directors of the Master LLC (the “Master LLC Board”) also considered the approval of the sub-advisory agreement between the Manager and BlackRock Fund Advisors (the “Sub-Advisor”) with respect to the Master Fund (the “Master Fund Sub-Advisory Agreement”). iShares Russell 2000 Small-Cap Index Fund (“Small-Cap Index Fund”), a series of BlackRock Index Funds, Inc. (the “Corporation”), is a “feeder” fund that invests all of its investable assets in the Master Fund. Accordingly, the Board of Directors of the Corporation (the “Corporation Board”) also considered the approval of the Master LLC Advisory Agreement and the Master Fund Sub-Advisory Agreement.
The Corporation Board also met at the April Meeting and the May Meeting to consider the approval of the investment advisory agreement (the “Corporation Advisory Agreement”) between the Corporation, on behalf of iShares MSCI EAFE International Index Fund (“International Index Fund”) and the Manager, the Corporation’s investment advisor. The Corporation Board also considered the approval of the sub-advisory agreement between the Manager and the Sub-Advisor with respect to International Index Fund (the “International Index Fund Sub-Advisory Agreement”).
The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Master Fund, Small-Cap Index Fund and International Index Fund are referred to herein, as pertinent, individually as a “Fund” or collectively as the “Funds.” The Master LLC Advisory Agreement, the Corporation Advisory Agreement, the Master Fund Sub-Advisory Agreement and the International Index Fund Sub-Advisory Agreement are referred to herein as the “Agreements.” For simplicity: (a) the Master LLC Board and the Corporation Board are referred to herein individually as the “Board” and collectively as the “Boards,” and the members are referred to as “Board Members;” and (b) the shareholders of each of Small-Cap Index Fund and International Index Fund and the interest holders of the Master Fund are referred to as “shareholders.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), each Board considers the continuation of the pertinent Agreement for the Master LLC and the Corporation on an annual basis. The Board members whom are not “interested persons” of the Master LLC or the Corporation, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). Each Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. Each Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings throughout the year, as needed. The committees of each Board similarly met throughout the year. Each Board also had a fifth one-day meeting to consider specific information surrounding the renewal of the pertinent Agreement. In particular, each Board assessed, among other things, the nature, extent and quality of the services provided to the Funds by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, each Board, acting directly and through its committees, considers information that was relevant to its annual consideration of the renewal of the pertinent Agreement, including the services and support provided by BlackRock to the Funds and their shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services; (c) the applicable Fund’s operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the applicable Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the applicable Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the applicable Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, each Board requested and reviewed materials specifically relating to the renewal of the pertinent Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper Classification or Morningstar category, regarding fees and expenses of the applicable Fund as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), and the investment performance of each of Small-Cap Index Fund and International Index Fund (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the pertinent Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the applicable Fund; (g) a summary of aggregate amounts paid by the applicable Fund to BlackRock; (h) sales and redemption data regarding each of Small-Cap Index Fund’s and International Index Fund’s shares; and (i) various additional information requested by each Board as appropriate regarding BlackRock’s and each Fund’s.
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
At the April Meeting, each Board reviewed materials relating to its consideration of the pertinent Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, each Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the applicable Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the applicable Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the applicable Fund; and (g) other factors deemed relevant by the Board Members.
Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of the portfolio holdings of the applicable Fund. Each Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The members of the Board gave attention to all of the information that was furnished, and each Board Member placed varying degrees of importance on the various pieces of information that were provided to them. The Board evaluated the information available to it on a fund by fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to each Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, each Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by the applicable Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment strategies and outlook.
Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the applicable Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. Each Board engaged in a review of BlackRock’s compensation structure with respect to the applicable Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, each Board considered the nature and quality of the administrative and other non-investment advisory services provided to the applicable Fund. BlackRock and its affiliates provide the applicable Fund with certain administrative, shareholder and other services (in addition to any such services provided to the applicable Fund by third parties) and officers and other personnel as are necessary for the operations of the applicable Fund. In particular, BlackRock and its affiliates provide the applicable Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third party service providers including, among others, the custodian, fund accountant, transfer agent, and auditor for the applicable Fund, as applicable; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the applicable Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing Small-Cap Index Fund’s and International Index Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of the Funds and BlackRock
Each Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Fund/Small-Cap Index Fund and International Index Fund, as applicable throughout the year and at the April Meeting. Each Board noted that Small-Cap Index Fund’s investment results correspond directly to the investment results of the Master Fund. In preparation for the April Meeting, each Board was provided with reports independently prepared by Broadridge, which included an analysis of Small-Cap Index Fund’s and International Index Fund’s performance as of December 31, 2020, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, each Board received and reviewed information regarding the investment performance of Small-Cap Index Fund and International Index Fund as compared to each of these Fund’s Performance Peers and the performance of each of these Funds as compared with its benchmark. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the pertinent Fund throughout the year.
In evaluating performance, each Board focused particular attention on funds with less favorable performance records. Each Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Each Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance and that a single investment theme could have the ability to disproportionately affect long-term performance.
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
The Boards noted that for the one-year period reported, Small-Cap Index Fund’s net performance was above the tolerance range of its benchmark. The Boards noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Boards. The Boards and BlackRock reviewed the Fund’s above tolerance performance relative to its benchmark over the period.
The Corporation Board noted that for the one-year period reported, International Index Fund’s net performance was below the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s below tolerance performance relative to its benchmark over the period. The Board was informed that, among other things, the Fund’s underperformance relative to its benchmark and the breach of its lower tolerance, was primarily driven by negative performance stemming from the impact of post-notified flows. Post-notified activity is a source of performance variation, relative to the benchmark, because the flow information is received after the close of the effective date of the activity introducing either a drag or boost to performance.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Funds
Each Board, including the Independent Board Members, reviewed, as pertinent, with respect to Master Fund/Small-Cap Index Fund, the contractual management fee rate and, with respect to International Index Fund, the advisory fee rate compared with those of the applicable Fund’s Expense Peers. With respect to Master Fund/Small-Cap Index Fund, the contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers and, with respect to and International Index Fund, the advisory fee rate is shown before taking into account any reimbursements or fee waivers. Each Board also compared, as pertinent, the total expense ratio of Small-Cap Index Fund and International Index Fund, as well as, with respect to Master Fund/Small-Cap Index Fund, the actual management fee rate and, with respect to International Index Fund, the actual advisory fee rate to those of the applicable Fund’s Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and with respect to Master Fund/Small-Cap Index Fund, the actual management fee rate and, with respect to International Index Fund, the actual advisory fee rate gives effect to, with respect to Master Fund/Small-Cap Index Fund, any management fee or reimbursements or waivers and, with respect to International Index Fund, any advisory fee or reimbursements or waivers. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the applicable Fund. Each Board reviewed BlackRock’s estimated profitability with respect to the applicable Fund and other funds the Board currently oversees for the year ended December 31, 2020 compared to available aggregate estimated profitability data provided for the prior two years. Each Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. Each Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the pertinent Agreement and to continue to provide the high quality of services that is expected by the Board. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the applicable Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Boards noted that the Master Fund’s/Small-Cap Index Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Feeder Fund’s total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Boards also noted that BlackRock and the Boards have contractually agreed to a cap on the Master Fund’s total expenses as a percentage of the Master Fund’s average daily net assets and has contractually agreed to a cap on Small-Cap Index Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Corporation Board noted that International Index Fund’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Fund for certain other fees and expenses.
D. Economies of Scale
Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the applicable Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and expense caps had been approved by the Board. In its consideration, each Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. Each Board also considered the extent to which the applicable Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the applicable Fund to more fully participate in these economies of scale. Each Board considered the applicable Fund’s asset levels and whether the current fee schedule was appropriate.
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
E. Other Factors Deemed Relevant by the Board Members
Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the applicable Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including for administrative, distribution, securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the pertinent Agreement, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Boards noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the pertinent Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Master LLC Board, including the Independent Board Members, unanimously approved the continuation of the Master LLC Advisory Agreement between the Manager and the Master LLC, on behalf of the Master Fund, and the Master Fund Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Fund, each for a one-year term ending June 30, 2022. The Corporation Board, including the Independent Board Members, unanimously approved the continuation of the Corporation Advisory Agreement between the Manager and the Corporation, on behalf of International Index Fund, and the International Index Fund Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to International Index Fund, each for a one-year term ending June 30, 2022.
Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each of the Master LLC Board and the Corporation Board, including the Independent Board Members, was satisfied that the terms of the pertinent Agreements were fair and reasonable and in the best interest of the applicable Fund and its shareholders. The Corporation Board, including the Independent Board Members, also considered the continuation of the Master LLC Advisory Agreement with respect to the Master Fund and the Master Fund Sub-Advisory Agreement with respect to the Master Fund and found the Agreements to be satisfactory. In arriving at its decision to approve the applicable Agreements, the Master LLC Board and the Corporation Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Dividend Policy
Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly/quarterly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by a Fund for any particular month/quarter may be more or less than the amount of net investment income earned by a Fund during such month/quarter. The portion of distributions that exceeds a Fund current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings (loss) in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
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Additional Information (continued)
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
a) Administrator to iShares Russell 2000 Small-Cap Index Fund and iShares MSCI
EAFE International Index Fund.
(b) For iShares Municipal Bond Index Fund.
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Glossary of Terms Used in this Report
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Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds 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.
iSIndex-06/21-SAR
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(b) Not Applicable
| 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 registrants’ Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
| Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 10 – | Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures. |
| Item 11 – | Controls and Procedures |
(a) The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ 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 registrants’ 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 registrants’ 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
(a)(3) Not Applicable
2
(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, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Index Funds, Inc. and Quantitative Master Series LLC
| By: | /s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
Date: September 2, 2021
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 each 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 Index Funds, Inc. and Quantitative Master Series LLC |
Date: September 2, 2021
| By: | /s/ Trent Walker | |||
| Trent Walker | ||||
| Chief Financial Officer (principal financial officer) of | ||||
| BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
Date: September 2, 2021
4