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: 811-23341
| Name of Fund: | BlackRock Funds IV |
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
| Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds IV, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 05/31/2024
Date of reporting period: 11/30/2023
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
|
|
NOVEMBER 30, 2023 |
| 2023 Semi-Annual Report (Unaudited) | ||
BlackRock Funds IV
| · | BlackRock Sustainable Advantage CoreAlpha Bond Fund |
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended November 30, 2023. Significantly tighter monetary policy helped to rein in inflation, as the annual increase in the Consumer Price Index declined to its long-term average of approximately 3% in November 2023. Meanwhile, real economic growth proved more resilient than many investors anticipated. A moderating labor market also helped ease inflationary pressure, although wages continued to grow. This robust labor market powered further growth in consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.
Equity returns were solid during the period, as interest rates stabilized, and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the third quarter of 2023. However, equity returns were uneven, as the performance of a few notable technology companies supported gains among large-capitalization U.S. stocks, while small-capitalization U.S. stocks declined overall. Meanwhile, international developed market equities advanced strongly, while emerging market equities posted modest gains.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate interest rate changes. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates five times during the 12-month period, but slowed and then paused its tightening later in the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.
Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and recently opted for several pauses, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for interest rate cuts, as reflected in the recent rally. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again.
While we favor an overweight position in developed market equities in the long term, we prefer an underweight stance in the near term. Nevertheless, we are overweight on Japanese stocks in the near term as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. mortgage-backed securities, and hard-currency emerging market bonds.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| Total Returns as of November 30, 2023 | ||||||||
|
6-Month
|
12-Month
|
|||||||
| U.S. large cap equities |
10.17% | 13.84% | ||||||
| U.S. small cap equities |
4.24 | (2.57) | ||||||
| International equities |
5.12 | 12.36 | ||||||
| Emerging market equities |
4.60 | 4.21 | ||||||
| 3-month Treasury bills |
2.69 | 4.91 | ||||||
| U.S. Treasury securities |
(3.98) | (2.27) | ||||||
| U.S. investment grade bonds |
(0.80) | 1.18 | ||||||
| Tax-exempt municipal bonds |
2.29 | 4.28 | ||||||
| U.S. high yield bonds |
5.52 | 8.69 | ||||||
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
| |||||||
| 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 |
| Page
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||||
| 2 | ||||
| Semi-Annual Report: |
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| 4 | ||||
| 6 | ||||
| 6 | ||||
| 6 | ||||
| Financial Statements: |
||||
| 7 | ||||
| 29 | ||||
| 31 | ||||
| 32 | ||||
| 33 | ||||
| 37 | ||||
| Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement |
48 | |||
| 51 | ||||
| 52 | ||||
| 54 | ||||
| 3 |
| Fund Summary as of November 30, 2023 | BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Investment Objective
BlackRock Sustainable Advantage CoreAlpha Bond Fund’s (the “Fund”) investment objective is to seek to provide a combination of income and capital growth while seeking to maintain certain environmental, governance and social (“ESG”) characteristics, climate risk exposure and climate opportunities relative to the Fund’s benchmark.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended November 30, 2023, the Fund’s Institutional and Class K Shares outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, while its Investor A and Investor C Shares underperformed.
What factors influenced performance?
The investment adviser’s recent enhancements to the Fund’s asset allocation model contributed to performance. The investment adviser enhanced the model to be more inflation aware and to take advantage of shifting “risk-on/risk-off” market environments. This model enhancement proved beneficial to Fund performance amid the market volatility that occurred late in the reporting period.
Security selection in corporate bonds was the second largest contributor to performance. Overweights in the technology, consumer non-cyclical, and insurance sectors proved beneficial, as well. Within the Fund’s global interest rate strategies, relative value positioning in the developed markets contributed positively. The Fund’s global breakeven inflation model also added value.
Selection in residential mortgage-backed securities had a small negative impact on relative return, primarily due to positioning in 15-year and 30-year GNMAs.
The Fund held derivatives during the period. The performance impact of these positions is realized in our asset allocation, global rates, and global inflation strategies. The use of derivatives was a net detractor from performance. The Fund’s cash position had no material impact on performance.
Describe recent portfolio activity.
The investment adviser maintained a small overweight in investment grade corporates and added a modest position in high yield. The investment adviser also increased duration (interest rate sensitivity) early in the fourth quarter. Both decisions made a positive contribution to performance.
Describe portfolio positioning at period end.
The Fund was modestly overweight in investment-grade corporates, and it held an out-of-benchmark position in high yield bonds. It was also overweight in securitized assets based on the continued strength of the U.S. consumer.
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
| Average Annual Total Returns(a)(b) | ||||||||||||||||||||||||||||||||||||||||||||||||
| 1 Year | 5 Years | Since Inception(c) |
||||||||||||||||||||||||||||||||||||||||||||||
| 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 |
4.58 | % | 3.28 | % | (0.63 | )% | 1.25 | % | N/A | 0.66 | % | N/A | 0.24 | % | N/A | |||||||||||||||||||||||||||||||||
| Investor A |
4.16 | 2.85 | (0.87 | ) | 1.00 | (3.04 | )% | 0.39 | (0.43 | )% | (0.02 | ) | (0.58 | )% | ||||||||||||||||||||||||||||||||||
| Investor C |
3.59 | 2.04 | (1.13 | ) | 0.25 | (0.73 | ) | (0.34 | ) | (0.34 | ) | (0.76 | ) | (0.76 | ) | |||||||||||||||||||||||||||||||||
| Class K |
4.63 | 3.36 | (0.72 | ) | 1.31 | N/A | 0.71 | N/A | 0.28 | N/A | ||||||||||||||||||||||||||||||||||||||
| Bloomberg U.S. Aggregate Bond Index(d) |
— | — | (0.80 | ) | 1.18 | N/A | 0.71 | N/A | 0.29 | 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. |
| (b) | The Fund invests, under normal circumstances, at least 80% of its assets in bonds, including obligations issued or guaranteed by the U.S. Government, its agencies or instrumentalities; mortgage-backed securities (“MBS”) issued or guaranteed by the U.S. Government or its agencies or instrumentalities, including U.S. agency mortgage pass-through securities; commercial MBS; mortgage to-be announced (“TBA”) securities; debt obligations of U.S. issuers, including corporate bonds and green bonds (which are bonds with proceeds that are used to fund eligible projects with specific environmental benefits); municipal securities; asset-backed securities; and U.S.-registered dollar-denominated debt obligations of foreign issuers. The Fund’s total returns for the period prior to October 1, 2021 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name “BlackRock Systematic ESG Bond Fund”. Prior to May 1, 2020, BlackRock Systematic ESG Bond Fund was known as BlackRock Impact Bond Fund. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock Impact Bond Fund (the “Predecessor Fund”), a series of BlackRock FundsSM, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund was the performance and accounting survivor of the Reorganization. |
| (c) | The Fund commenced operations on August 23, 2016. |
| (d) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
| 4 | 2 0 2 3 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 November 30, 2023 (continued) | BlackRock Sustainable Advantage CoreAlpha Bond Fund |
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 5% Return | |||||||||||||||||||||||||||||||||||
| |
Beginning Account Value (06/01/23) |
|
|
Ending Account Value (11/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (06/01/23) |
|
|
Ending Account Value (11/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||||||||
| Institutional |
$ | 1,000.00 | $ | 993.70 | $ | 1.49 | $ | 1,000.00 | $ | 1,023.51 | $ | 1.51 | 0.30 | % | ||||||||||||||||||||||
| Investor A |
1,000.00 | 991.30 | 2.74 | 1,000.00 | 1,022.25 | 2.78 | 0.55 | |||||||||||||||||||||||||||||
| Investor C |
1,000.00 | 988.70 | 6.46 | 1,000.00 | 1,018.50 | 6.56 | 1.30 | |||||||||||||||||||||||||||||
| Class K |
1,000.00 | 992.80 | 1.24 | 1,000.00 | 1,023.75 | 1.26 | 0.25 | |||||||||||||||||||||||||||||
| (a) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
PORTFOLIO COMPOSITION
| Asset Type | Percent of Total Investments |
|||
| Corporate Bonds |
36.8 | % | ||
| U.S. Government Sponsored Agency Securities |
34.1 | |||
| U.S. Treasury Obligations |
18.5 | |||
| Asset-Backed Securities |
6.9 | |||
| Non-Agency Mortgage-Backed Securities |
5.3 | |||
| Money Market Funds |
1.4 | |||
| Other* |
(3.0 | ) | ||
CREDIT QUALITY ALLOCATION
| Credit Rating(a)(b) | Percent of Total Investments |
|||
| AAA/Aaa(d) |
52.2 | % | ||
| AA/Aa |
4.6 | |||
| A |
21.1 | |||
| BBB/Baa |
15.6 | |||
| BB/Ba |
3.1 | |||
| B |
1.2 | |||
| CCC/Caa |
— | (c) | ||
| N/R |
2.2 | |||
| (a) | 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. |
| (b) | Excludes short-term securities. |
| (c) | Rounds to less than 0.1% of total investments. |
| (d) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
| F U N D S U M M A R Y |
5 |
| About Fund Performance | BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors.
Investor A Shares are 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 generally available through financial intermediaries.
Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately eight years.
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of the Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table(s) assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver(s) and/or reimbursement(s), the Fund’s performance would have been lower. With respect to the Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to the Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to 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 the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Fund must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| 6 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Asset-Backed Securities |
||||||||
| Affirm Asset Securitization Trust(a) |
$ | 160 | $ | 160,126 | ||||
| Series 2023-A, Class 1A, 6.61%, 01/18/28 |
100 | 99,821 | ||||||
| Series 2023-B, Class A, 6.82%, 09/15/28 |
100 | 100,682 | ||||||
| Series 2023-B, Class B, 7.44%, 09/15/28 |
100 | 100,733 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 03/10/28 |
13 | 11,956 | ||||||
| Drive Auto Receivables Trust, Series 2021-1, Class C, 1.02%, 06/15/27 |
52 | 51,318 | ||||||
| Exeter Automobile Receivables Trust |
50 | 50,416 | ||||||
| Series 2021-1A, Class C, 0.74%, 01/15/26 |
17 | 16,851 | ||||||
| Series 2021-2A, Class D, 1.40%, 04/15/27 |
300 | 280,123 | ||||||
| Series 2021-4A, Class C, 1.46%, 10/15/27 |
150 | 146,308 | ||||||
| Series 2022-2A, Class B, 3.65%, 10/15/26 |
278 | 276,889 | ||||||
| Series 2022-2A, Class C, 3.85%, 07/17/28 |
300 | 292,552 | ||||||
| Series 2022-4A, Class D, 5.98%, 12/15/28 |
100 | 98,042 | ||||||
| JPMorgan Chase Bank NA(a) |
||||||||
| Series 2021-2, Class B, 0.89%, 12/26/28 |
52 | 50,657 | ||||||
| Series 2021-3, Class B, 0.76%, 02/26/29 |
78 | 75,527 | ||||||
| Santander Drive Auto Receivables Trust |
||||||||
| Series 2020-2, Class D, 2.22%, 09/15/26 |
110 | 108,108 | ||||||
| Series 2022-1, Class C, 2.56%, 04/17/28 |
300 | 290,559 | ||||||
| Synchrony Card Funding LLC, Series 2023-A1, Class A, 5.54%, 07/15/29 |
110 | 110,543 | ||||||
| Toyota Auto Receivables Owner Trust, Series 2021-B, Class A4, 0.53%, 10/15/26 |
200 | 187,637 | ||||||
| Upstart Securitization Trust, Series 2021-4, Class A, 0.84%, 09/20/31(a) |
15 | 14,619 | ||||||
| Westlake Automobile Receivables Trust(a) |
60 | 60,428 | ||||||
| Series 2022-3A, Class C, 6.44%, 12/15/27 |
160 | 159,645 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities — 7.1% |
|
2,743,540 | ||||||
|
|
|
|||||||
| Corporate Bonds |
||||||||
| Automobiles — 0.1% | ||||||||
| Allison Transmission, Inc., 5.88%, 06/01/29(a) |
46 | 44,522 | ||||||
|
|
|
|||||||
| Banks — 6.8% | ||||||||
| Banco Bilbao Vizcaya Argentaria SA, |
200 | 199,163 | ||||||
| Banco Santander SA |
||||||||
| 5.59%, 08/08/28 |
200 | 198,636 | ||||||
| 6.61%, 11/07/28 |
200 | 207,122 | ||||||
| Bank of America Corp.(b) |
||||||||
| (1-day SOFR + 0.96%), 1.73%, 07/22/27 |
105 | 94,782 | ||||||
| (1-day SOFR + 2.04%), 4.95%, 07/22/28 |
55 | 53,961 | ||||||
| Bank of Montreal |
||||||||
| 3.70%, 06/07/25 |
35 | 34,052 | ||||||
| 2.65%, 03/08/27 |
20 | 18,495 | ||||||
| (5-year USD Swap + 1.43%), 3.80%, 12/15/32(b) |
25 | 22,344 | ||||||
| Bank of Nova Scotia, 2.70%, 08/03/26 |
5 | 4,670 | ||||||
| Citigroup, Inc., 3.70%, 01/12/26 |
50 | 48,337 | ||||||
| HSBC Holdings PLC, (1-day SOFR + 2.53%), 4.76%, 03/29/33(b) |
200 | 176,054 | ||||||
| ING Groep NV, 3.55%, 04/09/24 |
400 | 396,838 | ||||||
| JPMorgan Chase & Co.(b) |
||||||||
| (1-day SOFR + 1.81%), 6.25%, 10/23/34 |
25 | 26,111 | ||||||
| (1-day SOFR + 1.85%), 5.35%, 06/01/34 |
70 | 68,356 | ||||||
| (1-day SOFR + 1.99%), 4.85%, 07/25/28 |
60 | 59,068 | ||||||
| Security | Par (000) |
Value | ||||||
| Banks (continued) | ||||||||
| JPMorgan Chase & Co.(b) (continued) | ||||||||
| (3-mo. CME Term SOFR + 0.70%), 1.04%, 02/04/27 |
$ | 115 | $ | 104,303 | ||||
| Mizuho Financial Group, Inc., |
200 | 199,130 | ||||||
| Royal Bank of Canada |
||||||||
| 2.25%, 11/01/24 |
18 | 17,456 | ||||||
| 5.20%, 08/01/28 |
30 | 29,894 | ||||||
| Santander Holdings USA, Inc.(b) |
||||||||
| (1-day SOFR + 2.36%), 6.50%, 03/09/29 |
160 | 161,607 | ||||||
| (1-day SOFR + 2.70%), 6.57%, 06/12/29 |
80 | 80,500 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
||||||||
| 5.85%, 07/13/30 |
200 | 203,602 | ||||||
| 5.77%, 01/13/33 |
200 | 203,873 | ||||||
| UniCredit SpA, (5-year USD ICE Swap + 3.70%), 5.86%, 06/19/32(a)(b) |
30 | 28,250 | ||||||
|
|
|
|||||||
| 2,636,604 | ||||||||
| Beverages — 1.6% | ||||||||
| Coca-Cola Co. |
||||||||
| 3.00%, 03/05/51 |
365 | 258,660 | ||||||
| 2.50%, 03/15/51 |
90 | 56,519 | ||||||
| PepsiCo, Inc. |
||||||||
| 2.63%, 03/19/27 |
80 | 74,883 | ||||||
| 2.88%, 10/15/49 |
25 | 17,126 | ||||||
| 4.20%, 07/18/52 |
200 | 172,993 | ||||||
| 4.65%, 02/15/53 |
50 | 46,432 | ||||||
|
|
|
|||||||
| 626,613 | ||||||||
| Biotechnology — 0.2% | ||||||||
| Biogen, Inc., 3.25%, 02/15/51 |
10 | 6,498 | ||||||
| Regeneron Pharmaceuticals, Inc., 2.80%, 09/15/50 |
150 | 91,026 | ||||||
|
|
|
|||||||
| 97,524 | ||||||||
| Building Materials — 0.8% | ||||||||
| Trane Technologies Financing Ltd., 3.80%, 03/21/29 |
320 | 301,692 | ||||||
|
|
|
|||||||
| Building Products — 0.3% | ||||||||
| Allegion PLC, 3.50%, 10/01/29 |
5 | 4,505 | ||||||
| Carrier Global Corp., 3.38%, 04/05/40 |
70 | 52,426 | ||||||
| Owens Corning, 4.30%, 07/15/47 |
100 | 79,361 | ||||||
|
|
|
|||||||
| 136,292 | ||||||||
| Capital Markets — 2.6% | ||||||||
| Ameriprise Financial, Inc., 5.15%, 05/15/33 |
50 | 48,927 | ||||||
| Ares Capital Corp. |
||||||||
| 7.00%, 01/15/27 |
40 | 40,446 | ||||||
| 2.88%, 06/15/27 |
50 | 44,599 | ||||||
| Barings BDC, Inc., 3.30%, 11/23/26 |
15 | 13,426 | ||||||
| Blackstone Private Credit Fund, 4.70%, 03/24/25 |
15 | 14,613 | ||||||
| Charles Schwab Corp., (1-day SOFR + 1.88%), 6.20%, 11/17/29(b) |
40 | 40,601 | ||||||
| CME Group, Inc., 2.65%, 03/15/32 |
15 | 12,746 | ||||||
| Coinbase Global, Inc., 3.63%, 10/01/31(a) |
8 | 5,883 | ||||||
| FactSet Research Systems, Inc. |
||||||||
| 2.90%, 03/01/27 |
80 | 73,830 | ||||||
| 3.45%, 03/01/32 |
23 | 19,586 | ||||||
| FS KKR Capital Corp., 3.13%, 10/12/28 |
105 | 88,420 | ||||||
| Goldman Sachs Group, Inc. |
||||||||
| 4.25%, 10/21/25 |
25 | 24,350 | ||||||
| 3.75%, 02/25/26 |
25 | 24,122 | ||||||
| (1-day SOFR + 0.80%), 1.43%, 03/09/27(b) |
100 | 90,730 | ||||||
| (3-mo. CME Term SOFR + 1.42%), 3.81%, 04/23/29(b) |
50 | 46,456 | ||||||
| (3-mo. CME Term SOFR + 1.56%), 4.22%, 05/01/29(b) |
50 | 47,201 | ||||||
| Intercontinental Exchange, Inc., 3.00%, 06/15/50 |
25 | 16,366 | ||||||
| Invesco Finance PLC, 3.75%, 01/15/26 |
25 | 24,142 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
7 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Capital Markets (continued) | ||||||||
| Morgan Stanley |
||||||||
| 5.00%, 11/24/25 |
$ | 50 | $ | 49,452 | ||||
| 3.97%, 07/22/38(b) |
10 | 8,332 | ||||||
| 6.38%, 07/24/42 |
25 | 27,284 | ||||||
| 4.38%, 01/22/47 |
5 | 4,202 | ||||||
| (1-day SOFR + 0.53%), 0.79%, 05/30/25(b) |
50 | 48,591 | ||||||
| (1-day SOFR + 0.86%), 1.51%, 07/20/27(b) |
65 | 58,360 | ||||||
| (1-day SOFR + 1.87%), 5.25%, 04/21/34(b) |
55 | 52,699 | ||||||
| S&P Global, Inc. |
||||||||
| 2.45%, 03/01/27 |
45 | 41,703 | ||||||
| 5.25%, 09/15/33(a) |
30 | 30,240 | ||||||
| 2.30%, 08/15/60 |
10 | 5,352 | ||||||
|
|
|
|||||||
| 1,002,659 | ||||||||
| Chemicals — 0.2% | ||||||||
| Chemours Co., 5.75%, 11/15/28(a) |
9 | 8,147 | ||||||
| LYB International Finance III LLC, 4.20%, 05/01/50 |
10 | 7,356 | ||||||
| Nufarm Australia Ltd./Nufarm Americas, Inc., 5.00%, 01/27/30(a) |
48 | 42,524 | ||||||
| Superior Plus LP/Superior General Partner, Inc., 4.50%, 03/15/29(a) |
5 | 4,403 | ||||||
| Tronox, Inc., 4.63%, 03/15/29(a) |
2 | 1,700 | ||||||
|
|
|
|||||||
| 64,130 | ||||||||
| Commercial Services & Supplies — 0.1% | ||||||||
| APX Group, Inc., 5.75%, 07/15/29(a) |
7 | 6,250 | ||||||
| Massachusetts Institute of Technology, 3.07%, 04/01/52 |
12 | 8,285 | ||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(a) |
14 | 13,444 | ||||||
| Steelcase, Inc., 5.13%, 01/18/29 |
4 | 3,667 | ||||||
|
|
|
|||||||
| 31,646 | ||||||||
| Communications Equipment — 0.6% | ||||||||
| Motorola Solutions, Inc. |
||||||||
| 2.30%, 11/15/30 |
160 | 129,959 | ||||||
| 2.75%, 05/24/31 |
100 | 82,310 | ||||||
| 5.50%, 09/01/44 |
10 | 9,197 | ||||||
|
|
|
|||||||
| 221,466 | ||||||||
| Construction & Engineering — 0.0% | ||||||||
| Brand Industrial Services, Inc., |
5 | 5,184 | ||||||
|
|
|
|||||||
| Construction Materials(a) — 0.0% | ||||||||
| AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28 |
5 | 4,888 | ||||||
| Smyrna Ready Mix Concrete LLC, |
10 | 10,171 | ||||||
|
|
|
|||||||
| 15,059 | ||||||||
| Consumer Discretionary — 0.7% | ||||||||
| Quanta Services, Inc. |
||||||||
| 0.95%, 10/01/24 |
95 | 91,136 | ||||||
| 2.90%, 10/01/30 |
110 | 92,625 | ||||||
| 2.35%, 01/15/32 |
85 | 66,561 | ||||||
| 3.05%, 10/01/41 |
45 | 30,564 | ||||||
|
|
|
|||||||
| 280,886 | ||||||||
| Consumer Finance — 0.2% | ||||||||
| American Express Co., (1-day SOFR + 1.84%), 5.04%, 05/01/34(b) |
40 | 38,573 | ||||||
| goeasy Ltd., 9.25%, 12/01/28(a) |
10 | 10,272 | ||||||
| OneMain Finance Corp., 9.00%, 01/15/29 |
10 | 10,314 | ||||||
|
|
|
|||||||
| 59,159 | ||||||||
| Security | Par (000) |
Value | ||||||
| Diversified Consumer Services — 0.0% | ||||||||
| Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/29(a) |
$ | 5 | $ | 5,096 | ||||
|
|
|
|||||||
| Diversified REITs — 0.5% | ||||||||
| Digital Realty Trust LP, 5.55%, 01/15/28 |
170 | 169,781 | ||||||
| Essential Properties LP, 2.95%, 07/15/31 |
30 | 22,521 | ||||||
|
|
|
|||||||
| 192,302 | ||||||||
| Diversified Telecommunication Services — 0.4% | ||||||||
| Cogent Communications Group, Inc., 7.00%, 06/15/27(a) |
64 | 62,880 | ||||||
| Consolidated Communications, Inc., 6.50%, 10/01/28(a) |
2 | 1,650 | ||||||
| Frontier Communications Holdings LLC, 8.63%, 03/15/31(a) |
4 | 3,939 | ||||||
| Koninklijke KPN NV, 8.38%, 10/01/30 |
50 | 57,248 | ||||||
| Level 3 Financing, Inc., 10.50%, 05/15/30 |
12 | 11,130 | ||||||
| Level 3 New Money TSA, 11.00%, 11/15/29(a) |
3 | 2,706 | ||||||
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC(a) |
||||||||
| 10.50%, 02/15/28 |
13 | 12,787 | ||||||
| 6.50%, 02/15/29 |
6 | 3,992 | ||||||
|
|
|
|||||||
| 156,332 | ||||||||
| Electric Utilities — 0.8% | ||||||||
| Avangrid, Inc. |
||||||||
| 3.15%, 12/01/24 |
50 | 48,584 | ||||||
| 3.80%, 06/01/29 |
100 | 90,991 | ||||||
| Connecticut Light and Power Co., 5.25%, 01/15/53 |
50 | 47,337 | ||||||
| Eversource Energy, 3.45%, 01/15/50 |
50 | 33,869 | ||||||
| Exelon Corp. |
||||||||
| 5.10%, 06/15/45 |
25 | 22,388 | ||||||
| 5.60%, 03/15/53 |
40 | 38,324 | ||||||
| PECO Energy Co., 3.00%, 09/15/49 |
25 | 16,221 | ||||||
|
|
|
|||||||
| 297,714 | ||||||||
| Electrical Equipment — 0.1% | ||||||||
| Hubbell, Inc., 3.50%, 02/15/28 |
35 | 32,838 | ||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.2% | ||||||||
| CDW LLC/CDW Finance Corp., 3.57%, 12/01/31 |
27 | 23,250 | ||||||
| Vontier Corp., 2.95%, 04/01/31 |
50 | 39,763 | ||||||
|
|
|
|||||||
| 63,013 | ||||||||
| Entertainment — 0.1% | ||||||||
| Electronic Arts, Inc., 2.95%, 02/15/51 |
20 | 12,973 | ||||||
| NCL Corp. Ltd., 8.13%, 01/15/29(a) |
10 | 10,183 | ||||||
|
|
|
|||||||
| 23,156 | ||||||||
| Financial Services — 1.3% | ||||||||
| Berkshire Hathaway Finance Corp., 3.85%, 03/15/52 |
5 | 3,909 | ||||||
| Burford Capital Global Finance LLC, 6.88%, 04/15/30(a) |
5 | 4,700 | ||||||
| DH Europe Finance II SARL |
||||||||
| 2.60%, 11/15/29 |
270 | 236,411 | ||||||
| 3.40%, 11/15/49 |
15 | 10,878 | ||||||
| Fiserv, Inc. |
||||||||
| 5.45%, 03/02/28 |
40 | 40,330 | ||||||
| 3.50%, 07/01/29 |
25 | 22,843 | ||||||
| 4.40%, 07/01/49 |
30 | 24,669 | ||||||
| Freedom Mortgage Corp.(a) |
||||||||
| 12.00%, 10/01/28 |
5 | 5,283 | ||||||
| 12.25%, 10/01/30 |
10 | 10,551 | ||||||
| Mastercard, Inc. |
||||||||
| 3.95%, 02/26/48 |
25 | 20,775 | ||||||
| 3.65%, 06/01/49 |
10 | 7,901 | ||||||
| 3.85%, 03/26/50 |
20 | 16,337 | ||||||
| 2.95%, 03/15/51 |
75 | 51,388 | ||||||
| 8 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Financial Services (continued) | ||||||||
| United Wholesale Mortgage LLC(a) |
||||||||
| 5.50%, 11/15/25 |
$ | 13 | $ | 12,638 | ||||
| 5.50%, 04/15/29 |
13 | 11,631 | ||||||
| Visa, Inc., 3.65%, 09/15/47 |
48 | 37,970 | ||||||
|
|
|
|||||||
| 518,214 | ||||||||
| Food Products — 1.2% | ||||||||
| Diageo Capital PLC, 2.13%, 04/29/32 |
350 | 278,102 | ||||||
| Kellanova, 3.25%, 04/01/26 |
50 | 47,791 | ||||||
| Unilever Capital Corp., 1.75%, 08/12/31 |
200 | 159,913 | ||||||
|
|
|
|||||||
| 485,806 | ||||||||
| Gas Utilities — 0.2% | ||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp. |
||||||||
| 5.75%, 05/20/27 |
57 | 54,441 | ||||||
| 9.38%, 06/01/28(a) |
10 | 10,259 | ||||||
| Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 |
10 | 9,905 | ||||||
| Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(a) |
5 | 4,425 | ||||||
|
|
|
|||||||
| 79,030 | ||||||||
| Ground Transportation — 0.1% | ||||||||
| Canadian National Railway Co., 4.40%, 08/05/52 |
20 | 17,240 | ||||||
| GN Bondco LLC, 9.50%, 10/15/31(a) |
16 | 15,197 | ||||||
| Ryder System, Inc., 5.65%, 03/01/28 |
10 | 10,098 | ||||||
|
|
|
|||||||
| 42,535 | ||||||||
| Health Care Equipment & Supplies — 0.1% | ||||||||
| Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(a) |
10 | 10,225 | ||||||
| Zimmer Biomet Holdings, Inc., 5.35%, 12/01/28 |
10 | 10,017 | ||||||
|
|
|
|||||||
| 20,242 | ||||||||
| Health Care Providers & Services — 2.2% | ||||||||
| Allina Health System, Series 2021, 2.90%, 11/15/51 |
10 | 5,959 | ||||||
| Baylor Scott & White Holdings, Series 2021, 2.84%, 11/15/50. |
4 | 2,532 | ||||||
| Beth Israel Lahey Health, Inc., Series L, 3.08%, 07/01/51 |
7 | 4,158 | ||||||
| Cencora, Inc. |
||||||||
| 2.70%, 03/15/31 |
83 | 69,682 | ||||||
| 4.30%, 12/15/47 |
118 | 98,998 | ||||||
| DaVita, Inc., 4.63%, 06/01/30(a) |
63 | 53,249 | ||||||
| Elevance Health, Inc., 2.38%, 01/15/25 |
25 | 24,131 | ||||||
| Encompass Health Corp., 4.75%, 02/01/30 |
18 | 16,356 | ||||||
| HCA, Inc. |
||||||||
| 5.25%, 06/15/26 |
5 | 4,957 | ||||||
| 5.50%, 06/01/33 |
16 | 15,732 | ||||||
| 3.50%, 07/15/51 |
10 | 6,552 | ||||||
| 4.63%, 03/15/52 |
40 | 31,678 | ||||||
| 5.90%, 06/01/53 |
60 | 57,054 | ||||||
| Heartland Dental LLC/Heartland Dental Finance Corp., 10.50%, 04/30/28(a) |
5 | 5,075 | ||||||
| Humana, Inc. |
||||||||
| 5.75%, 03/01/28 |
5 | 5,101 | ||||||
| 3.70%, 03/23/29 |
20 | 18,701 | ||||||
| Kaiser Foundation Hospitals, Series 2021, 3.00%, 06/01/51 |
7 | 4,530 | ||||||
| Tenet Healthcare Corp., 6.13%, 10/01/28 |
28 | 27,146 | ||||||
| UnitedHealth Group, Inc. |
||||||||
| 4.20%, 05/15/32 |
190 | 179,072 | ||||||
| 4.45%, 12/15/48 |
45 | 38,840 | ||||||
| 5.88%, 02/15/53 |
55 | 58,447 | ||||||
| 5.05%, 04/15/53 |
80 | 75,800 | ||||||
| Security | Par (000) |
Value | ||||||
| Health Care Providers & Services (continued) | ||||||||
| UnitedHealth Group, Inc. (continued) |
||||||||
| 3.13%, 05/15/60 |
$ | 50 | $ | 32,288 | ||||
| WakeMed, Series A, 3.29%, 10/01/52 |
6 | 3,933 | ||||||
|
|
|
|||||||
| 839,971 | ||||||||
| Hotels, Restaurants & Leisure — 0.2% | ||||||||
| Caesars Entertainment, Inc.(a) |
||||||||
| 8.13%, 07/01/27 |
8 | 8,150 | ||||||
| 7.00%, 02/15/30 |
23 | 23,021 | ||||||
| Darden Restaurants, Inc., 4.55%, 02/15/48 |
50 | 39,714 | ||||||
| Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(a) |
5 | 5,250 | ||||||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(a) |
4 | 3,603 | ||||||
|
|
|
|||||||
| 79,738 | ||||||||
| Household Durables — 0.5% | ||||||||
| NVR, Inc., 3.00%, 05/15/30 |
150 | 129,306 | ||||||
| PulteGroup, Inc., 5.00%, 01/15/27 |
60 | 59,590 | ||||||
|
|
|
|||||||
| 188,896 | ||||||||
| Industrial Conglomerates — 0.5% | ||||||||
| nVent Finance SARL, 5.65%, 05/15/33 |
130 | 125,065 | ||||||
| Pentair Finance SARL, 4.50%, 07/01/29 |
70 | 65,670 | ||||||
|
|
|
|||||||
| 190,735 | ||||||||
| Insurance — 0.9% | ||||||||
| Arthur J Gallagher & Co. |
||||||||
| 3.50%, 05/20/51 |
85 | 58,354 | ||||||
| 5.75%, 03/02/53 |
20 | 19,393 | ||||||
| Brown & Brown, Inc., 4.95%, 03/17/52 |
20 | 16,607 | ||||||
| Marsh & McLennan Cos., Inc. |
||||||||
| 4.75%, 03/15/39 |
30 | 27,529 | ||||||
| 4.20%, 03/01/48 |
160 | 129,882 | ||||||
| 5.45%, 03/15/53 |
50 | 48,812 | ||||||
| NFP Corp., 8.50%, 10/01/31(a) |
5 | 5,164 | ||||||
| Travelers Cos., Inc., 3.75%, 05/15/46 |
25 | 19,044 | ||||||
| Unum Group, 4.13%, 06/15/51 |
30 | 20,715 | ||||||
|
|
|
|||||||
| 345,500 | ||||||||
| IT Services — 0.7% | ||||||||
| Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(a) |
5 | 5,129 | ||||||
| CGI, Inc., 2.30%, 09/14/31 |
130 | 101,792 | ||||||
| International Business Machines Corp., 4.00%, 07/27/25 |
135 | 132,383 | ||||||
| VeriSign, Inc., 2.70%, 06/15/31 |
55 | 45,109 | ||||||
| VT Topco, Inc., 8.50%, 08/15/30(a) |
5 | 5,120 | ||||||
|
|
|
|||||||
| 289,533 | ||||||||
| Life Sciences Tools & Services(a) — 0.5% | ||||||||
| Fortrea Holdings, Inc., 7.50%, 07/01/30 |
2 | 1,980 | ||||||
| IQVIA, Inc., 5.70%, 05/15/28 |
200 | 199,426 | ||||||
| Star Parent, Inc., 9.00%, 10/01/30 |
5 | 5,193 | ||||||
|
|
|
|||||||
| 206,599 | ||||||||
| Machinery — 0.1% | ||||||||
| Cummins, Inc., 2.60%, 09/01/50 |
30 | 18,429 | ||||||
| Snap-on, Inc., 4.10%, 03/01/48 |
15 | 12,164 | ||||||
| Wabash National Corp., 4.50%, 10/15/28(a) |
24 | 20,519 | ||||||
|
|
|
|||||||
| 51,112 | ||||||||
| Media(a) — 0.1% | ||||||||
| Cable One, Inc., 4.00%, 11/15/30 |
5 | 3,903 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29 |
5 | 4,637 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
9 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Media (continued) | ||||||||
| Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27 |
$ | 30 | $ | 26,995 | ||||
| EquipmentShare.com, Inc., 9.00%, 05/15/28 |
5 | 4,925 | ||||||
| Nexstar Media, Inc., 4.75%, 11/01/28 |
8 | 7,081 | ||||||
| Univision Communications, Inc., 8.00%, 08/15/28 |
5 | 5,054 | ||||||
|
|
|
|||||||
| 52,595 | ||||||||
| Metals & Mining — 0.8% | ||||||||
| Arsenal AIC Parent LLC, 8.00%, 10/01/30(a) |
5 | 5,101 | ||||||
| ATI, Inc., 7.25%, 08/15/30 |
10 | 10,047 | ||||||
| Cleveland-Cliffs, Inc., 6.75%, 04/15/30(a) |
12 | 11,674 | ||||||
| FMG Resources August Pty. Ltd.(a) |
||||||||
| 5.88%, 04/15/30 |
29 | 27,881 | ||||||
| 6.13%, 04/15/32 |
30 | 28,994 | ||||||
| Mineral Resources Ltd.(a) |
||||||||
| 9.25%, 10/01/28 |
10 | 10,342 | ||||||
| 8.50%, 05/01/30 |
100 | 101,096 | ||||||
| Reliance Steel & Aluminum Co., 2.15%, 08/15/30 |
120 | 97,044 | ||||||
| Taseko Mines Ltd., 7.00%, 02/15/26(a) |
2 | 1,870 | ||||||
|
|
|
|||||||
| 294,049 | ||||||||
| Multi-Utilities — 0.3% | ||||||||
| Public Service Electric and Gas Co., 3.00%, 03/01/51 |
120 | 78,608 | ||||||
| San Diego Gas & Electric Co. |
||||||||
| 6.00%, 06/01/39 |
25 | 25,438 | ||||||
| 4.15%, 05/15/48 |
15 | 11,896 | ||||||
|
|
|
|||||||
| 115,942 | ||||||||
| Oil, Gas & Consumable Fuels — 1.1% | ||||||||
| CGG SA, 8.75%, 04/01/27(a) |
50 | 45,375 | ||||||
| Cheniere Energy, Inc., 4.63%, 10/15/28 |
170 | 161,792 | ||||||
| CNX Resources Corp., 6.00%, 01/15/29(a) |
11 | 10,490 | ||||||
| Hilcorp Energy I LP/Hilcorp Finance Co., 8.38%, 11/01/33(a) |
10 | 10,301 | ||||||
| ONEOK, Inc. |
||||||||
| 4.45%, 09/01/49 |
40 | 30,975 | ||||||
| 7.15%, 01/15/51 |
30 | 32,128 | ||||||
| Targa Resources Corp., 6.15%, 03/01/29 |
30 | 30,648 | ||||||
| Valaris Ltd., 8.38%, 04/30/30(a) |
5 | 5,030 | ||||||
| Venture Global LNG, Inc.(a) |
||||||||
| 8.13%, 06/01/28 |
5 | 4,957 | ||||||
| 9.50%, 02/01/29 |
18 | 18,572 | ||||||
| 8.38%, 06/01/31 |
5 | 4,927 | ||||||
| 9.88%, 02/01/32 |
18 | 18,447 | ||||||
| Vermilion Energy, Inc., 6.88%, 05/01/30(a) |
57 | 54,071 | ||||||
|
|
|
|||||||
| 427,713 | ||||||||
| Passenger Airlines(a) — 0.0% | ||||||||
| United Airlines, Inc. |
||||||||
| 4.38%, 04/15/26 |
4 | 3,804 | ||||||
| 4.63%, 04/15/29 |
14 | 12,498 | ||||||
|
|
|
|||||||
| 16,302 | ||||||||
| Pharmaceuticals — 3.0% | ||||||||
| Astrazeneca Finance LLC |
||||||||
| 2.25%, 05/28/31 |
160 | 133,189 | ||||||
| 4.88%, 03/03/33 |
90 | 89,526 | ||||||
| AstraZeneca PLC, 3.38%, 11/16/25 |
50 | 48,453 | ||||||
| Bausch Health Cos., Inc., 11.00%, 09/30/28(a) |
14 | 8,750 | ||||||
| Bristol-Myers Squibb Co., 3.90%, 03/15/62 |
45 | 33,148 | ||||||
| Eli Lilly & Co., 4.95%, 02/27/63 |
190 | 183,339 | ||||||
| Jazz Securities DAC, 4.38%, 01/15/29(a) |
100 | 89,963 | ||||||
| Johnson & Johnson, 2.25%, 09/01/50 |
130 | 79,894 | ||||||
| Merck & Co., Inc. |
||||||||
| 3.60%, 09/15/42 |
50 | 40,032 | ||||||
| Security |
Par (000) |
Value | ||||||
| Pharmaceuticals (continued) | ||||||||
| Merck & Co., Inc. (continued) |
||||||||
| 5.00%, 05/17/53 |
$ | 40 | $ | 38,483 | ||||
| Novartis Capital Corp. |
||||||||
| 2.20%, 08/14/30 |
190 | 162,003 | ||||||
| 2.75%, 08/14/50 |
15 | 9,979 | ||||||
| Zoetis, Inc. |
||||||||
| 4.50%, 11/13/25 |
100 | 98,213 | ||||||
| 5.40%, 11/14/25 |
140 | 139,830 | ||||||
| 2.00%, 05/15/30 |
20 | 16,547 | ||||||
|
|
|
|||||||
| 1,171,349 | ||||||||
| Professional Services — 1.0% | ||||||||
| Automatic Data Processing, Inc. |
||||||||
| 1.70%, 05/15/28 |
400 | 353,406 | ||||||
| 1.25%, 09/01/30 |
50 | 40,177 | ||||||
| TriNet Group, Inc., 7.13%, 08/15/31(a) |
10 | 10,100 | ||||||
|
|
|
|||||||
| 403,683 | ||||||||
| Real Estate Management & Development — 0.1% | ||||||||
| CBRE Services, Inc., 4.88%, 03/01/26 |
30 | 29,384 | ||||||
| Greystar Real Estate Partners LLC, 7.75%, 09/01/30(a) |
5 | 5,087 | ||||||
|
|
|
|||||||
| 34,471 | ||||||||
| Semiconductors & Semiconductor Equipment — 2.0% | ||||||||
| Broadcom, Inc., 3.75%, 02/15/51(a) |
160 | 116,549 | ||||||
| Lam Research Corp., 3.75%, 03/15/26 |
100 | 97,211 | ||||||
| Micron Technology, Inc., 6.75%, 11/01/29 |
10 | 10,484 | ||||||
| NCR Atleos Corp., 9.50%, 04/01/29(a) |
10 | 10,327 | ||||||
| NVIDIA Corp. |
||||||||
| 3.20%, 09/16/26 |
100 | 96,152 | ||||||
| 2.00%, 06/15/31 |
200 | 165,485 | ||||||
| 3.50%, 04/01/50 |
160 | 123,844 | ||||||
| 3.70%, 04/01/60 |
50 | 38,483 | ||||||
| Texas Instruments, Inc. |
||||||||
| 1.75%, 05/04/30 |
23 | 19,325 | ||||||
| 3.65%, 08/16/32 |
40 | 36,437 | ||||||
| 2.70%, 09/15/51 |
40 | 25,335 | ||||||
| 4.10%, 08/16/52 |
65 | 53,024 | ||||||
|
|
|
|||||||
| 792,656 | ||||||||
| Software — 2.9% | ||||||||
| Academy Ltd., 6.00%, 11/15/27(a) |
8 | 7,806 | ||||||
| Adobe, Inc., 2.15%, 02/01/27 |
420 | 388,629 | ||||||
| Intuit, Inc. |
||||||||
| 1.65%, 07/15/30 |
282 | 228,355 | ||||||
| 5.20%, 09/15/33 |
20 | 20,158 | ||||||
| Microsoft Corp. |
||||||||
| 2.53%, 06/01/50 |
25 | 16,093 | ||||||
| 2.92%, 03/17/52 |
50 | 34,525 | ||||||
| 2.68%, 06/01/60 |
50 | 31,424 | ||||||
| MicroStrategy, Inc., 6.13%, 06/15/28(a) |
8 | 7,377 | ||||||
| Oracle Corp. |
||||||||
| 5.55%, 02/06/53 |
30 | 28,281 | ||||||
| 3.85%, 04/01/60 |
65 | 44,643 | ||||||
| Roper Technologies, Inc., 2.95%, 09/15/29 |
25 | 22,229 | ||||||
| Sabre GLBL, Inc., 11.25%, 12/15/27(a) |
11 | 9,967 | ||||||
| ServiceNow, Inc., 1.40%, 09/01/30 |
100 | 79,525 | ||||||
| VMware, Inc., 1.80%, 08/15/28 |
250 | 214,366 | ||||||
|
|
|
|||||||
| 1,133,378 | ||||||||
| Specialized REITs — 0.2% | ||||||||
| American Tower Corp., 4.00%, 06/01/25 |
35 | 34,104 | ||||||
| Iron Mountain, Inc., 5.25%, 07/15/30(a) |
60 | 55,023 | ||||||
|
|
|
|||||||
| 89,127 | ||||||||
| 10 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Specialty Retail — 0.4% | ||||||||
| Bath & Body Works, Inc., 6.95%, 03/01/33 |
$ | 12 | $ | 11,222 | ||||
| Foot Locker, Inc., 4.00%, 10/01/29(a) |
10 | 8,072 | ||||||
| Gap, Inc., 3.63%, 10/01/29(a) |
4 | 3,293 | ||||||
| Home Depot, Inc. |
||||||||
| 3.30%, 04/15/40 |
50 | 38,960 | ||||||
| 3.35%, 04/15/50 |
50 | 35,982 | ||||||
| 2.38%, 03/15/51 |
50 | 29,149 | ||||||
| Lowe’s Cos., Inc., 3.75%, 04/01/32 |
22 | 19,685 | ||||||
|
|
|
|||||||
| 146,363 | ||||||||
| Technology Hardware, Storage & Peripherals — 0.3% | ||||||||
| Apple, Inc. |
||||||||
| 2.85%, 08/05/61 |
20 | 12,763 | ||||||
| 4.10%, 08/08/62 |
15 | 12,448 | ||||||
| Hewlett Packard Enterprise Co., 6.10%, 04/01/26 |
30 | 30,042 | ||||||
| Western Digital Corp., 4.75%, 02/15/26 |
20 | 19,295 | ||||||
| Xerox Holdings Corp., 5.50%, 08/15/28(a) |
33 | 27,503 | ||||||
|
|
|
|||||||
| 102,051 | ||||||||
| Textiles, Apparel & Luxury Goods — 0.1% | ||||||||
| Tapestry, Inc. |
||||||||
| 7.35%, 11/27/28 |
30 | 30,229 | ||||||
| 7.70%, 11/27/30 |
20 | 20,275 | ||||||
|
|
|
|||||||
| 50,504 | ||||||||
| Trading Companies & Distributors(a) — 0.2% | ||||||||
| Boise Cascade Co., 4.88%, 07/01/30 |
56 | 50,960 | ||||||
| Fortress Transportation and Infrastructure Investors LLC, 7.88%, 12/01/30 |
10 | 10,173 | ||||||
|
|
|
|||||||
| 61,133 | ||||||||
| Transportation Infrastructure — 0.2% | ||||||||
| Triton Container International Ltd./TAL International Container Corp., 3.25%, 03/15/32 |
80 | 60,963 | ||||||
|
|
|
|||||||
| Total Corporate Bonds — 37.5% |
14,584,077 | |||||||
|
|
|
|||||||
| Foreign Agency Obligations |
||||||||
| Chile — 0.4% | ||||||||
| Chile Government International Bond, |
200 | 159,100 | ||||||
|
|
|
|||||||
| Mexico — 0.2% | ||||||||
| Mexico Government International Bond, |
80 | 72,040 | ||||||
|
|
|
|||||||
| Panama — 0.1% | ||||||||
| Panama Government International Bond, |
25 | 27,825 | ||||||
|
|
|
|||||||
| Total Foreign Agency Obligations — 0.7% |
258,965 | |||||||
|
|
|
|||||||
| Municipal Bonds |
||||||||
| California — 0.3% | ||||||||
| Bay Area Toll Authority, Refunding RB, Series F-3, 3.13%, 04/01/55 |
35 | 22,694 | ||||||
| California State University, Refunding RB, Series B, 2.72%, 11/01/52 |
20 | 12,409 | ||||||
| Regents of the University of California Medical Center Pooled Revenue, RB, BAB, Series H, 6.55%, 05/15/48 |
25 | 27,460 | ||||||
| State of California, GO, BAB, 7.30%, 10/01/39 |
50 | 57,650 | ||||||
|
|
|
|||||||
| 120,213 | ||||||||
| Security | Par (000) |
Value | ||||||
| District of Columbia — 0.1% | ||||||||
| District of Columbia Water & Sewer Authority, RB, Series A, Senior Lien, 4.81%, 10/01/2114 |
$ | 15 | $ | 13,200 | ||||
|
|
|
|||||||
| Illinois — 0.0% | ||||||||
| Sales Tax Securitization Corp., Refunding RB, Series B, 2nd Lien, 3.24%, 01/01/42 |
10 | 7,605 | ||||||
|
|
|
|||||||
| Michigan — 0.1% | ||||||||
| University of Michigan, RB, Series B, 3.50%, 04/01/52 |
9 | 6,788 | ||||||
| University of Michigan, Refunding RB, Series C, 3.60%, 04/01/47 |
14 | 11,546 | ||||||
|
|
|
|||||||
| 18,334 | ||||||||
| New Jersey — 0.0% | ||||||||
| New Jersey Turnpike Authority, RB, BAB, Series A, 7.10%, 01/01/41 |
10 | 11,540 | ||||||
|
|
|
|||||||
| New York — 0.0% | ||||||||
| City of New York, GO, Series B-1, 5.83%, 10/01/53 |
5 | 5,271 | ||||||
|
|
|
|||||||
| North Carolina — 0.1% | ||||||||
| Charlotte-Mecklenburg Hospital Authority, RB, Series S, 3.20%, 01/15/51 |
20 | 13,635 | ||||||
|
|
|
|||||||
| Tennessee — 0.1% | ||||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Series B, 4.05%, 07/01/26 |
50 | 48,469 | ||||||
|
|
|
|||||||
| Texas — 0.0% | ||||||||
| Dallas Fort Worth International Airport, Refunding RB, 2.84%, 11/01/46 |
10 | 6,977 | ||||||
|
|
|
|||||||
| Virginia — 0.0% | ||||||||
| University of Virginia, Refunding RB, Series U, 2.58%, 11/01/51 |
20 | 12,185 | ||||||
|
|
|
|||||||
| Total Municipal Bonds — 0.7% |
257,429 | |||||||
|
|
|
|||||||
| Non-Agency Mortgage-Backed Securities |
| |||||||
| Collateralized Mortgage Obligations(b) — 4.9% | ||||||||
| Connecticut Avenue Securities Trust(a) |
||||||||
| Series 2019-R07, Class 1M2, (30-day Avg SOFR + 2.51%), 7.84%, 04/25/31 |
7 | 6,910 | ||||||
| Series 2020-R01, Class 1M2, (30-day Avg SOFR + 2.16%), 7.49%, 01/25/40 |
159 | 161,431 | ||||||
| Series 2020-R02, Class 2M2, (30-day Avg SOFR + 2.11%), 7.44%, 01/25/40 |
|
266 |
|
|
265,751 |
| ||
| Series 2022-R04, Class 1M1, (30-day Avg SOFR + 2.00%), 7.33%, 03/25/42 |
194 | 195,678 | ||||||
| Series 2022-R07, Class 1M1, (30-day Avg SOFR + 2.95%), 8.28%, 06/25/42 |
109 | 112,239 | ||||||
| Fannie Mae Connecticut Avenue Securities |
||||||||
| Series 2018-C02, Class 2M2, (30-day Avg SOFR + 2.31%), 7.64%, 08/25/30 |
117 | 118,897 | ||||||
| Series 2021-R02, Class 2M1, (30-day Avg SOFR + 0.90%), 6.23%, 11/25/41(a) |
53 | 52,647 | ||||||
| Freddie Mac STACR REMIC Trust(a) |
||||||||
| (30-day Avg SOFR + 1.85%), 7.17%, 11/25/43 |
100 | 100,306 | ||||||
| Series 2021-DNA3, Class M1, (30-day Avg SOFR + 0.75%), 6.08%, 10/25/33 |
37 | 36,998 | ||||||
| Series 2021-DNA3, Class M2, (30-day Avg SOFR + 2.10%), 7.43%, 10/25/33 |
170 | 170,411 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
11 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Collateralized Mortgage Obligations (continued) | ||||||||
| Freddie Mac STACR REMIC Trust(a) (continued) |
||||||||
| Series 2021-DNA5, Class M2, (30-day Avg SOFR + 1.65%), 6.98%, 01/25/34 |
$ | 115 | $ | 114,520 | ||||
| Series 2021-DNA6, Class M1, (30-day Avg SOFR + 0.80%), 6.13%, 10/25/41 |
139 | 138,501 | ||||||
| Series 2021-HQA2, Class M1, (30-day Avg SOFR + 0.70%), 6.03%, 12/25/33 |
14 | 13,597 | ||||||
| Series 2022-DNA5, Class M1A, (30-day Avg SOFR + 2.95%), 8.28%, 06/25/42 |
179 | 183,138 | ||||||
| Series 2022-HQA1, Class M1A, (30-day Avg SOFR + 2.10%), 7.43%, 03/25/42 |
212 | 213,757 | ||||||
|
|
|
|||||||
| 1,884,781 | ||||||||
| Commercial Mortgage-Backed Securities — 0.5% | ||||||||
| BBCMS Mortgage Trust, Class A5, 5.45%, 04/15/56 |
20 | 19,668 | ||||||
| JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7, Class A5, 2.18%, 05/13/53 |
200 | 150,972 | ||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A5, 3.70%, 11/15/48 |
45 | 42,948 | ||||||
|
|
|
|||||||
| 213,588 | ||||||||
|
|
|
|||||||
| Total Non-Agency Mortgage-Backed Securities — 5.4% |
|
2,098,369 | ||||||
|
|
|
|||||||
| U.S. Government Sponsored Agency Securities |
| |||||||
| Mortgage-Backed Securities — 34.7% | ||||||||
| Fannie Mae, Series 2018-M4, Class A2, 3.17%, 03/25/28(b) |
190 | 177,787 | ||||||
| Freddie Mac Mortgage-Backed Securities |
||||||||
| 3.00%, 05/01/29 - 06/01/47 |
221 | 200,484 | ||||||
| 3.50%, 03/01/46 - 06/01/49 |
245 | 221,011 | ||||||
| 4.00%, 02/01/47 - 01/01/48 |
54 | 50,053 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates, Series KSG1, Class A2, 1.50%, 09/25/30 |
120 | 96,906 | ||||||
| Ginnie Mae Mortgage-Backed Securities |
||||||||
| 3.00%, 05/20/45 - 11/20/51 |
919 | 801,077 | ||||||
| 3.50%, 06/20/45 - 09/20/48 |
591 | 535,740 | ||||||
| 4.00%, 03/20/46 - 12/20/52 |
267 | 249,219 | ||||||
| 2.50%, 12/20/46 - 12/20/53(c) |
1,320 | 1,102,640 | ||||||
| 4.50%, 07/20/47 - 12/20/53(c) |
608 | 575,389 | ||||||
| 2.00%, 10/20/51 - 12/20/51 |
622 | 501,513 | ||||||
| 5.00%, 12/20/52 - 12/20/53(c) |
1,137 | 1,104,011 | ||||||
| 5.50%, 03/20/53 - 12/20/53(c) |
149 | 149,013 | ||||||
| 6.00%, 12/20/53(c) |
250 | 251,791 | ||||||
| 6.50%, 12/20/53(c) |
75 | 76,269 | ||||||
| Uniform Mortgage-Backed Securities |
||||||||
| 3.00%, 03/01/30 - 05/01/51 |
575 | 504,232 | ||||||
| 2.50%, 04/01/32 - 12/13/53(c) |
1,565 | 1,309,945 | ||||||
| 4.00%, 05/01/33 - 12/13/53(c) |
455 | 420,133 | ||||||
| 3.50%, 02/01/34 - 12/13/52(c) |
323 | 292,468 | ||||||
| 2.00%, 12/01/35 - 12/13/53(c) |
3,024 | 2,440,370 | ||||||
| 1.50%, 03/01/36 - 11/01/51 |
162 | 121,132 | ||||||
| 5.00%, 03/01/41 - 12/13/53(c) |
1,797 | 1,735,028 | ||||||
| 4.50%, 02/01/48 - 04/01/49 |
140 | 133,349 | ||||||
| 5.50%, 03/01/53 - 06/01/53 |
255 | 253,165 | ||||||
| Security | Par (000) |
Value | ||||||
| Mortgage-Backed Securities (continued) | ||||||||
| Uniform Mortgage-Backed Securities (continued) |
||||||||
| 6.00%, 12/13/53(c) |
$ | 50 | $ | 50,139 | ||||
| 6.50%, 12/13/53(c) |
125 | 126,973 | ||||||
|
|
|
|||||||
| 13,479,837 | ||||||||
|
|
|
|||||||
| Total U.S. Government Sponsored Agency Securities — 34.7% |
|
13,479,837 | ||||||
|
|
|
|||||||
| U.S. Treasury Obligations |
|
|||||||
| U.S. Treasury Bonds |
||||||||
| 6.00%, 02/15/26 |
100 | 102,762 | ||||||
| 3.88%, 02/15/43 |
125 | 111,499 | ||||||
| 3.38%, 11/15/48 |
825 | 666,252 | ||||||
| 2.88%, 05/15/49 |
275 | 202,104 | ||||||
| 1.25%, 05/15/50 |
150 | 73,658 | ||||||
| U.S. Treasury Notes |
||||||||
| 4.63%, 06/30/25 |
850 | 846,779 | ||||||
| 0.25%, 09/30/25 |
400 | 368,672 | ||||||
| 0.75%, 08/31/26 |
2,100 | 1,898,695 | ||||||
| 4.00%, 02/29/28 |
800 | 789,000 | ||||||
| 0.63%, 05/15/30 |
500 | 395,566 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations — 14.0% |
|
5,454,987 | ||||||
|
|
|
|||||||
| Total Long-Term Investments — 100.1% |
|
38,877,204 | ||||||
|
|
|
|||||||
| Shares | ||||||||
| Short-Term Securities | ||||||||
| Money Market Funds — 1.4% | ||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%(d)(e) |
536,703 | 536,703 | ||||||
|
|
|
|||||||
| Par (000) |
||||||||
| U.S. Treasury Obligations — 4.8% | ||||||||
| U.S. Treasury Bonds, |
$ | 200 | 204,867 | |||||
| U.S. Treasury Notes |
||||||||
| 2.25%, 03/31/24 |
300 | 296,941 | ||||||
| 2.00%, 06/30/24 |
1,200 | 1,177,172 | ||||||
| 2.38%, 08/15/24 |
200 | 195,938 | ||||||
|
|
|
|||||||
| 1,874,918 | ||||||||
|
|
|
|||||||
| Total Short-Term Securities — 6.2% |
|
2,411,621 | ||||||
|
|
|
|||||||
| Total Investments Before TBA Sale Commitments — 106.3% |
|
41,288,825 | ||||||
| TBA Sale Commitments(c) |
|
|||||||
| Mortgage-Backed Securities — (4.4)% | ||||||||
| Ginnie Mae Mortgage-Backed Securities, 2.50%, 12/20/53 |
(75 | ) | (62,602 | ) | ||||
| Uniform Mortgage-Backed Securities |
||||||||
| 2.50%, 12/13/53 |
(100 | ) | (80,953 | ) | ||||
| 4.50%, 12/13/53 |
(185 | ) | (173,212 | ) | ||||
| 12 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Mortgage-Backed Securities (continued) | ||||||||
| Uniform Mortgage-Backed Securities (continued) |
|
|||||||
| 5.00%, 12/13/53 |
$ | (1,417 | ) | $ | (1,363,526 | ) | ||
| 6.50%, 12/13/53 |
(25 | ) | (25,394 | ) | ||||
|
|
|
|||||||
| Total TBA Sale Commitments — (4.4)% |
|
(1,705,687 | ) | |||||
|
|
|
|||||||
| Total Investments, Net of TBA Sale Commitments — 101.9% |
|
39,583,138 | ||||||
| Liabilities in Excess of Other Assets — (1.9)% |
|
(730,812 | ) | |||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 38,852,326 | ||||||
|
|
|
|||||||
| (a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (c) | Represents or includes a TBA transaction. |
| (d) | Affiliate of the Fund. |
| (e) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended November 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 05/31/23 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 11/30/23 |
Shares Held at 11/30/23 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 1,258,114 | $ | — | $ | (721,411 | )(a) | $ | — | $ | — | $ | 536,703 | 536,703 | $ | 10,507 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
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 |
||||||||||||||||
| Euro Bund |
3 | 12/07/23 | $ | 432 | $ | 5,736 | ||||||||||
| 10-Year Australian Treasury Bonds |
3 | 12/15/23 | 223 | 1,412 | ||||||||||||
| 10-Year U.S. Treasury Note |
16 | 03/19/24 | 1,757 | 9,187 | ||||||||||||
| 10-Year U.S. Ultra Long Treasury Note |
3 | 03/19/24 | 341 | 2,141 | ||||||||||||
| U.S. Long Bond |
15 | 03/19/24 | 1,748 | 10,793 | ||||||||||||
| 2-Year U.S. Treasury Note |
7 | 03/28/24 | 1,432 | 4,744 | ||||||||||||
| 5-Year U.S. Treasury Note |
31 | 03/28/24 | 3,314 | 12,007 | ||||||||||||
|
|
|
|||||||||||||||
| 46,020 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
||||||||||||||||
| Euro OAT |
4 | 12/07/23 | 553 | (3,618 | ) | |||||||||||
| 10-Year Canadian Bond |
4 | 03/19/24 | 353 | (2,684 | ) | |||||||||||
| Ultra U.S. Treasury Bond |
3 | 03/19/24 | 369 | (2,518 | ) | |||||||||||
| Long Gilt |
2 | 03/26/24 | 244 | 2,018 | ||||||||||||
|
|
|
|||||||||||||||
| (6,802 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| $ | 39,218 | |||||||||||||||
|
|
|
|||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
13 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 30,000 | USD | 19,479 | Bank of America N.A. | 12/20/23 | $ | 354 | |||||||||||||
| AUD | 10,000 | USD | 6,497 | Barclays Bank PLC | 12/20/23 | 114 | ||||||||||||||
| AUD | 10,000 | USD | 6,392 | Barclays Bank PLC | 12/20/23 | 219 | ||||||||||||||
| AUD | 20,000 | USD | 13,125 | Barclays Bank PLC | 12/20/23 | 97 | ||||||||||||||
| AUD | 20,000 | USD | 12,724 | Barclays Bank PLC | 12/20/23 | 498 | ||||||||||||||
| AUD | 20,000 | USD | 12,649 | Barclays Bank PLC | 12/20/23 | 573 | ||||||||||||||
| AUD | 20,000 | USD | 12,644 | Barclays Bank PLC | 12/20/23 | 578 | ||||||||||||||
| AUD | 10,000 | USD | 6,374 | Goldman Sachs International | 12/20/23 | 237 | ||||||||||||||
| AUD | 60,000 | USD | 37,841 | HSBC Bank PLC | 12/20/23 | 1,825 | ||||||||||||||
| AUD | 10,000 | USD | 6,322 | Morgan Stanley & Co. International PLC | 12/20/23 | 289 | ||||||||||||||
| BRL | 280,000 | USD | 54,825 | BNP Paribas SA | 12/20/23 | 1,948 | ||||||||||||||
| BRL | 20,000 | USD | 3,941 | Morgan Stanley & Co. International PLC | 12/20/23 | 115 | ||||||||||||||
| BRL | 40,000 | USD | 7,896 | Morgan Stanley & Co. International PLC | 12/20/23 | 215 | ||||||||||||||
| BRL | 50,000 | USD | 9,785 | Morgan Stanley & Co. International PLC | 12/20/23 | 353 | ||||||||||||||
| BRL | 160,000 | USD | 32,317 | Morgan Stanley & Co. International PLC | 12/20/23 | 124 | ||||||||||||||
| CAD | 20,000 | USD | 14,593 | Bank of America N.A. | 12/20/23 | 150 | ||||||||||||||
| CAD | 10,000 | USD | 7,310 | HSBC Bank PLC | 12/20/23 | 61 | ||||||||||||||
| CAD | 20,000 | USD | 14,572 | HSBC Bank PLC | 12/20/23 | 172 | ||||||||||||||
| CAD | 10,000 | USD | 7,233 | JPMorgan Chase Bank N.A. | 12/20/23 | 138 | ||||||||||||||
| CAD | 10,000 | USD | 7,338 | Morgan Stanley & Co. International PLC | 12/20/23 | 34 | ||||||||||||||
| CAD | 10,000 | USD | 7,314 | Morgan Stanley & Co. International PLC | 12/20/23 | 58 | ||||||||||||||
| CAD | 30,000 | USD | 22,072 | Morgan Stanley & Co. International PLC | 12/20/23 | 43 | ||||||||||||||
| CAD | 10,000 | USD | 7,307 | Nomura International PLC | 12/20/23 | 65 | ||||||||||||||
| CAD | 20,000 | USD | 14,602 | Nomura International PLC | 12/20/23 | 141 | ||||||||||||||
| CHF | 10,000 | USD | 11,116 | Barclays Bank PLC | 12/20/23 | 324 | ||||||||||||||
| CHF | 10,000 | USD | 11,050 | BNP Paribas SA | 12/20/23 | 390 | ||||||||||||||
| CHF | 10,000 | USD | 11,354 | Citibank N.A. | 12/20/23 | 87 | ||||||||||||||
| CHF | 20,000 | USD | 22,238 | Goldman Sachs International | 12/20/23 | 643 | ||||||||||||||
| CHF | 20,000 | USD | 22,255 | JPMorgan Chase Bank N.A. | 12/20/23 | 625 | ||||||||||||||
| CHF | 10,000 | USD | 11,301 | Morgan Stanley & Co. International PLC | 12/20/23 | 139 | ||||||||||||||
| CHF | 10,000 | USD | 11,051 | Morgan Stanley & Co. International PLC | 12/20/23 | 390 | ||||||||||||||
| CHF | 10,000 | USD | 11,019 | Morgan Stanley & Co. International PLC | 12/20/23 | 421 | ||||||||||||||
| CHF | 30,000 | USD | 33,018 | Morgan Stanley & Co. International PLC | 12/20/23 | 1,302 | ||||||||||||||
| CHF | 30,000 | USD | 32,771 | Morgan Stanley & Co. International PLC | 12/20/23 | 1,550 | ||||||||||||||
| CHF | 90,000 | USD | 99,320 | Morgan Stanley & Co. International PLC | 12/20/23 | 3,642 | ||||||||||||||
| CLP | 1,000,000 | USD | 1,057 | Barclays Bank PLC | 12/20/23 | 89 | ||||||||||||||
| CLP | 3,000,000 | USD | 3,299 | Barclays Bank PLC | 12/20/23 | 137 | ||||||||||||||
| CLP | 5,855,000 | USD | 6,357 | Barclays Bank PLC | 12/20/23 | 349 | ||||||||||||||
| CLP | 7,000,000 | USD | 7,972 | Barclays Bank PLC | 12/20/23 | 45 | ||||||||||||||
| CLP | 9,000,000 | USD | 9,986 | Barclays Bank PLC | 12/20/23 | 322 | ||||||||||||||
| CLP | 3,000,000 | USD | 3,396 | Citibank N.A. | 12/20/23 | 40 | ||||||||||||||
| CLP | 4,000,000 | USD | 4,339 | Citibank N.A. | 12/20/23 | 242 | ||||||||||||||
| CLP | 4,347,893 | USD | 4,810 | Citibank N.A. | 12/20/23 | 169 | ||||||||||||||
| CLP | 3,000,000 | USD | 3,359 | Goldman Sachs International | 12/20/23 | 77 | ||||||||||||||
| CLP | 5,000,000 | USD | 5,720 | Goldman Sachs International | 12/20/23 | 6 | ||||||||||||||
| CLP | 652,107 | USD | 722 | Morgan Stanley & Co. International PLC | 12/20/23 | 25 | ||||||||||||||
| CLP | 4,000,000 | USD | 4,509 | Morgan Stanley & Co. International PLC | 12/20/23 | 72 | ||||||||||||||
| CLP | 5,000,000 | USD | 5,366 | Morgan Stanley & Co. International PLC | 12/20/23 | 361 | ||||||||||||||
| COP | 20,000,000 | USD | 4,892 | Bank of America N.A. | 12/20/23 | 71 | ||||||||||||||
| COP | 20,000,000 | USD | 4,636 | Barclays Bank PLC | 12/20/23 | 327 | ||||||||||||||
| COP | 20,000,000 | USD | 4,849 | Citibank N.A. | 12/20/23 | 114 | ||||||||||||||
| COP | 10,000,000 | USD | 2,313 | Goldman Sachs International | 12/20/23 | 169 | ||||||||||||||
| COP | 10,000,000 | USD | 2,309 | Goldman Sachs International | 12/20/23 | 173 | ||||||||||||||
| COP | 20,000,000 | USD | 4,699 | Goldman Sachs International | 12/20/23 | 264 | ||||||||||||||
| COP | 100,000,000 | USD | 23,863 | Goldman Sachs International | 12/20/23 | 953 | ||||||||||||||
| COP | 40,000,000 | USD | 9,755 | JPMorgan Chase Bank N.A. | 12/20/23 | 171 | ||||||||||||||
| COP | 10,000,000 | USD | 2,397 | Morgan Stanley & Co. International PLC | 12/20/23 | 85 | ||||||||||||||
| COP | 30,000,000 | USD | 6,996 | Morgan Stanley & Co. International PLC | 12/20/23 | 448 | ||||||||||||||
| CZK | 1,500,000 | USD | 64,034 | BNP Paribas SA | 12/20/23 | 3,098 | ||||||||||||||
| CZK | 400,000 | USD | 17,229 | Citibank N.A. | 12/20/23 | 673 | ||||||||||||||
| CZK | 100,000 | USD | 4,260 | Goldman Sachs International | 12/20/23 | 215 | ||||||||||||||
| CZK | 100,000 | USD | 4,428 | Morgan Stanley & Co. International PLC | 12/20/23 | 47 | ||||||||||||||
| 14 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| CZK | 1,800,000 | USD | 77,275 | Morgan Stanley & Co. International PLC | 12/20/23 | $ | 3,283 | |||||||||||||
| EUR | 40,000 | USD | 42,961 | Citibank N.A. | 12/20/23 | 610 | ||||||||||||||
| EUR | 60,000 | USD | 64,202 | Deutsche Bank AG | 12/20/23 | 1,154 | ||||||||||||||
| EUR | 20,000 | USD | 21,737 | Goldman Sachs International | 12/20/23 | 49 | ||||||||||||||
| EUR | 10,000 | USD | 10,661 | HSBC Bank PLC | 12/20/23 | 232 | ||||||||||||||
| EUR | 10,000 | USD | 10,549 | HSBC Bank PLC | 12/20/23 | 344 | ||||||||||||||
| EUR | 10,000 | USD | 10,849 | JPMorgan Chase Bank N.A. | 12/20/23 | 43 | ||||||||||||||
| EUR | 10,000 | USD | 10,644 | JPMorgan Chase Bank N.A. | 12/20/23 | 249 | ||||||||||||||
| EUR | 10,000 | USD | 10,768 | Morgan Stanley & Co. International PLC | 12/20/23 | 124 | ||||||||||||||
| EUR | 10,000 | USD | 10,569 | Morgan Stanley & Co. International PLC | 12/20/23 | 323 | ||||||||||||||
| EUR | 10,000 | USD | 10,682 | Nomura International PLC | 12/20/23 | 211 | ||||||||||||||
| GBP | 20,000 | USD | 24,543 | Bank of America N.A. | 12/20/23 | 709 | ||||||||||||||
| GBP | 10,000 | USD | 12,430 | Barclays Bank PLC | 12/20/23 | 197 | ||||||||||||||
| GBP | 20,000 | USD | 25,216 | Barclays Bank PLC | 12/20/23 | 36 | ||||||||||||||
| GBP | 60,000 | USD | 73,003 | Citibank N.A. | 12/20/23 | 2,755 | ||||||||||||||
| GBP | 10,000 | USD | 12,222 | Deutsche Bank AG | 12/20/23 | 404 | ||||||||||||||
| GBP | 30,000 | USD | 36,208 | Goldman Sachs International | 12/20/23 | 1,670 | ||||||||||||||
| GBP | 10,000 | USD | 12,169 | HSBC Bank PLC | 12/20/23 | 457 | ||||||||||||||
| GBP | 20,000 | USD | 24,582 | HSBC Bank PLC | 12/20/23 | 670 | ||||||||||||||
| GBP | 10,000 | USD | 12,173 | Morgan Stanley & Co. International PLC | 12/20/23 | 453 | ||||||||||||||
| HUF | 1,000,000 | USD | 2,678 | Barclays Bank PLC | 12/20/23 | 180 | ||||||||||||||
| HUF | 4,000,000 | USD | 10,815 | Deutsche Bank AG | 12/20/23 | 619 | ||||||||||||||
| HUF | 2,000,000 | USD | 5,446 | Goldman Sachs International | 12/20/23 | 271 | ||||||||||||||
| HUF | 4,000,000 | USD | 11,254 | Goldman Sachs International | 12/20/23 | 180 | ||||||||||||||
| HUF | 3,000,000 | USD | 8,043 | JPMorgan Chase Bank N.A. | 12/20/23 | 532 | ||||||||||||||
| HUF | 1,000,000 | USD | 2,829 | Morgan Stanley & Co. International PLC | 12/20/23 | 29 | ||||||||||||||
| HUF | 2,000,000 | USD | 5,639 | Morgan Stanley & Co. International PLC | 12/20/23 | 78 | ||||||||||||||
| IDR | 100,000,000 | USD | 6,371 | Barclays Bank PLC | 12/20/23 | 55 | ||||||||||||||
| IDR | 44,750,000 | USD | 2,851 | Deutsche Bank AG | 12/20/23 | 25 | ||||||||||||||
| IDR | 50,000,000 | USD | 3,131 | Deutsche Bank AG | 12/20/23 | 82 | ||||||||||||||
| IDR | 80,000,000 | USD | 5,038 | Deutsche Bank AG | 12/20/23 | 103 | ||||||||||||||
| IDR | 105,250,000 | USD | 6,705 | Deutsche Bank AG | 12/20/23 | 58 | ||||||||||||||
| IDR | 260,000,000 | USD | 16,545 | Deutsche Bank AG | 12/20/23 | 163 | ||||||||||||||
| IDR | 70,000,000 | USD | 4,497 | Goldman Sachs International | 12/20/23 | 1 | ||||||||||||||
| IDR | 100,050,000 | USD | 6,428 | Morgan Stanley & Co. International PLC | 12/20/23 | 1 | ||||||||||||||
| IDR | 310,000,000 | USD | 19,728 | Morgan Stanley & Co. International PLC | 12/20/23 | 193 | ||||||||||||||
| ILS | 100,000 | USD | 26,101 | Citibank N.A. | 12/20/23 | 717 | ||||||||||||||
| ILS | 200,000 | USD | 52,388 | Citibank N.A. | 12/20/23 | 1,250 | ||||||||||||||
| INR | 1,400,000 | USD | 16,763 | BNP Paribas SA | 12/20/23 | 25 | ||||||||||||||
| INR | 700,000 | USD | 8,389 | Deutsche Bank AG | 12/20/23 | 5 | ||||||||||||||
| INR | 800,000 | USD | 9,587 | Deutsche Bank AG | 12/20/23 | 6 | ||||||||||||||
| INR | 800,000 | USD | 9,579 | Deutsche Bank AG | 12/20/23 | 14 | ||||||||||||||
| INR | 900,000 | USD | 10,783 | Deutsche Bank AG | 12/20/23 | 10 | ||||||||||||||
| INR | 400,000 | USD | 4,794 | Goldman Sachs International | 12/20/23 | 2 | ||||||||||||||
| INR | 3,200,000 | USD | 38,336 | Goldman Sachs International | 12/20/23 | 36 | ||||||||||||||
| INR | 2,500,000 | USD | 29,951 | JPMorgan Chase Bank N.A. | 12/20/23 | 27 | ||||||||||||||
| INR | 400,000 | USD | 4,795 | Morgan Stanley & Co. International PLC | 12/20/23 | 1 | ||||||||||||||
| INR | 1,200,000 | USD | 14,367 | Morgan Stanley & Co. International PLC | 12/20/23 | 23 | ||||||||||||||
| JPY | 2,000,000 | USD | 13,516 | Bank of America N.A. | 12/20/23 | 8 | ||||||||||||||
| JPY | 1,000,000 | USD | 6,741 | JPMorgan Chase Bank N.A. | 12/20/23 | 22 | ||||||||||||||
| JPY | 1,000,000 | USD | 6,723 | Morgan Stanley & Co. International PLC | 12/20/23 | 39 | ||||||||||||||
| JPY | 1,000,000 | USD | 6,708 | Nomura International PLC | 12/20/23 | 54 | ||||||||||||||
| KRW | 3,289,392 | USD | 2,466 | Barclays Bank PLC | 12/20/23 | 65 | ||||||||||||||
| KRW | 7,393,729 | USD | 5,642 | Barclays Bank PLC | 12/20/23 | 48 | ||||||||||||||
| KRW | 15,000,000 | USD | 11,404 | Barclays Bank PLC | 12/20/23 | 139 | ||||||||||||||
| KRW | 20,000,000 | USD | 15,203 | Barclays Bank PLC | 12/20/23 | 188 | ||||||||||||||
| KRW | 5,000,000 | USD | 3,737 | Goldman Sachs International | 12/20/23 | 110 | ||||||||||||||
| KRW | 5,000,000 | USD | 3,707 | Goldman Sachs International | 12/20/23 | 140 | ||||||||||||||
| KRW | 10,000,000 | USD | 7,462 | Goldman Sachs International | 12/20/23 | 233 | ||||||||||||||
| KRW | 10,000,000 | USD | 7,429 | Goldman Sachs International | 12/20/23 | 266 | ||||||||||||||
| KRW | 15,000,000 | USD | 11,237 | Goldman Sachs International | 12/20/23 | 306 | ||||||||||||||
| KRW | 20,000,000 | USD | 15,390 | Goldman Sachs International | 12/20/23 | 1 | ||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
15 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| KRW | 20,000,000 | USD | 14,804 | Goldman Sachs International | 12/20/23 | $ | 587 | |||||||||||||
| KRW | 25,000,000 | USD | 18,531 | Goldman Sachs International | 12/20/23 | 707 | ||||||||||||||
| KRW | 32,606,271 | USD | 24,888 | Goldman Sachs International | 12/20/23 | 204 | ||||||||||||||
| KRW | 30,000,000 | USD | 22,900 | JPMorgan Chase Bank N.A. | 12/20/23 | 186 | ||||||||||||||
| KRW | 31,710,608 | USD | 23,771 | JPMorgan Chase Bank N.A. | 12/20/23 | 632 | ||||||||||||||
| KRW | 40,000,000 | USD | 30,592 | JPMorgan Chase Bank N.A. | 12/20/23 | 189 | ||||||||||||||
| KRW | 15,000,000 | USD | 11,131 | Morgan Stanley & Co. International PLC | 12/20/23 | 412 | ||||||||||||||
| MXN | 200,000 | USD | 10,843 | Bank of America N.A. | 12/20/23 | 642 | ||||||||||||||
| MXN | 100,000 | USD | 5,622 | Barclays Bank PLC | 12/20/23 | 121 | ||||||||||||||
| MXN | 100,000 | USD | 5,509 | Barclays Bank PLC | 12/20/23 | 234 | ||||||||||||||
| MXN | 300,000 | USD | 16,889 | Barclays Bank PLC | 12/20/23 | 340 | ||||||||||||||
| MXN | 100,000 | USD | 5,401 | Citibank N.A. | 12/20/23 | 341 | ||||||||||||||
| MXN | 100,000 | USD | 5,484 | Goldman Sachs International | 12/20/23 | 258 | ||||||||||||||
| MXN | 200,000 | USD | 11,323 | JPMorgan Chase Bank N.A. | 12/20/23 | 163 | ||||||||||||||
| MXN | 100,000 | USD | 5,550 | Morgan Stanley & Co. International PLC | 12/20/23 | 193 | ||||||||||||||
| MXN | 100,000 | USD | 5,520 | Morgan Stanley & Co. International PLC | 12/20/23 | 222 | ||||||||||||||
| MXN | 100,000 | USD | 5,515 | Morgan Stanley & Co. International PLC | 12/20/23 | 228 | ||||||||||||||
| MXN | 100,000 | USD | 5,460 | Morgan Stanley & Co. International PLC | 12/20/23 | 283 | ||||||||||||||
| MXN | 200,000 | USD | 11,005 | Morgan Stanley & Co. International PLC | 12/20/23 | 481 | ||||||||||||||
| NOK | 200,000 | USD | 17,876 | Deutsche Bank AG | 12/20/23 | 617 | ||||||||||||||
| NOK | 300,000 | USD | 27,594 | Deutsche Bank AG | 12/20/23 | 147 | ||||||||||||||
| NOK | 200,000 | USD | 18,260 | Goldman Sachs International | 12/20/23 | 233 | ||||||||||||||
| NOK | 400,000 | USD | 36,656 | Goldman Sachs International | 12/20/23 | 331 | ||||||||||||||
| NOK | 100,000 | USD | 9,158 | Morgan Stanley & Co. International PLC | 12/20/23 | 89 | ||||||||||||||
| NOK | 200,000 | USD | 18,286 | Morgan Stanley & Co. International PLC | 12/20/23 | 207 | ||||||||||||||
| NZD | 30,000 | USD | 18,072 | Bank of America N.A. | 12/20/23 | 403 | ||||||||||||||
| NZD | 50,000 | USD | 29,899 | Bank of America N.A. | 12/20/23 | 893 | ||||||||||||||
| NZD | 20,000 | USD | 11,946 | Goldman Sachs International | 12/20/23 | 371 | ||||||||||||||
| NZD | 20,000 | USD | 11,620 | Goldman Sachs International | 12/20/23 | 697 | ||||||||||||||
| NZD | 30,000 | USD | 18,002 | Goldman Sachs International | 12/20/23 | 473 | ||||||||||||||
| NZD | 30,000 | USD | 17,824 | Goldman Sachs International | 12/20/23 | 651 | ||||||||||||||
| NZD | 20,000 | USD | 11,937 | HSBC Bank PLC | 12/20/23 | 380 | ||||||||||||||
| NZD | 20,000 | USD | 11,840 | HSBC Bank PLC | 12/20/23 | 477 | ||||||||||||||
| NZD | 30,000 | USD | 17,757 | Morgan Stanley & Co. International PLC | 12/20/23 | 718 | ||||||||||||||
| NZD | 50,000 | USD | 29,489 | Morgan Stanley & Co. International PLC | 12/20/23 | 1,303 | ||||||||||||||
| PHP | 52,376 | USD | 938 | Bank of America N.A. | 12/20/23 | 6 | ||||||||||||||
| PHP | 218,365 | USD | 3,905 | Barclays Bank PLC | 12/20/23 | 28 | ||||||||||||||
| PHP | 347,624 | USD | 6,225 | Barclays Bank PLC | 12/20/23 | 37 | ||||||||||||||
| PHP | 400,000 | USD | 7,149 | Barclays Bank PLC | 12/20/23 | 56 | ||||||||||||||
| PHP | 81,635 | USD | 1,460 | Citibank N.A. | 12/20/23 | 10 | ||||||||||||||
| PHP | 600,000 | USD | 10,585 | Citibank N.A. | 12/20/23 | 223 | ||||||||||||||
| PHP | 700,000 | USD | 12,563 | Citibank N.A. | 12/20/23 | 47 | ||||||||||||||
| PHP | 200,000 | USD | 3,520 | Deutsche Bank AG | 12/20/23 | 83 | ||||||||||||||
| PHP | 300,000 | USD | 5,392 | JPMorgan Chase Bank N.A. | 12/20/23 | 13 | ||||||||||||||
| PHP | 1,000,000 | USD | 17,835 | Morgan Stanley & Co. International PLC | 12/20/23 | 179 | ||||||||||||||
| PLN | 50,000 | USD | 11,883 | Bank of America N.A. | 12/20/23 | 608 | ||||||||||||||
| PLN | 100,000 | USD | 23,806 | Bank of America N.A. | 12/20/23 | 1,177 | ||||||||||||||
| PLN | 50,000 | USD | 11,976 | Barclays Bank PLC | 12/20/23 | 515 | ||||||||||||||
| PLN | 50,000 | USD | 11,921 | Barclays Bank PLC | 12/20/23 | 570 | ||||||||||||||
| PLN | 50,000 | USD | 11,919 | Citibank N.A. | 12/20/23 | 573 | ||||||||||||||
| PLN | 50,000 | USD | 11,817 | Deutsche Bank AG | 12/20/23 | 674 | ||||||||||||||
| PLN | 50,000 | USD | 11,726 | Goldman Sachs International | 12/20/23 | 766 | ||||||||||||||
| PLN | 150,000 | USD | 36,369 | Goldman Sachs International | 12/20/23 | 1,105 | ||||||||||||||
| PLN | 100,000 | USD | 23,405 | JPMorgan Chase Bank N.A. | 12/20/23 | 1,578 | ||||||||||||||
| PLN | 50,000 | USD | 11,548 | Morgan Stanley & Co. International PLC | 12/20/23 | 944 | ||||||||||||||
| PLN | 100,000 | USD | 23,745 | Societe Generale | 12/20/23 | 1,237 | ||||||||||||||
| PLN | 100,000 | USD | 23,569 | Societe Generale | 12/20/23 | 1,413 | ||||||||||||||
| SEK | 100,000 | USD | 9,208 | Bank of America N.A. | 12/20/23 | 319 | ||||||||||||||
| SEK | 95,000 | USD | 8,697 | Barclays Bank PLC | 12/20/23 | 354 | ||||||||||||||
| SEK | 100,000 | USD | 9,006 | Barclays Bank PLC | 12/20/23 | 522 | ||||||||||||||
| SEK | 200,000 | USD | 18,001 | Barclays Bank PLC | 12/20/23 | 1,055 | ||||||||||||||
| SEK | 300,000 | USD | 27,630 | Barclays Bank PLC | 12/20/23 | 954 | ||||||||||||||
| 16 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| SEK | 300,000 | USD | 27,017 | Barclays Bank PLC | 12/20/23 | $ | 1,567 | |||||||||||||
| SEK | 89,553 | USD | 8,209 | Citibank N.A. | 12/20/23 | 323 | ||||||||||||||
| SEK | 200,000 | USD | 18,104 | Deutsche Bank AG | 12/20/23 | 952 | ||||||||||||||
| SEK | 310,447 | USD | 28,438 | Deutsche Bank AG | 12/20/23 | 1,141 | ||||||||||||||
| SEK | 400,000 | USD | 36,918 | Deutsche Bank AG | 12/20/23 | 1,193 | ||||||||||||||
| SEK | 200,000 | USD | 17,909 | Goldman Sachs International | 12/20/23 | 1,146 | ||||||||||||||
| SEK | 100,000 | USD | 9,473 | JPMorgan Chase Bank N.A. | 12/20/23 | 55 | ||||||||||||||
| SEK | 405,000 | USD | 37,111 | JPMorgan Chase Bank N.A. | 12/20/23 | 1,477 | ||||||||||||||
| SEK | 100,000 | USD | 9,487 | Morgan Stanley & Co. International PLC | 12/20/23 | 41 | ||||||||||||||
| SEK | 100,000 | USD | 9,472 | Morgan Stanley & Co. International PLC | 12/20/23 | 56 | ||||||||||||||
| SEK | 100,000 | USD | 9,131 | Morgan Stanley & Co. International PLC | 12/20/23 | 397 | ||||||||||||||
| SGD | 10,000 | USD | 7,344 | Barclays Bank PLC | 12/20/23 | 137 | ||||||||||||||
| SGD | 10,000 | USD | 7,296 | Barclays Bank PLC | 12/20/23 | 185 | ||||||||||||||
| SGD | 30,000 | USD | 22,422 | Barclays Bank PLC | 12/20/23 | 21 | ||||||||||||||
| SGD | 30,000 | USD | 21,900 | Barclays Bank PLC | 12/20/23 | 544 | ||||||||||||||
| SGD | 40,000 | USD | 29,888 | Barclays Bank PLC | 12/20/23 | 36 | ||||||||||||||
| SGD | 10,000 | USD | 7,329 | Goldman Sachs International | 12/20/23 | 152 | ||||||||||||||
| SGD | 20,000 | USD | 14,931 | Goldman Sachs International | 12/20/23 | 31 | ||||||||||||||
| SGD | 30,000 | USD | 21,949 | Goldman Sachs International | 12/20/23 | 494 | ||||||||||||||
| SGD | 10,000 | USD | 7,441 | HSBC Bank PLC | 12/20/23 | 40 | ||||||||||||||
| SGD | 10,000 | USD | 7,463 | Morgan Stanley & Co. International PLC | 12/20/23 | 18 | ||||||||||||||
| SGD | 10,000 | USD | 7,319 | Morgan Stanley & Co. International PLC | 12/20/23 | 162 | ||||||||||||||
| SGD | 20,000 | USD | 14,848 | Morgan Stanley & Co. International PLC | 12/20/23 | 114 | ||||||||||||||
| SGD | 20,000 | USD | 14,672 | Morgan Stanley & Co. International PLC | 12/20/23 | 290 | ||||||||||||||
| THB | 200,000 | USD | 5,554 | Barclays Bank PLC | 12/20/23 | 139 | ||||||||||||||
| THB | 300,000 | USD | 8,476 | Barclays Bank PLC | 12/20/23 | 64 | ||||||||||||||
| THB | 300,000 | USD | 8,338 | Barclays Bank PLC | 12/20/23 | 202 | ||||||||||||||
| THB | 300,000 | USD | 8,312 | Barclays Bank PLC | 12/20/23 | 228 | ||||||||||||||
| THB | 300,000 | USD | 8,301 | Barclays Bank PLC | 12/20/23 | 239 | ||||||||||||||
| THB | 300,000 | USD | 8,262 | Barclays Bank PLC | 12/20/23 | 278 | ||||||||||||||
| THB | 300,000 | USD | 8,479 | Citibank N.A. | 12/20/23 | 61 | ||||||||||||||
| THB | 100,000 | USD | 2,778 | HSBC Bank PLC | 12/20/23 | 69 | ||||||||||||||
| THB | 600,000 | USD | 16,287 | HSBC Bank PLC | 12/20/23 | 793 | ||||||||||||||
| THB | 100,000 | USD | 2,790 | JPMorgan Chase Bank N.A. | 12/20/23 | 57 | ||||||||||||||
| THB | 200,000 | USD | 5,488 | JPMorgan Chase Bank N.A. | 12/20/23 | 205 | ||||||||||||||
| THB | 300,000 | USD | 8,170 | Morgan Stanley & Co. International PLC | 12/20/23 | 370 | ||||||||||||||
| THB | 500,000 | USD | 13,908 | Morgan Stanley & Co. International PLC | 12/20/23 | 326 | ||||||||||||||
| TWD | 4,055 | USD | 127 | Bank of America N.A. | 12/20/23 | 3 | ||||||||||||||
| TWD | 300,000 | USD | 9,322 | Bank of America N.A. | 12/20/23 | 268 | ||||||||||||||
| TWD | 505,785 | USD | 15,745 | Bank of America N.A. | 12/20/23 | 424 | ||||||||||||||
| TWD | 145,945 | USD | 4,555 | Barclays Bank PLC | 12/20/23 | 111 | ||||||||||||||
| TWD | 400,000 | USD | 12,749 | Barclays Bank PLC | 12/20/23 | 39 | ||||||||||||||
| TWD | 150,000 | USD | 4,689 | BNP Paribas SA | 12/20/23 | 106 | ||||||||||||||
| TWD | 200,000 | USD | 6,189 | Deutsche Bank AG | 12/20/23 | 204 | ||||||||||||||
| TWD | 494,215 | USD | 15,385 | Deutsche Bank AG | 12/20/23 | 415 | ||||||||||||||
| TWD | 500,000 | USD | 15,486 | Deutsche Bank AG | 12/20/23 | 499 | ||||||||||||||
| TWD | 500,000 | USD | 15,527 | JPMorgan Chase Bank N.A. | 12/20/23 | 457 | ||||||||||||||
| TWD | 800,000 | USD | 25,258 | Morgan Stanley & Co. International PLC | 12/20/23 | 317 | ||||||||||||||
| USD | 4,079 | BRL | 20,000 | Bank of America N.A. | 12/20/23 | 23 | ||||||||||||||
| USD | 4,065 | BRL | 20,000 | Barclays Bank PLC | 12/20/23 | 10 | ||||||||||||||
| USD | 10,158 | BRL | 50,000 | Barclays Bank PLC | 12/20/23 | 20 | ||||||||||||||
| USD | 6,148 | BRL | 30,000 | Goldman Sachs International | 12/20/23 | 65 | ||||||||||||||
| USD | 4,969 | COP | 20,000,000 | Goldman Sachs International | 12/20/23 | 6 | ||||||||||||||
| USD | 4,476 | CZK | 100,000 | Citibank N.A. | 12/20/23 | — | ||||||||||||||
| USD | 10,921 | EUR | 10,000 | Deutsche Bank AG | 12/20/23 | 28 | ||||||||||||||
| USD | 10,938 | EUR | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 46 | ||||||||||||||
| USD | 12,691 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | 65 | ||||||||||||||
| USD | 12,651 | GBP | 10,000 | JPMorgan Chase Bank N.A. | 12/20/23 | 24 | ||||||||||||||
| USD | 2,564 | HKD | 20,000 | Goldman Sachs International | 12/20/23 | 4 | ||||||||||||||
| USD | 11,524 | HKD | 90,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 1 | ||||||||||||||
| USD | 9,008 | IDR | 140,000,000 | Bank of America N.A. | 12/20/23 | 12 | ||||||||||||||
| USD | 7,120 | IDR | 110,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 51 | ||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
17 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 7,209 | INR | 600,000 | Bank of America N.A. | 12/20/23 | $ | 14 | |||||||||||||
| USD | 7,200 | INR | 600,000 | Barclays Bank PLC | 12/20/23 | 5 | ||||||||||||||
| USD | 9,594 | INR | 800,000 | Barclays Bank PLC | 12/20/23 | 1 | ||||||||||||||
| USD | 13,200 | INR | 1,100,000 | Barclays Bank PLC | 12/20/23 | 9 | ||||||||||||||
| USD | 3,598 | INR | 300,000 | Citibank N.A. | 12/20/23 | — | ||||||||||||||
| USD | 20,415 | INR | 1,700,000 | Goldman Sachs International | 12/20/23 | 30 | ||||||||||||||
| USD | 14,432 | INR | 1,200,000 | Societe Generale | 12/20/23 | 43 | ||||||||||||||
| USD | 7,742 | KRW | 10,000,000 | Barclays Bank PLC | 12/20/23 | 47 | ||||||||||||||
| USD | 11,616 | KRW | 15,000,000 | Goldman Sachs International | 12/20/23 | 73 | ||||||||||||||
| USD | 19,332 | KRW | 25,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 93 | ||||||||||||||
| USD | 5,784 | MXN | 100,000 | Bank of America N.A. | 12/20/23 | 41 | ||||||||||||||
| USD | 11,513 | MXN | 200,000 | HSBC Bank PLC | 12/20/23 | 28 | ||||||||||||||
| USD | 5,816 | MXN | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 73 | ||||||||||||||
| USD | 18,498 | NOK | 200,000 | Barclays Bank PLC | 12/20/23 | 4 | ||||||||||||||
| USD | 18,542 | NOK | 200,000 | Deutsche Bank AG | 12/20/23 | 48 | ||||||||||||||
| USD | 18,524 | NOK | 200,000 | JPMorgan Chase Bank N.A. | 12/20/23 | 31 | ||||||||||||||
| USD | 9,309 | NOK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 63 | ||||||||||||||
| USD | 9,579 | SEK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 51 | ||||||||||||||
| USD | 8,556 | THB | 300,000 | Goldman Sachs International | 12/20/23 | 16 | ||||||||||||||
| USD | 6,398 | TWD | 200,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 4 | ||||||||||||||
| USD | 5,325 | ZAR | 100,000 | Barclays Bank PLC | 12/20/23 | 28 | ||||||||||||||
| USD | 5,336 | ZAR | 100,000 | Goldman Sachs International | 12/20/23 | 39 | ||||||||||||||
| ZAR | 100,000 | USD | 5,267 | Barclays Bank PLC | 12/20/23 | 31 | ||||||||||||||
| ZAR | 100,000 | USD | 5,234 | Barclays Bank PLC | 12/20/23 | 63 | ||||||||||||||
| ZAR | 100,000 | USD | 5,296 | Goldman Sachs International | 12/20/23 | 1 | ||||||||||||||
| ZAR | 100,000 | USD | 5,274 | Goldman Sachs International | 12/20/23 | 24 | ||||||||||||||
| ZAR | 100,000 | USD | 5,286 | Morgan Stanley & Co. International PLC | 12/20/23 | 12 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 94,066 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| BRL | 170,000 | USD | 34,531 | Barclays Bank PLC | 12/20/23 | (61 | ) | |||||||||||||
| BRL | 80,000 | USD | 16,278 | Goldman Sachs International | 12/20/23 | (57 | ) | |||||||||||||
| BRL | 60,000 | USD | 12,208 | Morgan Stanley & Co. International PLC | 12/20/23 | (42 | ) | |||||||||||||
| CHF | 10,000 | USD | 11,442 | JPMorgan Chase Bank N.A. | 12/20/23 | (2 | ) | |||||||||||||
| CLP | 6,000,000 | USD | 6,888 | Goldman Sachs International | 12/20/23 | (16 | ) | |||||||||||||
| CLP | 5,000,000 | USD | 5,736 | Morgan Stanley & Co. International PLC | 12/20/23 | (9 | ) | |||||||||||||
| COP | 20,000,000 | USD | 4,987 | Goldman Sachs International | 12/20/23 | (23 | ) | |||||||||||||
| COP | 40,000,000 | USD | 9,938 | JPMorgan Chase Bank N.A. | 12/20/23 | (12 | ) | |||||||||||||
| EUR | 30,000 | USD | 32,733 | Goldman Sachs International | 12/20/23 | (55 | ) | |||||||||||||
| EUR | 10,000 | USD | 10,919 | JPMorgan Chase Bank N.A. | 12/20/23 | (26 | ) | |||||||||||||
| GBP | 30,000 | USD | 37,983 | Goldman Sachs International | 12/20/23 | (104 | ) | |||||||||||||
| HUF | 2,000,000 | USD | 5,733 | Barclays Bank PLC | 12/20/23 | (16 | ) | |||||||||||||
| HUF | 2,000,000 | USD | 5,738 | Deutsche Bank AG | 12/20/23 | (21 | ) | |||||||||||||
| HUF | 2,000,000 | USD | 5,737 | Goldman Sachs International | 12/20/23 | (20 | ) | |||||||||||||
| HUF | 2,000,000 | USD | 5,734 | Goldman Sachs International | 12/20/23 | (17 | ) | |||||||||||||
| HUF | 1,000,000 | USD | 2,865 | Morgan Stanley & Co. International PLC | 12/20/23 | (7 | ) | |||||||||||||
| IDR | 13,069,081 | USD | 841 | Bank of America N.A. | 12/20/23 | (2 | ) | |||||||||||||
| IDR | 180,000,000 | USD | 11,613 | Bank of America N.A. | 12/20/23 | (46 | ) | |||||||||||||
| IDR | 66,930,919 | USD | 4,311 | Barclays Bank PLC | 12/20/23 | (10 | ) | |||||||||||||
| IDR | 62,130,987 | USD | 4,026 | Deutsche Bank AG | 12/20/23 | (33 | ) | |||||||||||||
| IDR | 89,900,000 | USD | 5,780 | Deutsche Bank AG | 12/20/23 | (2 | ) | |||||||||||||
| IDR | 220,000,000 | USD | 14,212 | Deutsche Bank AG | 12/20/23 | (74 | ) | |||||||||||||
| IDR | 230,000,000 | USD | 14,842 | Deutsche Bank AG | 12/20/23 | (61 | ) | |||||||||||||
| IDR | 340,000,000 | USD | 22,092 | HSBC Bank PLC | 12/20/23 | (243 | ) | |||||||||||||
| IDR | 77,069,013 | USD | 4,993 | JPMorgan Chase Bank N.A. | 12/20/23 | (41 | ) | |||||||||||||
| IDR | 150,800,000 | USD | 9,771 | JPMorgan Chase Bank N.A. | 12/20/23 | (80 | ) | |||||||||||||
| IDR | 100,050,000 | USD | 6,431 | Morgan Stanley & Co. International PLC | 12/20/23 | (2 | ) | |||||||||||||
| INR | 3,100,000 | USD | 37,181 | Bank of America N.A. | 12/20/23 | (8 | ) | |||||||||||||
| INR | 400,000 | USD | 4,797 | Barclays Bank PLC | 12/20/23 | (1 | ) | |||||||||||||
| INR | 1,000,000 | USD | 11,995 | Goldman Sachs International | 12/20/23 | (3 | ) | |||||||||||||
| INR | 200,000 | USD | 2,400 | Morgan Stanley & Co. International PLC | 12/20/23 | (2 | ) | |||||||||||||
| JPY | 1,000,000 | USD | 6,796 | Deutsche Bank AG | 12/20/23 | (33 | ) | |||||||||||||
| JPY | 1,000,000 | USD | 6,780 | Morgan Stanley & Co. International PLC | 12/20/23 | (17 | ) | |||||||||||||
| 18 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| KRW | 52,648 | USD | 41 | Bank of America N.A. | 12/20/23 | $ | — | |||||||||||||
| KRW | 25,000,000 | USD | 19,327 | Morgan Stanley & Co. International PLC | 12/20/23 | (89 | ) | |||||||||||||
| KRW | 4,947,352 | USD | 3,836 | Societe Generale | 12/20/23 | (29 | ) | |||||||||||||
| MXN | 100,000 | USD | 5,743 | Goldman Sachs International | 12/20/23 | (1 | ) | |||||||||||||
| NOK | 300,000 | USD | 28,124 | Deutsche Bank AG | 12/20/23 | (383 | ) | |||||||||||||
| NOK | 100,000 | USD | 9,323 | Morgan Stanley & Co. International PLC | 12/20/23 | (76 | ) | |||||||||||||
| NOK | 1,000,000 | USD | 93,232 | Morgan Stanley & Co. International PLC | 12/20/23 | (764 | ) | |||||||||||||
| PHP | 800,000 | USD | 14,476 | Deutsche Bank AG | 12/20/23 | (65 | ) | |||||||||||||
| SEK | 100,000 | USD | 9,596 | Barclays Bank PLC | 12/20/23 | (68 | ) | |||||||||||||
| SEK | 200,000 | USD | 19,130 | Goldman Sachs International | 12/20/23 | (74 | ) | |||||||||||||
| SEK | 100,000 | USD | 9,608 | Morgan Stanley & Co. International PLC | 12/20/23 | (80 | ) | |||||||||||||
| SEK | 100,000 | USD | 9,572 | Morgan Stanley & Co. International PLC | 12/20/23 | (44 | ) | |||||||||||||
| SEK | 100,000 | USD | 9,546 | Morgan Stanley & Co. International PLC | 12/20/23 | (18 | ) | |||||||||||||
| SGD | 30,000 | USD | 22,546 | Barclays Bank PLC | 12/20/23 | (103 | ) | |||||||||||||
| SGD | 50,000 | USD | 37,515 | Barclays Bank PLC | 12/20/23 | (109 | ) | |||||||||||||
| SGD | 50,000 | USD | 37,445 | Barclays Bank PLC | 12/20/23 | (39 | ) | |||||||||||||
| THB | 200,000 | USD | 5,703 | Barclays Bank PLC | 12/20/23 | (10 | ) | |||||||||||||
| THB | 100,000 | USD | 2,859 | Goldman Sachs International | 12/20/23 | (12 | ) | |||||||||||||
| USD | 12,711 | AUD | 20,000 | Bank of America N.A. | 12/20/23 | (511 | ) | |||||||||||||
| USD | 19,082 | AUD | 30,000 | Bank of America N.A. | 12/20/23 | (751 | ) | |||||||||||||
| USD | 38,684 | AUD | 60,000 | Bank of America N.A. | 12/20/23 | (982 | ) | |||||||||||||
| USD | 6,384 | AUD | 10,000 | Barclays Bank PLC | 12/20/23 | (227 | ) | |||||||||||||
| USD | 6,425 | AUD | 10,000 | Barclays Bank PLC | 12/20/23 | (186 | ) | |||||||||||||
| USD | 12,676 | AUD | 20,000 | Barclays Bank PLC | 12/20/23 | (545 | ) | |||||||||||||
| USD | 13,194 | AUD | 20,000 | Barclays Bank PLC | 12/20/23 | (28 | ) | |||||||||||||
| USD | 6,572 | AUD | 10,000 | Citibank N.A. | 12/20/23 | (39 | ) | |||||||||||||
| USD | 6,358 | AUD | 10,000 | Deutsche Bank AG | 12/20/23 | (253 | ) | |||||||||||||
| USD | 6,378 | AUD | 10,000 | Deutsche Bank AG | 12/20/23 | (232 | ) | |||||||||||||
| USD | 12,921 | AUD | 20,000 | Deutsche Bank AG | 12/20/23 | (301 | ) | |||||||||||||
| USD | 12,709 | AUD | 20,000 | Goldman Sachs International | 12/20/23 | (512 | ) | |||||||||||||
| USD | 12,876 | AUD | 20,000 | Goldman Sachs International | 12/20/23 | (346 | ) | |||||||||||||
| USD | 19,316 | AUD | 30,000 | Goldman Sachs International | 12/20/23 | (517 | ) | |||||||||||||
| USD | 19,116 | AUD | 30,000 | HSBC Bank PLC | 12/20/23 | (717 | ) | |||||||||||||
| USD | 64,324 | AUD | 100,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (1,785 | ) | |||||||||||||
| USD | 6,352 | AUD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (259 | ) | |||||||||||||
| USD | 6,413 | AUD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (198 | ) | |||||||||||||
| USD | 6,464 | AUD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (147 | ) | |||||||||||||
| USD | 32,068 | AUD | 50,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (987 | ) | |||||||||||||
| USD | 2,024 | BRL | 10,000 | Citibank N.A. | 12/20/23 | (4 | ) | |||||||||||||
| USD | 4,048 | BRL | 20,000 | Citibank N.A. | 12/20/23 | (7 | ) | |||||||||||||
| USD | 14,489 | CAD | 20,000 | Bank of America N.A. | 12/20/23 | (254 | ) | |||||||||||||
| USD | 36,028 | CAD | 50,000 | Bank of America N.A. | 12/20/23 | (830 | ) | |||||||||||||
| USD | 40,044 | CAD | 55,000 | Bank of America N.A. | 12/20/23 | (500 | ) | |||||||||||||
| USD | 7,254 | CAD | 10,000 | Barclays Bank PLC | 12/20/23 | (118 | ) | |||||||||||||
| USD | 7,296 | CAD | 10,000 | Citibank N.A. | 12/20/23 | (76 | ) | |||||||||||||
| USD | 7,279 | CAD | 10,000 | Deutsche Bank AG | 12/20/23 | (93 | ) | |||||||||||||
| USD | 7,252 | CAD | 10,000 | Goldman Sachs International | 12/20/23 | (120 | ) | |||||||||||||
| USD | 7,365 | CAD | 10,000 | Goldman Sachs International | 12/20/23 | (6 | ) | |||||||||||||
| USD | 14,491 | CAD | 20,000 | Goldman Sachs International | 12/20/23 | (252 | ) | |||||||||||||
| USD | 14,515 | CAD | 20,000 | Goldman Sachs International | 12/20/23 | (228 | ) | |||||||||||||
| USD | 14,589 | CAD | 20,000 | Goldman Sachs International | 12/20/23 | (154 | ) | |||||||||||||
| USD | 14,668 | CAD | 20,000 | Goldman Sachs International | 12/20/23 | (76 | ) | |||||||||||||
| USD | 21,721 | CAD | 30,000 | Goldman Sachs International | 12/20/23 | (394 | ) | |||||||||||||
| USD | 7,338 | CAD | 10,000 | HSBC Bank PLC | 12/20/23 | (34 | ) | |||||||||||||
| USD | 14,561 | CAD | 20,000 | HSBC Bank PLC | 12/20/23 | (182 | ) | |||||||||||||
| USD | 14,742 | CAD | 20,000 | HSBC Bank PLC | 12/20/23 | (2 | ) | |||||||||||||
| USD | 7,241 | CAD | 10,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (130 | ) | |||||||||||||
| USD | 7,311 | CAD | 10,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (61 | ) | |||||||||||||
| USD | 10,962 | CAD | 15,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (96 | ) | |||||||||||||
| USD | 7,228 | CAD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (144 | ) | |||||||||||||
| USD | 7,305 | CAD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (67 | ) | |||||||||||||
| USD | 7,365 | CAD | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (7 | ) | |||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
19 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 14,727 | CAD | 20,000 | Morgan Stanley & Co. International PLC | 12/20/23 | $ | (17 | ) | ||||||||||||
| USD | 7,290 | CAD | 10,000 | Societe Generale | 12/20/23 | (81 | ) | |||||||||||||
| USD | 11,149 | CHF | 10,000 | Barclays Bank PLC | 12/20/23 | (291 | ) | |||||||||||||
| USD | 11,124 | CHF | 10,000 | Goldman Sachs International | 12/20/23 | (316 | ) | |||||||||||||
| USD | 11,269 | CHF | 10,000 | Goldman Sachs International | 12/20/23 | (171 | ) | |||||||||||||
| USD | 11,370 | CHF | 10,000 | Goldman Sachs International | 12/20/23 | (70 | ) | |||||||||||||
| USD | 22,397 | CHF | 20,000 | Goldman Sachs International | 12/20/23 | (483 | ) | |||||||||||||
| USD | 33,460 | CHF | 30,000 | Goldman Sachs International | 12/20/23 | (861 | ) | |||||||||||||
| USD | 11,105 | CHF | 10,000 | HSBC Bank PLC | 12/20/23 | (335 | ) | |||||||||||||
| USD | 11,136 | CHF | 10,000 | HSBC Bank PLC | 12/20/23 | (305 | ) | |||||||||||||
| USD | 22,546 | CHF | 20,000 | HSBC Bank PLC | 12/20/23 | (335 | ) | |||||||||||||
| USD | 11,193 | CHF | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (247 | ) | |||||||||||||
| USD | 11,259 | CHF | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (181 | ) | |||||||||||||
| USD | 11,340 | CHF | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (100 | ) | |||||||||||||
| USD | 11,353 | CHF | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (87 | ) | |||||||||||||
| USD | 34,227 | CHF | 30,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (94 | ) | |||||||||||||
| USD | 4,300 | CLP | 4,000,000 | Bank of America N.A. | 12/20/23 | (281 | ) | |||||||||||||
| USD | 4,365 | CLP | 4,000,000 | Bank of America N.A. | 12/20/23 | (216 | ) | |||||||||||||
| USD | 22,138 | CLP | 20,000,000 | Bank of America N.A. | 12/20/23 | (769 | ) | |||||||||||||
| USD | 4,336 | CLP | 4,000,000 | Barclays Bank PLC | 12/20/23 | (245 | ) | |||||||||||||
| USD | 5,398 | CLP | 5,000,000 | Barclays Bank PLC | 12/20/23 | (329 | ) | |||||||||||||
| USD | 6,415 | CLP | 6,000,000 | Barclays Bank PLC | 12/20/23 | (457 | ) | |||||||||||||
| USD | 9,519 | CLP | 9,000,000 | Barclays Bank PLC | 12/20/23 | (789 | ) | |||||||||||||
| USD | 4,289 | CLP | 4,000,000 | Goldman Sachs International | 12/20/23 | (292 | ) | |||||||||||||
| USD | 4,519 | COP | 20,000,000 | Bank of America N.A. | 12/20/23 | (444 | ) | |||||||||||||
| USD | 2,306 | COP | 10,000,000 | Goldman Sachs International | 12/20/23 | (176 | ) | |||||||||||||
| USD | 2,345 | COP | 10,000,000 | Goldman Sachs International | 12/20/23 | (136 | ) | |||||||||||||
| USD | 2,424 | COP | 10,000,000 | Goldman Sachs International | 12/20/23 | (57 | ) | |||||||||||||
| USD | 4,872 | COP | 20,000,000 | Goldman Sachs International | 12/20/23 | (91 | ) | |||||||||||||
| USD | 7,385 | COP | 30,000,000 | Goldman Sachs International | 12/20/23 | (60 | ) | |||||||||||||
| USD | 7,029 | COP | 30,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (416 | ) | |||||||||||||
| USD | 7,344 | COP | 30,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (101 | ) | |||||||||||||
| USD | 12,231 | COP | 50,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (177 | ) | |||||||||||||
| USD | 8,781 | CZK | 200,000 | Barclays Bank PLC | 12/20/23 | (170 | ) | |||||||||||||
| USD | 21,369 | CZK | 500,000 | Barclays Bank PLC | 12/20/23 | (1,008 | ) | |||||||||||||
| USD | 8,630 | CZK | 200,000 | Citibank N.A. | 12/20/23 | (321 | ) | |||||||||||||
| USD | 8,703 | CZK | 200,000 | Citibank N.A. | 12/20/23 | (248 | ) | |||||||||||||
| USD | 12,876 | CZK | 300,000 | Citibank N.A. | 12/20/23 | (550 | ) | |||||||||||||
| USD | 17,022 | CZK | 400,000 | Citibank N.A. | 12/20/23 | (880 | ) | |||||||||||||
| USD | 25,926 | CZK | 600,000 | Citibank N.A. | 12/20/23 | (927 | ) | |||||||||||||
| USD | 13,020 | CZK | 300,000 | Deutsche Bank AG | 12/20/23 | (406 | ) | |||||||||||||
| USD | 13,041 | CZK | 300,000 | Deutsche Bank AG | 12/20/23 | (385 | ) | |||||||||||||
| USD | 17,132 | CZK | 400,000 | Deutsche Bank AG | 12/20/23 | (770 | ) | |||||||||||||
| USD | 17,287 | CZK | 400,000 | Deutsche Bank AG | 12/20/23 | (615 | ) | |||||||||||||
| USD | 30,539 | CZK | 700,000 | Deutsche Bank AG | 12/20/23 | (789 | ) | |||||||||||||
| USD | 34,668 | CZK | 800,000 | Deutsche Bank AG | 12/20/23 | (1,136 | ) | |||||||||||||
| USD | 4,306 | CZK | 100,000 | Goldman Sachs International | 12/20/23 | (169 | ) | |||||||||||||
| USD | 17,345 | CZK | 400,000 | Goldman Sachs International | 12/20/23 | (557 | ) | |||||||||||||
| USD | 22,221 | CZK | 500,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (156 | ) | |||||||||||||
| USD | 12,775 | CZK | 300,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (651 | ) | |||||||||||||
| USD | 10,566 | EUR | 10,000 | Bank of America N.A. | 12/20/23 | (327 | ) | |||||||||||||
| USD | 31,806 | EUR | 30,000 | Citibank N.A. | 12/20/23 | (872 | ) | |||||||||||||
| USD | 43,448 | EUR | 40,000 | Citibank N.A. | 12/20/23 | (123 | ) | |||||||||||||
| USD | 10,710 | EUR | 10,000 | Deutsche Bank AG | 12/20/23 | (183 | ) | |||||||||||||
| USD | 42,304 | EUR | 40,000 | Goldman Sachs International | 12/20/23 | (1,267 | ) | |||||||||||||
| USD | 21,160 | EUR | 20,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (626 | ) | |||||||||||||
| USD | 73,562 | EUR | 70,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (2,688 | ) | |||||||||||||
| USD | 12,299 | GBP | 10,000 | Bank of America N.A. | 12/20/23 | (327 | ) | |||||||||||||
| USD | 12,130 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | (496 | ) | |||||||||||||
| USD | 12,152 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | (474 | ) | |||||||||||||
| USD | 12,161 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | (465 | ) | |||||||||||||
| USD | 12,239 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | (387 | ) | |||||||||||||
| 20 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 12,296 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | $ | (331 | ) | ||||||||||||
| USD | 12,550 | GBP | 10,000 | Barclays Bank PLC | 12/20/23 | (76 | ) | |||||||||||||
| USD | 48,644 | GBP | 40,000 | Barclays Bank PLC | 12/20/23 | (1,861 | ) | |||||||||||||
| USD | 60,994 | GBP | 50,000 | Barclays Bank PLC | 12/20/23 | (2,137 | ) | |||||||||||||
| USD | 24,183 | GBP | 20,000 | Goldman Sachs International | 12/20/23 | (1,070 | ) | |||||||||||||
| USD | 36,510 | GBP | 30,000 | Goldman Sachs International | 12/20/23 | (1,369 | ) | |||||||||||||
| USD | 37,235 | GBP | 30,000 | Goldman Sachs International | 12/20/23 | (643 | ) | |||||||||||||
| USD | 12,113 | GBP | 10,000 | HSBC Bank PLC | 12/20/23 | (513 | ) | |||||||||||||
| USD | 48,742 | GBP | 40,000 | HSBC Bank PLC | 12/20/23 | (1,763 | ) | |||||||||||||
| USD | 12,269 | GBP | 10,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (357 | ) | |||||||||||||
| USD | 12,167 | GBP | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (459 | ) | |||||||||||||
| USD | 12,194 | GBP | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (432 | ) | |||||||||||||
| USD | 12,301 | GBP | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (325 | ) | |||||||||||||
| USD | 12,302 | GBP | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (325 | ) | |||||||||||||
| USD | 12,465 | GBP | 10,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (161 | ) | |||||||||||||
| USD | 24,592 | GBP | 20,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (661 | ) | |||||||||||||
| USD | 24,812 | GBP | 20,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (440 | ) | |||||||||||||
| USD | 36,408 | GBP | 30,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (1,470 | ) | |||||||||||||
| USD | 37,408 | GBP | 30,000 | Nomura International PLC | 12/20/23 | (471 | ) | |||||||||||||
| USD | 2,813 | HUF | 1,000,000 | Barclays Bank PLC | 12/20/23 | (45 | ) | |||||||||||||
| USD | 10,978 | HUF | 4,000,000 | Barclays Bank PLC | 12/20/23 | (456 | ) | |||||||||||||
| USD | 11,035 | HUF | 4,000,000 | Deutsche Bank AG | 12/20/23 | (399 | ) | |||||||||||||
| USD | 2,734 | HUF | 1,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (124 | ) | |||||||||||||
| USD | 2,772 | HUF | 1,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (87 | ) | |||||||||||||
| USD | 5,518 | HUF | 2,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (199 | ) | |||||||||||||
| USD | 5,603 | HUF | 2,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (114 | ) | |||||||||||||
| USD | 4,912 | IDR | 77,978,190 | Bank of America N.A. | 12/20/23 | (99 | ) | |||||||||||||
| USD | 7,678 | IDR | 122,021,810 | Citibank N.A. | 12/20/23 | (164 | ) | |||||||||||||
| USD | 6,403 | IDR | 100,200,000 | Deutsche Bank AG | 12/20/23 | (36 | ) | |||||||||||||
| USD | 7,645 | IDR | 120,000,000 | Deutsche Bank AG | 12/20/23 | (66 | ) | |||||||||||||
| USD | 17,279 | IDR | 270,000,000 | Deutsche Bank AG | 12/20/23 | (72 | ) | |||||||||||||
| USD | 52,993 | IDR | 840,000,000 | Deutsche Bank AG | 12/20/23 | (986 | ) | |||||||||||||
| USD | 2,559 | IDR | 40,000,000 | Goldman Sachs International | 12/20/23 | (12 | ) | |||||||||||||
| USD | 4,385 | IDR | 70,000,000 | HSBC Bank PLC | 12/20/23 | (113 | ) | |||||||||||||
| USD | 16,510 | IDR | 260,000,000 | HSBC Bank PLC | 12/20/23 | (198 | ) | |||||||||||||
| USD | 4,457 | IDR | 69,800,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (28 | ) | |||||||||||||
| USD | 7,037 | IDR | 110,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (32 | ) | |||||||||||||
| USD | 38,538 | IDR | 600,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (19 | ) | |||||||||||||
| USD | 13,237 | IDR | 210,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (258 | ) | |||||||||||||
| USD | 12,697 | ILS | 50,000 | Citibank N.A. | 12/20/23 | (713 | ) | |||||||||||||
| USD | 25,523 | ILS | 100,000 | Citibank N.A. | 12/20/23 | (1,296 | ) | |||||||||||||
| USD | 12,679 | ILS | 50,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (730 | ) | |||||||||||||
| USD | 25,268 | ILS | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (1,550 | ) | |||||||||||||
| USD | 9,591 | INR | 800,000 | Bank of America N.A. | 12/20/23 | (2 | ) | |||||||||||||
| USD | 19,179 | INR | 1,600,000 | Barclays Bank PLC | 12/20/23 | (7 | ) | |||||||||||||
| USD | 5,994 | INR | 500,000 | Citibank N.A. | 12/20/23 | (1 | ) | |||||||||||||
| USD | 33,809 | JPY | 5,000,000 | Barclays Bank PLC | 12/20/23 | (3 | ) | |||||||||||||
| USD | 6,627 | JPY | 1,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (135 | ) | |||||||||||||
| USD | 20,055 | JPY | 3,000,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (232 | ) | |||||||||||||
| USD | 6,676 | JPY | 1,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (87 | ) | |||||||||||||
| USD | 6,680 | JPY | 1,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (82 | ) | |||||||||||||
| USD | 27,002 | JPY | 4,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (47 | ) | |||||||||||||
| USD | 7,431 | KRW | 10,000,000 | Bank of America N.A. | 12/20/23 | (264 | ) | |||||||||||||
| USD | 3,692 | KRW | 5,000,000 | Barclays Bank PLC | 12/20/23 | (156 | ) | |||||||||||||
| USD | 7,687 | KRW | 10,000,000 | Barclays Bank PLC | 12/20/23 | (8 | ) | |||||||||||||
| USD | 14,814 | KRW | 20,000,000 | Barclays Bank PLC | 12/20/23 | (577 | ) | |||||||||||||
| USD | 7,460 | KRW | 10,000,000 | Citibank N.A. | 12/20/23 | (235 | ) | |||||||||||||
| USD | 11,060 | KRW | 15,000,000 | Goldman Sachs International | 12/20/23 | (483 | ) | |||||||||||||
| USD | 44,425 | KRW | 60,000,000 | HSBC Bank PLC | 12/20/23 | (1,747 | ) | |||||||||||||
| USD | 7,382 | KRW | 10,000,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (314 | ) | |||||||||||||
| USD | 2,007 | MXN | 36,491 | Barclays Bank PLC | 12/20/23 | (88 | ) | |||||||||||||
| USD | 5,403 | MXN | 100,000 | Barclays Bank PLC | 12/20/23 | (339 | ) | |||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
21 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 14,520 | MXN | 263,509 | Citibank N.A. | 12/20/23 | $ | (613 | ) | ||||||||||||
| USD | 5,503 | MXN | 100,000 | Goldman Sachs International | 12/20/23 | (240 | ) | |||||||||||||
| USD | 5,505 | MXN | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (238 | ) | |||||||||||||
| USD | 9,230 | NOK | 100,000 | Bank of America N.A. | 12/20/23 | (16 | ) | |||||||||||||
| USD | 33,840 | NOK | 372,302 | Bank of America N.A. | 12/20/23 | (586 | ) | |||||||||||||
| USD | 8,966 | NOK | 100,000 | Deutsche Bank AG | 12/20/23 | (281 | ) | |||||||||||||
| USD | 9,104 | NOK | 100,000 | Deutsche Bank AG | 12/20/23 | (143 | ) | |||||||||||||
| USD | 26,812 | NOK | 300,000 | Deutsche Bank AG | 12/20/23 | (928 | ) | |||||||||||||
| USD | 2,519 | NOK | 27,698 | Goldman Sachs International | 12/20/23 | (43 | ) | |||||||||||||
| USD | 8,992 | NOK | 100,000 | Goldman Sachs International | 12/20/23 | (255 | ) | |||||||||||||
| USD | 18,119 | NOK | 200,000 | Goldman Sachs International | 12/20/23 | (375 | ) | |||||||||||||
| USD | 9,001 | NOK | 100,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (246 | ) | |||||||||||||
| USD | 35,884 | NOK | 400,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (1,103 | ) | |||||||||||||
| USD | 9,015 | NOK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (231 | ) | |||||||||||||
| USD | 9,227 | NOK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (20 | ) | |||||||||||||
| USD | 11,667 | NZD | 20,000 | Bank of America N.A. | 12/20/23 | (650 | ) | |||||||||||||
| USD | 29,619 | NZD | 50,000 | Bank of America N.A. | 12/20/23 | (1,173 | ) | |||||||||||||
| USD | 29,976 | NZD | 50,000 | Bank of America N.A. | 12/20/23 | (816 | ) | |||||||||||||
| USD | 30,324 | NZD | 50,000 | Bank of America N.A. | 12/20/23 | (468 | ) | |||||||||||||
| USD | 29,865 | NZD | 50,000 | Barclays Bank PLC | 12/20/23 | (927 | ) | |||||||||||||
| USD | 11,749 | NZD | 20,000 | Goldman Sachs International | 12/20/23 | (568 | ) | |||||||||||||
| USD | 12,065 | NZD | 20,000 | Goldman Sachs International | 12/20/23 | (252 | ) | |||||||||||||
| USD | 6,031 | NZD | 10,000 | HSBC Bank PLC | 12/20/23 | (127 | ) | |||||||||||||
| USD | 18,145 | NZD | 30,000 | HSBC Bank PLC | 12/20/23 | (330 | ) | |||||||||||||
| USD | 6,060 | NZD | 10,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (98 | ) | |||||||||||||
| USD | 11,821 | NZD | 20,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (496 | ) | |||||||||||||
| USD | 12,222 | NZD | 20,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (95 | ) | |||||||||||||
| USD | 29,861 | NZD | 50,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (931 | ) | |||||||||||||
| USD | 19,342 | PHP | 1,100,000 | Bank of America N.A. | 12/20/23 | (473 | ) | |||||||||||||
| USD | 75,670 | PHP | 4,300,000 | Bank of America N.A. | 12/20/23 | (1,790 | ) | |||||||||||||
| USD | 7,035 | PHP | 400,000 | Deutsche Bank AG | 12/20/23 | (170 | ) | |||||||||||||
| USD | 10,567 | PHP | 600,000 | HSBC Bank PLC | 12/20/23 | (241 | ) | |||||||||||||
| USD | 12,359 | PHP | 700,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (251 | ) | |||||||||||||
| USD | 7,067 | PHP | 400,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (139 | ) | |||||||||||||
| USD | 8,794 | PHP | 500,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (213 | ) | |||||||||||||
| USD | 10,548 | PHP | 600,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (260 | ) | |||||||||||||
| USD | 12,449 | PLN | 50,000 | Citibank N.A. | 12/20/23 | (43 | ) | |||||||||||||
| USD | 56,616 | PLN | 250,000 | Deutsche Bank AG | 12/20/23 | (5,840 | ) | |||||||||||||
| USD | 91,220 | PLN | 400,000 | Goldman Sachs International | 12/20/23 | (8,711 | ) | |||||||||||||
| USD | 11,704 | PLN | 50,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (788 | ) | |||||||||||||
| USD | 9,094 | SEK | 100,000 | Barclays Bank PLC | 12/20/23 | (434 | ) | |||||||||||||
| USD | 9,074 | SEK | 100,000 | Deutsche Bank AG | 12/20/23 | (454 | ) | |||||||||||||
| USD | 33,454 | SEK | 370,000 | Deutsche Bank AG | 12/20/23 | (1,799 | ) | |||||||||||||
| USD | 9,098 | SEK | 100,000 | Goldman Sachs International | 12/20/23 | (430 | ) | |||||||||||||
| USD | 29,824 | SEK | 330,000 | Goldman Sachs International | 12/20/23 | (1,617 | ) | |||||||||||||
| USD | 136,805 | SEK | 1,500,000 | JPMorgan Chase Bank N.A. | 12/20/23 | (6,112 | ) | |||||||||||||
| USD | 9,101 | SEK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (427 | ) | |||||||||||||
| USD | 9,227 | SEK | 100,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (301 | ) | |||||||||||||
| USD | 35,827 | SEK | 400,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (2,285 | ) | |||||||||||||
| USD | 7,320 | SGD | 10,000 | Barclays Bank PLC | 12/20/23 | (161 | ) | |||||||||||||
| USD | 14,765 | SGD | 20,000 | Barclays Bank PLC | 12/20/23 | (197 | ) | |||||||||||||
| USD | 29,525 | SGD | 40,000 | Barclays Bank PLC | 12/20/23 | (399 | ) | |||||||||||||
| USD | 14,643 | SGD | 20,000 | Goldman Sachs International | 12/20/23 | (320 | ) | |||||||||||||
| USD | 51,526 | SGD | 70,000 | Societe Generale | 12/20/23 | (842 | ) | |||||||||||||
| USD | 5,438 | THB | 200,000 | Barclays Bank PLC | 12/20/23 | (255 | ) | |||||||||||||
| USD | 8,432 | THB | 300,000 | Barclays Bank PLC | 12/20/23 | (108 | ) | |||||||||||||
| USD | 8,515 | THB | 300,000 | Barclays Bank PLC | 12/20/23 | (24 | ) | |||||||||||||
| USD | 13,858 | THB | 500,000 | Barclays Bank PLC | 12/20/23 | (376 | ) | |||||||||||||
| USD | 19,058 | THB | 700,000 | Barclays Bank PLC | 12/20/23 | (869 | ) | |||||||||||||
| USD | 19,747 | THB | 700,000 | Barclays Bank PLC | 12/20/23 | (179 | ) | |||||||||||||
| USD | 19,776 | THB | 700,000 | Barclays Bank PLC | 12/20/23 | (151 | ) | |||||||||||||
| USD | 8,461 | THB | 300,000 | Goldman Sachs International | 12/20/23 | (79 | ) | |||||||||||||
| 22 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 8,385 | THB | 300,000 | HSBC Bank PLC | 12/20/23 | $ | (155 | ) | ||||||||||||
| USD | 19,556 | THB | 700,000 | HSBC Bank PLC | 12/20/23 | (371 | ) | |||||||||||||
| USD | 16,739 | THB | 600,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (341 | ) | |||||||||||||
| USD | 6,359 | TWD | 200,000 | Bank of America N.A. | 12/20/23 | (35 | ) | |||||||||||||
| USD | 12,444 | TWD | 400,000 | Barclays Bank PLC | 12/20/23 | (344 | ) | |||||||||||||
| USD | 12,505 | TWD | 400,000 | Barclays Bank PLC | 12/20/23 | (282 | ) | |||||||||||||
| USD | 12,747 | TWD | 400,000 | Citibank N.A. | 12/20/23 | (40 | ) | |||||||||||||
| USD | 12,447 | TWD | 400,000 | HSBC Bank PLC | 12/20/23 | (340 | ) | |||||||||||||
| USD | 22,198 | TWD | 700,000 | Morgan Stanley & Co. International PLC | 12/20/23 | (180 | ) | |||||||||||||
| USD | 10,278 | ZAR | 200,000 | Deutsche Bank AG | 12/20/23 | (317 | ) | |||||||||||||
| USD | 15,780 | ZAR | 300,000 | Deutsche Bank AG | 12/20/23 | (112 | ) | |||||||||||||
| USD | 5,191 | ZAR | 100,000 | Goldman Sachs International | 12/20/23 | (107 | ) | |||||||||||||
| USD | 5,165 | ZAR | 100,000 | Nomura International PLC | 12/20/23 | (132 | ) | |||||||||||||
| ZAR | 45,930 | USD | 2,492 | Barclays Bank PLC | 12/20/23 | (59 | ) | |||||||||||||
| ZAR | 200,000 | USD | 10,648 | Citibank N.A. | 12/20/23 | (53 | ) | |||||||||||||
| ZAR | 200,000 | USD | 10,848 | Deutsche Bank AG | 12/20/23 | (253 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,431 | Goldman Sachs International | 12/20/23 | (134 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,400 | Goldman Sachs International | 12/20/23 | (103 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,336 | Goldman Sachs International | 12/20/23 | (39 | ) | |||||||||||||
| ZAR | 154,069 | USD | 8,358 | HSBC Bank PLC | 12/20/23 | (197 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,431 | JPMorgan Chase Bank N.A. | 12/20/23 | (134 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,413 | Morgan Stanley & Co. International PLC | 12/20/23 | (115 | ) | |||||||||||||
| ZAR | 100,000 | USD | 5,364 | Morgan Stanley & Co. International PLC | 12/20/23 | (66 | ) | |||||||||||||
| ZAR | 200,000 | USD | 10,811 | Morgan Stanley & Co. International PLC | 12/20/23 | (216 | ) | |||||||||||||
| ZAR | 300,000 | USD | 16,394 | Morgan Stanley & Co. International PLC | 12/20/23 | (502 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| (124,532 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $ | (30,466 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Centrally Cleared Credit Default Swaps — Sell Protection
| Reference Obligation/Index | Financing Rate Received by the Fund |
Payment Frequency |
Termination Date |
Credit Rating |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||||
| CDX.NA.HY.41.V1 |
5.00 | % | Quarterly | 12/20/28 | B | USD | 2,267 | $ | 110,608 | $ | 81,808 | $ | 28,800 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Centrally Cleared Inflation Swaps
| Paid by the Fund |
Received by the Fund | Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
| UK RPI All Items NSA |
At Termination | 3.90% | At Termination | 10/15/33 | GBP | 40 | $ | 973 | $ | (4 | ) | $ | 977 | |||||||||||||||||
| UK RPI All Items NSA |
At Termination | 3.90% | At Termination | 10/15/33 | GBP | 30 | 730 | 1 | 729 | |||||||||||||||||||||
| US CPI for All Urban Consumers NSA |
At Termination | 2.64% | At Termination | 11/09/33 | USD | 10 | 116 | — | 116 | |||||||||||||||||||||
| US CPI for All Urban Consumers NSA |
At Termination | 2.60% | At Termination | 11/10/33 | USD | 100 | 817 | 2 | 815 | |||||||||||||||||||||
| US CPI for All Urban Consumers NSA |
At Termination | 2.57% | At Termination | 11/14/33 | USD | 220 | 1,273 | 5 | 1,268 | |||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco Unrevised |
At Termination | 2.32% | At Termination | 11/15/33 | EUR | 55 | 179 | (25 | ) | 204 | ||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco Unrevised |
At Termination | 2.40% | At Termination | 11/15/33 | EUR | 80 | 938 | (29 | ) | 967 | ||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco Unrevised |
At Termination | 2.41% | At Termination | 11/15/33 | EUR | 80 | 990 | 151 | 839 | |||||||||||||||||||||
| UK RPI All Items NSA |
At Termination | 3.76% | At Termination | 11/15/33 | GBP | 50 | 609 | 1 | 608 | |||||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
23 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Centrally Cleared Inflation Swaps (continued)
| Paid by the Fund |
Received by the Fund | Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
| UK RPI All Items NSA |
At Termination | 3.81% | At Termination | 11/15/33 | GBP | 50 | $ | 902 | $ | (90 | ) | $ | 992 | |||||||||||||||||
| UK RPI All Items NSA |
At Termination | 3.83% | At Termination | 11/15/33 | GBP | 110 | 2,233 | (76 | ) | 2,309 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 9,760 | $ | (64 | ) | $ | 9,824 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
| 4.60% |
Annual | 1-Day SOFR, 5.33% | Annual | 12/20/23 | (a) | 12/20/25 | USD | 1,010 | $ | (2,033 | ) | $ | 699 | $ | (2,732 | ) | ||||||||||||||||||
| 4.49% |
Annual | 1-Day SONIA, 5.19% | Annual | 03/20/24 | (a) | 03/20/26 | GBP | 1,647 | 1,638 | 1,844 | (206 | ) | ||||||||||||||||||||||
| 3.21% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/26 | EUR | 240 | (1,195 | ) | (216 | ) | (979 | ) | ||||||||||||||||||||
| 3.22% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/26 | EUR | 190 | (1,004 | ) | 39 | (1,043 | ) | |||||||||||||||||||||
| 3.23% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/26 | EUR | 315 | (1,757 | ) | (250 | ) | (1,507 | ) | ||||||||||||||||||||
| 6-mo. EURIBOR, 4.03% |
Semi-Annual | 3.31% | Annual | 12/20/23 | (a) | 12/20/26 | EUR | 130 | 1,051 | 442 | 609 | |||||||||||||||||||||||
| 1-Day CORRA, 5.00% |
Semi-Annual | 4.04% | Semi-Annual | 12/20/23 | (a) | 12/20/26 | CAD | 380 | 1,190 | (64 | ) | 1,254 | ||||||||||||||||||||||
| 3-mo. BBSW, 4.37% |
Quarterly | 4.21% | Quarterly | 12/20/23 | (a) | 12/20/26 | AUD | 700 | (741 | ) | (2,768 | ) | 2,027 | |||||||||||||||||||||
| 4.30% |
Annual | 1-Day SOFR, 5.33% | Annual | 12/20/23 | (a) | 12/20/26 | USD | 140 | (401 | ) | 157 | (558 | ) | |||||||||||||||||||||
| 3-mo. BBSW, 4.37% |
Quarterly | 4.35% | Quarterly | 12/20/23 | (a) | 12/20/26 | AUD | 390 | 597 | 19 | 578 | |||||||||||||||||||||||
| 1-Day CORRA, 5.00% |
Semi-Annual | 4.36% | Semi-Annual | 12/20/23 | (a) | 12/20/26 | CAD | 200 | 1,952 | 498 | 1,454 | |||||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.64% | Annual | 12/20/23 | (a) | 12/20/26 | USD | 140 | 1,727 | 584 | 1,143 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.69% | Annual | 12/20/23 | (a) | 12/20/26 | GBP | 120 | 1,045 | 395 | 650 | |||||||||||||||||||||||
| 3-mo. BBSW, 4.37% |
Quarterly | 4.84% | Quarterly | 12/20/23 | (a) | 12/20/26 | AUD | 220 | 2,325 | 1,369 | 956 | |||||||||||||||||||||||
| 3.23% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/28 | EUR | 1,020 | (16,557 | ) | 1,256 | (17,813 | ) | |||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.12% | Annual | 12/20/23 | (a) | 12/20/28 | USD | 427 | 2,273 | 37 | 2,236 | |||||||||||||||||||||||
| 4.13% |
Annual | 1-Day SOFR, 5.33% | Annual | 12/20/23 | (a) | 12/20/28 | USD | 230 | (1,419 | ) | 383 | (1,802 | ) | |||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.14% | Annual | 12/20/23 | (a) | 12/20/28 | USD | 430 | 2,840 | 584 | 2,256 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.40% | Annual | 12/20/23 | (a) | 12/20/28 | GBP | 370 | 5,356 | 256 | 5,100 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.55% | Annual | 12/20/23 | (a) | 12/20/28 | GBP | 740 | 16,809 | 2,540 | 14,269 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.63% | Annual | 12/20/23 | (a) | 12/20/28 | GBP | 360 | 9,745 | 9,347 | 398 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.64% | Annual | 12/20/23 | (a) | 12/20/28 | GBP | 370 | 10,296 | 10,115 | 181 | |||||||||||||||||||||||
| 28-Day MXIBTIIE, 11.50% |
Monthly | 8.90% | Monthly | 03/20/24 | (a) | 03/14/29 | MXN | 850 | 454 | — | 454 | |||||||||||||||||||||||
| 28-Day MXIBTIIE, 11.50% |
Monthly | 9.41% | Monthly | 03/20/24 | (a) | 03/14/29 | MXN | 720 | 1,202 | — | 1,202 | |||||||||||||||||||||||
| 1.55% |
Annual | 1-Day SSARON, 1.70% | Annual | 03/20/24 | (a) | 03/20/29 | CHF | 50 | (1,050 | ) | — | (1,050 | ) | |||||||||||||||||||||
| 1.69% |
Annual | 1-Day SSARON, 1.70% | Annual | 03/20/24 | (a) | 03/20/29 | CHF | 270 | (7,863 | ) | 183 | (8,046 | ) | |||||||||||||||||||||
| 1-Day SORA, 3.66% |
Semi-Annual | 3.12% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | SGD | 40 | 472 | — | 472 | |||||||||||||||||||||||
| 1-Day SORA, 3.66% |
Semi-Annual | 3.12% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | SGD | 40 | 466 | 1 | 465 | |||||||||||||||||||||||
| 3.21% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | EUR | 40 | (747 | ) | 39 | (786 | ) | |||||||||||||||||||||
| 1-Day SORA, 3.66% |
Semi-Annual | 3.27% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | SGD | 130 | 2,210 | 1 | 2,209 | |||||||||||||||||||||||
| 3.27% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 200 | (337 | ) | (20 | ) | (317 | ) | ||||||||||||||||||||
| 3.28% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 420 | (730 | ) | (270 | ) | (460 | ) | ||||||||||||||||||||
| 3.33% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 460 | (901 | ) | — | (901 | ) | |||||||||||||||||||||
| 1-Day SORA, 3.66% |
Semi-Annual | 3.34% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | SGD | 30 | 585 | — | 585 | |||||||||||||||||||||||
| 3.36% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 730 | (1,516 | ) | 56 | (1,572 | ) | |||||||||||||||||||||
| 3.50% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 270 | (730 | ) | — | (730 | ) | |||||||||||||||||||||
| 1-Day SORA, 3.66% |
Semi-Annual | 3.51% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | SGD | 40 | 1,011 | — | 1,011 | |||||||||||||||||||||||
| 3.51% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 270 | (735 | ) | — | (735 | ) | |||||||||||||||||||||
| 3.51% |
Annual | 3-mo. STIBOR, 4.05% | Quarterly | 03/20/24 | (a) | 03/20/29 | SEK | 330 | (902 | ) | — | (902 | ) | |||||||||||||||||||||
| 1-Day CORRA, 5.00% |
Semi-Annual | 3.62% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | CAD | 10 | 34 | (10 | ) | 44 | ||||||||||||||||||||||
| 3-mo. KRW CDC, 3.84% |
Quarterly | 3.70% | Quarterly | 03/20/24 | (a) | 03/20/29 | KRW | 20,108 | 133 | 1 | 132 | |||||||||||||||||||||||
| 3-mo. KRW CDC, 3.84% |
Quarterly | 3.71% | Quarterly | 03/20/24 | (a) | 03/20/29 | KRW | 17,832 | 123 | 1 | 122 | |||||||||||||||||||||||
| 3-mo. KRW CDC, 3.84% |
Quarterly | 3.75% | Quarterly | 03/20/24 | (a) | 03/20/29 | KRW | 183,945 | 1,544 | 2 | 1,542 | |||||||||||||||||||||||
| 3.80% |
Quarterly | 3-mo. HIBOR, 5.61% | Quarterly | 03/20/24 | (a) | 03/20/29 | HKD | 310 | 9 | — | 9 | |||||||||||||||||||||||
| 1-Day CORRA, 5.00% |
Semi-Annual | 3.88% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | CAD | 90 | 1,074 | (14 | ) | 1,088 | ||||||||||||||||||||||
| 6-mo. PRIBOR, 6.86% |
Semi-Annual | 3.98% | Annual | 03/20/24 | (a) | 03/20/29 | CZK | 4,600 | 703 | 2 | 701 | |||||||||||||||||||||||
| 6-mo. PRIBOR, 6.86% |
Semi-Annual | 3.98% | Annual | 03/20/24 | (a) | 03/20/29 | CZK | 530 | 80 | — | 80 | |||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.01% | Annual | 03/20/24 | (a) | 03/20/29 | GBP | 693 | (1,630 | ) | (1,723 | ) | 93 | |||||||||||||||||||||
| 6-mo. PRIBOR, 6.86% |
Semi-Annual | 4.04% | Annual | 03/20/24 | (a) | 03/20/29 | CZK | 560 | 148 | 1 | 147 | |||||||||||||||||||||||
| 4.06% |
Annual | 1-Day SONIA, 5.19% | Annual | 03/20/24 | (a) | 03/20/29 | GBP | 20 | (7 | ) | — | (7 | ) | |||||||||||||||||||||
| 24 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
| 6-mo. PRIBOR, 6.86% |
Semi-Annual | 4.10% | Annual | 03/20/24 | (a) | 03/20/29 | CZK | 540 | $ | 212 | $ | — | $ | 212 | ||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.21% | Annual | 03/20/24 | (a) | 03/20/29 | USD | 50 | 679 | 1 | 678 | |||||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.21% | Annual | 03/20/24 | (a) | 03/20/29 | USD | 50 | 681 | 1 | 680 | |||||||||||||||||||||||
| 4.22% |
Quarterly | 3-mo. HIBOR, 5.61% | Quarterly | 03/20/24 | (a) | 03/20/29 | HKD | 1,120 | (2,593 | ) | 2 | (2,595 | ) | |||||||||||||||||||||
| 4.28% |
Annual | 1-Day SONIA, 5.19% | Annual | 03/20/24 | (a) | 03/20/29 | GBP | 50 | (620 | ) | 1 | (621 | ) | |||||||||||||||||||||
| 4.28% |
Annual | 6-mo. NIBOR, 4.90% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | NOK | 3,710 | (9,024 | ) | (778 | ) | (8,246 | ) | ||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 4.39% | Annual | 03/20/24 | (a) | 03/20/29 | USD | 30 | 646 | 133 | 513 | |||||||||||||||||||||||
| 6-mo. WIBOR, 5.83% |
Semi-Annual | 4.41% | Annual | 03/20/24 | (a) | 03/20/29 | PLN | 130 | (275 | ) | — | (275 | ) | |||||||||||||||||||||
| 4.42% |
Annual | 1-Day SONIA, 5.19% | Annual | 03/20/24 | (a) | 03/20/29 | GBP | 20 | (410 | ) | 6 | (416 | ) | |||||||||||||||||||||
| 4.45% |
Quarterly | 3-mo. HIBOR, 5.61% | Quarterly | 03/20/24 | (a) | 03/20/29 | HKD | 330 | (1,186 | ) | 1 | (1,187 | ) | |||||||||||||||||||||
| 4.48% |
Quarterly | 3-mo. HIBOR, 5.61% | Quarterly | 03/20/24 | (a) | 03/20/29 | HKD | 340 | (1,273 | ) | — | (1,273 | ) | |||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.50% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 25 | 1 | — | 1 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.54% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 30 | 37 | — | 37 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.56% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 35 | 59 | — | 59 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.56% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 35 | 58 | — | 58 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.59% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 20 | 52 | — | 52 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.59% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 30 | 81 | — | 81 | |||||||||||||||||||||||
| 4.61% |
Semi-Annual | 3-mo. BBR, 5.72% | Quarterly | 03/20/24 | (a) | 03/20/29 | NZD | 40 | 7 | — | 7 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.63% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 25 | 98 | — | 98 | |||||||||||||||||||||||
| 6-mo. WIBOR, 5.83% |
Semi-Annual | 4.63% | Annual | 03/20/24 | (a) | 03/20/29 | PLN | 130 | 29 | — | 29 | |||||||||||||||||||||||
| 6-mo. BBSW, 4.58% |
Semi-Annual | 4.64% | Semi-Annual | 03/20/24 | (a) | 03/20/29 | AUD | 25 | 105 | — | 105 | |||||||||||||||||||||||
| 6-mo. WIBOR, 5.83% |
Semi-Annual | 4.67% | Annual | 03/20/24 | (a) | 03/20/29 | PLN | 120 | 71 | — | 71 | |||||||||||||||||||||||
| 6-mo. WIBOR, 5.83% |
Semi-Annual | 4.72% | Annual | 03/20/24 | (a) | 03/20/29 | PLN | 85 | 95 | — | 95 | |||||||||||||||||||||||
| 6-mo. WIBOR, 5.83% |
Semi-Annual | 4.74% | Annual | 03/20/24 | (a) | 03/20/29 | PLN | 85 | 117 | — | 117 | |||||||||||||||||||||||
| 6-mo. EURIBOR, 4.03% |
Semi-Annual | 3.15% | Annual | 12/20/23 | (a) | 12/20/33 | EUR | 160 | 3,069 | 1,066 | 2,003 | |||||||||||||||||||||||
| 6-mo. EURIBOR, 4.03% |
Semi-Annual | 3.17% | Annual | 12/20/23 | (a) | 12/20/33 | EUR | 1,795 | 39,261 | (3,813 | ) | 43,074 | ||||||||||||||||||||||
| 6-mo. EURIBOR, 4.03% |
Semi-Annual | 3.18% | Annual | 12/20/23 | (a) | 12/20/33 | EUR | 160 | 3,572 | 1,477 | 2,095 | |||||||||||||||||||||||
| 1-Day SOFR, 5.33% |
Annual | 3.97% | Annual | 12/20/23 | (a) | 12/20/33 | USD | 3,500 | (316 | ) | (5,953 | ) | 5,637 | |||||||||||||||||||||
| 4.09% |
Annual | 1-Day SOFR, 5.33% | Annual | 12/20/23 | (a) | 12/20/33 | USD | 233 | (2,222 | ) | (386 | ) | (1,836 | ) | ||||||||||||||||||||
| 4.14% |
Annual | 1-Day SONIA, 5.19% | Annual | 12/20/23 | (a) | 12/20/33 | GBP | 200 | (3,389 | ) | 660 | (4,049 | ) | |||||||||||||||||||||
| 4.21% |
Annual | 1-Day SONIA, 5.19% | Annual | 12/20/23 | (a) | 12/20/33 | GBP | 200 | (4,794 | ) | 1,005 | (5,799 | ) | |||||||||||||||||||||
| 4.22% |
Annual | 1-Day SONIA, 5.19% | Annual | 12/20/23 | (a) | 12/20/33 | GBP | 410 | (9,951 | ) | (1,652 | ) | (8,299 | ) | ||||||||||||||||||||
| 4.45% |
Annual | 1-Day SONIA, 5.19% | Annual | 12/20/23 | (a) | 12/20/33 | GBP | 205 | (9,965 | ) | (359 | ) | (9,606 | ) | ||||||||||||||||||||
| 4.48% |
Annual | 1-Day SONIA, 5.19% | Annual | 12/20/23 | (a) | 12/20/33 | GBP | 210 | (10,671 | ) | (1,610 | ) | (9,061 | ) | ||||||||||||||||||||
| 2.87% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/53 | EUR | 595 | (16,690 | ) | 2,469 | (19,159 | ) | |||||||||||||||||||||
| 2.89% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/53 | EUR | 60 | (2,043 | ) | (819 | ) | (1,224 | ) | ||||||||||||||||||||
| 2.91% |
Annual | 6-mo. EURIBOR, 4.03% | Semi-Annual | 12/20/23 | (a) | 12/20/53 | EUR | 50 | (1,915 | ) | (672 | ) | (1,243 | ) | ||||||||||||||||||||
| 3.69% |
Annual | 1-Day SOFR, 5.33% | Annual | 12/20/23 | (a) | 12/20/53 | USD | 1,440 | 35,232 | (794 | ) | 36,026 | ||||||||||||||||||||||
| 1-Day SONIA, 5.19% |
Annual | 4.00% | Annual | 12/20/23 | (a) | 12/20/53 | GBP | 100 | 1,262 | (1,019 | ) | 2,281 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 34,924 | $ | 14,483 | $ | 20,441 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| (a) | Forward Swap. |
Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps
| Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
| Centrally Cleared Swaps(a) |
$ | 119,641 | $ | (23,414 | ) | $ | 176,100 | $ | (117,035 | ) | ||||||
| (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
| S C H E D U L E O F I N V E S T M E N T S |
25 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
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 |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 48,038 | $ | — | $ | 48,038 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 94,066 | — | — | 94,066 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized appreciation on centrally cleared swaps(a) |
— | 28,800 | — | — | 137,476 | 9,824 | 176,100 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 28,800 | $ | — | $ | 94,066 | $ | 185,514 | $ | 9,824 | $ | 318,204 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 8,820 | $ | — | $ | 8,820 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 124,532 | — | — | 124,532 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized depreciation on centrally cleared swaps(a) |
— | — | — | — | 117,035 | — | 117,035 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | — | $ | 124,532 | $ | 125,855 | $ | — | $ | 250,387 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the 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 accumulated earnings (loss). |
For the period ended November 30, 2023, 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 |
$ | — | $ | — | $ | — | $ | — | $ | (445,940) | $ | — | $ | (445,940) | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 1,397 | — | — | 1,397 | |||||||||||||||||||||
| Swaps |
— | (72,177) | — | — | 70,741 | (18,708) | (20,144) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | (72,177) | $ | — | $ | 1,397 | $ | (375,199) | $ | (18,708) | $ | (464,687) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 6,146 | $ | — | $ | 6,146 | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | (28,709) | — | — | (28,709) | |||||||||||||||||||||
| Swaps |
— | 51,702 | — | — | 36,606 | 9,995 | 98,303 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 51,702 | $ | — | $ | (28,709) | $ | 42,752 | $ | 9,995 | $ | 75,740 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
||||
| Average notional value of contracts — long |
$ | 9,829,236 | ||
| Average notional value of contracts — short |
$ | 2,482,302 | ||
| Forward foreign currency exchange contracts: |
||||
| Average amounts purchased — in USD |
$ | 2,321,567 | ||
| Average amounts sold — in USD |
$ | 2,189,015 | ||
| Credit default swaps: |
||||
| Average notional value — buy protection |
$ | — | (a) | |
| Average notional value — sell protection |
$ | 1,133,550 | ||
| Interest rate swaps: |
||||
| Average notional value — pays fixed rate |
$ | 15,014,610 | ||
| Average notional value — receives fixed rate |
$ | 17,780,052 |
| 26 | 2 0 2 3 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) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)
| Inflation swaps: |
||||
| Average notional value — pays fixed rate |
$ | 276,714 | ||
| Average notional value — receives fixed rate |
$ | 458,757 |
| (a) | Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
| Derivative Financial Instruments |
||||||||
| Futures contracts |
$ | 9,051 | $ | 31,465 | ||||
| Forward foreign currency exchange contracts |
94,066 | 124,532 | ||||||
| Swaps — centrally cleared |
— | 5,203 | ||||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities in the Statement of Assets and Liabilities |
103,117 | 161,200 | ||||||
|
|
|
|
|
|||||
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(9,051) | (36,668) | ||||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities subject to an MNA |
$ | 94,066 | $ | 124,532 | ||||
|
|
|
|
|
|||||
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| Counterparty | |
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Received |
|
|
Cash Collateral Received |
|
|
Net Amount of Derivative Assets |
(b)(c) | ||||||
| Bank of America N.A. |
$ | 6,125 | $ | (6,125) | $ | — | $ | — | $ | — | ||||||||||
| Barclays Bank PLC |
13,439 | (13,439) | — | — | — | |||||||||||||||
| BNP Paribas SA |
5,567 | — | — | — | 5,567 | |||||||||||||||
| Citibank N.A. |
8,235 | (7,205) | — | — | 1,030 | |||||||||||||||
| Deutsche Bank AG |
8,644 | (8,644) | — | — | — | |||||||||||||||
| Goldman Sachs International |
14,466 | (14,466) | — | — | — | |||||||||||||||
| HSBC Bank PLC |
5,548 | (5,548) | — | — | — | |||||||||||||||
| JPMorgan Chase Bank N.A. |
6,874 | (6,874) | — | — | — | |||||||||||||||
| Morgan Stanley & Co. International PLC |
22,004 | (20,112) | — | — | 1,892 | |||||||||||||||
| Nomura International PLC |
471 | (471) | — | — | — | |||||||||||||||
| Societe Generale |
2,693 | (952) | — | — | 1,741 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 94,066 | $ | (83,836) | $ | — | $ | — | $ | 10,230 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Counterparty | |
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(b)(d) | |||||
| Bank of America N.A. |
$ | 12,620 | $ | (6,125) | $ | — | $ | — | $ | 6,495 | ||||||||||
| Barclays Bank PLC |
17,481 | (13,439) | — | — | 4,042 | |||||||||||||||
| Citibank N.A. |
7,205 | (7,205) | — | — | — | |||||||||||||||
| Deutsche Bank AG |
17,691 | (8,644) | — | — | 9,047 | |||||||||||||||
| Goldman Sachs International |
24,543 | (14,466) | — | — | 10,077 | |||||||||||||||
| HSBC Bank PLC |
8,248 | (5,548) | — | — | 2,700 | |||||||||||||||
| JPMorgan Chase Bank N.A. |
15,077 | (6,874) | — | — | 8,203 | |||||||||||||||
| Morgan Stanley & Co. International PLC |
20,112 | (20,112) | — | — | — | |||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
27 |
| Schedule of Investments (unaudited) (continued) November 30, 2023 |
BlackRock Sustainable Advantage CoreAlpha Bond Fund |
|
|
||||||||||||||||||||
| Counterparty | |
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(b)(d) | |||||
| Nomura International PLC |
$ | 603 | $ | (471) | $ | — | $ | — | $ | 132 | ||||||||||
| Societe Generale |
952 | (952) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 124,532 | $ | (83,836) | $ | — | $ | — | $ | 40,696 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
| (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (d) | 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 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 |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 2,743,540 | $ | — | $ | 2,743,540 | ||||||||
| Corporate Bonds |
— | 14,584,077 | — | 14,584,077 | ||||||||||||
| Foreign Agency Obligations |
— | 258,965 | — | 258,965 | ||||||||||||
| Municipal Bonds |
— | 257,429 | — | 257,429 | ||||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 2,098,369 | — | 2,098,369 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 13,479,837 | — | 13,479,837 | ||||||||||||
| U.S. Treasury Obligations |
— | 5,454,987 | — | 5,454,987 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
536,703 | — | — | 536,703 | ||||||||||||
| U.S. Treasury Obligations |
— | 1,874,918 | — | 1,874,918 | ||||||||||||
| Liabilities |
||||||||||||||||
| Investments |
||||||||||||||||
| TBA Sale Commitments |
— | (1,705,687) | — | (1,705,687) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 536,703 | $ | 39,046,435 | $ | — | $ | 39,583,138 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Assets |
||||||||||||||||
| Credit Contracts |
$ | — | $ | 28,800 | $ | — | $ | 28,800 | ||||||||
| Foreign Currency Exchange Contracts |
— | 94,066 | — | 94,066 | ||||||||||||
| Interest Rate Contracts |
48,038 | 137,476 | — | 185,514 | ||||||||||||
| Other Contracts |
— | 9,824 | — | 9,824 | ||||||||||||
| Liabilities |
||||||||||||||||
| Foreign Currency Exchange Contracts |
— | (124,532) | — | (124,532) | ||||||||||||
| Interest Rate Contracts |
(8,820) | (117,035) | — | (125,855) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 39,218 | $ | 28,599 | $ | — | $ | 67,817 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| 28 | 2 0 2 3 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)
November 30, 2023
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
||||
| ASSETS |
||||
| Investments, at value — unaffiliated(a) |
$ | 40,752,122 | ||
| Investments, at value — affiliated(b) |
536,703 | |||
| Cash pledged: |
||||
| Futures contracts |
159,000 | |||
| Centrally cleared swaps |
340,000 | |||
| Foreign currency, at value(c) |
190,028 | |||
| Receivables: |
||||
| Investments sold |
217,052 | |||
| TBA sale commitments |
1,679,139 | |||
| Capital shares sold |
197,053 | |||
| Dividends — affiliated |
1,370 | |||
| Interest — unaffiliated |
244,684 | |||
| From the Manager |
30,939 | |||
| Variation margin on futures contracts |
9,051 | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
94,066 | |||
| Prepaid expenses |
46,183 | |||
|
|
|
|||
| Total assets |
44,497,390 | |||
|
|
|
|||
| LIABILITIES |
||||
| Bank overdraft |
4,476 | |||
| TBA sale commitments, at value(d) |
1,705,687 | |||
| Payables: |
||||
| Investments purchased |
3,271,789 | |||
| Accounting services fees |
9,002 | |||
| Capital shares redeemed |
344,390 | |||
| Custodian fees |
24,171 | |||
| Trustees’ and Officer’s fees |
498 | |||
| Other accrued expenses |
68,407 | |||
| Professional fees |
47,998 | |||
| Proxy fees |
3,809 | |||
| Service and distribution fees |
458 | |||
| Transfer agent fees |
3,179 | |||
| Variation margin on futures contracts |
31,465 | |||
| Variation margin on centrally cleared swaps |
5,203 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
124,532 | |||
|
|
|
|||
| Total liabilities |
5,645,064 | |||
|
|
|
|||
| Commitments and contingent liabilities |
||||
| NET ASSETS |
$ | 38,852,326 | ||
|
|
|
|||
| NET ASSETS CONSIST OF |
||||
| Paid-in capital |
$ | 51,005,953 | ||
| Accumulated loss |
(12,153,627 | ) | ||
|
|
|
|||
| NET ASSETS |
$ | 38,852,326 | ||
|
|
|
|||
| (a) Investments, at cost — unaffiliated |
$ | 44,241,183 | ||
| (b) Investments, at cost — affiliated |
$ | 536,703 | ||
| (c) Foreign currency, at cost |
$ | 188,718 | ||
| (d) Proceeds from TBA sale commitments |
$ | 1,679,139 | ||
| F I N A N C I A L S T A T E M E N T S |
29 |
Statement of Assets and Liabilities (unaudited) (continued)
November 30, 2023
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
||||
| NET ASSET VALUE |
||||
| Institutional | ||||
| Net assets |
$ | 32,133,243 | ||
|
|
|
|||
| Shares outstanding |
3,812,907 | |||
|
|
|
|||
| Net asset value |
$ | 8.43 | ||
|
|
|
|||
| Shares authorized |
Unlimited | |||
|
|
|
|||
| Par value |
$ | 0.001 | ||
|
|
|
|||
| Investor A | ||||
| Net assets |
$ | 1,881,261 | ||
|
|
|
|||
| Shares outstanding |
223,152 | |||
|
|
|
|||
| Net asset value |
$ | 8.43 | ||
|
|
|
|||
| Shares authorized |
Unlimited | |||
|
|
|
|||
| Par value |
$ | 0.001 | ||
|
|
|
|||
| Investor C | ||||
| Net assets |
$ | 93,078 | ||
|
|
|
|||
| Shares outstanding |
11,042 | |||
|
|
|
|||
| Net asset value |
$ | 8.43 | ||
|
|
|
|||
| Shares authorized |
Unlimited | |||
|
|
|
|||
| Par value |
$ | 0.001 | ||
|
|
|
|||
| Class K | ||||
| Net assets |
$ | 4,744,744 | ||
|
|
|
|||
| Shares outstanding |
562,826 | |||
|
|
|
|||
| Net asset value |
$ | 8.43 | ||
|
|
|
|||
| Shares authorized |
Unlimited | |||
|
|
|
|||
| Par value |
$ | 0.001 | ||
|
|
|
|||
See notes to financial statements.
| 30 | 2 0 2 3 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 Operations (unaudited)
Six Months Ended November 30, 2023
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
||||
| INVESTMENT INCOME |
||||
| Dividends — affiliated |
$ | 10,507 | ||
| Interest — unaffiliated |
843,867 | |||
|
|
|
|||
| Total investment income |
854,374 | |||
|
|
|
|||
| EXPENSES |
||||
| Professional |
73,042 | |||
| Investment advisory |
49,895 | |||
| Registration |
40,145 | |||
| Custodian |
35,829 | |||
| Pricing |
22,600 | |||
| Printing and postage |
19,044 | |||
| Transfer agent — class specific |
18,853 | |||
| Accounting services |
10,443 | |||
| Administration |
9,220 | |||
| Administration — class specific |
4,339 | |||
| Proxy |
3,838 | |||
| Service and distribution — class specific |
2,903 | |||
| Trustees and Officer |
1,065 | |||
| Miscellaneous |
6,856 | |||
|
|
|
|||
| Total expenses |
298,072 | |||
| Less: |
||||
| Administration fees waived |
(9,220 | ) | ||
| Administration fees waived by the Manager — class specific |
(4,339 | ) | ||
| Fees waived and/or reimbursed by the Manager |
(208,854 | ) | ||
| Transfer agent fees waived and/or reimbursed by the Manager — class specific |
(9,188 | ) | ||
|
|
|
|||
| Total expenses after fees waived and/or reimbursed |
66,471 | |||
|
|
|
|||
| Net investment income |
787,903 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||
| Net realized gain (loss) from: |
||||
| Investments — unaffiliated |
(1,674,016 | ) | ||
| Forward foreign currency exchange contracts |
1,397 | |||
| Foreign currency transactions |
(184 | ) | ||
| Futures contracts |
(445,940 | ) | ||
| Swaps |
(20,144 | ) | ||
|
|
|
|||
| (2,138,887 | ) | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) on: |
||||
| Investments — unaffiliated |
850,176 | |||
| Forward foreign currency exchange contracts |
(28,709 | ) | ||
| Foreign currency translations |
4,190 | |||
| Futures contracts |
6,146 | |||
| Swaps |
98,303 | |||
|
|
|
|||
| 930,106 | ||||
|
|
|
|||
| Net realized and unrealized loss |
(1,208,781 | ) | ||
|
|
|
|||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (420,878 | ) | |
|
|
|
|||
See notes to financial statements.
| F I N A N C I A L S T A T E M E N T S |
31 |
Statements of Changes in Net Assets
|
BlackRock Sustainable Advantage CoreAlpha Bond Fund | ||||
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
|||||||||||
| INCREASE (DECREASE) IN NET ASSETS |
||||||||||||
| OPERATIONS |
||||||||||||
| Net investment income |
$ | 787,903 | $ | 1,733,315 | ||||||||
| Net realized loss |
(2,138,887 | ) | (3,883,154 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) |
930,106 | 267,405 | ||||||||||
|
|
|
|
|
|||||||||
| Net decrease in net assets resulting from operations |
(420,878 | ) | (1,882,434 | ) | ||||||||
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||
| From net investment income |
||||||||||||
| Institutional |
(665,589 | ) | (999,958 | ) | ||||||||
| Investor A |
(32,464 | ) | (52,057 | ) | ||||||||
| Investor C |
(1,367 | ) | (1,114 | ) | ||||||||
| Class K |
(87,493 | ) | (77,130 | ) | ||||||||
| Return of capital |
||||||||||||
| Institutional |
— | (416,654 | ) | |||||||||
| Investor A |
— | (26,830 | ) | |||||||||
| Investor C |
— | (973 | ) | |||||||||
| Class K |
— | (29,871 | ) | |||||||||
|
|
|
|
|
|||||||||
| Decrease in net assets resulting from distributions to shareholders |
(786,913 | ) | (1,604,587 | ) | ||||||||
|
|
|
|
|
|||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||
| Net decrease in net assets derived from capital share transactions |
(14,952,333 | ) | (8,021,575 | ) | ||||||||
|
|
|
|
|
|||||||||
| NET ASSETS |
||||||||||||
| Total decrease in net assets |
(16,160,124 | ) | (11,508,596 | ) | ||||||||
| Beginning of period |
55,012,450 | 66,521,046 | ||||||||||
|
|
|
|
|
|||||||||
| End of period |
$ | 38,852,326 | $ | 55,012,450 | ||||||||
|
|
|
|
|
|||||||||
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| 32 | 2 0 2 3 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)
| BlackRock Sustainable Advantage CoreAlpha Bond Fund | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 8.64 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | $ | 9.51 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.15 | 0.25 | 0.17 | 0.17 | 0.22 | 0.25 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.21 | ) | (0.46 | ) | (1.14 | ) | (0.17 | ) | 0.76 | 0.36 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
(0.06 | ) | (0.21 | ) | (0.97 | ) | — | 0.98 | 0.61 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
(0.15 | ) | (0.17 | ) | (0.12 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||||||||
| From net realized gain |
— | — | (0.06 | ) | (0.07 | ) | — | — | ||||||||||||||||||||||||
| Return of capital |
— | (0.07 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
(0.15 | ) | (0.24 | ) | (0.22 | ) | (0.30 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 8.43 | $ | 8.64 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(c) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
(0.63 | )%(d) | (2.34 | )% | (9.62 | )% | (0.08 | )% | 10.06 | % | 6.55 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(e) |
||||||||||||||||||||||||||||||||
| Total expenses |
1.37 | %(f)(g) | 1.05 | % | 0.95 | % | 1.20 | % | 1.54 | % | 2.02 | %(h) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.30 | %(f)(g) | 0.28 | % | 0.29 | % | 0.41 | % | 0.40 | % | 0.41 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
3.64 | %(f) | 2.88 | % | 1.69 | % | 1.62 | % | 2.15 | % | 2.64 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 32,133 | $ | 48,037 | $ | 58,835 | $ | 54,288 | $ | 47,860 | $ | 24,031 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate(i) |
140 | % | 376 | % | 304 | % | 503 | % | 287 | % | 202 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Not annualized. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Includes non-recurring expenses of proxy costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.35% and 0.28%, respectively. |
| (h) | Includes non-recurring expenses of Board realignment and consolidation costs. Without these costs, total expenses would have been 1.79%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Portfolio turnover rate (excluding MDRs) |
74 | % | 193 | % | 173 | % | 302 | % | 177 | % | 117 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
See notes to financial statements.
| F I N A N C I A L H I G H L I G H T S |
33 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Sustainable Advantage CoreAlpha Bond Fund (continued) | ||||||||||||||||||||||||||||||||
| Investor A | ||||||||||||||||||||||||||||||||
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 8.65 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.86 | $ | 9.51 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.14 | 0.22 | 0.14 | 0.15 | 0.19 | 0.23 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.22 | ) | (0.45 | ) | (1.14 | ) | (0.18 | ) | 0.75 | 0.37 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
(0.08 | ) | (0.23 | ) | (1.00 | ) | (0.03 | ) | 0.94 | 0.60 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
(0.14 | ) | (0.14 | ) | (0.09 | ) | (0.20 | ) | (0.22 | ) | (0.25 | ) | ||||||||||||||||||||
| From net realized gain |
— | — | (0.06 | ) | (0.07 | ) | — | — | ||||||||||||||||||||||||
| Return of capital |
— | (0.07 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
(0.14 | ) | (0.21 | ) | (0.19 | ) | (0.27 | ) | (0.22 | ) | (0.25 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 8.43 | $ | 8.65 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.86 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(c) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
(0.87 | )%(d) | (2.48 | )% | (9.85 | )% | (0.32 | )% | 9.66 | % | 6.39 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(e) |
||||||||||||||||||||||||||||||||
| Total expenses |
1.66 | %(f)(g) | 1.34 | % | 1.28 | % | 1.54 | % | 1.97 | % | 2.44 | %(h) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
0.55 | %(f)(g) | 0.53 | % | 0.54 | % | 0.66 | % | 0.66 | % | 0.66 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
3.41 | %(f) | 2.54 | % | 1.43 | % | 1.40 | % | 1.89 | % | 2.39 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 1,881 | $ | 1,974 | $ | 5,156 | $ | 6,049 | $ | 1,807 | $ | 550 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate(i) |
140 | % | 376 | % | 304 | % | 503 | % | 287 | % | 202 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (d) | Not annualized. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Includes non-recurring expenses of proxy costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.64% and 0.53%, respectively. |
| (h) | Includes non-recurring expenses of Board realignment and consolidation costs. Without these costs, total expenses would have been 2.21%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Portfolio turnover rate (excluding MDRs) |
74 | % | 193 | % | 173 | % | 302 | % | 177 | % | 117 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
See notes to financial statements.
| 34 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Sustainable Advantage CoreAlpha Bond Fund (continued) | ||||||||||||||||||||||||||||||||
| Investor C | ||||||||||||||||||||||||||||||||
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 8.64 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | $ | 9.51 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income(a) |
0.11 | 0.16 | 0.07 | 0.07 | 0.12 | 0.16 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.21 | ) | (0.46 | ) | (1.14 | ) | (0.18 | ) | 0.75 | 0.35 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net increase (decrease) from investment operations |
(0.10 | ) | (0.30 | ) | (1.07 | ) | (0.11 | ) | 0.87 | 0.51 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Distributions(b) |
||||||||||||||||||||||||||||||||
| From net investment income |
(0.11 | ) | (0.08 | ) | (0.02 | ) | (0.12 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||||||||||
| From net realized gain |
— | — | (0.06 | ) | (0.07 | ) | — | — | ||||||||||||||||||||||||
| Return of capital |
— | (0.07 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total distributions |
(0.11 | ) | (0.15 | ) | (0.12 | ) | (0.19 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net asset value, end of period |
$ | 8.43 | $ | 8.64 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Return(c) |
||||||||||||||||||||||||||||||||
| Based on net asset value |
(1.13 | )%(d) | (3.32 | )% | (10.53 | )% | (1.07 | )% | 8.96 | % | 5.49 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Ratios to Average Net Assets(e) |
||||||||||||||||||||||||||||||||
| Total expenses |
2.66 | %(f)(g) | 2.42 | % | 2.29 | % | 2.40 | % | 2.66 | % | 3.20 | %(h) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
1.30 | %(f)(g) | 1.28 | % | 1.29 | % | 1.41 | % | 1.41 | % | 1.41 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Net investment income |
2.63 | %(f) | 1.89 | % | 0.69 | % | 0.62 | % | 1.15 | % | 1.64 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 93 | $ | 141 | $ | 136 | $ | 134 | $ | 124 | $ | 69 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Portfolio turnover rate(i) |
140 | % | 376 | % | 304 | % | 503 | % | 287 | % | 202 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (d) | Not annualized. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Includes non-recurring expenses of proxy costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 2.64% and 1.28%, respectively. |
| (h) | Includes non-recurring expenses of Board realignment and consolidation costs. Without these costs, total expenses would have been 2.97%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
|||||||||||||||||||||||||||
| Portfolio turnover rate (excluding MDRs) |
74 | % | 193 | % | 173 | % | 302 | % | 177 | % | 117 | % | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
See notes to financial statements.
| F I N A N C I A L H I G H L I G H T S |
35 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Sustainable Advantage CoreAlpha Bond Fund (continued) | ||||||||||||||||||||||||||||||||
| Class K | ||||||||||||||||||||||||||||||||
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
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| Net asset value, beginning of period |
$ | 8.65 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | $ | 9.51 | ||||||||||||||||||||
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| Net investment income(a) |
0.16 | 0.26 | 0.17 | 0.18 | 0.24 | 0.26 | ||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.22 | ) | (0.46 | ) | (1.14 | ) | (0.18 | ) | 0.74 | 0.35 | ||||||||||||||||||||||
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| Net increase (decrease) from investment operations |
(0.06 | ) | (0.20 | ) | (0.97 | ) | — | 0.98 | 0.61 | |||||||||||||||||||||||
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| Distributions(b) |
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| From net investment income |
(0.16 | ) | (0.17 | ) | (0.12 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||||||||
| From net realized gain |
— | — | (0.06 | ) | (0.07 | ) | — | — | ||||||||||||||||||||||||
| Return of capital |
— | (0.07 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||
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| Total distributions |
(0.16 | ) | (0.24 | ) | (0.22 | ) | (0.30 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||||||||
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| Net asset value, end of period |
$ | 8.43 | $ | 8.65 | $ | 9.09 | $ | 10.28 | $ | 10.58 | $ | 9.85 | ||||||||||||||||||||
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| Total Return(c) |
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| Based on net asset value |
(0.72 | )%(d) | (2.18 | )% | (9.58 | )% | (0.02 | )% | 10.10 | % | 6.60 | % | ||||||||||||||||||||
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| Ratios to Average Net Assets(e) |
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| Total expenses |
1.30 | %(f)(g) | 1.03 | % | 0.93 | % | 1.17 | % | 1.67 | % | 2.70 | %(h) | ||||||||||||||||||||
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| Total expenses after fees waived and/or reimbursed |
0.25 | %(f)(g) | 0.23 | % | 0.24 | % | 0.36 | % | 0.36 | % | 0.36 | % | ||||||||||||||||||||
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| Net investment income |
3.70 | %(f) | 3.00 | % | 1.75 | % | 1.72 | % | 2.38 | % | 2.66 | % | ||||||||||||||||||||
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| Supplemental Data |
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| Net assets, end of period (000) |
$ | 4,745 | $ | 4,861 | $ | 2,394 | $ | 1,380 | $ | 130 | $ | 449 | ||||||||||||||||||||
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| Portfolio turnover rate(i) |
140 | % | 376 | % | 304 | % | 503 | % | 287 | % | 202 | % | ||||||||||||||||||||
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| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Not annualized. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Includes non-recurring expenses of proxy costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.27% and 0.23%, respectively. |
| (h) | Includes non-recurring expenses of Board realignment and consolidation costs. Without these costs, total expenses would have been 2.48%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended 11/30/23 (unaudited) |
Year Ended 05/31/23 |
Year Ended 05/31/22 |
Year Ended 05/31/21 |
Year Ended 05/31/20 |
Year Ended 05/31/19 |
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| Portfolio turnover rate (excluding MDRs) |
74 | % | 193 | % | 173 | % | 302 | % | 177 | % | 117 | % | ||||||||||||||||||||
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See notes to financial statements.
| 36 | 2 0 2 3 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 |
BlackRock Funds IV (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Massachusetts business trust. BlackRock Sustainable Advantage CoreAlpha Bond Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Shares distribution and service plan).
| Share Class | Initial Sales Charge | CDSC | Conversion Privilege | |||||||
| Institutional and Class K Shares |
No | No | None | |||||||
| Investor A Shares |
Yes | No | (a) | None | ||||||
| Investor C Shares |
No | Yes | (b) | To Investor A Shares after approximately 8 years | ||||||
| (a) | Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. |
| (b) | A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase. |
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of funds referred to as the BlackRock Fixed-Income Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. 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, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Bank Overdraft: The Fund had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period and as of the report date. The Fund is obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statement of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Trustees of the Trust (the “Board”), the trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the
| 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 |
37 |
Notes to Financial Statements (unaudited) (continued)
Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statement of Assets and Liabilities and will remain as a liability of the Fund until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Statement of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of the Fund’s Manager as the valuation designee for the Fund. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| • | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
| • | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”). |
| • | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
| • | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
| • | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Fund uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| 38 | 2 0 2 3 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 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access; |
| • | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
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 Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
| 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 |
39 |
Notes to Financial Statements (unaudited) (continued)
Forward Commitments, When-Issued and Delayed Delivery Securities: The Fund 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. The 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, the 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, the 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, the Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Fund to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statement of Assets and Liabilities and Statement of Operations.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedule of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: The Fund may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the 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 Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the 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.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the
| 40 | 2 0 2 3 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)
value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the 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 Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Fund’s counterparty on the swap. The Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the 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 Fund agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the 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.
| • | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| • | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
| • | Forward swaps — The Fund may enter into forward interest rate swaps and forward total return swaps. In a forward swap, the Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
| • | Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index. |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks 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 Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
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41 |
Notes to Financial Statements (unaudited) (continued)
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from the counterparties are not fully collateralized, the Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, the Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Trust, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| Average Daily Net Assets | Investment Advisory Fees |
|||
| First $1 billion |
0.23 | % | ||
| $1 billion — $3 billion |
0.22 | |||
| $3 billion — $5 billion |
0.21 | |||
| $5 billion — $10 billion |
0.20 | |||
| Greater than $10 billion |
0.20 | |||
The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of the Fund for which BIL acts as sub-adviser a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.
Service and Distribution Fees: The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| Share Class | Service Fees | Distribution Fees | ||||||
| Investor A |
0.25 | % | N/A | |||||
| Investor C |
0.25 | 0.75 | % | |||||
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
For the six months ended November 30, 2023, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:
| Investor A | Investor C | Total | ||||||||||
| Service and distribution fees — class specific |
$ | 2,383 | $ | 520 | $ | 2,903 | ||||||
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with the Manager, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services. For these services, the Manager receives an administration fee computed daily and payable monthly, based on a percentage of the average daily net assets of the Fund. The administration fee, which is shown as administration in the Statement of Operations, is paid at the annual rates below.
| Average Daily Net Assets | Administration Fees | |||
| First $500 million |
0.0425 | % | ||
| $500 million — $1 billion |
0.0400 | |||
| $1 billion — $2 billion |
0.0375 | |||
| $2 billion — $4 billion |
0.0350 | |||
| $4 billion — $13 billion |
0.0325 | |||
| Greater than $13 billion |
0.0300 | |||
In addition, the Manager charges each of the share classes an administration fee, which is shown as administration – class specific in the Statement of Operations, at an annual rate of 0.02% of the average daily net assets of each respective class.
| 42 | 2 0 2 3 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 November 30, 2023, the following table shows the class specific administration fees borne directly by each share class of the Fund:
| Institutional | Investor A | Investor C | Class K | Total | ||||||||||||||||
| Administration fees — class specific |
$ | 3,665 | $ | 191 | $ | 10 | $ | 473 | $ | 4,339 | ||||||||||
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended November 30, 2023, the Fund did not pay any amounts to affiliates in return for these services.
The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended November 30, 2023, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:
| Institutional | Investor A | Investor C | Class K | Total | ||||||||||||||||
| Reimbursed amounts |
$ | 59 | $ | 44 | $ | 36 | $ | 19 | $ | 158 | ||||||||||
For the six months ended November 30, 2023, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| Institutional | Investor A | Investor C | Class K | Total | ||||||||||||||||
| Transfer agent fees — class specific |
$ | 17,161 | $ | 1,218 | $ | 202 | $ | 272 | $ | 18,853 | ||||||||||
Other Fees: For the six months ended November 30, 2023, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares for a total of $18.
Expense Limitations, Waivers, Reimbursements, and Recoupments: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. 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 November 30, 2023, the amount waived was $139.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended November 30, 2023, there were no fees waived 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, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| Share Class | Expense Limitation | |||
| Institutional |
0.28 | % | ||
| Investor A |
0.53 | |||
| Investor C |
1.28 | |||
| Class K |
0.23 | |||
The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2025, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended November 30, 2023, amounts included in the Statement of Operations were as follows:
| Fees waived and/or reimbursed by the Manager |
$ | 208,715 | ||
| Administration fees waived |
$ | 9,220 | ||
In addition, these amounts waived and/or reimbursed by the Manager are included in administration fees waived by the Manager- class specific and transfer agent fees waived and/or reimbursed by the Manager - class specific, respectively, in the Statement of Operations. For the six months ended November 30, 2023, class specific expense waivers and/or reimbursements were as follows:
| Institutional | Investor A | Investor C | Class K | Total | ||||||||||||||||
| Administration fees waived by the Manager — class specific |
$ | 3,665 | $ | 191 | $ | 10 | $ | 473 | $ | 4,339 | ||||||||||
| Institutional | Investor A | Investor C | Class K | Total | ||||||||||||||||
| Transfer agent fees waived and/or reimbursed by the Manager — class specific |
$ | 8,000 | $ | 742 | $ | 175 | $ | 271 | $ | 9,188 | ||||||||||
With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such
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43 |
Notes to Financial Statements (unaudited) (continued)
share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
| (1) | the Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and |
| (2) | the Manager or an affiliate continues to serve as the Fund’s investment adviser or administrator. |
This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective August 23, 2023, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses was terminated.
The following fund level and class specific waivers and/or reimbursements previously recorded by the Fund, which were subject to recoupment by the Manager, expired on August 23, 2023:
| Fund Name/Fund Level/Share Class | Expired 08/23/23 |
|||
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
||||
| Fund Level |
$ | 867,148 | ||
| Institutional |
47,258 | |||
| Investor A |
12,658 | |||
| Investor C |
1,011 | |||
| Class K |
2,290 | |||
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended November 30, 2023, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statement of Operations.
| 7. | PURCHASES AND SALES |
For the six months ended November 30, 2023, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
$ | 2,294,682 | $ | 5,927,593 | $ | 58,398,974 | $ | 68,494,256 | ||||||||
For the six months ended November 30, 2023, purchases and sales related to mortgage dollar rolls were $28,696,991 and $28,695,022, respectively.
| 8. | INCOME TAX INFORMATION |
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of November 30, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
| 44 | 2 0 2 3 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)
As of May 31, 2023, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Fund Name | |
Non-Expiring Capital Loss Carryforwards |
(a) | |
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
$ | (6,548,134 | ) | |
| (a) | Amounts available to offset future realized capital gains. |
As of November 30, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| Fund Name | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
$ | 44,780,566 | $ | 481,782 | $ | (3,932,254 | ) | $ | (3,450,472 | ) | ||||||
| 9. | BANK BORROWINGS |
The Trust, on behalf of the Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2024 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended November 30, 2023, the Fund did not borrow under the credit agreement.
| 10. | PRINCIPAL RISKS |
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
Market Risk: The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
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.
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45 |
Notes to Financial Statements (unaudited) (continued)
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Fund’s portfolio are disclosed in its Schedule of Investments.
The Fund invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Fund may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Fund’s performance.
The Fund invests a significant portion of its assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Fund invests.
The Fund invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| Six Months Ended 11/30/23 |
Year Ended 05/31/23 |
|||||||||||||||
| Fund Name / Share Class | Shares | Amounts | Shares | Amounts | ||||||||||||
| BlackRock Sustainable Advantage CoreAlpha Bond Fund |
||||||||||||||||
| Institutional |
||||||||||||||||
| Shares sold |
673,946 | $ | 5,652,193 | 1,907,806 | $ | 16,681,544 | ||||||||||
| Shares issued in reinvestment of distributions |
75,179 | 630,080 | 123,490 | 1,071,939 | ||||||||||||
| Shares redeemed |
(2,495,037 | ) | (21,156,531 | ) | (2,946,281 | ) | (25,431,104 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1,745,912 | ) | $ | (14,874,258 | ) | (914,985 | ) | $ | (7,677,621 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor A |
||||||||||||||||
| Shares sold and automatic conversion of shares |
37,227 | $ | 311,216 | 55,205 | $ | 476,810 | ||||||||||
| Shares issued in reinvestment of distributions |
3,870 | 32,437 | 8,992 | 78,186 | ||||||||||||
| Shares redeemed |
(46,239 | ) | (384,287 | ) | (403,149 | ) | (3,526,436 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,142 | ) | $ | (40,634 | ) | (338,952 | ) | $ | (2,971,440 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investor C |
||||||||||||||||
| Shares sold |
214 | $ | 1,784 | 4,227 | $ | 37,032 | ||||||||||
| Shares issued in reinvestment of distributions |
149 | 1,250 | 155 | 1,343 | ||||||||||||
| Shares redeemed and automatic conversion of shares |
(5,594 | ) | (47,853 | ) | (3,068 | ) | (26,534 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,231 | ) | $ | (44,819 | ) | 1,314 | $ | 11,841 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 46 | 2 0 2 3 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 11/30/23 |
Year Ended 05/31/23 |
|||||||||||||||
| Fund Name / Share Class (continued) | Shares | Amounts | Shares | Amounts | ||||||||||||
| BlackRock Sustainable Advantage CoreAlpha Bond Fund (continued) |
||||||||||||||||
| Class K |
||||||||||||||||
| Shares sold |
154,860 | $ | 1,299,388 | 410,345 | $ | 3,593,197 | ||||||||||
| Shares issued in reinvestment of distributions |
10,431 | 87,493 | 12,258 | 106,471 | ||||||||||||
| Shares redeemed |
(164,733 | ) | (1,379,503 | ) | (123,666 | ) | (1,084,023 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 558 | $ | 7,378 | 298,937 | $ | 2,615,645 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1,755,727 | ) | $ | (14,952,333 | ) | (953,686 | ) | $ | (8,021,575 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 12. | SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
47 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Funds IV (the “Trust”) met on May 4, 2023 (the “May Meeting”) and June 1-2, 2023 (the “June Meeting”) to consider the approval to continue the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BlackRock Sustainable Advantage CoreAlpha Bond Fund (the “Fund”), and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser. The Board also considered the approval to continue the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock International Limited (the “Sub-Advisor”), with respect to the Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for the Fund on an annual basis. The Board members who are not “interested persons” of the Trust, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as 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) 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 May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the May 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 May Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting.
At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to them 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.
| 48 | 2 0 2 3 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 Investment Advisory Agreement and Sub-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 experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
The Board noted that the engagement of the Sub-Advisor with respect to the Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit the Fund and its shareholders.
B. The Investment Performance of the Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2022, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the respective Morningstar Category (“Morningstar Category”). 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-, three-, and five-year periods reported, the Fund ranked in the third, third and second quartiles, respectively, against its Morningstar Category. The Board noted that BlackRock believes that the Morningstar Category 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 underperformance relative to its Morningstar Category during the applicable periods.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
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
| 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 A N D S U B - A D V I S O R Y A G R E E M E N T |
49 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)
BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2022 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board additionally noted that the breakpoints can, conversely, adjust the advisory fee rate upward as the size of the Fund decreases below certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which the Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending, and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
At the June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of the Fund, for a one-year term ending June 30, 2024, and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to the Fund, for a one-year term ending June 30, 2024. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were advised by independent legal counsel throughout the deliberative process.
| 50 | 2 0 2 3 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 Regarding Liquidity Risk Management Program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), BlackRock Funds IV (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BlackRock Sustainable Advantage CoreAlpha Bond Fund (the “Fund”), a series of the Trust, which is reasonably designed to assess and manage the Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Fund, met on November 14-15, 2023 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC, the investment adviser to the Fund, as the program administrator for the Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of the Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2022 through September 30, 2023 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing the Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish the Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to the Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing the Fund’s liquidity risk, as follows:
| a) | The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation. |
| b) | Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish the Fund’s reasonably anticipated trading size utilized for liquidity classifications. The Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections. |
| c) | Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to the Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable. |
There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
| S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M |
51 |
Proxy Results
A Special Meeting of Shareholders was held on November 9, 2023 for shareholders of record on September 11, 2023, to elect trustee nominees for the BlackRock Funds IV.
Shareholders elected the Trustees* as follows:
| Votes For | Votes Withheld | |||||||
| Lorenzo A. Flores |
648,213,833 | 3,662,109 | ||||||
| Stayce D. Harris |
648,081,519 | 3,794,423 | ||||||
| J. Phillip Holloman |
647,962,752 | 3,913,190 | ||||||
| Arthur P. Steinmetz |
647,741,031 | 4,134,911 | ||||||
| * | Denotes Trust-wide proposal and voting results. |
Tailored Shareholder Reports for Open-End Mutual Funds and ETFs
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Fund and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. Additionally, the Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information about how the Fund voted proxies relating to securities held in the Fund’s portfolio during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
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Additional Information (continued)
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Fund
100 Bellevue Parkway
Wilmington, DE 19809
| A D D I T I O N A L I N F O R M A T I O N |
53 |
Glossary of Terms Used in this Report
| Currency Abbreviation | Portfolio Abbreviation | |||||
| AUD | Australian Dollar | BAB | Build America Bond | |||
| BRL | Brazilian Real | BBR | Bank Bill Rate | |||
| CAD | Canadian Dollar | BBSW | Bank Bill Swap Rate | |||
| CHF | Swiss Franc | CMT | Constant Maturity Treasury | |||
| CLP | Chilean Peso | CORRA | Overnight Bank of Canada Repo Rate | |||
| COP | Colombian Peso | CPI | Consumer Price Index | |||
| CZK | Czech Koruna | DAC | Designated Activity Company | |||
| EUR | Euro | EURIBOR | Euro Interbank Offered Rate | |||
| GBP | British Pound | GO | General Obligation Bonds | |||
| HKD | Hong Kong Dollar | HIBOR | Hong Kong Interbank Offered Rate | |||
| HUF | Hungarian Forint | LP | Limited Partnership | |||
| IDR | Indonesian Rupiah | MXIBTIIE | Mexico Interbank TIIE 28-Day | |||
| ILS | Israeli Shekel | NIBOR | Norwegian Interbank Offered Rate | |||
| INR | Indian Rupee | PRIBOR | Prague Interbank Offer Rate | |||
| JPY | Japanese Yen | RB | Revenue Bond | |||
| KRW | South Korean Won | REMIC | Real Estate Mortgage Investment Conduit | |||
| MXN | Mexican Peso | SAN | State Aid Notes | |||
| NOK | Norwegian Krone | SOFR | Secured Overnight Financing Rate | |||
| NZD | New Zealand Dollar | SONIA | Sterling Overnight Interbank Average Rate | |||
| PHP | Philippine Peso | SORA | Singapore Overnight Rate Average | |||
| PLN | Polish Zloty | SSARON | Swiss Average Overnight Rate | |||
| SEK | Swedish Krona | STACR | Structured Agency Credit Risk | |||
| SGD | Singapore Dollar | STIBOR | Stockholm Interbank Offered Rate | |||
| THB | Thai Baht | TBA | To-Be-Announced | |||
| TWD | New Taiwan Dollar | UK RPI | United Kingdom Retail Price Index | |||
| USD | United States Dollar | WIBOR | Warsaw Interbank Offered Rate | |||
| ZAR | South African Rand | |||||
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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 Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
IMPBOND-11/23-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 Registrant – Not Applicable |
| Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
| Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 10 – | Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures. |
| Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
| Item 13 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
| Item 14 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Funds IV
| By: |
/s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock Funds IV |
Date: January 19, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: |
/s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock Funds IV |
Date: January 19, 2024
| By: |
/s/ Trent Walker | |||
| Trent Walker | ||||
| Chief Financial Officer (principal financial officer) of | ||||
| BlackRock Funds IV |
Date: January 19, 2024