N-CSR 1 d438114dncsr.htm BLACKROCK INDEX FUNDS, INC. BlackRock Index Funds, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07899 and 811-07885

 

Name of Fund:   BlackRock Index Funds, Inc.
       iShares MSCI EAFE International Index Fund
       iShares Russell 2000 Small-Cap Index Fund

 

       Quantitative Master Series LLC
       Master Small Cap Index Series

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Index Funds, Inc. and Quantitative Master Series LLC, 50 Hudson Yards, New York, NY 10001

Registrants’ telephone number, including area code: (800) 441-7762

Date of fiscal year end: 12/31/2022

Date of reporting period: 12/31/2022

 

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

 

 

LOGO

  DECEMBER 31, 2022

 

 

  

  

    2022 Annual Report

 

BlackRock FundsSM

· iShares Municipal Bond Index Fund

· iShares Short-Term TIPS Bond Index Fund

BlackRock Index Funds, Inc.

· iShares MSCI EAFE International Index Fund

· iShares Russell 2000 Small-Cap Index Fund

 

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic’s restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy’s capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

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,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2022

 

  
     
      6-Month       12-Month   
   

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

     2.31%       (18.11)%  
   

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

     3.91           (20.44)     
   

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

     6.36           (14.45)     
   

Emerging market equities
(MSCI Emerging Markets Index)

     (2.99)          (20.09)     
   

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

     1.32           1.47      
   

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

     (5.58)          (16.28)     
   

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

     (2.97)          (13.01)     
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

     0.50           (8.53)     
   

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

     3.50           (11.18)     
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

Table of Contents

 

     Page  

 

  

The Markets in Review

     2  

Annual Report:

   

Fund Summary

      4  

About Fund Performance

      15  

Disclosure of Expenses

      16  

Derivative Financial Instruments

      16  

Fund Financial Statements:

   

Fund Schedules of Investments

      17  

Fund Statements of Assets and Liabilities

      36  

Fund Statements of Operations

      38  

Fund Statements of Changes in Net Assets

      40  

Fund Financial Highlights

      42  

Fund Notes to Financial Statements

      57  

Fund Report of Independent Registered Public Accounting Firm

      71  

Important Tax Information

      72  

Series Portfolio Information

      73  

Series Financial Statements:

   

Series Schedule of Investments

      74  

Series Statement of Assets and Liabilities

      99  

Series Statement of Operations

      100  

Series Statements of Changes in Net Assets

      101  

Series Financial Highlights

      102  

Series Notes to Financial Statements

      103  

Series Report of Independent Registered Public Accounting Firm

      111  

Statement Regarding Liquidity Risk Management Program

      112  

Director and Officer Information

      113  

Additional Information

      118  

Glossary of Terms Used in this Report

      120  

 

    

 

LOGO

 

 

  3

Fund Summary  as of December 31, 2022    iShares Municipal Bond Index Fund

 

Investment Objective

iShares Municipal Bond Index Fund’s (the “Fund”) investment objective is to seek to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the ICE BofA US Municipal Securities Index (the “Underlying Index”).

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended December 31, 2022, the Fund’s Institutional Shares returned (8.61)%, Investor A shares returned (8.85)%, Investor P Shares returned (8.84)% and Class K Shares returned (8.58)%. The Fund’s benchmark, the ICE BofA US Municipal Securities Index, returned (9.04)% for the same period.

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses.

Describe the market environment.

The broad U.S. municipal bond market returned (9.04)% for 2022 as gauged by the ICE BofA US Municipal Securities Index. Historically high inflation and policy tightening in response by the Fed to contain prices were the principal drivers of bond market returns for the year. Inflation had already breeched the Fed’s 2% target in late 2021 but spiked in the wake of Russia’s late-February 2022 invasion of Ukraine. U.S. year-over-year consumer price inflation broke the 8% mark in March 2022 and peaked at 9.1% in June. The Fed responded aggressively by raising its benchmark overnight lending rate seven times in 2022, leaving the fed funds target range at 4.25%-4.50% at year-end, as compared to 0.0%-0.25% entering the year.

The 10-year U.S. Treasury yield finished the year at 3.88%, an increase of 236 basis points from its 1.52% starting point at the end of 2021. The two-year Treasury note began 2022 at 0.73% and ended the year at 4.41% for an increase of 368 basis points. As a result, the Treasury curve ended 2022 significantly inverted (meaning that yields were higher for shorter maturities), a development which has historically been a precursor to recession. Yield increases and corresponding price declines were more modest along the municipal curve as the two-year yield finished at 2.60% vs. 0.24% or 236 basis points higher while the 10-year finished at 2.63% vs. 1.03% or 160 basis points higher.

Describe recent portfolio activity.

During the reporting period, the Fund maintained its objective of seeking to provide investment results that correspond to the total return performance of the Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included transaction costs and maturity.

Describe portfolio positioning at period end.

The Fund remained positioned to attempt to match the risk characteristics of the Index, irrespective of the market’s future direction.

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

GROWTH OF $10,000 INVESTMENT

 

LOGO

 

(a) 

Assuming transaction costs and other operating expenses, including administration fees, if any. On November 19, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the State Farm Tax Advantaged Bond Fund (the “Predecessor Fund”), a series of State Farm Mutual Fund Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization.

(b) 

The Fund generally invests at least 80% of its assets, plus the amount of any borrowings for investment purposes, in securities or other financial instruments that are components of or have economic characteristics similar to the securities in the Underlying Index.

(c) 

An index that tracks the performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market

 

4  

2 0 2 2   B L A C K R O C K   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 December 31, 2022 (continued)    iShares Municipal Bond Index Fund

 

Performance

 

                      Average Annual Total Returns(a)  
       

 

 

  
                      1 Year         5 Years           10 Years  
       

 

 

      

 

 

      

 

 

  
    

Standardized

30-Day Yields

    

Unsubsidized

30-Day Yields

           

Without

Sales

Charge

    

With

Sales

Charge

        

Without

Sales

Charge

    

With

Sales

Charge

           

Without

Sales

Charge

    

With

Sales

Charge

  

Institutional

     3.21 %      3.21 %        (8.61 )%      N/A         1.18 %      N/A         1.79 %      N/A  

Investor A

     2.97       2.96         (8.85 )      N/A         0.97       N/A         1.68       N/A  

Investor P

     2.87       2.87         (8.84 )      (12.49 )%        0.97       0.15 %        1.68       1.26 % 

Class K

     3.26       3.19         (8.58 )      N/A         1.21       N/A         1.80       N/A  

ICE BofA US Municipal Securities Index

     —       —               (9.04 )      N/A           1.20       N/A               2.18       N/A  

 

  (a) 

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. On November 19, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the State Farm Tax Advantaged Bond Fund (the “Predecessor Fund”), a series of State Farm Mutual Fund Trust, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization.

 

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

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Beginning

Account Value

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Annualized

Expense

Ratio

  

 

 

Institutional

     $       1,000.00       $       1,003.50       $        1.16       $       1,000.00       $       1,024.05       $         1.17       0.23 % 

Investor A

     1,000.00       1,002.10       2.52       1,000.00       1,022.68       2.55       0.50  

Investor P

     1,000.00       1,002.20       2.42       1,000.00       1,022.79       2.45       0.48  

Class K

     1,000.00       1,003.60       1.01       1,000.00       1,024.20       1.02       0.20  

 

  (a) 

For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).

 

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

 

F U N D   S U M M A R Y

   5

Fund Summary  as of December 31, 2022 (continued)    iShares Municipal Bond Index Fund

 

Portfolio Information

 

SECTOR ALLOCATION

 

 

   
Sector(a)(b)  

Percent of

Total Investments

  

State

     31.3 % 

Transportation

     26.4  

County/City/Special District/School District

     15.4  

Utilities

     15.0  

Health

     6.1  

Education

     4.9  

Tobacco

     0.9  

 

CALL/MATURITY SCHEDULE

 

 

   
Calendar Year Ended December 31,(a)(c)   Percentage  

2023

     7.5 % 

2024

     7.8  

2025

     11.5  

2026

     13.6  

2027

     1.0  

 

CREDIT QUALITY ALLOCATION

 

 

   
Credit Rating(a)(d)  

Percent of

Total Investments

  

AAA/Aaa

     22.2 % 

AA/Aa

     60.0  

A

     14.6  

BBB/Baa

     2.6  

N/R(e)

     0.6  
 

 

(a) 

Excludes short-term securities.

(b) 

For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

(c) 

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

(d) 

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.

(e) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2022, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments.

 

6  

2 0 2 2   B L A C K R O C K   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 December 31, 2022     iShares Short-Term TIPS Bond Index Fund

 

Investment Objective

iShares Short-Term TIPS Bond Index Fund’s (the “Fund”) investment objective is to seek to track the investment results of an index composed of U.S. 0-5 Year Treasury Inflation-Protected Securities (TIPS).

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended December 31, 2022, the Fund’s Institutional Shares returned (2.81)%, and Investor A shares returned (3.15)% and Class K Shares returned (2.86)%. The Fund’s benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L), the (“Underlying Index”), returned (2.74)% for the same period.

Returns for the Fund’s respective share classes differ from the Underlying Index based on individual share-class expenses.

What factors influenced performance?

Returns for Treasury inflation-protected securities (“TIPS”) are influenced by changes in inflation expectations as well as the direction of nominal Treasury yields. For the 12-month period, the Bloomberg US TIPS Index posted a return of (11.85)% while the Fund’s benchmark, the Bloomberg US TIPS 0-5 Years Index (Series L), returned (1.40)%, with rising longer-term nominal Treasury yields weighing on returns for both indexes. The 10-year breakeven rate (the level of expected inflation required to compensate for TIPS lower yield relative to comparable maturity Treasuries) finished the year modestly lower after rising in the immediate aftermath of Russia’s invasion of Ukraine.

For much of the period, investors primarily focused on the impact of Russia’s war on Ukraine and Fed hiking of its benchmark overnight lending rate, along with persistently high inflation readings. Inflation had already breeched the Fed’s 2% target in late 2021 but spiked in the wake of Russia’s late-February 2022 invasion of Ukraine. U.S. year-over-year consumer price inflation broke the 8% mark in March and peaked at 9.1% in June 2022. The Fed responded aggressively by raising its benchmark overnight lending rate seven times in 2022, leaving the fed funds target range at 4.25%-4.50% at year-end, as compared to 0.0%-0.25% entering the year.

The 10-year U.S. Treasury yield finished the year at 3.88%, an increase of 236 basis points from its 1.52% starting point at the end of 2021. The two-year Treasury note began 2022 at 0.73% and ended the year at 4.41% for an increase of 368 basis points. As a result, the Treasury curve ended 2022 significantly inverted (meaning that yields were higher for shorter maturities), a development which has historically been a precursor to recession. Against this backdrop of rising rates, TIPS returns for the 12 months were negative.

The Master Portfolio held a small amount of cash committed for pending transactions. The cash balance did not have a material impact on performance.

Describe recent portfolio activity.

During the period, the Fund maintained its objective of seeking to provide investment results that correspond to the total return performance of the benchmark Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included transaction costs and maturity.

Describe portfolio positioning at period end.

The Fund remains positioned to attempt to match the risk and return characteristics of the Index, irrespective of the future direction of inflation expectations.

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

 

F U N D   S U M M A R Y

   7

Fund Summary  as of December 31, 2022 (continued)    iShares Short-Term TIPS Bond Index Fund

 

GROWTH OF $10,000 INVESTMENT

 

LOGO

The Fund commenced operations on February 16, 2016.

  (a) 

Assuming transaction costs and other operating expenses, including investment advisory fees, if any.

 
  (b) 

The Fund generally invests at least 90% of its assets, plus the amount of any borrowing for investment purposes, in securities of the Underlying Index. From time to time when conditions warrant, however, the Fund may invest at least 80% of its assets in securities of the Underlying Index. The Fund may invest a portion of the remainder of its assets in securities not included in the Underlying Index, but which BlackRock Advisors, LLC believes will help the Fund track the Underlying Index.

 
  (c) 

An index that measures the performance of the inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of less than five years.

 

Performance

 

    Average Annual Total Returns(a)  
 

 

 

  
      1 Year       5 Years      

 Since

Inception

  

(b) 

Institutional

     (2.81 )%      2.45 %      2.27 % 

Investor A

     (3.15 )      2.15       1.99  

Class K

     (2.86 )      2.46       2.28  

Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L)

     (2.74 )      2.57       2.38  

 

  (a) 

Average annual total returns reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related fees.

 
  (b) 

The Fund commenced operations on February 16, 2016.

 

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

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

                

 Beginning

Account Value

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

         

 Annualized

Expense

Ratio

  

 

 

Institutional

     $        1,000.00       $        985.80       $          0.50           $        1,000.00       $        1,024.70       $          0.51          0.10 % 

Investor A

     1,000.00       983.60       1.80           1,000.00       1,023.39       1.84          0.36  

Class K

     1,000.00       985.10       0.30                   1,000.00       1,024.90       0.31            0.06  

 

  (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 184/365 (to reflect the one-half year period shown).

 

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

 

8  

2 0 2 2   B L A C K R O C K   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 December 31, 2022 (continued)    iShares Short-Term TIPS Bond Index Fund

 

Portfolio Information

ALLOCATION BY MATURITY

 

   
Period    

 Percent of

Total Investments

  

(a) 

1-2 Years

     23.0 % 

2-3 Years

     28.2  

3-4 Years

     22.6  

4-5 Years

     26.2  

 

(a) 

Exclude short-term securities.

 

FIVE LARGEST FUND HOLDINGS

 

   
Holding  

Percent of

Total Investments

  

U.S. Treasury Inflation-Indexed Notes, 0.63%, 01/15/24

     5.2 % 

U.S. Treasury Inflation-Indexed Notes, 0.38%, 07/15/25

     5.1  

U.S. Treasury Inflation-Indexed Notes, 0.13%, 07/15/24

     4.7  

U.S. Treasury Inflation-Indexed Notes, 1.63%, 10/15/27

     4.7  

U.S. Treasury Inflation-Indexed Notes, 0.13%, 10/15/25

     4.6  
 

 

F U N D   S U M M A R Y

   9

Fund Summary  as of December 31, 2022     iShares MSCI EAFE International Index Fund

 

Investment Objective

iShares MSCI EAFE International Index Fund’s (the “Fund”) investment objective is to match the performance of the MSCI EAFE Index (Europe, Australasia, Far East) (the “MSCI EAFE Index”) in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended December 31, 2022, the Fund’s Institutional Shares returned (14.18)%, Investor A Shares returned (14.36)%, Investor P Shares returned (14.36)%, and Class K Shares returned (14.07)%. The MSCI EAFE Index returned (14.45)% for the same period.

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses.

Describe the market environment.

As developed markets started recovering from the Omicron Variant, investors’ attention shifted to rising inflation rates, the spike in commodity prices, and the financial and economic implications of the Russian invasion of Ukraine in February 2022. Those concerns dampened investors’ sentiment and market performance over the first quarter.

In response to rising inflation rates, the European Central Bank (“ECB”) announced their plan to end bond purchasing by the end of September 2022. Annual inflation in the eurozone rose from 5.9% in February 2022 to 7.5% in March 2022, fueled by increasing commodity prices. In the U.K., the Bank of England raised the interest rate by 0.5% over the quarter on top of an additional 0.15% raise in December 2021. The U.K. equity market proved more resilient than its developed markets peers, supported by its exposure to energy and materials.

In Japan, the manufacturing sector continued to suffer from supply chain disruption and the semiconductor shortage. The yen weakened and reached a six-year low against the U.S. dollar in March 2022.

Rising inflation and recession fears weighed down on developed markets performance. Global geopolitical tension intensified as the war in Ukraine continued with no sign of resolution. European countries were directly impacted by the reduction in gas supply from Russia and increased gas prices — peaking in the first half of June 2022 and driving inflation higher. Germany announced its energy emergency plan to prioritize industrial users with the allocation of gas supply. Similarly, the U.K. unveiled its new measures to help households facing larger energy bills in the upcoming fall.

Going into the second quarter of 2022, rising inflation and recession fears as a result of the ongoing elevated inflation, the Bank of England (“BoE”) raised the U.K. base rate to 1.25% in June 2022 while the ECB indicated a first-rate hike would likely be in July 2022 along with an end to asset purchase plan early in the third quarter of 2022. In Japan, the Yen weakened against the U.S. dollar breaching the 130 level for the first time in the last two decades as Bank of Japan (“BoJ”) kept its accommodative monetary policy unchanged.

Developed equity markets came under downward pressure over the quarter as recession fears remained elevated. Central banks’ hawkish tone on bringing inflation rates down, despite inherent risk to the growth outlook, weighed down on both equity and bond markets over the quarter. The energy crisis in Europe intensified worries over supply and high costs.

In the Eurozone, recession loomed amid the intensifying energy crisis. This increased geopolitical tension and weakened the euro, which dropped to parity with the U.S. dollar for the first time since the 1980’s. Inflation continued to rise particularly in the form of high gas and electricity prices. The ECB hiked policy rates by 0.75% in September 2022 with an expectation to bring the rates to 2% by year end.

In the U.K., the BoE used further tightening to contain inflation. U.K. markets reacted negatively to the fiscal policy announced by the newly formed government.

The Japanese Yen depreciated over the third quarter as the BoJ kept the policy rate unchanged. The Ministry of Finance intervened in the currency markets for the first time since 1998 which weighed down on investor sentiment and pushed equities into negative territory.

Ongoing concerns about an economic recession, tighter monetary policy, and geopolitical tension remained elevated. Developed markets posted strong positive gains over the fourth quarter on the back of optimism that inflation rates across developed markets had already peaked, and central banks would slow down the pace of tightening. However, in December 2022 central banks reiterated their plans to further tighten their monetary policy in their battle against high inflation rates.

In Europe, easing inflation pressures and the resolution of the fiscal and political turmoil in the U.K. supported the market performance during the fourth quarter. The BoE and the ECB raised interest rates over the quarter to 3.5% and 2.0% respectively.

In Japan, companies reported strong earnings supported by a weakened yen against the U.S. dollar. The BoJ surprised the market by loosening its yield curve control by 25 basis points as it dealt with the highest inflation in over 40 years.

In the fourth quarter of 2022, from a sector perspective within the MSCI EAFE Index, energy (+27.67)%, financials (-4.54)%, and materials (-10.41)% were among the best performers. While real estate (-20.89)%, consumer discretionary (-22.32)%, and information technology (-32.37)% were among the worst performers.

Describe recent portfolio activity.

During the 12-month period, as changes were made to the composition of the MSCI EAFE Index, the Fund purchased and sold securities to maintain its objective of matching the risks and return of the benchmark index.

 

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Fund Summary  as of December 31, 2022 (continued)    iShares MSCI EAFE International Index Fund

 

Describe portfolio positioning at period end.

The Fund remains positioned to match the risk characteristics of the benchmark index, irrespective of the market’s future direction.

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

GROWTH OF $10,000 INVESTMENT

 

LOGO

 

(a) 

Assuming transaction costs and other operating expenses, including administration fees, if any.

(b) 

Prior to August 1, 2016, the Fund invested all of its assets in Master International Index Series, a series of Quantitative Master Series LLC. Master International Index Series invested in a statistically selected sample of equity securities included in the MSCI EAFE Index and in derivative instruments linked to the MSCI EAFE Index. On August 1, 2016, the Fund ceased to invest in the Master International Index Series as part of a “master/feeder” structure and instead began to operate as a stand-alone fund.

(c) 

An equity index which captures large- and mid-cap representation across certain developed markets countries around the world, excluding the United States and Canada. The index covers approximately 85% of the free float adjusted market capitalization in each country.

Performance

 

    Average Annual Total Returns(a)  
 

 

 

  
    1 Year     5 Years     10 Years  
 

 

 

    

 

 

    

 

 

  
    

Without

Sales

Charge

    

With

Sales

Charge

    

Without

Sales

Charge

    

With

Sales

Charge

    

Without

Sales

Charge

    

With

Sales

Charge

  

Institutional

     (14.18 )%      N/A       1.71 %      N/A       4.52 %      N/A  

Investor A

     (14.36 )      N/A       1.46       N/A       4.25       N/A  

Investor P

     (14.36 )      (18.85 )%      1.47       0.38 %      4.27       3.71 % 

Class K

     (14.07 )      N/A       1.79       N/A       4.58       N/A  

 

            

MSCI EAFE Index

     (14.45 )      N/A       1.54       N/A       4.67       N/A  

 

  (a) 

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes.

 

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
(07/01/22)

  

 
 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Beginning

Account Value

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Annualized

Expense

Ratio

  

 

 

Institutional

     $       1,000.00       $        1,059.60       $          0.47       $         1,000.00       $        1,024.75       $          0.46       0.09 % 

Investor A

     1,000.00       1,059.10       1.76       1,000.00       1,023.49       1.73       0.34  

Investor P

     1,000.00       1,059.20       1.76       1,000.00       1,023.49       1.73       0.34  

Class K

     1,000.00       1,060.80       0.16       1,000.00       1,025.05       0.15       0.03  

 

  (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 184/365 (to reflect the one-half year period shown).

 

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

 

F U N D   S U M M A R Y

   11

Fund Summary  as of December 31, 2022 (continued)    iShares MSCI EAFE International Index Fund

 

Portfolio Information

TEN LARGEST HOLDINGS

 

 

   
Security  

Percent of

Net Assets

  

Nestle SA, Registered Shares

     2.2 % 

Novo Nordisk A/S, Class B

     1.6  

ASML Holding NV

     1.5  

Roche Holding AG

     1.5  

AstraZeneca PLC

     1.5  

Shell PLC

     1.4  

LVMH Moet Hennessy Louis Vuitton SE

     1.4  

Novartis AG, Registered Shares

     1.4  

BHP Group Ltd., Class DI

     1.1  

TotalEnergies SE

     1.1  

GEOGRAPHIC ALLOCATION

 

 

   
Country/Geographic Region  

Percent of

Net Assets

  

Japan

     21.7 % 

United Kingdom

     13.6  

France

     11.4  

Switzerland

     10.2  

Australia

     8.8  

Germany

     8.0  

Netherlands

     4.6  

Sweden

     3.0  

Denmark

     2.9  

Hong Kong

     2.8  

Spain

     2.5  

Italy

     1.9  

Singapore

     1.5  

Finland

     1.3  

United States

     1.1  

Ireland

     1.0  

Other

     3.9  

Liabilities in Excess of Other Assets

     (0.2 ) 

 

 

 

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Fund Summary  as of December 31, 2022     iShares Russell 2000 Small-Cap Index Fund

 

Investment Objective

iShares Russell 2000 Small-Cap Index Fund’s (the “Fund”) investment objective is to match the performance of the Russell 2000® Index (the “Underlying Index”) as closely as possible before the deduction of Fund expenses.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended December 31, 2022, the Fund’s Institutional Shares returned (20.39)%, Investor A Shares returned (20.57)%, Investor P Shares returned (20.57)%, and Class K Shares returned (20.32)%. The Russell 2000® Index returned (20.44)% for the same period.

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in Master Small Cap Index Series (the “Series”), a series of Quantitative Master Series LLC.

Describe the market environment.

Geopolitical tension after the Russian invasion of Ukraine in February 2022 fueled existing concerns over rising inflation, interest rate hikes, and rallying commodity prices. On the other hand, economic data in the United States remained strong with robust employment numbers and corporate earnings results. This provided comfort to investors but added to U.S. policy makers challenges. Investors were concerned that the Fed may dampen growth in an effort to get inflation under control.

Commodity prices spiked in the first quarter 2022 and pushed expectations for a higher inflation rate. The Fed hiked the interest rate by 25 basis points and signaled hikes at all six-remaining meetings for the year in efforts to tackle the highest inflation rate in four decades.

Concerns about high inflation, growth outlook and recession fears increased in the United States during the second quarter. While the unemployment rate remained low and wage growth strong, consumer sentiment went down as consumers struggled with higher prices and borrowing costs. The increased expectation of an interest rate hike weighed down on U.S. equity market valuations.

As the Fed continued to grapple with inflation, their messaging evolved over the second quarter 2022. Initially, Chairman Jerome Powel adopted a more hawkish tone stating that they would not hesitate to raise interest rates beyond neutral to achieve its inflation target and would be willing to accept an increase in unemployment rate. But as risks to growth increased over the quarter and recession fears intensified, the number and magnitude of future rate hikes beyond July 2022 remained unclear.

The U.S. equity market rallied in July 2022 on the back of softened tone from the Fed signaling slower rate rise in 2023. However, the Fed’s hawkish tone later in the quarter at the Jackson Hole conference reaffirmed its commitment to fighting inflation. In their battle against the high inflation rate, the U.S. congress passed a new bill which aimed to reduce inflation by curbing the deficit.

U.S. economic data showed a decline in growth over the first two quarters of the year, but other economic data released over the quarter highlighted the resilience of the U.S. economy. The Labor market added 315,000 payroll jobs across the economy generating considerable household income gains.

The U.S. equity market rallied over the fourth quarter, despite tighter monetary policy. It posted positive return in October and November 2022 while contractionary monetary policy targeted a higher inflation rate. The Fed reiterated their plan in December 2022 to continue tightening monetary policy as inflation remained well above target. Market performance dampened in December 2022.

In the fourth quarter of 2022, from a Global Industry Classification Standard sector perspective, energy (+53.31)%, utilities (-1.34)%, and consumer staples (-9.07)% were among the best performers. While consumer discretionary (-30.24)%, information technology (-32.75)%, and communication services (-40.95)% were among the worst performers.

Describe recent portfolio activity.

During the period, as changes were made to the composition of the Russell 2000® Index, the Series purchased and sold securities to maintain its objective of matching the risks and return of the benchmark index.

Describe portfolio positioning at period end.

The Series remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

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

 

F U N D   S U M M A R Y

   13

Fund Summary  as of December 31, 2022 (continued)    iShares Russell 2000 Small-Cap Index Fund

 

GROWTH OF $10,000 INVESTMENT

 

LOGO

 

  (a) 

Assuming transaction costs and other operating expenses, including administration fees, if any.

 
  (b) 

The Fund invests all of its assets in the Series. The Series may invest in a statistically selected sample of the stocks included in the Underlying Index and in derivative instruments linked to the Underlying Index.

 
  (c) 

An index that measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.

 

Performance

 

    Average Annual Total Returns(a)  
 

 

 

  
    1 Year     5 Years     10 Years  
 

 

 

    

 

 

    

 

 

  
    

Without

Sales

Charge

    

With

Sales

Charge

    

Without

Sales

Charge

    

With

Sales

Charge

    

Without

Sales

Charge

    

With

Sales

Charge

  

Institutional

     (20.39 )%      N/A       4.14 %      N/A       9.02 %      N/A  

Investor A

     (20.57 )      N/A       3.87       N/A       8.75       N/A  

Investor P

     (20.57 )      (24.74 )%      3.88       2.76 %      8.75       8.17 % 

Class K

     (20.32 )      N/A       4.19       N/A       9.08       N/A  

 

            

Russell 2000® Index

     (20.44 )      N/A       4.13       N/A       9.01       N/A  

 

  (a) 

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes.

 

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

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Beginning

Account Value

(07/01/22)

  

 

 

    

 Ending

Account Value

(12/31/22)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Annualized

Expense

Ratio

  

 

 

Institutional

     $       1,000.00       $        1,039.40       $          0.62       $       1,000.00       $        1,024.60       $          0.61       0.12 % 

Investor A

     1,000.00       1,037.80       1.90       1,000.00       1,023.34       1.89       0.37  

Investor P

     1,000.00       1,038.30       1.90       1,000.00       1,023.34       1.89       0.37  

Class K

     1,000.00       1,039.80       0.36       1,000.00       1,024.85       0.36       0.07  

 

  (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 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

 

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

 

14  

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About Fund Performance

 

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

On November 19, 2018, the iShares Municipal Bond Index Fund acquired all of the assets and assumed certain stated liabilities, of the State Farm Tax Advantaged Bond Fund (the “Predecessor Fund”), a series of State Farm Mutual Fund Trust, in a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. Accordingly, information provided herein for periods prior to the Reorganization is that of the Predecessor Fund. See Note 1 of the Notes to Financial Statements for additional information regarding the Reorganization.

Institutional and Class K Shares performance of iShares Municipal Bond Index Fund shown prior to the Institutional and Class K Shares inception date of November 19, 2018 is that of Investor A Shares, which reflect the performance of Premier Shares of the Predecessor Fund. The performance of iShares Municipal Bond Index Fund’s Institutional and Class K Shares would be substantially similar to Investor A Shares because Institutional Shares, Class K Shares and Investor A Shares invest in the same portfolio of securities and performance would only differ to the extent that Institutional Shares, Class K Shares and Investor A Shares have different expenses. The actual returns of Institutional and Class K Shares would have been higher than those of the Investor A Shares because Institutional and Class K Shares have lower expenses than the Investor A Shares.

Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries. Investor A Shares performance of iShares Municipal Bond Index Fund shown prior to the Reorganization is that of the Premier Shares of the Predecessor Fund.

Investor P Shares (available in iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund) are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). These shares are only available to investors purchasing shares through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund’s distributor to offer such shares. Investor P Share performance of iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund shown prior to the Investor P Shares inception date of August 6, 2018 is that of Institutional Shares (which have no distribution or service fees) and was restated to reflect Investor P Shares fees.

Investor P Shares (available in iShares Municipal Bond Index Fund) are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are only available to investors purchasing shares through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with the Fund’s distributor to offer such shares. Investor P Shares performance shown prior to the Reorganization is that of the Premier Shares of the Predecessor Fund.

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each 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 Fund Advisors, the investment adviser of iShares Municipal Bond Index Fund and BlackRock Advisors, LLC, the investment adviser of iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund (the “Manager”), each has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waiver(s) and/or reimbursement(s), each Fund’s performance would have been lower. With respect to each Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

 

A B O U T   F U N D   P E R F O R M A N C E

   15

Disclosure of Expenses

 

Shareholders of each Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. 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 Fund and share class under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds 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 Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

16  

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Schedule of Investments  

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Municipal Bonds

 

Alabama — 0.1%

    
State — 0.1%            

Alabama Public School and College Authority, Refunding RB, Series A, 4.00%, 11/01/38

   $ 395     $ 393,650  
   

 

 

  

Arizona — 0.2%

    
County/City/Special District/School District — 0.2%  

City of Phoenix Arizona, Refunding GO, 5.00%, 07/01/24.

     650       672,138  
   

 

 

  
California — 21.0%            
County/City/Special District/School District — 4.2%  

Contra Costa Community College District, GO, Series A, 4.00%, 08/01/39

     1,000       1,000,034  

El Camino Community College District Foundation, GO, CAB, Series C, 0.00%, 08/01/38(a)

     680       365,327  

Fremont Union High School District, Refunding GO, Series A, 5.00%, 08/01/44

     1,350       1,440,336  

Los Angeles Community College District, Refunding GO, Series A, 5.00%, 08/01/24(b)

     1,000       1,037,536  

Los Angeles County Facilities, Inc., RB, Series A, 4.00%, 12/01/48

     1,000       956,039  

Los Angeles Unified School District, GO, Series B-1, 5.00%, 07/01/33

     1,500       1,654,655  

Poway Unified School District, Refunding GO, Series B, 0.00%, 08/01/46(a)

     995       310,862  

Sacramento City Financing Authority, Refunding RB, Series E, (AMBAC), 5.25%, 12/01/30

     250       287,190  

San Diego Community College District, Refunding GO, 4.00%, 08/01/26(b)

     500       525,077  

San Diego Unified School District, GO

    

Series I, 5.00%, 07/01/41

     1,000       1,060,493  

Series L, 4.00%, 07/01/49

     1,000       944,671  

Series I, Election 2012, 5.00%, 07/01/47

     2,075       2,183,565  

San Massachusettsrcos Unified School District, GO, CAB, Series B, 0.00%, 08/01/51(a)

     350       91,578  
   

 

 

  
          11,857,363  
Education — 2.4%            

California Educational Facilities Authority, RB

    

Series U-6, 5.00%, 05/01/45

     1,260       1,446,986  

Series U-7, 5.00%, 06/01/46

     495       566,505  

California State University, Refunding RB

    

Series A, 4.00%, 11/01/35

     500       510,100  

Series A, 4.00%, 11/01/38

     500       501,706  

Series A, 5.00%, 11/01/43

     540       560,432  

Series A, 5.00%, 11/01/48

     1,030       1,091,101  

Lodi Unified School District, GO, Series 2022, 3.00%, 08/01/43

     975       774,209  

University of California, Refunding RB

    

Series AR, 5.00%, 05/15/41

     605       633,897  

Series AY, 5.00%, 05/15/32

     500       549,120  
   

 

 

  
      6,634,056  
Health — 0.4%            

California Health Facilities Financing Authority, Refunding RB, Class A, 5.00%, 08/15/51

     1,000       1,062,667  
   

 

 

  
State — 5.2%            

California State Public Works Board, RB

    

Series A, 5.00%, 03/01/38

     1,000       1,002,703  

Series C, 5.00%, 08/01/30

     1,000       1,167,247  
Security  

Par

(000)

     Value  

State (continued)

    

California State Public Works Board, Refunding RB

    

Series B, 5.00%, 10/01/26

   $ 250     $ 272,047  

Series C, 5.00%, 11/01/34

     685       739,579  

State of California, GO, 5.00%, 03/01/45

     1,000       1,032,363  

State of California, Refunding GO

    

5.00%, 12/01/23(b)

     500       506,457  

5.00%, 10/01/24

     475       493,740  

5.00%, 10/01/25

     1,000       1,065,859  

5.00%, 08/01/26

     540       573,266  

5.00%, 08/01/27

     1,000       1,084,263  

5.00%, 08/01/31

     1,000       1,079,548  

5.00%, 09/01/31

     565       610,868  

4.00%, 09/01/32

     250       258,726  

5.00%, 04/01/35

     1,000       1,154,621  

4.00%, 09/01/35

     1,000       1,021,797  

3.00%, 10/01/37

     825       725,077  

5.00%, 02/01/38

     1,000       1,001,533  

3.00%, 04/01/52

     1,000       743,927  
   

 

 

  
          14,533,621  
Tobacco — 0.9%            

Golden State Tobacco Securitization Corp., Refunding RB, Series A, (SAP), 5.00%, 06/01/25(b)

     2,400       2,539,766  
   

 

 

  
Transportation — 3.0%            

Bay Area Toll Authority, RB, Series F-1, 4.00%, 04/01/56

     1,000       947,410  

Bay Area Toll Authority, Refunding RB, 4.00%, 04/01/38

     500       502,264  

City of Long Beach California Harbor Revenue, Refunding ARB, Series C, 5.00%, 05/15/47

     500       526,689  

City of Los Angeles Department of Airports, ARB, Sub-Series B, 5.00%, 05/15/42

     1,500       1,571,020  

City of Los Angeles Department of Airports, Refunding ARB

    

AMT, 3.00%, 05/15/31

     1,210       966,488  

AMT, 3.00%, 11/15/31(b)

     55       55,632  

Foothill-Eastern Transportation Corridor Agency, RB, Series A, Senior Lien, 4.00%, 01/15/46

     1,000       923,373  

Foothill-Eastern Transportation Corridor Agency, Refunding RB, CAB(a)

    

Series A, (AGM), 0.00%, 01/15/36

     500       296,103  

Series A, (AGM), 0.00%, 01/15/37

     1,000       556,484  

Riverside County Transportation Commission, Refunding RB, Series B-1, Senior Lien, 4.00%, 06/01/37

     1,154       1,136,396  

San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB, Series A, AMT, 4.00%, 05/01/49

     1,000       868,068  
   

 

 

  
      8,349,927  
Utilities — 4.9%            

City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, 5.00%, 11/01/35

     1,305       1,396,654  

East Bay Municipal Utility District Water System Revenue, Refunding RB

    

Series B, 5.00%, 06/01/33

     1,435       1,579,460  

Series B-2, 5.00%, 06/01/34

     1,000       1,220,169  

Los Angeles Department of Water & Power, RB, Series D, 5.00%, 07/01/44

     1,500       1,532,730  

Los Angeles Department of Water & Power, Refunding RB

    

Series A, 5.00%, 07/01/30

     1,500       1,573,412  

Series A, 5.00%, 07/01/37

     1,000       1,080,449  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   17

Schedule of Investments  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Utilities (continued)

    

Sacramento Municipal Utility District, RB, Series A, 5.00%, 08/15/41

   $ 575     $ 581,072  

San Diego County Water Authority, RB, Series A, 5.00%, 05/01/47

     1,550       1,712,228  

San Diego Public Facilities Financing Authority, Refunding RB, Series A, Subordinate, 5.00%, 08/01/43

     500       538,778  

San Francisco City & County Public Utilities Commission Wastewater Revenue, Refunding RB, Series B, 4.00%, 10/01/42

     1,500       1,479,375  

State of California Department of Water Resources, Refunding RB, Series AW, 5.00%, 12/01/26(b)

     1,000       1,089,572  
   

 

 

  
      13,783,899  
   

 

 

  

Total Municipal Bonds in California

       58,761,299  

Colorado — 3.2%

    
County/City/Special District/School District — 0.5%  

City & County of Denver Colorado Dedicated Excise Tax Revenue, Refunding RB, Series A, 4.00%, 08/01/46

     1,500       1,437,606  
   

 

 

  
Health — 0.4%            

Colorado Health Facilities Authority, Refunding RB, Series A, 5.00%, 08/01/44

     1,000       1,001,772  
   

 

 

  
State — 0.2%            

State of Colorado, COP, Series N, 4.00%, 03/15/43

     500       477,558  
   

 

 

  
Transportation — 1.7%            

City & County of Denver Colorado Airport System Revenue, Refunding ARB

    

Series A, AMT, 5.00%, 12/01/35

     1,000       1,048,415  

Series D, AMT, 5.50%, 11/15/29

     3,000       3,356,773  

E-470 Public Highway Authority, Refunding RB, Series A, 5.00%, 09/01/40

     400       401,753  
   

 

 

  
      4,806,941  
Utilities — 0.4%            

Board of Water Commissioners City & County of Denver, RB, Series A, 4.00%, 12/15/26

     1,230       1,231,242  
   

 

 

  

Total Municipal Bonds in Colorado

       8,955,119  
   

 

 

  
Connecticut — 2.5%            
Health — 0.4%            

Connecticut State Health & Educational Facilities Authority, Refunding RB, 5.00%, 12/01/45

     1,000           1,014,670  
   

 

 

  
State — 2.1%            

State of Connecticut Special Tax Revenue, RB

    

Series A, 5.00%, 09/01/24

     400       414,820  

Series A, 5.00%, 10/01/29

     725       736,532  

Series A, 4.00%, 05/01/36

     1,000       1,017,906  

Series A, 4.00%, 09/01/36

     430       433,627  

Series A, 4.00%, 05/01/39

     500       491,238  

State of Connecticut, GO

    

Series A, 5.00%, 10/15/23

     850       863,765  

Series A, 5.00%, 10/15/27

     400       407,257  

Series B, 5.00%, 06/15/28

     400       421,891  
Security  

Par

(000)

     Value  

State (continued)

    

State of Connecticut, GO (continued) Series B, 4.00%, 06/15/33

   $ 850     $ 865,101  

State of Connecticut, Refunding GO, Series B, 5.00%, 05/15/25

     250       263,276  
   

 

 

  
      5,915,413  
   

 

 

  

Total Municipal Bonds in Connecticut

       6,930,083  
District of Columbia — 2.1%  
State — 0.5%            

District of Columbia, GO

    

Series D, 5.00%, 06/01/26

     500       539,521  

Series D, 4.00%, 06/01/34

     1,000       1,033,479  
   

 

 

  
      1,573,000  
Transportation — 1.0%            

Metropolitan Washington Airports Authority Aviation Revenue, Refunding ARB, Series A, AMT, 4.00%, 10/01/51

     1,500       1,291,381  

Washington Metropolitan Area Transit Authority Dedicated Revenue, RB, Series A, 4.00%, 07/15/45

     1,500       1,414,890  
   

 

 

  
      2,706,271  
Utilities — 0.6%            

District of Columbia Water & Sewer Authority, Refunding RB, Sub-Series A, 5.00%, 10/01/45

     1,510       1,580,800  
   

 

 

  

Total Municipal Bonds in District of Columbia

       5,860,071  
   

 

 

  
Florida — 2.8%            
County/City/Special District/School District — 0.7%  

County of Miami-Dade Florida Transit System, RB, Series A, 4.00%, 07/01/50

     1,500       1,358,578  

School Board of Miami-Dade County, Refunding COP, Series D, 5.00%, 02/01/27

     500       531,110  
   

 

 

  
      1,889,688  
Health — 0.3%            

City of Tampa Florida, RB, 5.00%, 07/01/50

     1,000       1,009,267  
   

 

 

  
State — 0.4%            

State of Florida, Refunding GO, Series A, 5.00%, 07/01/25

     1,000       1,057,379  
   

 

 

  
Transportation — 1.4%            

Central Florida Expressway Authority, Refunding RB, Series B, Senior Lien, 5.00%, 07/01/33

     1,000       1,060,611  

Greater Orlando Aviation Authority, ARB, Series A, AMT, 5.00%, 10/01/54

     850       861,867  

Miami-Dade County Expressway Authority, Refunding RB, Series B, 5.00%, 07/01/25

     1,000       1,026,515  

State of Florida Department of Transportation Turnpike System Revenue, RB, Series A, 4.00%, 07/01/48

     1,000       949,694  
   

 

 

  
      3,898,687  
   

 

 

  

Total Municipal Bonds in Florida

       7,855,021  
Georgia — 2.7%            
County/City/Special District/School District — 0.9%  

Gwinnett County School District, GO, 5.00%, 02/01/40

     1,400       1,527,948  

Metropolitan Atlanta Rapid Transit Authority, Refunding RB, Series B, 5.00%, 07/01/35

     1,000       1,062,994  
   

 

 

  
          2,590,942  
 

 

 

18  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

State — 0.9%

    

State of Georgia, GO, Series A, 5.00%, 02/01/29

   $ 650     $ 697,067  

State of Georgia, Refunding GO, Series C, 5.00%, 07/01/28

     1,710       1,886,413  
   

 

 

  
      2,583,480  
Transportation — 0.7%            

City of Atlanta Georgia Department of Aviation, Refunding RB, Series A, 5.00%, 07/01/29

     1,000       1,136,122  

Georgia Ports Authority, ARB, 5.25%, 07/01/52

     750       832,554  
   

 

 

  
      1,968,676  
Utilities — 0.2%            

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 05/01/25(b)

     500       525,860  
   

 

 

  

Total Municipal Bonds in Georgia

       7,668,958  
   

 

 

  
Illinois — 4.5%            
County/City/Special District/School District — 0.1%  

City of Chicago Illinois, Refunding GO, Series A, 5.50%, 01/01/39

     150       157,505  
   

 

 

  
Health — 0.3%            

Illinois Finance Authority, Refunding RB, 5.00%, 12/01/40

     1,000       988,809  
   

 

 

  
State — 1.9%            

Metropolitan Pier & Exposition Authority, Refunding RB, Class B, (AGM), 0.00%, 06/15/46(a)

     1,105       347,132  

State of Illinois, GO

    

5.00%, 05/01/39

     1,500       1,488,329  

Series C, 5.00%, 11/01/29

     1,000       1,024,457  

Series D, 5.00%, 11/01/24

     1,000       1,018,965  

Series D, 5.00%, 11/01/26

     500       515,396  

State of Illinois, Refunding GO

    

Series A, 5.00%, 10/01/25

     500       512,309  

Series A, 5.00%, 10/01/28

     500       516,836  
   

 

 

  
      5,423,424  
Transportation — 1.8%            

Chicago O’Hare International Airport, ARB, Series E, Senior Lien, 5.00%, 01/01/24

     410       418,198  

Chicago O’Hare International Airport, Refunding ARB

    

Series B, Senior Lien, 4.00%, 01/01/44

     1,000       938,058  

Series B, Senior Lien, 5.00%, 01/01/48

     1,000       1,021,141  

Chicago Transit Authority Capital Grant Receipts Revenue, Refunding RB, 5.00%, 06/01/28

     190       204,276  

Illinois State Toll Highway Authority, RB

    

Series A, 4.00%, 01/01/46

     1,000       935,078  

Series B, 5.00%, 01/01/41

     1,000       1,026,000  

Illinois State Toll Highway Authority, Refunding RB

    

Series A, 5.00%, 01/01/25

     100       104,286  

Series A, 5.00%, 01/01/30

     250       279,941  
   

 

 

  
      4,926,978  
Utilities — 0.4%            

Illinois Finance Authority, RB, 5.00%, 07/01/36

     1,085       1,218,058  
   

 

 

  

Total Municipal Bonds in Illinois

           12,714,774  
   

 

 

  
Security   Par
(000)		     Value  

Indiana — 0.0%

    
State — 0.0%            

Indiana Finance Authority, Refunding RB, Series C, 5.00%, 12/01/24

   $ 100     $ 104,368  
   

 

 

  
Kansas — 0.8%            
County/City/Special District/School District — 0.1%  

University of Kansas Hospital Authority, Refunding RB, Series A, 5.00%, 03/01/27(b)

     155       169,266  
   

 

 

  
Health — 0.1%            

University of Kansas Hospital Authority, Refunding RB, Series A, 5.00%, 03/01/47

     425       432,402  
   

 

 

  
Transportation — 0.6%            

State of Kansas Department of Transportation, RB

    

5.00%, 09/01/27

     1,000       1,060,318  

5.00%, 09/01/34

     500       525,161  
   

 

 

  
      1,585,479  
   

 

 

  

Total Municipal Bonds in Kansas

       2,187,147  

Maryland — 2.2%

    
State — 1.8%            

State of Maryland, GO

    

5.00%, 06/01/33

     1,500       1,784,997  

Series A, 5.00%, 03/15/28

     450       503,022  

Series A, 5.00%, 03/15/30

     1,000       1,158,350  

Series A, 5.00%, 03/15/31

     400       438,132  

State of Maryland, Refunding GO, Series B, 5.00%, 08/01/25

     1,000       1,059,887  
   

 

 

  
      4,944,388  
Transportation — 0.4%            

State of Maryland Department of Transportation, ARB

    

4.00%, 12/15/28

     405       409,902  

4.00%, 11/01/29

     695       710,682  
   

 

 

  
      1,120,584  
   

 

 

  

Total Municipal Bonds in Maryland

       6,064,972  
Massachusetts — 3.2%            
Education — 0.8%            

Massachusetts Development Finance Agency, RB, Series P, 5.00%, 07/01/50

     500       571,008  

Massachusetts Development Finance Agency, Refunding RB, Series A, 5.00%, 07/15/40

     1,000       1,151,764  

University of Massachusetts Building Authority, Refunding RB, Series 1, 5.00%, 11/01/24(b)

     400       416,330  
   

 

 

  
      2,139,102  
Health — 0.4%            

Massachusetts Development Finance Agency, Refunding RB, 5.00%, 07/01/34

     1,000       1,079,115  
   

 

 

  
State — 2.0%            

Commonwealth of Massachusetts, GO

    

5.00%, 11/01/31

     1,000           1,182,751  

Series A, 5.00%, 03/01/26

     725       778,522  

Series B, 3.00%, 02/01/48

     1,000       748,009  

Series E, 4.00%, 04/01/46

     530       504,521  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   19

Schedule of Investments  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

State (continued)

    

Commonwealth of Massachusetts, GO (continued)

    

Series F, 5.00%, 11/01/42

   $   1,000     $ 1,055,064  

Series G, 4.00%, 09/01/32

     1,325       1,374,532  
   

 

 

  
      5,643,399  
   

 

 

  

Total Municipal Bonds in Massachusetts

       8,861,616  

Michigan — 1.3%

    
Education — 0.2%            

University of Michigan, Refunding RB, 5.00%, 04/01/26(b)

     585       628,512  
   

 

 

  
Health — 0.4%            

Michigan Finance Authority, Refunding RB, Series A, 5.00%, 12/01/41

     1,000       1,043,745  
   

 

 

  
State — 0.7%            

Michigan State Building Authority, Refunding RB, Series I, 3.00%, 10/15/51

     1,000       750,667  

State of Michiganchigan Trunk Line Revenue, RB, BAB, Series B, 5.00%, 11/15/45

     1,000       1,103,795  
   

 

 

  
      1,854,462  
   

 

 

  

Total Municipal Bonds in Michigan

       3,526,719  

Minnesota — 0.4%

    
Health — 0.4%            

City of Rochester Minnesota, Refunding RB, 5.00%, 11/15/57

     1,000       1,071,173  
   

 

 

  
Missouri — 0.4%            
Utilities — 0.4%            

Metropolitan St Louis Sewer District, Refunding RB

    

Series B, 5.00%, 05/01/25(b)

     330       346,305  

Series B, 5.00%, 05/01/45

     705       734,172  
   

 

 

  

Total Municipal Bonds in Missouri

       1,080,477  

New Jersey — 5.6%

    
Health — 0.3%            

New Jersey Health Care Facilities Financing Authority, RB, 4.00%, 07/01/51

     1,000       897,376  
   

 

 

  
State — 2.5%            

New Jersey Economic Development Authority, RB, Series EEE, 5.00%, 06/15/48

     1,000           1,010,610  

New Jersey Economic Development Authority, Refunding RB

    

Series NN, 5.00%, 03/01/23(b)

     1,000       1,002,896  

Series NN, 5.00%, 03/01/25

     500       501,382  

New Jersey Transportation Trust Fund Authority, RB, Series S, 5.00%, 06/15/46

     500       506,661  

New Jersey Transportation Trust Fund Authority, RB, CAB, Series A, 0.00%, 12/15/38(a)

     530       243,804  

New Jersey Transportation Trust Fund Authority, Refunding RB, Series A, 5.00%, 12/15/36

     1,000       1,047,614  

State of New Jersey, GO

    

Series A, 5.00%, 06/01/29

     1,000       1,130,143  

Series A, 4.00%, 06/01/31

     1,500       1,592,458  
   

 

 

  
      7,035,568  
Transportation — 2.8%            

New Jersey Transportation Trust Fund Authority, RB

    

Series A, 0.00%, 12/15/25(a)

     100       90,036  

Series AA, 5.00%, 06/15/25

     150       153,766  

Series AA, 4.75%, 06/15/38

     280       281,218  
Security  

Par

(000)

     Value  

Transportation (continued)

    

New Jersey Transportation Trust Fund Authority, RB (continued)

    

Series AA, 3.00%, 06/15/50

   $   1,000     $ 702,495  

New Jersey Transportation Trust Fund Authority, RB, CAB(a)

    

Series A, 0.00%, 12/15/32

     250       164,448  

Series A, 0.00%, 12/15/35

     3,075       1,703,638  

New Jersey Transportation Trust Fund Authority, Refunding RB

    

Series A, 4.00%, 12/15/31

     1,000       1,016,557  

Series D, 5.00%, 12/15/24

     250       258,808  

New Jersey Turnpike Authority, RB, Series A, 5.00%, 01/01/34

     1,000       1,028,803  

New Jersey Turnpike Authority, Refunding RB

    

Series E, 5.00%, 01/01/29

     1,000       1,103,986  

Series E, 5.00%, 01/01/32

     1,100       1,210,455  
   

 

 

  
      7,714,210  
   

 

 

  

Total Municipal Bonds in New Jersey

       15,647,154  

New York — 24.1%

    
County/City/Special District/School District — 5.8%  

City of New York, GO

    

Series B-1, 5.00%, 12/01/41

     1,390       1,455,379  

Series D, 5.00%, 12/01/35

     500       543,621  

Series D, 4.00%, 12/01/41

     1,000       961,112  

Series F-1, 5.00%, 03/01/43

     1,000       1,061,252  

Series F-1, 5.00%, 03/01/50

     1,000       1,053,245  

City of New York, Refunding GO, Series I, 5.00%, 08/01/26

     165       165,258  

Hudson Yards Infrastructure Corp., Refunding RB, Series A, 5.00%, 02/15/42

     910       959,314  

Nassau County Interim Finance Authority, Refunding RB, Series A, 4.00%, 11/15/34

     310       336,519  

New York City Industrial Development Agency, Refunding RB, (AGM), 4.00%, 03/01/45

     300       279,188  

New York City Transitional Finance Authority Future Tax Secured Revenue, RB

    

5.00%, 05/01/37

     1,000       1,053,974  

Series A-1, 5.00%, 08/01/36

     500       541,844  

Series A-1, 5.00%, 08/01/42

     1,000       1,058,675  

Series C-1, 5.00%, 02/01/32

     2,285       2,690,963  

Sub-Series I, 5.00%, 05/01/42

     1,620       1,624,116  

New York City Transitional Finance Authority Future Tax Secured Revenue, Refunding RB, Series B-1, 5.00%, 11/01/30

     1,400       1,629,096  

New York State Thruway Authority, Refunding RB, Series A-3, 4.00%, 03/15/56

     1,000       911,912  
   

 

 

  
          16,325,468  
Education — 1.4%            

New York State Dormitory Authority, RB

    

5.00%, 10/01/45

     1,500       1,712,978  

Series A, 4.00%, 07/01/41

     1,000       965,508  

Series A, 5.00%, 10/01/48

     1,000       1,140,099  
   

 

 

  
      3,818,585  
State — 7.3%            

New York City Transitional Finance Authority Building Aid Revenue, RB, Series S-1, Subordinate, (SAW), 5.00%, 07/15/31

     1,000       1,039,504  
 

 

 

20  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

State (continued)

    

New York City Transitional Finance Authority Building Aid Revenue, Refunding RB, Series -2A, Subordinate, (SAW), 4.00%, 07/15/36

   $   1,455     $ 1,460,830  

New York State Dormitory Authority, RB, Series A, 5.00%, 03/15/35

     740       805,100  

New York State Dormitory Authority, Refunding RB

    

Series A, 5.00%, 03/15/24(c)

     600       615,401  

Series A, 5.00%, 03/15/27

     1,000       1,093,670  

Series A, 5.00%, 03/15/28

     250       278,555  

Series A, 4.00%, 03/15/43

     500       476,097  

Series A, 3.00%, 03/15/51

     2,000       1,493,936  

Series D, 4.00%, 02/15/47

     1,000       934,649  

Series E, 5.00%, 03/15/27(c)

     500       547,674  

Series E, 5.00%, 09/15/28(b)

     5       5,616  

Series E, 5.00%, 03/15/29

     995       1,121,358  

Series E, 4.00%, 03/15/39

     1,000       974,775  

Series E, 3.00%, 03/15/41

     1,500       1,229,763  

New York State Thruway Authority, Refunding RB, Series A-1, 4.00%, 03/15/44

     2,460       2,325,985  

New York State Urban Development Corp., RB, Series A, 4.00%, 03/15/49

     1,000       915,303  

New York State Urban Development Corp., Refunding RB

    

Series A, 5.00%, 03/15/24

     1,000       1,025,748  

Series A, 5.00%, 03/15/27(c)

     600       655,959  

Series A, 5.00%, 03/15/39

     1,000       1,079,760  

Series E, 3.00%, 03/15/47

     715       551,863  

Series E, 3.00%, 03/15/50

     1,130       852,155  

Sales Tax Asset Receivable Corp., Refunding RB, Series A, 5.00%, 10/15/24(b)

     1,000       1,038,719  
   

 

 

  
      20,522,420  
Transportation — 5.2%            

Metropolitan Transportation Authority, RB

    

Series A, 4.00%, 11/15/48

     500       411,732  

Series D1, 5.00%, 11/15/44

     300       290,395  

Metropolitan Transportation Authority, Refunding RB

    

Series B, 5.00%, 11/15/37

     1,075       1,091,704  

Series B-1, 5.00%, 11/15/47

     1,000       1,038,380  

Series D, 5.00%, 11/15/25

     1,235       1,235,509  

Series D-1, 5.00%, 11/15/34(d)

     1,000       1,024,822  

Sub-Series C-1, 5.00%, 11/15/34

     1,000       1,020,572  

New York State Thruway Authority, Refunding RB, Series B, Subordinate, 4.00%, 01/01/50

     1,000       907,969  

Port Authority of New York & New Jersey, Refunding ARB

    

179th Series, 5.00%, 12/01/32

     1,000       1,018,472  

194th Series, 5.00%, 10/15/34

     1,395       1,465,206  

194th Series, 5.00%, 10/15/41

     835       868,198  

Triborough Bridge & Tunnel Authority, RB, Series A, 4.00%, 11/15/42

     1,000       945,964  

Triborough Bridge & Tunnel Authority, Refunding RB

    

Series A, 5.00%, 11/15/31

     1,000       1,068,719  

Series A, 5.00%, 11/15/40

     600       619,043  

Series B, 5.00%, 11/15/38

     1,000       1,061,880  

Senior Lien, 5.00%, 11/15/28

     415       467,500  
   

 

 

  
          14,536,065  
Security   Par
(000)		     Value  

Utilities — 4.4%

    

New York City Municipal Water Finance Authority, RB

    

Series CC-1, 5.00%, 06/15/48

   $   1,000     $ 1,037,367  

Series DD-1, 4.00%, 06/15/49

     1,000       927,979  

New York City Municipal Water Finance Authority, Refunding RB

    

Series DD, 5.00%, 06/15/35

     2,500       2,556,941  

Series DD, 5.00%, 06/15/39

     420       428,432  

Series EE, 5.00%, 06/15/36

     1,000       1,054,456  

New York Power Authority, RB, (AGM), 4.00%, 11/15/52

     1,000       934,397  

New York Power Authority, Refunding RB, Series A, 4.00%, 11/15/50

     1,000       919,373  

New York State Environmental Facilities Corp., Refunding RB, Series A, Subordinate, 4.00%, 06/15/46

     1,475       1,442,057  

Utility Debt Securitization Authority, Refunding RB

    

Series TE, Restructured, 5.00%, 12/15/34

     1,000       1,017,672  

Series TE, Restructured, 5.00%, 12/15/41

     2,000       2,030,279  
   

 

 

  
      12,348,953  
   

 

 

  

Total Municipal Bonds in New York

           67,551,491  

North Carolina(a) — 0.2%

    
Transportation — 0.2%            

North Carolina Turnpike Authority, RB, Series B, (AGC), 0.00%, 01/01/34

     500       318,660  

North Carolina Turnpike Authority, RB, CAB, 0.00%, 01/01/49

     1,000       293,186  
   

 

 

  

Total Municipal Bonds in North Carolina

       611,846  
   

 

 

  

Ohio — 1.8%

    
State — 0.2%            

State of Ohio, Refunding GO, Series B, 5.00%, 09/15/25 .

     510       541,648  
   

 

 

  
Transportation — 0.4%            

Ohio Turnpike & Infrastructure Commission, RB, Series A, 5.00%, 02/15/46

     1,000       1,075,856  
   

 

 

  
Utilities — 1.2%            

American Municipal Power, Inc., Refunding RB, 5.00%, 02/15/33

     1,000       1,126,276  

Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series A, 5.00%, 12/01/28

     2,000       2,204,028  
   

 

 

  
      3,330,304  
   

 

 

  

Total Municipal Bonds in Ohio

       4,947,808  

Oregon — 0.3%

    
State — 0.3%            

State of Oregon Department of Transportation, Refunding RB, Series A, Subordinate, 4.00%, 11/15/42

     1,000       985,285  
   

 

 

  

Pennsylvania — 3.7%

    
Health — 0.7%            

Geisinger Authority, Refunding RB, 5.00%, 04/01/50

     1,000       1,024,891  

Pennsylvania Higher Educational Facilities Authority, RB, 5.00%, 08/15/49

     1,000       1,037,740  
   

 

 

  
      2,062,631  
State — 1.8%            

Commonwealth of Pennsylvania, GO 5.00%, 10/01/31

     1,000       1,154,493  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   21

Schedule of Investments  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

State (continued)

    

Commonwealth of Pennsylvania, GO (continued)

    

1st Series, 5.00%, 03/15/29

   $   1,000     $ 1,046,353  

2nd Series, 5.00%, 10/15/26

     685       696,413  

Commonwealth of Pennsylvania, Refunding GO, 1st Series, 5.00%, 01/01/28

     1,105       1,197,833  

Pennsylvania Economic Development Financing Authority, RB, AMT, 5.00%, 12/31/38

     1,000       1,000,657  
   

 

 

  
      5,095,749  
Transportation — 1.2%            

Delaware River Port Authority, ARB, Series A, 5.00%, 01/01/39

     125       133,966  

Delaware River Port Authority, Refunding RB, Series B, 5.00%, 01/01/26

     250       266,566  

Pennsylvania Turnpike Commission, RB

    

Series A-1, 5.00%, 12/01/47

     1,000       1,033,583  

Series C, 5.00%, 12/01/23(b)

     760       773,215  

Series C, 5.00%, 12/01/43

     240       241,881  

Series A, Subordinate, 4.00%, 12/01/46

     425       391,221  

Series A, Subordinate, 4.00%, 12/01/50

     480       428,541  
   

 

 

  
      3,268,973  
   

 

 

  

Total Municipal Bonds in Pennsylvania

           10,427,353  

South Carolina — 0.4%

    
Utilities — 0.4%            

South Carolina Public Service Authority, Refunding RB

    

Series A, 4.00%, 12/01/40

     750       697,264  

Series B, 5.00%, 12/01/51

     305       307,003  
   

 

 

  

Total Municipal Bonds in South Carolina

       1,004,267  

Tennessee — 0.3%

    
Transportation — 0.3%            

Metropolitan Nashville Airport Authority, ARB, Series A, 5.00%, 07/01/45

     900       911,141  
   

 

 

  

Texas — 9.0%

    
County/City/Special District/School District — 1.8%  

Carrollton-Farmers Branch Independent School District, GO, Series A, (PSF), 4.00%, 02/15/23(b)

     445       445,471  

County of Williamson Texax, GO, 4.00%, 02/15/26

     1,000       1,039,436  

Cypress-Fairbanks Independent School District, Refunding GO, Series C, (PSF), 5.00%, 02/15/44

     500       509,380  

Dallas Area Rapid Transit, Refunding RB

    

Series A, 5.00%, 12/01/23

     800       814,200  

Series B, Senior Lien, 4.00%, 12/01/51

     1,780       1,670,346  

Lewisville Independent School District, Refunding GO, Series B, 5.00%, 08/15/28

     570       602,007  
   

 

 

  
      5,080,840  
Education — 0.2%            

Board of Regents of the University of Texas System, RB, Series E, 5.00%, 08/15/27

     400       442,206  
   

 

 

  
Health — 0.4%            

Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Series A, 5.00%, 11/15/45

     1,000       1,025,772  
   

 

 

  
Security  

Par

(000)

     Value  

State — 0.7%

    

State of Texas, Refunding GO

    

5.00%, 04/01/24(b)

   $   1,000     $ 1,026,776  

Series A, 5.00%, 10/01/36

     1,000       1,044,855  
   

 

 

  
      2,071,631  
Transportation — 4.2%            

Central Texas Regional Mobility Authority, RB

    

Series C, 5.00%, 01/01/27

     1,000       1,049,912  

Series A, Senior Lien, 5.00%, 07/01/25(b)

     1,000       1,056,883  

Central Texas Turnpike System, RB

    

Series A, (AMBAC), 0.00%, 08/15/30(a)

     270       206,429  

Series C, 5.00%, 08/15/37

     1,000       1,002,689  

Dallas Fort Worth International Airport, Refunding RB, Series A, 4.00%, 11/01/34

     1,250       1,281,354  

Grand Parkway Transportation Corp., RB, Series A, 5.00%, 10/01/35

     695       751,385  

Grand Parkway Transportation Corp., Refunding RB, 4.00%, 10/01/49

     500       443,025  

Harris County Toll Road Authority, Refunding RB, Series A, Senior Lien, 5.00%, 08/15/31

     1,000       1,105,422  

North Texas Tollway Authority, Refunding RB

    

Series A, 5.00%, 01/01/38

     1,000       1,055,068  

Series A, 5.00%, 01/01/43

     1,815       1,886,563  

Series B, 5.00%, 01/01/34

     1,000       1,036,996  

State of Texas, Refunding GO, Series A, 5.00%, 10/01/24(b)

     1,000       1,038,758  
   

 

 

  
      11,914,484  
Utilities — 1.7%            

City of Austin Texas Electric Utility Revenue, Refunding RB, Series A, 5.00%, 11/15/45

     1,000       1,033,069  

City of Garland Texas Electric Utility System Revenue, Refunding RB, 4.00%, 03/01/49

     1,000       902,186  

City of San Antonio Texas Electric & Gas Systems Revenue, Refunding RB, Series A, 5.00%, 02/01/26

     500       533,696  

Texas Water Development Board, RB

    

Series A, 4.00%, 10/15/37

     1,180       1,192,754  

Series B, 5.00%, 04/15/49

     1,000       1,054,437  
   

 

 

  
      4,716,142  
   

 

 

  

Total Municipal Bonds in Texas

           25,251,075  

Utah — 0.2%

    
State — 0.2%            

State of Utah, GO, 5.00%, 07/01/25

     450       476,379  
   

 

 

  
Virginia — 2.1%            
County/City/Special District/School District — 0.7%  

City of Alexandria Virginia, GO, Series A, (SAW), 3.00%, 07/15/46

     1,000       800,690  

County of Fairfax Virginia, Refunding GO, Series A, (SAW), 4.00%, 10/01/27

     1,000       1,044,778  
   

 

 

  
      1,845,468  
Health — 0.3%            

Fairfax County Industrial Development Authority, Refunding RB, 4.00%, 05/15/42

     1,000       956,885  
   

 

 

  
State — 0.4%            

Virginia College Building Authority, Refunding RB, Series E, 5.00%, 02/01/30

     1,000       1,107,162  
   

 

 

  
 

 

 

22  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security

   Par
(000)		     Value  

Transportation — 0.5%

    

Virginia Commonwealth Transportation Board, Refunding RB

    

5.00%, 09/15/23

   $ 10     $ 10,146  

5.00%, 03/15/27

     285       312,171  

Series A, 5.00%, 05/15/31

     1,000       1,105,869  
   

 

 

  
      1,428,186  
Utilities — 0.2%            

City of Richmond Virginia Public Utility Revenue, Refunding RB, 5.00%, 01/15/26

     500       535,347  
   

 

 

  

Total Municipal Bonds in Virginia

       5,873,048  
   

 

 

  

Washington — 2.4%

    
County/City/Special District/School District — 0.2%  

Central Puget Sound Regional Transit Authority, Refunding RB, Series S-1, 5.00%, 11/01/25(b)

     485       516,460  
   

 

 

  
Health — 0.7%            

Washington Health Care Facilities Authority, Refunding RB, 5.00%, 10/01/38

     2,000       2,095,195  
   

 

 

  
State — 0.8%            

State of Washington, Refunding GO

    

Series B, 5.00%, 07/01/30

     1,000       1,060,935  

Series R, 5.00%, 07/01/31

     1,000       1,040,294  
   

 

 

  
      2,101,229  
Transportation — 0.7%            

Central Puget Sound Regional Transit Authority, RB, Series S-1, 5.00%, 11/01/46

     1,000       1,152,675  

Port of Seattle Washington, Refunding ARB, AMT, Intermediate Lien, 4.00%, 08/01/47

     1,000       870,217  
   

 

 

  
      2,022,892  
   

 

 

  

Total Municipal Bonds in Washington

       6,735,776  

Wisconsin — 1.0%

    
Health — 0.3%            

Wisconsin Health & Educational Facilities Authority, Refunding RB, Series A, 5.00%, 11/15/39

     1,000           1,020,522  
   

 

 

  
Security  

Par

(000)

     Value  

State — 0.7%

    

State of Wisconsin, Refunding GO 5.00%, 11/01/27

   $ 770     $ 843,736  

Series 2, 5.00%, 11/01/26

     980       1,066,751  
   

 

 

  
      1,910,487  
   

 

 

  

Total Municipal Bonds in Wisconsin

       2,931,009  
   

 

 

  

Total Long-Term Investments — 98.5%
(Cost: $287,747,030)

       276,061,217  
   

 

 

  
     Shares         

Short-Term Securities

    

Money Market Funds — 0.9%

    

BlackRock Liquidity Funds, MuniCash, Institutional Class, 3.09%(e)(f)

     2,517,331       2,517,079  
   

 

 

  

Total Short-Term Securities — 0.9%
(Cost: $2,517,106)

       2,517,079  
   

 

 

  

Total Investments — 99.4%
(Cost: $290,264,136)

       278,578,296  

Other Assets Less Liabilities — 0.6%

       1,677,861  
   

 

 

  

Net Assets — 100.0%

     $ 280,256,157  
   

 

 

  

 

(a) 

Zero-coupon bond.

(b) 

U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

Security is collateralized by municipal bonds or U.S. Treasury obligations.

(d) 

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.

(e) 

Affiliate of the Fund.

(f) 

Annualized 7-day yield as of period end.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer  

Value at

12/31/21

    

Purchases

at Cost

    

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

12/31/22

    

Shares

Held at

12/31/22

     Income    

Capital Gain

Distributions

from

Underlying

Funds

  

BlackRock Liquidity Funds, MuniCash, Institutional Class

   $  725,084     $ 1,792,500 (a)    $ —     $ (478 )    $ (27 )    $  2,517,079       2,517,331     $  29,806     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   23

Schedule of Investments  (continued)

December 31, 2022

   

iShares Municipal Bond Index Fund

 

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

                                                                                       
         
      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Municipal Bonds

    $ —        $ 276,061,217        $     —        $ 276,061,217  

Short-Term Securities

                  

Money Market Funds

      2,517,079          —          —          2,517,079  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $    2,517,079        $  276,061,217        $ —        $  278,578,296  
  

 

 

       

 

 

       

 

 

       

 

 

  

See notes to financial statements.

 

 

24  

2 0 2 2   B L A C K R O C K   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  

December 31, 2022

   

iShares Short-Term TIPS Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

 

  

U.S. Treasury Obligations

    

U.S. Treasury Inflation-Indexed Bonds

    

2.38%, 01/15/25 - 01/15/27

   $ 8,237     $ 8,308,212  

2.00%, 01/15/26

     2,703       2,699,185  

U.S. Treasury Inflation-Indexed Notes

    

0.63%, 01/15/24 - 01/15/26

     13,003       12,626,502  

0.50%, 04/15/24

     4,130       4,015,748  

0.13%, 07/15/24 - 04/15/27

     51,225       48,593,359  

0.25%, 01/15/25

     6,681       6,408,422  

0.38%, 07/15/25 - 07/15/27

     20,372       19,340,923  

1.63%, 10/15/27(a)

     6,740       6,732,126  
   

 

 

  

Total Long-Term Investments — 80.1%
(Cost: $115,808,146)

         108,724,477  
   

 

 

  
    Shares        

 

  

Short-Term Securities

    

Money Market Funds — 5.2%

    

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%(b)(c)

     7,055,575       7,055,575  
   

 

 

  

 

Security   Par (000)     Value  

 

  
U.S. Treasury Obligations — 17.5%            

U.S. Treasury Inflation-Indexed Notes

    

0.13%, 01/15/23

   $     8,711     $ 8,699,744  

0.63%, 04/15/23

     7,250       7,176,505  

0.38%, 07/15/23

     8,047       7,951,294  
   

 

 

  
      23,827,543  
   

 

 

  

Total Short-Term Securities — 22.7%
(Cost: $31,137,672)

       30,883,118  
   

 

 

  

Total Investments — 102.8%
(Cost: $146,945,818)

       139,607,595  

Liabilities in Excess of Other Assets — (2.8)%

       (3,847,438 ) 
   

 

 

  

Net Assets — 100.0%

       $  135,760,157  
   

 

 

  

 

(a) 

All or a portion of this security is on loan.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
12/31/21		     

Purchases

at Cost

     

Proceeds

from Sales

     

Net

Realized

Gain (Loss)

     

Change in

Unrealized

Appreciation

(Depreciation)

     

Value at

12/31/22

     

Shares

Held at

12/31/22

      Income     

Capital Gain

Distributions

from

Underlying

Funds

  

BlackRock Cash Funds: Treasury, SL Agency Shares

    $ 2,879,900      $ 4,175,675 (a)     $ —      $ —      $ —      $  7,055,575        7,055,575      $  37,445 (b)     $ —  
           

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

                                                                                       
         
      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

U.S. Treasury Obligations

    $ —        $ 108,724,477        $                 —        $ 108,724,477  

Short-Term Securities

                  

Money Market Funds

      7,055,575          —          —          7,055,575  

U.S. Treasury Obligations

      —          23,827,543          —          23,827,543  
  

 

 

       

 

 

       

 

 

       

 

 

  
     $   7,055,575        $ 132,552,020        $                —        $ 139,607,595  
  

 

 

       

 

 

       

 

 

       

 

 

  

See notes to financial statements.

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   25

Schedule of Investments  

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

    

Australia — 8.8%

    

Ampol Ltd.

     130,389     $ 2,506,395  

ANZ Group Holdings Ltd.

     1,603,927       25,837,523  

APA Group

     645,774       4,720,224  

Aristocrat Leisure Ltd.

     323,158       6,658,932  

ASX Ltd.

     104,856       4,829,269  

Aurizon Holdings Ltd.

     1,002,325       2,539,328  

BHP Group Ltd., Class DI

     2,724,352       84,392,091  

BlueScope Steel Ltd.

     255,182       2,908,367  

Brambles Ltd.

     778,175       6,381,505  

Cochlear Ltd.

     35,673       4,926,704  

Coles Group Ltd.

     719,106       8,151,517  

Commonwealth Bank of Australia

     918,316       63,781,466  

Computershare Ltd.

     291,896       5,142,048  

CSL Ltd.

     259,236       50,549,501  

Dexus

     585,584       3,074,353  

Endeavour Group Ltd.

     717,791       3,123,770  

Fortescue Metals Group Ltd.

     914,799       12,786,285  

Glencore PLC

     5,305,890       35,383,090  

Goodman Group

     907,403       10,671,380  

GPT Group

     1,031,149       2,940,847  

IDP Education Ltd.

     109,773       2,023,032  

IGO Ltd.

     367,071       3,357,728  

Insurance Australia Group Ltd.

     1,316,858       4,233,263  

Lendlease Corp. Ltd.

     372,045       1,974,846  

Lottery Corp. Ltd.(a)

     1,209,911       3,687,908  

Macquarie Group Ltd.

     196,141       22,142,054  

Medibank Pvt Ltd.

     1,502,340       2,997,226  

Mineral Resources Ltd.

     91,753       4,813,037  

Mirvac Group

     2,104,615       3,044,792  

National Australia Bank Ltd.

     1,727,437       35,073,200  

Newcrest Mining Ltd.

     477,783       6,699,620  

Northern Star Resources Ltd.

     626,407       4,687,602  

Orica Ltd.

     246,184       2,517,086  

Origin Energy Ltd.

     940,654       4,923,311  

Pilbara Minerals Ltd.(a)

     1,366,416       3,460,106  

Qantas Airways Ltd.(a)

     501,114       2,028,363  

QBE Insurance Group Ltd.

     791,755       7,182,557  

Ramsay Health Care Ltd.

     97,608       4,286,074  

REA Group Ltd.

     28,716       2,159,631  

Reece Ltd.

     123,343       1,179,001  

Rio Tinto Ltd.

     199,455       15,742,104  

Rio Tinto PLC

     605,085       42,588,301  

Santos Ltd.

     1,724,800       8,482,903  

Scentre Group

     2,778,732       5,408,967  

SEEK Ltd.

     180,897       2,571,763  

Sonic Healthcare Ltd.

     244,048       4,966,627  

South32 Ltd.

     2,502,264       6,860,278  

Stockland

     1,276,685       3,144,293  

Suncorp Group Ltd.

     683,289       5,567,991  

Telstra Corp. Ltd.

     2,167,050       5,860,657  

Transurban Group

     1,651,772       14,532,045  

Treasury Wine Estates Ltd.

     385,450       3,560,946  

Vicinity Ltd.

     2,117,115       2,858,735  

Washington H Soul Pattinson & Co. Ltd.

     114,268       2,143,818  

Wesfarmers Ltd.

     610,354       19,035,282  

Westpac Banking Corp.

     1,884,175       29,829,333  

WiseTech Global Ltd.

     79,996       2,751,257  
Security   Shares     Value  

Australia (continued)

    

Woodside Energy Group Ltd.

     1,021,836     $ 24,747,025  

Woolworths Group Ltd.

     652,770       14,906,274  
   

 

 

  
      679,333,631  
Austria — 0.2%            

Erste Group Bank AG

     185,042       5,920,457  

OMV AG

     79,767       4,103,290  

Verbund AG

     36,881       3,100,208  

voestalpine AG

     62,425       1,653,582  
   

 

 

  
      14,777,537  
Belgium — 0.9%            

Ageas SA/NV

     87,607       3,887,284  

Anheuser-Busch InBev SA

     467,444       28,154,591  

D’ieteren Group

     13,447       2,580,651  

Elia Group SA

     17,721       2,519,265  

Groupe Bruxelles Lambert NV

     53,865       4,304,763  

KBC Group NV

     133,633       8,603,998  

Sofina SA

     8,209       1,812,574  

Solvay SA

     39,419       3,985,496  

UCB SA

     68,782       5,419,571  

Umicore SA

     112,688       4,144,640  

Warehouses De Pauw CVA

     87,478       2,505,962  
   

 

 

  
      67,918,795  
Chile — 0.0%            

Antofagasta PLC

     210,715       3,933,542  
   

 

 

  

China — 0.2%

    

BOC Hong Kong Holdings Ltd.

     1,983,534       6,733,693  

Budweiser Brewing Co. APAC Ltd.(b)

     931,200       2,910,927  

Futu Holdings Ltd., ADR(a)

     32,839       1,334,906  

Wilmar International Ltd.

     1,047,983       3,264,858  
   

 

 

  
      14,244,384  
Denmark — 2.9%            

AP Moller - Maersk A/S, Class A

     1,686       3,715,706  

AP Moller - Maersk A/S, Class B

     2,699       6,041,991  

Carlsberg A/S, Class B

     52,291       6,936,241  

Chr Hansen Holding A/S

     55,923       4,022,696  

Coloplast A/S, Class B

     63,405       7,428,063  

Danske Bank A/S

     368,028       7,258,656  

Demant A/S(a)

     50,272       1,401,870  

DSV A/S

     100,681       15,921,406  

Genmab A/S(a)

     35,360       14,950,024  

Novo Nordisk A/S, Class B

     890,893       120,997,134  

Novozymes A/S, B Shares

     110,779       5,620,225  

Orsted A/S(b)

     101,805       9,203,746  

Pandora A/S

     49,494       3,498,309  

ROCKWOOL A/S, B Shares

     4,684       1,096,538  

Tryg A/S

     195,257       4,640,390  

Vestas Wind Systems A/S

     545,328       15,907,569  
   

 

 

  
      228,640,564  

Finland — 1.3%

    

Elisa OYJ

     76,858       4,073,867  

Fortum OYJ

     240,327       4,002,421  

Kesko OYJ, B Shares

     147,935       3,268,798  

Kone OYJ, Class B

     183,941       9,522,944  

Neste OYJ

     226,996       10,468,365  

Nokia OYJ

     2,910,095       13,519,420  

Nordea Bank Abp

     1,835,437       19,661,112  

Orion OYJ, Class B

     58,048       3,182,366  

Sampo OYJ, A Shares

     257,214       13,434,146  
 

 

 

26  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Finland (continued)

    

Stora Enso OYJ, R Shares

     297,870     $ 4,199,817  

UPM-Kymmene OYJ

     286,835       10,733,752  

Wartsila OYJ Abp

     256,984       2,166,902  
   

 

 

  
          98,233,910  
France — 11.4%            

Accor SA(a)

     93,467       2,331,773  

Aeroports de Paris(a)(c)

     15,985       2,141,534  

Air Liquide SA

     281,425       39,944,138  

Airbus SE

     318,109       37,823,919  

Alstom SA

     173,039       4,233,675  

Amundi SA(b)

     31,911       1,809,638  

Arkema SA

     31,530       2,835,960  

AXA SA

     1,005,842       28,018,234  

BioMerieux

     22,757       2,390,930  

BNP Paribas SA

     597,844       34,040,719  

Bollore SE

     484,142       2,705,579  

Bouygues SA

     121,636       3,648,077  

Bureau Veritas SA

     158,988       4,189,967  

Capgemini SE

     88,081       14,725,028  

Carrefour SA

     322,427       5,392,895  

Cie de Saint-Gobain

     268,885       13,154,069  

Cie Generale des Etablissements Michelin SCA

     365,484       10,181,386  

Covivio

     25,449       1,510,615  

Credit Agricole SA

     648,535       6,822,158  

Danone SA

     345,499       18,209,752  

Dassault Aviation SA

     13,537       2,295,781  

Dassault Systemes SE

     358,058       12,875,641  

Edenred

     134,183       7,302,959  

Eiffage SA

     44,689       4,395,790  

Electricite de France SA

     305,795       3,925,901  

Engie SA

     981,841       14,046,285  

EssilorLuxottica SA

     154,808       28,009,869  

Eurazeo SE

     23,899       1,487,893  

Gecina SA

     24,288       2,474,460  

Getlink SE

     240,250       3,847,159  

Hermes International

     17,044       26,381,578  

Ipsen SA

     19,808       2,130,558  

Kering SA

     40,263       20,490,947  

Klepierre SA

     117,064       2,701,909  

La Francaise des Jeux SAEM(b)

     56,850       2,287,560  

Legrand SA

     143,500       11,506,073  

L’Oreal SA

     129,873       46,507,203  

LVMH Moet Hennessy Louis Vuitton SE

     149,403       108,719,420  

Orange SA

     1,070,753       10,624,135  

Pernod Ricard SA

     112,746       22,179,668  

Publicis Groupe SA

     123,652       7,899,172  

Remy Cointreau SA

     12,566       2,118,796  

Renault SA(a)

     101,937       3,401,498  

Safran SA

     183,941       23,039,314  

Sanofi

     612,812       59,091,335  

Sartorius Stedim Biotech

     14,792       4,806,926  

Schneider Electric SE

     291,974       41,003,246  

SEB SA

     12,745       1,069,325  

Societe Generale SA

     426,497       10,698,095  

Sodexo SA

     47,503       4,545,009  

Teleperformance

     31,596       7,553,503  

Thales SA

     57,865       7,393,338  

TotalEnergies SE

     1,334,258       83,755,558  

Ubisoft Entertainment SA(a)

     50,784       1,434,689  

Unibail-Rodamco-Westfield(a)(c)

     63,475       3,318,229  

Valeo

     107,906       1,928,045  
Security   Shares     Value  

France (continued)

    

Veolia Environnement SA

     357,727     $ 9,191,584  

Vinci SA

     287,160       28,626,083  

Vivendi SE

     393,094       3,755,200  

Wendel SE

     14,316       1,337,242  

Worldline SA(a)(b)

     127,977       5,011,893  
   

 

 

  
          881,278,915  
Germany — 7.5%            

Adidas AG

     92,878       12,587,412  

Allianz SE, Registered Shares

     219,817       46,943,592  

BASF SE

     494,291       24,338,192  

Bayer AG, Registered Shares

     528,704       27,212,420  

Bayerische Motoren Werke AG

     178,096       15,767,722  

Bechtle AG

     45,325       1,602,155  

Beiersdorf AG

     54,442       6,221,181  

Brenntag SE

     83,161       5,303,580  

Carl Zeiss Meditec AG

     21,220       2,667,224  

Commerzbank AG(a)

     574,766       5,373,840  

Continental AG, Class A

     59,855       3,568,226  

Covestro AG(b)

     102,689       4,000,355  

Daimler Truck Holding AG(a)

     242,852       7,465,686  

Delivery Hero SE(a)(b)(c)

     89,352       4,287,976  

Deutsche Bank AG, Registered Shares

     1,112,260       12,503,536  

Deutsche Boerse AG

     102,251       17,606,604  

Deutsche Lufthansa AG, Registered Shares(a)

     315,292       2,598,970  

Deutsche Post AG, Registered Shares

     533,452       19,965,308  

Deutsche Telekom AG, Registered Shares

     1,744,291       34,705,410  

E.ON SE

     1,211,606       12,045,783  

Evonik Industries AG

     114,987       2,193,241  

Fresenius Medical Care AG & Co. KGaA

     109,961       3,591,603  

Fresenius SE & Co. KGaA

     226,958       6,339,364  

GEA Group AG

     79,884       3,248,685  

Hannover Rueck SE

     32,667       6,445,450  

HeidelbergCement AG

     78,253       4,434,206  

HelloFresh SE(a)

     88,140       1,923,642  

Henkel AG & Co. KGaA

     55,830       3,587,896  

Infineon Technologies AG

     702,798       21,359,356  

Knorr-Bremse AG

     39,938       2,172,721  

LEG Immobilien SE

     39,902       2,602,356  

Mercedes-Benz Group AG, Registered Shares

     431,810       28,238,158  

Merck KGaA

     69,391       13,388,315  

MTU Aero Engines AG

     28,564       6,145,121  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares

     75,396       24,388,369  

Nemetschek SE

     31,191       1,594,681  

Puma SE

     56,062       3,388,571  

Rational AG

     2,780       1,650,838  

Rheinmetall AG

     23,293       4,637,079  

RWE AG

     345,352       15,267,213  

SAP SE

     561,965       58,017,647  

Scout24 SE(b)

     43,874       2,208,336  

Siemens AG, Registered Shares

     411,694       56,752,513  

Siemens Energy AG(a)

     233,089       4,376,512  

Siemens Healthineers AG(b)

     152,605       7,612,180  

Symrise AG

     71,890       7,807,613  

Telefonica Deutschland Holding AG

     566,180       1,390,545  

United Internet AG, Registered Shares(d)

     51,161       1,031,641  

Volkswagen AG

     15,983       2,507,343  

Vonovia SE

     384,885       9,066,514  

Zalando SE(a)(b)

     119,686       4,213,522  
   

 

 

  
      578,346,403  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   27

Schedule of Investments  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Hong Kong — 2.8%

    

AIA Group Ltd.

     6,482,083     $ 71,584,115  

CK Asset Holdings Ltd.

     1,076,089       6,599,839  

CK Hutchison Holdings Ltd.

     1,443,617       8,648,490  

CK Infrastructure Holdings Ltd.

     338,844       1,768,100  

CLP Holdings Ltd.

     889,261       6,478,772  

ESR Group Ltd.(b)

     1,080,000       2,257,788  

Galaxy Entertainment Group Ltd.

     1,171,058       7,699,298  

Hang Lung Properties Ltd.

     1,070,565       2,085,471  

Hang Seng Bank Ltd.

     408,648       6,778,014  

Henderson Land Development Co. Ltd.

     794,774       2,766,768  

HK Electric Investments & HK Electric Investments Ltd., Class SS

     1,402,616       927,407  

HKT Trust & HKT Ltd., Class SS

     2,068,417       2,531,997  

Hong Kong & China Gas Co. Ltd.

     6,058,383       5,745,816  

Hong Kong Exchanges & Clearing Ltd.

     648,243       27,855,156  

Hongkong Land Holdings Ltd.

     599,693       2,759,076  

Jardine Matheson Holdings Ltd.

     85,286       4,338,570  

Link REIT

     1,133,743       8,295,977  

MTR Corp. Ltd.

     836,033       4,421,653  

New World Development Co. Ltd.

     802,824       2,252,062  

Power Assets Holdings Ltd.

     762,118       4,165,332  

Sino Land Co. Ltd.

     1,861,975       2,322,413  

SITC International Holdings Co. Ltd.

     724,000       1,604,701  

Sun Hung Kai Properties Ltd.

     779,588       10,648,676  

Swire Pacific Ltd., Class A

     269,700       2,364,157  

Swire Properties Ltd.

     612,136       1,550,476  

Techtronic Industries Co., Ltd.

     740,131       8,220,514  

WH Group Ltd.(b)

     4,419,607       2,577,683  

Wharf Real Estate Investment Co. Ltd.

     904,245       5,266,446  

Xinyi Glass Holdings Ltd.

     996,000       1,840,184  
   

 

 

  
          216,354,951  
Ireland — 1.0%            

AerCap Holdings NV(a)

     72,496       4,227,967  

AIB Group PLC

     575,953       2,210,741  

Bank of Ireland Group PLC

     576,467       5,493,336  

CRH PLC

     410,636       16,331,051  

Experian PLC

     495,489       16,781,387  

Flutter Entertainment PLC(a)

     90,206       12,361,038  

James Hardie Industries PLC

     239,140       4,304,108  

Kerry Group PLC, Class A

     85,517       7,724,769  

Kingspan Group PLC

     82,349       4,458,694  

Smurfit Kappa Group PLC

     131,997       4,891,852  
   

 

 

  
      78,784,943  
Isle of Man — 0.1%            

Entain PLC

     320,024       5,096,400  
   

 

 

  

Israel — 0.7%

    

Azrieli Group Ltd.

     22,913       1,528,027  

Bank Hapoalim BM

     684,060       6,159,221  

Bank Leumi Le-Israel BM

     832,789       6,936,138  

Bezeq The Israeli Telecommunication Corp. Ltd.

     1,136,095       1,948,981  

Check Point Software Technologies Ltd.(a)

     54,997       6,938,421  

CyberArk Software Ltd.(a)(c)

     21,866       2,834,927  

Elbit Systems Ltd.

     14,341       2,332,301  

ICL Group Ltd.

     377,522       2,727,770  

Isracard Ltd.

     1       4  

Israel Discount Bank Ltd., Class A

     659,245       3,460,984  

Mizrahi Tefahot Bank Ltd.

     82,721       2,669,839  

Nice Ltd.(a)

     33,912       6,523,924  

Teva Pharmaceutical Industries Ltd., ADR(a)

     602,279       5,492,784  
Security   Shares     Value  

Israel (continued)

    

Tower Semiconductor Ltd.(a)

     59,659     $ 2,604,133  

Wix.com Ltd.(a)(c)

     31,066       2,386,801  

ZIM Integrated Shipping Services Ltd.(c)

     44,224       760,211  
   

 

 

  
      55,304,466  
Italy — 1.9%            

Amplifon SpA

     67,692       2,021,268  

Assicurazioni Generali SpA

     593,406       10,552,239  

Davide Campari-Milano NV

     284,052       2,883,780  

DiaSorin SpA

     13,521       1,891,933  

Enel SpA

     4,377,060       23,540,449  

Eni SpA

     1,358,277       19,313,966  

Ferrari NV

     67,773       14,533,131  

FinecoBank Banca Fineco SpA

     325,247       5,401,084  

Infrastrutture Wireless Italiane SpA(b)

     183,357       1,849,743  

Intesa Sanpaolo SpA

     8,888,232       19,691,066  

Mediobanca Banca di Credito Finanziario SpA

     325,753       3,130,180  

Moncler SpA

     110,625       5,878,262  

Nexi SpA(a)(b)

     279,444       2,205,913  

Poste Italiane SpA(b)

     285,755       2,787,959  

Prysmian SpA

     137,589       5,112,188  

Recordati Industria Chimica e Farmaceutica SpA

     56,310       2,340,681  

Snam SpA

     1,092,879       5,299,192  

Telecom Italia SpA(a)

     5,304,271       1,229,271  

Terna - Rete Elettrica Nazionale

     761,489       5,623,743  

UniCredit SpA

     1,034,689       14,681,766  
   

 

 

  
          149,967,814  
Japan — 21.7%            

Advantest Corp.

     101,300       6,488,118  

Aeon Co. Ltd.

     352,246       7,437,840  

AGC, Inc.

     104,648       3,472,821  

Aisin Corp.

     80,846       2,143,629  

Ajinomoto Co., Inc.

     245,354       7,498,835  

ANA Holdings, Inc.(a)

     86,711       1,836,360  

Asahi Group Holdings Ltd.

     247,102       7,691,694  

Asahi Intecc Co. Ltd.

     116,200       1,895,485  

Asahi Kasei Corp.

     669,068       4,762,815  

Astellas Pharma, Inc.

     987,143       15,010,129  

Azbil Corp.

     61,600       1,546,606  

Bandai Namco Holdings, Inc.

     107,104       6,713,216  

Bridgestone Corp.

     308,441       10,920,994  

Brother Industries Ltd.

     127,663       1,929,457  

Canon, Inc.

     537,148       11,626,061  

Capcom Co. Ltd.

     93,700       2,990,950  

Central Japan Railway Co.

     77,740       9,544,882  

Chiba Bank Ltd.

     292,770       2,136,092  

Chubu Electric Power Co., Inc.

     349,011       3,608,941  

Chugai Pharmaceutical Co. Ltd.

     362,530       9,246,962  

Concordia Financial Group Ltd.

     592,670       2,474,648  

CyberAgent, Inc.

     231,716       2,062,916  

Dai Nippon Printing Co. Ltd.

     117,568       2,361,889  

Daifuku Co. Ltd.

     55,176       2,571,981  

Dai-ichi Life Holdings, Inc.

     527,300       11,908,211  

Daiichi Sankyo Co. Ltd.

     943,062       30,354,045  

Daikin Industries Ltd.

     134,068       20,339,923  

Daito Trust Construction Co. Ltd.

     33,170       3,396,037  

Daiwa House Industry Co. Ltd.

     323,076       7,442,456  

Daiwa House REIT Investment Corp.

     1,164       2,595,323  

Daiwa Securities Group, Inc.

     727,752       3,215,792  

Denso Corp.

     232,890       11,420,884  

Dentsu Group, Inc.

     114,682       3,597,652  
 

 

 

28  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Japan (continued)

    

Disco Corp.

     15,459     $ 4,406,137  

East Japan Railway Co.

     162,144       9,235,386  

Eisai Co. Ltd.

     136,015       8,970,466  

ENEOS Holdings, Inc.

     1,663,063       5,663,419  

FANUC Corp.

     103,151       15,436,185  

Fast Retailing Co. Ltd.

     31,441       19,132,902  

Fuji Electric Co. Ltd.

     67,094       2,532,078  

FUJIFILM Holdings Corp.

     192,908       9,645,677  

Fujitsu Ltd.

     105,604       14,078,864  

GLP J-REIT

     2,256       2,598,184  

GMO Payment Gateway, Inc.

     23,300       1,926,885  

Hakuhodo DY Holdings, Inc.

     129,792       1,302,600  

Hamamatsu Photonics KK

     75,487       3,602,821  

Hankyu Hanshin Holdings, Inc.

     124,563       3,690,503  

Hikari Tsushin, Inc.

     11,206       1,577,292  

Hirose Electric Co. Ltd.

     16,192       2,030,822  

Hitachi Construction Machinery Co. Ltd.

     57,505       1,281,581  

Hitachi Ltd.

     521,113       26,220,467  

Honda Motor Co. Ltd.

     877,335       20,011,141  

Hoshizaki Corp.

     57,030       2,005,290  

Hoya Corp.

     196,878       18,856,681  

Hulic Co. Ltd.

     208,767       1,639,354  

Ibiden Co. Ltd.

     61,100       2,203,417  

Idemitsu Kosan Co. Ltd.

     112,000       2,622,097  

Iida Group Holdings Co. Ltd.

     77,222       1,172,465  

Inpex Corp.

     560,000       6,017,431  

Isuzu Motors Ltd.

     312,382       3,621,404  

Ito En Ltd.

     29,800       1,084,541  

ITOCHU Corp.

     639,673           20,068,300  

Itochu Techno-Solutions Corp.

     52,300       1,213,138  

Japan Airlines Co. Ltd.(a)

     75,162       1,530,874  

Japan Exchange Group, Inc.

     273,936       3,948,181  

Japan Metropolitan Fund Invest

     3,726       2,964,083  

Japan Post Bank Co. Ltd.

     227,200       1,947,773  

Japan Post Holdings Co. Ltd.

     1,279,529       10,765,901  

Japan Post Insurance Co. Ltd.

     108,300       1,904,686  

Japan Real Estate Investment Corp.

     681       2,991,151  

Japan Tobacco, Inc.

     644,941       13,002,151  

JFE Holdings, Inc.

     268,512       3,115,678  

JSR Corp.

     98,728       1,933,219  

Kajima Corp.

     230,677       2,684,459  

Kakaku.com, Inc.

     74,416       1,194,053  

Kansai Electric Power Co., Inc.

     377,151       3,662,460  

Kao Corp.

     254,707       10,111,979  

KDDI Corp.

     867,975       26,322,979  

Keio Corp.

     54,429       1,993,716  

Keisei Electric Railway Co. Ltd.

     67,587       1,920,231  

Keyence Corp.

     104,680       40,641,435  

Kikkoman Corp.

     77,364       4,072,178  

Kintetsu Group Holdings Co. Ltd.

     92,998       3,070,447  

Kirin Holdings Co. Ltd.

     440,655       6,716,213  

Kobayashi Pharmaceutical Co. Ltd.

     29,065       1,992,189  

Kobe Bussan Co. Ltd.

     81,100       2,337,398  

Koei Tecmo Holdings Co. Ltd.

     62,400       1,128,598  

Koito Manufacturing Co. Ltd.

     114,494       1,706,895  

Komatsu Ltd.

     498,954       10,784,448  

Konami Group Corp.

     49,799       2,259,020  

Kose Corp.

     18,259       1,983,899  

Kubota Corp.

     546,189       7,461,725  

Kurita Water Industries Ltd.

     55,629       2,297,740  

Kyocera Corp.

     174,000       8,636,776  

Kyowa Kirin Co. Ltd.

     146,897       3,364,525  

Lasertec Corp.

     40,400       6,596,132  
Security   Shares     Value  

Japan (continued)

    

Lixil Corp.

     160,027     $ 2,412,582  

M3, Inc.

     236,313       6,419,041  

Makita Corp.

     117,739       2,742,755  

Marubeni Corp.

     832,564       9,537,809  

Mazda Motor Corp.

     300,698       2,254,047  

McDonald’s Holdings Co. Japan Ltd.

     45,294       1,721,461  

MEIJI Holdings Co. Ltd.

     60,734       3,113,116  

MINEBEA MITSUMI, Inc.

     198,408       2,939,629  

MISUMI Group, Inc.

     154,356       3,354,820  

Mitsubishi Chemical Group Corp.

     695,509       3,600,663  

Mitsubishi Corp.

     679,597       22,062,963  

Mitsubishi Electric Corp.

     1,035,521       10,260,914  

Mitsubishi Estate Co. Ltd.

     636,582       8,246,014  

Mitsubishi HC Capital, Inc.

     350,773       1,725,294  

Mitsubishi Heavy Industries Ltd.

     171,205       6,765,429  

Mitsubishi UFJ Financial Group, Inc.

     6,433,070       43,187,857  

Mitsui & Co. Ltd.

     751,300       21,882,141  

Mitsui Chemicals, Inc.

     96,551       2,168,612  

Mitsui Fudosan Co. Ltd.

     489,120       8,939,631  

Mitsui OSK Lines Ltd.

     185,800       4,642,739  

Mizuho Financial Group, Inc.

     1,297,951       18,285,910  

MonotaRO Co. Ltd.

     133,100       1,874,830  

MS&AD Insurance Group Holdings, Inc.

     239,824       7,667,132  

Murata Manufacturing Co. Ltd.

     309,125           15,244,554  

NEC Corp.

     132,474       4,645,761  

Nexon Co. Ltd.

     267,948       6,015,618  

NGK Insulators Ltd.

     125,968       1,596,971  

Nidec Corp.(c)

     240,420       12,371,809  

Nihon M&A Center Holdings, Inc.

     166,000       2,042,588  

Nintendo Co. Ltd.

     594,120       24,980,709  

Nippon Building Fund, Inc.

     830       3,711,603  

Nippon Express Holdings, Inc.

     41,270       2,356,908  

Nippon Paint Holdings Co. Ltd.

     443,080       3,479,991  

Nippon Prologis REIT, Inc.

     1,170       2,743,152  

Nippon Sanso Holdings Corp.

     93,793       1,358,630  

Nippon Shinyaku Co. Ltd.

     26,200       1,486,840  

Nippon Steel Corp.

     434,156       7,533,095  

Nippon Telegraph & Telephone Corp.

     643,232       18,344,015  

Nippon Yusen KK

     259,166       6,111,301  

Nissan Chemical Corp.

     69,311       3,022,459  

Nissan Motor Co. Ltd.

     1,249,915       3,911,513  

Nisshin Seifun Group, Inc.

     107,573       1,351,976  

Nissin Foods Holdings Co. Ltd.

     33,141       2,624,581  

Nitori Holdings Co. Ltd.

     43,623       5,699,888  

Nitto Denko Corp.

     76,726       4,419,011  

Nomura Holdings, Inc.

     1,557,418       5,770,973  

Nomura Real Estate Holdings, Inc.

     64,058       1,369,738  

Nomura Real Estate Master Fund, Inc.

     2,258       2,797,418  

Nomura Research Institute Ltd.

     213,963       5,086,740  

NTT Data Corp.

     342,617       4,992,866  

Obayashi Corp.

     353,734       2,671,962  

Obic Co. Ltd.

     37,594       5,519,140  

Odakyu Electric Railway Co. Ltd.

     161,185       2,087,414  

Oji Holdings Corp.

     423,626       1,711,020  

Olympus Corp.

     663,712       11,706,274  

Omron Corp.

     99,628       4,814,801  

Ono Pharmaceutical Co. Ltd.

     193,231       4,516,499  

Open House Group Co. Ltd.

     44,100       1,605,676  

Oracle Corp. Japan

     20,235       1,315,710  

Oriental Land Co. Ltd.

     107,504       15,644,430  

ORIX Corp.

     640,600       10,253,862  

Osaka Gas Co. Ltd.

     203,208       3,274,311  

Otsuka Corp.

     61,182       1,928,478  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   29

Schedule of Investments  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Japan (continued)

    

Otsuka Holdings Co. Ltd.

     208,855     $ 6,811,333  

Pan Pacific International Holdings Corp.

     206,136       3,828,793  

Panasonic Holdings Corp.

     1,188,557       9,947,056  

Persol Holdings Co. Ltd.

     94,175       2,003,077  

Rakuten Group, Inc.(a)

     469,200       2,114,718  

Recruit Holdings Co. Ltd.

     775,794       24,283,884  

Renesas Electronics Corp.(a)

     626,708       5,539,007  

Resona Holdings, Inc.

     1,162,899       6,387,122  

Ricoh Co. Ltd.

     312,981       2,382,144  

Rohm Co. Ltd.

     47,700       3,419,582  

SBI Holdings, Inc.

     129,597       2,469,180  

SCSK Corp.

     80,500       1,218,507  

Secom Co. Ltd.

     113,257       6,462,197  

Seiko Epson Corp.

     147,203       2,141,661  

Sekisui Chemical Co. Ltd.

     202,278       2,819,411  

Sekisui House Ltd.

     333,799       5,917,940  

Seven & i Holdings Co. Ltd.

     405,459       17,376,490  

SG Holdings Co. Ltd.

     157,204       2,179,740  

Sharp Corp.

     130,269       935,729  

Shimadzu Corp.

     127,863       3,619,786  

Shimano, Inc.

     39,470       6,237,004  

Shimizu Corp.

     288,506       1,539,447  

Shin-Etsu Chemical Co. Ltd.

     201,826           24,645,410  

Shionogi & Co. Ltd.

     141,821       7,075,891  

Shiseido Co. Ltd.

     215,378       10,556,469  

Shizuoka Financial Group, Inc.

     243,901       1,954,498  

SMC Corp.

     30,741       12,836,010  

SoftBank Corp.

     1,545,800       17,488,662  

SoftBank Group Corp.

     649,100       27,452,341  

Sompo Holdings, Inc.

     168,742       7,465,667  

Sony Group Corp.

     678,668       51,729,144  

Square Enix Holdings Co. Ltd.

     46,000       2,135,571  

Subaru Corp.

     332,846       5,039,311  

SUMCO Corp.

     192,215       2,546,577  

Sumitomo Chemical Co. Ltd.

     803,160       2,879,829  

Sumitomo Corp.

     606,140       10,075,918  

Sumitomo Electric Industries Ltd.

     380,480       4,298,833  

Sumitomo Metal Mining Co. Ltd.

     132,915       4,670,480  

Sumitomo Mitsui Financial Group, Inc.

     702,627       28,268,377  

Sumitomo Mitsui Trust Holdings, Inc.

     181,326       6,327,469  

Sumitomo Realty & Development Co. Ltd.

     167,049       3,936,998  

Suntory Beverage & Food Ltd.

     75,340       2,565,491  

Suzuki Motor Corp.

     198,319       6,351,627  

Sysmex Corp.

     89,322       5,392,421  

T&D Holdings, Inc.

     288,906       4,135,614  

Taisei Corp.

     98,610       3,179,700  

Takeda Pharmaceutical Co. Ltd.

     808,908       25,275,681  

TDK Corp.

     208,274       6,775,898  

Terumo Corp.

     348,806       9,888,851  

TIS, Inc.

     119,700       3,145,928  

Tobu Railway Co. Ltd.

     99,398       2,318,455  

Toho Co. Ltd.

     59,082       2,277,367  

Tokio Marine Holdings, Inc.

     988,061       21,107,337  

Tokyo Electric Power Co. Holdings, Inc.(a)

     838,212       3,018,754  

Tokyo Electron Ltd.

     80,393       23,621,770  

Tokyo Gas Co. Ltd.

     213,355       4,177,448  

Tokyu Corp.

     285,765       3,598,915  

Toppan, Inc.

     142,200       2,099,936  

Toray Industries, Inc.

     739,014       4,109,930  

Toshiba Corp.

     211,170       7,338,006  

Tosoh Corp.

     143,974       1,712,087  

TOTO Ltd.

     76,087       2,580,829  
Security   Shares     Value  

Japan (continued)

    

Toyota Industries Corp.

     79,400     $ 4,313,457  

Toyota Motor Corp.

     5,707,045       77,858,605  

Toyota Tsusho Corp.

     114,581       4,214,786  

Trend Micro, Inc.(a)

     71,634       3,350,132  

Unicharm Corp.

     217,602       8,331,159  

USS Co. Ltd.

     117,663       1,866,967  

Welcia Holdings Co. Ltd.

     52,200       1,216,798  

West Japan Railway Co.

     118,440       5,142,583  

Yakult Honsha Co. Ltd.

     69,582       4,529,618  

Yamaha Corp.

     76,564       2,841,122  

Yamaha Motor Co. Ltd.

     162,127       3,664,275  

Yamato Holdings Co. Ltd.

     155,462       2,463,490  

Yaskawa Electric Corp.

     127,945       4,082,138  

Yokogawa Electric Corp.

     122,363       1,942,019  

Z Holdings Corp.

     1,417,527       3,540,296  

ZOZO, Inc.

     65,951       1,628,709  
   

 

 

  
          1,677,735,500  
Jordan — 0.0%            

Hikma Pharmaceuticals PLC

     88,757       1,654,067  
   

 

 

  

Luxembourg — 0.2%

    

ArcelorMittal SA

     283,443       7,477,832  

Aroundtown SA(c)

     522,175       1,216,364  

Eurofins Scientific SE

     72,890       5,233,365  

Tenaris SA

     255,127       4,474,341  
   

 

 

  
      18,401,902  
Macau — 0.1%            

Sands China Ltd.(a)

     1,290,860       4,234,314  
   

 

 

  

Netherlands — 4.6%

    

ABN AMRO Bank NV(b)

     223,273       3,091,875  

Adyen NV(a)(b)

     11,663       16,191,147  

Aegon NV

     953,446       4,830,798  

Akzo Nobel NV

     97,652       6,552,696  

Argenx SE(a)

     29,749       11,167,943  

ASM International NV

     25,194       6,392,585  

ASML Holding NV(c)

     218,749       119,273,250  

Euronext NV(b)

     46,744       3,460,513  

EXOR NV(a)

     58,364       4,273,078  

Heineken Holding NV

     54,047       4,174,071  

Heineken NV

     139,196       13,111,173  

IMCD NV

     31,054       4,442,010  

ING Groep NV, Series N(a)

     2,028,998       24,715,525  

JDE Peet’s NV

     55,298       1,599,485  

Just Eat Takeaway.com NV(a)(b)

     96,310       2,049,911  

Koninklijke Ahold Delhaize NV

     562,770       16,180,348  

Koninklijke DSM NV

     94,465       11,599,788  

Koninklijke KPN NV

     1,768,814       5,474,929  

Koninklijke Philips NV

     473,028       7,117,751  

NN Group NV

     149,621       6,118,329  

OCI NV

     56,965       2,036,639  

Prosus NV

     446,383       30,819,793  

QIAGEN NV(a)

     122,714       6,168,894  

Randstad NV

     65,299       3,989,924  

Stellantis NV

     1,184,342       16,829,919  

Universal Music Group NV

     392,054       9,480,908  

Wolters Kluwer NV

     141,158       14,770,097  
   

 

 

  
      355,913,379  
New Zealand — 0.2%            

Auckland International Airport Ltd.(a)

     665,635       3,301,277  

Fisher & Paykel Healthcare Corp. Ltd.

     313,723       4,488,777  

Mercury NZ Ltd.

     390,836       1,380,721  
 

 

 

30  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

New Zealand (continued)

    

Meridian Energy Ltd.

     697,683     $ 2,320,625  

Spark New Zealand Ltd.

     997,546       3,415,368  

Xero Ltd.(a)

     72,899       3,476,103  
   

 

 

  
      18,382,871  
Norway — 0.8%            

Adevinta ASA(a)

     151,091       1,000,482  

Aker BP ASA

     170,060       5,285,953  

DNB Bank ASA

     502,714       9,928,656  

Equinor ASA

     516,213       18,552,821  

Gjensidige Forsikring ASA

     107,778       2,113,958  

Kongsberg Gruppen ASA

     48,483       2,063,618  

Mowi ASA

     224,039       3,817,690  

Norsk Hydro ASA

     732,925       5,476,682  

Orkla ASA

     407,149       2,938,529  

Salmar ASA

     31,789       1,246,650  

Telenor ASA

     378,311       3,534,549  

Yara International ASA

     89,995       3,952,306  
   

 

 

  
          59,911,894  
Portugal — 0.2%            

EDP - Energias de Portugal SA

     1,493,926       7,446,930  

Galp Energia SGPS SA

     265,813       3,585,982  

Jeronimo Martins SGPS SA

     155,331       3,360,660  
   

 

 

  
      14,393,572  
Singapore — 1.5%            

CapitaLand Ascendas REIT

     1,842,075       3,772,696  

CapitaLand Integrated Commercial Trust

     2,836,601       4,326,416  

Capitaland Investment Ltd.

     1,416,230       3,914,024  

City Developments Ltd.

     215,978       1,327,686  

DBS Group Holdings Ltd.

     974,809       24,673,978  

Genting Singapore Ltd.

     3,308,525       2,361,154  

Grab Holdings Ltd., Class A(a)(c)

     711,123       2,289,816  

Jardine Cycle & Carriage Ltd.

     53,200       1,135,912  

Keppel Corp. Ltd.

     781,142       4,236,272  

Mapletree Logistics Trust

     1,728,141       2,054,946  

Mapletree Pan Asia Commercial Trust

     1,303,700       1,628,895  

Oversea-Chinese Banking Corp. Ltd.

     1,822,387       16,576,493  

Sea Ltd., ADR(a)

     195,715       10,183,051  

Singapore Airlines Ltd.

     726,599       3,000,030  

Singapore Exchange Ltd.

     419,326       2,803,983  

Singapore Technologies Engineering Ltd.

     859,079       2,149,686  

Singapore Telecommunications Ltd.

     4,446,846       8,525,903  

United Overseas Bank Ltd.

     635,205       14,549,901  

UOL Group Ltd.

     251,599       1,264,985  

Venture Corp. Ltd.

     149,027       1,899,525  
   

 

 

  
      112,675,352  
South Africa — 0.3%            

Anglo American PLC

     683,842       26,779,165  
   

 

 

  

Spain — 2.5%

    

Acciona SA

     13,240       2,436,578  

ACS Actividades de Construccion y Servicios SA

     125,981       3,604,764  

Aena SME SA(a)(b)

     40,306       5,052,692  

Amadeus IT Group SA(a)

     244,396       12,678,705  

Banco Bilbao Vizcaya Argentaria SA

     3,267,805       19,682,856  

Banco Santander SA

     9,192,196       27,485,698  

CaixaBank SA

     2,401,216       9,414,661  

Cellnex Telecom SA(b)

     294,353       9,764,046  

Corp. ACCIONA Energias Renovables SA

     35,466       1,370,427  

EDP Renovaveis SA

     157,610       3,473,020  

Enagas SA

     102,462       1,703,789  
Security   Shares     Value  

Spain (continued)

    

Endesa SA

     172,034     $ 3,242,244  

Ferrovial SA

     265,902       6,962,036  

Grifols SA (a)

     161,562       1,865,784  

Iberdrola SA

     3,225,239       37,649,790  

Industria de Diseno Textil SA

     591,435       15,709,125  

Naturgy Energy Group SA

     79,344       2,062,072  

Red Electrica Corp. SA

     180,542       3,139,292  

Repsol SA

     780,888       12,429,406  

Telefonica SA

     2,819,718       10,207,675  
   

 

 

  
          189,934,660  
Sweden — 3.0%            

Alfa Laval AB

     156,916       4,539,162  

Assa Abloy AB, Class B

     536,438       11,538,380  

Atlas Copco AB, A Shares

     1,445,537       17,127,293  

Atlas Copco AB, B Shares

     837,542       8,936,280  

Boliden AB

     146,627       5,507,631  

Electrolux AB, Class B

     119,474       1,614,203  

Embracer Group AB(a)(c)

     353,249       1,603,731  

Epiroc AB, Class A

     357,153       6,503,437  

Epiroc AB, Class B

     209,144       3,364,540  

EQT AB

     161,631       3,433,896  

Essity AB, Class B

     326,305       8,545,007  

Evolution AB(b)

     98,464       9,590,826  

Fastighets AB Balder, B Shares(a)

     347,918       1,623,830  

Getinge AB, B Shares

     123,691       2,571,609  

H & M Hennes & Mauritz AB, B Shares

     389,344       4,195,735  

Hexagon AB, B Shares

     1,047,490       10,983,020  

Holmen AB, B Shares

     50,621       2,011,930  

Husqvarna AB, B Shares

     226,578       1,591,354  

Industrivarden AB, A Shares

     68,159       1,657,836  

Industrivarden AB, C Shares

     84,949       2,061,071  

Indutrade AB

     146,476       2,970,458  

Investment AB Latour, B Shares

     81,794       1,546,880  

Investor AB, A Shares

     268,320       4,992,009  

Investor AB, B Shares

     980,497       17,747,931  

Kinnevik AB, Class B(a)

     133,698       1,840,242  

L E Lundbergforetagen AB, B Shares

     40,695       1,734,963  

Lifco AB, B Shares

     124,388       2,082,042  

Nibe Industrier AB, B Shares

     814,434       7,601,744  

Sagax AB, Class B

     102,761       2,334,759  

Sandvik AB

     574,279       10,378,131  

Securitas AB, B Shares

     262,025       2,186,456  

Skandinaviska Enskilda Banken AB, Class A

     875,867       10,083,744  

Skanska AB, B Shares

     180,843       2,866,810  

SKF AB, B Shares, B Shares

     203,601       3,109,705  

Svenska Cellulosa AB SCA, Class B

     324,414       4,108,594  

Svenska Handelsbanken AB, A Shares

     785,217       7,905,556  

Swedbank AB, A Shares

     487,301       8,288,535  

Swedish Orphan Biovitrum AB(a)

     91,255       1,888,701  

Tele2 AB, B Shares

     302,910       2,471,090  

Telefonaktiebolaget LM Ericsson, B Shares

     1,570,723       9,203,512  

Telia Co. AB

     1,422,258       3,634,250  

Volvo AB, A Shares

     108,306       2,056,328  

Volvo AB, B Shares

     811,512       14,658,826  

Volvo Car AB, Class B(a)(c)

     320,854       1,460,981  
   

 

 

  
      236,153,018  
Switzerland — 10.2%            

ABB Ltd., Registered Shares

     846,554       25,800,851  

Adecco Group AG, Registered Shares

     86,874       2,857,708  

Alcon, Inc.

     268,918       18,452,872  

Bachem Holding AG

     17,301       1,501,214  
 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   31

Schedule of Investments  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Switzerland (continued)

    

Baloise Holding AG, Registered Shares

     24,472     $ 3,773,747  

Banque Cantonale Vaudoise, Registered Shares

     16,223       1,555,411  

Barry Callebaut AG, Registered Shares

     1,936       3,823,117  

BKW AG

     11,375       1,556,362  

Chocoladefabriken Lindt & Spruengli AG

     582       5,930,603  

Chocoladefabriken Lindt & Spruengli AG, Registered Shares

     58       5,967,241  

Cie Financiere Richemont SA, Registered Shares, Class A

     280,921       36,424,195  

Clariant AG, Registered Shares

     113,243       1,798,461  

Coca-Cola HBC AG, Class DI

     107,165       2,533,251  

Credit Suisse Group AG, Registered Shares

     1,848,864       5,519,688  

EMS-Chemie Holding AG, Registered Shares

     3,789       2,566,292  

Geberit AG, Registered Shares

     19,414       9,164,967  

Givaudan SA, Registered Shares

     4,966       15,210,392  

Holcim AG, Registered Shares

     298,140       15,432,701  

Julius Baer Group Ltd.

     119,748       6,969,462  

Kuehne & Nagel International AG, Registered Shares

     29,157       6,778,494  

Logitech International SA, Registered Shares

     93,168       5,777,295  

Lonza Group AG, Registered Shares

     40,076       19,672,323  

Nestle SA, Registered Shares

     1,481,122       171,083,443  

Novartis AG, Registered Shares

     1,164,233       105,360,081  

Partners Group Holding AG

     12,214       10,815,291  

Roche Holding AG

     392,444       124,371,893  

Schindler Holding AG

     21,905       4,119,942  

Schindler Holding AG, Registered Shares

     12,731       2,296,057  

SGS SA, Registered Shares

     3,427       7,982,642  

SIG Group AG

     165,638       3,619,384  

Sika AG, Registered Shares

     78,598       18,895,212  

Sonova Holding AG, Registered Shares

     29,112       6,914,059  

STMicroelectronics NV

     367,064       13,043,995  

Straumann Holding AG, Registered Shares

     59,848       6,862,836  

Swatch Group AG

     15,672       4,454,305  

Swatch Group AG, Registered Shares

     27,652       1,437,820  

Swiss Life Holding AG, Registered Shares

     17,019       8,772,590  

Swiss Prime Site AG, Registered Shares

     40,825       3,538,416  

Swiss Re AG

     162,037       15,150,682  

Swisscom AG, Registered Shares

     13,911       7,620,602  

Temenos AG, Registered Shares

     34,125       1,877,328  

UBS Group AG, Registered Shares

     1,803,417       33,518,703  

VAT Group AG(b)

     14,767       4,053,797  

Zurich Insurance Group AG

     80,972       38,710,867  
   

 

 

  
          793,566,592  
United Arab Emirates — 0.0%            

NMC Health PLC(a)(e)

     45,379       1  
   

 

 

  

United Kingdom — 13.6%

    

3i Group PLC

     523,784       8,447,243  

Abrdn PLC

     1,150,097       2,613,476  

Admiral Group PLC

     98,162       2,519,907  

Ashtead Group PLC

     238,334       13,538,503  

Associated British Foods PLC

     190,225       3,606,430  

AstraZeneca PLC

     833,863       112,837,800  

Auto Trader Group PLC(b)

     514,017       3,200,963  

AVEVA Group PLC

     64,084       2,480,501  

Aviva PLC

     1,512,294       8,022,182  

BAE Systems PLC

     1,698,330       17,541,034  

Barclays PLC

     8,657,697       16,473,964  

Barratt Developments PLC

     558,777       2,668,883  

Berkeley Group Holdings PLC

     58,770       2,679,288  

BP PLC

     10,134,017       58,472,687  

British American Tobacco PLC

     1,159,170       45,854,628  
Security   Shares     Value  

United Kingdom (continued)

    

British Land Co. PLC

     461,531     $ 2,191,238  

BT Group PLC

     3,743,003       5,054,079  

Bunzl PLC

     181,207       6,028,783  

Burberry Group PLC

     211,604       5,144,548  

CNH Industrial NV

     552,825       8,868,414  

Coca-Cola Europacific Partners PLC

     110,198       6,096,153  

Compass Group PLC

     960,037       22,169,194  

Croda International PLC

     74,961       5,965,288  

DCC PLC

     53,429       2,627,206  

Diageo PLC

     1,230,863       53,877,157  

GSK PLC

     2,188,803       37,829,595  

Haleon PLC(a)

     2,733,335       10,814,756  

Halma PLC

     204,395       4,867,655  

Hargreaves Lansdown PLC

     191,083       1,967,763  

HSBC Holdings PLC

     10,754,585       66,651,906  

Imperial Brands PLC

     483,956       12,055,885  

Informa PLC

     782,825       5,839,689  

InterContinental Hotels Group PLC

     99,446       5,706,092  

Intertek Group PLC

     85,913       4,179,856  

J Sainsbury PLC

     950,052       2,491,813  

JD Sports Fashion PLC

     1,379,623       2,096,511  

Johnson Matthey PLC

     100,704       2,573,710  

Kingfisher PLC(c)

     1,074,022       3,051,537  

Land Securities Group PLC

     379,850       2,837,919  

Legal & General Group PLC

     3,225,059       9,669,153  

Lloyds Banking Group PLC

     36,732,766       20,045,541  

London Stock Exchange Group PLC

     177,359       15,238,897  

M&G PLC

     1,379,425       3,119,236  

Melrose Industries PLC

     2,371,133       3,820,141  

Mondi PLC

     264,052       4,465,357  

National Grid PLC

     1,962,463       23,509,036  

NatWest Group PLC

     2,871,287       9,157,194  

Next PLC

     69,904       4,898,222  

Ocado Group PLC(a)

     312,917       2,322,788  

Pearson PLC

     359,207       4,056,100  

Persimmon PLC

     174,614       2,560,298  

Phoenix Group Holdings PLC

     406,533       2,978,049  

Prudential PLC

     1,479,502       20,173,435  

Reckitt Benckiser Group PLC

     384,820       26,674,306  

RELX PLC

     1,035,974       28,642,636  

Rentokil Initial PLC

     1,353,361       8,314,728  

Rolls-Royce Holdings PLC(a)

     4,451,265       4,971,949  

Sage Group PLC

     551,326       4,964,526  

Schroders PLC

     394,970       2,075,367  

Segro PLC

     655,554       6,039,133  

Severn Trent PLC

     136,291       4,354,241  

Shell PLC

     3,912,511           110,296,882  

Smith & Nephew PLC

     468,056       6,250,803  

Smiths Group PLC

     204,120       3,917,486  

Spirax-Sarco Engineering PLC

     39,853       5,090,443  

SSE PLC

     574,581       11,817,371  

St. James’s Place PLC

     295,722       3,895,653  

Standard Chartered PLC

     1,357,595       10,125,643  

Taylor Wimpey PLC

     1,876,605       2,298,274  

Tesco PLC

     4,062,582       10,948,118  

Unilever PLC

     1,373,325       69,336,177  

United Utilities Group PLC

     369,634       4,416,508  

Vodafone Group PLC

     14,377,581       14,560,420  
 

 

 

32  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

  

United Kingdom (continued)

    

Whitbread PLC

     106,879     $ 3,304,544  

WPP PLC

     589,597       5,825,208  
   

 

 

  
      1,056,078,099  
   

 

 

  

Total Common Stocks — 98.6%
(Cost: $6,541,361,489)

       7,638,030,641  
   

 

 

  

Preferred Securities

    

Preferred Stocks — 0.5%

    
Germany — 0.5%            

Bayerische Motoren Werke AG, Preference Shares

     32,538       2,745,921  

Dr Ing hc F Porsche AG(a)

     60,893       6,144,926  

Henkel AG & Co. KGaA, Preference Shares

     95,770       6,638,076  

Porsche Automobil Holding SE, Preference Shares

     82,055       4,474,941  

Sartorius AG, Preference Shares

     13,149       5,192,219  

Volkswagen AG, Preference Shares

     99,783       12,378,040  
   

 

 

  
      37,574,123  
   

 

 

  

Total Preferred Securities — 0.5%
(Cost: $38,940,894)

       37,574,123  
   

 

 

  

Total Long-Term Investments — 99.1%
(Cost: $6,580,302,383)

 

     7,675,604,764  
   

 

 

  

Short-Term Securities

    

Money Market Funds — 1.1%

    

BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%(f)(g)

     66,105,152       66,124,984  

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%(f)(g)

     16,740,802       16,740,802  
   

 

 

  

Total Short-Term Securities — 1.1%
(Cost: $82,855,724)

       82,865,786  
   

 

 

  

Total Investments — 100.2%
(Cost: $6,663,158,107)

           7,758,470,550  

Liabilities in Excess of Other Assets — (0.2)%

 

     (13,597,954 ) 
   

 

 

  

Net Assets — 100.0%

     $ 7,744,872,596  
   

 

 

  

    

  (a) 

Non-income producing security.

 
  (b) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 
  (c) 

All or a portion of this security is on loan.

 
  (d) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

 
  (e) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 
  (f) 

Affiliate of the Fund.

 
  (g) 

Annualized 7-day yield as of period end.

 
 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

  
Affiliated Issuer  

Value at

12/31/21

    

Purchases

at Cost

    

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

12/31/22

    

Shares

Held at

12/31/22

     Income    

Capital Gain

Distributions

from

Underlying

Funds

  

 

  

BlackRock Cash Funds: Institutional, SL Agency Shares

   $ 17,811,186     $ 48,304,921 (a)    $ —     $ (2,788 )    $ 11,665     $ 66,124,984       66,105,152     $ 293,612 (b)    $ —  

BlackRock Cash Funds: Treasury, SL Agency Shares

     25,217,563       —       (8,476,761 )(a)      —       —       16,740,802       16,740,802       208,030       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ (2,788 )    $ 11,665     $ 82,865,786       $ 501,642     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   33

Schedule of Investments  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

         
Description   

Number of

Contracts

       

Expiration

Date

       

Notional

Amount (000)

       

Value/

Unrealized

Appreciation

(Depreciation)

  

Long Contracts

                  

Nikkei 225 Index

      189          03/09/23        $ 18,569        $ (1,037,899 ) 

SPI 200 Index

      86          03/16/23          10,199          (207,669 ) 

Euro Stoxx 50 Index

      762          03/17/23          30,860          (816,559 ) 

FTSE 100 Index

      216          03/17/23          19,447          (15,536 ) 
                 

 

 

  
                  $ (2,077,663 ) 
                 

 

 

  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

               
     

Commodity

Contracts

       

Credit

Contracts

       

Equity

Contracts

       

Foreign

Currency

Exchange

Contracts

       

Interest

Rate

Contracts

       

Other

Contracts

        Total  

Liabilities — Derivative Financial Instruments

                                 

Futures contracts

                                 

Unrealized depreciation on futures contracts(a)

    $ —        $ —        $ 2,077,663        $ —        $ —        $ —        $ 2,077,663  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

               
     

Commodity

Contracts

       

Credit

Contracts

       

Equity

Contracts

       

Foreign

Currency

Exchange

Contracts

       

Interest

Rate

Contracts

       

Other

Contracts

        Total  

Net Realized Gain (Loss) from:

                                 

Futures contracts

    $ —        $ —        $ 3,717,854        $ —        $ —        $ —        $ 3,717,854  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                                 

Futures contracts

    $ —        $ —        $ (3,246,125 )       $ —        $ —        $ —        $ (3,246,125 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Futures contracts:

   

Average notional value of contracts — long

    $ 96,561,088  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

         
     Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Australia

   $   25,837,523        $    653,496,108        $ —        $    679,333,631   

Austria

     —          14,777,537                        —          14,777,537  

 

 

34  

2 0 2 2   B L A C K R O C K   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  (continued)

December 31, 2022

   

iShares MSCI EAFE International Index Fund

 

Fair Value Hierarchy as of Period End (continued)

         
     Level 1        Level 2      Level 3        Total  

Common Stocks (continued)

               

Belgium

   $ —        $ 67,918,795      $ —        $ 67,918,795  

Chile

     —          3,933,542        —          3,933,542  

China

     1,334,906          12,909,478        —          14,244,384  

Denmark

     —          228,640,564        —          228,640,564  

Finland

     —          98,233,910        —          98,233,910  

France

     —          881,278,915        —          881,278,915  

Germany

     —          578,346,403        —          578,346,403  

Hong Kong

     —          216,354,951        —          216,354,951  

Ireland

     4,227,967          74,556,976        —          78,784,943  

Isle of Man

     —          5,096,400        —          5,096,400  

Israel

     18,413,144          36,891,322        —          55,304,466  

Italy

     —          149,967,814        —          149,967,814  

Japan

     —          1,677,735,500        —          1,677,735,500  

Jordan

     —          1,654,067        —          1,654,067  

Luxembourg

     —          18,401,902        —          18,401,902  

Macau

     —          4,234,314        —          4,234,314  

Netherlands

     —          355,913,379        —          355,913,379  

New Zealand

     —          18,382,871        —          18,382,871  

Norway

     —          59,911,894        —          59,911,894  

Portugal

     —          14,393,572        —          14,393,572  

Singapore

     12,472,867          100,202,485        —          112,675,352  

South Africa

     —          26,779,165        —          26,779,165  

Spain

     —          189,934,660        —          189,934,660  

Sweden

     —          236,153,018        —          236,153,018  

Switzerland

     —          793,566,592        —          793,566,592  

United Arab Emirates

     —          —        1          1  

United Kingdom

     6,096,153          1,049,981,946        —          1,056,078,099  

Preferred Securities

               

Preferred Stocks

     —          37,574,123        —          37,574,123  

Short-Term Securities

               

Money Market Funds

     82,865,786          —        —          82,865,786  
 

 

 

       

 

 

     

 

 

       

 

 

  
  $ 151,248,346        $ 7,607,222,203      $                 1        $ 7,758,470,550  
 

 

 

       

 

 

     

 

 

       

 

 

  

Derivative Financial Instruments(a)

               

Liabilities

               

Equity Contracts

   $ —        $ (2,077,663 )     $ —        $ (2,077,663 ) 
 

 

 

       

 

 

     

 

 

       

 

 

  

 

  (a) 

Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

F U N D   S C H E D U L E S   O F   I N V E S T M E N T S

   35

 

Statements of Assets and Liabilities  

December 31, 2022

 

    iShares
Municipal Bond
Index Fund		     iShares
Short-Term
TIPS Bond
Index Fund		     iShares MSCI
EAFE International
Index Fund		     iShares Russell
2000 Small-Cap
Index Fund		  

 

  

ASSETS

        

Investments, at value — unaffiliated(a)(b)

   $ 276,061,217     $ 132,552,020     $ 7,675,604,764     $ —  

Investments, at value — Master Small Cap Index Series

     —       —       —       2,604,123,946  

Investments, at value — affiliated(c)

     2,517,079       7,055,575       82,865,786       —  

Cash pledged for futures contracts

     —       —       6,295,577       —  

Foreign currency, at value(d)

     —       —       50,042,167       —  

Receivables:

        

Investments sold

     —       2,058,468       —       —  

Securities lending income — affiliated

     —       1,030       29,675       —  

Capital shares sold

     715,739       878,619       38,051,085       14,759,800  

Dividends — unaffiliated

     —       —       21,751,440       —  

Dividends — affiliated

     7,138       4,589       48,471       —  

Interest — unaffiliated

     3,338,380       270,440       —       —  

From the Manager

     —       15,100       —       —  

Variation margin on futures contracts

     —       —       7,612       —  

Withdrawals from the Master Portfolio

     —       —       —       41,503  

Prepaid expenses

     53,826       21,168       10,174       64,741  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     282,693,379       142,857,009       7,874,706,751       2,618,989,990  
 

 

 

    

 

 

    

 

 

    

 

 

  

LIABILITIES

        

Bank overdraft

     12,500       —       —       —  

Collateral on securities loaned

     —       4,223,000       66,141,556       —  

Payables:

        

Investments purchased

     158,817       2,626,044       —       —  

Accounting services fees

     6,011       6,008       —       3,297  

Administration fees

     —       —       266,119       74,953  

Capital shares redeemed

     2,013,993       161,718       62,064,932       14,801,303  

Custodian fees

     2,859       1,585       —       —  

Income dividend distributions

     46,180       20,804       —       —  

Investment advisory fees

     23,914       —       65,728       —  

Directors’ and Officer’s fees

     1,970       1,676       15,392       —  

Recoupment of past waived fees

     913       —       —       —  

Other accrued expenses

     26,781       17,855       103,341       19,947  

Professional fees

     59,967       35,309       159,876       35,877  

Service fees

     53,073       529       101,712       98,928  

Transfer agent fees

     30,244       2,324       17,984       168,301  

Variation margin on futures contracts

     —       —       897,515       —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     2,437,222       7,096,852       129,834,155       15,202,606  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 280,256,157     $ 135,760,157     $ 7,744,872,596     $ 2,603,787,384  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF

        

Paid-in capital

   $ 292,420,925     $ 147,929,338     $ 7,989,614,728     $ 2,471,125,482  

Accumulated earnings (loss)

     (12,164,768 )      (12,169,181 )      (244,742,132 )      132,661,902  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 280,256,157     $ 135,760,157     $ 7,744,872,596     $ 2,603,787,384  
 

 

 

    

 

 

    

 

 

    

 

 

  

(a) Investments, at cost — unaffiliated

   $ 287,747,030     $ 139,890,243     $ 6,580,302,383     $ —  

(b) Securities loaned, at value

   $ —     $ 4,095,193     $ 62,104,333     $ —  

(c)  Investments, at cost — affiliated

   $ 2,517,106     $ 7,055,575     $ 82,855,724     $ —  

(d) Foreign currency, at cost

   $ —     $ —     $ 49,538,596     $ —  

 

 

36  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

 

Statements of Assets and Liabilities  (continued)

December 31, 2022

 

   

iShares

Municipal Bond

Index Fund

     

iShares

Short-Term

TIPS Bond

Index Fund

     

iShares MSCI

EAFE International

Index Fund

     

iShares Russell

2000 Small-Cap

Index Fund

  

 

  

NET ASSET VALUE

           
Institutional                           

Net assets

   $ 37,235,294      $ 23,581,214      $ 1,036,641,301      $ 390,669,812  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     3,443,032        2,478,146        78,211,243        19,368,383  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 10.81      $ 9.52      $ 13.25      $ 20.17  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        Unlimited        1.208 billion        208 million  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001      $ 0.001      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Investor A                           

Net assets

   $ 20,059,638      $ 2,513,941      $ 348,314,420      $ 194,548,916  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     1,855,006        263,724        26,465,380        9,630,087  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 10.81      $ 9.53      $ 13.16      $ 20.20  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        Unlimited        208 million        208 million  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001      $ 0.001      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Investor P                           

Net assets

   $   222,858,863        N/A      $ 123,462,644      $ 266,391,436  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     20,609,042        N/A        9,413,463        13,234,432  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 10.81        N/A      $ 13.12      $ 20.13  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        N/A        2 billion        2 billion  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001        N/A      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Class K                           

Net assets

   $ 102,362      $   109,665,002      $   6,236,454,231      $   1,752,177,220  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     9,467        11,506,265        470,054,551        86,580,481  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 10.81      $ 9.53      $ 13.27      $ 20.24  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        Unlimited        1.208 billion        1.208 billion  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001      $ 0.001      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   S T A T E M E N T S

   37

Statements of Operations

Year Ended December 31, 2022

 

   

iShares
Municipal Bond

Index Fund

    

iShares

Short-Term

TIPS Bond

Index Fund

     iShares MSCI
EAFE International
Index Fund		     iShares Russell
2000 Small-Cap
Index Fund		  

 

  

INVESTMENT INCOME

        

Dividends — unaffiliated

   $ —     $ —     $ 259,836,686     $ —  

Dividends — affiliated

     29,806       33,805       208,156       —  

Interest — unaffiliated

     8,742,159       8,661,587       —       —  

Securities lending income — affiliated — net

     —       3,640       293,486       —  

Non-cash dividends — unaffiliated

     —       —       13,243,358       —  

Foreign taxes withheld

     —       —       (22,722,253 )      —  

Net investment income allocated from the Master Small Cap Index Series:

        

Dividends — unaffiliated

     —       —       —       34,916,193  

Dividends — affiliated

     —       —       —       645,502  

Interest — unaffiliated

     —       —       —       7,668  

Securities lending income — affiliated — net

     —       —       —       3,704,030  

Foreign taxes withheld

     —       —       —       (88,770 ) 

Expenses

     —       —       —       (511,975 ) 

Fees waived

     —       —       —       18,847  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     8,771,965       8,699,032       250,859,433       38,691,495  
 

 

 

    

 

 

    

 

 

    

 

 

  

EXPENSES

        

Service — class specific

     672,763       5,570       1,194,426       1,247,706  

Investment advisory

     297,677       14,218       780,641       —  

Transfer agent — class specific

     161,802       27,521       —       733,452  

Professional

     100,563       93,758       108,429       81,196  

Registration

     78,979       71,058       —       106,961  

Printing and postage

     43,693       28,692       —       12,335  

Accounting services

     9,031       9,007       —       4,952  

Directors and Officer

     7,221       6,203       56,578       —  

Recoupment of past waived and/or reimbursed fees — class specific

     4,659       —       —       —  

Custodian

     4,327       2,413       —       —  

Administration

     —       —       —       1,139,271  

Administration — class specific

     —       —       3,080,152       —  

Miscellaneous

     21,222       13,418       910       19,018  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     1,401,937       271,858       5,221,136       3,344,891  

Less:

        

Fees waived and/or reimbursed by the Administrator

     —       —       —       (15,006 ) 

Fees waived and/or reimbursed by the Manager

     (9,176 )      (153,257 )      (178,039 )      —  

Transfer agent fees waived and/or reimbursed by the Manager — class specific

     (7,967 )      (15,644 )      —       (159,175 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     1,384,794       102,957       5,043,097       3,170,710  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     7,387,171       8,596,075       245,816,336       35,520,785  
 

 

 

    

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

        

Net realized gain (loss) from:

        

Investments — unaffiliated

     (728,747 )      (4,717,963 )      (110,762,232 )      —  

Investments — affiliated

     (478 )      —       (2,788 )      —  

Foreign currency transactions

     —       —       (9,968,017 )      —  

Futures contracts

     —       —       3,717,854       —  

Net realized loss allocated from the Master Small Cap Index Series from:

        

Investments — unaffiliated

     —       —       —       (43,449,591 ) 

Investments — affiliated

     —       —       —       (1,032,115 ) 

Futures contracts

     —       —       —       (770,921 ) 

Swaps

     —       —       —       (601,147 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
        (729,225 )        (4,717,963 )        (117,015,183 )        (45,853,774 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

38  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Statements of Operations  (continued)

Year Ended December 31, 2022

 

   

iShares
Municipal Bond

Index Fund

    

iShares

Short-Term

TIPS Bond

Index Fund

     iShares MSCI
EAFE International
Index Fund		     iShares Russell
2000 Small-Cap
Index Fund		  

 

  

Net change in unrealized appreciation (depreciation) on:

        

Investments — unaffiliated

   $ (35,793,797 )    $ (8,963,607 )    $ (1,403,014,673 )    $ —  

Investments — affiliated

     (27 )      —       11,665       —  

Foreign currency translations

     —       —       81,738       —  

Futures contracts

     —       —       (3,246,125 )      —  

Net change in unrealized appreciation (depreciation) allocated from Master Small Cap Index Series on:

        

Investments — unaffiliated

     —       —       —       (672,518,573 ) 

Investments — affiliated

     —       —       —       (615,358 ) 

Futures contracts

     —       —       —       (391,075 ) 

Swaps

     —       —       —       (83,603 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (35,793,824 )      (8,963,607 )      (1,406,167,395 )      (673,608,609 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized loss

     (36,523,049 )      (13,681,570 )      (1,523,182,578 )      (719,462,383 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (29,135,878 )    $ (5,085,495 )    $  (1,277,366,242 )    $  (683,941,598 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   S T A T E M E N T S

   39

Statements of Changes in Net Assets 

 

     iShares Municipal Bond Index Fund     

iShares Short-Term TIPS Bond

Index Fund

  
  

 

 

     

 

 

  
    

Year Ended

12/31/22

     

Year Ended

12/31/21

     

Year Ended

12/31/22

     

Year Ended

12/31/21

  

 

  

INCREASE (DECREASE) IN NET ASSETS

            

OPERATIONS

            

Net investment income

    $ 7,387,171      $ 7,321,596      $ 8,596,075      $ 3,705,514  

Net realized gain (loss)

      (729,225 )       495,970        (4,717,963 )       6,506  

Net change in unrealized appreciation (depreciation)

      (35,793,824 )       (3,402,224 )       (8,963,607 )       266,540  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (29,135,878 )       4,415,342        (5,085,495 )       3,978,560  
  

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

            

From net investment income and net realized gain

            

Institutional

      (796,740 )       (232,970 )       (2,804,472 )       (734,030 ) 

Investor A

      (511,155 )       (552,520 )       (121,688 )       (58,170 ) 

Investor P

      (6,184,204 )       (7,117,939 )       —        —  

Class K

      (2,763 )       (2,799 )       (5,656,150 )       (2,932,006 ) 

Return of capital

            

Institutional

      —        —        (9,161 )       —  

Investor A

      —        —        (468 )       —  

Class K

      —        —        (20,245 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Decrease in net assets resulting from distributions to shareholders

      (7,494,862 )       (7,906,228 )       (8,612,184 )       (3,724,206 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL SHARE TRANSACTIONS

            

Net increase (decrease) in net assets derived from capital share transactions

      (11,343,682 )       (14,587,213 )       44,739,190        44,904,403  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS

            

Total increase (decrease) in net assets

      (47,974,422 )       (18,078,099 )       31,041,511        45,158,757  

Beginning of year

      328,230,579        346,308,678        104,718,646        59,559,889  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of year

    $ 280,256,157      $ 328,230,579      $  135,760,157      $  104,718,646  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) 

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

See notes to financial statements.

 

 

40  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Statements of Changes in Net Assets (continued)

 

           iShares MSCI EAFE International Index Fund           iShares Russell 2000 Small-Cap Index Fund  
   

 

 

      

 

 

  
         

Year Ended

12/31/22

          

Year Ended

12/31/21

          

Year Ended

12/31/22

          

Year Ended

12/31/21

  

 

  

INCREASE (DECREASE) IN NET ASSETS

                

OPERATIONS

                

Net investment income

     $ 245,816,336              $ 197,850,703       $ 35,520,785       $ 29,892,953  

Net realized gain (loss)

       (117,015,183 )        (13,451,057 )        (45,853,774 )        226,459,525  

Net change in unrealized appreciation (depreciation)

       (1,406,167,395 )        597,266,857         (673,608,609 )        150,185,274  
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets resulting from operations

       (1,277,366,242 )        781,666,503         (683,941,598 )        406,537,752  
   

 

 

      

 

 

      

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

                

Institutional

       (28,819,074 )        (31,413,447 )        (6,608,956 )        (34,044,604 ) 

Investor A

       (8,746,128 )        (10,423,294 )        (2,784,133 )        (16,774,863 ) 

Investor P

       (3,057,353 )        (4,183,302 )        (3,814,743 )        (24,685,571 ) 

Class K

       (169,428,266 )        (203,630,682 )        (30,551,485 )        (162,398,277 ) 
   

 

 

      

 

 

      

 

 

      

 

 

  

Decrease in net assets resulting from distributions to shareholders

       (210,050,821 )        (249,650,725 )        (43,759,317 )        (237,903,315 ) 
   

 

 

      

 

 

      

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

                

Net increase (decrease) in net assets derived from capital share transactions

       704,872,365         1,348,384,504         (34,710,452 )        443,268,536  
   

 

 

      

 

 

      

 

 

      

 

 

  

NET ASSETS

                       

Total increase (decrease) in net assets

       (782,544,698 )        1,880,400,282         (762,411,367 )        611,902,973  

Beginning of year

       8,527,417,294         6,647,017,012         3,366,198,751         2,754,295,778  
   

 

 

      

 

 

      

 

 

      

 

 

  

End of year

            $ 7,744,872,596       $ 8,527,417,294              $ 2,603,787,384       $ 3,366,198,751  
   

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) 

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

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   S T A T E M E N T S

   41

Financial Highlights

(For a share outstanding throughout each period)

 

    iShares Municipal Bond Index Fund  
    Institutional  
                                                       Period from  
    Year Ended       Year Ended       Year Ended       Year Ended          11/19/18 (a) 
     12/31/22     12/31/21     12/31/20     12/31/19     to 12/31/18  

Net asset value, beginning of period

     $ 12.16        $ 12.29        $ 12.02        $ 11.59        $ 11.48  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income(b)

       0.30          0.29          0.30          0.30          0.04  

Net realized and unrealized gain (loss)

       (1.35 )         (0.11 )         0.29          0.56          0.14  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease) from investment operations

       (1.05 )         0.18          0.59          0.86          0.18  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Distributions(c)

                        

From net investment income

       (0.30 )         (0.29 )         (0.30 )         (0.30 )         (0.04 ) 

From net realized gain

       (0.00 )(d)         (0.02 )         (0.02 )         (0.13 )         (0.03 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions

       (0.30 )         (0.31 )         (0.32 )         (0.43 )         (0.07 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net asset value, end of period

     $ 10.81        $ 12.16        $ 12.29        $ 12.02        $ 11.59  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Return(e)

                        

Based on net asset value

       (8.61 )%         1.54 %         4.97 %         7.52 %         1.56 %(f) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Ratios to Average Net Assets(g)

                        

Total expenses

       0.24 %         0.25 %         0.23 %         0.30 %(h)         0.32 %(i)(j)(k) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed

       0.24 %         0.24 %         0.22 %         0.23 %(h)         0.17 %(i)(j)(k) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income

       2.75 %         2.40 %         2.46 %         2.49 %         2.74 %(i) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Supplemental Data

                        

Net assets, end of period (000)

     $ 37,235        $  11,794               $ 6,115               $ 477               $ 101  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Portfolio turnover rate

       21 %         7 %         8 %         24 %         3 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.24% and 0.23%, respectively.

(i) 

Annualized.

(j) 

Reorganization and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.69% and 0.21%, respectively.

(k) 

Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.26% and 0.16%, respectively.

See notes to financial statements.

 

 

42  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Municipal Bond Index Fund (continued)  
    Investor A  
    Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
              12/31/22                12/31/21                12/31/20                12/31/19                12/31/18 (a) 

Net asset value, beginning of year

     $ 12.16        $ 12.29        $ 12.02        $ 11.59        $ 11.81  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income(b)

       0.27          0.26          0.27          0.27          0.39  

Net realized and unrealized gain (loss)

       (1.35 )         (0.11 )         0.29          0.56          (0.25 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease) from investment operations

       (1.08 )         0.15          0.56          0.83          0.14  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Distributions(c)

                        

From net investment income

       (0.27 )         (0.26 )         (0.27 )         (0.27 )         (0.31 ) 

From net realized gain

       (0.00 )(d)         (0.02 )         (0.02 )         (0.13 )         (0.05 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions

       (0.27 )         (0.28 )         (0.29 )         (0.40 )         (0.36 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net asset value, end of year

     $ 10.81        $ 12.16        $ 12.29        $ 12.02        $ 11.59  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Return(e)

                        

Based on net asset value

       (8.85 )%         1.28 %         4.70 %         7.24 %         1.24 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Ratios to Average Net Assets(f)

                        

Total expenses

       0.51 %         0.53 %         0.50 %         0.62 %(g)         0.77 %(h) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed

       0.50 %         0.50 %         0.48 %         0.50 %(g)         0.41 %(h) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income

       2.45 %         2.15 %         2.22 %         2.25 %         3.36 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Supplemental Data

                        

Net assets, end of year (000)

     $ 20,060        $ 23,348        $ 23,315        $ 23,805        $ 25,418  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Portfolio turnover rate

       21 %         7 %         8 %         24 %         3 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

(a) 

On November 19, 2018, State Farm Tax Advantaged Bond Fund was reorganized into the Fund. The activity in the table above is for the accounting survivor, State Farm Tax Advantaged Bond Fund Premier Class, for the periods prior to the date of the reorganization, and for the post-reorganization combined fund thereafter.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.56% and 0.50%, respectively.

(h) 

Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   43

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Municipal Bond Index Fund (continued)  
    Investor P  
    Year Ended       Year Ended       Year Ended       Year Ended       Year Ended  
      12/31/22       12/31/21       12/31/20       12/31/19                12/31/18 (a) 

Net asset value, beginning of year

     $ 12.16       $ 12.29       $ 12.02       $ 11.59        $ 11.81  
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Net investment income(b)

       0.27         0.26         0.27         0.27          0.39  

Net realized and unrealized gain (loss)

       (1.35 )        (0.11 )        0.29         0.56          (0.25 ) 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Net increase (decrease) from investment operations

       (1.08 )        0.15         0.56         0.83          0.14  
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Distributions(c)

                     

From net investment income

       (0.27 )        (0.26 )        (0.27 )        (0.27 )         (0.31 ) 

From net realized gain

       (0.00 )(d)        (0.02 )        (0.02 )        (0.13 )         (0.05 ) 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Total distributions

       (0.27 )        (0.28 )        (0.29 )        (0.40 )         (0.36 ) 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Net asset value, end of year

     $ 10.81       $ 12.16       $ 12.29       $ 12.02        $ 11.59  
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Total Return(e)

                     

Based on net asset value

       (8.84 )%        1.29 %        4.69 %        7.25 %         1.24 % 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Ratios to Average Net Assets(f)

                     

Total expenses

       0.49 %        0.49 %        0.50 %        0.53 %(g)         0.77 %(h) 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed

       0.49 %        0.49 %        0.49 %        0.50 %(g)         0.41 %(h) 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Net investment income

       2.45 %        2.16 %        2.21 %        2.26 %         3.35 % 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Supplemental Data

                     

Net assets, end of year (000)

           $  222,859       $  292,983       $  316,772       $  333,565        $  352,137  
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

Portfolio turnover rate

       21 %        7 %        8 %        24 %         3 % 
   

 

 

      

 

 

      

 

 

      

 

 

       

 

 

  

 

(a) 

On November 19, 2018, State Farm Tax Advantaged Bond Fund was reorganized into the Fund. The activity in the table above is for the accounting survivor, State Farm Tax Advantaged Bond Fund Premier Class, for the periods prior to the date of the reorganization, and for the post-reorganization combined fund thereafter.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

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

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.47% and 0.50%, respectively.

(h) 

Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively.

See notes to financial statements.

 

 

44  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Municipal Bond Index Fund (continued)  
    Class K  
                    Period from  
      Year Ended       Year Ended       Year Ended       Year Ended         11/19/18 (a) 
          12/31/22       12/31/21       12/31/20       12/31/19       to 12/31/18  

Net asset value, beginning of period

       $ 12.16       $ 12.29       $ 12.02       $ 11.59       $ 11.48  
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income(b)

         0.31         0.30         0.30         0.30         0.04  

Net realized and unrealized gain (loss)

         (1.35 )        (0.11 )        0.29         0.56         0.14  
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) from investment operations

         (1.04 )        0.19         0.59         0.86         0.18  
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Distributions(c)

                      

From net investment income

         (0.31 )        (0.30 )        (0.30 )        (0.30 )        (0.04 ) 

From net realized gain

         (0.00 )(d)        (0.02 )        (0.02 )        (0.13 )        (0.03 ) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions

         (0.31 )        (0.32 )        (0.32 )        (0.43 )        (0.07 ) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value, end of period

       $ 10.81       $ 12.16       $ 12.29       $ 12.02       $ 11.59  
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

                      

Based on net asset value

         (8.58 )%        1.58 %        5.00 %        7.57 %        1.57 %(f) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Ratios to Average Net Assets(g)

                      

Total expenses

         0.32 %        0.25 %        0.24 %        0.27 %(h)        0.33 %(i)(j)(k) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses after fees waived and/or reimbursed

         0.20 %        0.20 %        0.20 %        0.20 %(h)        0.16 %(i)(j)(k) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income

         2.75 %        2.45 %        2.50 %        2.55 %        2.74 %(i) 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Supplemental Data

                      

Net assets, end of period (000)

       $ 102       $ 106       $ 107       $ 105       $ 101  
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Portfolio turnover rate

                21 %               7 %               8 %                 24 %                 3 % 
     

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Includes non-recurring expenses of offering costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.21% and 0.20%, respectively.

(i) 

Annualized.

(j) 

Reorganization and offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.20%, respectively.

(k) 

Includes reorganization and offering costs associated with the Fund’s reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.27% and 0.15%, respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   45

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Short-Term TIPS Bond Index Fund  
    Institutional  
    

 

Year Ended

12/31/22

    

Year Ended

12/31/21

    

Year Ended

12/31/20

           

Year Ended

12/31/19

     Year Ended
12/31/18		  

Net asset value, beginning of year

     $ 10.37       $ 10.30       $ 9.98       $ 9.74     $ 9.95  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income(a)

       0.63         0.46         0.25         0.15       0.22  

Net realized and unrealized gain (loss)

       (0.91 )        0.07         0.23         0.30       (0.16 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net increase (decrease) from investment operations

       (0.28 )        0.53         0.48         0.45       0.06  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Distributions(b)

                  

From net investment income

       (0.57 )        (0.46 )        (0.16 )        (0.21 )      (0.26 ) 

From net realized gain

       —         —         (0.00 )(c)        —       (0.01 ) 

Return of capital

       (0.00 )(c)        —         —         —       —  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total distributions

       (0.57 )        (0.46 )        (0.16 )        (0.21 )      (0.27 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net asset value, end of year

     $ 9.52       $ 10.37       $ 10.30       $ 9.98     $ 9.74  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total Return(d)

                  

Based on net asset value

       (2.81 )%        5.18 %        4.89 %        4.66 %      0.56 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Ratios to Average Net Assets(e)

                  

Total expenses

       0.19 %        0.29 %        0.55 %        3.24 %      4.96 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

       0.08 %        0.07 %        0.07 %        0.11 %      0.09 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income

       6.44 %        4.41 %        2.51 %        1.47 %      2.19 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Supplemental Data

                  

Net assets, end of year (000)

     $ 23,581               $ 18,004       $ 16,549       $ 721     $ 976  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Portfolio turnover rate

       58 %        10 %        22 %        45 %      80 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount is greater than $(0.005) per share.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

46  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

For a share outstanding throughout each period)

 

    iShares Short-Term TIPS Bond Index Fund (continued)  
    Investor A  
    

 

Year Ended
12/31/22

     Year Ended
12/31/21		     Year Ended
12/31/20		            Year Ended
12/31/19		     Year Ended
12/31/18		  

Net asset value, beginning of year

     $ 10.41       $ 10.34       $ 9.97       $ 9.74     $ 9.95  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income(a)

       0.54         0.40         0.07         0.19       0.20  

Net realized and unrealized gain (loss)

       (0.85 )        0.10         0.39         0.23       (0.18 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net increase (decrease) from investment operations

       (0.31 )        0.50         0.46         0.42       0.02  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Distributions(b)

                  

From net investment income

       (0.57 )        (0.43 )        (0.09 )        (0.19 )      (0.22 ) 

From net realized gain

       —         —         (0.00 )(c)        —       (0.01 ) 

Return of capital

       (0.00 )(c)        —         —         —       —  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total distributions

       (0.57 )        (0.43 )        (0.09 )        (0.19 )      (0.23 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net asset value, end of year

     $ 9.53       $ 10.41       $ 10.34       $ 9.97     $ 9.74  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total Return(d)

                  

Based on net asset value

       (3.15 )%        4.89 %        4.64 %        4.39 %      0.22 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Ratios to Average Net Assets(e)

                  

Total expenses

       0.58 %        0.71 %        1.18 %        3.36 %      6.40 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

       0.36 %        0.36 %        0.36 %        0.36 %      0.36 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income

       5.46 %        3.79 %        0.71 %        1.94 %      2.00 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Supplemental Data

                  

Net assets, end of year (000)

            $ 2,514       $ 1,908         $ 1,475       $ 737     $ 526  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Portfolio turnover rate

       58 %        10 %        22 %        45 %      80 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount is greater than $(0.005) per share.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   47

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

          iShares Short-Term TIPS Bond Index Fund (continued)  
          Class K  
           

 

Year Ended
12/31/22

            Year Ended
12/31/21		          Year Ended
12/31/20		            Year Ended
12/31/19		     Year Ended
12/31/18		  

Net asset value, beginning of year

     $ 10.41       $ 10.34       $ 9.98       $ 9.76     $ 9.95  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income(a)

       0.58         0.49         0.12         0.25       0.31  

Net realized and unrealized gain (loss)

       (0.86 )        0.04         0.36         0.21       (0.25 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net increase (decrease) from investment operations

       (0.28 )        0.53         0.48         0.46       0.06  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Distributions(b)

                  

From net investment income

       (0.60 )        (0.46 )        (0.12 )        (0.24 )      (0.24 ) 

From net realized gain

       —         —         (0.00 )(c)        —       (0.01 ) 

Return of capital

       (0.00 )(c)        —         —         —       —  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total distributions

       (0.60 )        (0.46 )        (0.12 )        (0.24 )      (0.25 ) 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net asset value, end of year

     $ 9.53       $ 10.41       $ 10.34       $ 9.98     $ 9.76  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total Return(d)

                  

Based on net asset value

       (2.86 )%        5.19 %        4.87 %        4.72 %      0.60 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Ratios to Average Net Assets(e)

                  

Total expenses

       0.18 %        0.28 %        0.71 %        2.14 %      5.80 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

       0.06 %        0.06 %        0.06 %        0.06 %      0.06 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Net investment income

       5.88 %        4.69 %        1.17 %        2.55 %      3.13 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Supplemental Data

                  

Net assets, end of year (000)

            $ 109,665             $ 84,806         $ 41,536       $ 16,112     $ 1,788  
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

Portfolio turnover rate

       58 %        10 %        22 %        45 %      80 % 
   

 

 

      

 

 

      

 

 

      

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount is greater than $(0.005) per share.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

48  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

           iShares MSCI EAFE International Index Fund  
           Institutional  
            

 

Year Ended
12/31/22

             Year Ended
12/31/21		             Year Ended
12/31/20		             Year Ended
12/31/19		     Year Ended
12/31/18		  

Net asset value, beginning of year

      $ 15.85        $ 14.68        $ 13.86        $ 11.76     $ 14.18  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net investment income(a)

        0.41          0.41          0.30          0.42       0.42  

Net realized and unrealized gain (loss)(b)

        (2.64 )         1.24          0.81          2.14       (2.31 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net increase (decrease) from investment operations

        (2.23 )         1.65          1.11          2.56       (1.89 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Distributions(c)

                      

From net investment income

        (0.37 )         (0.48 )         (0.29 )         (0.46 )      (0.53 ) 

Return of capital

        —          —          —          —       (0.00 )(d) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total distributions

        (0.37 )         (0.48 )         (0.29 )         (0.46 )      (0.53 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net asset value, end of year

      $ 13.25        $ 15.85        $ 14.68        $ 13.86     $ 11.76  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total Return(e)

                      

Based on net asset value

        (14.18 )%         11.28 %         8.03 %         21.80 %      (13.37 )% 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Ratios to Average Net Assets(f)

                      

Total expenses

        0.09 %         0.09 %         0.09 %         0.08 %      0.11 %(g) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

        0.09 %         0.09 %         0.09 %         0.08 %      0.10 %(g) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net investment income

        3.06 %         2.57 %         2.35 %         3.23 %      3.02 % 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Supplemental Data

                      

Net assets, end of year (000)

      $ 1,036,641        $ 1,058,978        $ 1,004,855        $ 876,551     $ 753,659  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Portfolio turnover rate

        4 %         3 %         8 %         4 %      43 % 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.09% respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   49

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

           iShares MSCI EAFE International Index Fund (continued)  
           Investor A  
            

 

Year Ended
12/31/22

             Year Ended
12/31/21		            

 

Year Ended
12/31/20

             Year Ended
12/31/19		     Year Ended
12/31/18		  

Net asset value, beginning of year

      $ 15.74        $ 14.58        $ 13.78        $ 11.69     $ 14.09  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net investment income(a)

        0.38          0.36          0.27          0.39       0.38  

Net realized and unrealized gain (loss)(b)

        (2.63 )         1.24          0.78          2.12       (2.28 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net increase (decrease) from investment operations

        (2.25 )         1.60          1.05          2.51       (1.90 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Distributions(c)

                      

From net investment income

        (0.33 )         (0.44 )         (0.25 )         (0.42 )      (0.50 ) 

Return of capital

        —          —          —          —       (0.00 )(d) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total distributions

        (0.33 )         (0.44 )         (0.25 )         (0.42 )      (0.50 ) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net asset value, end of year

      $ 13.16        $ 15.74        $ 14.58        $ 13.78     $ 11.69  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total Return(e)

                      

Based on net asset value

        (14.36 )%         11.01 %         7.68 %         21.53 %      (13.57 )% 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Ratios to Average Net Assets(f)

                      

Total expenses

        0.34 %         0.34 %         0.35 %         0.35 %      0.36 %(g) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

        0.34 %         0.34 %         0.35 %         0.35 %      0.36 %(g) 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Net investment income

        2.85 %         2.31 %         2.11 %         3.00 %      2.74 % 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Supplemental Data

                      

Net assets, end of year (000)

      $ 348,314        $ 385,287        $ 351,999        $ 340,750     $ 305,043  
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

Portfolio turnover rate

        4 %         3 %         8 %         4 %      43 % 
    

 

 

       

 

 

       

 

 

       

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.36% and 0.35% respectively.

See notes to financial statements.

 

 

50  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

           iShares MSCI EAFE International Index Fund (continued)  
           Investor P  
                  Period from  
    Year Ended       Year Ended       Year Ended       Year Ended         08/06/18 (a) 
     12/31/22     12/31/21     12/31/20     12/31/19     to 12/31/18  

Net asset value, beginning of period

     $ 15.69       $ 14.53       $ 13.73       $ 11.65       $ 13.87  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income(b)

       0.39         0.36         0.26         0.39         0.01  

Net realized and unrealized gain (loss)(c)

       (2.63 )        1.24         0.79         2.11         (1.70 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) from investment operations

       (2.24 )        1.60         1.05         2.50         (1.69 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Distributions(d)

                    

From net investment income

       (0.33 )        (0.44 )        (0.25 )        (0.42 )        (0.53 ) 

Return of capital

       —         —         —         —         (0.00 )(e) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions

       (0.33 )        (0.44 )        (0.25 )        (0.42 )        (0.53 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value, end of period

     $ 13.12       $ 15.69       $ 14.53       $ 13.73       $ 11.65  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(f)

                    

Based on net asset value

       (14.36 )%        11.05 %        7.68 %        21.51 %        (12.25 )%(g) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Ratios to Average Net Assets(h)

                    

Total expenses

       0.34 %        0.34 %        0.37 %        0.39 %        0.33 %(i)(j) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses after fees waived and/or reimbursed

       0.34 %        0.34 %        0.37 %        0.36 %        0.32 %(i)(j) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income

       2.87 %        2.30 %        2.08 %        2.97 %        0.23 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Supplemental Data

                    

Net assets, end of period (000)

     $  123,463       $  153,682       $  146,759       $  149,612       $  137,266  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Portfolio turnover rate

       4 %        3 %        8 %        4 %        43 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

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

(e) 

Amount is greater than $(0.005) per share.

(f) 

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

(g) 

Not annualized.

(h) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(i) 

Annualized.

(j) 

Reorganization costs, offering and board realignment and consolidation expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 0.34% and 0.33% respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   51

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares MSCI EAFE International Index Fund (continued)  
    Class K  
    

Year Ended

12/31/22

    

Year Ended

12/31/21

    

Year Ended

12/31/20

    

Year Ended

12/31/19

    

Year Ended

12/31/18

  

Net asset value, beginning of year

   $ 15.86     $ 14.69     $ 13.87     $ 11.76     $ 14.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.43       0.41       0.31       0.43       0.43  

Net realized and unrealized gain (loss)(b)

     (2.65 )      1.24       0.80       2.14       (2.31 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (2.22 )      1.65       1.11       2.57       (1.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(c)

          

From net investment income

     (0.37 )      (0.48 )      (0.29 )      (0.46 )      (0.54 ) 

Return of capital

     —       —       —       —       (0.00 )(d) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.37 )      (0.48 )      (0.29 )      (0.46 )      (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 13.27     $ 15.86     $ 14.69     $ 13.87     $ 11.76  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(e)

          

Based on net asset value

     (14.07 )%      11.33 %      8.07 %      21.94 %      (13.33 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(f)

          

Total expenses

     0.04 %      0.04 %      0.04 %      0.03 %      0.06 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.04 %      0.04 %      0.04 %      0.03 %      0.05 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     3.19 %      2.60 %      2.39 %      3.28 %      3.12 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

          

Net assets, end of year (000)

   $  6,236,454     $  6,929,470     $  5,143,404     $  6,870,922     $  6,420,732  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate

     4 %      3 %      8 %      4 %      43 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(c) 

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

(d) 

Amount is greater than $(0.005) per share.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.05% and 0.04% respectively.

See notes to financial statements.

 

 

52  

2 0 2 2   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund  
    Institutional  
    

 

Year Ended

12/31/22

    

Year Ended

12/31/21

    

Year Ended

12/31/20

    

Year Ended

12/31/19

    

Year Ended

12/31/18

  

Net asset value, beginning of year

   $ 25.76     $ 24.19     $ 20.46     $ 16.87     $ 19.72  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.27       0.25       0.23       0.27       0.28  

Net realized and unrealized gain (loss)

     (5.52 )      3.28       3.84       4.02       (2.40 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (5.25 )      3.53       4.07       4.29       (2.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(b)

          

From net investment income

     (0.28 )      (0.29 )      (0.25 )      (0.28 )      (0.20 ) 

From net realized gain

     (0.06 )      (1.67 )      (0.09 )      (0.42 )      (0.53 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.34 )      (1.96 )      (0.34 )      (0.70 )      (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 20.17     $ 25.76     $ 24.19     $ 20.46     $ 16.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(c)

          

Based on net asset value

     (20.39 )%      14.73 %      19.97 %      25.50 %      (10.94 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(d)(e)(f)

          

Total expenses

     0.13 %      0.12 %      0.16 %      0.16 %      0.18 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.12 %      0.12 %      0.12 %      0.12 %      0.12 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     1.26 %      0.93 %      1.22 %      1.38 %      1.38 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

          

Net assets, end of year (000)

   $  390,670     $  479,451     $  331,429     $  227,381     $  200,990  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate of the Series

     38 %      31 %      27 %      20 %      28 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average Common Shares outstanding.

(b) 

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

(c) 

Where applicable, assumes the reinvestment of distributions.

(d) 

Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income.

(e) 

Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.16% and 0.10% respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   53

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund (continued)  
    Investor A  
    

 

Year Ended

12/31/22

    

Year Ended

12/31/21

    

Year Ended

12/31/20

    

 

Year Ended

12/31/19

    

Year Ended

12/31/18

  

Net asset value, beginning of year

   $ 25.79     $ 24.22     $ 20.49     $ 16.89     $ 19.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.22       0.18       0.17       0.22       0.22  

Net realized and unrealized gain (loss)

     (5.52 )      3.28       3.85       4.03       (2.40 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (5.30 )      3.46       4.02       4.25       (2.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(b)

          

From net investment income

     (0.23 )      (0.22 )      (0.20 )      (0.23 )      (0.14 ) 

From net realized gain

     (0.06 )      (1.67 )      (0.09 )      (0.42 )      (0.53 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.29 )      (1.89 )      (0.29 )      (0.65 )      (0.67 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 20.20     $ 25.79     $ 24.22     $ 20.49     $ 16.89  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(c)

          

Based on net asset value

     (20.57 )%      14.38 %      19.66 %      25.20 %      (11.19 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(d)(e)(f)

          

Total expenses

     0.40 %      0.40 %      0.41 %      0.42 %      0.43 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.37 %      0.37 %      0.37 %      0.37 %      0.37 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     1.01 %      0.66 %      0.93 %      1.14 %      1.08 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

          

Net assets, end of year (000)

   $  194,549     $  243,110     $  257,905     $  273,413     $  254,591  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate of the Series

     38 %      31 %      27 %      20 %      28 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average Common Shares outstanding.

(b) 

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

(c) 

Where applicable, assumes the reinvestment of distributions.

(d) 

Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income.

(e) 

Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.41% and 0.35% respectively.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

           iShares Russell 2000 Small-Cap Index Fund (continued)  
           Investor P  
                  Period from  
    Year Ended       Year Ended       Year Ended       Year Ended         08/06/18 (a) 
     12/31/22     12/31/21     12/31/20     12/31/19     to 12/31/18  

Net asset value, beginning of period

     $ 25.70       $ 24.14       $ 20.43       $ 16.84       $ 21.76  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income(b)

       0.22         0.18         0.18         0.22         0.17  

Net realized and unrealized gain (loss)

       (5.50 )        3.27         3.82         4.02         (4.38 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) from investment operations

       (5.28 )        3.45         4.00         4.24         (4.21 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Distributions(c)

                    

From net investment income

       (0.23 )        (0.22 )        (0.20 )        (0.23 )        (0.19 ) 

From net realized gain

       (0.06 )        (1.67 )        (0.09 )        (0.42 )        (0.52 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions

       (0.29 )        (1.89 )        (0.29 )        (0.65 )        (0.71 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value, end of period

     $ 20.13       $ 25.70       $ 24.14       $ 20.43       $ 16.84  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(d)

                    

Based on net asset value

       (20.57 )%        14.42 %        19.65 %        25.25 %        (19.49 )%(e) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Ratios to Average Net Assets(f)(g)(h)

                    

Total expenses

       0.39 %        0.38 %        0.41 %        0.40 %        0.39 %(i)(j)(k) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses after fees waived and/or reimbursed

       0.37 %        0.37 %        0.37 %        0.36 %        0.35 %(i)(j)(k) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income

       1.01 %        0.67 %        0.95 %        1.14 %        2.12 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Supplemental Data

                    

Net assets, end of period (000)

     $  266,391       $  354,746       $  329,486       $  301,163       $  265,393  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Portfolio turnover rate of the Series

       38 %        31 %        27 %        20 %        28 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) 

Commencement of operations.

(b) 

Based on average Common Shares outstanding.

(c) 

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

(d) 

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

(e) 

Not annualized.

(f) 

Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income.

(g) 

Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%.

(h) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(i) 

Annualized.

(j) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.38% and 0.35% respectively.

(k) 

Reorganization costs, offering and board realignment and consolidation expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 0.40% and 0.37% respectively.

See notes to financial statements.

 

 

F U N D   F I N A N C I A L   H I G H L I G H T S

   55

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund (continued)  
    Class K  
    

 

Year Ended
12/31/22

     Year Ended
12/31/21		     Year Ended
12/31/20		    

 

Year Ended
12/31/19

     Year Ended
12/31/18		  

Net asset value, beginning of year

   $ 25.84     $ 24.26     $ 20.52     $ 16.91     $ 19.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.28       0.27       0.24       0.28       0.30  

Net realized and unrealized gain (loss)

     (5.53 )      3.29       3.85       4.04       (2.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (5.25 )      3.56       4.09       4.32       (2.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(b)

          

From net investment income

     (0.29 )      (0.31 )      (0.26 )      (0.29 )      (0.20 ) 

From net realized gain

     (0.06 )      (1.67 )      (0.09 )      (0.42 )      (0.53 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.35 )      (1.98 )      (0.35 )      (0.71 )      (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 20.24     $ 25.84     $ 24.26     $ 20.52     $ 16.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(c)

          

Based on net asset value

     (20.32 )%      14.78 %      20.00 %      25.62 %      (10.93 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(d)(e)(f)

          

Total expenses

     0.07 %      0.07 %      0.08 %      0.08 %      0.11 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.07 %      0.07 %      0.07 %      0.07 %      0.07 %(g) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     1.31 %      0.99 %      1.26 %      1.44 %      1.44 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

          

Net assets, end of year (000)

   $  1,752,177     $  2,288,892     $  1,835,475     $  1,502,229     $  945,929  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate of the Series

     38 %      31 %      27 %      20 %      28 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average Common Shares outstanding.

(b) 

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

(c) 

Where applicable, assumes the reinvestment of distributions.

(d) 

Includes the Fund’s share of the Series’ allocated net expenses and/or net investment income.

(e) 

Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund’s reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.05% respectively.

See notes to financial statements.

 

 

56  

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Notes to Financial Statements  

 

1.

ORGANIZATION

BlackRock FundsSM (the “Trust”) and BlackRock Index Funds, Inc. (the “Corporation”), are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. The Trust is organized as a Massachusetts business trust. The Corporation is organized as a Maryland corporation. The following, each of which is a series of one of the Trust or the Corporation are referred to herein collectively as the “Funds” or individually as a “Fund”:

 

 

  
Registrant Name   Fund Name    Herein Referred To As   

Diversification

Classification

  

 

  

BlackRock FundsSM

   iShares Municipal Bond Index Fund    Municipal Bond Index      Diversified  
  iShares Short-Term TIPS Bond Index Fund    Short-Term TIPS Bond Index      Diversified  

BlackRock Index Funds, Inc.

   iShares MSCI EAFE International Index Fund    International Index      Diversified  
  iShares Russell 2000 Small-Cap Index Fund    Small Cap Index      Diversified  

 

  

Small Cap Index seeks to achieve its investment objective by investing all of its assets in Master Small Cap Index Series (the “Series”), a series of Quantitative Master Series LLC (the “Master LLC”), and an affiliate of Small Cap Index, which has the same investment objective and strategies as Small Cap Index. The value of Small Cap Index’s investment in the Series reflects Small Cap Index’s proportionate interest in the net assets of the Series. The performance of Small Cap Index is directly affected by the performance of the Series. At December 31, 2022, the percentage of the Series owned by Small Cap Index was 71.5%. The financial statements of the Series, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with Small Cap Index’s financial statements.

Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor P Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Investor P Shares are only available through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with the Fund’s distributor to offer such shares. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

 

 

  
Share Class   Initial Sales Charge      CDSC     Conversion Privilege  

 

  

Institutional, Investor A and Class K Shares

     No        No       None  

Investor P Shares

     Yes        No (a)      None  

 

  

 

  (a) 

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

 

The Board of Trustees of the Trust and the Board of Directors of the Corporation are collectively referred to throughout this report as the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Directors”.

The Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA”) for Municipal Bond Index and BlackRock Advisors, LLC (“BAL”) for Short-Term TIPS Bond Index, International Index and Small Cap Index (“BFA” and “BAL” or together the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For Municipal Bond Index, Short-Term TIPS Bond Index and International Index, for financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when International Index is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities 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.

For Small Cap Index, for financial reporting purposes, contributions to and withdrawals from the Series are accounted for on a trade date basis. Small Cap Index records its proportionate share of the Series’ income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, Small Cap Index accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

 

 

F U N D   N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

   57

Notes to Financial Statements  (continued)

 

Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

ForeignTaxes: International Index may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statements of Assets and Liabilities.

The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Fund may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

Distributions: Distributions paid by International Index and Small Cap Index are recorded on the ex-dividend dates. Distributions from net investment income for Municipal Bond Index and Short-Term TIPS Bond Index are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The 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.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each 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. Small Cap Index’s policy is to value its financial instruments at 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. Small Cap Index records its investment in the Series at fair value based on Small Cap Index’s proportionate interest in the net assets of the Series. Valuation of securities held by the Series is discussed in Note 3 of the Series’ Notes to Financial Statements, which are included elsewhere in this report.

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

 

  •  

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

  •  

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a 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.

 

 

58  

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Notes to Financial Statements  (continued)

 

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 Funds use 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 each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

 

   
     Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services

Market approach

   (i)   recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
  (ii)   recapitalizations and other transactions across the capital structure; and
  (iii)   market multiples of comparable issuers.
     

Income approach

   (i)   future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
  (ii)   quoted prices for similar investments or assets in active markets; and
  (iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
     

Cost approach

   (i)   audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
  (ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
  (iii)   relevant news and other public sources; and
    (iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

 

  •  

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

 

  •  

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 Private Companies 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.

 

 

F U N D   N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

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Notes to Financial Statements  (continued)

 

4.

SECURITIES AND OTHER INVESTMENTS

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are disclosed in the Funds’ Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Funds’ securities on loan by counterparty which are subject to offset under an MSLA:

 

 

  

Fund Name/Counterparty

    

 Securities

Loaned at Value

  

 

     

 Cash Collateral

Received

  

(a) 

    

 Non-Cash Collateral

Received, at Fair Value

  

(a) 

    

 Net

Amount

  

 

 

  

Short-Term TIPS Bond Index

         

J.P. Morgan Securities LLC

   $ 4,095,193      $ (4,095,193 )    $ —     $ —  
 

 

 

     

 

 

    

 

 

    

 

 

  

International Index

         

Citigroup Global Markets, Inc.

   $ 1,216,364      $ (1,216,364 )    $ —     $ —  

Goldman Sachs & Co. LLC

     1,400,734        (1,400,734 )      —       —  

HSBC Bank PLC

     51,056,153        (51,056,153 )      —       —  

J.P. Morgan Securities LLC

     4,787,244        (4,787,244 )      —       —  

Morgan Stanley

     3,052,247        (3,052,247 )      —       —  

Wells Fargo Bank N.A.

     591,591        (591,591 )      —       —  
 

 

 

     

 

 

    

 

 

    

 

 

  
  $ 62,104,333      $ (62,104,333 )    $ —     $ —  
 

 

 

     

 

 

    

 

 

    

 

 

  

 

  (a) 

Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities.

 

 

 

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Notes to Financial Statements  (continued)

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Funds.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or 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 Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each of the Trust and the Corporation, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, each Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets.

 

       
     Municipal Bond Index       Short-Term TIPS Bond Index       International Index   

Investment advisory fees

   0.10%    0.01%    0.01%

Service Fees: The Corporation and the Trust, on behalf of each Fund, entered into a Distribution Agreement and Distribution and Service Plans with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of each Fund as follows:

 

         
    Municipal Bond Index     Short-Term TIPS Bond Index     International Index     Small Cap Index  
 

 

 

    

 

 

    

 

 

    

 

 

  
Share Class   Service Fees     Distribution Fees     Service Fees     Distribution Fees     Service Fees     Distribution Fees     Service Fees     Distribution Fees  

Investor A

     0.25 %      N/A       0.25 %      N/A       0.25 %      N/A       0.25 %      N/A  

Investor P

     0.25       N/A       N/A       N/A       0.25       N/A       0.25       N/A  

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.

For the year ended December 31, 2022, the following table shows the class specific service and distribution fees borne directly by each share class of each Fund:

 

       
Fund Name   Investor A      Investor P      Total  

Municipal Bond Index

   $ 51,450      $ 621,313      $ 672,763  

Short-Term TIPS Bond Index

     5,570        —        5,570  

International Index

     874,204        320,222        1,194,426  

Small Cap Index

     517,401        730,305        1,247,706  

Administration: The Corporation, on behalf of Small Cap Index and International Index, entered into an Administration Agreement with BlackRock Advisors, LLC (the “Administrator”), an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, Small Cap Index pays the Administrator a monthly fee at an annual rate of 0.04% of the average daily net assets of Small Cap Index. Small Cap Index does not pay

 

 

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   61

Notes to Financial Statements  (continued)

 

an investment advisory fee or investment management fee. For International Index, the Administrator is entitled to receive for these administrative services an annual fee of 0.08% based on the average daily net assets of each Fund’s Institutional, Investor A and Investor P Shares and 0.03% of the average daily net assets of Class K Shares.

For the year ended December 31, 2022, the following table shows the class specific administration fees borne directly by each share class of each Fund:

 

 

  
Fund Name   Institutional      Investor A      Investor P      Class K      Total    

 

  

International Index

   $ 798,953      $ 279,745      $ 102,471      $ 1,898,983      $ 3,080,152    

 

  

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended December 31, 2022, the Funds did not pay any amounts to affiliates in return for these services.

The Manager maintains a call center that is responsible for providing certain shareholder services to the Funds. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the year ended December 31, 2022, each Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statements of Operations:

 

 

  
Fund Name   Institutional     Investor A     Investor P     Class K     Total  

 

  

Municipal Bond Index

   $ 55     $ 2,091     $ 667     $ 16     $ 2,829  

Short-Term TIPS Bond Index

     41       458       —       184       683  

Small Cap Index

     2,945       11,807       2,384       5,935       23,071  

 

  

For the year ended December 31, 2022, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:

 

 

  
Fund Name   Institutional     Investor A     Investor P     Class K     Total  

 

  

Municipal Bond Index

   $ 16,045     $ 14,762     $ 130,865     $ 130     $ 161,802  

Short-Term TIPS Bond Index

     10,834       3,539       —       13,148       27,521  

Small Cap Index

     249,204       176,819       206,243       101,186       733,452  

 

  

Other Fees: For the year ended December 31, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of each Fund’s Investor P Shares as follows:

 

 

  
Fund Name   Investor P  

 

  

Municipal Bond Index

   $ 5,287  

International Index

     7,391  

Small Cap Index

     17,222  

 

  

For the year ended December 31, 2022, affiliates received CDSCs as follows:

 

 

  
Fund Name   Investor A      Investor P  

 

  

Municipal Bond Index

   $ —      $ 112  

Short-Term TIPS Bond Index

     87        —  

 

  

Expense Limitations, Waivers, Reimbursements, and Recoupments: With respect to Municipal Bond Index, Short-Term TIPS Bond Index and International Index the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Trust or the Corporation, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of a Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

 

 

  
Fund Name  

Fees Waived and/or Reimbursed  

by the Manager  

  

 

  

Municipal Bond Index

   $ 2,611    

Short-Term TIPS Bond Index

     1,924    

International Index

     13,032    

 

  

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023, with respect to Municipal Bond Index, Short-Term TIPS Bond Index and International Index. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended December 31, 2022, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.

 

 

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Notes to Financial Statements  (continued)

 

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:

 

         
Fund Name   Institutional     Investor A     Investor P     Class K  

Municipal Bond Index

     0.25 %      0.50 %      0.50 %      0.20 % 

Short-Term TIPS Bond Index

     0.11       0.36       —       0.06  

Small Cap Index

     0.12       0.37       0.37       0.07  

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023 with respect to Municipal Bond Index, Short-Term TIPS Bond Index and Small-Cap Index, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended December 31, 2022, the Funds waived the following amounts:

 

 

  
Fund Name  

Fees Waived and/or Reimbursed

by the Manager

     

Fees Waived and/or Reimbursed

by the Administrator

  

 

  

Municipal Bond Index

   $ 6,565      $ —  

Short-Term TIPS Bond Index

     151,333        —  

Small Cap Index

     —        15,006  

 

  

With respect to International Index, the fees and expenses of the Fund’s Independent Trustees, counsel to the Independent Trustees and the Fund’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. The manager has contractually agreed to reimburse the Fund or provide an offsetting credit for such independent expenses through June 30, 2032. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived and/or reimbursed was $165,007.

In addition, these amounts waived and/or reimbursed by the Manager are included in administration fees waived - class specific and transfer agent fees waived and/or reimbursed by Manager - class specific respectively, in the Statements of Operations. For the year ended December 31, 2022, class specific expense waivers and/or reimbursements are as follows:

 

 

  
   

Transfer Agent Fees Waived and/or

Reimbursed by the Manager - Class Specific

  
 

 

 

  
Fund Name   Institutional      Investor A      Investor P      Class K      Total  

 

  

Municipal Bond Index

   $ 372      $ 2,466      $ 5,013      $ 116      $ 7,967  

Short-Term TIPS Bond Index

     73        2,424        —        13,147        15,644  

Small Cap Index

     29,514        62,400        44,647        22,614        159,175  

 

  

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

 

  (1)  

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

 

  (2)  

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

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective February 16, 2023 for Short-Term TIPS Bond Index and November 16, 2025 for Municipal Bond Index, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund’s contractual caps on net expenses will be terminated.

For the year ended December 31, 2022, the Manager recouped the following fund level and class specific waivers and/or reimbursements previously recorded by the Funds:

 

 

  
Fund Name   Institutional      Investor A      Investor P    

 

  

Municipal Bond Index

   $ 190      $ 407      $ 4,062    

 

  

As of December 31, 2022, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

 

 

  
    Expiring  
 

 

 

  
Fund Name/Fund Level/Share Class   12/31/23      12/31/24  

 

  

Municipal Bond Index

     

Fund Level

   $ 1,981      $ 6,565  

Institutional

     —        371  

Investor A

     5,974        2,466  

Investor P

     —        5,013  

Class K

     52        116  

 

  

 

 

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Notes to Financial Statements  (continued)

 

 

  
    Expiring  
 

 

 

  
Fund Name/Fund Level/Share Class   02/16/23  

 

  

Short-Term TIPS Bond Index

  

Fund Level

   $ 317,148  

Institutional

     73  

Investor A

     4,406  

Class K

     25,310  

 

  

The following fund level and class specific waivers and/or reimbursements previously recorded by the Funds, which were subject to recoupment by the Manager, expired on December 31, 2022:

 

 

  
Fund Name/Fund Level/Share Class  

Expired

12/31/22

  

 

  

Municipal Bond Index

  

Fund Level

   $ 16,665  

Institutional

     —  

Investor A

     2,952  

Investor P

     —  

Class K

     35  

Short-Term TIPS Bond Index

  

Fund Level

     202,508  

Institutional

     —  

Investor A

     1,581  

Class K

     8,574  

 

  

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the year ended December 31, 2022, each Fund paid BTC the following amounts for securities lending agent services:

 

 

  
Fund Name   Amounts  

 

  

Short-Term TIPS Bond Index

   $ 918  

International Index

     73,650  

 

  

Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Funds did not participate in the Interfund Lending Program.

 

 

64  

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Notes to Financial Statements  (continued)

 

Directors and Officers: Certain directors and/or officers of the Trust and the Corporation are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s and the Corporation’s Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

Other Transactions: International Index may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

 

  
Fund Name   Purchases      Sales     

Net Realized

Gain (Loss)

  

 

  

International Index

   $ 240,106,243      $ 28,133,816      $ (4,635,540 ) 

 

  

 

7.

PURCHASES AND SALES

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were as follows:

 

 

  
    U.S. Government Securities      Other Securities  
 

 

 

  
Fund Name   Purchases      Sales      Purchases      Sales  

 

  

Municipal Bond Index

   $ —      $ —      $ 62,159,236      $ 69,754,082  

Short-Term TIPS Bond Index

     111,871,875        78,233,649        —        —  

International Index

     —        —        1,079,360,768        330,519,121  

 

  

 

8.

INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

The tax character of distributions paid was as follows:

 

 

  
Fund Name  

Year Ended

12/31/22

    

Year Ended

12/31/21

  

 

  

Municipal Bond Index

    

Tax-exempt income

   $ 7,389,247     $ 7,302,123  

Ordinary income

     44           —  

Long-term capital gains

     105,571       604,105  
 

 

 

    

 

 

  
  $ 7,494,862     $ 7,906,228  
 

 

 

    

 

 

  

Short-Term TIPS Bond Index

    

Ordinary income

   $ 8,582,310     $ 3,724,206  

Return of capital

     29,874       —  
 

 

 

    

 

 

  
  $ 8,612,184     $ 3,724,206  
 

 

 

    

 

 

  

International Index

    

Ordinary income

   $ 210,050,821     $ 249,650,725  
 

 

 

    

 

 

  

Small Cap Index

    

Ordinary income

   $ 35,602,037     $ 75,850,658  

Long-term capital gains

     8,157,280       162,052,657  
 

 

 

    

 

 

  
  $ 43,759,317     $ 237,903,315  
 

 

 

    

 

 

  

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

 

 

  
Fund Name  

Undistributed

Tax-Exempt Income

     

Undistributed

Ordinary Income

     

Non-Expiring

Capital Loss

Carryforwards(a)

    

Net Unrealized

Gains (Losses)(b)

    

Qualified

Late-Year Losses(c)

      Total  

 

  

Municipal Bond Index

     $                251,849        $                     —        $          (728,724 )      $      (11,687,893 )      $                         —        $  (12,164,768 ) 

Short-Term TIPS Bond Index

     —        —        (3,700,418 )      (8,468,763 )      —        (12,169,181 ) 

International Index

     —        14,976,775        (1,082,744,410 )      823,025,503       —        (244,742,132 ) 

 

  

 

 

F U N D   N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

   65

Notes to Financial Statements  (continued)

 

 

  
Fund Name  

Undistributed

Tax-Exempt Income

     

Undistributed

Ordinary Income

     

Non-Expiring

Capital Loss

Carryforwards(a)

     

Net Unrealized

Gains (Losses)(b)

     

Qualified

Late-Year Losses(c)

     Total  

 

  

Small Cap Index

     $                          —        $            205,500        $                    —        $      143,696,550        $          (11,240,148 )      $  132,661,902  

 

  

 

  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the timing of income recognition on partnership interests, the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains / (losses) on certain futures, the classification of investments, the characterization of corporate actions and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies.

 
  (c) 

The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

 

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

 

  
Fund Name   Tax Cost     

Gross Unrealized

Appreciation

     

Gross Unrealized

Depreciation

    

Net Unrealized

Appreciation

(Depreciation)

  

 

  

Municipal Bond Index

   $ 290,266,189      $ 1,151,280      $ (12,839,173 )    $ (11,687,893 ) 

Short-Term TIPS Bond Index

     148,076,358        —        (8,468,763 )      (8,468,763 ) 

International Index

     6,934,343,835        1,517,181,602        (694,300,550 )      822,881,052  

 

  

 

9.

BANK BORROWINGS

The Trust and the Corporation, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Funds did not borrow under the credit agreement.

 

10.

PRINCIPAL RISKS

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.

Short-Term TIPS Bond Index and International Index may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

The Manager uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. The Manager does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by the Manager.

Market Risk: Municipal Bond Index and Short-Term TIPS Bond Index may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Municipal Bond Index and Short-Term TIPS Bond Indexmay also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.

 

 

66  

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Notes to Financial Statements  (continued)

 

Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

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

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in securities within a single or limited number of market sectors. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Fund and could affect the income from, or the value or liquidity of, the Fund’s portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise 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 Funds’ performance.

Certain Funds invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Funds’ investments.

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

 

 

F U N D   N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

   67

Notes to Financial Statements  (continued)

 

Certain Funds invest a significant portion of their assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Funds’ investments.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

11.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class   Shares     Amounts      Shares     Amounts  

 

  

Municipal Bond Index

    

Institutional

    

Shares sold

     6,716,407     $ 73,545,161        650,586     $ 7,957,426  

Shares issued in reinvestment of distributions

     72,389       789,735        18,813       229,880  

Shares redeemed

     (4,315,388 )      (46,776,153 )       (197,401 )      (2,412,656 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    2,473,408     $ 27,558,743        471,998     $ 5,774,650  
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor A

    

Shares sold

     514,295     $ 5,646,294        245,063     $ 3,009,149  

Shares issued in reinvestment of distributions

     39,382       434,735        39,449       482,182  

Shares redeemed

     (617,974 )      (6,755,505 )       (262,213 )      (3,206,037 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    (64,297 )    $ (674,476 )       22,299     $ 285,294  
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor P

    

Shares sold

     521,140     $ 5,825,075        1,203,054     $ 14,753,952  

Shares issued in reinvestment of distributions

     560,086       6,186,252        584,095       7,139,511  

Shares redeemed

     (4,557,453 )      (50,247,487 )       (3,476,299 )      (42,540,620 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    (3,476,227 )    $   (38,236,160 )       (1,689,150 )    $   (20,647,157 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  

Class K

    

Shares sold

     753     $ 8,141        —     $ —  

Shares issued in reinvestment of distributions

     7       70        —       —  
 

 

 

    

 

 

     

 

 

    

 

 

  
    760     $ 8,211        —     $ —  
 

 

 

    

 

 

     

 

 

    

 

 

  
    (1,066,356 )    $ (11,343,682 )       (1,194,853 )    $ (14,587,213 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
        

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class   Shares     Amounts      Shares     Amounts  

 

  

Short-Term TIPS Bond Index

         

Institutional

         

Shares sold

     7,590,679     $ 76,299,333        305,714     $ 3,176,102  

Shares issued in reinvestment of distributions

     283,528       2,813,945        69,714       725,448  

Shares redeemed

     (7,132,696 )      (68,621,455 )       (245,716 )      (2,546,137 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    741,511     $ 10,491,823        129,712     $ 1,355,413  
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor A

         

Shares sold

     235,325     $ 2,363,513        171,246     $ 1,784,237  

Shares issued in reinvestment of distributions

     11,509       115,009        5,235       54,679  

Shares redeemed

     (166,487 )      (1,677,893 )       (135,842 )      (1,420,598 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    80,347     $ 800,629        40,639     $ 418,318  
 

 

 

    

 

 

     

 

 

    

 

 

  

 

 

68  

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Notes to Financial Statements  (continued)

 

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class (continued)   Shares     Amounts      Shares     Amounts  

 

  

Short-Term TIPS Bond Index (continued)

         

Class K

         

Shares sold

     6,403,479     $ 63,780,360        5,666,442     $ 59,144,353  

Shares issued in reinvestment of distributions

     565,093       5,642,604        273,883       2,860,402  

Shares redeemed

     (3,612,033 )      (35,976,226 )       (1,808,850 )      (18,874,083 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    3,356,539     $ 33,446,738        4,131,475     $ 43,130,672  
 

 

 

    

 

 

     

 

 

    

 

 

  
    4,178,397     $ 44,739,190        4,301,826     $ 44,904,403  
 

 

 

    

 

 

     

 

 

    

 

 

  

 

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class   Shares     Amounts      Shares     Amounts  

 

  

International Index

         

Institutional

         

Shares sold

     44,830,303     $ 599,799,146        23,127,179     $ 364,411,891  

Shares issued in reinvestment of distributions

     1,990,031       27,339,792        1,891,131       29,454,601  

Shares redeemed

     (35,425,519 )      (467,004,260 )       (26,665,328 )      (423,071,784 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    11,394,815     $ 160,134,678        (1,647,018 )    $ (29,205,292 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor A

         

Shares sold

     9,154,580     $ 124,407,393        8,903,542     $ 138,961,412  

Shares issued in reinvestment of distributions

     615,903       8,412,911        655,384       10,142,811  

Shares redeemed

     (7,780,497 )      (105,168,005 )       (9,224,259 )      (144,389,967 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    1,989,986     $ 27,652,299        334,667     $ 4,714,256  
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor P

         

Shares sold

     444,880     $ 5,951,609        605,499     $ 9,492,012  

Shares issued in reinvestment of distributions

     223,905       3,052,600        270,934       4,177,007  

Shares redeemed

     (1,052,740 )      (14,165,561 )       (1,179,110 )      (18,358,506 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    (383,955 )    $ (5,161,352 )       (302,677 )    $ (4,689,487 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  

Class K

         

Shares sold

     145,986,650     $ 2,008,193,642        136,820,358     $ 2,164,004,055  

Shares issued in reinvestment of distributions

     12,034,067       165,580,695        12,681,596       197,623,368  

Shares redeemed

     (124,798,602 )      (1,651,527,597 )       (62,785,698 )      (984,062,396 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    33,222,115     $ 522,246,740        86,716,256     $ 1,377,565,027  
 

 

 

    

 

 

     

 

 

    

 

 

  
    46,222,961     $ 704,872,365        85,101,228     $ 1,348,384,504  
 

 

 

    

 

 

     

 

 

    

 

 

  

 

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class   Shares     Amounts      Shares     Amounts  

 

  

Small Cap Index

         

Institutional

         

Shares sold

     7,797,928     $ 169,143,081        8,680,716     $ 240,094,727  

Shares issued in reinvestment of distributions

     315,848       6,543,993        1,322,710       33,755,049  

Shares redeemed

     (7,360,277 )      (159,895,204 )       (5,088,628 )      (138,990,726 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    753,499     $ 15,791,870        4,914,798     $ 134,859,050  
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor A

         

Shares sold

     2,622,705     $ 58,016,949        3,401,943     $ 94,188,064  

Shares issued in reinvestment of distributions

     131,542       2,720,059        640,818       16,377,948  

Shares redeemed

     (2,548,942 )      (55,990,710 )       (5,267,709 )      (146,988,976 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    205,305     $ 4,746,298        (1,224,948 )    $ (36,422,964 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  

Investor P

         

Shares sold

     828,931     $ 18,359,829        1,120,863     $ 30,459,520  

Shares issued in reinvestment of distributions

     185,136       3,812,087        968,853       24,668,150  

Shares redeemed

     (1,583,069 )      (34,375,275 )       (1,935,582 )      (52,802,385 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    (569,002 )    $ (12,203,359 )       154,134     $ 2,325,285  
 

 

 

    

 

 

     

 

 

    

 

 

  

 

 

F U N D   N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

   69

Notes to Financial Statements   (continued)   

 

 

  
   

Year Ended

12/31/22

     

Year Ended

12/31/21

  
 

 

 

     

 

 

  
Fund Name / Share Class (continued)   Shares     Amounts      Shares     Amounts  

 

  

Small Cap Index (continued)

         

Class K

         

Shares sold

     31,164,847     $     677,677,385        27,344,333     $     747,541,231  

Shares issued in reinvestment of distributions

     1,469,932       30,510,791        6,339,905       162,274,538  

Shares redeemed

     (34,633,557 )      (751,233,437 )       (20,752,569 )      (567,308,604 ) 
 

 

 

    

 

 

     

 

 

    

 

 

  
    (1,998,778 )    $ (43,045,261 )       12,931,669     $ 342,507,165  
 

 

 

    

 

 

     

 

 

    

 

 

  
    (1,608,976 )    $ (34,710,452 )       16,775,653     $ 443,268,536  
 

 

 

    

 

 

     

 

 

    

 

 

  

As of December 31, 2022, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:

 

 

  
Fund Name   Institutional     Investor A     Investor P     Class K  

 

  

Municipal Bond Index

     8,707       871       871       8,707  

International Index

     —       —       14,420       —  

Small Cap Index

     —       —       9,191       —  

 

  

 

12.

SUBSEQUENT EVENTS

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

 

 

70  

2 0 2 2   B L A C K R O C K   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

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund, and iShares Russell 2000 Small-Cap Index Fund and the Board of Directors/Trustees of BlackRock FundsSM and BlackRock Index Funds, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of iShares Municipal Bond Index Fund and iShares Short-Term TIPS Bond Index Fund of BlackRock FundsSM and iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund of BlackRock Index Funds, Inc. (collectively, the “Funds”), including the schedules of investments of iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, and iShares MSCI EAFE International Index Fund, as of December 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

F U N D   R E P O R T   O F   I N D E P E N D E N T   R E G I S T E R E D   P U B L I C   A C C O U N T I N G   F I R M

   71

Important Tax Information  (unaudited)   

 

The following amounts, or maximum amounts allowable by law, are hereby designated as tax-exempt interest dividends for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

    Exempt-Interest

Dividends

  

 

  

Municipal Bond Index

   $ 7,387,127  

 

  

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

Qualified Dividend

Income

  

 

  

International Index

   $ 255,942,959  

Small Cap Index

     26,022,623  

 

  

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified business income for individuals for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

  Qualified Business

Income

  

 

  

Small Cap Index

   $ 4,613,647  

 

  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

20% Rate Long-Term

Capital Gain Dividends

  

 

  

Municipal Bond Index

   $ 105,571  

Small Cap Index

     8,157,280  

 

  

The Funds intend to pass through to their shareholders the following amounts, or maximum amounts allowable by law, of foreign source income earned and foreign taxes paid for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

    Foreign Source

Income Earned

     

Foreign

          Taxes Paid

  

 

  

International Index

   $ 225,486,596      $ 21,992,973  

 

  

The Fund hereby designates the following amount, or maximum amount allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

  Federal Obligation

Interest

  

 

  

Short-Term TIPS Bond Index

   $ 8,562,350  

 

  

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2022 qualified for the dividends-received deduction for corporate shareholders:

 

 

  
Fund Name  

Dividends-Received   

Deduction   

  

 

  

Small Cap Index

     71.23%  

 

  

The Fund hereby designates the following amount, or maximum amount allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

Interest

          Dividends

  

 

  

Short-Term TIPS Bond Index

   $ 8,562,350  

 

  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2022:

 

 

  
Fund Name  

Interest

Related

    Dividends

  

 

  

Short-Term TIPS Bond Index

   $ 8,562,350  

 

  

 

 

72  

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Series Portfolio Information    as of December 31, 2022   

Master Small Cap Index Series

    

 

TEN LARGEST HOLDINGS

 

   
Security  

Percent of

Net Assets

  

iShares Russell 2000 ETF

     0.9 % 

Halozyme Therapeutics, Inc.

     0.3  

Shockwave Medical, Inc.

     0.3  

Inspire Medical Systems, Inc.

     0.3  

EMCOR Group, Inc.

     0.3  

Crocs, Inc.

     0.3  

Matador Resources Co.

     0.3  

Iridium Communications, Inc.

     0.3  

Murphy Oil Corp.

     0.3  

Texas Roadhouse, Inc.

     0.3  

SECTOR ALLOCATION

 

   
Sector  

Percent of

Net Assets

  

Financials

     16.7 % 

Health Care

     16.6  

Industrials

     15.3  

Information Technology

     12.5  

Consumer Discretionary

     10.3  

Energy

     6.7  

Real Estate

     6.3  

Materials

     4.2  

Consumer Staples

     3.6  

Utilities

     3.4  

Communication Services

     2.6  

Investment Companies

     0.9  

Short-Term Securities

     9.8  

Liabilities in Excess of Other Assets

     (8.9 ) 
 

 

 

S E R I E S   P O R T F O L I O   I N F O R M A T I O N

   73

Schedule of Investments   

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Advertising Agencies — 0.2%  

Advantage Solutions, Inc.(a)(b)

     129,718     $ 269,813  

Audacy, Inc.(a)

     245,324       55,222  

Boston Omaha Corp., Class A(a)(b)

     34,538       915,257  

Cardlytics, Inc.(a)

     52,309       302,346  

Chimera Investment Corp.

     366,925       2,018,088  

Clear Channel Outdoor Holdings, Inc.(a)

     595,261       625,024  

QuinStreet, Inc.(a)(b)

     81,282       1,166,397  

Thryv Holdings, Inc.(a)

     41,095       780,805  

Viad Corp.(a)

     31,725       773,773  
   

 

 

  
      6,906,725  
Aerospace — 0.8%            

AAR Corp.(a)

     53,253       2,391,060  

Aerojet Rocketdyne Holdings, Inc.(a)

     125,242       7,004,785  

AeroVironment, Inc.(a)

     38,919       3,333,801  

AerSale Corp.(a)

     30,321       491,807  

Archer Aviation, Inc., Class A(a)

     219,130       409,773  

Astronics Corp.(a)

     39,911       411,083  

Cadre Holdings, Inc.(b)

     29,880       601,783  

Ducommun, Inc.(a)

     17,405       869,554  

Kaman Corp.

     43,670       973,841  

Kratos Defense & Security Solutions, Inc.(a)(b)

     194,996       2,012,359  

Macerich Co.

     339,885       3,827,105  

Moog, Inc., Class A

     45,176       3,964,646  

Triumph Group, Inc.(a)

     102,650       1,079,878  
   

 

 

  
          27,371,475  
Aerospace & Defense(a) — 0.1%  

Astra Space, Inc.(b)

     222,300       96,434  

Momentus, Inc.

     84,216       65,680  

Redwire Corp.

     29,894       59,190  

Rocket Lab USA, Inc.

     337,905       1,273,902  

Terran Orbital Corp.(b)

     36,999       58,458  

Virgin Galactic Holdings, Inc.(b)

     373,613       1,300,173  
   

 

 

  
      2,853,837  
Agriculture, Fishing & Ranching — 0.2%  

Alico, Inc.

     9,684       231,157  

Andersons, Inc.

     50,484       1,766,435  

Calavo Growers, Inc.

     27,224       800,386  

Cal-Maine Foods, Inc.

     59,826       3,257,526  

Fresh Del Monte Produce, Inc.

     48,413       1,267,937  

Fresh Market, Inc.(c)

     14,020       —  

GrowGeneration Corp.(a)(b)

     90,570       355,034  
   

 

 

  
      7,678,475  
Air Transport(a) — 0.4%            

Air Transport Services Group, Inc.

     89,377       2,322,015  

Allegiant Travel Co.

     24,457       1,662,831  

Atlas Air Worldwide Holdings, Inc.(b)

     44,196       4,454,957  

Frontier Group Holdings, Inc.

     57,842       594,037  

Hawaiian Holdings, Inc.(b)

     79,002       810,561  

SkyWest, Inc.

     78,757       1,300,278  

Spirit Airlines, Inc.(b)

     172,034       3,351,222  

Sun Country Airlines Holdings, Inc.(b)

     52,729       836,282  
   

 

 

  
      15,332,183  
Airlines(a) — 0.0%            

Blade Air Mobility, Inc.(b)

     86,708       310,415  

Diversey Holdings Ltd.

     126,263       537,880  
Security   Shares     Value  
Airlines (continued)            

Wheels Up Experience, Inc.(b)

     245,907     $ 253,284  

WM Technology, Inc.

     110,879       111,988  
   

 

 

  
      1,213,567  
Alternative Energy — 0.5%            

Aemetis, Inc.(a)(b)

     48,385       191,605  

Alto Ingredients, Inc.(a)

     117,185       337,493  

Ameresco, Inc., Class A(a)(b)

     50,182       2,867,399  

Battalion Oil Corp.(a)

     4,417       42,889  

Centrus Energy Corp., Class A(a)(b)

     15,863       515,230  

Green Brick Partners, Inc.(a)

     43,583       1,056,016  

Green Plains, Inc.(a)(b)

     51,340       1,565,870  

Permian Resources Corp.

     324,594       3,051,184  

REX American Resources Corp.(a)

     25,459       811,124  

Sitio Royalties Corp., Class A(b)

     112,339       3,240,966  

Sunnova Energy International, Inc.(a)(b)

     156,662       2,821,483  
   

 

 

  
          16,501,259  
Aluminum — 0.2%            

Arconic Corp.(a)(b)

     157,586       3,334,520  

Century Aluminum Co.(a)

     84,532       691,472  

Kaiser Aluminum Corp.

     24,989       1,898,164  
   

 

 

  
      5,924,156  
Asset Management & Custodian — 0.9%  

Artisan Partners Asset Management, Inc., Class A

     94,829       2,816,421  

AssetMark Financial Holdings, Inc.(a)

     33,462       769,626  

B. Riley Financial, Inc.

     32,429       1,109,072  

Brightsphere Investment Group, Inc.

     50,782       1,045,094  

Cohen & Steers, Inc.

     40,081       2,587,629  

Cowen, Inc., Class A(b)

     41,932       1,619,414  

Diamond Hill Investment Group, Inc.

     4,658       861,823  

Federated Hermes, Inc.

     134,709       4,891,284  

Focus Financial Partners, Inc., Class A(a)(b)

     91,539       3,411,659  

GCM Grosvenor, Inc., Class A

     66,624       507,009  

Hamilton Lane, Inc., Class A

     55,706       3,558,499  

Open Lending Corp., Class A(a)

     165,970       1,120,298  

Oppenheimer Holdings, Inc., Class A

     13,284       562,312  

PJT Partners, Inc., Class A

     37,257       2,745,468  

Sculptor Capital Management, Inc.

     40,728       352,704  

Silvercrest Asset Management Group, Inc., Class A

     15,320       287,556  

StepStone Group, Inc., Class A

     84,068       2,116,832  

Virtus Investment Partners, Inc.

     11,061       2,117,518  

WisdomTree, Inc.

     213,451       1,163,308  
   

 

 

  
      33,643,526  
Auto Components(a)(b) — 0.1%  

Holley, Inc.

     82,686       175,294  

Luminar Technologies, Inc.

     389,030       1,925,699  

Solid Power, Inc.

     209,517       532,173  
   

 

 

  
      2,633,166  
Auto Parts — 1.0%            

Adient PLC(a)

     149,799       5,196,527  

American Axle & Manufacturing Holdings, Inc.(a)

     180,412       1,410,822  

Canoo, Inc.(a)(b)

     236,697       291,137  

CarParts.com, Inc.(a)

     80,635       504,775  

Dana, Inc.

     203,709       3,082,117  

Dorman Products, Inc.(a)

     41,582       3,362,736  

Fisker, Inc.(a)(b)

     273,174       1,985,975  

Fox Factory Holding Corp.(a)

     66,937       6,106,663  

Gentherm, Inc.(a)

     52,269       3,412,643  

Lordstown Motors Corp., Class A(a)(b)

     268,032       305,556  
 

 

 

74  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Auto Parts (continued)  

Mullen Automotive, Inc.(a)(b)

     476,197     $ 136,192  

Standard Motor Products, Inc.

     31,821       1,107,371  

Stoneridge, Inc.(a)

     41,244       889,221  

Visteon Corp.(a)

     43,897       5,743,045  

Workhorse Group, Inc.(a)(b)

     240,450       365,484  

XPEL, Inc.(a)

     33,978       2,040,719  
   

 

 

  
          35,940,983  
Auto Services — 0.1%  

Goodyear Tire & Rubber Co.(a)(b)

     442,774       4,494,156  
   

 

 

  
Automobiles(a) — 0.0%  

Cenntro Electric Group Ltd.

     284,366       125,121  

Faraday Future Intelligent Electric, Inc.(b)

     300,590       87,261  
   

 

 

  
      212,382  
Back Office Support, HR & Consulting — 1.7%  

ASGN, Inc.(a)

     77,422       6,308,345  

Atlas Technical Consultants, Inc.(a)

     29,194       150,349  

Barrett Business Services, Inc.

     11,136       1,038,766  

CBIZ, Inc.(a)

     74,412       3,486,202  

Conduent, Inc.(a)

     267,871       1,084,878  

CRA International, Inc.(b)

     10,959       1,341,710  

DHI Group, Inc.(a)

     66,059       349,452  

ExlService Holdings, Inc.(a)(b)

     50,672       8,585,357  

Forrester Research, Inc.(a)

     18,008       643,966  

Hackett Group, Inc.

     42,527       866,275  

Heidrick & Struggles International, Inc.

     31,397       878,174  

Huron Consulting Group, Inc.(a)

     30,444       2,210,234  

ICF International, Inc.

     29,118       2,884,138  

Insperity, Inc.

     56,542       6,423,171  

Kelly Services, Inc., Class A

     52,866       893,435  

Kforce, Inc.

     30,272       1,659,814  

Korn Ferry

     82,382       4,170,177  

Liquidity Services, Inc.(a)

     38,307       538,596  

Maximus, Inc.

     94,430       6,924,552  

NV5 Global, Inc.(a)(b)

     21,339       2,823,577  

PFSweb, Inc.

     25,521       156,954  

Resources Connection, Inc.

     51,424       945,173  

Target Hospitality Corp.(a)

     47,647       721,376  

TriNet Group, Inc.(a)(b)

     59,086       4,006,031  

TrueBlue, Inc.(a)

     49,981       978,628  

TTEC Holdings, Inc.

     29,999       1,323,856  
   

 

 

  
      61,393,186  
Banks — 0.0%            

John Marshall Bancorp, Inc.

     17,653       508,053  

USCB Financial Holdings, Inc.(a)

     16,653       203,167  
   

 

 

  
      711,220  
Banks: Diversified — 9.0%  

1st Source Corp.

     25,125       1,333,886  

ACNB Corp.

     13,052       519,600  

Ambac Financial Group, Inc.(a)

     68,912       1,201,825  

Amerant Bancorp, Inc.

     44,106       1,183,805  

American National Bankshares, Inc.

     16,235       599,559  

Ameris Bancorp

     102,221       4,818,698  

Arrow Financial Corp.

     22,132       750,275  

Associated Banc-Corp.(b)

     228,696       5,280,591  

Atlantic Union Bankshares Corp.

     118,179       4,152,810  

BancFirst Corp.

     31,021       2,735,432  

Banco Latinoamericano de Comercio Exterior SA, Class E

     43,124       698,609  

Bancorp, Inc.(a)

     79,613       2,259,417  
Security   Shares     Value  
Banks: Diversified (continued)  

Bank First Corp.

     10,039     $ 931,820  

Bank of Marin Bancorp

     24,854       817,200  

Bank of NT Butterfield & Son Ltd.

     78,446           2,338,475  

Bankwell Financial Group, Inc.

     8,704       256,159  

Banner Corp.

     52,372       3,309,910  

Bar Harbor Bankshares

     23,625       756,945  

BayCom Corp.

     19,853       376,810  

BCB Bancorp, Inc.

     22,202       399,414  

Blue Ridge Bankshares, Inc.

     27,394       342,151  

Bridgewater Bancshares, Inc.(a)

     32,096       569,383  

Business First Bancshares, Inc.

     32,681       723,557  

Byline Bancorp, Inc.

     38,786       890,914  

Cadence Bank

     237,821       5,864,666  

Cambridge Bancorp

     10,923       907,264  

Camden National Corp.

     23,098       962,956  

Capital Bancorp, Inc.

     13,728       323,157  

Capital City Bank Group, Inc.

     21,636       703,170  

Capitol Federal Financial, Inc.

     206,654       1,787,557  

Capstar Financial Holdings, Inc.

     31,550       557,173  

Carter Bankshares, Inc.(a)

     38,332       635,928  

Cathay General Bancorp

     110,915       4,524,223  

Central Pacific Financial Corp.

     36,134       732,798  

Citizens & Northern Corp.

     24,118       551,337  

City Holding Co.

     22,134       2,060,454  

Civista Bancshares, Inc.

     24,583       541,072  

CNB Financial Corp.

     25,754       612,688  

Coastal Financial Corp.(a)(b)

     16,198       769,729  

Colony Bankcorp, Inc.

     25,286       320,879  

Columbia Banking System, Inc.

     111,572       3,361,664  

Columbia Financial, Inc.(a)(b)

     54,374       1,175,566  

Community Bank System, Inc.

     80,268       5,052,871  

Community Trust Bancorp, Inc.

     25,076       1,151,741  

ConnectOne Bancorp, Inc.

     58,568       1,417,931  

CrossFirst Bankshares, Inc.(a)(b)

     70,858       879,348  

Customers Bancorp, Inc.(a)

     49,120       1,392,061  

CVB Financial Corp.

     207,979       5,355,459  

Eagle Bancorp, Inc.

     47,681       2,101,302  

Eastern Bankshares, Inc.

     246,092       4,245,087  

Enterprise Bancorp, Inc.

     15,063       531,724  

Enterprise Financial Services Corp.

     55,663       2,725,260  

Equity Bancshares, Inc., Class A(b)

     23,763       776,337  

Esquire Financial Holdings, Inc.

     10,697       462,752  

Farmers & Merchants Bancorp, Inc.

     18,592       505,331  

Farmers National Banc Corp.

     50,578       714,161  

FB Financial Corp.

     56,457       2,040,356  

Financial Institutions, Inc.

     23,585       574,531  

First Bancorp, Inc.

     15,345       459,429  

First BanCorp/Puerto Rico

     284,836       3,623,114  

First Bancorp/Southern Pines NC

     51,199       2,193,365  

First Bancshares, Inc.

     31,038       993,526  

First Bank

     24,595       338,427  

First Busey Corp.

     81,445       2,013,320  

First Business Financial Services, Inc.

     12,390       452,855  

First Commonwealth Financial Corp.

     139,403       1,947,460  

First Community Bankshares, Inc.

     25,204       854,416  

First Financial Bancorp

     141,314       3,424,038  

First Financial Bankshares, Inc.

     203,005       6,983,372  

First Financial Corp.

     17,342       799,119  

First Foundation, Inc.

     81,782       1,171,936  

First Guaranty Bancshares, Inc.

     9,370       219,727  

First Internet Bancorp

     14,564       353,614  

First Interstate BancSystem, Inc., Class A

     140,494       5,430,093  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   75

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Banks: Diversified (continued)  

First Merchants Corp.

     90,327     $ 3,713,343  

First Mid Bancshares, Inc.

     29,863       958,005  

First of Long Island Corp.

     35,860       645,480  

First Western Financial, Inc.(a)(b)

     12,197       343,346  

Five Star Bancorp

     20,095       547,388  

Fulton Financial Corp.

     249,053           4,191,562  

FVCBankcorp, Inc.(a)

     18,457       351,975  

German American Bancorp, Inc.

     43,307       1,615,351  

Glacier Bancorp, Inc.

     174,006       8,599,377  

Guaranty Bancshares, Inc.

     13,008       450,597  

Hancock Whitney Corp.

     134,201       6,493,986  

Hanmi Financial Corp.

     35,695       883,451  

HarborOne Bancorp, Inc.

     70,469       979,519  

HBT Financial, Inc.

     16,051       314,118  

Heartland Financial USA, Inc.

     64,821       3,021,955  

Heritage Commerce Corp.

     91,994       1,195,922  

Hippo Holdings, Inc.(a)(b)

     25,613       348,337  

Home BancShares, Inc.

     293,696       6,693,332  

Hope Bancorp, Inc.

     162,875       2,086,429  

Horizon Bancorp, Inc.

     63,593       958,982  

Independent Bank Corp.

     98,708       6,408,004  

Independent Bank Group, Inc.

     56,474       3,392,958  

International Bancshares Corp.

     84,576       3,870,198  

Lakeland Bancorp, Inc.

     97,469       1,716,429  

Lakeland Financial Corp.

     38,212       2,788,330  

Live Oak Bancshares, Inc.

     51,623       1,559,015  

Luther Burbank Corp.

     24,183       268,673  

Macatawa Bank Corp.

     41,442       457,105  

Mercantile Bank Corp.

     24,735       828,128  

Merchants Bancorp(b)

     24,586       597,932  

Metrocity Bankshares, Inc.

     29,924       647,256  

Metropolitan Bank Holding Corp.(a)(b)

     16,268       954,444  

Mid Penn Bancorp, Inc.

     22,916       686,793  

Midland States Bancorp, Inc.

     33,402       889,161  

MVB Financial Corp.

     16,156       355,755  

National Bank Holdings Corp., Class A

     46,113       1,939,974  

NBT Bancorp, Inc.

     64,164       2,786,001  

Nicolet Bankshares, Inc.(a)

     19,392       1,547,288  

Northeast Bank

     10,382       437,082  

OFG Bancorp

     71,865       1,980,599  

Old National Bancorp

     458,552       8,244,765  

Old Second Bancorp, Inc.

     67,733       1,086,437  

Origin Bancorp, Inc.

     35,335       1,296,794  

Orrstown Financial Services, Inc.

     16,163       374,335  

Pacific Premier Bancorp, Inc.

     132,968       4,196,470  

Park National Corp.

     22,642       3,186,861  

Parke Bancorp, Inc.

     15,614       323,834  

PCB Bancorp

     17,977       318,013  

PCSB Financial Corp.

     19,932       379,505  

Peapack-Gladstone Financial Corp.

     27,658       1,029,431  

Peoples Bancorp, Inc.

     44,482       1,256,617  

Peoples Financial Services Corp.

     10,766       558,109  

Pioneer Bancorp, Inc.(a)

     20,117       229,334  

Preferred Bank/Los Angeles CA

     12,747       951,181  

Primis Financial Corp.

     35,322       418,566  

Professional Holding Corp., Class A(a)

     19,999       554,772  

Provident Financial Services, Inc.

     110,654       2,363,569  

QCR Holdings, Inc.

     25,245       1,253,162  

RBB Bancorp

     22,814       475,672  

Red River Bancshares, Inc.

     7,783       397,400  

Renasant Corp.

     83,410       3,135,382  

Republic Bancorp, Inc., Class A

     13,729       561,791  
Security   Shares     Value  
Banks: Diversified (continued)  

Republic First Bancorp, Inc.(a)(b)

     69,664     $ 149,778  

Root, Inc./OH, Class A(a)(b)

     11,987       53,822  

S&T Bancorp, Inc.

     52,403       1,791,135  

Sandy Spring Bancorp, Inc.

     68,943       2,428,862  

Seacoast Banking Corp. of Florida

     84,458       2,634,245  

ServisFirst Bancshares, Inc.(b)

     79,165       5,455,260  

Shore Bancshares, Inc.

     27,333       476,414  

Sierra Bancorp

     21,281       452,008  

Silvergate Capital Corp., Class A(a)(b)

     49,459       860,587  

Simmons First National Corp., Class A

     184,109       3,973,072  

SmartFinancial, Inc.

     24,098       662,695  

South Plains Financial, Inc.

     15,746       433,487  

Southern First Bancshares, Inc.(a)(b)

     11,833       541,360  

Southside Bancshares, Inc.

     48,411       1,742,312  

SouthState Corp.

     117,355       8,961,228  

Stellar Bancorp, Inc.

     71,536       2,107,451  

Stock Yards Bancorp, Inc.

     45,176       2,935,536  

Summit Financial Group, Inc.

     17,559       437,044  

Texas Capital Bancshares, Inc.(a)

     78,913       4,759,243  

Third Coast Bancshares, Inc.(a)

     19,738       363,771  

Tompkins Financial Corp.

     21,899       1,698,924  

Towne Bank

     106,267       3,277,274  

TriCo Bancshares

     49,221       2,509,779  

Triumph Financial, Inc.(a)(b)

     36,842       1,800,469  

TrustCo Bank Corp./New York

     29,053       1,092,102  

Trustmark Corp.

     95,350       3,328,668  

UMB Financial Corp.

     69,479       5,802,886  

United Bankshares, Inc.

     203,494       8,239,472  

United Community Banks, Inc.

     162,050       5,477,290  

Unity Bancorp, Inc.

     10,876       297,241  

Univest Financial Corp.

     45,685       1,193,749  

Valley National Bancorp

     679,810       7,688,651  

Veritex Holdings, Inc.

     73,782       2,071,799  

Washington Trust Bancorp, Inc.

     26,713       1,260,319  

WesBanco, Inc.

     88,028       3,255,275  

West BanCorp., Inc.

     25,156       642,736  

Westamerica BanCorp

     39,538       2,333,137  
   

 

 

  
          329,108,250  
Banks: Savings, Thrift & Mortgage Lending — 1.0%  

Amalgamated Financial Corp.

     22,374       515,497  

Axos Financial, Inc.(a)

     90,438       3,456,540  

Banc of California, Inc.

     83,135       1,324,341  

BankUnited, Inc.

     119,002       4,042,498  

Berkshire Hills Bancorp, Inc.

     62,941       1,881,936  

Brookline Bancorp, Inc.

     112,560       1,592,724  

Finance of America Cos., Inc., Class A(a)

     53,250       67,627  

Flushing Financial Corp.

     44,859       869,367  

Great Southern Bancorp, Inc.

     14,717       875,514  

Greene County Bancorp, Inc.

     5,231       300,364  

Heritage Financial Corp.

     53,775       1,647,666  

Hingham Institution for Savings

     2,351       648,782  

Home Bancorp, Inc.

     11,335       453,740  

Home Point Capital, Inc.

     7,506       10,283  

HomeStreet, Inc.

     25,459       702,159  

Kearny Financial Corp.

     95,358       967,884  

Ladder Capital Corp.

     179,266       1,799,831  

Northfield Bancorp, Inc.

     68,278       1,074,013  

Northwest Bancshares, Inc.

     184,801       2,583,518  

OceanFirst Financial Corp.

     91,596       1,946,415  

Premier Financial Corp.

     55,835       1,505,870  

Provident Bancorp, Inc.

     22,753       165,642  

Southern Missouri Bancorp, Inc.

     12,153       556,972  
 

 

 

76  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Banks: Savings, Thrift & Mortgage Lending (continued)  

Sterling Bancorp, Inc.(a)

     26,451     $ 161,087  

Washington Federal, Inc.

         102,259       3,430,789  

Waterstone Financial, Inc.

     30,424       524,510  

WSFS Financial Corp.

     94,352       4,277,920  
   

 

 

  
      37,383,489  
Beverage: Soft Drinks — 0.5%  

Celsius Holdings, Inc.(a)

     87,009       9,052,416  

Coca-Cola Consolidated, Inc.

     7,412       3,797,612  

Duckhorn Portfolio, Inc.(a)

     63,778       1,056,802  

National Beverage Corp.(a)

     37,260       1,733,708  

Primo Water Corp.

     248,642       3,863,897  

Vintage Wine Estates, Inc.(a)(b)

     50,032       163,104  
   

 

 

  
          19,667,539  
Biotechnology — 7.1%  

2seventy bio, Inc.(a)

     60,134       563,456  

4D Molecular Therapeutics, Inc.(a)

     47,481       1,054,553  

Aadi Bioscience, Inc.(a)

     22,370       287,007  

Adicet Bio, Inc.(a)

     44,011       393,458  

ADMA Biologics, Inc.(a)(b)

     289,347       1,122,666  

Aduro Biotech, Inc.(c)

     21,953       55,738  

Aerovate Therapeutics, Inc.(a)(b)

     14,296       418,873  

Affimed NV(a)

     217,574       269,792  

Agenus, Inc.(a)

     472,050       1,132,920  

Agios Pharmaceuticals, Inc.(a)

     86,103       2,417,772  

Akero Therapeutics, Inc.(a)(b)

     54,487       2,985,888  

Albireo Pharma, Inc.(a)

     27,550       595,355  

Alector, Inc.(a)

     99,288       916,428  

Allogene Therapeutics, Inc.(a)(b)

     125,735       790,873  

Allovir, Inc.(a)

     48,407       248,328  

Alpine Immune Sciences, Inc.(a)

     23,938       175,944  

ALX Oncology Holdings, Inc.(a)(b)

     32,739       368,969  

Amicus Therapeutics, Inc.(a)

     435,108       5,312,669  

Amylyx Pharmaceuticals, Inc.(a)

     78,907       2,915,614  

AN2 Therapeutics, Inc.(a)

     15,732       149,926  

AnaptysBio, Inc.(a)(b)

     31,437       974,233  

Anavex Life Sciences Corp.(a)(b)

     110,559       1,023,776  

ANI Pharmaceuticals, Inc.(a)

     19,754       794,703  

Apellis Pharmaceuticals, Inc.(a)(b)

     147,957       7,650,856  

Arbutus Biopharma Corp.(a)(b)

     174,248       405,998  

Arcellx, Inc.(a)

     47,497       1,471,457  

Arcturus Therapeutics Holdings, Inc.(a)

     36,368       616,801  

Arcus Biosciences, Inc.(a)

     81,031       1,675,721  

Arcutis Biotherapeutics, Inc.(a)(b)

     64,089       948,517  

Arvinas, Inc.(a)(b)

     76,746       2,625,481  

Atara Biotherapeutics, Inc.(a)

     143,092       469,342  

Aura Biosciences, Inc.(a)

     28,310       297,255  

Aurinia Pharmaceuticals, Inc.(a)

     215,124       929,336  

Avid Bioservices, Inc.(a)

     95,218       1,311,152  

Avidity Biosciences, Inc.(a)(b)

     79,404       1,761,975  

Beam Therapeutics, Inc.(a)(b)

     100,274       3,921,716  

BioCryst Pharmaceuticals, Inc.(a)(b)

     292,644       3,359,553  

Biohaven Ltd.(a)

     95,362       1,323,625  

Bioventus, Inc., Class A(a)

     48,861       127,527  

Bioxcel Therapeutics, Inc.(a)(b)

     29,533       634,369  

Bluebird Bio, Inc.(a)(b)

     128,771       891,095  

Blueprint Medicines Corp.(a)

     94,277       4,130,275  

Bridgebio Pharma, Inc.(a)

     165,051       1,257,689  

C4 Therapeutics, Inc.(a)(b)

     65,317       385,370  

Caribou Biosciences, Inc.(a)

     90,199       566,450  

Castle Biosciences, Inc.(a)

     39,518       930,254  

Catalyst Pharmaceuticals, Inc.(a)

     150,867       2,806,126  
Security   Shares     Value  
Biotechnology (continued)  

Celldex Therapeutics, Inc.(a)(b)

     72,303     $ 3,222,545  

Celularity, Inc.(a)

         108,491       139,953  

Century Therapeutics, Inc.(a)

     33,469       171,696  

Cerevel Therapeutics Holdings, Inc.(a)(b)

     89,631       2,826,962  

Chinook Therapeutics, Inc.(a)

     78,151       2,047,556  

CinCor Pharma, Inc.(a)(b)

     38,285       470,523  

Codexis, Inc.(a)

     95,897       446,880  

Cogent Biosciences, Inc.(a)(b)

     100,663       1,163,664  

Coherus Biosciences, Inc.(a)

     118,395       937,688  

Collegium Pharmaceutical, Inc.(a)

     53,511       1,241,455  

Crinetics Pharmaceuticals, Inc.(a)

     83,026       1,519,376  

CTI BioPharma Corp.(a)

     161,357       969,756  

Cullinan Oncology, Inc.(a)

     48,934       516,254  

Cytokinetics, Inc.(a)

     129,537       5,935,385  

Day One Biopharmaceuticals, Inc.(a)

     43,549       937,174  

Deciphera Pharmaceuticals, Inc.(a)

     72,364       1,186,046  

Denali Therapeutics, Inc.(a)(b)

     170,069       4,729,619  

Design Therapeutics, Inc.(a)(b)

     54,618       560,381  

Douglas Elliman, Inc

     119,264       485,404  

Dynavax Technologies Corp.(a)

     186,716       1,986,658  

Dyne Therapeutics, Inc.(a)

     49,127       569,382  

Editas Medicine, Inc.(a)(b)

     108,122       959,042  

Eiger BioPharmaceuticals, Inc.(a)

     63,298       74,692  

Emergent BioSolutions, Inc.(a)

     79,999       944,788  

Enochian Biosciences, Inc.(a)

     30,528       31,444  

EQRx, Inc.(a)

     322,000       792,120  

Erasca, Inc.(a)

     100,902       434,888  

EyePoint Pharmaceuticals, Inc.(a)(b)

     42,891       150,119  

Fate Therapeutics, Inc.(a)

     131,147       1,323,273  

FibroGen, Inc.(a)

     137,827       2,207,989  

Foghorn Therapeutics, Inc.(a)(b)

     32,469       207,152  

Fulcrum Therapeutics, Inc.(a)(b)

     65,670       478,078  

Generation Bio Co.(a)

     79,184       311,193  

Geron Corp.(a)(b)

     574,826       1,391,079  

Gossamer Bio, Inc.(a)(b)

     99,288       215,455  

GreenLight Biosciences Holdings PBC(a)(b)

     115,845       136,697  

Gtx, Inc.(b)(c)

     944       968  

Halozyme Therapeutics, Inc.(a)

     209,027           11,893,636  

Heron Therapeutics, Inc.(a)(b)

     160,149       400,373  

HilleVax, Inc.(a)(b)

     25,874       432,872  

Humacyte, Inc.(a)

     76,600       161,626  

Icosavax, Inc.(a)

     38,731       307,524  

Ideaya Biosciences, Inc.(a)

     68,514       1,244,899  

IGM Biosciences, Inc.(a)(b)

     17,415       296,229  

Imago Biosciences, Inc.(a)

     40,767       1,465,574  

ImmunityBio, Inc.(a)(b)

     127,460       646,222  

ImmunoGen, Inc.(a)

     338,742       1,680,160  

Immunovant, Inc.(a)(b)

     69,503       1,233,678  

Inhibrx, Inc.(a)

     50,560       1,245,798  

Inovio Pharmaceuticals, Inc.(a)

     389,992       608,388  

Insmed, Inc.(a)(b)

     210,857       4,212,923  

Instil Bio, Inc.(a)

     107,503       67,727  

Intellia Therapeutics, Inc.(a)

     133,261       4,649,476  

Intercept Pharmaceuticals, Inc.(a)

     38,914       481,366  

Invitae Corp.(a)(b)

     368,229       684,906  

Invivyd, Inc.(a)

     80,990       121,485  

Iovance Biotherapeutics, Inc.(a)

     241,038       1,540,233  

iTeos Therapeutics, Inc.(a)

     37,833       738,878  

IVERIC bio, Inc.(a)

     211,440       4,526,930  

Janux Therapeutics, Inc.(a)

     26,245       345,647  

Jounce Therapeutics, Inc.(a)

     63,561       70,553  

KalVista Pharmaceuticals, Inc.(a)

     37,687       254,764  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   77

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Biotechnology (continued)  

Karuna Therapeutics, Inc.(a)

     47,466     $ 9,327,069  

Karyopharm Therapeutics, Inc.(a)

     121,430       412,862  

Keros Therapeutics, Inc.(a)

     29,968       1,439,063  

Kezar Life Sciences, Inc.(a)

     81,326       572,535  

Kiniksa Pharmaceuticals Ltd., Class A(a)

     50,378       754,662  

Kinnate Biopharma, Inc.(a)

     46,139       281,448  

Kodiak Sciences, Inc.(a)

     52,484       375,785  

Kronos Bio, Inc.(a)

     65,413       105,969  

Krystal Biotech, Inc.(a)(b)

     33,618       2,663,218  

Kura Oncology, Inc.(a)(b)

     100,104       1,242,291  

Kymera Therapeutics, Inc.(a)(b)

     59,148       1,476,334  

Lexicon Pharmaceuticals, Inc.(a)

     125,521       239,745  

Ligand Pharmaceuticals, Inc.(a)(b)

     23,810       1,590,508  

Lyell Immunopharma, Inc.(a)(b)

     271,148       940,884  

MacroGenics, Inc.(a)

     93,313       626,130  

Madrigal Pharmaceuticals, Inc.(a)

     19,849       5,761,172  

MannKind Corp.(a)(b)

         392,682           2,069,434  

MaxCyte, Inc.(a)

     135,315       738,820  

MeiraGTx Holdings PLC(a)

     49,912       325,426  

Mersana Therapeutics, Inc.(a)(b)

     140,069       820,804  

MiMedx Group, Inc.(a)(b)

     174,375       484,763  

Mirum Pharmaceuticals, Inc.(a)(b)

     28,522       556,179  

Monte Rosa Therapeutics, Inc.(a)

     44,992       342,389  

Morphic Holding, Inc.(a)(b)

     41,269       1,103,946  

Myriad Genetics, Inc.(a)(b)

     125,471       1,820,584  

Nautilus Biotechnology, Inc.(a)

     73,637       132,547  

NGM Biopharmaceuticals, Inc.(a)

     60,572       304,071  

Nkarta, Inc.(a)

     50,082       299,991  

Nurix Therapeutics, Inc.(a)(b)

     74,184       814,540  

Nuvalent, Inc., Class A(a)(b)

     31,189       928,808  

Ocugen, Inc.(a)(b)

     350,209       455,272  

OPKO Health, Inc.(a)

     645,490       806,862  

Outlook Therapeutics, Inc.(a)(b)

     186,570       201,496  

Pacific Biosciences of California, Inc.(a)(b)

     356,389       2,915,262  

Pardes Biosciences, Inc.(a)

     43,775       73,980  

PepGen, Inc.(a)

     21,643       289,367  

Phathom Pharmaceuticals, Inc.(a)

     36,555       410,147  

PMV Pharmaceuticals, Inc.(a)

     59,370       516,519  

Point Biopharma Global, Inc.(a)

     132,404       965,225  

Praxis Precision Medicines, Inc.(a)

     52,779       125,614  

Precigen, Inc.(a)

     166,443       252,993  

Prime Medicine, Inc.(b)

     15,067       279,945  

Prometheus Biosciences, Inc.(a)

     54,500       5,995,000  

Protagonist Therapeutics, Inc.(a)

     73,546       802,387  

Prothena Corp. PLC(a)

     57,485       3,463,471  

Provention Bio, Inc.(a)(b)

     94,830       1,002,353  

PTC Therapeutics, Inc.(a)

     110,835       4,230,572  

Quantum-Si, Inc.(a)(b)

     141,106       258,224  

RadNet, Inc.(a)

     79,813       1,502,879  

Rallybio Corp.(a)

     23,944       157,312  

RAPT Therapeutics, Inc.(a)

     41,866       828,947  

Recursion Pharmaceuticals, Inc., Class A(a)(b)

     215,610       1,662,353  

REGENXBIO, Inc.(a)

     62,985       1,428,500  

Relay Therapeutics, Inc.(a)

     132,967       1,986,527  

Relmada Therapeutics, Inc.(a)

     43,965       153,438  

Replimune Group, Inc.(a)

     64,936       1,766,259  

Revolution Medicines, Inc.(a)(b)

     117,216       2,792,085  

Rigel Pharmaceuticals, Inc.(a)

     256,348       384,522  

Rocket Pharmaceuticals, Inc.(a)(b)

     83,146       1,627,167  

Sage Therapeutics, Inc.(a)(b)

     82,186       3,134,574  

Sana Biotechnology, Inc.(a)(b)

     140,950       556,752  

Sangamo Therapeutics, Inc.(a)(b)

     201,376       632,321  
Security   Shares     Value  
Biotechnology (continued)  

Science 37 Holdings, Inc.(a)

     96,182     $ 39,935  

Seres Therapeutics, Inc.(a)

     111,300       623,280  

Singular Genomics Systems, Inc.(a)(b)

     83,527       167,889  

SomaLogic, Inc.(a)

     231,949       582,192  

Sorrento Therapeutics, Inc.(a)

         704,011       623,754  

SpringWorks Therapeutics, Inc.(a)(b)

     54,775       1,424,698  

Stoke Therapeutics, Inc.(a)

     34,529       318,703  

Sutro Biopharma, Inc.(a)

     78,219       632,010  

Talaris Therapeutics, Inc.(a)

     32,454       33,103  

Tango Therapeutics, Inc.(a)

     72,190       523,377  

Tenaya Therapeutics, Inc.(a)(b)

     47,185       94,842  

Travere Therapeutics, Inc.(a)

     96,084       2,020,647  

Tricida, Inc.(a)(b)

     51,440       7,865  

Twist Bioscience Corp.(a)

     88,559       2,108,590  

Tyra Biosciences, Inc.(a)

     19,668       149,477  

Vanda Pharmaceuticals, Inc.(a)

     87,581       647,224  

Vaxart, Inc.(a)(b)

     196,290       188,615  

Vaxcyte, Inc.(a)

     112,549       5,396,725  

VBI Vaccines, Inc.(a)(b)

     310,101       121,281  

Vera Therapeutics, Inc.(a)(b)

     23,254       449,965  

Veracyte, Inc.(a)

     113,053       2,682,748  

Vericel Corp.(a)(b)

     75,322       1,983,981  

Verve Therapeutics, Inc.(a)(b)

     71,516       1,383,835  

Vir Biotechnology, Inc.(a)

     114,410       2,895,717  

Viridian Therapeutics, Inc.(a)

     58,442       1,707,091  

VistaGen Therapeutics, Inc.(a)(b)

     304,040       31,316  

Xencor, Inc.(a)

     90,572       2,358,495  

Y-mAbs Therapeutics, Inc.(a)

     57,171       278,994  

Zentalis Pharmaceuticals, Inc.(a)(b)

     73,671       1,483,734  

Zogenix, Inc.(b)(c)

     87,311       59,371  
   

 

 

  
          257,731,838  
Building Materials — 0.7%  

Aspen Aerogels, Inc.(a)(b)

     50,038       589,948  

BlueLinx Holdings, Inc.(a)

     13,276       944,056  

Caesarstone Ltd.

     34,219       195,390  

Gibraltar Industries, Inc.(a)

     47,479       2,178,337  

Griffon Corp.(b)

     72,681       2,601,253  

Masonite International Corp.(a)

     35,117       2,830,781  

Patrick Industries, Inc.

     34,645       2,099,487  

PGT Innovations, Inc.(a)

     92,233       1,656,505  

Quanex Building Products Corp.

     51,787       1,226,316  

Simpson Manufacturing Co., Inc.

     66,494       5,895,358  

Summit Materials, Inc., Class A(a)(b)

     190,314       5,403,022  
   

 

 

  
      25,620,453  
Building Products — 0.0%  

Janus International Group, Inc.(a)

     130,032       1,237,905  
   

 

 

  
Building: Climate Control — 0.3%  

AAON, Inc.

     69,205       5,212,521  

Comfort Systems USA, Inc.

     55,206       6,353,106  

View, Inc.(a)

     170,099       164,129  
   

 

 

  
      11,729,756  
Building: Roofing, Wallboard & Plumbing(a) — 0.2%  

Beacon Roofing Supply, Inc.

     81,063       4,279,316  

JELD-WEN Holding, Inc.

     131,619       1,270,123  
   

 

 

  
      5,549,439  
Cable Television Services(a) — 0.1%  

AMC Networks, Inc., Class A

     47,702       747,490  

Liberty Latin America Ltd., Class A

     59,788       450,204  
 

 

 

78  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Cable Television Services (continued)  

Liberty Latin America Ltd., Class C

     235,279     $ 1,788,120  

WideOpenWest, Inc.

     84,378       768,684  
   

 

 

  
      3,754,498  
Capital Markets — 0.0%  

Bakkt Holdings, Inc.(a)(b)

     106,356       126,564  

Perella Weinberg Partners

     64,719       634,246  

Victory Capital Holdings, Inc., Class A

     25,605       686,982  
   

 

 

  
      1,447,792  
Casinos & Gambling — 0.4%  

Accel Entertainment, Inc.(a)

     90,391       696,011  

Century Casinos, Inc.(a)

     41,548       292,082  

Full House Resorts, Inc.(a)

     52,068       391,551  

Inspired Entertainment, Inc.(a)

     34,213       433,479  

International Game Technology PLC

     155,005       3,515,513  

Light & Wonder, Inc., Class A(a)(b)

     147,581       8,648,247  

Monarch Casino & Resort, Inc.(a)

     20,995       1,614,306  
   

 

 

  
      15,591,189  
Cement — 0.0%  

Concrete Pumping Holdings, Inc.(a)

     40,542       237,171  
   

 

 

  
Chemicals — 0.0%            

Perimeter Solutions SA(a)

     183,790       1,679,841  
   

 

 

  
Chemicals: Diversified — 0.9%  

AdvanSix, Inc.

     42,642       1,621,249  

American Vanguard Corp.

     42,960       932,661  

Avient Corp.

     143,643       4,849,388  

Cabot Corp.

     86,733       5,797,234  

CSW Industrials, Inc.

     23,070       2,674,505  

Danimer Scientific, Inc.(a)(b)

     144,177       258,077  

Ecovyst, Inc.(a)

     108,029       957,137  

Hawkins, Inc.

     30,533       1,178,574  

Ingevity Corp.(a)(b)

     58,191       4,098,974  

Landec Corp.(a)

     42,588       275,970  

LSB Industries, Inc.(a)(b)

     113,686       1,512,024  

Origin Materials, Inc.(a)(b)

     164,339       757,603  

PureCycle Technologies, Inc.(a)(b)

     169,172       1,143,603  

Rayonier Advanced Materials, Inc.(a)

     98,884       949,286  

Sensient Technologies Corp.

     66,197       4,827,085  

Valhi, Inc.

     3,801       83,622  
   

 

 

  
          31,916,992  
Chemicals: Specialty — 0.8%  

Amyris, Inc.(a)(b)

         318,831       487,811  

Balchem Corp.

     50,275       6,139,080  

FutureFuel Corp.

     39,115       318,005  

Innospec, Inc.

     39,069       4,018,637  

Livent Corp.(a)

     255,740       5,081,554  

Orion Engineered Carbons SA

     94,692       1,686,465  

Park Aerospace Corp.

     31,735       425,566  

Quaker Chemical Corp.

     21,376       3,567,654  

Stepan Co.

     32,409       3,450,262  

Trinseo PLC

     55,198       1,253,547  

Tronox Holdings PLC, Class A

     184,598       2,530,839  
   

 

 

  
      28,959,420  
Coal — 0.4%  

Arch Resources, Inc.

     23,143       3,304,589  

CONSOL Energy, Inc.

     54,161       3,520,465  

Peabody Energy Corp.(a)

     185,773       4,908,123  
Security   Shares     Value  
Coal (continued)  

Ramaco Resources, Inc.

     33,989     $ 298,763  

Warrior Met Coal, Inc.

     81,254       2,814,638  
   

 

 

  
      14,846,578  
Commercial Banks — 0.1%  

Dime Community Bancshares, Inc.

     51,346       1,634,343  

HomeTrust Bancshares, Inc.

     22,705       548,780  
   

 

 

  
      2,183,123  
Commercial Finance & Mortgage Companies — 0.3%  

Federal Agricultural Mortgage Corp., Class C

     14,559       1,640,945  

Pathward Financial, Inc.

     43,148       1,857,521  

PennyMac Financial Services, Inc.

     41,666       2,360,796  

RE/MAX Holdings, Inc., Class A

     29,696       553,534  

Velocity Financial, Inc.(a)

     17,616       169,994  

Walker & Dunlop, Inc.

     48,432       3,800,943  
   

 

 

  
          10,383,733  
Commercial Services & Supplies — 0.1%  

ACV Auctions, Inc., Class A(a)(b)

     184,458       1,514,400  

Aris Water Solution, Inc., Class A

     34,177       492,490  

Information Services Group, Inc.

     54,901       252,545  

Li-Cycle Holdings Corp.(a)(b)

     213,197       1,014,818  

National Research Corp.

     22,029       821,682  
   

 

 

  
      4,095,935  
Commercial Services: Rental & Leasing — 0.8%  

GATX Corp.

     54,732       5,820,201  

GMS, Inc.(a)

     64,867       3,230,377  

H&E Equipment Services, Inc.(b)

     50,095       2,274,313  

Herc Holdings, Inc.

     39,188       5,155,965  

McGrath RentCorp

     38,231       3,774,929  

NOW, Inc.(a)

         174,040       2,210,308  

Rush Enterprises, Inc., Class B

     10,219       575,023  

Triton International Ltd.

     90,354       6,214,548  
   

 

 

  
      29,255,664  
Commercial Vehicles & Parts — 0.3%  

Blue Bird Corp.(a)(b)

     27,405       293,507  

Miller Industries, Inc.

     17,488       466,230  

Modine Manufacturing Co.(a)

     78,515       1,559,308  

Motorcar Parts of America, Inc.(a)

     29,868       354,234  

REV Group, Inc.

     53,240       671,889  

Rush Enterprises, Inc., Class A

     65,013       3,398,880  

Shyft Group, Inc.

     54,259       1,348,879  

Wabash National Corp.

     73,031       1,650,501  
   

 

 

  
      9,743,428  
Communications Equipment(a)(b) — 0.1%  

CommScope Holding Co., Inc.

     323,623       2,378,629  

Ondas Holdings, Inc.

     60,819       96,702  
   

 

 

  
      2,475,331  
Communications Technology — 0.9%  

908 Devices, Inc.(a)(b)

     35,127       267,668  

AdTheorent Holding Co., Inc.(a)

     58,110       96,463  

ADTRAN Holdings, Inc.

     118,802       2,232,290  

Anterix, Inc.(a)

     29,042       934,281  

Avaya Holdings Corp.(a)(b)

     128,969       25,278  

Aviat Networks, Inc.(a)(b)

     10,089       314,676  

Bandwidth, Inc., Class A(a)(b)

     35,910       824,134  

Calix, Inc.(a)(b)

     89,574       6,129,549  

Casa Systems, Inc.(a)

     55,675       151,993  

Comtech Telecommunications Corp.

     41,372       502,256  

Digi International, Inc.(a)

     53,918       1,970,703  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   79

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Communications Technology (continued)  

DZS, Inc.(a)

     27,899     $ 353,759  

EchoStar Corp., Class A(a)

     54,126       902,822  

Extreme Networks, Inc.(a)

     199,259       3,648,432  

Harmonic, Inc.(a)

     145,028       1,899,867  

Infinera Corp.(a)(b)

     298,676       2,013,076  

Inseego Corp.(a)(b)

     146,601       123,511  

InterDigital, Inc.

     46,856       2,318,435  

Maxar Technologies, Inc.(b)

     116,055       6,004,686  

NETGEAR, Inc.(a)

     45,468       823,425  

Ooma, Inc.(a)

     36,146       492,308  

Ribbon Communications, Inc.(a)

         110,086       307,140  
   

 

 

  
          32,336,752  
Computer Services Software & Systems — 4.8%  

A10 Networks, Inc.

     98,630       1,640,217  

ACI Worldwide, Inc.(a)

     173,652       3,993,996  

Adeia, Inc.

     166,633       1,579,681  

Alarm.com Holdings, Inc.(a)

     75,890       3,755,037  

Alkami Technology, Inc.(a)(b)

     58,228       849,546  

Altair Engineering, Inc., Class A(a)(b)

     82,008       3,728,904  

American Software, Inc., Class A

     49,361       724,619  

Appfolio, Inc., Class A(a)

     30,059       3,167,617  

Appian Corp., Class A(a)

     63,168       2,056,750  

Applied Digital Corp.(a)

     78,303       144,077  

Asana, Inc., Class A(a)(b)

     116,201       1,600,088  

Aterian, Inc.(a)

     94,084       72,473  

Avid Technology, Inc.(a)

     53,751       1,429,239  

Benefitfocus, Inc.(a)(b)

     39,344       411,538  

BigCommerce Holdings, Inc., Series-1(a)(b)

     100,875       881,647  

Blackbaud, Inc.(a)

     73,289       4,313,791  

Blackline, Inc.(a)(b)

     87,155       5,862,917  

Blucora, Inc.(a)

     75,131       1,918,094  

Box, Inc., Class A(a)

     220,637       6,868,430  

Brightcove, Inc.(a)

     64,907       339,464  

Cargurus, Inc.(a)(b)

     161,035       2,256,100  

Cerence, Inc.(a)

     62,394       1,156,161  

Cleanspark, Inc.(a)(b)

     76,971       157,021  

CommVault Systems, Inc.(a)

     70,251       4,414,573  

CSG Systems International, Inc.

     47,966       2,743,655  

Digimarc Corp.(a)(b)

     21,894       404,820  

Digital Turbine, Inc.(a)

     148,158       2,257,928  

DigitalOcean Holdings, Inc.(a)(b)

     110,051       2,802,999  

Domo, Inc., Class B(a)

     48,416       689,444  

E2open Parent Holdings, Inc.(a)(b)

     313,292       1,839,024  

Ebix, Inc.

     41,582       829,977  

Edgio, Inc.(a)

     215,777       243,828  

Envestnet, Inc.(a)

     83,050       5,124,185  

ePlus, Inc.(a)

     41,671       1,845,192  

Eventbrite, Inc., Class A(a)

     119,924       702,755  

Everbridge, Inc.(a)

     62,459       1,847,537  

EverQuote, Inc., Class A(a)(b)

     31,499       464,295  

Evolent Health, Inc., Class A(a)

     129,345       3,632,008  

fuboTV, Inc.(a)(b)

     286,544       498,587  

Grid Dynamics Holdings, Inc.(a)

     83,773       939,933  

Groupon, Inc.(a)(b)

     36,579       313,848  

LivePerson, Inc.(a)

     110,909       1,124,617  

LiveRamp Holdings, Inc.(a)

     104,234       2,443,245  

Magnite, Inc.(a)(b)

     206,506       2,186,899  

Marathon Digital Holdings, Inc.(a)(b)

     173,343       592,833  

MicroStrategy, Inc., Class A(a)(b)

     14,846       2,101,748  

Mitek Systems, Inc.(a)

     66,630       645,645  

Momentive Global, Inc.(a)(b)

     204,407       1,430,849  
Security   Shares     Value  
Computer Services Software & Systems (continued)  

Multiplan Corp.(a)(b)

         601,228     $ 691,412  

NetScout Systems, Inc.(a)

     107,819       3,505,196  

ON24, Inc.(a)

     63,216       545,554  

OneSpan, Inc.(a)

     62,235       696,410  

Ouster, Inc.(a)(b)

     220,786       190,538  

PagerDuty, Inc.(a)(b)

     134,251       3,565,707  

PAR Technology Corp.(a)(b)

     42,057       1,096,426  

Parsons Corp.(a)

     53,086       2,455,227  

Paya Holdings, Inc.(a)

     138,061       1,086,540  

PDF Solutions, Inc.(a)

     46,905       1,337,731  

Perficient, Inc.(a)

     53,914       3,764,815  

Progress Software Corp.

     66,718       3,365,923  

PROS Holdings, Inc.(a)

     65,507       1,589,200  

Q2 Holdings, Inc.(a)

     88,150       2,368,590  

Rackspace Technology, Inc.(a)(b)

     89,351       263,585  

Rapid7, Inc.(a)(b)

     91,653       3,114,369  

Red Violet, Inc.(a)

     14,638       336,967  

Rimini Street, Inc.(a)

     75,101       286,135  

Riot Blockchain, Inc.(a)(b)

     242,650       822,583  

Sapiens International Corp. NV

     48,968       904,929  

Schrodinger, Inc.(a)(b)

     86,286       1,612,685  

SecureWorks Corp., Class A(a)

     13,813       88,265  

ShotSpotter, Inc.(a)

     14,683       496,726  

Shutterstock, Inc.

     38,264       2,017,278  

Simulations Plus, Inc.

     25,013       914,725  

Sprout Social, Inc., Class A(a)

     73,652       4,158,392  

SPS Commerce, Inc.(a)

     57,225       7,349,407  

Sumo Logic, Inc.(a)

     181,306       1,468,579  

TechTarget, Inc.(a)(b)

     43,026       1,895,726  

Telos Corp.(a)

     87,285       444,281  

Tenable Holdings, Inc.(a)

     175,293       6,687,428  

Tucows, Inc., Class A(a)(b)

     15,374       521,486  

Unisys Corp.(a)

     105,434       538,768  

Upland Software, Inc.(a)

     45,169       322,055  

Upwork, Inc.(a)(b)

     189,177       1,975,008  

Varonis Systems, Inc.(a)

     171,907       4,115,454  

Verint Systems, Inc.(a)

     100,398       3,642,439  

Veritone, Inc.(a)(b)

     48,924       259,297  

Verra Mobility Corp.(a)(b)

     217,987       3,014,760  

Viant Technology, Inc., Class A(a)(b)

     18,892       75,946  

Workiva, Inc.(a)

     75,230       6,317,063  

Yelp, Inc.(a)

     104,828       2,865,997  

Yext, Inc.(a)(b)

     179,672       1,173,258  

Zuora, Inc., Class A(a)(b)

     191,900       1,220,484  
   

 

 

  
          176,191,175  
Computer Technology — 0.7%            

3D Systems Corp.(a)

     199,924       1,479,437  

Cantaloupe, Inc.(a)

     91,146       396,485  

Corsair Gaming, Inc.(a)

     59,893       812,748  

Diebold Nixdorf, Inc.(a)(b)

     112,326       159,503  

Identiv, Inc.(a)

     33,764       244,451  

Impinj, Inc.(a)(b)

     33,798       3,690,066  

Insight Enterprises, Inc.(a)

     49,552       4,968,579  

PC Connection, Inc.

     17,574       824,221  

Super Micro Computer, Inc.(a)

     72,477       5,950,362  

Synaptics, Inc.(a)

     62,597       5,956,730  
   

 

 

  
      24,482,582  
Construction — 0.5%  

Construction Partners, Inc., Class A(a)

     62,592       1,670,580  

EMCOR Group, Inc.

     73,547       10,893,046  

Granite Construction, Inc.

     69,811       2,448,272  
 

 

 

80  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Construction (continued)  

Great Lakes Dredge & Dock Corp.(a)

     102,455     $ 609,607  

Primoris Services Corp.

     83,699       1,836,356  

Sterling Infrastructure, Inc.(a)(b)

     46,826       1,535,893  

Tutor Perini Corp.(a)

     66,361       501,026  
   

 

 

  
      19,494,780  
Consumer Electronics(a) — 0.1%  

Sonos, Inc.

     201,377       3,403,271  

Universal Electronics, Inc.

     18,452       383,986  

Vuzix Corp.(b)

     93,896       341,782  
   

 

 

  
      4,129,039  
Consumer Finance(a) — 0.0%  

Consumer Portfolio Services, Inc.

     17,579       155,574  

Moneylion, Inc.

         223,276       138,431  

NerdWallet, Inc., Class A

     39,578       379,949  

OppFi, Inc.(b)

     20,875       42,794  

Sunlight Financial Holdings, Inc.

     37,549       48,438  
   

 

 

  
      765,186  
Consumer Lending — 0.5%  

Curo Group Holdings Corp.

     32,093       113,930  

Encore Capital Group, Inc.(a)

     35,432       1,698,610  

Enova International, Inc.(a)(b)

     46,722       1,792,723  

Ezcorp, Inc., Class A(a)(b)

     77,749       633,654  

LendingTree, Inc.(a)

     16,206       345,674  

Marcus & Millichap, Inc.

     39,824       1,371,937  

MoneyGram International, Inc.(a)

     147,405       1,605,240  

Navient Corp.

     164,817       2,711,240  

Nelnet, Inc., Class A

     22,944       2,082,168  

Oportun Financial Corp.(a)

     42,970       236,765  

PRA Group, Inc.(a)

     60,463       2,042,440  

PROG Holdings, Inc.(a)

     79,947       1,350,305  

Regional Management Corp.

     11,998       336,904  

World Acceptance Corp.(a)

     6,330       417,400  
   

 

 

  
      16,738,990  
Consumer Services: Miscellaneous — 0.3%  

Cars.com, Inc.(a)(b)

     106,354       1,464,495  

Chuy’s Holdings, Inc.(a)

     29,747       841,840  

FirstCash Holdings, Inc.

     59,105       5,136,816  

Franchise Group, Inc.

     39,159       932,767  

KAR Auction Services, Inc.(a)

     168,068       2,193,287  

Udemy, Inc.(a)

     113,853       1,201,149  

WW International, Inc.(a)

     87,231       336,712  
   

 

 

  
          12,107,066  
Containers & Packaging — 0.4%  

Cryptyde, Inc.(a)

     28,356       5,436  

Greif, Inc., Class A

     38,345       2,571,416  

Greif, Inc., Class B

     8,371       654,863  

Myers Industries, Inc.

     57,255       1,272,779  

O-I Glass, Inc.(a)

     245,597       4,069,542  

Pactiv Evergreen, Inc.

     67,071       761,926  

Ranpak Holdings Corp.(a)(b)

     68,534       395,441  

UFP Technologies, Inc.(a)

     10,865       1,280,875  

Veritiv Corp.

     20,224       2,461,463  
   

 

 

  
      13,473,741  
Cosmetics — 0.2%  

elf Beauty, Inc.(a)

     76,391       4,224,422  

Inter Parfums, Inc.

     28,326       2,734,026  
   

 

 

  
      6,958,448  
Security   Shares     Value  
Diversified Consumer Services(a) — 0.2%  

Beachbody Co., Inc.

     161,696     $ 85,052  

Duolingo, Inc.

     37,146       2,642,195  

Frontdoor, Inc.

     130,617       2,716,834  

Nerdy, Inc.(b)

     83,730       188,392  

Rover Group, Inc.

     143,981       528,410  
   

 

 

  
      6,160,883  
Diversified Financial Services — 0.8%  

Alerus Financial Corp.

     24,233       565,841  

Associated Capital Group, Inc., Class A

     3,113       130,715  

Cannae Holdings, Inc.(a)

     107,514       2,220,164  

Compass Diversified Holdings

     97,146       1,770,972  

European Wax Center, Inc., Class A

     38,668       481,417  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

     136,727       3,962,348  

Houlihan Lokey, Inc.

     78,124       6,809,288  

Jackson Financial, Inc., Class A

     116,716       4,060,550  

MBIA, Inc.(a)

     74,515       957,518  

MidWestOne Financial Group, Inc.

     22,466       713,295  

Moelis & Co., Class A

     100,573       3,858,986  

Piper Sandler Cos.,

     26,818       3,491,435  

SWK Holdings Corp.(a)

     5,499       97,002  

Tiptree, Inc.(b)

     40,535       561,004  
   

 

 

  
          29,680,535  
Diversified Manufacturing Operations — 0.5%  

Barnes Group, Inc.

     77,256       3,155,907  

Custom Truck One Source, Inc.(a)

     92,336       583,563  

Enerpac Tool Group Corp.

     88,233       2,245,530  

Federal Signal Corp.

     94,261       4,380,309  

Harsco Corp.(a)

     125,601       790,030  

Luxfer Holdings PLC

     43,897       602,267  

OSI Systems, Inc.(a)

     25,555       2,032,134  

PowerSchool Holdings, Inc., Class A(a)

     72,609       1,675,816  

Standex International Corp.

     18,748       1,919,983  

TriMas Corp.

     66,087       1,833,253  
   

 

 

  
      19,218,792  
Diversified Materials & Processing — 0.4%  

Belden, Inc.

     65,878       4,736,628  

Encore Wire Corp.

     27,625       3,800,095  

Insteel Industries, Inc.

     29,882       822,353  

Koppers Holdings, Inc.

     32,047       903,725  

NL Industries, Inc.

     14,377       97,907  

Tredegar Corp.

     43,945       449,118  

Uranium Energy Corp.(a)(b)

         548,063       2,126,485  
   

 

 

  
      12,936,311  
Diversified Media — 0.0%  

EW Scripps Co., Class A(a)

     92,275       1,217,107  
   

 

 

  
Diversified Retail — 0.3%  

Big Lots, Inc.

     45,365       666,866  

Dillard’s, Inc., Class A

     6,204       2,005,133  

Duluth Holdings, Inc., Class B(a)(b)

     21,183       130,911  

Global Industrial Co.

     20,148       474,082  

Overstock.com, Inc.(a)(b)

     66,903       1,295,242  

Porch Group, Inc.(a)(b)

     129,953       244,312  

PriceSmart, Inc.

     38,825       2,359,783  

Revolve Group, Inc.(a)(b)

     64,387       1,433,255  

Stitch Fix, Inc., Class A(a)

     126,949       394,811  

Winmark Corp.

     4,404       1,038,595  
   

 

 

  
      10,042,990  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   81

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Diversified Telecommunication Services — 0.0%  

Charge Enterprises, Inc.(a)(b)

     207,979     $ 257,894  
   

 

 

  
Drug & Grocery Store Chains — 0.3%  

Ingles Markets, Inc., Class A

     22,415       2,162,151  

PetMed Express, Inc.

     31,341       554,736  

Rite Aid Corp.(a)

     86,181       287,845  

Sprouts Farmers Market, Inc.(a)

     165,785       5,366,460  

Village Super Market, Inc., Class A

     13,818       321,821  

Weis Markets, Inc.(b)

     25,880       2,129,665  
   

 

 

  
      10,822,678  
Education Services — 0.7%  

2U, Inc.(a)(b)

     118,610       743,685  

Adtalem Global Education, Inc.(a)

     70,801       2,513,435  

American Public Education, Inc.(a)

     30,013       368,860  

Chegg, Inc.(a)

     196,273       4,959,819  

Coursera, Inc.(a)

     180,047       2,129,956  

Franklin Covey Co.(a)

     18,892       883,579  

Graham Holdings Co., Class B

     5,661       3,420,433  

HealthStream, Inc.(a)

     38,135       947,273  

Laureate Education, Inc., Class A

         214,325       2,061,807  

Perdoceo Education Corp.(a)

     105,296       1,463,614  

Strategic Education, Inc.

     35,827       2,805,971  

Stride, Inc.(a)(b)

     64,051       2,003,515  

Universal Technical Institute, Inc.(a)(b)

     50,302       338,029  
   

 

 

  
          24,639,976  
Electrical Equipment(a) — 0.3%  

Energy Vault Holdings, Inc.(b)

     128,266       400,190  

Enovix Corp.

     171,646       2,135,276  

ESS Tech, Inc.(b)

     124,621       302,829  

Fluence Energy, Inc.(b)

     56,654       971,616  

Heliogen, Inc.

     148,599       103,752  

NuScale Power Corp.

     48,577       498,400  

Shoals Technologies Group, Inc., Class A

     217,813       5,373,447  
   

 

 

  
      9,785,510  
Electronic Components — 0.8%  

AEye, Inc.(a)(b)

     128,643       61,826  

Array Technologies, Inc.(a)

     237,900       4,598,607  

Methode Electronics, Inc.

     57,207       2,538,275  

MicroVision, Inc.(a)(b)

     263,286       618,722  

Novanta, Inc.(a)

     56,054       7,616,057  

Rogers Corp.(a)

     29,335       3,500,839  

Sanmina Corp.(a)

     88,640       5,078,186  

ScanSource, Inc.(a)(b)

     40,025       1,169,531  

Stem, Inc.(a)(b)

     227,396       2,032,920  

TTM Technologies, Inc.(a)

     159,906       2,411,382  

Velodyne Lidar, Inc.(a)(b)

     298,311       220,362  
   

 

 

  
      29,846,707  
Electronic Entertainment — 0.0%  

Turtle Beach Corp.(a)(b)

     23,215       166,451  

Via Renewables, Inc.

     18,805       96,094  
   

 

 

  
      262,545  
Electronic Equipment, Instruments & Components(a) — 0.1%  

Evolv Technologies Holdings, Inc.

     129,862       336,343  

Focus Universal, Inc.

     27,347       175,294  

Lightwave Logic, Inc.(b)

     178,209       768,081  

Mirion Technologies, Inc.(b)

     217,708       1,439,050  

SmartRent, Inc.

     198,503       482,362  
   

 

 

  
      3,201,130  
Security   Shares     Value  
Electronics(a) — 0.2%  

Agilysys, Inc.

     31,189     $ 2,468,297  

Integer Holdings Corp.

     51,988       3,559,099  

iRobot Corp.

     42,346       2,038,113  

nLight, Inc.

     70,476       714,627  
   

 

 

  
      8,780,136  
Energy Equipment — 0.9%  

API Group Corp.(a)

     326,480       6,141,089  

Arcosa, Inc.

     76,439       4,153,695  

Bloom Energy Corp., Class A(a)

     281,765       5,387,347  

Diamond Offshore Drilling, Inc.(a)(b)

     159,661       1,660,474  

Expro Group Holdings NV(a)

     122,321       2,217,680  

FuelCell Energy, Inc.(a)(b)

     633,961       1,762,412  

Matador Resources Co.

     177,624       10,167,198  

SunPower Corp.(a)(b)

     129,114       2,327,925  

TPI Composites, Inc.(a)

     57,057       578,558  
   

 

 

  
      34,396,378  
Energy Equipment & Services(a) — 0.4%  

Borr Drilling Ltd.

     306,527       1,523,439  

Valaris Ltd.

     96,128       6,500,175  

Weatherford International PLC

     111,529       5,679,057  
   

 

 

  
      13,702,671  
Engineering & Contracting Services — 0.7%  

Argan, Inc.

     21,646       798,304  

Dycom Industries, Inc.(a)

     45,567       4,265,071  

Exponent, Inc.

     79,427       7,870,421  

Fluor Corp.(a)(b)

     222,480       7,711,157  

IES Holdings, Inc.(a)

     13,540       481,618  

MYR Group, Inc.(a)

     25,868       2,381,667  

NETSTREIT Corp.

     81,600       1,495,728  

VSE Corp.(b)

     16,729       784,256  

Willdan Group, Inc.(a)

     17,989       321,104  
   

 

 

  
          26,109,326  
Entertainment(a) — 0.2%  

Cinemark Holdings, Inc.(b)

     171,308       1,483,527  

Golden Entertainment, Inc.

     31,644       1,183,486  

IMAX Corp.(b)

     73,742       1,081,058  

Lions Gate Entertainment Corp., Class A(b)

     94,339       538,676  

Lions Gate Entertainment Corp., Class B

     182,201       989,351  

Playstudios, Inc.(b)

     122,426       475,013  

Reservoir Media, Inc.

     31,600       188,652  

Skillz, Inc.(b)

     502,465       254,498  
   

 

 

  
      6,194,261  
Environmental, Maintenance, & Security Service — 0.5%  

ABM Industries, Inc.

         102,909       4,571,218  

BrightView Holdings, Inc.(a)

     68,501       471,972  

Brink’s Co.

     70,368       3,779,465  

Healthcare Services Group, Inc.

     115,841       1,390,092  

IBEX Holdings Ltd.(a)

     11,848       294,423  

Montrose Environmental Group, Inc.(a)(b)

     43,275       1,920,977  

SP Plus Corp.(a)

     30,048       1,043,267  

UniFirst Corp.

     23,624       4,559,196  

Vivint Smart Home, Inc.(a)(b)

     149,768       1,782,239  
   

 

 

  
      19,812,849  
Financial Data & Systems — 0.4%  

Atlanticus Holdings Corp.(a)(b)

     7,396       193,775  

Cass Information Systems, Inc.

     21,214       972,026  

Donnelley Financial Solutions, Inc.(a)(b)

     40,358       1,559,837  

Everi Holdings, Inc.(a)

     136,141       1,953,623  

EVERTEC, Inc.

     94,501       3,059,942  
 

 

 

82  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Financial Data & Systems (continued)  

Evo Payments, Inc., Class A(a)

     74,619     $ 2,525,107  

Green Dot Corp., Class A(a)

     71,709       1,134,436  

I3 Verticals, Inc., Class A(a)(b)

     34,942       850,488  

International Money Express, Inc.(a)

     50,513       1,231,002  

LendingClub Corp.(a)

     161,975       1,425,380  

Priority Technology Holdings, Inc.(a)

     27,679       145,592  

Repay Holdings Corp.(a)(b)

     138,026       1,111,109  

Value Line, Inc.(b)

     1,578       80,289  
   

 

 

  
          16,242,606  
Food & Staples Retailing — 0.0%  

Natural Grocers by Vitamin Cottage, Inc.

     14,822       135,473  
   

 

 

  
Food Products(a) — 0.2%        

Benson Hill, Inc.

     265,305       676,528  

Beyond Meat, Inc.(b)

     98,027       1,206,712  

BRC, Inc.(b)

     39,661       242,329  

Hain Celestial Group, Inc.

     134,667       2,178,912  

Local Bounti Corp.

     69,287       96,309  

SunOpta, Inc.

         154,093       1,300,545  
   

 

 

  
      5,701,335  
Foods — 1.2%        

AppHarvest, Inc.(a)(b)

     106,733       60,560  

B&G Foods, Inc.

     111,655       1,244,953  

Chefs’ Warehouse, Inc.(a)(b)

     53,805       1,790,630  

HF Foods Group, Inc.(a)

     54,160       219,890  

Hostess Brands, Inc.(a)

     209,333       4,697,433  

J & J Snack Foods Corp.

     23,988       3,591,244  

John B Sanfilippo & Son, Inc.

     14,081       1,145,067  

Lancaster Colony Corp.

     30,681       6,053,361  

Medifast, Inc.

     17,073       1,969,371  

Mission Produce, Inc.(a)

     62,419       725,309  

Nature’s Sunshine Products, Inc.(a)

     19,301       160,584  

Seneca Foods Corp., Class A(a)

     8,506       518,441  

Simply Good Foods Co.(a)

     139,182       5,293,091  

Sovos Brands, Inc.(a)

     61,819       888,339  

SpartanNash Co.

     53,204       1,608,889  

Tattooed Chef, Inc.(a)(b)

     78,079       96,037  

Tootsie Roll Industries, Inc.

     24,880       1,059,142  

TreeHouse Foods, Inc.(a)

     80,254       3,962,943  

United Natural Foods, Inc.(a)(b)

     91,703       3,549,823  

Utz Brands, Inc.

     103,693       1,644,571  

Vita Coco Co., Inc.(a)(b)

     43,072       595,255  

Vital Farms, Inc.(a)

     46,307       690,900  

Whole Earth Brands, Inc.(a)

     61,190       249,043  
   

 

 

  
      41,814,876  
Forest Products — 0.3%  

Boise Cascade Co.

     61,165       4,200,201  

UFP Industries, Inc.

     93,208       7,386,734  
   

 

 

  
      11,586,935  
Forms & Bulk Printing Services — 0.1%  

Deluxe Corp.

     67,704       1,149,614  

Ennis, Inc.

     39,690       879,531  

Quad/Graphics, Inc.(a)

     53,805       219,524  
   

 

 

  
      2,248,669  
Fruit & Grain Processing — 0.1%  

MGP Ingredients, Inc.

     22,149       2,356,211  
   

 

 

  
Security   Shares     Value  
Funeral Parlors & Cemeteries — 0.2%  

Carriage Services, Inc.

     20,795     $ 572,694  

Hillenbrand, Inc.

     107,332       4,579,857  

Matthews International Corp., Class A

     47,144       1,435,063  
   

 

 

  
      6,587,614  
Gas Pipeline — 0.2%  

Equitrans Midstream Corp.

     648,750       4,346,625  

Kinetik Holdings, Inc., Class A

     25,969       859,055  

NextDecade Corp.(a)

     53,066       262,146  
   

 

 

  
      5,467,826  
Glass — 0.0%  

Apogee Enterprises, Inc.

     35,060       1,558,768  
   

 

 

  
Gold(a) — 0.1%  

Coeur Mining, Inc.(b)

     439,586       1,477,009  

Novagold Resources, Inc.

     377,361       2,256,619  
   

 

 

  
      3,733,628  
Health Care Equipment & Services(b) — 0.1%  

Embecta Corp.

     91,838       2,322,583  

Figs, Inc., Class A(a)

     203,573       1,370,046  
   

 

 

  
      3,692,629  
Health Care Equipment & Supplies — 0.3%  

AbCellera Biologics, Inc.(a)(b)

     326,736       3,309,836  

Adaptive Biotechnologies Corp.(a)

     175,900       1,343,876  

Inogen, Inc.(a)

     37,251       734,217  

Nano-X Imaging Ltd.(a)

     71,188       525,367  

OmniAb, Inc.(a)(b)

     116,347       418,849  

OmniAb, Inc.(c)

     18,006       —  

Paragon 28, Inc.(a)

     73,287       1,400,515  

PROCEPT BioRobotics Corp.(a)

     40,392       1,677,884  

Vicarious Surgical, Inc.(a)

     84,278       170,242  

Zimvie, Inc.(a)

     34,331       320,651  
   

 

 

  
      9,901,437  
Health Care Facilities — 0.5%  

Apollo Medical Holdings, Inc.(a)(b)

     61,420       1,817,418  

Brookdale Senior Living, Inc.(a)(b)

     297,695       812,707  

Ensign Group, Inc.

     85,001       8,041,945  

Joint Corp.(a)

     23,183       324,098  

LifeStance Health Group, Inc.(a)(b)

     116,143       573,746  

National HealthCare Corp.

     20,131       1,197,794  

RxSight, Inc.(a)

     33,786       428,069  

Select Medical Holdings Corp.

     164,292       4,079,370  

Sight Sciences, Inc.(a)(b)

     33,974       414,823  

U.S. Physical Therapy, Inc.

     20,254       1,641,182  
   

 

 

  
          19,331,152  
Health Care Management Services(a) — 0.5%  

1Life Healthcare, Inc.(b)

         284,518       4,754,296  

Computer Programs & Systems, Inc.

     22,359       608,612  

Hims & Hers Health, Inc.(b)

     194,087       1,244,098  

Option Care Health, Inc.

     246,629       7,421,066  

Progyny, Inc.

     118,042       3,677,008  
   

 

 

  
      17,705,080  
Health Care Providers & Services(a) —0.2%  

23andMe Holding Co., Class A(b)

     402,684       869,797  

Cano Health, Inc.(b)

     257,690       353,035  

CareMax, Inc.

     92,130       336,275  

Clover Health Investments Corp.(b)

     603,370       560,832  

DocGo, Inc.

     129,455       915,247  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   83

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Health Care Providers & Services (continued)  

Oncology Institute, Inc.(b)

     54,829     $ 90,468  

P3 Health Partners, Inc.(b)

     39,295       72,303  

R1 RCM, Inc.(b)

     237,108       2,596,333  

Sema4 Holdings Corp.(b)

     244,243       64,431  
   

 

 

  
      5,858,721  
Health Care Services — 1.9%  

Accolade, Inc.(a)(b)

     105,277       820,108  

Addus HomeCare Corp.(a)

     24,384       2,425,964  

Agiliti, Inc.(a)(b)

     43,558       710,431  

AirSculpt Technologies, Inc.(b)

     18,378       67,999  

Alignment Healthcare, Inc.(a)(b)

     152,380       1,791,989  

Allscripts Healthcare Solutions, Inc.(a)(b)

     167,135       2,948,261  

American Well Corp., Class A(a)(b)

     361,919       1,024,231  

AMN Healthcare Services, Inc.(a)

     67,520       6,942,406  

ATI Physical Therapy, Inc.(a)

     115,575       35,250  

Aveanna Healthcare Holdings, Inc.(a)

     74,403       58,034  

Babylon Holdings Ltd./Jersey, Class A

     6,729       45,421  

Butterfly Network, Inc.(a)

     208,423       512,721  

Cara Therapeutics, Inc.(a)

     69,849       750,178  

CorVel Corp.(a)

     13,982       2,032,004  

Cross Country Healthcare, Inc.(a)(b)

     55,125       1,464,671  

Cue Health, Inc.(a)

     177,312       367,036  

Health Catalyst, Inc.(a)

     84,946       902,976  

HealthEquity, Inc.(a)

     129,743       7,997,358  

Inari Medical, Inc.(a)

     76,122       4,838,314  

LHC Group, Inc.(a)(b)

     46,440       7,508,884  

ModivCare, Inc.(a)

     19,881       1,783,922  

NeoGenomics, Inc.(a)

     198,221       1,831,562  

NextGen Healthcare, Inc.(a)

     88,644       1,664,734  

Omnicell, Inc.(a)(b)

     69,290       3,493,602  

OptimizeRx Corp.(a)

     28,157       473,038  

Pear Therapeutics, Inc.(a)

     109,561       129,282  

Pediatrix Medical Group, Inc.(a)

     124,360       1,847,990  

Pennant Group, Inc.(a)

     41,990       461,050  

Phibro Animal Health Corp., Class A

     31,916       427,994  

Phreesia, Inc.(a)

     77,139       2,496,218  

Privia Health Group, Inc.(a)(b)

     71,337       1,620,063  

Ryman Hospitality Properties, Inc.

     84,918       6,944,594  

Sharecare, Inc.(a)(b)

         454,348       726,957  

Surgery Partners, Inc.(a)

     78,950       2,199,547  
   

 

 

  
          69,344,789  
Health Care Technology — 0.0%  

Nutex Health, Inc.(a)(b)

     360,876       685,664  
   

 

 

  
Health Care: Miscellaneous(a) — 0.2%  

Absci Corp.

     86,413       181,467  

Berkeley Lights, Inc.

     86,672       232,281  

Medpace Holdings, Inc.

     39,698       8,432,252  
   

 

 

  
      8,846,000  
Home Building — 0.9%  

Beazer Homes USA, Inc.(a)

     45,900       585,684  

Century Communities, Inc.

     45,095       2,255,201  

Hovnanian Enterprises, Inc., Class A(a)

     8,030       337,902  

Installed Building Products, Inc.

     37,554       3,214,622  

KB Home

     117,797       3,751,835  

Legacy Housing Corp.(a)

     14,089       267,127  

LGI Homes, Inc.(a)(b)

     32,378       2,998,203  

M/I Homes, Inc.(a)

     42,538       1,964,405  

MDC Holdings, Inc.

     90,252       2,851,963  

Meritage Homes Corp.(a)(b)

     55,909       5,154,810  
Security   Shares     Value  
Home Building (continued)  

Taylor Morrison Home Corp.(a)

     162,908     $ 4,944,258  

Tile Shop Holdings, Inc.(a)

     56,219       246,239  

Tri Pointe Homes, Inc.(a)

     159,190       2,959,342  
   

 

 

  
      31,531,591  
Hotel/Motel — 0.2%  

Bally’s Corp.(a)(b)

     58,112       1,126,211  

F45 Training Holdings, Inc.(a)(b)

     55,523       158,240  

First Watch Restaurant Group, Inc.(a)(b)

     21,398       289,515  

Krispy Kreme, Inc.

     113,328       1,169,545  

Marcus Corp.

     37,198       535,279  

NEOGAMES SA(a)

     20,310       247,579  

Red Rock Resorts, Inc., Class A

     80,036       3,202,240  

Xponential Fitness, Inc., Class A(a)

     27,191       623,490  
   

 

 

  
      7,352,099  
Hotels, Restaurants & Leisure(a) — 0.0%  

Bowlero Corp.

     46,279       623,841  

Inspirato, Inc.

     45,205       53,794  

Sonder Holdings, Inc.(b)

     302,780       375,447  

Vacasa, Inc., Class A(b)

     178,786       225,270  
   

 

 

  
      1,278,352  
Household Appliances — 0.0%  

Landsea Homes Corp.(a)

     13,542       70,554  

National Presto Industries, Inc.

     8,088       553,705  

Snap One Holdings Corp.(a)(b)

     28,334       209,955  

Traeger, Inc.(a)(b)

     49,720       140,210  
   

 

 

  
      974,424  
Household Durables(a) — 0.0%  

Dream Finders Homes, Inc., Class A(b)

     32,374       280,359  

Vizio Holding Corp., Class A

     105,473       781,555  
   

 

 

  
      1,061,914  
Household Equipment & Products — 0.4%  

Central Garden & Pet Co.(a)

     15,218       569,914  

Central Garden & Pet Co., Class A(a)

     63,243       2,264,099  

Energizer Holdings, Inc.

     105,218       3,530,064  

Helen of Troy Ltd.(a)

     37,510       4,160,234  

Tupperware Brands Corp.(a)

     71,031       294,068  

Weber, Inc., Class A(b)

     41,921       337,464  

Zurn Elkay Water Solutions Corp.(b)

         195,963       4,144,618  
   

 

 

  
          15,300,461  
Household Furnishings — 0.2%  

American Woodmark Corp.(a)(b)

     25,884       1,264,692  

Ethan Allen Interiors, Inc.

     36,050       952,441  

La-Z-Boy, Inc.

     67,425       1,538,639  

Lifetime Brands, Inc.

     19,521       148,164  

Lovesac Co.(a)

     22,223       489,128  

Purple Innovation, Inc.(a)(b)

     87,727       420,212  

Sleep Number Corp.(a)

     33,471       869,577  
   

 

 

  
      5,682,853  
Independent Power Producers & Energy Traders(a) — 0.0%  

Altus Power, Inc.

     67,257       438,516  

Montauk Renewables, Inc.(b)

     103,034       1,136,465  
   

 

 

  
      1,574,981  
Industrial Conglomerates — 0.0%  

Brookfield Business Corp., Class A

     41,713       783,787  
   

 

 

  
Insurance — 0.2%  

Lemonade, Inc.(a)(b)

     72,596       993,113  
 

 

 

84  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Insurance (continued)  

Marqeta, Inc., Class A(a)(b)

     685,033     $ 4,185,552  

Mercury General Corp.

     42,223       1,444,027  

Oscar Health, Inc., Class A(a)

     189,900       467,154  
   

 

 

  
      7,089,846  
Insurance: Life — 0.4%  

American Equity Investment Life Holding Co.

     110,753       5,052,552  

Bright Health Group, Inc.(a)(b)

     298,230       193,820  

CNO Financial Group, Inc.

     174,416       3,985,405  

National Western Life Group, Inc., Class A

     3,510       986,310  

Selectquote, Inc.(a)

         209,364       140,672  

Trean Insurance Group, Inc.(a)

     38,584       231,504  

Trupanion, Inc.(a)

     61,533       2,924,663  
   

 

 

  
      13,514,926  
Insurance: Multi-Line — 0.3%  

BRP Group, Inc., Class A(a)(b)

     93,919       2,361,124  

Crawford & Co., Class A

     27,856       154,879  

eHealth, Inc.(a)

     39,271       190,071  

Goosehead Insurance, Inc., Class A(a)

     30,023       1,030,990  

Horace Mann Educators Corp.

     63,440       2,370,753  

James River Group Holdings Ltd.

     48,689       1,018,087  

Mr. Cooper Group, Inc.(a)

     108,459       4,352,460  

SiriusPoint Ltd.(a)

     144,727       853,889  
   

 

 

  
          12,332,253  
Insurance: Property-Casualty — 1.8%  

AMERISAFE, Inc.

     29,883       1,553,019  

Argo Group International Holdings Ltd.

     50,554       1,306,821  

Donegal Group, Inc., Class A

     24,551       348,624  

Employers Holdings, Inc.

     42,660       1,839,926  

Enstar Group Ltd.(a)

     17,733       4,097,032  

Essent Group Ltd.

     163,045       6,339,190  

Genworth Financial, Inc., Class A(a)

     761,926       4,030,589  

Greenlight Capital Re Ltd., Class A(a)

     40,788       332,422  

HCI Group, Inc.

     10,305       407,975  

Hilltop Holdings, Inc.

     78,682       2,361,247  

Investors Title Co.

     2,120       312,806  

Kinsale Capital Group, Inc.

     34,153       8,931,693  

NI Holdings, Inc.(a)

     17,790       236,073  

NMI Holdings, Inc., Class A(a)(b)

     131,306       2,744,295  

Palomar Holdings, Inc.(a)

     38,250       1,727,370  

ProAssurance Corp.

     79,587       1,390,385  

Radian Group, Inc.

     244,327       4,659,316  

RLI Corp.

     61,037       8,012,327  

Safety Insurance Group, Inc.

     21,629       1,822,460  

Selective Insurance Group, Inc.

     93,333       8,270,237  

Stewart Information Services Corp.

     40,510       1,730,992  

United Fire Group, Inc.

     33,291       910,842  

Universal Insurance Holdings, Inc.

     42,660       451,769  
   

 

 

  
      63,817,410  
International Trade & Diversified Logistic(a) — 0.1%  

CryoPort, Inc.(b)

     69,008       1,197,289  

Radiant Logistics, Inc.

     57,970       295,067  

V2X, Inc.

     19,227       793,883  
   

 

 

  
      2,286,239  
Internet & Catalog Retail(a) — 0.1%  

BARK, Inc.

     193,194       287,859  

ContextLogic, Inc., Class A

     899,747       438,807  

Poshmark, Inc., Class A

     72,398       1,294,476  

Qurate Retail, Inc., Series A

     555,660       905,726  

RumbleON, Inc., Class B(b)

     15,994       103,481  
Security   Shares     Value  
Internet & Catalog Retail (continued)  

ThredUp, Inc., Class A(b)

     90,694     $ 118,809  

Vivid Seats, Inc., Class A

     42,989       313,820  
   

 

 

  
      3,462,978  
Internet Software & Services(a) — 0.3%  

1stdibs.com, Inc.(b)

     36,989       187,904  

aka Brands Holding Corp.

     13,206       16,772  

Boxed, Inc.

     41,535       8,095  

eGain Corp.

     34,204       308,862  

Flywire Corp.(b)

     89,335       2,186,028  

Gogo, Inc.(b)

     79,983       1,180,549  

Lulu’s Fashion Lounge Holdings, Inc.

     26,618       66,811  

MediaAlpha, Inc., Class A

     39,495       392,975  

Outbrain, Inc.

     61,698       223,347  

Quotient Technology, Inc.

     131,056       449,522  

Remitly Global, Inc.

     157,965       1,808,699  

Rent the Runway, Inc., Class A(b)

     72,180       220,149  

TrueCar, Inc.

     137,126       344,186  

Xometry, Inc., Class A(b)

     53,151       1,713,057  
   

 

 

  
      9,106,956  
IT Services — 0.5%  

Bread Financial Holdings, Inc.

     45,593       1,717,033  

Cerberus Cyber Sentinel Corp.(a)(b)

     70,569       179,951  

Cyxtera Technologies, Inc.(a)(b)

     60,210       115,603  

Fastly, Inc., Class A(a)(b)

     175,723       1,439,171  

Joby Aviation, Inc.(a)

     395,125       1,323,669  

Markforged Holding Corp.(a)(b)

     170,127       197,347  

Payoneer Global, Inc.(a)

     341,030       1,865,434  

Paysafe Ltd.(a)

     45,182       627,578  

Sabre Corp.(a)(b)

     514,577       3,180,086  

SolarWinds Corp.(a)

     74,666       698,874  

Squarespace, Inc., Class A(a)

     49,984       1,108,145  

StoneCo Ltd., Class A(a)

     437,327       4,128,367  
   

 

 

  
      16,581,258  
Leisure Time — 0.7%  

Acushnet Holdings Corp.(b)

     51,668       2,193,823  

AMMO, Inc.(a)(b)

     135,985       235,254  

Clarus Corp.

     45,706       358,335  

Hilton Grand Vacations, Inc.(a)(b)

     132,810       5,118,498  

Johnson Outdoors, Inc., Class A

     8,574       566,913  

Latham Group, Inc.(a)

     68,765       221,423  

Life Time Group Holdings, Inc.(a)(b)

     65,278       780,725  

Lindblad Expeditions Holdings, Inc.(a)

     53,512       412,042  

Madison Square Garden Entertainment Corp.(a)

     40,625       1,826,906  

OneSpaWorld Holdings Ltd.(a)

     102,899       960,048  

Portillo’s, Inc., Class A(a)

     41,673       680,103  

RCI Hospitality Holdings, Inc.

     13,678       1,274,653  

SeaWorld Entertainment, Inc.(a)(b)

     61,621       3,297,340  

Smith & Wesson Brands, Inc.

     71,791       623,146  

Sturm Ruger & Co., Inc.

     27,205       1,377,117  

Topgolf Callaway Brands Corp.(a)(b)

         220,759       4,359,990  

Vista Outdoor, Inc.(a)

     87,916       2,142,513  
   

 

 

  
          26,428,829  
Luxury Items — 0.2%  

Movado Group, Inc.

     24,262       782,450  

Signet Jewelers Ltd.

     72,255       4,913,340  

Stagwell, Inc.(a)

     125,682       780,485  
   

 

 

  
      6,476,275  
Machinery(a) — 0.1%  

Berkshire Grey, Inc.

     75,406       45,538  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   85

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Machinery (continued)  

Fathom Digital Manufacturing C(b)

     15,661     $ 20,672  

Hillman Solutions Corp.

     212,153       1,529,623  

Hyzon Motors, Inc.

     146,569       227,182  

Lightning eMotors, Inc.

     60,481       22,166  

Matterport, Inc.(b)

     347,210       972,188  

Microvast Holdings, Inc.(b)

     263,449       403,077  

Proterra, Inc.(b)

     348,862       1,315,210  

Sarcos Technology & Robotics Corp.

     177,959       99,888  

Velo3D, Inc.(b)

     87,101       155,911  

Xos, Inc.

     84,540       37,443  
   

 

 

  
      4,828,898  
Machinery: Agricultural — 0.3%  

Alamo Group, Inc.

     15,876       2,248,042  

Integral Ad Science Holding Corp.(a)

     59,020       518,786  

Lindsay Corp.

     17,367       2,828,216  

SPX Technologies, Inc.(a)

     67,827       4,452,842  

Titan International, Inc.(a)

     79,894       1,223,976  

Titan Machinery, Inc.(a)

     31,516       1,252,131  
   

 

 

  
      12,523,993  
Machinery: Construction & Handling — 0.2%  

Astec Industries, Inc.

     36,026       1,464,817  

Douglas Dynamics, Inc.

     35,116       1,269,795  

Manitowoc Co., Inc.(a)

     53,602       490,994  

NACCO Industries, Inc., Class A

     6,262       237,956  

Terex Corp.

     105,221       4,495,041  
   

 

 

  
      7,958,603  
Machinery: Industrial — 1.2%  

Altra Industrial Motion Corp.

         102,579       6,129,095  

Applied Industrial Technologies, Inc.

     59,803       7,536,972  

Chart Industries, Inc.(a)(b)

     66,879       7,706,467  

Columbus McKinnon Corp.

     44,799       1,454,624  

Desktop Metal, Inc., Class A(a)(b)

     423,566       576,050  

DXP Enterprises, Inc.(a)

     24,668       679,603  

EnPro Industries, Inc.

     32,844       3,569,814  

Hydrofarm Holdings Group, Inc.(a)

     71,262       110,456  

Hyliion Holdings Corp.(a)(b)

     206,534       483,290  

Hyster-Yale Materials Handling, Inc.

     17,032       431,080  

John Bean Technologies Corp.

     49,912       4,558,463  

Kadant, Inc.

     18,312       3,252,761  

Kennametal, Inc.

     128,401       3,089,328  

Nikola Corp.(a)(b)

     502,314       1,084,998  

Omega Flex, Inc.

     5,277       492,450  

Proto Labs, Inc.(a)

     44,093       1,125,694  

Tennant Co.

     29,130       1,793,534  
   

 

 

  
          44,074,679  
Machinery: Specialty — 0.1%  

Albany International Corp., Class A

     49,202       4,850,825  
   

 

 

  
Manufactured Housing(a) — 0.2%  

Cavco Industries, Inc.

     14,058       3,180,623  

Skyline Champion Corp.

     84,167       4,335,442  
   

 

 

  
      7,516,065  
Marine — 0.1%  

Golden Ocean Group Ltd.

     196,293       1,705,786  
   

 

 

  
Media(a) — 0.2%  

Arena Group Holdings, Inc.

     17,516       185,845  

Bumble, Inc., Class A

     136,120       2,865,326  

Gambling.com Group Ltd.

     13,401       122,619  

Innovid Corp.(b)

     122,274       209,089  
Security   Shares     Value  
Media (continued)  

Leafly Holdings, Inc.

     48,776     $ 31,797  

Loyalty Ventures, Inc.

     30,988       74,681  

PubMatic, Inc., Class A(b)

     66,431       850,981  

Urban One, Inc.

     31,333       127,916  

Vimeo, Inc.

     227,211       779,334  

Vinco Ventures, Inc.(b)

     369,042       171,235  

Wejo Group Ltd.

     29,266       14,077  

ZipRecruiter, Inc., Class A(b)

         113,528       1,864,130  
   

 

 

  
          7,297,030  
Medical & Dental Instruments & Supplies — 1.8%  

Akoya Biosciences, Inc.(a)(b)

     25,409       243,164  

Alphatec Holdings, Inc.(a)

     115,885       1,431,180  

AngioDynamics, Inc.(a)

     57,436       790,894  

Anika Therapeutics, Inc.(a)

     23,607       698,767  

Artivion, Inc.(a)(b)

     60,635       734,896  

AtriCure, Inc.(a)

     71,927       3,192,120  

Atrion Corp.

     2,170       1,214,006  

Avanos Medical, Inc.(a)

     73,044       1,976,571  

Axogen, Inc.(a)

     63,920       637,922  

BioLife Solutions, Inc.(a)

     52,535       956,137  

Cardiovascular Systems, Inc.(a)

     63,496       864,816  

Cerus Corp.(a)

     272,276       993,807  

Community Health Systems, Inc.(a)

     194,545       840,434  

CONMED Corp.

     45,932       4,071,412  

Cutera, Inc.(a)(b)

     26,589       1,175,766  

LeMaitre Vascular, Inc.

     31,152       1,433,615  

LivaNova PLC(a)

     84,708       4,704,682  

Meridian Bioscience, Inc.(a)

     67,560       2,243,668  

Merit Medical Systems, Inc.(a)

     88,193       6,228,190  

NanoString Technologies, Inc.(a)

     73,503       585,819  

Neogen Corp.(a)

     335,883       5,115,498  

NuVasive, Inc.(a)

     82,614       3,407,001  

Ocular Therapeutix, Inc.(a)

     125,127       351,607  

OraSure Technologies, Inc.(a)

     110,625       533,213  

Organogenesis Holdings, Inc.(a)

     116,971       314,652  

Orthofix Medical, Inc.(a)

     29,924       614,340  

OrthoPediatrics Corp.(a)

     23,171       920,584  

Outset Medical, Inc.(a)

     75,634       1,952,870  

Owens & Minor, Inc.

     116,440       2,274,073  

Owlet, Inc.(a)(b)

     20,593       11,514  

Patterson Cos., Inc.

     132,381       3,710,639  

Pulmonx Corp.(a)

     55,555       468,329  

SeaSpine Holdings Corp.(a)

     57,298       478,438  

Senseonics Holdings, Inc.(a)(b)

     717,876       739,412  

STAAR Surgical Co.(a)

     75,662       3,672,633  

Surmodics, Inc.(a)

     21,902       747,296  

TransMedics Group, Inc.(a)

     48,137       2,971,016  

Treace Medical Concepts, Inc.(a)(b)

     52,352       1,203,572  

Utah Medical Products, Inc.

     5,607       563,672  

ViewRay, Inc.(a)

     235,072       1,053,123  
   

 

 

  
      66,121,348  
Medical Equipment — 1.6%  

AdaptHealth Corp.(a)(b)

     113,955       2,190,215  

Alpha Teknova, Inc.(a)

     9,420       53,129  

Bionano Genomics, Inc.(a)(b)

     456,898       667,071  

CareDx, Inc.(a)

     80,333       916,600  

Cytek Biosciences, Inc.(a)(b)

     180,154       1,839,372  

Glaukos Corp.(a)

     72,185       3,153,041  

Haemonetics Corp.(a)

     80,131       6,302,303  

Inspire Medical Systems, Inc.(a)(b)

     44,540       11,218,735  

iRadimed Corp.

     11,053       312,689  
 

 

 

86  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Medical Equipment (continued)            

iRhythm Technologies, Inc.(a)(b)

     47,087     $ 4,410,639  

Lantheus Holdings, Inc.(a)

     107,814       5,494,202  

Nevro Corp.(a)(b)

     55,065       2,180,574  

Quanterix Corp.(a)

     52,353       725,089  

Seer, Inc., Class A(a)(b)

     83,784       485,947  

Shockwave Medical, Inc.(a)

     55,839       11,481,057  

SI-BONE, Inc.(a)(b)

     54,450       740,520  

Silk Road Medical, Inc.(a)(b)

     58,074       3,069,211  

Tactile Systems Technology, Inc.(a)

     29,471       338,327  

Varex Imaging Corp.(a)

     60,410       1,226,323  

Zynex, Inc.

     36,047       501,414  
   

 

 

  
          57,306,458  
Medical Services(a) — 0.0%            

Fulgent Genetics, Inc.

     34,010       1,012,818  

Innovage Holding Corp.(b)

     30,150       216,477  

Inotiv, Inc.(b)

     26,659       131,695  
   

 

 

  
      1,360,990  
Metal Fabricating — 0.7%            

CompX International, Inc.

     2,464       45,535  

Distribution Solutions Group, Inc.(a)

     7,401       272,801  

DMC Global, Inc.(a)

     29,500       573,480  

GrafTech International Ltd.(b)

     302,940       1,441,994  

Haynes International, Inc.

     18,971       866,785  

MRC Global, Inc.(a)

     131,001       1,516,992  

Mueller Industries, Inc.

     86,861       5,124,799  

Mueller Water Products, Inc., Class A

     246,060       2,647,606  

Northwest Pipe Co.(a)

     15,577       524,945  

RBC Bearings, Inc.(a)(b)

     44,675       9,352,711  

Worthington Industries, Inc.

     49,592       2,465,218  
   

 

 

  
      24,832,866  
Metals & Minerals: Diversified — 0.9%            

Alpha Metallurgical Resources, Inc.

     23,798       3,483,789  

Commercial Metals Co.

     181,512       8,767,030  

Compass Minerals International, Inc.

     54,113       2,218,633  

Constellium SE(a)

     198,995       2,354,111  

Energy Fuels, Inc.(a)(b)

     246,187       1,528,821  

Hecla Mining Co.

     873,009       4,853,930  

Hycroft Mining Holding Corp.(a)(b)

     233,212       124,092  

Intrepid Potash, Inc.(a)(b)

     18,113       522,922  

Materion Corp.

     32,219       2,819,485  

Minerals Technologies, Inc.(b)

     51,146       3,105,585  

PolyMet Mining Corp.(a)

     49,605       131,453  

Ring Energy, Inc.(a)

     133,562       328,563  

SunCoke Energy, Inc.

     130,151       1,123,203  

U.S. Lime & Minerals, Inc.

     3,248       457,189  

U.S. Silica Holdings, Inc.(a)

     116,470       1,455,875  
   

 

 

  
      33,274,681  
Mining(a) — 0.1%            

5E Advanced Materials, Inc.(b)

     52,482       413,558  

Dakota Gold Corp.

     78,472       239,340  

Piedmont Lithium, Inc.(b)

     27,171       1,196,067  
   

 

 

  
      1,848,965  
Office Supplies & Equipment — 0.2%            

ACCO Brands Corp.

         145,161       811,450  

Eastman Kodak Co.(a)

     88,304       269,327  

HNI Corp.

     64,991       1,847,694  

Kimball International, Inc., Class B

     54,917       356,961  
Security   Shares     Value  
Office Supplies & Equipment (continued)            

MillerKnoll, Inc.

     119,935     $ 2,519,834  

Pitney Bowes, Inc.

     200,937       763,561  

Steelcase, Inc., Class A

     139,162       983,875  
   

 

 

  
      7,552,702  
Oil & Gas Producers — 0.3%            

Civitas Resources, Inc.

     116,365       6,741,025  

Crescent Energy Co., Class A(b)

     50,566       606,286  

HighPeak Energy, Inc.(b)

     10,746       245,761  

Kosmos Energy Ltd.(a)

     712,451       4,531,188  
   

 

 

  
      12,124,260  
Oil Well Equipment & Services — 1.4%            

Bristow Group, Inc.(a)

     36,249       983,435  

Cactus, Inc., Class A

     93,015       4,674,934  

ChampionX Corp.

     312,537       9,060,448  

Dril-Quip, Inc.(a)

     54,525       1,481,444  

Helix Energy Solutions Group, Inc.(a)

     225,659       1,665,363  

Helmerich & Payne, Inc.

     162,219       8,041,196  

Liberty Energy, Inc., Class A

     215,183       3,445,080  

Nabors Industries Ltd.(a)

     14,300       2,214,641  

National Energy Services Reunited Corp.(a)

     61,329       425,623  

Newpark Resources, Inc.(a)

     136,096       564,798  

NexTier Oilfield Solutions, Inc.(a)

     277,136       2,560,737  

Oceaneering International, Inc.(a)

     157,814       2,760,167  

Oil States International, Inc.(a)

     100,643       750,797  

Patterson-UTI Energy, Inc.

     338,504       5,700,407  

ProPetro Holding Corp.(a)

     139,170       1,443,193  

RPC, Inc.

     115,950       1,030,796  

Select Energy Services, Inc., Class A

     114,350       1,056,594  

Solaris Oilfield Infrastructure, Inc., Class A

     49,237       488,923  

TETRA Technologies, Inc.(a)

     201,513       697,235  
   

 

 

  
      49,045,811  
Oil, Gas & Consumable Fuels — 0.5%            

Archrock, Inc.

     213,604       1,918,164  

Ardmore Shipping Corp.(a)

     61,458       885,610  

DHT Holdings, Inc.

     216,050       1,918,524  

Dorian LPG Ltd.

     48,458       918,279  

Empire Petroleum Corp.(a)(b)

     16,161       198,780  

Excelerate Energy, Inc., Class A(b)

     28,672       718,234  

FLEX LNG Ltd.(a)

     44,613       1,458,399  

Frontline Ltd.

     196,765       2,388,727  

Gulfport Energy Corp.(a)(b)

     17,904       1,318,451  

Noble Corp. PLC(a)

     130,735       4,930,017  

ProFrac Holding Corp., Class A(a)

     34,317       864,788  

VAALCO Energy, Inc.

     166,338       758,501  

Vertex Energy, Inc.(a)(b)

     86,840       538,408  
   

 

 

  
          18,814,882  
Oil: Crude Producers — 2.1%            

Amplify Energy Corp.(a)

     55,108       484,399  

Berry Corp.

         123,333       986,664  

California Resources Corp.(b)

     115,384       5,020,358  

Callon Petroleum Co.(a)

     77,657       2,880,298  

Chord Energy Corp.

     65,558       8,968,990  

CNX Resources Corp.(a)

     276,215       4,651,461  

Comstock Resources, Inc.

     144,648       1,983,124  

CVR Energy, Inc.

     46,660       1,462,324  

Denbury, Inc.(a)

     79,083       6,881,803  

Earthstone Energy, Inc., Class A(a)(b)

     72,046       1,025,215  

Gevo, Inc.(a)(b)

     317,524       603,296  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   87

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Oil: Crude Producers (continued)            

Laredo Petroleum, Inc.(a)(b)

     26,619     $ 1,368,749  

Magnolia Oil & Gas Corp., Class A

     267,349       6,269,334  

Murphy Oil Corp.

     232,578       10,003,180  

Northern Oil and Gas, Inc.

     105,618       3,255,147  

ONE Gas, Inc.

     83,897       6,352,681  

Ranger Oil Corp., Class A

     31,415       1,270,108  

Riley Exploration Permian, Inc.

     17,112       503,606  

SandRidge Energy, Inc.(a)

     33,568       571,663  

SilverBow Resources, Inc.(a)(b)

     18,204       514,809  

SM Energy Co.

     191,124       6,656,849  

Talos Energy, Inc.(a)

     104,374       1,970,581  

Tellurian, Inc.(a)(b)

     805,075       1,352,526  

Ur-Energy, Inc.(a)(b)

     323,414       371,926  

W&T Offshore, Inc.(a)(b)

     149,173       832,385  
   

 

 

  
      76,241,476  
Oil: Refining & Marketing — 0.4%            

Clean Energy Fuels Corp.(a)(b)

     267,480       1,390,896  

Delek U.S. Holdings, Inc.

     107,748       2,909,196  

Par Pacific Holdings, Inc.(a)

     77,156       1,793,877  

PBF Energy, Inc., Class A

     152,755       6,229,349  

World Fuel Services Corp.

     96,758       2,644,396  
   

 

 

  
      14,967,714  
Paints & Coatings — 0.2%            

Chase Corp.

     11,786       1,016,660  

HB Fuller Co.

     81,947       5,869,044  

Kronos Worldwide, Inc.

     34,905       328,107  
   

 

 

  
      7,213,811  
Paper — 0.1%            

Clearwater Paper Corp.(a)

     26,203       990,735  

Glatfelter Corp.

     68,669       190,900  

Mativ Holdings, Inc.

     85,492       1,786,783  

Resolute Forest Products, Inc.(a)

     72,505       1,565,383  
   

 

 

  
      4,533,801  
Paper & Forest Products — 0.1%            

Sylvamo Corp.

     56,024       2,722,206  
   

 

 

  
Personal Care — 0.5%            

Beauty Health Co.(a)(b)

     147,795       1,344,934  

BellRing Brands, Inc.(a)

     208,092       5,335,479  

Edgewell Personal Care Co.

     81,310       3,133,687  

Honest Co., Inc.(a)(b)

     101,668       306,021  

Nu Skin Enterprises, Inc., Class A

     75,423       3,179,834  

Sterling Check Corp.(a)(b)

     38,742       599,339  

Thorne HealthTech, Inc.(a)(b)

     21,325       77,410  

USANA Health Sciences, Inc.(a)

     17,723       942,863  

Veru, Inc.(a)(b)

     103,445       546,190  

WD-40 Co.

     21,554       3,474,720  
   

 

 

  
          18,940,477  
Personal Products — 0.1%            

Herbalife Nutrition Ltd.(a)

         154,548       2,299,674  
   

 

 

  
Pharmaceuticals — 2.2%            

ACADIA Pharmaceuticals, Inc.(a)

     189,684       3,019,769  

Aclaris Therapeutics, Inc.(a)

     103,204       1,625,463  

Alkermes PLC(a)

     257,256       6,722,099  

Amneal Pharmaceuticals, Inc.(a)

     158,228       314,874  

Amphastar Pharmaceuticals, Inc.(a)

     60,422       1,693,024  

Arrowhead Pharmaceuticals, Inc.(a)

     162,400       6,586,944  

Atea Pharmaceuticals, Inc.(a)

     122,464       589,052  

Athira Pharma, Inc.(a)(b)

     48,613       154,103  
Security   Shares     Value  
Pharmaceuticals (continued)            

Axonics, Inc.(a)

     77,339     $ 4,836,008  

Axsome Therapeutics, Inc.(a)(b)

     50,246       3,875,474  

Cassava Sciences, Inc.(a)(b)

     60,177       1,777,629  

Chimerix, Inc.(a)(b)

     128,913       239,778  

Corcept Therapeutics, Inc.(a)

     134,532       2,732,345  

DICE Therapeutics, Inc.(a)

     55,018       1,716,562  

Eagle Pharmaceuticals, Inc.(a)(b)

     16,363       478,290  

Edgewise Therapeutics, Inc.(a)

     58,010       518,609  

Enanta Pharmaceuticals, Inc.(a)

     31,265       1,454,448  

Esperion Therapeutics, Inc.(a)

     119,831       746,547  

Evolus, Inc.(a)(b)

     55,919       419,952  

Harmony Biosciences Holdings, Inc.(a)(b)

     41,284       2,274,748  

Heska Corp.(a)(b)

     15,229       946,635  

Innoviva, Inc.(a)

     99,832       1,322,774  

Intra-Cellular Therapies, Inc.(a)

     144,546       7,649,374  

Ironwood Pharmaceuticals, Inc.(a)(b)

     215,648       2,671,879  

Liquidia Corp.(a)

     73,726       469,635  

Nektar Therapeutics(a)

     291,165       658,033  

Nuvation Bio, Inc.(a)

     179,816       345,247  

Pacira BioSciences, Inc.(a)(b)

     70,884       2,736,831  

PetIQ, Inc.(a)

     43,737       403,255  

Prestige Consumer Healthcare, Inc.(a)

     78,585       4,919,421  

Reata Pharmaceuticals, Inc., Class A(a)(b)

     43,344       1,646,639  

Revance Therapeutics, Inc.(a)(b)

     126,244       2,330,464  

SIGA Technologies, Inc.

     74,223       546,281  

Supernus Pharmaceuticals, Inc.(a)

     77,322       2,758,076  

Syndax Pharmaceuticals, Inc.(a)

     83,407       2,122,708  

Tarsus Pharmaceuticals, Inc.(a)

     30,297       444,154  

TG Therapeutics, Inc.(a)(b)

     208,753       2,469,548  

Theravance Biopharma, Inc.(a)

     101,325       1,136,866  

Theseus Pharmaceuticals, Inc.(a)(b)

     24,213       120,581  

Third Harmonic Bio, Inc.(a)

     17,626       75,792  

Ventyx Biosciences, Inc.(a)

     38,889       1,275,170  

Xeris Biopharma Holdings, Inc.(a)

     204,537       272,034  
   

 

 

  
          79,097,115  
Photography — 0.0%            

GoPro, Inc., Class A(a)

         200,936       1,000,661  
   

 

 

  
Power Transmission Equipment — 0.2%            

Advanced Energy Industries, Inc.

     59,291       5,085,982  

Babcock & Wilcox Enterprises, Inc.(a)(b)

     98,961       571,005  

Cepton, Inc.(a)

     78,507       99,704  

Powell Industries, Inc.

     15,240       536,143  

Vicor Corp.(a)

     34,598       1,859,643  
   

 

 

  
      8,152,477  
Printing & Copying Services(a) — 0.2%            

Casella Waste Systems, Inc., Class A

     78,785       6,248,439  

Cimpress PLC

     28,502       786,940  
   

 

 

  
      7,035,379  
Producer Durables: Miscellaneous(a) —0.0%  

First Advantage Corp.

     92,641       1,204,333  

Solo Brands, Inc., Class A(b)

     32,776       121,927  
   

 

 

  
      1,326,260  
Production Technology Equipment(a) — 0.5%  

ACM Research, Inc., Class A

     76,354       588,689  

Axcelis Technologies, Inc.

     51,560       4,091,802  

Cohu, Inc.

     72,349       2,318,785  

HireRight Holdings Corp.(b)

     32,758       388,510  

Ichor Holdings Ltd.

     43,956       1,178,900  

Onto Innovation, Inc.

     78,230       5,326,681  
 

 

 

88  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Production Technology Equipment (continued)  

Photronics, Inc.

     94,566     $ 1,591,546  

Ultra Clean Holdings, Inc.

     71,096       2,356,832  

Veeco Instruments, Inc.(b)

     79,722       1,481,235  
   

 

 

  
      19,322,980  
Professional Services(a)(b) — 0.2%            

Alight, Inc., Class A

     535,729       4,478,694  

Legalzoom.com, Inc.

     150,613       1,165,745  

Planet Labs PBC

     247,903       1,078,378  

Skillsoft Corp.

     125,407       163,029  

Spire Global, Inc.

     193,228       185,499  
   

 

 

  
      7,071,345  
Publishing — 0.2%            

Daily Journal Corp.(a)

     1,917       480,228  

Gannett Co., Inc.(a)

     236,046       479,173  

John Wiley & Sons, Inc., Class A

     67,775       2,715,066  

Scholastic Corp.

     46,967       1,853,318  
   

 

 

  
      5,527,785  
Radio & TV Broadcasters — 0.4%            

Cumulus Media, Inc., Class A(a)

     28,553       177,314  

Entravision Communications Corp., Class A

     95,129       456,619  

Gray Television, Inc.

     130,997       1,465,856  

iHeartMedia, Inc., Class A(a)

     189,588       1,162,175  

Liberty Media Corp.-Liberty Braves,
Class A(a)(b)

     15,906       519,649  

Liberty Media Corp.-Liberty Braves, Class C(a)

     59,099       1,904,761  

Sinclair Broadcast Group, Inc., Class A

     62,766       973,501  

TEGNA, Inc.

     344,073       7,290,907  
   

 

 

  
      13,950,782  
Railroad Equipment — 0.2%            

Greenbrier Cos., Inc.

     49,890       1,672,812  

Trinity Industries, Inc.

         129,639       3,833,425  
   

 

 

  
      5,506,237  
Real Estate — 0.4%            

Anywhere Real Estate, Inc.(a)

     162,084       1,035,717  

Cushman & Wakefield PLC(a)

     250,850       3,125,591  

eXp World Holdings, Inc.

     108,543       1,202,656  

Kennedy-Wilson Holdings, Inc.

     186,352       2,931,317  

Newmark Group, Inc., Class A(b)

     204,467       1,629,602  

Redfin Corp.(a)(b)

     169,122       717,077  

RMR Group, Inc., Class A

     24,351       687,916  

St. Joe Co.(b)

     54,373       2,101,516  

Stratus Properties, Inc.

     9,109       175,713  

Tejon Ranch Co.(a)

     32,564       613,506  
   

 

 

  
          14,220,611  
Real Estate Investment & Services — 0.0%            

Chicago Atlantic Real Estate Finance, Inc.

     8,586       129,391  
   

 

 

  
Real Estate Investment Trusts (REITs) — 6.3%  

Acadia Realty Trust

     141,868       2,035,806  

AFC Gamma, Inc.

     25,101       394,839  

Agree Realty Corp.

     134,371       9,530,935  

Alexander & Baldwin, Inc.

     115,301       2,159,588  

Alexander’s, Inc.

     3,368       741,162  

American Assets Trust, Inc.

     77,785       2,061,303  

Angel Oak Mortgage, Inc.

     18,499       87,500  

Apartment Investment & Management Co., Class A

     236,326       1,682,641  

Apollo Commercial Real Estate Finance, Inc.

     222,021       2,388,946  

Apple Hospitality REIT, Inc.

     339,492       5,357,184  

Arbor Realty Trust, Inc.

     260,597       3,437,274  

Ares Commercial Real Estate Corp.

     82,078       844,583  
Security   Shares     Value  
Real Estate Investment Trusts (REITs) (continued)  

Armada Hoffler Properties, Inc.

     104,968     $ 1,207,132  

ARMOUR Residential REIT, Inc.

     182,480       1,027,362  

Ashford Hospitality Trust, Inc.(a)

     53,148       237,572  

Blackstone Mortgage Trust, Inc., Class A

     265,177       5,613,797  

Bluerock Homes Trust, Inc.

     5,708       121,637  

Braemar Hotels & Resorts, Inc.

     106,168       436,350  

Brandywine Realty Trust

     270,049       1,660,801  

BrightSpire Capital, Inc.

     146,433       912,278  

Broadmark Realty Capital, Inc.

     208,728       743,072  

Broadstone Net Lease, Inc.

         263,247       4,267,234  

BRT Apartments Corp.

     19,693       386,771  

CareTrust REIT, Inc.

     152,378       2,831,183  

CBL & Associates Properties, Inc.(b)

     41,858       966,083  

Centerspace

     24,312       1,426,385  

Chatham Lodging Trust

     75,637       928,066  

City Office REIT, Inc.

     65,402       548,069  

Claros Mortgage Trust, Inc.

     145,148       2,135,127  

Clipper Realty, Inc.

     23,302       149,133  

Community Healthcare Trust, Inc.

     36,847       1,319,123  

CoreCivic, Inc.(a)

     176,745       2,043,172  

Corporate Office Properties Trust

     177,780       4,611,613  

CTO Realty Growth, Inc.(b)

     27,368       500,287  

DiamondRock Hospitality Co.

     330,984       2,710,759  

Diversified Healthcare Trust

     375,306       242,748  

Dynex Capital, Inc.

     69,406       882,844  

Easterly Government Properties, Inc.

     143,866       2,052,968  

Ellington Financial, Inc.

     90,622       1,120,994  

Elme Communities

     137,948       2,455,474  

Empire State Realty Trust, Inc., Class A(b)

     212,805       1,434,306  

Equity Commonwealth

     161,850       4,041,394  

Essential Properties Realty Trust, Inc.

     221,814       5,205,975  

Farmland Partners, Inc.

     77,573       966,560  

Four Corners Property Trust, Inc.

     128,209       3,324,459  

Franklin BSP Realty Trust, Inc.

     133,392       1,720,757  

Franklin Street Properties Corp.

     158,095       431,599  

GEO Group, Inc.(a)

     181,328       1,985,542  

Getty Realty Corp.

     63,224       2,140,132  

Gladstone Commercial Corp.

     62,634       1,158,729  

Gladstone Land Corp.

     50,752       931,299  

Global Medical REIT, Inc.

     98,085       929,846  

Global Net Lease, Inc.

     164,432       2,066,910  

Granite Point Mortgage Trust, Inc.

     84,377       452,261  

Hersha Hospitality Trust, Class A

     48,635       414,370  

Independence Realty Trust, Inc.

     349,797       5,897,577  

Indus Realty Trust, Inc.

     8,253       523,983  

Industrial Logistics Properties Trust

     99,885       326,624  

Innovative Industrial Properties, Inc.

     43,822       4,441,360  

InvenTrust Properties Corp.

     106,924           2,530,891  

Invesco Mortgage Capital, Inc.

     52,085       663,042  

iStar, Inc.

     109,189       833,112  

Kite Realty Group Trust

     343,808       7,237,158  

KKR Real Estate Finance Trust, Inc.

     91,319       1,274,813  

LTC Properties, Inc.

     63,003       2,238,497  

LXP Industrial Trust

     419,998       4,208,380  

MFA Financial, Inc.

     161,928       1,594,991  

National Health Investors, Inc.

     64,453       3,365,736  

Necessity Retail REIT, Inc.

     210,869       1,250,453  

New York Mortgage Trust, Inc.

     563,315       1,442,086  

Nexpoint Real Estate Finance, Inc.

     12,113       192,476  

NexPoint Residential Trust, Inc.

     35,714       1,554,273  

Office Properties Income Trust

     74,499       994,562  

One Liberty Properties, Inc.

     25,572       568,210  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   89

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Real Estate Investment Trusts (REITs) (continued)  

Orchid Island Capital, Inc.(b)

     55,012     $ 577,626  

Orion Office REIT, Inc.

     92,198       787,371  

Outfront Media, Inc.

     231,438       3,837,242  

Paramount Group, Inc.

     300,959       1,787,696  

Pebblebrook Hotel Trust

     204,966       2,744,495  

PennyMac Mortgage Investment Trust

     142,433       1,764,745  

Phillips Edison & Co., Inc.

     184,871       5,886,293  

Physicians Realty Trust

     355,028       5,137,255  

Piedmont Office Realty Trust, Inc., Class A

     192,850       1,768,435  

Plymouth Industrial REIT, Inc.

     60,351       1,157,532  

Postal Realty Trust, Inc., Class A

     27,919       405,663  

PotlatchDeltic Corp.

     125,566       5,523,648  

Ready Capital Corp.

     103,781       1,156,120  

Redwood Trust, Inc.

     184,115       1,244,617  

Retail Opportunity Investments Corp.

     190,297       2,860,164  

RLJ Lodging Trust

     253,096       2,680,287  

RPT Realty

     133,870       1,344,055  

Sabra Health Care REIT, Inc.

     364,224       4,527,304  

Safehold, Inc.

     42,618       1,219,727  

Saul Centers, Inc.

     18,784       764,133  

Service Properties Trust

     260,521       1,899,198  

STAG Industrial, Inc.

     284,694       9,198,463  

Summit Hotel Properties, Inc.

     164,140       1,185,091  

Sunstone Hotel Investors, Inc.

     334,735       3,233,540  

Tanger Factory Outlet Centers, Inc.

     160,011       2,870,597  

Terreno Realty Corp.

     117,293       6,670,453  

TPG RE Finance Trust, Inc.

     106,899       725,844  

Two Harbors Investment Corp.

     136,289       2,149,278  

UMH Properties, Inc.

     78,691       1,266,925  

Uniti Group, Inc.

     374,357       2,070,194  

Universal Health Realty Income Trust

     20,518       979,324  

Urban Edge Properties

     180,550       2,543,950  

Urstadt Biddle Properties, Inc., Class A

     46,553       882,179  

Veris Residential, Inc.(a)

     135,921       2,165,222  

Whitestone REIT

     73,796       711,393  

Xenia Hotels & Resorts, Inc.

     180,146       2,374,324  
   

 

 

  
          230,702,541  
Real Estate Management & Development — 0.1%  

American Realty Investors, Inc.(a)

     2,389       61,278  

Bluegreen Vacations Holding Corp.

     10,868       271,265  

Compass, Inc., Class A(a)

         427,652       996,429  

DigitalBridge Group, Inc.

     242,404       2,651,900  

Doma Holdings, Inc.(a)

     211,562       95,816  

Forestar Group, Inc.(a)

     28,202       434,593  

Offerpad Solutions, Inc.(a)(b)

     105,470       48,569  

Transcontinental Realty Investors, Inc.(a)

     1,939       85,665  
   

 

 

  
      4,645,515  
Recreational Vehicles & Boats — 0.3%            

Camping World Holdings, Inc., Class A

     60,729       1,355,471  

LCI Industries

     39,204       3,624,410  

Malibu Boats, Inc., Class A(a)

     32,067       1,709,171  

Marine Products Corp.

     12,431       146,313  

MasterCraft Boat Holdings, Inc.(a)

     28,135       727,852  

Winnebago Industries, Inc.

     45,927       2,420,353  
   

 

 

  
      9,983,570  
Rental & Leasing Services: Consumer — 0.1%  

Rent-A-Center, Inc., Class A

     77,482       1,747,219  
   

 

 

  
Restaurants — 1.2%            

Biglari Holdings, Inc., Class B(a)

     1,350       187,380  
Security   Shares     Value  
Restaurants (continued)            

BJ’s Restaurants, Inc.(a)

     35,365     $ 932,929  

Bloomin’ Brands, Inc.

         134,102       2,698,132  

Brinker International, Inc.(a)

     68,547       2,187,335  

Cheesecake Factory, Inc.(b)

     74,718       2,369,308  

Cracker Barrel Old Country Store, Inc.

     34,504       3,268,909  

Dave & Buster’s Entertainment, Inc.(a)

     67,712       2,399,713  

Denny’s Corp.(a)(b)

     88,946       819,193  

Dine Brands Global, Inc.

     23,321       1,506,537  

El Pollo Loco Holdings, Inc.

     31,184       310,593  

Jack in the Box, Inc.

     33,414       2,279,837  

Kura Sushi USA, Inc., Class A(a)(b)

     7,587       361,748  

Noodles & Co.(a)

     67,772       372,068  

ONE Group Hospitality, Inc.(a)(b)

     33,654       212,020  

Papa John’s International, Inc.(b)

     51,468       4,236,331  

Rush Street Interactive, Inc.(a)

     94,256       338,379  

Ruth’s Hospitality Group, Inc.

     51,537       797,793  

Shake Shack, Inc., Class A(a)(b)

     59,169       2,457,288  

Sweetgreen, Inc., Class A(a)

     138,272       1,184,991  

Texas Roadhouse, Inc.

     104,918       9,542,292  

Wingstop, Inc.(b)

     47,301       6,509,564  
   

 

 

  
      44,972,340  
Road & Rail(a)(b) — 0.0%            

Bird Global, Inc., Class A

     264,846       47,725  

TuSimple Holdings, Inc., Class A

     220,774       362,070  
   

 

 

  
      409,795  
Scientific Instruments: Control & Filter — 0.7%  

Arlo Technologies, Inc.(a)

     135,275       474,815  

Brady Corp., Class A

     72,004       3,391,388  

CIRCOR International, Inc.(a)

     29,639       710,151  

Energy Recovery, Inc.(a)(b)

     86,329       1,768,881  

ESCO Technologies, Inc.

     40,663       3,559,639  

Gorman-Rupp Co.

     35,263       903,438  

Helios Technologies, Inc.

     51,342       2,795,059  

Napco Security Technologies, Inc.(a)

     47,050       1,292,934  

Resideo Technologies, Inc.(a)

     228,198       3,753,857  

Thermon Group Holdings, Inc.(a)

     52,262       1,049,421  

Watts Water Technologies, Inc., Class A

     42,440       6,206,001  
   

 

 

  
      25,905,584  
Scientific Instruments: Electrical — 0.6%  

Allied Motion Technologies, Inc.

     21,363       743,646  

Atkore, Inc.(a)

     64,445       7,309,352  

AZZ, Inc.

     38,462       1,546,173  

EnerSys

     64,376       4,753,524  

Franklin Electric Co., Inc.

     72,743       5,801,254  

FTC Solar, Inc.(a)

     67,315       180,404  

Preformed Line Products Co.

     4,083       340,073  
   

 

 

  
      20,674,426  
Scientific Instruments: Gauges & Meters — 0.3%  

Badger Meter, Inc.

     46,173       5,034,242  

FARO Technologies, Inc.(a)

     28,471       837,332  

Itron, Inc.(a)

     71,191       3,605,824  

Mesa Laboratories, Inc.(b)

     7,945       1,320,539  

Transcat, Inc.(a)(b)

     11,162       791,051  

Vishay Precision Group, Inc.(a)

     19,811       765,695  
   

 

 

  
          12,354,683  
 

 

 

90  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Scientific Instruments: Pollution Control(a) — 0.2%  

Evoqua Water Technologies Corp.(b)

     185,626     $ 7,350,790  

Heritage-Crystal Clean, Inc.

     25,071       814,306  
   

 

 

  
      8,165,096  
Securities Brokerage & Services — 0.1%  

BGC Partners, Inc., Class A

         501,547       1,890,832  

StoneX Group, Inc.(a)

     27,149       2,587,300  
   

 

 

  
      4,478,132  
Semiconductors & Components — 1.6%            

Alpha & Omega Semiconductor Ltd.(a)

     34,747       992,722  

Amkor Technology, Inc.

     160,138       3,840,109  

Atomera, Inc.(a)

     32,540       202,399  

AXT, Inc.(a)

     60,702       265,875  

CEVA, Inc.(a)

     36,533       934,514  

Diodes, Inc.(a)(b)

     70,244       5,348,378  

FormFactor, Inc.(a)

     121,659       2,704,480  

Kulicke & Soffa Industries, Inc.

     90,069       3,986,454  

MACOM Technology Solutions Holdings, Inc., Class H(a)

     78,190       4,924,406  

MaxLinear, Inc.(a)

     114,773       3,896,543  

Power Integrations, Inc.

     88,373       6,338,111  

Rambus, Inc.(a)

     167,521       6,000,602  

Semtech Corp.(a)

     99,872       2,865,328  

Silicon Laboratories, Inc.(a)(b)

     51,613       7,002,336  

SiTime Corp.(a)(b)

     25,571       2,598,525  

SkyWater Technology, Inc.(a)(b)

     17,469       124,205  

SMART Global Holdings, Inc.(a)

     72,922       1,085,079  

Vishay Intertechnology, Inc.

     199,790       4,309,470  
   

 

 

  
      57,419,536  
Semiconductors & Semiconductor Equipment(a) — 0.2%  

Ambarella, Inc.

     57,479       4,726,498  

Credo Technology Group Holding Ltd.

     152,109       2,024,571  

indie Semiconductor, Inc., Class A(b)

     163,028       950,453  

Rigetti Computing, Inc.(b)

     49,521       36,111  

Rockley Photonics Holdings Ltd.

     157,479       22,063  

Transphorm, Inc.

     33,131       180,232  
   

 

 

  
      7,939,928  
Shipping — 0.8%            

A-Mark Precious Metals, Inc.

     28,876       1,002,863  

Eagle Bulk Shipping, Inc.

     21,469       1,072,162  

Eneti, Inc.

     35,609       357,870  

Genco Shipping & Trading Ltd.

     57,601       884,751  

Golar LNG Ltd.(a)

     158,779       3,618,573  

International Seaways, Inc.

     77,748       2,878,231  

Matson, Inc.

     58,302       3,644,458  

Nordic American Tankers Ltd.

     309,229       946,241  

Safe Bulkers, Inc.

     113,192       329,389  

Scorpio Tankers, Inc.

     73,566       3,955,644  

SFL Corp. Ltd.

     181,298       1,671,568  

SITE Centers Corp.

     307,346       4,198,346  

Teekay Corp.(a)

     107,763       489,244  

Teekay Tankers Ltd., Class A(a)

     36,070       1,111,317  

Tidewater, Inc.(a)

     71,082       2,619,372  
   

 

 

  
          28,780,029  
Software — 0.9%            

Amplitude, Inc., Class A(a)(b)

     88,227       1,065,782  

Arteris, Inc.(a)

     26,145       112,424  

AvePoint, Inc.(a)(b)

     206,992       850,737  

AvidXchange Holdings, Inc.(a)

     231,302       2,299,142  

Blend Labs, Inc., Class A(a)

     298,721       430,158  
Security   Shares     Value  
Software (continued)            

C3.ai, Inc., Class A(a)(b)

     90,302     $ 1,010,479  

Cipher Mining, Inc.(a)(b)

     60,361       33,802  

Clear Secure, Inc., Class A

     98,171       2,692,831  

Consensus Cloud Solutions, Inc.(a)

     28,022       1,506,463  

Couchbase, Inc.(a)

     42,120       558,511  

CS Disco, Inc.(a)

     36,009       227,577  

Cvent Holding Corp.(a)

     69,124       373,270  

Duck Creek Technologies, Inc.(a)

     121,567       1,464,882  

Enfusion, Inc., Class A(a)(b)

     42,489       410,869  

EngageSmart, Inc.(a)

     56,064       986,726  

EverCommerce, Inc.(a)

     39,680       295,219  

ForgeRock, Inc., Class A(a)(b)

     59,319       1,350,694  

Greenidge Generation Holdings, Inc.(a)(b)

     14,396       4,162  

Instructure Holdings, Inc.(a)(b)

     26,762       627,301  

Intapp, Inc.(a)(b)

     23,364       582,698  

IronNet, Inc.(a)(b)

     100,143       23,033  

Kaleyra, Inc.(a)

     45,549       34,394  

KnowBe4, Inc., Class A(a)

     114,925       2,847,842  

Latch, Inc.(a)(b)

     169,067       120,021  

MarketWise, Inc.(a)

     26,299       44,182  

MeridianLink, Inc.(a)(b)

     35,842       492,111  

Model N, Inc.(a)

     57,640       2,337,878  

N-able, Inc.(a)(b)

     106,155       1,091,273  

NextNav, Inc.(a)(b)

     107,065       313,701  

Olo, Inc., Class A(a)(b)

     141,885       886,781  

Qualys, Inc.(a)

     60,855       6,829,757  

Terawulf, Inc.(a)

     33,175       22,081  

UserTesting, Inc.(a)(b)

     73,236       550,002  

Weave Communications, Inc.(a)

     46,166       211,440  

Zeta Global Holdings Corp., Class A(a)(b)

         170,313       1,391,457  
   

 

 

  
          34,079,680  
Specialty Retail — 2.2%            

1-800-Flowers.com, Inc., Class A(a)

     40,715       389,235  

Aaron’s Co., Inc.

     48,408       578,476  

Abercrombie & Fitch Co., Class A(a)

     75,077       1,720,014  

Academy Sports & Outdoors, Inc.(b)

     121,641       6,391,018  

Alta Equipment Group, Inc.

     33,149       437,235  

American Eagle Outfitters, Inc.

     243,281       3,396,203  

America’s Car-Mart, Inc.(a)

     9,390       678,521  

Arko Corp.

     133,381       1,155,079  

Asbury Automotive Group, Inc.(a)(b)

     34,953       6,265,325  

Bed Bath & Beyond, Inc.(a)(b)

     128,500       322,535  

Big 5 Sporting Goods Corp.(b)

     34,568       305,235  

Blink Charging Co.(a)(b)

     55,491       608,736  

Boot Barn Holdings, Inc.(a)

     46,573       2,911,744  

Buckle, Inc.

     47,656       2,161,200  

Build-A-Bear Workshop, Inc.(a)

     21,911       522,358  

Caleres, Inc.

     56,159       1,251,223  

Cato Corp., Class A

     28,029       261,511  

Chico’s FAS, Inc.(a)

     196,057       964,600  

Children’s Place, Inc.(a)(b)

     20,305       739,508  

Citi Trends, Inc.(a)(b)

     12,362       327,346  

Conn’s, Inc.(a)

     22,927       157,738  

Container Store Group, Inc.(a)

     51,861       223,521  

Designer Brands, Inc., Class A(b)

     78,004       762,879  

Destination XL Group, Inc.(a)

     92,328       623,214  

EVgo, Inc.(a)(b)

     109,452       489,250  

Express, Inc.(a)(b)

     99,247       101,232  

Foot Locker, Inc.

     126,307       4,773,142  

Genesco, Inc.(a)

     20,412       939,360  

Group 1 Automotive, Inc.(b)

     22,076       3,981,848  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   91

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Specialty Retail (continued)            

Guess?, Inc.

     46,468     $ 961,423  

Haverty Furniture Cos., Inc.

     23,263       695,564  

Hibbett, Inc.

     19,450       1,326,879  

JOANN, Inc.

     17,579       50,100  

Lands’ End, Inc.(a)

     22,749       172,665  

LL Flooring Holdings, Inc.(a)(b)

     43,286       243,267  

MarineMax, Inc.(a)(b)

     32,948       1,028,637  

Monro, Inc.

     48,532       2,193,646  

Murphy USA, Inc.

     32,855       9,184,287  

National Vision Holdings, Inc.(a)(b)

     123,797       4,798,372  

ODP Corp.(a)

     62,283       2,836,368  

OneWater Marine, Inc., Class A(a)

     17,370       496,782  

Party City Holdco, Inc.(a)

     175,980       64,321  

RealReal, Inc.(a)(b)

     137,039       171,299  

Sally Beauty Holdings, Inc.(a)

     168,346       2,107,692  

Shoe Carnival, Inc.

     27,348       653,891  

Sonic Automotive, Inc., Class A

     27,785       1,368,967  

Sportsman’s Warehouse Holdings, Inc.(a)

     58,450       550,014  

Tilly’s, Inc., Class A(a)

     36,062       326,361  

Torrid Holdings, Inc.(a)(b)

     19,872       58,821  

TravelCenters of America, Inc.(a)

     19,693       881,853  

Urban Outfitters, Inc.(a)

     100,770       2,403,364  

Volta, Inc.(a)

     188,784       67,094  

Warby Parker, Inc., Class A(a)(b)

     131,696       1,776,579  

Zumiez, Inc.(a)

     24,244       527,065  
   

 

 

  
          78,384,597  
Steel — 0.4%            

ATI, Inc.(a)(b)

         195,858       5,848,320  

Carpenter Technology Corp.

     75,403       2,785,387  

Ivanhoe Electric, Inc.(a)(b)

     23,194       281,807  

Olympic Steel, Inc.

     14,995       503,532  

Ryerson Holding Corp.

     30,989       937,727  

Schnitzer Steel Industries, Inc., Class A

     40,422       1,238,934  

TimkenSteel Corp.(a)

     67,997       1,235,506  
   

 

 

  
      12,831,213  
Technology Hardware & Equipment — 0.1%  

CompoSecure, Inc.(a)(b)

     12,055       59,190  

IonQ, Inc.(a)(b)

     191,568       660,910  

Xerox Holdings Corp.

     180,427       2,634,234  
   

 

 

  
      3,354,334  
Technology: Miscellaneous — 0.5%            

Aeva Technologies, Inc.(a)(b)

     147,733       200,917  

Benchmark Electronics, Inc.

     55,844       1,490,476  

CTS Corp.

     50,030       1,972,183  

Fabrinet(a)

     57,627       7,388,934  

Kimball Electronics, Inc.(a)(b)

     37,823       854,422  

Plexus Corp.(a)

     43,326       4,459,545  
   

 

 

  
      16,366,477  
Telecommunications Equipment(a) — 0.2%  

Akoustis Technologies, Inc.(b)

     85,653       241,541  

Cambium Networks Corp.

     18,365       397,970  

Clearfield, Inc.

     18,459       1,737,730  

Knowles Corp.

     141,371       2,321,312  

Viavi Solutions, Inc.

     359,124       3,774,393  
   

 

 

  
      8,472,946  
Security   Shares     Value  
Textile Products — 0.0%            

Interface, Inc.

     92,851     $ 916,439  

Unifi, Inc.(a)

     21,341       183,746  
   

 

 

  
      1,100,185  
Textiles Apparel & Shoes — 0.6%  

Crocs, Inc.(a)(b)

     94,960       10,296,513  

Fossil Group, Inc.(a)

     75,434       325,120  

G-III Apparel Group Ltd.(a)

     68,846       943,879  

Kontoor Brands, Inc.

     87,665       3,505,723  

Oxford Industries, Inc.

     23,856       2,222,902  

PLBY Group, Inc.(a)(b)

     51,541       141,738  

Rocky Brands, Inc.

     11,548       272,764  

Steven Madden Ltd.

     118,736       3,794,802  

Superior Group of Cos., Inc.

     17,077       171,794  

Weyco Group, Inc.

     9,117       192,916  

Wolverine World Wide, Inc.

     123,505       1,349,910  
   

 

 

  
          23,218,061  
Textiles, Apparel & Luxury Goods — 0.0%  

Allbirds, Inc., Class A(a)(b)

     152,870       369,945  

Ermenegildo Zegna NV

     88,399       925,538  
   

 

 

  
      1,295,483  
Thrifts & Mortgage Finance — 0.2%  

22nd Century Group, Inc.(a)(b)

     252,696       232,607  

Blue Foundry Bancorp(a)(b)

     41,952       539,083  

Enact Holdings, Inc.

     47,948       1,156,506  

Karat Packaging, Inc.

     8,762       125,910  

Turning Point Brands, Inc.

     24,568       531,406  

Universal Corp.

     38,103       2,012,219  

Vector Group Ltd.

     226,767       2,689,456  
   

 

 

  
      7,287,187  
Toys — 0.0%            

Funko, Inc., Class A(a)(b)

     50,748       553,661  
   

 

 

  
Trading Companies & Distributors — 0.0%  

Hudson Technologies, Inc.(a)

     66,670       674,700  
   

 

 

  
Transportation Miscellaneous — 0.2%  

Costamare, Inc.

     84,457       783,761  

Hub Group, Inc., Class A(a)

     50,303       3,998,585  

Textainer Group Holdings Ltd.

     65,068       2,017,759  
   

 

 

  
      6,800,105  
Truckers — 0.7%            

ArcBest Corp.

     38,585       2,702,493  

Covenant Logistics Group, Inc.

     13,934       481,698  

Daseke, Inc.(a)

     67,766       385,589  

Forward Air Corp.

     42,419       4,449,329  

FRP Holdings, Inc.(a)(b)

     10,729       577,864  

Heartland Express, Inc.

     73,712       1,130,742  

Marten Transport Ltd.

     92,016       1,820,077  

PAM Transportation Services, Inc.(a)

     10,329       267,521  

Saia, Inc.(a)(b)

     41,598       8,722,269  

Universal Logistics Holdings, Inc.

     11,496       384,426  

Werner Enterprises, Inc.

     98,181       3,952,767  
   

 

 

  
      24,874,775  
Utilities: Electrical — 1.4%            

ALLETE, Inc.

     90,449       5,834,865  

Avista Corp.

         110,092       4,881,479  

Black Hills Corp.

     100,430       7,064,246  

Clearway Energy, Inc., Class A

     54,947       1,644,014  

Clearway Energy, Inc., Class C

     129,432       4,124,998  
 

 

 

92  

2 0 2 2   B L A C K R O C K   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   (continued)

December 31, 2022

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

  
Utilities: Electrical (continued)            

MGE Energy, Inc.

     57,444     $ 4,044,058  

NorthWestern Corp.

     88,966       5,279,243  

Otter Tail Corp.

     64,902       3,810,396  

PNM Resources, Inc.

     132,890       6,483,703  

Portland General Electric Co.

     138,799       6,801,151  

Unitil Corp.

     25,177       1,293,091  
   

 

 

  
          51,261,244  
Utilities: Gas Distributors — 0.9%  

Chesapeake Utilities Corp.

     26,238       3,100,807  

New Jersey Resources Corp.

     149,999       7,442,950  

Northwest Natural Holding Co.

     54,649       2,600,746  

South Jersey Industries, Inc.

     193,806       6,885,927  

Southwest Gas Holdings, Inc.

     104,672       6,477,103  

Spire, Inc.

     80,459       5,540,407  
   

 

 

  
      32,047,940  
Utilities: Miscellaneous — 0.4%  

Brookfield Infrastructure Corp., Class A

     154,537       6,011,489  

Ormat Technologies, Inc.

     77,539       6,705,573  
   

 

 

  
      12,717,062  
Utilities: Telecommunications — 0.8%  

8x8, Inc.(a)

     185,794       802,630  

ATN International, Inc.

     17,193       779,015  

Cogent Communications Holdings, Inc.

     67,872       3,874,134  

Consolidated Communications Holdings, Inc.(a)

     116,797       418,133  

Globalstar, Inc.(a)(b)

         1,076,161       1,431,294  

IDT Corp., Class B(a)

     23,937       674,305  

Iridium Communications, Inc.(a)

     195,740       10,061,036  

LiveVox Holdings, Inc.(a)

     36,149       107,363  

Radius Global Infrastructure, Inc., Class A(a)

     119,987       1,418,246  

Shenandoah Telecommunications Co.(b)

     76,417       1,213,502  

Telephone & Data Systems, Inc.

     158,226       1,659,791  

U.S. Cellular Corp.(a)(b)

     23,362       487,098  

Xperi, Inc.

     65,156       560,993  

Ziff Davis, Inc.(a)

     72,089       5,702,240  
   

 

 

  
      29,189,780  
Utilities: Water — 0.5%  

American States Water Co.

     58,249       5,390,945  

Artesian Resources Corp., Class A

     13,005       761,833  

California Water Service Group

     85,634       5,192,846  

Global Water Resources, Inc.

     22,439       297,990  

Middlesex Water Co.

     26,037       2,048,331  

Pure Cycle Corp.(a)

     31,022       325,110  

SJW Group

     42,626       3,460,805  

York Water Co.

     22,682       1,020,236  
   

 

 

  
      18,498,096  
Security   Shares     Value  

 

  
Wireless Telecommunication Services — 0.0%  

KORE Group Holdings, Inc.(a)

     54,213     $ 68,308  
   

 

 

  

Total Common Stocks — 98.2%
(Cost: $3,223,081,094)

 

     3,574,146,195  
   

 

 

  

Investment Companies

    
Equity Funds — 0.9%            

iShares Russell 2000 ETF(b)(d)(e)

     196,753       34,305,853  
   

 

 

  

Total Investment Companies — 0.9%
(Cost: $33,509,545)

 

     34,305,853  
   

 

 

  

Rights

    
Diversified Consumer Services — 0.0%  

PLBY Group, Inc., (Expires 01/19/23, Strike Price USD(b)

     51,541       1  
   

 

 

  

Total Rights — 0.0%
(Cost: $ — )

 

     1  
   

 

 

  

Total Long-Term Investments —99.1%
(Cost: $3,256,590,639)

 

     3,608,452,049  
   

 

 

  

Short-Term Securities

    
Money Market Funds — 9.8%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%(d)(e)(f)

         319,239,283       319,335,055  

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%(d)(e)

     34,903,521       34,903,521  
   

 

 

  

Total Short-Term Securities —9.8%
(Cost: $354,073,281)

 

     354,238,576  
   

 

 

  

Total Investments — 108.9%
(Cost: $3,610,663,920)

 

     3,962,690,625  

Liabilities in Excess of Other Assets — (8.9)%

 

     (322,328,041 ) 
   

 

 

  
Net Assets — 100.0%     $ 3,640,362,584  
   

 

 

  

 

(a) 

Non-income producing security.

(b) 

All or a portion of this security is on loan.

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Affiliate of the Series.

(e) 

Annualized 7-day yield as of period end.

(f) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

 

For Series compliance purposes, the Series’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   93

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Series during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

    
    Affiliated Issuer  

Value at

12/31/21

     

Purchases

at Cost

    

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

12/31/22

     

Shares

Held at

12/31/22

      Income    

Capital Gain

Distributions

from

Underlying

Funds

    

    

  
 

 

    
      

BlackRock Cash Funds: Institutional, SL Agency Shares

   $ 262,643,563      $ 56,651,397 (a)    $ —     $ (54,402 )    $ 94,497     $ 319,335,055        319,239,283      $ 5,133,169 (b)    $ —    
 

BlackRock Cash Funds: Treasury, SL Agency Shares

     32,243,211        2,660,310 (a)      —       —       —       34,903,521        34,903,521        502,100       —    
 

iShares Russell 2000 ETF

     23,512,520        608,561,835       (595,425,369 )      (1,388,414 )      (954,719 )      34,305,853        196,753        401,794       —    
          

 

 

    

 

 

    

 

 

        

 

 

    

 

 

    
           $   (1,442,816 )    $ (860,222 )    $  388,544,429         $  6,037,063     $ —    
          

 

 

    

 

 

    

 

 

        

 

 

    

 

 

    

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

         
Description   

Number of

Contracts

     

Expiration

Date

     

Notional

Amount (000)

     

Value/

Unrealized

Appreciation

(Depreciation)

  

Long Contracts

            

Russell 2000 E-Mini Index

      291        03/17/23      $ 25,767      $ (363,330 ) 
           

 

 

  

OTC Total Return Swaps

 

               
Reference Entity   

Payment

Frequency

       Counterparty(a)     

Termination

Date

      Net Notional     

Accrued

Unrealized

Appreciation

(Depreciation)

    

Net Value of

Reference

Entity

     

Gross

Notional

Amount

Net Asset

    Percentage

  

Equity Securities Long

      Monthly        Goldman Sachs Bank USA(b)        02/27/23      $ 3,165,061      $ 66,361 (c)    $ 3,227,493        0.1 % 
     Monthly        HSBC Bank USA N.A.(d)        02/10/23        3,601,568        4,060 (e)      3,597,688        0.1  
     Monthly       
 JPMorgan Chase Bank
N.A.(f)		  
 		      02/08/23        4,408,122        (80,987 )(g)      4,295,879        0.1  
              

 

 

    

 

 

     
               $ (10,566 )    $  11,121,060     
              

 

 

    

 

 

     

 

  (a) 

The Series receives the total return on a portfolio of long positions underlying the total return swap. The Series pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Series pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions.

 
  (c) 

Amount includes $3,929 of net dividends and financing fees.

 
  (e) 

Amount includes $7,940 of net dividends and financing fees.

 
  (g) 

Amount includes $31,256 of net dividends and financing fees.

 

The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

 

    (b)    (d)      (f)

Range:

   65 basis points      65 basis points      65 basis points

Benchmarks:

   USD - 1D Overnight Fed Funds Effective Rate     
 USD - 1D Overnight Bank Funding Rate
(OBFR01)		  
 		    USD - 1D Overnight Bank Funding Rate (OBFR01)
  (FEDL01)      

 

 

94  

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Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

    

 

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Goldman Sachs Bank USA as of period end, termination date February 27, 2023:

 

Security   Shares     Value    

% of

Basket

Value

  

Reference Entity — Long

      
Common Stocks                  
Banks: Diversified                  

Ameris Bancorp

     37     $ 1,744       0.1 % 

Berkshire Hills Bancorp, Inc.

     4,898       146,450       4.5  

Cadence Bank

     48,172       1,187,922       36.8  

Central Pacific Financial Corp.

     277       5,618       0.2  

Columbia Banking System, Inc.

     12,750       384,157       11.9  

Community Bank System, Inc.

     2,302       144,911       4.5  

First Financial Bancorp

     2,563       62,101       1.9  

Hanmi Financial Corp.

     3,913       96,847       3.0  

Hope Bancorp, Inc.

     10,766       137,912       4.3  

Independent Bank Corp.

     657       55,471       1.7  

NBT Bancorp, Inc.

     445       19,322       0.6  

Northwest Bancshares, Inc.

     6,929       96,867       3.0  

OFG Bancorp

     1,347       37,123       1.1  

Pacific Premier Bancorp, Inc.

     1,697       53,557       1.7  

Simmons First National Corp., Class A

     3,425       73,912       2.3  

Trustmark Corp.

     1,313       45,837       1.4  

United Community Banks, Inc.

     5,705       192,829       6.0  
   

 

 

    

 

 

  
      2,742,580    
Banks: Savings, Thrift & Mortgage Lending  

Homestreet, Inc.

     2,872       79,210       2.4  
   

 

 

    

 

 

  

Gas Utilities

      

Chesapeake Utilities Corp.

     822       97,144       3.0  
   

 

 

    

 

 

  

Insurance: Property-Casualty

      

Genworth Financial, Inc., Class A

     4,713       24,932       0.8  

Stewart Information Services Corp.

     170       7,264       0.2  
   

 

 

    

 

 

  
      32,196    

Real Estate Investment Trusts (REITs)

      

Getty Realty Corp.

     1,221       41,331       1.3  
   

 

 

    

 

 

  

Thrifts & Mortgage Finance

      

WSFS Financial Corp.

     1,835       83,199       2.6  
   

 

 

    

 

 

  

Water Utilities

      

Middlesex Water Co.

     1,930       151,833       4.7  
   

 

 

    

 

 

  

Net Value of Reference Entity — Goldman Sachs Bank USA

 

   $     3,227,493    
   

 

 

    

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with HSBC Bank PLC as of period end, termination date February 10, 2023:

 

Security   Shares     Value    

% of

Basket

Value

  

Reference Entity — Long

      
Common Stocks                  
Alternative Energy                  

Green Plains, Inc.

     23,522     $     717,421       19.9 % 
   

 

 

    

 

 

  
Banks: Diversified                  

Ameris Bancorp

     2,174       102,482       2.9  
Security   Shares     Value    

% of

Basket

Value

  

Banks: Diversified (continued)

      

Bancorp, Inc.

     123     $ 3,491       0.1 % 

Banner Corp.

     1,440       91,008       2.5  

First Bancorp/Southern Pines NC

     1,465       62,760       1.7  

First Commonwealth Financial Corp.

     7,310       102,121       2.8  

First Financial Bancorp

     3,191       77,318       2.2  

Hope Bancorp, Inc.

     9,241       118,377       3.3  

Independent Bank Corp.

     2,364       199,592       5.5  

NBT Bancorp, Inc.

     1,373       59,616       1.7  

Preferred Bank/Los Angeles CA

     8,864       661,432       18.4  

Renasant Corp.

     1,798       67,587       1.9  

Seacoast Banking Corp. of Florida

     1,988       62,006       1.7  

Simmons First National Corp., Class A

     358       7,726       0.2  

Southside Bancshares, Inc.

     1,005       36,170       1.0  

Veritex Holdings, Inc.

     1,725       48,438       1.3  
   

 

 

    

 

 

  
          1,700,124    

Banks: Savings, Thrift & Mortgage Lending

 

  

Berkshire Hills Bancorp, Inc.

     1,653       49,425       1.4  
   

 

 

    

 

 

  

Commercial Finance & Mortgage Companies

 

  

Pathward Financial, Inc.

     888       38,228       1.1  
   

 

 

    

 

 

  

Commercial Services

      

GEO Group, Inc.

     5,512       60,356       1.7  
   

 

 

    

 

 

  

Computer Services Software & Systems

 

  

Envestnet, Inc.

     2,719       167,762       4.7  
   

 

 

    

 

 

  

Insurance: Property-Casualty

      

Genworth Financial, Inc., Class A

     4,124       21,816       0.6  

James River Group Holdings Ltd.

     9,323       194,944       5.4  

Safety Insurance Group, Inc.

     370       31,176       0.9  
   

 

 

    

 

 

  
      247,936    

Office Supplies & Equipment

      

Pitney Bowes, Inc.

     74,700       283,860       7.9  
   

 

 

    

 

 

  

Real Estate Investment Trusts (REITs)

      

Acadia Realty Trust

     5,122       73,501       2.0  

Getty Realty Corp.

     2,118       71,694       2.0  
   

 

 

    

 

 

  
      145,195    

Utilities: Electrical

      

Avista Corp.

     4,226       187,381       5.2  
   

 

 

    

 

 

  

Net Value of Reference Entity — HSBC Bank PLC

 

   $ 3,597,688    
   

 

 

    

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination date February 8, 2023:

 

Security   Shares     Value    

% of

Basket

Value

  

Reference Entity — Long

      
Common Stocks                  
Banks: Diversified                  

Bancorp, Inc.

     7,277     $     206,521       4.8 % 

Banner Corp.

     131       8,279       0.2  

Brookline Bancorp, Inc.

     5,231       74,019       1.7  

Cadence Bank

     219       5,400       0.1  

Central Pacific Financial Corp.

     6,136       124,438       2.9  

Eagle Bancorp, Inc.

     3,094       136,353       3.2  

First Bancorp/Southern Pines NC

     3,919       167,890       3.9  
 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   95

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

    

 

Security   Shares      Value     

% of

Basket

Value

  
Banks: Diversified (continued)  

Hanmi Financial Corp.

     7,620      $ 188,595        4.4 % 

Heritage Financial Corp.

     900        27,576        0.7  

Independent Bank Corp.

     2,402        202,801        4.7  

Renasant Corp.

     1,165        43,792        1.0  

S&T Bancorp, Inc.

     10,053        343,611        8.0  

Seacoast Banking Corp. of Florida

     9,035        281,802        6.6  

Veritex Holdings, Inc.

     7,370        206,950        4.8  
    

 

 

     

 

 

  
           2,018,027     
Commercial Finance & Mortgage Companies         

Pathward Financial, Inc.

     1,579        67,976        1.6  
    

 

 

     

 

 

  
Insurance                    

Employers Holdings, Inc.

     853        36,790        0.8  
    

 

 

     

 

 

  
Insurance: Multi-Line                    

Horace Mann Educators Corp.

     1,037        38,753        0.9  

Safety Insurance Group, Inc.

     797        67,155        1.6  
    

 

 

     

 

 

  
       105,908     
Security   Shares      Value     

% of

Basket

Value

  
Insurance: Property-Casualty                    

Pacific Premier Bancorp, Inc.

     13,284      $ 419,243        9.7 % 

ProAssurance Corp.

     4,880        85,253        2.0  
    

 

 

     

 

 

  
       504,496     
IT Services                    

Bread Financial Holdings, Inc.

     33,429        1,258,936        29.3  
    

 

 

     

 

 

  
Oil, Gas & Consumable Fuels                    

Golar LNG Ltd.

     506        11,532        0.3  

Green Plains, Inc.

     8,336        254,248        5.9  
    

 

 

     

 

 

  
       265,780     
Thrifts & Mortgage Finance                    

TrustCo Bank Corp./New York

     1,010        37,966        0.9  
    

 

 

     

 

 

  
Net Value of Reference Entity —
JPMorgan Chase Bank N.A		          $  4,295,879         
    

 

 

     
 

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

 

         
Description  

Swap

Premiums

Paid

     

Swap

Premiums

Received

     

Unrealized

Appreciation

     

Unrealized

Depreciation

  

OTC Swaps

   $ —      $ —      $ 70,421      $ (80,987 ) 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:

 

               
    

Commodity

Contracts

     

Credit

    Contracts

     

Equity

    Contracts

     

Foreign

Currency
    Exchange

Contracts

      Interest
Rate
    Contracts		      Other
    Contracts		              Total  

Assets — Derivative Financial Instruments

                    

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

   $ —      $ —      $ 70,421      $ —      $ —      $ —      $ 70,421  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $ —      $ —      $ 363,330      $ —      $ —      $ —      $ 363,330  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

     —        —        80,987        —        —        —        80,987  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
  $ —      $ —      $     444,317      $ —      $ —      $ —      $  444,317  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Series Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation).

 

 

 

96  

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Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

    

 

For the period ended December 31, 2022, 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

   $ —     $ —     $ (1,070,016 )    $ —     $ —     $ —        $ (1,070,016 ) 

Swaps

     —       —       (842,217 )      —       —       —          (842,217 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

  
  $ —     $ —     $   (1,912,233 )    $ —     $ —     $ —        $   (1,912,233 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                 

Futures contracts

   $ —     $ —     $ (546,692 )    $ —     $ —     $ —        $ (546,692 ) 

Swaps

     —       —       (159,994 )      —       —       —          (159,994 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

  
  $ —     $ —     $ (706,686 )    $ —     $ —     $ —        $ (706,686 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

  

Futures contracts:

   

Average notional value of contracts — long

    $ 25,100,901    

Total return swaps:

   

Average notional value

    $ 11,460,553    

 

  

For more information about the Series’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

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

 

     
      Assets      Liabilities  

Derivative Financial Instruments

      

Futures contracts

    $ —      $ 90,005  

Swaps — OTC(a)

      70,421        80,987  
  

 

 

     

 

 

  

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

      70,421        170,992  
  

 

 

     

 

 

  

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

      —        (90,005 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 70,421      $ 80,987  
  

 

 

     

 

 

  

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities.

 

The following table presents the Series’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Series:

 

           

Counterparty

     

 Derivative

Assets

Subject to

an MNA by

Counterparty

  

 

 

 

 

     

 Derivatives

Available

for Offset

  

 

 

     

 Non-Cash

Collateral

Received

  

 

 

     

 Cash

Collateral

Received

  

 

 

     

 Net Amount

of Derivative

Assets

  

 

(a) 

Goldman Sachs Bank USA

    $ 66,361      $ —      $ —      $ —      $ 66,361  

HSBC Bank USA N.A

      4,060        —        —        —        4,060  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 70,421      $ —      $ —      $ —      $ 70,421  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

Counterparty

     

 Derivative

Liabilities

Subject to

an MNA by

Counterparty

  

 

 

 

 

     

 Derivatives

Available

for Offset

  

 

 

     

 Non-Cash

Collateral

Pledged

  

 

 

     

 Cash

Collateral

Pledged

  

 

(b) 

     

 Net Amount

of Derivative

Liabilities

  

 

 

JPMorgan Chase Bank N.A

    $ 80,987      $ —      $ —      $ (80,987 )     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 

 

 

S E R I E S   S C H E D U L E   O F   I N V E S T M E N T S

   97

Schedule of Investments   (continued)

December 31, 2022

   

Master Small Cap Index Series

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Series’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Series’s financial instruments categorized in the fair value hierarchy. The breakdown of the Series’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

  
    Level 1     Level 2     Level 3      Total  

 

  

Assets

         

Investments

         

Long-Term Investments

         

Common Stocks

   $ 3,574,030,118     $ —     $ 116,077      $ 3,574,146,195  

Investment Companies

     34,305,853       —       —        34,305,853  

Rights

     —       1       —        1  

Short-Term Securities

         

Money Market Funds

     354,238,576       —       —        354,238,576  
 

 

 

    

 

 

    

 

 

     

 

 

  
  $ 3,962,574,547     $ 1     $          116,077      $ 3,962,690,625  
 

 

 

    

 

 

    

 

 

     

 

 

  

Derivative Financial Instruments(a)

         

Assets

         

Equity Contracts

   $ —     $             70,421     $ —      $ 70,421  

Liabilities

         

Equity Contracts

     (363,330 )      (80,987 )      —        (444,317 ) 
 

 

 

    

 

 

    

 

 

     

 

 

  
  $ (363,330 )    $ (10,566 )    $ —      $ (373,896 ) 
 

 

 

    

 

 

    

 

 

     

 

 

  

 

  (a) 

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

98  

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Statement of Assets and Liabilities

December 31, 2022

 

   

Master Small Cap

Index Series

  

 

  

ASSETS

  

Investments, at value — unaffiliated(a)(b)

   $ 3,574,146,196  

Investments, at value — affiliated(c)

     388,544,429  

Cash pledged:

  

Collateral — OTC derivatives

     720,000  

Futures contracts

     1,705,000  

Receivables:

  

Securities lending income — affiliated

     445,512  

Swaps

     281,720  

Contributions from investors

     6,866,042  

Dividends — unaffiliated

     4,328,877  

Dividends — affiliated

     81,549  

Unrealized appreciation on OTC swaps

     70,421  

Prepaid expenses

     12,686  

Other assets

     4,174  
 

 

 

  

Total assets

     3,977,206,606  
 

 

 

  

LIABILITIES

  

Bank overdraft

     2,359,560  

Collateral on securities loaned

     319,286,652  

Payables:

  

Investments purchased

     13,977,348  

Swaps

     848,077  

Accounting services fees

     6,024  

Custodian fees

     100,592  

Investment advisory fees

     29,896  

Directors’ fees

     9,107  

Other accrued expenses

     8,479  

Professional fees

     47,295  

Variation margin on futures contracts

     90,005  

Unrealized depreciation on OTC swaps

     80,987  
 

 

 

  

Total liabilities

     336,844,022  
 

 

 

  

NET ASSETS

   $ 3,640,362,584  
 

 

 

  

NET ASSETS CONSIST OF

  

Investors’ capital

   $ 3,288,709,775  

Net unrealized appreciation (depreciation)

     351,652,809  
 

 

 

  

NET ASSETS

   $ 3,640,362,584  
 

 

 

  

(a) Investments, at cost — unaffiliated

   $ 3,223,081,095  

(b) Securities loaned, at value

   $ 306,115,955  

(c) Investments, at cost — affiliated

   $ 387,582,825  

See notes to financial statements.

 

 

S E R I E S   F I N A N C I A L   S T A T E M E N T S

   99

 

Statement of Operations

Year Ended December 31, 2022

 

   

Master Small Cap

Index Series

  

 

  

INVESTMENT INCOME

  

Dividends — unaffiliated

   $ 48,386,539  

Dividends — affiliated

     902,361  

Interest — unaffiliated

     10,624  

Securities lending income — affiliated — net

     5,134,702  

Foreign taxes withheld

     (122,893 ) 
 

 

 

  

Total investment income

     54,311,333  
 

 

 

  

EXPENSES

  

Investment advisory

     393,683  

Custodian

     151,233  

Professional

     68,108  

Directors

     35,602  

Accounting services

     15,214  

Printing and postage

     11,529  

Miscellaneous

     32,740  
 

 

 

  

Total expenses

     708,109  

Less:

  

Fees waived and/or reimbursed by the Manager

     (26,057 ) 
 

 

 

  

Total expenses after fees waived and/or reimbursed

     682,052  
 

 

 

  

Net investment income

     53,629,281  
 

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

  

Net realized loss from:

  

Investments — unaffiliated

     (32,931,360 ) 

Investments — affiliated

     (1,442,816 ) 

Futures contracts

     (1,070,016 ) 

Swaps

     (842,217 ) 
 

 

 

  
    (36,286,409 ) 
 

 

 

  

Net change in unrealized appreciation (depreciation) on:

  

Investments — unaffiliated

     (942,382,625 ) 

Investments — affiliated

     (860,222 ) 

Futures contracts

     (546,692 ) 

Swaps

     (159,994 ) 
 

 

 

  
    (943,949,533 ) 
 

 

 

  

Net realized and unrealized loss

     (980,235,942 ) 
 

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (926,606,661 ) 
 

 

 

  

See notes to financial statements.

 

 

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Statements of Changes in Net Assets 

 

    Master Small Cap Index Series  
 

 

 

  
   

Year Ended

12/31/22

     Year Ended
12/31/21		  

 

  

INCREASE (DECREASE) IN NET ASSETS

    

OPERATIONS

    

Net investment income

   $ 53,629,281     $ 46,599,564  

Net realized gain (loss)

     (36,286,409 )      325,220,722  

Net change in unrealized appreciation (depreciation)

     (943,949,533 )      204,608,412  
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     (926,606,661 )      576,428,698  
 

 

 

    

 

 

  

CAPITAL TRANSACTIONS

    

Proceeds from contributions

     1,206,262,904       1,298,147,027  

Value of withdrawals

     (1,208,228,644 )      (1,200,858,901 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets derived from capital transactions

     (1,965,740 )      97,288,126  
 

 

 

    

 

 

  

NET ASSETS

    

Total increase (decrease) in net assets

     (928,572,401 )      673,716,824  

Beginning of year

     4,568,934,985       3,895,218,161  
 

 

 

    

 

 

  

End of year

   $ 3,640,362,584     $ 4,568,934,985  
 

 

 

    

 

 

  

See notes to financial statements.

 

 

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   101

Financial Highlights 

 

    Master Small Cap Index Series  
     Year Ended
12/31/22		     Year Ended
12/31/21		     Year Ended
12/31/20		     Year Ended
12/31/19		     Year Ended
12/31/18		  

Total Return

          

Total return

     (20.29 )%      14.84 %      20.08 %      25.70 %      (10.96 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(a)

          

Total expenses

     0.02 %      0.02 %      0.03 %      0.02 %      0.03 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.02 %      0.01 %      0.02 %      0.02 %      0.03 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     1.36 %      1.03 %      1.29 %      1.49 %      1.49 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

          

Net assets, end of year (000)

   $  3,640,363     $  4,568,935     $  3,895,218     $  3,325,684     $  2,309,730  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate

     38 %      31 %      27 %      20 %      28 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

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Notes to Financial Statements  

 

1.

ORGANIZATION

Quantitative Master Series LLC (the “Master LLC”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Master LLC is organized as a Delaware statutory trust. Master Small Cap Index Series (“the “Series”) is a series of the Master LLC. The Series is classified as diversified. The Series’ Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.

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

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Series is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Series is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

ForeignTaxes: The Series may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Series invests. These foreign taxes, if any, are paid by the Series and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Series files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Series may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: If required by an exchange or counterparty agreement, the Series may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

Indemnifications: In the normal course of business, the Series enters into contracts that contain a variety of representations that provide general indemnification. The Series’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Series, which cannot be predicted with any certainty.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Series’ investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Series is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of the Series’ Manager as the valuation designee for the Series. The Series 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 Series’ assets and liabilities:

 

  •  

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

  •  

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.

 

 

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Notes to Financial Statements  (continued)

 

  •  

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 New York Stock Exchange (“NYSE”). Each business day, the Series 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 Series might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

 

   
     Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services

Market approach

   (i)   recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
  (ii)   recapitalizations and other transactions across the capital structure; and
  (iii)   market multiples of comparable issuers.
     

Income approach

   (i)   future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
  (ii)   quoted prices for similar investments or assets in active markets; and
  (iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
     

Cost approach

   (i)   audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
  (ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
  (iii)   relevant news and other public sources; and
    (iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Series. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Series is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Series could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access;

 

  •  

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 Private Companies 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.

 

 

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Notes to Financial Statements  (continued)

 

4.

SECURITIES AND OTHER INVESTMENTS

Securities Lending: The Series may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Series collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Series is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Series and any additional required collateral is delivered to the Series, or excess collateral returned by the Series, on the next business day. During the term of the loan, the Series is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are disclosed in the Series’ Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Series, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Series’ securities on loan by counterparty which are subject to offset under an MSLA:

 

         

Counterparty

    

 Securities

Loaned at Value

  

 

     

 Cash Collateral

Received

  

(a) 

    

 Non-Cash Collateral

Received, at Fair Value

  

(a) 

    

 Net

Amount

  

(b) 

Barclays Capital, Inc.

   $ 7,281,307      $ (7,281,307 )    $ —     $ —  

BMO Capital Markets Corp.

     1,866,136        (1,866,136 )      —       —  

BNP Paribas SA

     36,162,645        (36,162,645 )      —       —  

BofA Securities, Inc.

     39,678,593        (39,678,593 )      —       —  

Citadel Clearing LLC

     2,936,418        (2,936,418 )      —       —  

Citigroup Global Markets, Inc.

     23,272,804        (23,272,804 )      —       —  

Credit Suisse Securities (USA) LLC

     399,474        (399,474 )      —       —  

HSBC Bank PLC

     5,386,816        (5,386,816 )      —       —  

ING Financial Markets LLC

     80,593        (80,593 )      —       —  

J.P. Morgan Securities LLC

     124,294,437        (124,294,437 )      —       —  

Jefferies LLC

     4,832,877        (4,832,877 )      —       —  

Mizuho Securities USA LLC

     66,085        (64,580 )      —       1,505  

Nomura Securities International, Inc.

     190,260        (190,260 )      —       —  

Pershing LLC

     47,957        (47,957 )      —       —  

Scotia Capital (USA), Inc.

     10,466,347        (10,466,347 )      —       —  

State Street Bank & Trust Co.

     4,714,147        (4,714,147 )      —       —  

Toronto-Dominion Bank

     16,748,568        (16,748,568 )      —       —  

UBS AG

     3,749,735        (3,749,735 )      —       —  

UBS Securities LLC

     13,032,638        (13,032,638 )      —       —  

Virtu Americas LLC

     147,009        (147,009 )      —       —  

Wells Fargo Bank N.A.

     4,005,247        (4,005,247 )      —       —  

Wells Fargo Securities LLC

     6,755,862        (6,755,862 )      —       —  
 

 

 

     

 

 

    

 

 

    

 

 

  
  $ 306,115,955      $ (306,114,450 )    $ —     $ 1,505  
 

 

 

     

 

 

    

 

 

    

 

 

  

 

  (a) 

Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Series is disclosed in the Series’s Statement of Assets and Liabilities.

 
  (b) 

The market value of the loaned securities is determined as of December 31, 2022. Additional collateral is delivered to the Series on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty.

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Series benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Series could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Series.

 

 

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   105

Notes to Financial Statements  (continued)

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or 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 Series and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Series is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Series and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Series’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Series’ counterparty on the swap. The Series is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Series is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statement of Operations, including those at termination.

 

  •  

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

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

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

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

 

 

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Notes to Financial Statements  (continued)

 

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 Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Series and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

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

For financial reporting purposes, the Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of the Series’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Series.

For such services, the Series pays the Manager a monthly fee at an annual rate equal to 0.01% of the average daily value of the Series’ net assets.

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

Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Series, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Series. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $23,039.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Series’ assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $3,018 in investment advisory fees pursuant to this arrangement.

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business (“expense limitation”). The expense limitation as a percentage of average daily net assets is 0.07%.

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. For the year ended December 31, 2022, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as

 

 

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Notes to Financial Statements  (continued)

 

securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Series is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Series bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Series retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Series retains 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Series, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Series is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Series paid BTC $1,325,318 for securities lending agent services.

Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Series may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Series’ investment policies and restrictions. The Series is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Series did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of Master LLC are directors and/or officers of BlackRock or its affiliates.

Other Transactions: The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

 

  
Series Name   Purchases      Sales     

Net Realized

Gain (Loss)

  

 

  

Master Small Cap Index Series

   $ 73,268,598      $ 140,788,518      $ 21,621,919  

 

  

 

7.

PURCHASES AND SALES

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $1,534,317,962 and $1,504,108,955, respectively.

8. INCOME TAX INFORMATION

The Series is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no U.S. federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Series’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Series as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Series’ financial statements.

 

 

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Notes to Financial Statements  (continued)

 

As of December 31, 2022, 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:

 

 

  
Series Name   Tax Cost     

Gross Unrealized

Appreciation

     

Gross Unrealized

Depreciation

    

Net Unrealized

Appreciation

(Depreciation)

  

 

  

Master Small Cap Index Series

   $ 3,743,436,195      $ 987,487,079      $ (768,275,518 )    $ 219,211,561  
 

 

 

     

 

 

     

 

 

    

 

 

  

 

9.

BANK BORROWINGS

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Series may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Series, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) 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 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Series did not borrow under the credit agreement.

 

10.

PRINCIPAL RISKS

In the normal course of business, the Series invests in securities or other instruments and may enter into certain transactions, and such activities subject the Series to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Series and its investments. The Series’ prospectus provides details of the risks to which the Series is subject.

The Series may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Series may invest in illiquid investments. An illiquid investment is any investment that the Series reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Series’ NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Series may lose value, regardless of the individual results of the securities and other instruments in which the Series invests.

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

Counterparty Credit Risk: The Series may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Series manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

 

 

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Notes to Financial Statements  (continued)

 

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

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Series’ portfolio are disclosed in its Schedule of Investments.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Series may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Series is uncertain.

 

11.

SUBSEQUENT EVENTS

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

 

 

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Report of Independent Registered Public Accounting Firm

 

To the Investors of Master Small Cap Index Series and the Board of Directors of Quantitative Master Series LLC:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Master Small Cap Index Series of Quantitative Master Series LLC (the “Fund”), including the schedule of investments, as of December 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

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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 FundsSM (the “Trust”), BlackRock Index Funds, Inc. and Quantitative Master Series LLC (the “Corporations”) have adopted and implemented a liquidity risk management program (the “Program”) for iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund, iShares Russell 2000 Small-Cap Index Fund and Master Small Cap Index Series (the “Funds”), each a series of the Trust or the respective Corporation, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Directors (the “Board”) of the Corporations, on behalf of the Funds, met on November 8-9, 2022 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund’s Program, as applicable. 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 each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2021 through September 30, 2022 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each 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 each Fund’s liquidity risk, as follows:

 

a)  

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds 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 each Fund’s reasonably anticipated trading size utilized for liquidity classifications. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

 

c)  

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to each 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.

 

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Director and Officer Information  

 

Independent Directors(a)
         

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)(c)

    Principal Occupation(s) During Past 5 Years   

Number of BlackRock-Advised

Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

   

Public Company

and Other

Investment

Company

Directorships Held

During

Past 5 Years

Mark Stalnecker
1951		    Chair of the Board
(Since 2019) and
Director
(Since 2015)		    Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014.    28 RICs consisting of 164 Portfolios    None
Susan J. Carter
1956		    Director
(Since 2016)		    Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute (“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021.    28 RICs consisting of 164 Portfolios    None
Collette Chilton
1958		    Director
(Since 2015)		    Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020.    28 RICs consisting of 164 Portfolios    None
Neil A. Cotty
1954		    Director
(Since 2016)		    Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002.    28 RICs consisting of 164 Portfolios    None
Lena G. Goldberg
1949		    Director
(Since 2019)		    Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985.    28 RICs consisting of 164 Portfolios    None

 

 

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Director and Officer Information  (continued)

 

Independent Directors(a) (continued)
         

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)(c)

    Principal Occupation(s) During Past 5 Years   

Number of BlackRock-Advised

Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

   

Public Company

and Other

Investment

Company

Directorships Held

During

Past 5 Years

Henry R. Keizer
1956		    Director
(Since 2019)		    Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010.    28 RICs consisting of 164 Portfolios    Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021
Cynthia A. Montgomery
1952		    Director
(Since 2007)		    Professor, Harvard Business School since 1989.    28 RICs consisting of 164 Portfolios    None
Donald C. Opatrny
1952		    Director
(Since 2019)		    Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020.    28 RICs consisting of 164 Portfolios    None
Joseph P. Platt
1947		    Director
(Since 2007)		    General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015.    28 RICs consisting of 164 Portfolios    Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc.
Kenneth L. Urish
1951		    Director
(Since 2007)		    Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020.    28 RICs consisting of 164 Portfolios    None

 

 

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Director and Officer Information  (continued)

 

Independent Directors(a) (continued)
         

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)(c)

    Principal Occupation(s) During Past 5 Years   

Number of BlackRock-Advised

Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

   

Public Company

and Other

Investment

Company

Directorships Held

During

Past 5 Years

Claire A. Walton
1957		    Director
(Since 2016)		    Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015.    28 RICs consisting of 164 Portfolios    None

 

 

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Director and Officer Information  (continued)

 

Interested Directors(a)(d)
         

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)(c)

    Principal Occupation(s) During Past 5 Years   

Number of BlackRock-Advised

Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

   

Public Company

and Other

Investment

Company

Directorships

Held During

Past 5 Years

Robert Fairbairn
1965		    Director
(Since 2018)		    Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.    98 RICs consisting of 266 Portfolios    None
John M. Perlowski(e)
1964		    Director
(Since 2015)
President and Chief
Executive Officer
(Since 2010)		    Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    100 RICs consisting of 268 Portfolios    None

 

(a) 

The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) 

Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

(c) 

Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Director joined the Board, certain Independent Directors first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.

(d) 

Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust/Corporations based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

(e) 

Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

 

Officers Who Are Not Directors(a)
     

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)

    Principal Occupation(s) During Past 5 Years
Roland Villacorta
1971		    Vice President
(Since 2022)		    Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock’s Portfolio Management Group since 2022; Member of BlackRock’s Global Operating Committee since 2022; Head of Portfolio Management in BlackRock’s Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions’ Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock’s Risk & Quantitative Analysis Group.
Jennifer McGovern
1977		    Vice President
(Since 2014)		    Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019.
Trent Walker
1974		    Chief Financial Officer
(Since 2021)		    Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.
Jay M. Fife
1970		    Treasurer
(Since 2007)		    Managing Director of BlackRock, Inc. since 2007.
Charles Park
1967		    Chief Compliance Officer
(Since 2014)		    Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

 

 

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Director and Officer Information  (continued)

 

Officers Who Are Not Directors(a) (continued)
     

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)

    Principal Occupation(s) During Past 5 Years
Lisa Belle
1968		    Anti-Money Laundering
Compliance Officer
(Since 2019)		    Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.
Janey Ahn
1975		    Secretary
(Since 2019)		    Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

 

(a) 

The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) 

Officers of the Trust/Corporation serve at the pleasure of the Board.

Further information about the Trust’s/Corporations’ Directors and Officers is available in the Trust’s/Corporations’ Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

 

 

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/Corporations and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/Corporations.

 

Effective December 31, 2022, Joseph P. Platt retired as a Director of the Trust/Corporations.

 

 

 

 

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   117

Additional Information  

 

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly/quarterly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by a Fund for any particular month/quarter may be more or less than the amount of net investment income earned by a Fund during such month/quarter. The portion of distributions that exceeds a Fund current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings (loss) in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Householding

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

BlackRock’s Mutual Fund Family

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.

Automatic Investment Plans

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

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.

 

 

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Additional Information  (continued)

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Fund and Service Providers

 

Investment Adviser and Administrator(a)

BlackRock Advisors, LLC

Wilmington, DE 19809

Investment Adviser(b)

BlackRock Fund Advisors

San Francisco, CA 94105

Sub-Adviser

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Distributor

BlackRock Investments, LLC

New York, NY 10022

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Address of the Funds/Corporation/Master LLC

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) Administrator to iShares short term TIPS Bond Index Fund, iShares MSCI EAFE

International Index Fund and iShares Russell 2000 Small-Cap Index Fund.

(b) For iShares Municipal Bond Index Fund.

 

 

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   119

Glossary of Terms Used in this Report

 

Portfolio Abbreviation
ADR    American Depositary Receipt
AGC    Assured Guaranty Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    AMBAC Assurance Corp.
AMT    Alternative Minimum Tax
ARB    Airport Revenue Bonds
BAB    Build America Bond
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
CVA    Certificaten Van Aandelen (Dutch Certificate)
ETF    Exchange-Traded Fund
FTSE    Financial Times Stock Exchange
GO    General Obligation Bonds
PSF    Permanent School Fund
RB    Revenue Bond
REIT    Real Estate Investment Trust
SAP    Subject to Appropriations
SAW    State Aid Withholding
SCA    Societe en Commandite par Actions

                    

 

 

 

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Want to know more?

blackrock.com | 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

iSIndex-12/22-AR

 

 

LOGO

   LOGO

(b) Not Applicable

 

Item 2 –

Code of Ethics – Each registrant (or each, a “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrants’ principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrants undertake to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.

 

Item 3 –

Audit Committee Financial Expert – Each registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Neil A. Cotty

Henry R. Keizer

Kenneth L. Urish

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Funds:

 

     (a) Audit Fees   

(b) Audit-Related

Fees1

    (c) Tax Fees2    (d) All Other Fees
Entity Name   Current
Fiscal
  Year End  		   

  Previous  
Fiscal

Year End

   

  Current  

Fiscal
Year

End

   

  Previous  
Fiscal

Year

End

   

  Current  

Fiscal

Year

End

   

  Previous  

Fiscal

Year

End

   

  Current  
Fiscal

Year

End

   

  Previous  

Fiscal

Year

End

iShares MSCI EAFE International Index Fund     $32,946    $32,623    $44    $207    $15,700    $16,400    $431    $0
iShares Russell 2000 Small-Cap Index Fund   $7,956    $7,878    $44    $207    $22,800    $23,500    $431    $0
Master Small Cap Index Series   $28,764    $28,482    $44    $207    $16,800    $16,800    $431    $0

 

2

The following table presents fees billed by D&T that were required to be approved by each registrant’s audit committee (each a “Committee”) for services that relate directly to the operations or financial reporting of each Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to each Fund (“Affiliated Service Providers”):

 

       Current Fiscal Year End       Previous Fiscal Year End  

(b) Audit-Related Fees1

   $0   $0

(c) Tax Fees2

   $0   $0

(d) All Other Fees3

   $2,098,000   $2,032,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,098,000 and $2,032,000 for the current fiscal year and previous fiscal year, respectively, were paid to each Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of each Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

Each Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrants which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the registrant’s Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

 

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(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

             Entity Name  

    Current Fiscal Year    

End

   

    Previous Fiscal Year    

End

 

iShares MSCI EAFE International Index Fund

   $16,175    $16,607
 

iShares Russell 2000 Small-Cap Index Fund

   $23,275    $23,707
 

Master Small Cap Index Series

   $17,275    $17,007

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Funds and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal Year
End		     Previous Fiscal  
Year End

$2,098,000

   $2,032,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i) – Not Applicable

(j) – Not Applicable

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable

 

Item 6 –

Investments

(a) The registrants’ Schedules of Investments are 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.

 

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Item 11 –

Controls and Procedures

(a) The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

 

Item 13 –

Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

 

 

5

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Index Funds, Inc. and Quantitative Master Series LLC

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Index Funds, Inc. and Quantitative Master Series LLC

Date: February 23, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Index Funds, Inc. and Quantitative Master Series LLC

Date: February 23, 2023

 

  By:     

/s/ Trent Walker                             

       Trent Walker
       Chief Financial Officer (principal financial officer) of
       BlackRock Index Funds, Inc. and Quantitative Master Series LLC

Date: February 23, 2023

 

 

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