N-CSR 1 d694489dncsr.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: 12/31/2023

Date of reporting period: 12/31/2023

 

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

 

 

LOGO

  DECEMBER 31, 2023

 

   2023 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,

The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended December 31, 2023. Significantly tighter monetary policy helped to rein in inflation, and the Consumer Price Index decelerated substantially in the first half of the year before stalling between 3% and 4% in the second half. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.

Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the third quarter of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies and small-capitalization U.S. stocks also advanced. Meanwhile, international developed market equities and emerging market stocks posted solid gains.

The 10-year U.S. Treasury yield ended 2023 where it began despite an eventful year that saw significant moves in bond markets. Overall, U.S. Treasuries gained as investors began to anticipate looser financial conditions. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates four times during the 12-month period, but paused its tightening in the second half of the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.

Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for interest rate cuts, as reflected in the recent rally. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.

We believe developed market equities have priced in an optimistic scenario for rate cuts, which we view as premature, so we prefer an underweight stance in the near term. Nevertheless, we are overweight on Japanese stocks as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. mortgage-backed securities, and hard-currency emerging market bonds.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2023

 

    

 

 6-Month 

 

  

 

12-Month

 

 

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

 

   8.04%   26.29%

 

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

 

   8.18   16.93

 

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

 

   5.88   18.24

 

Emerging market equities
(MSCI Emerging Markets Index)

 

   4.71   9.83

 

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

 

   2.70   5.02

 

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

 

   1.11   2.83

 

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

 

   3.37   5.53

 

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

 

   3.63   6.40

 

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

 

   7.65   13.44

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

      58  

Fund Report of Independent Registered Public Accounting Firm

      72  

Important Tax Information

      73  

Series Portfolio Information

      75  

Series Financial Statements:

   

Series Schedule of Investments

      76  

Series Statement of Assets and Liabilities

      104  

Series Statement of Operations

      105  

Series Statements of Changes in Net Assets

      106  

Series Financial Highlights

      107  

Series Notes to Financial Statements

      108  

Series Report of Independent Registered Public Accounting Firm

      116  

Statement Regarding Liquidity Risk Management Program

      117  

Director and Officer Information

      118  

Additional Information

      122  

Glossary of Terms Used in this Report

      124  

 

LOGO

 

 

  3

Fund Summary as of December 31, 2023    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, 2023, the Fund’s Institutional Shares returned 6.58%, Investor A Shares returned 6.31%, Investor P Shares returned 6.32%, and Class K Shares returned 6.63%. The Fund’s benchmark, the ICE BofA US Municipal Securities Index, returned 6.50% for the same period.

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

Describe the market environment.

While municipal yields were highly volatile alongside Treasury yields, the municipal curve finished the reporting period lower along its length and inverted between 2 and 10 years. To illustrate, the two-year municipal yield finished the period at 2.52% versus 2.60%. 12 months earlier, the 10-year declined to 2.28% from 2.63%, and the 30-year from 3.58% to 3.42%.

The period saw continued elevated macroeconomic uncertainty, exasperated by a banking crisis in the first quarter of 2023 and U.S. Treasury debt ceiling concerns in the second quarter. The collapse of select regional banks as a result of the rapid rate hikes by the Fed over the course of 2022 and the uncertainty around whether Congress would approve raising the debt ceiling led to increased financial market volatility. Against the background of signs of cracks in the financial system and moderating economic data, the Fed paused its hiking cycle at its June 2023 meeting while it continued to assess the implications of incoming data. Following that announcement, the central bank’s “dot plot” displaying Open Market Committee member projections for fed funds became more hawkish, indicating (at that time) a likely target range at year end of between 5.50% and 5.75%, suggesting two additional rates hikes.

The eventual resolution of the debt ceiling crisis, a continued recovery in regional banks, a consensus that the Fed was nearing the end of its hiking cycle, and strong demand for yield all contributed to a favorable environment for credit-oriented fixed-income sectors as the first half of 2023 drew to a close. However, the market remained highly sensitive to incoming data as strong employment data and resilient growth was balanced by softening in leading indicators of economic activity such as the ISM Manufacturing Index, painting an uncertain outlook.

July 2023 saw the Fed resume hiking rates, resulting in the fed funds target range being set to 5.25-5.50%, the highest level in over 22 years. In September 2023, the Fed left rates unchanged while messaging that overall resilience in the U.S economy may require rates to remain higher for longer and that the potential remained for another increase. The fourth quarter of 2023 commenced with heightened global tensions leading to a brief flight to quality in markets. The decline in Treasury yields was further supported by Fed commentary highlighting the tightening of financial conditions due to the rise in longer term yields since its September 2023 meeting, signaling a cautious “wait-and-see” approach. November 2023 saw the Fed leave rates unchanged while Fed Chair, Jerome Powell’s press conference adopted a slightly dovish tone, noting progress in taming inflation and suggesting an increased likelihood that the Fed’s hiking cycle had concluded. The Fed’s December 2023 meeting continued the dovish tone even as nonfarm payrolls increased, providing evidence of a resilient labor market and raising hopes for a soft landing for the economy. As 2023 drew to a close the market was pricing in several Fed rate cuts in 2024 and Treasury yields moved lower.

The fourth quarter of 2023 saw municipal bonds post their strongest quarterly performance in decades, more than reversing losses earlier in the year. Declining Treasury yields on the shift in the Fed’s policy outlook, limited new issue supply and strong demand all fueled gains.

Describe recent portfolio activity.

During the period the Portfolio 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 Portfolio remained positioned to attempt to match the risk characteristics of the Index, irrespective of the market’s future direction.

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

 

 

4  

2 0 2 3  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, 2023 (continued)    iShares Municipal Bond Index Fund

 

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

 

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

     3.12 %      3.12 %        6.58 %      N/A         2.22 %      N/A         2.80 %      N/A  

Investor A

     2.86       2.84         6.31       N/A         1.96       N/A         2.66       N/A  

Investor P

     2.75       2.75         6.32       2.07 %        1.97       1.14 %        2.67       2.25 % 

Class K

     3.16       3.10         6.63       N/A         2.26       N/A         2.82       N/A  

ICE BofA US Municipal Securities Index

     —       —               6.50       N/A               2.27       N/A               3.12       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
(07/01/23)		  
 
 		    

 Ending
Account Value
(12/31/23)		  
 
 		    

 Expenses
Paid During
the Period		  
 
(a)  		    

 Beginning
Account Value
(07/01/23)		  
 
 		    

 Ending
Account Value
(12/31/23)		  
 
 		    

 Expenses
Paid During
the Period		  
 
(a)  		    

 Annualized
Expense
Ratio		  
 
 

Institutional

   $ 1,000.00     $ 1,035.40     $ 1.25     $ 1,000.00     $ 1,023.98     $ 1.24       0.24 % 

Investor A

     1,000.00       1,034.00       2.56       1,000.00       1,022.68       2.55       0.50  

Investor P

     1,000.00       1,034.10       2.51       1,000.00       1,022.74       2.49       0.49  

Class K

     1,000.00       1,035.60       1.03       1,000.00       1,024.19       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, 2023 (continued)    iShares Municipal Bond Index Fund

 

Portfolio Information

 

SECTOR ALLOCATION

 

Sector(a)(b)  

Percent of

Total Investments 

  

Transportation

     30.4 % 

State

     25.6  

County/City/Special District/School District

     15.9  

Utilities

     12.8  

Education

     7.0  

Health

     6.5  

Tobacco

     1.0  

Housing

     0.8  

CALL/MATURITY SCHEDULE

 

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

2024

     7.4 % 

2025

     7.2  

2026

     12.2  

2027

     2.1  

2028

     1.8  

CREDIT QUALITY ALLOCATION

 

Credit Rating(a)(d)  

Percent of

Total Investments

  

AAA/Aaa

     22.3 % 

AA/Aa

     59.6  

A

     17.4  

BBB/Baa

     0.5  

N/R

     0.2  
 

 

(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.

 

 

6  

2 0 2 3  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, 2023    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, 2023, the Fund’s Institutional Shares returned 4.41%, Investor A Shares returned 4.22%, and Class K Shares returned 4.51%. The Fund’s benchmark, the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L), the (“Underlying Index”) returned 4.57% 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 reporting period, the Bloomberg US TIPS Index posted a return of 3.90% while the Fund’s benchmark, the Bloomberg US TIPS 0-5 year Index, returned 4.57%. The five-year breakeven rate (the level of expected inflation required to compensate for TIPS lower yield relative to comparable maturity Treasuries) finished the year at 2.12% versus 2.32% at the end of 2022.

The period saw continued elevated macroeconomic uncertainty, exasperated by a banking crisis in the first quarter of 2023 and U.S. Treasury debt ceiling concerns in the second quarter. The collapse of select regional banks as a result of the rapid rate hikes by the Fed over the course of 2022 and the uncertainty around whether Congress would approve raising the debt ceiling led to increased financial market volatility. Against the background of signs of cracks in the financial system and moderating economic data, the Fed paused its hiking cycle at its June 2023 meeting while it continued to assess the implications of incoming data. Following that announcement, the central bank’s “dot plot” displaying Open Market Committee member projections for fed funds became more hawkish, indicating (at that time) a likely target range at year end of between 5.50% and 5.75%, suggesting two additional rates hikes.

The eventual resolution of the debt ceiling crisis, a continued recovery in regional banks, a consensus that the Fed was nearing the end of its hiking cycle, and strong demand for yield all contributed to a favorable environment for credit-oriented fixed-income sectors as the first half of 2023 drew to a close. However, the market remained highly sensitive to incoming data as strong employment data and resilient growth was balanced by softening in leading indicators of economic activity such as the ISM Manufacturing Index, painting an uncertain outlook.

July 2023 saw the Fed resume hiking rates, resulting in the fed funds target range being set to 5.25-5.50%, the highest level in over 22 years. In September 2023, the Fed left rates unchanged while messaging that overall resilience in the U.S economy may require rates to remain higher for longer and that the potential remained for another increase. The fourth quarter of 2023 commenced with heightened global tensions, leading to a brief flight to quality in markets. The decline in Treasury yields was further supported by Fed commentary highlighting the tightening of financial conditions due to the rise in longer term yields since its September 2023 meeting, signaling a cautious “wait-and-see” approach. November 2023 saw the Fed leave rates unchanged while Fed Chair, Jerome Powell’s press conference adopted a slightly dovish tone, noting progress in taming inflation and suggesting an increased likelihood that the Fed’s hiking cycle had concluded. The Fed’s December 2023 meeting continued the dovish tone even as nonfarm payrolls increased, providing evidence of a resilient labor market and raising hopes for a soft landing for the economy. As 2023 drew to a close the market was pricing in several Fed rate cuts in 2024 and Treasury yields drifted lower. Despite substantial volatility along the way, the 10-year U.S. Treasury yield finished the year unchanged at 3.88%.

For the period, the Fund’s cash position averaged 15.6%. The Fund’s cash position 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, 2023 (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

       4.41 %      3.22 %      2.54 % 

Investor A

       4.22       2.95       2.27  

Class K

       4.51       3.24       2.56  

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

            4.57       3.37       2.65  

 

  (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

(07/01/23)

 

 

 

    

 Ending

Account Value

(12/31/23)

 

 

 

    

 Expenses

Paid During

the Period

  

 

(a)  

    

 Beginning

Account Value

(07/01/23)

 

 

 

    

 Ending

Account Value

(12/31/23)

 

 

 

    

 Expenses

Paid During

the Period

  

 

(a)  

    

 Annualized

Expense

Ratio

 

 

 

Institutional

   $ 1,000.00     $ 1,028.90     $ 0.56     $ 1,000.00     $ 1,024.65     $ 0.56       0.11 % 

Investor A

     1,000.00       1,027.60       1.84       1,000.00       1,023.39       1.84       0.36  

Class K

     1,000.00       1,029.10       0.31       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 3  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, 2023 (continued)    iShares Short-Term TIPS Bond Index Fund

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Period  

Percent of

Total Investments(a)

  

1-2 Years

     25.6 % 

2-3 Years

     22.7  

3-4 Years

     24.3  

4-5 Years

     27.4  
(a)

Exclude short-term securities. 

 

FIVE LARGEST FUND HOLDINGS

 

   
Holding  

Percent of

Total Investments

  

U.S. Treasury Inflation Indexed Bonds, 2.38%, 10/15/28

     5.3 % 

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

     5.0  

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

     4.9  

U.S. Treasury Inflation-Indexed Notes, 1.25%, 04/15/28

     4.8  

U.S. Treasury Inflation-Indexed Notes, 0.13%, 10/15/26

     4.7  
 

 

 

 

F U N D  S U M M A R Y

   9

Fund Summary as of December 31, 2023    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, 2023, the Fund’s Institutional Shares returned 18.33%, Investor A Shares returned 18.02%, Investor P Shares returned 17.92%, Class G Shares returned 18.32%, and Class K Shares returned 18.34%. The MSCI EAFE Index returned 18.24% 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.

Developed non-U.S. markets, as represented by the MSCI EAFE Index, posted positive gains over the first quarter of 2023 on the back of optimism of cooling inflation pressure and resilient economic data. Energy shock has been mitigated by warm weather and government energy support measures. Headline news about the banking sector dampened market sentiments and attracted investors’ attention later in the quarter. The overall market calmed after the central banks set out reassuring plans.

In Europe, forward-looking indicators raised hopes that the eurozone may continue to avoid recession. The European Central Bank (“ECB”) reiterated its commitment to return inflation to its 2% target. The Bank of England (“BoE”) and ECB both raised the interest rate over the quarter to 4.25% and 3.00% respectively.

In Japan, the Bank of Japan (“BOJ”) kept their stance toward loose monetary policy amidst currency strength concerns. Inflation is at the highest level in the last 40 years. The Japanese market posted positive gains over the first quarter supported by the resurgence of tourism.

In the second quarter of 2023, developed non-U.S. markets posted positive gains supported by resilient corporate earnings data. The information technology sector rallied and boosted broad market performance, with semiconductor companies leading the way.

The ECB raised the interest rate to 4% over the quarter, indicating a potential for further rate hikes due to elevated inflation rates. In the United Kingdom, the BoE raised the interest rate to 5% in response to increased inflation triggered by wage growth.

The Japanese equity market posted positive return over the second quarter supported by a weaker Yen, improved sentiment towards semiconductor industry, and a strong corporate earnings season.

Global growth and inflation concerns took center stage in shaping sentiment across developed markets. Developed European equities fell over the third quarter amid worries about the potential impact of further rate hikes on economic growth.

The cooling inflation rate in Europe raised optimism that the rate hike cycle was nearing its endpoint. The ECB raised the interest rate in both July and September 2023, signaling a pause ahead, as the current level was deemed sufficient to guide inflation back to its target. However, the BoE maintained rates unchanged in September 2023 but indicated a longer period of elevated rates.

In Japan, equity markets rallied on the back of rising rates and robust earnings results. The weakened Yen, coupled with strong domestic demand, heightened investor sentiment, and supported market performance throughout the quarter. The BOJ announced policy adjustments that supported a gradual increase in Japanese government bond yields.

Developed non-U.S. markets posted positive gains over the fourth quarter 2023, supported by the optimism of cooling inflationary pressure and resilient economic data. With inflation returning closer to central banks’ targets, investors increased expectations that the rate-hiking cycle may have been over and increased their hopes for rate cuts in 2024.

In the Eurozone, with inflation data returning closer to the 2% target, the ECB kept interest rates at 4.00% in October 2023 after 10 consecutive hikes. In the United Kingdom, data contributed to hopes that the BoE may have finished its series of interest rate hikes. The BoE kept rates at 5.25% during the quarter.

In Japan, core consumer price growth picked up in the quarter to 2.9% in October 2023. The BoJ kept interest rates at -0.1%. The BoJ is the only major central bank to maintain interest rates below zero with the hope of ending Japan’s decades of deflation.

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.

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.

 

 

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Fund Summary as of December 31, 2023 (continued)    iShares MSCI EAFE International Index Fund

 

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

     18.33 %      N/A         8.25 %      N/A         4.24 %      N/A  

Investor A

     18.02       N/A         7.98       N/A         3.97       N/A  

Investor P

     17.92       11.72 %        7.97       6.81 %        3.98       3.42 % 

Class G

     18.32       N/A         8.25       N/A         4.24       N/A  

Class K

     18.34       N/A         8.33       N/A         4.29       N/A  

MSCI EAFE Index

     18.24       N/A               8.16       N/A               4.28       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

(07/01/23)

 

 

 

    

 Ending
Account Value
(12/31/23) 		 
 
 		    

 Expenses
Paid During
the Period		  
 
(a)  		    

 Beginning
Account Value
(07/01/23) 		 
 
 		    

 Ending
Account Value
(12/31/23) 		 
 
 		    

 Expenses
Paid During
the Period		  
 
(a)  		    

 Annualized
Expense
Ratio 		 
 
 

Institutional

   $ 1,000.00     $ 1,055.80     $ 0.55     $ 1,000.00     $ 1,024.67     $ 0.54       0.11 % 

Investor A

     1,000.00       1,054.40       1.84       1,000.00       1,023.41       1.81       0.36  

Investor P

     1,000.00       1,053.80       1.84       1,000.00       1,023.41       1.81       0.36  

Class G

     1,000.00       1,055.70       0.05       1,000.00       1,025.08       0.13       0.02  

Class K

     1,000.00       1,056.10       0.29       1,000.00       1,024.92       0.29       0.06  

 

  (a) 

For each class of the Fund, except for Class G Shares, 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). For Class G Shares 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 77/365 for actual expenses and 184/365 for hypothetical expenses (to reflect the six month period shown).

 

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

 

 

F U N D  S U M M A R Y

   11

Fund Summary as of December 31, 2023 (continued)    iShares MSCI EAFE International Index Fund

 

Portfolio Information

 

TEN LARGEST HOLDINGS

 

Security  

Percent of

Net Assets

  

Novo Nordisk A/S, Class B

     2.1 % 

Nestle SA, Registered Shares

     1.9  

ASML Holding NV

     1.9  

LVMH Moet Hennessy Louis Vuitton SE

     1.4  

Shell PLC

     1.3  

AstraZeneca PLC

     1.3  

Novartis AG, Class N, Registered Shares

     1.3  

Roche Holding AG

     1.2  

Toyota Motor Corp.

     1.2  

BHP Group Ltd., Class DI

     1.1  

GEOGRAPHIC ALLOCATION

 

Country/Geographic Region  

Percent of

Net Assets

  

Japan

     22.1 % 

United Kingdom

     12.9  

France

     11.5  

Switzerland

     8.9  

Germany

     8.4  

Australia

     8.3  

Netherlands

     5.0  

Denmark

     3.3  

Sweden

     3.2  

Spain

     2.6  

Italy

     2.2  

Hong Kong

     2.0  

United States

     1.8  

Singapore

     1.3  

Ireland

     1.2  

Finland

     1.1  

Other#

    3.5  

Other Assets Less Liabilities

     0.7  
 
#

Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Schedule of Investments for such countries/geographic regions.

 

 

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Fund Summary as of December 31, 2023    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, 2023, the Fund’s Institutional Shares returned 16.90%, Investor A Shares returned 16.60%, Investor P Shares returned 16.62%, and Class K Shares returned 16.95%. The Russell 2000® Index returned 16.93% 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.

The U.S. equity market rallied over the first quarter of 2023 on the back of cooling inflation and resilient economic data. In combination with a stronger-than-expected gross domestic product (“GDP”), inflation data led investors to position for slower rate rises from the Federal Reserve (“Fed”). The Fed reiterated their commitment to raise interest rates to bring the inflation rate down in February 2023, especially if macro data continued to come in stronger than expected. Later in the quarter, investors’ attention quickly switched to headline news about the banking sector which led to a major sell off in the financial sectors. The overall market calmed after the central banks set out reassuring plans.

During the first quarter 2023, the Fed raised the interest rate by 25 basis points in February and March 2023, bringing it to the range of 4.75% and 5.00%. This represented the 9th consecutive interest rate hike. A slight shift in rhetoric was interpreted that the rate hiking cycle was nearing a pause, although Fed Chair, Jerome Powell was clear that additional “policy firming” may be required.

In the second quarter of 2023, the U.S. equity market continued to rally, despite concerns over the debt ceiling. Robust gains were supported by resilient economic data and strong performance by large-cap growth stocks. Concerns regarding the United States debt ceiling dampened market sentiment in May 2023 before Congress reached an agreement to suspend it. Later in the quarter, markets rallied boosted by the technology sector on the back of enthusiasm over artificial intelligence and chipmakers.

The Fed raised the interest rate by 25 basis points over the quarter, bringing rates to the range of 5.00% and 5.25%. The Fed signaled that hike pauses will come later in the quarter but expressed the need to retain flexibility to bring inflation down.

The U.S. equity market initially rallied over the third quarter, supported by a falling inflation rate and resilient economic data. The Fed raised its policy rate by 25 basis points, bringing the fed funds rate to 5.25%-5.50%. However, uncertainty around whether the Fed had reached the endpoint for its rate-hiking cycle had dampened the market sentiment.

A slight inflation hike in August 2023 weighed down on market performance over the second part of the third quarter. However, the Fed kept rates unchanged during their September 2023 meeting, signaling a hawkish pause that raised concerns about high rates persisting for a longer period and a possibility of another rate hike later in 2023, driven by increasing oil prices pushing the inflation rate higher.

The U.S. equity market posted overall robust gains on the back of cooling inflation data during the fourth quarter. The market initially dampened in October 2023 with expectations that interest rates would remain higher for longer. Increasing conflict in the Middle East further exacerbated the initial market dampening. Later in the quarter however, optimistic inflation data led to hopes that interest rates had reached their peak, leading the market to rally in the second half of the quarter.

During the fourth quarter, falling consumer price index data raised hopes that inflation was on course to fall back to the Fed’s 2% target. The Fed held interest rates steady for the quarter at a targeted range of 5.25% to 5.50%. Given that the Fed signaled they may have finished their series of rate hikes, market expectations of rate cuts in 2024 increased.

Describe recent portfolio activity.

During the 12-month period, as changes were made to the composition of the Russell 2000® Index, the Series purchased and sold securities to maintain its objective of 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, 2023 (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. The Russell 2000® Index 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

       16.90 %      N/A         9.96 %      N/A         7.14 %      N/A  

Investor A

       16.60       N/A         9.68       N/A         6.88       N/A  

Investor P

       16.62       10.50 %        9.70       8.52 %        6.87       6.30 % 

Class K

       16.95       N/A         10.02       N/A         7.20       N/A  

Russell 2000® Index

            16.93       N/A               9.97       N/A               7.16       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

(07/01/23)

  

 

 

    

 Ending

Account Value

(12/31/23)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Beginning

Account Value

(07/01/23)

  

 

 

    

 Ending

Account Value

(12/31/23)

  

 

 

    

 Expenses

Paid During

the Period

  

 

(a) 

    

 Annualized

Expense

Ratio

  

 

 

Institutional

   $ 1,000.00     $ 1,081.60     $ 0.63     $ 1,000.00     $ 1,024.60     $ 0.61       0.12 % 

Investor A

     1,000.00       1,080.00       1.94       1,000.00       1,023.34       1.89       0.37  

Investor P

     1,000.00       1,080.30       1.92       1,000.00       1,023.36       1.87       0.37  

Class K

     1,000.00       1,081.90       0.36       1,000.00       1,024.86       0.35       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.

 

 

 

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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.

Class G Shares (available only in iShares MSCI EAFE International Index Fund) are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to investors on eligible platforms. Class G Shares performance shown prior to the Class G Shares inception date of October 16, 2023 is that of Institutional Shares.The performance of iShares MSCI EAFE International Index Fund’s Class G Shares would be substantially similar to Institutional Shares because Class G Shares and Institutional Shares invest in the same portfolio of securities and performance would only differ to the extent that Class G Shares and Institutional Shares have different expenses. The actual returns of Class G Shares would have been higher than those of the Institutional Shares because Class G Shares have lower expenses than the Institutional Shares.

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.

 

 

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Schedule of Investments

December 31, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Municipal Bonds

    
Alabama — 0.2%            
State — 0.2%            

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

   $       395     $ 412,490  
   

 

 

  
Arizona — 0.0%            
County/City/Special District/School District — 0.0%        

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

     5       5,050  
   

 

 

  
California — 22.0%            
County/City/Special District/School District — 4.2%        

Contra Costa Community College District, GO, Series A, Election 2014, 4.00%, 08/01/39

     1,000         1,002,792  

El Camino Community College District Foundation, GO, CAB, Series C, Election 2002, 0.00%, 08/01/38(a)

    680       397,233  

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

     1,350       1,433,559  

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

     1,000       1,010,537  

Los Angeles Unified School District, GO, Series B-1, Election 2008, 5.00%, 07/01/33

     1,500       1,649,410  

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

    995       372,387  

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

     250       290,510  

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

    500       520,502  

San Diego Unified School District, GO

    

Series L, 4.00%, 07/01/49

     1,000       1,004,351  

Series I, Election 2012, 5.00%, 07/01/41

     1,000       1,064,583  

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

     2,075       2,184,812  

San Marcos Unified School District, GO, CAB, Series B, Election 2010, 0.00%, 08/01/51(a)

    350       110,322  
   

 

 

  
      11,040,998  
Education — 3.7%            

California Educational Facilities Authority, RB

    

Series U-6, 5.00%, 05/01/45

     1,260       1,573,036  

Series U-7, 5.00%, 06/01/46

     495       617,351  

California State University, Refunding RB

    

Series A, 4.00%, 11/01/35

     500       511,094  

Series A, 4.00%, 11/01/38

     500       505,942  

Series A, 5.00%, 11/01/43

     540       557,079  

Series A, 5.00%, 11/01/48

     1,030       1,108,488  

Lodi Unified School District, GO, Series 2022, Election 2016, 3.00%, 08/01/43

     975       849,430  

University of California, Refunding RB

    

Series AR, 5.00%, 05/15/41

     605       631,192  

Series AY, 5.00%, 05/15/32

     500       543,924  

Series BE, 4.00%, 05/15/47

     1,000       1,011,357  

Series BN, 5.00%, 05/15/41

     1,000       1,174,957  

Series BN, 5.00%, 05/15/42

     415       482,902  
   

 

 

  
      9,566,752  
Health — 0.4%            

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

       1,000         1,101,712  
   

 

 

  
State — 4.7%            

California State Public Works Board, Refunding RB
5.00%, 10/01/26

     250       267,178  
Security   Par
(000)		     Value  
State (continued)            

California State Public Works Board, Refunding RB (continued)

    

Series C, 5.00%, 08/01/30

   $ 1,000     $ 1,166,565  

State of California, Refunding GO

    

5.00%, 10/01/24

     45       45,752  

5.00%, 08/01/26

           540       560,741  

5.00%, 08/01/27

     1,000       1,062,478  

5.00%, 09/01/28

     1,000       1,118,408  

5.00%, 08/01/31

     1,000       1,058,573  

5.00%, 09/01/31

     565       599,100  

4.00%, 09/01/32

     250       256,233  

5.00%, 04/01/35

     1,000       1,196,766  

3.00%, 10/01/37

     825       779,651  

5.00%, 09/01/43

     1,500       1,735,032  

5.00%, 12/01/43

     150       150,088  

3.00%, 04/01/52

     1,000       803,157  

5.00%, 09/01/52

     1,360       1,519,250  
   

 

 

  
       12,318,972  
Tobacco — 1.0%            

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

    2,400       2,478,704  
   

 

 

  
Transportation — 3.4%            

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

     1,000       995,571  

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

     500       508,244  

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

     500       524,141  

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

     1,500       1,589,195  

City of Los Angeles Department of Airports, Refunding ARB

    

AMT, Subordinate, 3.00%, 11/15/31(b)

    55       55,007  

AMT, Subordinate, 3.00%, 05/15/40

     1,210       1,059,598  

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

     1,000       986,584  

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

   

Series A, (AGM), 0.00%, 01/15/36

     500       332,238  

Series A, (AGM), 0.00%, 01/15/37

     1,000       632,824  

Riverside County Transportation Commission, Refunding RB, Series B1, Senior Lien, 4.00%, 06/01/37

     1,154       1,182,353  

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

     1,000       960,374  
   

 

 

  
      8,826,129  
Utilities — 4.6%            

California Infrastructure & Economic Development Bank, RB, 4.00%, 10/01/45

     1,510       1,566,978  

East Bay Municipal Utility District Water System Revenue, Refunding RB Series B, 5.00%, 06/01/33

     1,435       1,565,842  

Series B-2, 5.00%, 06/01/34

     1,000       1,259,502  

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

     1,500       1,507,974  

Los Angeles Department of Water & Power, Refunding RB, Series A, 5.00%, 07/01/37

     1,000       1,088,905  

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

     1,550         1,748,210  
 

 

 

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, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Utilities (continued)            

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

   $       500     $ 540,223  

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

     1,500       1,500,251  

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

    1,000       1,074,347  
   

 

 

  
       11,852,232  
   

 

 

  

Total Municipal Bonds in California

       57,185,499  
Colorado — 3.5%            
County/City/Special District/School District — 0.5%  

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

     1,500       1,480,036  
   

 

 

  
Health — 0.4%            

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

     1,000       1,041,388  
   

 

 

  
State — 0.2%            

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

     500       502,978  
   

 

 

  
Transportation — 1.9%            

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

    

Series A, AMT, 5.00%, 12/01/35

       1,000       1,066,351  

Series D, AMT, 5.50%, 11/15/29

     3,000       3,400,066  

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

     400       403,455  
   

 

 

  
      4,869,872  
Utilities — 0.5%            

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

     1,230       1,230,944  
   

 

 

  

Total Municipal Bonds in Colorado

       9,125,218  
   

 

 

  
Connecticut — 1.7%            
State — 1.2%            

State of Connecticut Special Tax Revenue, RB

    

Series A, 4.00%, 05/01/36

     1,000       1,057,633  

Series A, 4.00%, 05/01/39

     500       516,712  

State of Connecticut, GO

    

Series B, 5.00%, 06/15/28

     400       412,552  

Series B, 4.00%, 06/15/33

     850       855,753  

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

     250       257,403  
   

 

 

  
      3,100,053  
Transportation — 0.5%            

State of Connecticut Special Tax Revenue, RB

    

Series A, 5.00%, 10/01/29

     725       725,831  

Series A, 4.00%, 09/01/36

     430       437,022  
   

 

 

  
      1,162,853  
   

 

 

  

Total Municipal Bonds in Connecticut

       4,262,906  
Security   Par
(000)		     Value  
District of Columbia — 1.5%            
State — 0.4%            

District of Columbia, GO, Series D, 4.00%, 06/01/34

   $ 1,000     $ 1,037,291  
   

 

 

  
Transportation — 1.1%            

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

     1,500       1,428,456  

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

       1,500       1,505,730  
   

 

 

  
        2,934,186  
   

 

 

  

Total Municipal Bonds in District of Columbia

       3,971,477  
Florida — 2.3%            
County/City/Special District/School District — 0.8%  

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

     1,500       1,476,681  

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

           500       521,509  
   

 

 

  
      1,998,190  
Health — 0.4%            

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

     1,000       1,048,726  
   

 

 

  
Transportation — 1.1%            

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

     1,000       1,037,336  

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

     850       880,630  

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

     1,000       1,008,414  
   

 

 

  
      2,926,380  
   

 

 

  

Total Municipal Bonds in Florida

       5,973,296  
Georgia — 2.7%            
County/City/Special District/School District — 1.0%  

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

     1,400       1,528,328  

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

     1,000       1,055,601  
   

 

 

  
      2,583,929  
State — 1.0%            

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

     650       685,408  

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

     1,710       1,862,738  
   

 

 

  
      2,548,146  
Transportation — 0.7%            

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

     1,000       1,131,922  

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

     750       841,888  
   

 

 

  
      1,973,810  
   

 

 

  

Total Municipal Bonds in Georgia

       7,105,885  
Illinois — 5.2%            
County/City/Special District/School District — 0.1%  

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

     150       164,659  
   

 

 

  
 

 

 

18  

2 0 2 3  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, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Health — 0.4%            

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

   $ 1,000     $ 1,022,678  
   

 

 

  
State — 2.3%            

Metropolitan Pier & Exposition Authority, Refunding RB(a)

   

Class B, (AGM), 0.00%, 06/15/46

     1,105       415,661  

Series B, (AGM), 0.00%, 06/15/44

     1,000       423,005  

State of Illinois, GO

    

5.00%, 05/01/39

     1,500       1,503,259  

Series C, 5.00%, 11/01/29

     1,000       1,070,678  

Series D, 5.00%, 11/01/24

     1,000       1,014,450  

Series D, 5.00%, 11/01/26

     500       527,240  

State of Illinois, Refunding GO

    

Series A, 5.00%, 10/01/25

           500       515,800  

Series A, 5.00%, 10/01/28

     500       544,943  
   

 

 

  
        6,015,036  
Transportation — 1.9%            

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

     410       410,000  

Chicago O’Hare International Airport, Refunding ARB

    

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

     1,000       1,008,939  

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

     1,000       1,052,952  

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

     190       204,868  

Illinois State Toll Highway Authority, RB

    

Series A, 4.00%, 01/01/46

     1,000       991,449  

Series B, 5.00%, 01/01/41

     1,000       1,028,585  

Illinois State Toll Highway Authority, Refunding RB

    

Series A, 5.00%, 01/01/25

     100       102,067  

Series A, 5.00%, 01/01/30

     250       279,375  
   

 

 

  
      5,078,235  
Utilities — 0.5%            

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

       1,085       1,239,933  
   

 

 

  

Total Municipal Bonds in Illinois

        13,520,541  
   

 

 

  
Indiana — 0.0%            
Transportation — 0.0%            

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

     100       101,951  
   

 

 

  
Kansas — 0.8%            
Health — 0.2%  

University of Kansas Hospital Authority, Refunding RB

    

Series A, 5.00%, 03/01/27(b)

    155       166,140  

Series A, 5.00%, 03/01/47

     425       436,473  
   

 

 

  
      602,613  
Transportation — 0.6%            

State of Kansas Department of Transportation, RB

    

5.00%, 09/01/27

     1,000       1,036,954  

5.00%, 09/01/34

     500       513,873  
   

 

 

  
      1,550,827  
   

 

 

  

Total Municipal Bonds in Kansas

       2,153,440  
Maryland — 2.3%            
State — 1.9%            

State of Maryland, GO

    

Series A, 5.00%, 03/15/28

     450       498,767  
Security   Par
(000)		     Value  
State (continued)            

State of Maryland, GO (continued)

    

Series A, 5.00%, 03/15/30

   $   1,000     $   1,158,528  

Series A, 5.00%, 03/15/31

     400       429,940  

Series A, 5.00%, 06/01/33

     1,500       1,807,401  

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

     1,000       1,037,575  
   

 

 

  
      4,932,211  
Transportation — 0.4%            

State of Maryland Department of Transportation, ARB

    

4.00%, 12/15/28

           405       405,104  

4.00%, 11/01/29

     695       698,729  
   

 

 

  
      1,103,833  
   

 

 

  

Total Municipal Bonds in Maryland

         6,036,044  
Massachusetts — 3.4%            
Education — 0.8%            

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

     500       613,389  

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

     1,000       1,246,124  

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

    75       76,259  
   

 

 

  
      1,935,772  
Health — 0.4%            

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

     1,000       1,083,758  
   

 

 

  
State — 2.2%            

Commonwealth of Massachusetts, GO

    

Series A, 5.00%, 03/01/26

     725       762,819  

Series B, 3.00%, 02/01/48

     1,000       812,667  

Series D, 5.00%, 11/01/31

     1,000       1,194,920  

Series E, 4.00%, 04/01/46

     530       530,019  

Series F, 5.00%, 11/01/42

     1,000       1,053,096  

Series G, 4.00%, 09/01/32

     1,325       1,365,921  
   

 

 

  
      5,719,442  
   

 

 

  

Total Municipal Bonds in Massachusetts

       8,738,972  
Michigan — 1.4%            
Education — 0.3%            

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

    585       615,931  
   

 

 

  
Health — 0.4%            

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

     1,000       1,068,820  
   

 

 

  
State — 0.7%            

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

     1,000       801,535  

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

     1,000       1,100,296  
   

 

 

  
      1,901,831  
   

 

 

  

Total Municipal Bonds in Michigan

       3,586,582  
 

 

 

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, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Minnesota — 0.4%            
Health — 0.4%            

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

   $   1,000     $ 1,105,875  
   

 

 

  
Missouri — 0.4%            
Utilities — 0.4%            

Metropolitan St. Louis Sewer District, Refunding RB

    

Series B, 5.00%, 05/01/25(b)

    330       339,463  

Series B, 5.00%, 05/01/45

           705       723,820  
   

 

 

  

Total Municipal Bonds in Missouri

         1,063,283  
New Jersey — 5.3%            
Education — 0.4%            

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

     1,000       1,042,883  
   

 

 

  
Health — 0.4%            

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

     1,000       981,003  
   

 

 

  
State — 1.2%            

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

     500       524,286  

State of New Jersey, GO

    

Series A, 5.00%, 06/01/29

     1,000       1,128,427  

Series A, 4.00%, 06/01/31

     1,500       1,636,323  
   

 

 

  
      3,289,036  
Transportation — 3.3%            

New Jersey Transportation Trust Fund Authority, RB

    

Series A, 0.00%, 12/15/25(a)

    100       93,563  

Series A, 0.00%, 12/15/32(a)

    250       186,363  

Series AA, 5.00%, 06/15/25

     150       151,404  

Series AA, 4.75%, 06/15/38

     280       284,629  

Series AA, 3.00%, 06/15/50

     1,000       801,001  

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

   

Series A, 0.00%, 12/15/35

     3,075       2,038,472  

Series A, 0.00%, 12/15/38

     530       300,996  

New Jersey Transportation Trust Fund Authority, Refunding RB

    

Series A, 4.00%, 12/15/31

     1,000       1,046,674  

Series A, 5.00%, 12/15/36

     1,000       1,086,729  

Series D, 5.00%, 12/15/24

     250       254,793  

New Jersey Turnpike Authority, Refunding RB

    

Series E, 5.00%, 01/01/29

     1,000       1,093,724  

Series E, 5.00%, 01/01/32

     1,100       1,200,400  
   

 

 

  
      8,538,748  
   

 

 

  

Total Municipal Bonds in New Jersey

        13,851,670  
New York — 23.7%            
County/City/Special District/School District — 7.3%  

City of New York, GO

    

Series B-1, 5.00%, 12/01/41

     1,390       1,446,375  

Series C, 4.00%, 08/01/40

     1,840       1,886,212  

Series D, 5.00%, 12/01/35

     500       550,461  

Series D, 4.00%, 12/01/41

     1,000       1,005,408  

Series F-1, 5.00%, 03/01/43

     1,000       1,108,308  

Series F-1, 5.00%, 03/01/50

     1,000       1,083,937  

City of New York, Refunding GO, Sub-Series F-1, 5.00%, 08/01/27

     380       413,508  

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

     310       342,647  
Security   Par
(000)		     Value  
County/City/Special District/School District (continued)        

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

   $       300     $ 297,802  

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

    

5.00%, 05/01/37

       1,000       1,035,670  

Series A1, 5.00%, 08/01/36

     500       547,569  

Series A1, 5.00%, 08/01/42

     1,000       1,070,589  

Subordinate, 4.00%, 05/01/42

     1,000       1,014,891  

Series A-1, Subordinate, 4.00%, 08/01/38

     1,000       1,063,871  

Series C-1, Subordinate, 5.00%, 02/01/32

     2,285       2,727,892  

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

    

Series B-1, 5.00%, 11/01/30

     1,400       1,634,352  

New York State Urban Development Corp., RB, Class A, 4.00%, 03/15/47

     1,000       1,001,622  

Triborough Bridge & Tunnel Authority Sales Tax Revenue, RB, Series A, 5.00%, 05/15/42

     665       756,904  
   

 

 

  
       18,988,018  
Education — 1.6%            

New York State Dormitory Authority, RB

    

5.00%, 10/01/45

     1,500       1,866,993  

Series A, 4.00%, 07/01/41

     1,000       1,005,000  

Series A, 5.00%, 10/01/48

     1,000       1,238,315  
   

 

 

  
      4,110,308  
State — 5.8%            

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

     1,455       1,515,665  

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

     740       810,342  

New York State Dormitory Authority, Refunding RB

    

Series A, 5.00%, 03/15/27

     1,000       1,080,171  

Series A, 5.00%, 03/15/28(c)

    250       275,489  

Series A, 4.00%, 03/15/43

     500       503,305  

Series A, 3.00%, 03/15/51

     2,000       1,582,069  

Series D, 4.00%, 02/15/47

     1,000       997,297  

Series E, 5.00%, 03/15/27(c)

    500       539,714  

Series E, 5.00%, 09/15/28(b)

    5       5,573  

Series E, 5.00%, 03/15/29

     995       1,109,309  

Series E, 3.00%, 03/15/41

     1,500       1,328,589  

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

     1,000       1,001,592  

New York State Urban Development Corp., Refunding RB

    

Series A, 5.00%, 03/15/27(c)

    600       647,656  

Series A, 5.00%, 03/15/39

     1,000       1,100,303  

Series E, 3.00%, 03/15/47

     715       582,679  

Series E, 3.00%, 03/15/50

     1,130       893,929  

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

    1,000       1,016,635  
   

 

 

  
      14,990,317  
Transportation — 6.1%            

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

     910       952,013  

Metropolitan Transportation Authority, RB

    

Series A, 4.00%, 11/15/48

     500       479,403  

Series D1, 5.00%, 11/15/44

     300       319,141  

Metropolitan Transportation Authority, Refunding RB

    

Series B, 5.00%, 11/15/37

     1,075       1,103,963  

Series D-1, 5.00%, 11/15/34(d)

    1,000       1,011,798  

Sub-Series C-1, 5.00%, 11/15/34

     1,000       1,079,540  
 

 

 

20  

2 0 2 3  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, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Transportation (continued)            

New York State Thruway Authority, Refunding RB

    

Series A-1, 4.00%, 03/15/44

   $   1,000     $ 1,009,903  

Series A-3, 4.00%, 03/15/56

     1,000       977,897  

Series B, Subordinate, 4.00%, 01/01/50

     1,000       979,871  

Port Authority of New York & New Jersey, Refunding ARB

    

5.00%, 07/15/48

     1,840       2,043,917  

Series 194, 5.00%, 10/15/41

           835       855,593  

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

     625       625,068  

Triborough Bridge & Tunnel Authority, Refunding RB

    

Series A, 5.00%, 11/15/31

     1,000       1,049,655  

Series A, 5.00%, 11/15/40

     600       611,354  

Series B, 5.00%, 11/15/38

     1,000       1,056,963  

Senior Lien, 5.00%, 11/15/28

     1,605       1,810,118  
   

 

 

  
       15,966,197  
Utilities — 2.9%            

New York City Municipal Water Finance Authority, RB

    

Series CC-1, 5.00%, 06/15/48

     1,000       1,045,843  

Series DD-1, 4.00%, 06/15/49

     1,000       995,256  

New York City Municipal Water Finance Authority, Refunding RB

    

Series DD, 5.00%, 06/15/39

     420       421,688  

Series EE, 5.00%, 06/15/36

     1,000       1,029,161  

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

     1,000       989,293  

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

     1,000       1,000,296  

Utility Debt Securitization Authority, Refunding RB, Series TE, Restructured, 5.00%, 12/15/41

     2,000       2,007,595  
   

 

 

  
      7,489,132  
   

 

 

  

Total Municipal Bonds in New York

       61,543,972  
North Carolina — 0.7%            
Housing — 0.4%            

North Carolina Housing Finance Agency, RB, S/F Housing, (FHLMC, FNMA, GNMA), 5.00%, 07/01/46

     1,000       1,053,524  
   

 

 

  
Transportation(a) — 0.3%            

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

     500       353,709  

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

     1,000       332,293  
   

 

 

  
      686,002  
   

 

 

  

Total Municipal Bonds in North Carolina

       1,739,526  
Ohio — 1.7%            
Transportation — 0.4%            

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

     1,000       1,093,247  
   

 

 

  
Utilities — 1.3%            

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

     1,000       1,127,838  

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

     2,000       2,163,759  
   

 

 

  
      3,291,597  
   

 

 

  

Total Municipal Bonds in Ohio

       4,384,844  
Security   Par
(000)		     Value  
Pennsylvania — 4.4%            
Health — 0.8%            

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

   $   1,000     $ 1,049,537  

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

     1,000       1,054,700  
   

 

 

  
      2,104,237  
Housing — 0.4%            

Pennsylvania Housing Finance Agency, Refunding RB, S/F Housing, Series 142-A, 4.50%, 10/01/38

     1,000       1,049,473  
   

 

 

  
State — 1.6%            

Commonwealth of Pennsylvania, GO

    

5.00%, 10/01/31

     1,000       1,176,029  

Series 1, 5.00%, 03/15/29

     1,000       1,019,637  

Series 2, 5.00%, 10/15/26

           685       687,771  

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

     1,105       1,183,913  
   

 

 

  
        4,067,350  
Transportation — 1.6%            

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

     125       136,509  

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

     250       260,978  

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

     1,000       1,014,469  

Pennsylvania Turnpike Commission, RB

    

Series A-1, 5.00%, 12/01/47

     1,000       1,036,689  

Series 1, Subordinate, 5.00%, 12/01/39

     875       950,894  

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

     425       421,289  

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

     480       470,303  
   

 

 

  
      4,291,131  
   

 

 

  

Total Municipal Bonds in Pennsylvania

       11,512,191  
South Carolina — 0.4%            
Utilities — 0.4%            

South Carolina Public Service Authority, Refunding RB

    

Series A, 4.00%, 12/01/40

     750       754,129  

Series B, 5.00%, 12/01/51

     305       319,271  
   

 

 

  

Total Municipal Bonds in South Carolina

         1,073,400  
Tennessee — 0.4%            
Transportation — 0.4%            

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

     900       910,337  
   

 

 

  
Texas — 7.8%            
County/City/Special District/School District — 0.8%        

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

     1,000       1,026,954  

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

     500       501,077  

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

     570       586,978  
   

 

 

  
      2,115,009  
Education — 0.2%            

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

     400       436,698  
   

 

 

  
Health — 0.4%            

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

     1,000       1,022,928  
   

 

 

  
 

 

 

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, 2023

   

iShares Municipal Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Transportation — 4.5%            

Central Texas Regional Mobility Authority, RB

    

Series C, 5.00%, 01/01/27

   $   1,000     $ 1,035,719  

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

    1,000       1,031,239  

Central Texas Turnpike System, RB

    

Series A, (AMBAC), 0.00%, 08/15/30(a)

    270       217,414  

Series C, 5.00%, 08/15/37

     1,000       1,001,406  

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

     1,000       1,101,275  

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

     1,250       1,327,265  

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

           500       492,922  

North Texas Tollway Authority, Refunding RB

    

Series A, 5.00%, 01/01/38

     1,000       1,072,468  

Series A, 5.00%, 01/01/43

     1,815       1,922,294  

Series B, 5.00%, 01/01/34

     1,000       1,018,922  

Port Authority of Houston of Harris County Texas, ARB, 1st Lien, 5.00%, 10/01/48

     455       503,974  

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

    1,000       1,014,628  
   

 

 

  
       11,739,526  
Utilities — 1.9%            

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

     1,000       1,014,826  

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

     1,000       987,350  

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

     500       523,713  

Texas Water Development Board, RB

    

Series A, 4.00%, 10/15/37

     1,180       1,210,129  

Series B, 5.00%, 04/15/49

     1,000       1,062,428  
   

 

 

  
      4,798,446  
   

 

 

  

Total Municipal Bonds in Texas

       20,112,607  
Utah — 0.5%            
State — 0.5%            

State of Utah, GO, Series B, 5.00%, 07/01/25

     1,290       1,335,479  
   

 

 

  
Virginia — 1.9%            
County/City/Special District/School District — 0.7%  

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

     1,000       831,148  

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

     1,000       1,030,481  
   

 

 

  
      1,861,629  
Health — 0.4%            

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

     1,000       998,627  
   

 

 

  
Transportation — 0.6%            

Virginia Commonwealth Transportation Board, Refunding RB 5.00%, 03/15/27

     285       307,574  

Series A, 5.00%, 05/15/31

     1,000       1,087,925  
   

 

 

  
      1,395,499  
Utilities — 0.2%            

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

     500       523,959  
   

 

 

  

Total Municipal Bonds in Virginia

       4,779,714  
   

 

 

  
Security   Par
(000)		     Value  
Washington — 2.1%            
Health — 0.9%            

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

   $ 2,000     $ 2,221,576  
   

 

 

  
State — 0.4%            

State of Washington, Refunding GO, Series B, 5.00%, 07/01/30

     1,000       1,044,110  
   

 

 

  
Transportation — 0.8%            

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

     1,000       1,198,644  

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

     1,000       946,625  
   

 

 

  
      2,145,269  
   

 

 

  

Total Municipal Bonds in Washington

         5,410,955  
Wisconsin — 1.1%            
Health — 0.4%            

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

     1,000       1,024,910  
   

 

 

  
State — 0.7%            

State of Wisconsin, Refunding GO

    

5.00%, 11/01/27

           770       832,851  

Series 2, 5.00%, 11/01/26

     980       1,049,034  
   

 

 

  
      1,881,885  
   

 

 

  

Total Municipal Bonds in Wisconsin

       2,906,795  
   

 

 

  

Total Long-Term Investments — 97.8%
(Cost: $255,549,469)

       253,909,999  
   

 

 

  
      
Shares		         

Short-Term Securities

    
Money Market Funds — 1.3%            

BlackRock Liquidity Funds, MuniCash, Institutional Class, 3.76%(e)(f)

    3,354,992       3,355,327  
   

 

 

  

Total Short-Term Securities — 1.3%
(Cost: $3,355,171)

       3,355,327  
   

 

 

  

Total Investments — 99.1%
(Cost: $258,904,640)

       257,265,326  

Other Assets Less Liabilities — 0.9%

       2,461,580  
   

 

 

  

Net Assets — 100.0%

     $ 259,726,906  
   

 

 

  

 

(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.

 

 

 

22  

2 0 2 3  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, 2023

   

iShares Municipal Bond Index Fund

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/22		      Purchases
at Cost		      Proceeds
from Sale		      Net
Realized
Gain (Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Value at
12/31/23		      Shares
Held at
12/31/23		      Income      Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, MuniCash, Institutional Class

    $ 2,517,079      $ 838,234 (a)     $ —      $ (169 )     $ 183      $ 3,355,327        3,354,992      $ 69,882      $ —  
           

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

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

    $ —        $ 253,909,999        $ —        $ 253,909,999  

Short-Term Securities

                  

Money Market Funds

      3,355,327          —          —          3,355,327  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $    3,355,327        $  253,909,999        $     —        $  257,265,326  
  

 

 

       

 

 

       

 

 

       

 

 

  

See notes to financial statements.

 

 

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

   23

Schedule of Investments

December 31, 2023

   

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%, 10/15/28

   $ 14,264     $ 14,689,319  

U.S. Treasury Inflation-Indexed Bonds
2.38%, 01/15/25 - 01/15/27

     14,374       14,352,088  

2.00%, 01/15/26

     5,736       5,690,473  

1.75%, 01/15/28

     5,214       5,181,056  

3.63%, 04/15/28

     5,326       5,705,355  

U.S. Treasury Inflation-Indexed Notes
0.25%, 01/15/25

     12,938       12,557,994  

0.13%, 04/15/25 - 04/15/27

     71,970       68,566,293  

0.38%, 07/15/25 - 07/15/27

     37,505       35,901,213  

0.63%, 01/15/26

     11,984       11,562,165  

1.63%, 10/15/27

     13,814       13,708,049  

0.50%, 01/15/28

     12,660       11,978,958  

1.25%, 04/15/28

     13,745       13,385,900  

0.75%, 07/15/28

     11,031       10,556,121  
   

 

 

  

Total Long-Term Investments — 80.6%
(Cost: $226,106,346)

       223,834,984  
   

 

 

  
     Shares         

Short-Term Securities

    
Money Market Funds — 0.8%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(a)(b)

    2,285,632       2,285,632  
   

 

 

  
Security   Par
(000)		     Value  
U.S. Treasury Obligations — 18.2%            

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

   $ 15,602     $ 15,560,360  

0.50%, 04/15/24

     8,777       8,666,516  

0.13%, 07/15/24 - 10/15/24

        26,863       26,342,985  
   

 

 

  
      50,569,861  
   

 

 

  

Total Short-Term Securities — 19.0%
(Cost: $53,258,020)

       52,855,493  
   

 

 

  

Total Investments — 99.6%
(Cost: $279,364,366)

       276,690,477  

Other Assets Less Liabilities — 0.4%

       1,154,028  
   

 

 

  

Net Assets — 100.0%

     $ 277,844,505  
   

 

 

  

 

(a) 

Affiliate of the Fund.

(b) 

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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/22		      Purchases
at Cost		      Proceeds
from Sale		      Net
Realized
Gain (Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Value at
12/31/23		      Shares
Held at
12/31/23		      Income      Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Cash Funds: Treasury, SL Agency Shares

    $ 7,055,575      $ —      $ (4,769,943 )(a)     $ —      $ —      $ 2,285,632        2,285,632      $ 139,028 (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.

 

 

24  

2 0 2 3  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, 2023

   

iShares Short-Term TIPS 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

                  

U.S. Treasury Obligations

    $ —        $ 223,834,984        $ —        $ 223,834,984  

Short-Term Securities

                  

Money Market Funds

      2,285,632          —          —          2,285,632  

U.S. Treasury Obligations

      —          50,569,861          —          50,569,861  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $    2,285,632        $   274,404,845        $     —        $   276,690,477  
  

 

 

       

 

 

       

 

 

       

 

 

  

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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Australia — 8.3%  

Ampol Ltd.

     136,055     $ 3,353,094  

ANZ Group Holdings Ltd.

     1,747,933          30,882,524  

APA Group

     758,001       4,411,219  

Aristocrat Leisure Ltd.

     338,503       9,404,805  

ASX Ltd.

     112,970       4,853,530  

Aurizon Holdings Ltd.

     1,051,302       2,721,753  

BHP Group Ltd., Class DI

     2,948,077       100,719,900  

BlueScope Steel Ltd.

     265,647       4,235,069  

Brambles Ltd.

     801,641       7,430,321  

CAR Group Ltd.

     208,269       4,413,487  

Cochlear Ltd.

     37,957       7,722,194  

Coles Group Ltd.

     781,646       8,586,424  

Commonwealth Bank of Australia

     974,893       74,303,391  

Computershare Ltd.

     332,083       5,530,965  

CSL Ltd.

     280,960       54,772,907  

Dexus

     636,133       3,324,524  

EBOS Group Ltd.

     87,167       1,954,911  

Endeavour Group Ltd./Australia

     820,281       2,913,066  

Fortescue Ltd.

     984,932       19,420,241  

Glencore PLC

     6,077,312       36,530,995  

Goodman Group

     994,141       17,115,986  

GPT Group

     1,131,644       3,571,428  

IDP Education Ltd.

     153,791       2,097,885  

IGO Ltd.

     405,492       2,499,098  

Insurance Australia Group Ltd.

     1,408,014       5,442,493  

Lottery Corp. Ltd.

     1,306,938       4,312,364  

Macquarie Group Ltd.

     213,543       26,731,680  

Medibank Pvt Ltd.

     1,573,203       3,819,374  

Mineral Resources Ltd.

     103,596       4,934,653  

Mirvac Group

     2,322,859       3,304,561  

National Australia Bank Ltd.

     1,811,525       37,862,489  

Northern Star Resources Ltd.

     664,368       6,164,073  

Orica Ltd.

     268,828       2,922,229  

Origin Energy Ltd.

     1,014,753       5,855,828  

Pilbara Minerals Ltd.

     1,662,844       4,463,274  

Qantas Airways Ltd.(a)

    480,500       1,760,078  

QBE Insurance Group Ltd.

     868,890       8,804,100  

Ramsay Health Care Ltd.

     107,624       3,860,710  

REA Group Ltd.

     31,144       3,840,347  

Reece Ltd.

     132,473       2,020,614  

Rio Tinto Ltd.

     215,907       19,992,507  

Rio Tinto PLC

     654,905       48,712,531  

Santos Ltd.

     1,887,886       9,816,070  

Scentre Group

     3,011,101       6,131,832  

SEEK Ltd.

     206,735       3,761,132  

Sonic Healthcare Ltd.

     262,118       5,727,470  

South32 Ltd.

     2,624,657       5,936,029  

Stockland

     1,403,699       4,256,906  

Suncorp Group Ltd.

     731,592       6,927,708  

Telstra Group Ltd.

     2,339,378       6,321,653  

Transurban Group

     1,795,919       16,781,750  

Treasury Wine Estates Ltd.

     473,514       3,483,878  

Vicinity Ltd.

     2,294,316       3,187,062  

Washington H Soul Pattinson & Co. Ltd.

     137,898       3,080,602  

Wesfarmers Ltd.

     659,855       25,661,047  

Westpac Banking Corp.

     2,040,947       31,843,824  

WiseTech Global Ltd.

     96,298       4,935,708  
Security   Shares     Value  
Australia (continued)            

Woodside Energy Group Ltd.

     1,095,595     $ 23,135,248  

Woolworths Group Ltd.

     710,497       18,025,268  
   

 

 

  
        786,586,809  
Austria — 0.2%            

Erste Group Bank AG

     198,411       8,036,618  

OMV AG

     84,332       3,699,873  

Verbund AG

     39,823       3,690,457  

Voestalpine AG

     66,482       2,093,244  
   

 

 

  
      17,520,192  
Belgium — 0.8%            

Ageas SA/NV

     92,894       4,038,152  

Anheuser-Busch InBev SA

     505,194       32,609,314  

D’ieteren Group

     12,217       2,389,796  

Elia Group SA/NV

     17,685       2,213,720  

Groupe Bruxelles Lambert NV

     54,224       4,270,297  

KBC Group NV

     144,426       9,373,153  

Lotus Bakeries NV

     237       2,153,266  

Sofina SA

     8,697       2,168,384  

Syensqo SA(a)

    43,264       4,501,980  

UCB SA

     73,237       6,384,187  

Umicore SA

     120,288       3,308,758  

Warehouses De Pauw CVA

     97,336       3,063,957  
   

 

 

  
      76,474,964  
Chile — 0.1%            

Antofagasta PLC

     230,197       4,922,067  
   

 

 

  
China — 0.1%            

BOC Hong Kong Holdings Ltd.

     2,141,034       5,816,170  

Budweiser Brewing Co. APAC Ltd.(b)

    1,032,600       1,935,816  

Futu Holdings Ltd., ADR(a)

    33,195       1,813,443  

Wilmar International Ltd.

     1,096,783       2,962,823  
   

 

 

  
      12,528,252  
Denmark — 3.3%            

AP Moller - Maersk A/S, Class A

     1,720       3,055,220  

AP Moller - Maersk A/S, Class B

     2,827       5,088,666  

Carlsberg A/S, Class B

     57,624       7,230,895  

Chr Hansen Holding A/S

     61,342       5,144,583  

Coloplast A/S, Class B

     79,507       9,084,955  

Danske Bank A/S

     401,171       10,723,821  

Demant A/S(a)

    57,732       2,532,133  

DSV A/S

     108,268       19,023,413  

Genmab A/S(a)

    38,572       12,298,798  

Novo Nordisk A/S, Class B

     1,898,040       196,696,077  

Novozymes A/S, B Shares

     119,167       6,551,013  

Orsted A/S(b)

    109,693       6,081,002  

Pandora A/S

     48,934       6,765,372  

ROCKWOOL A/S, B Shares

     5,549       1,623,485  

Tryg A/S

     198,550       4,320,889  

Vestas Wind Systems A/S(a)

    587,358       18,585,010  
   

 

 

  
      314,805,332  
Finland — 1.1%            

Elisa OYJ

     81,690       3,775,907  

Fortum OYJ

     263,734       3,809,412  

Kesko OYJ, B Shares

     155,940       3,091,309  

Kone OYJ, Class B

     197,861       9,897,225  

Metso OYJ

     388,760       3,946,649  

Neste OYJ

     244,113       8,678,170  

Nokia OYJ

     3,144,937       10,711,436  
 

 

 

26  

2 0 2 3  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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Finland (continued)            

Nordea Bank Abp

     1,858,801     $ 23,076,722  

Orion OYJ, Class B

     63,533       2,752,971  

Sampo OYJ, A Shares

     266,464       11,674,400  

Stora Enso OYJ, Class R

     330,739       4,582,573  

UPM-Kymmene OYJ

     309,332       11,668,212  

Wartsila OYJ Abp

     277,275       4,029,747  
   

 

 

  
        101,694,733  
France — 11.5%            

Accor SA

     115,551       4,422,840  

Aeroports de Paris

     20,145       2,613,916  

Air Liquide SA

     304,618       59,307,732  

Airbus SE

     344,782       53,264,813  

Alstom SA

     170,346       2,297,159  

Amundi SA(b)

    37,025       2,525,457  

Arkema SA

     35,263       4,017,087  

AXA SA

     1,058,930       34,580,888  

BioMerieux

     23,909       2,660,101  

BNP Paribas SA

     610,968       42,429,075  

Bollore SE

     436,533       2,731,742  

Bouygues SA

     111,201       4,195,528  

Bureau Veritas SA

     167,991       4,250,127  

Capgemini SE

     95,150       19,885,545  

Carrefour SA

     345,128       6,320,894  

Cie de Saint-Gobain SA

     266,901       19,683,232  

Cie Generale des Etablissements Michelin SCA

     392,542       14,102,672  

Covivio SA/France

     29,760       1,601,363  

Credit Agricole SA

     621,436       8,834,741  

Danone SA

     371,527       24,104,122  

Dassault Aviation SA

     11,732       2,324,463  

Dassault Systemes SE

     386,586       18,922,344  

Edenred SE

     144,015       8,618,538  

Eiffage SA

     42,598       4,572,922  

Engie SA

     1,062,307       18,713,912  

EssilorLuxottica SA

     170,124       34,160,680  

Eurazeo SE

     25,913       2,060,451  

Gecina SA

     26,302       3,201,983  

Getlink SE

     208,012       3,809,714  

Hermes International SCA

     18,420       39,151,979  

Ipsen SA

     21,655       2,583,210  

Kering SA

     42,954       19,024,253  

Klepierre SA

     122,834       3,353,449  

La Francaise des Jeux SAEM, Class A(b)

    59,977       2,178,651  

Legrand SA

     154,008       16,037,811  

L’Oreal SA

     140,286       69,932,652  

LVMH Moet Hennessy Louis Vuitton SE

     160,601       130,494,229  

Orange SA

     1,075,895       12,262,672  

Pernod Ricard SA

     118,944       21,019,998  

Publicis Groupe SA

     132,751       12,334,135  

Remy Cointreau SA

     13,305       1,697,118  

Renault SA

     109,744       4,488,522  

Safran SA

     198,802       35,050,846  

Sanofi SA

     662,049       65,789,646  

Sartorius Stedim Biotech

     16,244       4,307,622  

Schneider Electric SE

     316,514       63,716,225  

SEB SA

     14,642       1,833,554  

Societe Generale SA

     429,632       11,430,493  

Sodexo SA

     51,255       5,642,578  

Teleperformance SE

     33,923       4,966,573  

Thales SA

     61,131       9,051,833  

TotalEnergies SE

     1,332,862       90,633,252  

Unibail-Rodamco-Westfield(a)

    68,975       5,101,629  
Security   Shares     Value  
France (continued)            

Veolia Environnement SA

     393,651     $ 12,441,993  

Vinci SA

     295,280       37,159,580  

Vivendi SE

     395,819       4,237,234  

Worldline SA/France(a)(b)

    136,981       2,382,099  
   

 

 

  
      1,098,517,877  
Germany — 8.0%            

Adidas AG, Class N

     94,222       19,146,541  

Allianz SE, Registered Shares

     234,575       62,688,113  

BASF SE

     519,108       27,952,450  

Bayer AG, Registered Shares

     571,397       21,201,058  

Bayerische Motoren Werke AG

     185,471       20,637,668  

Bechtle AG

     47,563       2,382,314  

Beiersdorf AG

     58,872       8,816,365  

Brenntag SE, Class N

     84,770       7,790,997  

Carl Zeiss Meditec AG

     22,979       2,501,363  

Commerzbank AG

     614,716       7,306,389  

Continental AG, Class A

     64,038       5,438,836  

Covestro AG(a)(b)

    111,823       6,516,137  

Daimler Truck Holding AG(c)

    311,119       11,686,888  

Delivery Hero SE(a)(b)

    103,253       2,841,825  

Deutsche Bank AG, Class N, Registered Shares

     1,128,383       15,403,664  

Deutsche Boerse AG, Class N

     110,508       22,757,429  

Deutsche Lufthansa AG, Registered Shares(a)

    341,660       3,037,443  

Deutsche Post AG, Class N, Registered Shares

     576,529       28,535,905  

Deutsche Telekom AG, Class N, Registered Shares

     1,885,144       45,325,094  

E.ON SE, Class N

     1,305,806       17,543,579  

Evonik Industries AG

     135,517       2,768,469  

Fresenius Medical Care AG

     119,640       5,001,941  

Fresenius SE & Co. KGaA

     243,996       7,562,786  

GEA Group AG

     95,220       3,958,693  

Hannover Rueck SE, Class N

     34,736       8,305,514  

Heidelberg Materials AG

     83,717       7,483,306  

HelloFresh SE(a)(c)

    88,234       1,391,144  

Henkel AG & Co. KGaA

     61,100       4,383,839  

Infineon Technologies AG, Class N

     759,549       31,720,753  

Knorr-Bremse AG

     41,447       2,676,870  

LEG Immobilien SE(a)

    42,448       3,714,605  

Mercedes-Benz Group AG, Class N, Registered Shares

     466,679       32,199,827  

Merck KGaA

     75,358       11,998,081  

MTU Aero Engines AG, Class N

     31,471       6,780,289  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class N, Registered Shares

     78,743       32,663,657  

Nemetschek SE

     33,179       2,864,499  

Puma SE

     61,710       3,432,897  

Rational AG

     2,955       2,280,242  

Rheinmetall AG

     25,468       8,076,827  

RWE AG

     367,738       16,736,823  

SAP SE

     607,344       93,483,319  

Scout24 SE(b)

    43,946       3,107,476  

Siemens AG, Registered Shares

     442,031       82,929,119  

Siemens Energy AG(a)

    298,011       3,938,590  

Siemens Healthineers AG(b)(c)

    164,121       9,528,636  

Symrise AG, Class A

     77,405       8,506,462  

Talanx AG(a)

    37,548       2,683,376  

Volkswagen AG

     16,958       2,219,038  

Vonovia SE

     426,656       13,406,257  

Wacker Chemie AG

     10,367       1,307,067  

Zalando SE(a)(b)

    129,251       3,059,952  
   

 

 

  
      759,680,412  
 

 

 

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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Hong Kong — 2.0%            

AIA Group Ltd.

     6,664,883     $ 58,003,671  

CK Asset Holdings Ltd.

     1,144,089       5,742,287  

CK Hutchison Holdings Ltd.

     1,566,617       8,416,806  

CK Infrastructure Holdings Ltd.

     373,844       2,068,922  

CLP Holdings Ltd.

     960,761       7,937,916  

ESR Group Ltd.(b)(c)

    1,271,000       1,757,735  

Galaxy Entertainment Group Ltd.

     1,260,058       7,057,412  

Hang Lung Properties Ltd.

     1,016,565       1,413,341  

Hang Seng Bank Ltd.

     443,448       5,177,454  

Henderson Land Development Co. Ltd.

     861,774       2,653,777  

HKT Trust & HKT Ltd., Class SS

     2,252,417       2,689,223  

Hong Kong & China Gas Co. Ltd.

     6,515,383       4,995,887  

Hong Kong Exchanges & Clearing Ltd.

     660,743       22,663,656  

Hongkong Land Holdings Ltd.

     659,793       2,294,796  

Jardine Matheson Holdings Ltd.

     93,086       3,831,678  

Link REIT

     1,490,091       8,366,938  

MTR Corp. Ltd.

     911,033       3,536,034  

New World Development Co. Ltd.

     880,824       1,365,734  

Power Assets Holdings Ltd.

     810,118       4,696,823  

Sino Land Co. Ltd.

     2,169,975       2,359,807  

SITC International Holdings Co. Ltd.

     782,000       1,349,754  

Sun Hung Kai Properties Ltd.

     844,088       9,134,186  

Swire Pacific Ltd., Class A

     259,200       2,195,332  

Swire Properties Ltd.

     692,336       1,401,466  

Techtronic Industries Co., Ltd.

     793,631       9,456,179  

WH Group Ltd.(b)

    4,922,607       3,179,014  

Wharf Holdings Ltd.

     621,426       2,001,890  

Wharf Real Estate Investment Co. Ltd.

     978,245       3,306,936  

Xinyi Glass Holdings Ltd.

     1,016,000       1,141,152  
   

 

 

  
        190,195,806  
Ireland — 1.2%            

AerCap Holdings NV(a)

    116,332       8,645,794  

AIB Group PLC

     913,871       3,913,890  

Bank of Ireland Group PLC

     614,560       5,579,252  

CRH PLC

     411,506       28,319,545  

Experian PLC

     534,970       21,824,271  

Flutter Entertainment PLC, Class DI(a)

    102,756       18,135,553  

James Hardie Industries PLC(a)

    255,984       9,869,693  

Kerry Group PLC, Class A

     91,969       7,982,844  

Kingspan Group PLC

     89,974       7,776,032  

Smurfit Kappa Group PLC

     150,208       5,954,321  
   

 

 

  
      118,001,195  
Isle of Man — 0.1%            

Entain PLC

     372,000       4,691,319  
   

 

 

  
Israel — 0.7%            

Azrieli Group Ltd.

     24,689       1,596,901  

Bank Hapoalim BM

     738,891       6,637,881  

Bank Leumi Le-Israel BM

     880,453       7,085,728  

Check Point Software Technologies Ltd.(a)(c)

    54,692       8,356,391  

CyberArk Software Ltd.(a)(c)

    24,419       5,348,982  

Elbit Systems Ltd.

     15,649       3,319,006  

Global-e Online Ltd.(a)

    52,429       2,077,761  

ICL Group Ltd.

     456,195       2,293,590  

Isracard Ltd.

     1       2  

Israel Discount Bank Ltd., Class A

     725,409       3,632,068  

Mizrahi Tefahot Bank Ltd.

     88,008       3,406,960  

Monday.com Ltd.(a)

    15,444       2,900,538  

Nice Ltd.(a)

    37,085       7,375,418  
Security   Shares     Value  
Israel (continued)            

Teva Pharmaceutical Industries Ltd., ADR(a)

    646,914     $ 6,753,782  

Wix.com Ltd.(a)

    30,696       3,776,222  
   

 

 

  
      64,561,230  
Italy — 2.2%            

Amplifon SpA

     74,287       2,574,091  

Assicurazioni Generali SpA

     589,621       12,457,228  

Banco BPM SpA

     705,007       3,735,793  

Davide Campari-Milano NV

     305,884       3,454,261  

DiaSorin SpA

     13,771       1,419,290  

Enel SpA

     4,730,510       35,194,082  

Eni SpA

     1,374,458       23,312,713  

Ferrari NV

     73,313       24,750,946  

FinecoBank Banca Fineco SpA

     357,025       5,371,143  

Infrastrutture Wireless Italiane SpA(b)

    191,874       2,429,299  

Intesa Sanpaolo SpA

     9,038,586       26,450,455  

Leonardo SpA

     161,273       2,664,731  

Mediobanca Banca di Credito Finanziario SpA

     319,433       3,958,339  

Moncler SpA

     120,735       7,433,575  

Nexi SpA(a)(b)

    349,968       2,867,290  

Poste Italiane SpA(b)

    307,327       3,493,302  

Prysmian SpA

     153,413       6,993,342  

Recordati Industria Chimica e Farmaceutica SpA

     61,580       3,320,564  

Snam SpA

     1,188,259       6,113,492  

Telecom Italia SpA/Milano(a)

    5,688,866       1,847,642  

Terna - Rete Elettrica Nazionale

     825,463       6,886,556  

UniCredit SpA

     934,195       25,437,843  
   

 

 

  
        212,165,977  
Japan — 22.1%            

Advantest Corp.

     443,000       14,927,132  

Aeon Co. Ltd.

     376,746       8,406,886  

AGC, Inc.

     112,848       4,182,641  

Aisin Corp.

     84,646       2,950,864  

Ajinomoto Co., Inc.

     258,754       9,960,431  

ANA Holdings, Inc.(a)

    92,111       1,995,634  

Asahi Group Holdings Ltd.

     280,102       10,429,983  

Asahi Intecc Co. Ltd.

     124,700       2,528,775  

Asahi Kasei Corp.

     731,468       5,398,478  

Astellas Pharma, Inc.

     1,053,043       12,524,126  

Azbil Corp.

     65,600       2,163,624  

Bandai Namco Holdings, Inc.

     345,812       6,915,628  

BayCurrent Consulting, Inc.

     75,400       2,639,452  

Bridgestone Corp.

     329,941       13,627,009  

Brother Industries Ltd.

     134,863       2,147,693  

Canon, Inc.

     581,848       14,926,558  

Capcom Co. Ltd.

     101,600       3,278,703  

Central Japan Railway Co.

     419,300       10,641,944  

Chiba Bank Ltd.

     311,270       2,242,579  

Chubu Electric Power Co., Inc.

     374,311       4,832,859  

Chugai Pharmaceutical Co. Ltd.

     390,630       14,757,345  

Concordia Financial Group Ltd.

     623,770       2,843,251  

Dai Nippon Printing Co. Ltd.

     126,868       3,746,538  

Daifuku Co. Ltd.

     179,028       3,609,917  

Dai-ichi Life Holdings, Inc.

     547,000       11,603,467  

Daiichi Sankyo Co. Ltd.

     1,075,762       29,450,830  

Daikin Industries Ltd.

     153,468       24,895,576  

Daito Trust Construction Co. Ltd.

     36,270       4,198,122  

Daiwa House Industry Co. Ltd.

     345,176       10,434,798  

Daiwa House REIT Investment Corp.

     1,349       2,405,534  

Daiwa Securities Group, Inc.

     776,252       5,210,340  

Denso Corp.

     1,099,860       16,511,468  

Dentsu Group, Inc.

     115,982       2,969,531  
 

 

 

28  

2 0 2 3  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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Japan (continued)            

Disco Corp.

     53,577     $    13,231,737  

East Japan Railway Co.

     175,844       10,122,058  

Eisai Co. Ltd.

     145,415       7,240,383  

ENEOS Holdings, Inc.

     1,656,963       6,571,901  

FANUC Corp.

     554,255       16,266,893  

Fast Retailing Co. Ltd.

     101,823       25,178,669  

Fuji Electric Co. Ltd.

     72,494       3,107,234  

FUJIFILM Holdings Corp.

     217,008       13,005,239  

Fujitsu Ltd.

     102,404       15,411,148  

GLP J-REIT

     2,721       2,708,588  

Hamamatsu Photonics KK

     82,387       3,380,151  

Hankyu Hanshin Holdings, Inc.

     133,463       4,241,435  

Hikari Tsushin, Inc.

     12,006       1,984,219  

Hirose Electric Co. Ltd.

     17,992       2,031,987  

Hitachi Construction Machinery Co. Ltd.

     61,905       1,629,575  

Hitachi Ltd.

     541,413       38,943,658  

Honda Motor Co. Ltd.

     2,686,605       27,712,902  

Hoshizaki Corp.

     62,630       2,287,894  

Hoya Corp.

     205,978       25,652,320  

Hulic Co. Ltd.

     222,367       2,322,868  

Ibiden Co. Ltd.

     64,400       3,552,671  

Idemitsu Kosan Co. Ltd.

     550,500       2,989,468  

Iida Group Holdings Co. Ltd.

     90,422       1,350,578  

Inpex Corp.

     560,100       7,495,116  

Isuzu Motors Ltd.

     340,382       4,363,586  

ITOCHU Corp.

     691,373       28,166,430  

Japan Airlines Co. Ltd.

     85,762       1,684,801  

Japan Exchange Group, Inc.

     295,636       6,239,542  

Japan Metropolitan Fund Invest

     3,990       2,879,986  

Japan Post Bank Co. Ltd.

     835,000       8,497,730  

Japan Post Holdings Co. Ltd.

     1,301,929       11,622,920  

Japan Post Insurance Co. Ltd.

     109,000       1,934,818  

Japan Real Estate Investment Corp.

     737       3,048,937  

Japan Tobacco, Inc.

     697,941       18,024,475  

JFE Holdings, Inc.

     334,712       5,178,400  

JSR Corp.

     101,928       2,900,287  

Kajima Corp.

     246,877       4,116,475  

Kansai Electric Power Co., Inc.

     408,051       5,415,686  

Kao Corp.

     271,007       11,139,902  

Kawasaki Kisen Kaisha Ltd.

     81,300       3,479,348  

KDDI Corp.

     870,575       27,613,335  

KDX Realty Investment Corp.

     2,374       2,704,065  

Keisei Electric Railway Co. Ltd.

     73,787       3,482,058  

Keyence Corp.

     113,180       49,726,341  

Kikkoman Corp.

     78,664       4,806,905  

Kintetsu Group Holdings Co. Ltd.

     106,698       3,380,619  

Kirin Holdings Co. Ltd.

     452,755       6,628,392  

Kobe Bussan Co. Ltd.

     85,900       2,537,545  

Koei Tecmo Holdings Co. Ltd.

     67,900       773,518  

Koito Manufacturing Co. Ltd.

     119,894       1,863,004  

Komatsu Ltd.

     538,254       14,007,166  

Konami Group Corp.

     57,299       2,993,196  

Kose Corp.

     19,159       1,432,044  

Kubota Corp.

     583,089       8,750,992  

Kyocera Corp.

     746,800       10,873,451  

Kyowa Kirin Co. Ltd.

     156,297       2,622,496  

Lasertec Corp.

     44,000       11,551,163  

LY Corp.

     1,537,227       5,436,067  

M3, Inc.

     252,713       4,170,342  

Makita Corp.

     131,439       3,615,277  

Marubeni Corp.

     834,464       13,138,254  

MatsukiyoCocokara & Co.

     200,700       3,547,157  

Mazda Motor Corp.

     333,598       3,565,856  
Security   Shares     Value  
Japan (continued)            

McDonald’s Holdings Co. Japan Ltd.

     50,494     $ 2,187,255  

MEIJI Holdings Co. Ltd.

     136,268       3,236,856  

MINEBEA MITSUMI, Inc.

     212,408       4,347,570  

MISUMI Group, Inc.

     163,556       2,761,439  

Mitsubishi Chemical Group Corp.

     746,709       4,564,721  

Mitsubishi Corp.

     2,006,691       31,965,095  

Mitsubishi Electric Corp.

     1,123,921       15,896,821  

Mitsubishi Estate Co. Ltd.

     649,482       8,903,146  

Mitsubishi HC Capital, Inc.

     458,773       3,073,687  

Mitsubishi Heavy Industries Ltd.

     186,405       10,853,268  

Mitsubishi UFJ Financial Group, Inc.

     6,641,470          56,997,949  

Mitsui & Co. Ltd.

     757,700       28,386,415  

Mitsui Chemicals, Inc.

     100,151       2,961,664  

Mitsui Fudosan Co. Ltd.

     517,620       12,655,655  

Mitsui OSK Lines Ltd.

     200,300       6,403,645  

Mizuho Financial Group, Inc.

     1,403,051       23,932,980  

MonotaRO Co. Ltd.

     143,100       1,557,110  

MS&AD Insurance Group Holdings, Inc.

     246,624       9,696,964  

Murata Manufacturing Co. Ltd.

     1,002,275       21,180,056  

NEC Corp.

     141,774       8,376,878  

Nexon Co. Ltd.

     199,548       3,629,596  

NIDEC Corp.

     242,720       9,783,342  

Nintendo Co. Ltd.

     604,320       31,445,109  

Nippon Building Fund, Inc.

     875       3,787,773  

Nippon Express Holdings, Inc.

     41,070       2,330,311  

Nippon Paint Holdings Co. Ltd.

     551,880       4,451,648  

Nippon Prologis REIT, Inc.

     1,326       2,549,609  

Nippon Sanso Holdings Corp.

     99,493       2,656,723  

Nippon Steel Corp.

     495,756       11,324,938  

Nippon Telegraph & Telephone Corp.

     17,379,700       21,222,073  

Nippon Yusen KK

     279,566       8,633,977  

Nissan Chemical Corp.

     72,611       2,827,373  

Nissan Motor Co. Ltd.

     1,345,215       5,259,689  

Nissin Foods Holdings Co. Ltd.

     116,523       4,068,960  

Nitori Holdings Co. Ltd.

     45,823       6,152,955  

Nitto Denko Corp.

     82,426       6,151,054  

Nomura Holdings, Inc.

     1,759,618       7,924,560  

Nomura Real Estate Holdings, Inc.

     61,958       1,625,805  

Nomura Real Estate Master Fund, Inc.

     2,423       2,833,784  

Nomura Research Institute Ltd.

     222,763       6,469,646  

NTT Data Group Corp.

     360,317       5,093,311  

Obayashi Corp.

     370,734       3,202,554  

Obic Co. Ltd.

     40,394       6,949,988  

Odakyu Electric Railway Co. Ltd.

     182,585       2,780,362  

Oji Holdings Corp.

     491,726       1,890,150  

Olympus Corp.

     727,812       10,505,432  

Omron Corp.

     101,428       4,719,743  

Ono Pharmaceutical Co. Ltd.

     226,131       4,022,760  

Open House Group Co. Ltd.

     44,700       1,322,187  

Oracle Corp. Japan

     21,735       1,673,141  

Oriental Land Co. Ltd./Japan

     634,620       23,587,741  

ORIX Corp.

     678,400       12,741,152  

Osaka Gas Co. Ltd.

     218,508       4,561,239  

Otsuka Corp.

     65,282       2,686,676  

Otsuka Holdings Co. Ltd.

     243,355       9,100,742  

Pan Pacific International Holdings Corp.

     217,836       5,185,466  

Panasonic Holdings Corp.

     1,284,657       12,650,754  

Rakuten Group, Inc.(a)

    876,900       3,909,496  

Recruit Holdings Co. Ltd.

     838,394       35,054,191  

Renesas Electronics Corp.(a)

    854,308       15,275,850  

Resona Holdings, Inc.

     1,235,699       6,264,171  

Ricoh Co. Ltd.

     315,081       2,413,055  

Rohm Co. Ltd.

     205,500       3,923,149  
 

 

 

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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Japan (continued)            

SBI Holdings, Inc.

     144,297     $ 3,238,503  

SCSK Corp.

     93,300       1,847,190  

Secom Co. Ltd.

     121,157       8,716,065  

Seiko Epson Corp.

     164,703       2,459,167  

Sekisui Chemical Co. Ltd.

     223,978       3,221,468  

Sekisui House Ltd.

     344,299       7,631,803  

Seven & i Holdings Co. Ltd.

     438,259       17,332,945  

SG Holdings Co. Ltd.

     188,804       2,706,671  

Sharp Corp./Japan(a)

    149,069       1,061,000  

Shimadzu Corp.

     139,263       3,883,074  

Shimano, Inc.

     44,470       6,850,340  

Shimizu Corp.

     320,706       2,127,346  

Shin-Etsu Chemical Co. Ltd.

     1,059,530          44,312,893  

Shionogi & Co. Ltd.

     150,821       7,258,707  

Shiseido Co. Ltd.

     230,778       6,956,195  

Shizuoka Financial Group, Inc.

     272,601       2,305,107  

SMC Corp.

     33,341       17,835,301  

SoftBank Corp.

     1,672,300       20,839,747  

SoftBank Group Corp.

     598,500       26,416,852  

Sompo Holdings, Inc.

     170,542       8,344,337  

Sony Group Corp.

     733,468       69,410,166  

Square Enix Holdings Co. Ltd.

     49,000       1,756,649  

Subaru Corp.

     355,546       6,484,948  

SUMCO Corp.

     199,915       2,990,563  

Sumitomo Chemical Co. Ltd.

     800,360       1,945,462  

Sumitomo Corp.

     604,640       13,157,966  

Sumitomo Electric Industries Ltd.

     415,580       5,273,121  

Sumitomo Metal Mining Co. Ltd.

     145,215       4,312,573  

Sumitomo Mitsui Financial Group, Inc.

     739,027       35,960,906  

Sumitomo Mitsui Trust Holdings, Inc.

     378,052       7,240,406  

Sumitomo Realty & Development Co. Ltd.

     165,349       4,899,952  

Suntory Beverage & Food Ltd.

     79,340       2,608,690  

Suzuki Motor Corp.

     214,519       9,142,061  

Sysmex Corp.

     97,522       5,421,297  

T&D Holdings, Inc.

     290,206       4,607,151  

Taisei Corp.

     98,710       3,370,736  

Takeda Pharmaceutical Co. Ltd.

     920,308       26,392,616  

TDK Corp.

     224,374       10,640,792  

Terumo Corp.

     391,406       12,799,372  

TIS, Inc.

     129,600       2,848,516  

Tobu Railway Co. Ltd.

     107,798       2,892,147  

Toho Co. Ltd.

     64,582       2,180,303  

Tokio Marine Holdings, Inc.

     1,048,261       26,102,720  

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

    890,312       4,659,110  

Tokyo Electron Ltd.

     274,279       48,750,309  

Tokyo Gas Co. Ltd.

     226,955       5,206,043  

Tokyu Corp.

     293,065       3,573,364  

TOPPAN, Inc.

     143,100       3,985,280  

Toray Industries, Inc.

     811,214       4,202,102  

Tosoh Corp.

     151,174       1,927,170  

TOTO Ltd.

     75,487       1,983,020  

Toyota Industries Corp.

     84,700       6,885,283  

Toyota Motor Corp.

     6,167,945         113,019,628  

Toyota Tsusho Corp.

     122,581       7,193,319  

Trend Micro, Inc./Japan(a)

    78,534       4,191,358  

Unicharm Corp.

     232,802       8,419,830  

USS Co. Ltd.

     117,363       2,356,204  

West Japan Railway Co.

     127,340       5,306,052  

Yakult Honsha Co. Ltd.

     146,964       3,298,990  

Yamaha Corp.

     80,164       1,846,547  

Yamaha Motor Co. Ltd.

     509,781       4,536,214  

Yamato Holdings Co. Ltd.

     151,162       2,789,465  
Security   Shares     Value  
Japan (continued)            

Yaskawa Electric Corp.

     139,345     $ 5,799,800  

Yokogawa Electric Corp.

     131,163       2,493,142  

Zensho Holdings Co. Ltd.

     53,900       2,820,288  

ZOZO, Inc.

     81,651       1,842,791  
   

 

 

  
      2,105,139,516  
Jordan — 0.0%            

Hikma Pharmaceuticals PLC

     95,327       2,172,223  
   

 

 

  
Luxembourg — 0.2%            

ArcelorMittal SA

     295,490       8,386,007  

Eurofins Scientific SE

     78,501       5,120,809  

Tenaris SA

     274,235       4,769,815  
   

 

 

  
      18,276,631  
Macau — 0.0%            

Sands China Ltd.(a)

    1,424,460       4,169,345  
   

 

 

  
Netherlands — 5.0%            

ABN AMRO Bank NV (b)

    276,889       4,163,989  

Adyen NV(a)(b)

    12,491       16,125,145  

Aegon Ltd.

     979,262       5,693,474  

Akzo Nobel NV

     98,460       8,153,155  

Argenx SE(a)

    34,361       13,069,838  

ASM International NV

     26,702       13,897,710  

ASML Holding NV

     234,473       177,000,734  

ASR Nederland NV

     93,238       4,404,556  

BE Semiconductor Industries NV

     44,855       6,772,026  

Euronext NV(b)

    50,255       4,367,491  

EXOR NV

     62,766       6,282,727  

Ferrovial SE

     294,395       10,745,676  

Heineken Holding NV

     74,965       6,347,595  

Heineken NV

     166,179       16,883,701  

IMCD NV

     32,536       5,666,585  

ING Groep NV, Series N

     2,088,490       31,315,935  

JDE Peet’s NV

     71,381       1,919,594  

Koninklijke Ahold Delhaize NV

     560,429       16,124,353  

Koninklijke KPN NV

     1,951,510       6,723,202  

Koninklijke Philips NV(a)

    459,103       10,744,033  

NN Group NV

     157,473       6,223,465  

OCI NV

     60,672       1,758,358  

Prosus NV

     850,766       25,344,400  

QIAGEN NV(a)

    132,215       5,748,216  

Randstad NV

     64,012       4,017,398  

Stellantis NV

     1,286,779       30,150,054  

Universal Music Group NV

     473,568       13,519,001  

Wolters Kluwer NV, Class C

     148,589       21,139,680  
   

 

 

  
      474,302,091  
New Zealand — 0.2%            

Auckland International Airport Ltd.

     770,959       4,288,783  

Fisher & Paykel Healthcare Corp. Ltd.

     337,108       5,027,436  

Mercury NZ Ltd.

     415,437       1,733,282  

Meridian Energy Ltd.

     768,347       2,690,524  

Spark New Zealand Ltd.

     1,068,307       3,498,211  

Xero Ltd.(a)

    82,983       6,330,652  
   

 

 

  
      23,568,888  
Norway — 0.7%            

Adevinta ASA, Class B(a)

    203,396       2,247,083  

Aker BP ASA

     183,294       5,324,248  

DNB Bank ASA

     537,462       11,427,110  

Equinor ASA

     519,845       16,474,899  

Gjensidige Forsikring ASA

     115,606       2,133,370  

Kongsberg Gruppen ASA

     50,951       2,332,586  

Mowi ASA

     270,686       4,847,379  
 

 

 

30  

2 0 2 3  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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Norway (continued)            

Norsk Hydro ASA

     771,720     $ 5,187,197  

Orkla ASA

     441,307       3,427,075  

Salmar ASA

     41,387       2,317,870  

Telenor ASA

     400,867       4,600,547  

Yara International ASA

     95,093       3,378,332  
   

 

 

  
         63,697,696  
Portugal — 0.2%            

Banco Espirito Santo SA, Class N, Registered Shares(d)

     47,542       —  

EDP - Energias de Portugal SA

     1,831,374       9,217,302  

Galp Energia SGPS SA

     284,709       4,189,116  

Jeronimo Martins SGPS SA

     165,830       4,220,461  
   

 

 

  
      17,626,879  
Singapore — 1.3%            

CapitaLand Ascendas REIT

     2,165,875       4,965,423  

CapitaLand Integrated Commercial Trust

     3,106,501       4,842,389  

Capitaland Investment Ltd./Singapore

     1,528,930       3,655,480  

City Developments Ltd.

     285,178       1,435,869  

DBS Group Holdings Ltd.

     1,053,409       26,639,470  

Genting Singapore Ltd.

     3,593,425       2,721,863  

Grab Holdings Ltd., Class A(a)

    1,121,577       3,779,714  

Jardine Cycle & Carriage Ltd.

     57,700       1,300,411  

Keppel Corp. Ltd.

     849,342       4,544,661  

Mapletree Logistics Trust

     2,049,541       2,698,620  

Mapletree Pan Asia Commercial Trust

     1,383,900       1,644,134  

Oversea-Chinese Banking Corp. Ltd.

     1,969,387       19,377,600  

Sea Ltd., Class A, ADR(a)

    214,656       8,693,568  

Seatrium Ltd.(a)

    25,741,221       2,298,463  

Sembcorp Industries Ltd.

     518,700       2,084,913  

Singapore Airlines Ltd.(c)

    866,199       4,300,963  

Singapore Exchange Ltd.

     419,326       3,119,530  

Singapore Technologies Engineering Ltd.

     922,479       2,716,428  

Singapore Telecommunications Ltd.

     4,764,546       8,919,248  

United Overseas Bank Ltd.

     735,405       15,872,391  

UOL Group Ltd.

     271,899       1,291,657  
   

 

 

  
      126,902,795  
South Africa — 0.2%            

Anglo American PLC

     739,063       18,496,307  
   

 

 

  
Spain — 2.6%            

Acciona SA

     15,017       2,211,167  

ACS Actividades de Construccion y Servicios SA

     127,472       5,661,648  

Aena SME SA(b)

    43,934       7,974,509  

Amadeus IT Group SA

     262,019       18,818,608  

Banco Bilbao Vizcaya Argentaria SA

     3,469,635       31,623,148  

Banco Santander SA

     9,413,013       39,371,627  

CaixaBank SA

     2,396,967       9,871,515  

Cellnex Telecom SA(b)

    327,526       12,895,682  

Corp. ACCIONA Energias Renovables SA

     38,166       1,184,522  

EDP Renovaveis SA

     178,282       3,649,666  

Enagas SA

     102,462       1,728,465  

Endesa SA

     186,084       3,796,317  

Grifols SA , Class A(a)

    179,018       3,062,528  

Iberdrola SA

     3,512,955       46,078,666  

Industria de Diseno Textil SA

     635,829       27,743,795  

Naturgy Energy Group SA

     75,208       2,243,246  

Redeia Corp. SA

     180,542       2,975,084  
Security   Shares     Value  
Spain (continued)            

Repsol SA

     739,696     $ 10,972,591  

Telefonica SA

     2,994,256       11,707,159  
   

 

 

  
      243,569,943  
Sweden — 3.2%            

Alfa Laval AB

     167,515       6,706,301  

Assa Abloy AB, Class B

     583,060       16,803,305  

Atlas Copco AB, A Shares

     1,562,265          26,919,560  

Atlas Copco AB, B Shares

     907,836       13,468,777  

Beijer Ref AB, Class B

     219,516       2,945,675  

Boliden AB

     157,243       4,921,630  

Epiroc AB, Class A

     385,985       7,769,447  

Epiroc AB, Class B

     230,275       4,038,511  

EQT AB

     207,726       5,881,480  

Essity AB, Class B

     355,044       8,798,762  

Evolution AB(b)

    106,338       12,665,964  

Fastighets AB Balder, B Shares(a)

    374,451       2,655,557  

Getinge AB, B Shares

     130,593       2,907,977  

H&M Hennes & Mauritz AB, B Shares

     374,093       6,561,604  

Hexagon AB, B Shares

     1,213,938       14,580,970  

Holmen AB, B Shares

     53,974       2,279,690  

Husqvarna AB, B Shares

     198,845       1,640,182  

Industrivarden AB, A Shares

     75,819       2,478,810  

Industrivarden AB, C Shares

     89,017       2,904,617  

Indutrade AB

     160,668       4,187,417  

Investment AB Latour, B Shares

     87,360       2,278,898  

Investor AB, B Shares

     998,710       23,159,789  

L E Lundbergforetagen AB, B Shares

     44,092       2,401,112  

Lifco AB, Class B

     133,090       3,267,478  

Nibe Industrier AB, B Shares

     873,122       6,131,422  

Saab AB, Class B

     47,419       2,857,640  

Sagax AB, Class B

     114,731       3,157,921  

Sandvik AB

     622,914       13,533,020  

Securitas AB, B Shares

     287,189       2,815,598  

Skandinaviska Enskilda Banken AB, Class A

     920,156       12,698,790  

Skanska AB, B Shares

     195,339       3,539,069  

SKF AB, B Shares

     198,170       3,971,435  

Svenska Cellulosa AB SCA, Class B

     352,526       5,295,810  

Svenska Handelsbanken AB, A Shares

     841,615       9,146,194  

Swedbank AB, A Shares

     489,883       9,904,282  

Swedish Orphan Biovitrum AB(a)

    111,357       2,947,866  

Tele2 AB, B Shares

     316,573       2,721,160  

Telefonaktiebolaget LM Ericsson, B Shares

     1,709,658       10,759,185  

Telia Co. AB

     1,385,831       3,535,848  

Volvo AB, Class A

     115,543       3,065,579  

Volvo AB, Class B

     877,688       22,837,443  

Volvo Car AB, Class B(a)

    345,226       1,119,633  
   

 

 

  
      302,261,408  
Switzerland — 8.9%            

ABB Ltd., Class N, Registered Shares

     930,418       41,308,841  

Adecco Group AG, Class N, Registered Shares

     93,242       4,579,439  

Alcon, Inc.

     290,635       22,738,110  

Avolta AG, Class N, Registered Shares(a)

    57,731       2,272,929  

Bachem Holding AG, Class N

     19,535       1,512,816  

Baloise Holding AG, Class N, Registered Shares

     26,216       4,110,363  

Banque Cantonale Vaudoise, Registered Shares

     17,291       2,229,999  

Barry Callebaut AG, Class N, Registered Shares

     2,090       3,528,294  

BKW AG

     12,592       2,239,702  

Chocoladefabriken Lindt & Spruengli AG

     553       6,637,999  
 

 

 

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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Switzerland (continued)  

Chocoladefabriken Lindt & Spruengli AG, Class N, Registered Shares

     62     $ 7,521,752  

Cie Financiere Richemont SA, Class A, Registered Shares

     303,605       41,935,157  

Clariant AG, Class N, Registered Shares

     125,905       1,860,210  

Coca-Cola HBC AG, Class DI

     128,790       3,781,653  

DSM-Firmenich AG

     108,166       10,999,770  

EMS-Chemie Holding AG, Registered Shares

     4,149       3,364,124  

Geberit AG, Class N, Registered Shares

     19,415       12,462,848  

Givaudan SA, Class N, Registered Shares

     5,370          22,267,843  

Helvetia Holding AG, Registered Shares

     21,807       3,006,896  

Holcim AG

     300,744       23,620,851  

Julius Baer Group Ltd., Class N

     120,474       6,758,356  

Kuehne and Nagel International AG, Registered Shares

     31,620       10,911,962  

Logitech International SA, Class N, Registered Shares

     95,572       9,087,786  

Lonza Group AG, Registered Shares

     43,312       18,259,740  

Nestle SA, Registered Shares

     1,552,924       180,014,732  

Novartis AG, Class N, Registered Shares

     1,192,163       120,420,965  

Partners Group Holding AG

     13,200       19,086,539  

Sandoz Group AG(a)

    236,590       7,612,063  

Schindler Holding AG

     23,632       5,916,387  

Schindler Holding AG, Class N, Registered Shares

     13,450       3,194,117  

SGS SA

     86,442       7,462,603  

SIG Group AG

     179,009       4,122,760  

Sika AG, Registered Shares

     88,671       28,913,494  

Sonova Holding AG, Registered Shares

     29,996       9,810,124  

STMicroelectronics NV

     397,514       19,938,887  

Straumann Holding AG, Registered Shares

     64,993       10,503,055  

Swatch Group AG

     16,556       4,504,724  

Swatch Group AG, Class N, Registered Shares

     31,184       1,634,951  

Swiss Life Holding AG, Class N, Registered Shares

     17,096       11,880,923  

Swiss Prime Site AG, Registered Shares

     43,810       4,680,803  

Swiss Re AG

     174,039       19,584,696  

Swisscom AG, Class N, Registered Shares

     14,897       8,966,042  

Temenos AG, Class N, Registered Shares

     37,528       3,497,165  

UBS Group AG, Registered Shares

     1,912,936       59,418,776  

VAT Group AG (b)

    15,612       7,841,249  

Zurich Insurance Group AG, Class N

     86,817       45,390,259  
   

 

 

  
        851,392,754  
United Arab Emirates — 0.0%            

NMC Health PLC(a)(d)

    45,379       1  
   

 

 

  
United Kingdom — 12.9%            

3i Group PLC

     566,116       17,424,772  

abrdn PLC

     1,107,534       2,518,047  

Admiral Group PLC

     151,430       5,177,167  

Ashtead Group PLC

     252,849       17,574,811  

Associated British Foods PLC, Series 20B

     201,552       6,074,579  

AstraZeneca PLC

     901,455       121,597,124  

Auto Trader Group PLC(b)

    531,824       4,885,678  

Aviva PLC

     1,580,007       8,742,856  

BAE Systems PLC

     1,768,538       25,033,637  

Barclays PLC

     8,975,816       17,575,245  

Barratt Developments PLC

     572,467       4,100,872  

Berkeley Group Holdings PLC

     62,164       3,711,259  

BP PLC

     10,012,139       59,352,638  

British American Tobacco PLC

     1,225,880       35,868,248  

BT Group PLC

     3,737,164       5,888,219  

Bunzl PLC

     195,061       7,926,405  

Burberry Group PLC

     217,617       3,925,144  
Security   Shares     Value  
United Kingdom (continued)            

Centrica PLC

     3,216,542     $ 5,766,298  

Coca-Cola Europacific Partners PLC

     120,093       8,015,007  

Compass Group PLC

     1,000,288       27,371,199  

Croda International PLC

     80,329       5,167,077  

DCC PLC, Series A

     56,360       4,147,026  

Diageo PLC

     1,296,553       47,058,598  

Endeavour Mining PLC

     105,431       2,359,144  

GSK PLC

     2,381,746          43,988,919  

Haleon PLC

     3,200,587       13,104,069  

Halma PLC

     220,149       6,401,028  

Hargreaves Lansdown PLC

     212,479       1,985,818  

HSBC Holdings PLC

     11,406,094       92,274,841  

Imperial Brands PLC

     495,698       11,414,833  

Informa PLC

     803,109       7,988,046  

InterContinental Hotels Group PLC

     97,112       8,757,158  

Intertek Group PLC

     91,776       4,968,439  

J Sainsbury PLC

     963,891       3,716,205  

JD Sports Fashion PLC

     1,471,362       3,105,069  

Kingfisher PLC(c)

    1,117,069       3,461,107  

Land Securities Group PLC

     402,198       3,609,493  

Legal & General Group PLC

     3,439,126       10,990,374  

Lloyds Banking Group PLC, Series L

     37,160,272       22,539,039  

London Stock Exchange Group PLC

     245,021       28,964,306  

M&G PLC

     1,315,277       3,722,381  

Melrose Industries PLC

     784,818       5,672,962  

Mondi PLC

     282,082       5,518,851  

National Grid PLC

     2,145,088       28,897,155  

NatWest Group PLC

     3,334,017       9,286,583  

Next PLC

     69,601       7,194,989  

Ocado Group PLC(a)

    331,793       3,205,100  

Pearson PLC

     369,259       4,535,581  

Persimmon PLC

     182,312       3,222,578  

Phoenix Group Holdings PLC

     431,458       2,937,856  

Prudential PLC

     1,588,630       17,924,013  

Reckitt Benckiser Group PLC

     417,376       28,800,367  

RELX PLC

     1,092,673       43,350,499  

Rentokil Initial PLC

     1,454,085       8,195,602  

Rolls-Royce Holdings PLC(a)

    4,895,928       18,674,875  

Sage Group PLC

     591,440       8,829,491  

Schroders PLC

     476,250       2,604,020  

Segro PLC

     671,913       7,577,336  

Severn Trent PLC

     154,051       5,065,890  

Shell PLC

     3,868,473       126,630,850  

Smith & Nephew PLC

     504,757       6,933,880  

Smiths Group PLC

     197,523       4,433,485  

Spirax-Sarco Engineering PLC

     42,910       5,741,173  

SSE PLC

     635,210       14,994,755  

St. James’s Place PLC

     322,095       2,802,325  

Standard Chartered PLC

     1,373,372       11,654,622  

Taylor Wimpey PLC, Series L

     2,016,528       3,774,770  

Tesco PLC

     4,136,262       15,323,712  

Unilever PLC

     1,451,193       70,253,683  

United Utilities Group PLC

     395,236       5,338,953  

Vodafone Group PLC

     13,290,249       11,606,897  

Whitbread PLC

     115,020       5,355,022  

Wise PLC, Class A(a)

    349,644       3,888,559  

WPP PLC

     622,070       5,941,938  
   

 

 

  
      1,224,420,547  
 

 

 

32  

2 0 2 3  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, 2023

   

iShares MSCI EAFE International Index Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
United States — 1.3%            

Roche Holding AG

     427,142     $ 124,538,359  
   

 

 

  

Total Common Stocks — 98.4%
(Cost: $6,966,539,261)

 

     9,362,881,548  
   

 

 

  
Preferred Securities            
Preferred Stocks — 0.4%            
Germany — 0.4%            

Bayerische Motoren Werke AG

     34,269       3,409,861  

Dr Ing hc F Porsche AG(b)

    65,847       5,799,613  

Henkel AG & Co. KGaA

     98,928       7,957,967  

Porsche Automobil Holding SE

     89,157       4,556,082  

Sartorius AG

     15,272       5,608,196  

Volkswagen AG

     119,946       14,784,093  
   

 

 

  
      42,115,812  
   

 

 

  

Total Preferred Securities — 0.4%
(Cost: $42,948,064)

 

     42,115,812  
   

 

 

  

Total Long-Term Investments — 98.8%
(Cost: $7,009,487,325)

 

     9,404,997,360  
   

 

 

  

Short-Term Securities

    
Money Market Funds — 0.5%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.54%(e)(f)(g)

    21,799,896       21,812,976  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(e)(f)

    24,213,354       24,213,354  
   

 

 

  

Total Short-Term Securities — 0.5%
(Cost: $46,021,343)

 

     46,026,330  
   

 

 

  

Total Investments — 99.3%
(Cost: $7,055,508,668)

 

     9,451,023,690  

Other Assets Less Liabilities — 0.7%

       64,745,894  
   

 

 

  

Net Assets — 100.0%

     $ 9,515,769,584  
   

 

 

  

 

(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) 

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

(e) 

Affiliate of the Fund.

(f) 

Annualized 7-day yield as of period end.

(g) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer   Value at
12/31/22 		    Purchases
at Cost 		    Proceeds
from Sale 		    Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
12/31/23 		    Shares
Held at
12/31/23 		    Income     Capital Gain
Distributions
from
Underlying
Funds 		 

BlackRock Cash Funds: Institutional,
SL Agency Shares

   $ 66,124,984     $ —     $ (44,335,597 )(a)    $ 28,664     $ (5,075 )    $ 21,812,976       21,799,896     $ 240,108 (b)    $   —  

BlackRock Cash Funds: Treasury,
SL Agency Shares

     16,740,802       7,472,552 (a)       —       —       —       24,213,354       24,213,354       919,958       —  

iShares MSCI EAFE ETF(c)

    —       650,264,017       (657,835,539 )      7,571,522       —       —       —       —       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ 7,600,186     $ (5,075 )    $ 46,026,330       $ 1,160,066     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (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.

 
  (c) 

As of period end, the entity is no longer held.

 

 

 

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, 2023

   

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

      225        03/07/24      $ 26,572      $ 184,690  

Euro Stoxx 50 Index

      892        03/15/24        44,817        (132,222 ) 

FTSE 100 Index

      249        03/15/24        24,588        397,484  

SPI 200 Index

      106        03/21/24        13,684        229,427  
           

 

 

  
            $ 679,379  
           

 

 

  

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  

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized appreciation on futures contracts(a)

   $ —      $ —      $ 811,601      $ —      $ —      $ —      $ 811,601  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

   $ —      $ —      $ 132,222      $ —      $ —      $ —      $ 132,222  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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, 2023, 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

    $ —      $ —      $ 9,114,153      $ —      $ —      $ —      $ 9,114,153  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ 2,757,042      $ —      $ —      $ —      $ 2,757,042  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

  

Futures contracts:

   

Average notional value of contracts — long

    $ 112,044,036   

 

  

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

 

 

34  

2 0 2 3  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, 2023

   

iShares MSCI EAFE International 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

                  

Common Stocks

                  

Australia

    $ —        $ 786,586,809        $     —        $ 786,586,809  

Austria

      —          17,520,192          —          17,520,192  

Belgium

      6,655,246          69,819,718          —          76,474,964  

Chile

      —          4,922,067          —          4,922,067  

China

      1,813,443          10,714,809          —          12,528,252  

Denmark

      —          314,805,332          —          314,805,332  

Finland

      3,775,907          97,918,826          —          101,694,733  

France

      —          1,098,517,877          —          1,098,517,877  

Germany

      —          759,680,412          —          759,680,412  

Hong Kong

      —          190,195,806          —          190,195,806  

Ireland

      8,645,794          109,355,401          —          118,001,195  

Isle of Man

      —          4,691,319          —          4,691,319  

Israel

      29,213,676          35,347,554          —          64,561,230  

Italy

      1,847,642          210,318,335          —          212,165,977  

Japan

      —          2,105,139,516          —          2,105,139,516  

Jordan

      —          2,172,223          —          2,172,223  

Luxembourg

      —          18,276,631          —          18,276,631  

Macau

      —          4,169,345          —          4,169,345  

Netherlands

      27,263,994          447,038,097          —          474,302,091  

New Zealand

      9,520,276          14,048,612          —          23,568,888  

Norway

      4,600,547          59,097,149          —          63,697,696  

Portugal

      —          17,626,879          —          17,626,879  

Singapore

      12,473,282          114,429,513          —          126,902,795  

South Africa

      —          18,496,307          —          18,496,307  

Spain

      —          243,569,943          —          243,569,943  

Sweden

      2,947,866          299,313,542          —          302,261,408  

Switzerland

      7,612,063          843,780,691          —          851,392,754  

United Arab Emirates

      —          —          1          1  

United Kingdom

      33,048,644          1,191,371,903          —          1,224,420,547  

United States

      —          124,538,359          —          124,538,359  

Preferred Securities

                  

Preferred Stocks

      —          42,115,812          —          42,115,812  

Short-Term Securities

                  

Money Market Funds

      46,026,330          —          —          46,026,330  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $  195,444,710        $  9,255,578,979        $ 1        $  9,451,023,690  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Assets

                  

Equity Contracts

    $ —        $ 811,601        $ —        $ 811,601  

Liabilities

                  

Equity Contracts

      —          (132,222 )         —          (132,222 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ —        $ 679,379        $ —        $ 679,379  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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, 2023

 

    

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)

  $ 253,909,999     $ 274,404,845     $ 9,404,997,360      $ —  

Investments, at value — Master Small Cap Index Series

     —       —       —        2,768,215,930  

Investments, at value — affiliated(c)

    3,355,327       2,285,632       46,026,330        —  

Cash pledged for futures contracts

     —       —       6,182,788        —  

Foreign currency, at value(d)

    —       —       75,273,052        —  

Receivables:

         

Investments sold

     —       2,715,599       —        —  

Securities lending income — affiliated

     —       1,757       7,788        —  

Capital shares sold

     126,486       3,302,221       34,673,979        9,031,224  

Dividends — unaffiliated

     —       —       25,221,626        —  

Dividends — affiliated

     8,218       8,814       58,178        —  

Interest — unaffiliated

     3,026,520       721,689       —        —  

From the Manager

     —       35,543       —        —  

Variation margin on futures contracts

     —       —       60,756        —  

Withdrawals from the Master Portfolio

     —       —       —        15,278,788  

Prepaid expenses

     47,942       52,194       —        53,055  
 

 

 

    

 

 

    

 

 

     

 

 

  

Total assets

     260,474,492       283,528,294       9,592,501,857        2,792,578,997  
 

 

 

    

 

 

    

 

 

     

 

 

  

LIABILITIES

         

Bank overdraft

     15,759       9,618       —        —  

Collateral on securities loaned

     —       —       21,805,959        —  

Payables:

         

Investments purchased

     —       4,162,357       —        —  

Accounting services fees

     2,256       2,256       —        1,241  

Administration fees

     —       —       265,954        65,476  

Capital shares redeemed

     571,447       1,435,482       53,779,007        24,310,037  

Custodian fees

     1,011       804       —        —  

Income dividend distributions

     23,406       9,134       —        —  

Investment advisory fees

     21,381       —       77,863        —  

Directors’ and Officer’s fees

     1,820       1,708       17,434        —  

Recoupment of past waived fees

     6,297       —       —        —  

Other accrued expenses

     1,993       8,068       93,251        7,823  

Professional fees

     33,347       37,411       429,567        35,320  

Service fees

     47,367       585       107,884        101,011  

Transfer agent fees

     21,502       16,366       17,984        132,138  

Variation margin on futures contracts

     —       —       137,370        —  
 

 

 

    

 

 

    

 

 

     

 

 

  

Total liabilities

     747,586       5,683,789       76,732,273        24,653,046  
 

 

 

    

 

 

    

 

 

     

 

 

  

Commitments and contingent liabilities

         

NET ASSETS

   $  259,726,906     $  277,844,505     $  9,515,769,584      $  2,767,925,951  
 

 

 

    

 

 

    

 

 

     

 

 

  

NET ASSETS CONSIST OF

         

Paid-in capital

   $ 263,186,911     $ 288,029,493     $ 8,588,771,133      $ 2,299,035,762  

Accumulated earnings (loss)

     (3,460,005 )      (10,184,988 )      926,998,451        468,890,189  
 

 

 

    

 

 

    

 

 

     

 

 

  

NET ASSETS

   $ 259,726,906     $ 277,844,505     $ 9,515,769,584      $ 2,767,925,951  
 

 

 

    

 

 

    

 

 

     

 

 

  

(a) Investments, at cost — unaffiliated

   $ 255,549,469     $ 277,078,734     $ 7,009,487,325      $ —  

(b) Securities loaned, at value

   $ —     $ —     $ 20,724,237      $ —  

(c)  Investments, at cost — affiliated

   $ 3,355,171     $ 2,285,632     $ 46,021,343      $ —  

(d) Foreign currency, at cost

   $ —     $ —     $ 74,073,327      $ —  

 

 

36  

2 0 2 3  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, 2023

 

    

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

   $ 41,268,360      $  120,828,484      $  1,126,850,384      $ 400,743,380  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     3,688,478        12,623,041        74,190,990        17,500,447  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 11.19      $ 9.57      $ 15.19      $ 22.90  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        Unlimited        1.208 billion        208 million  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001      $ 0.001      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Investor A                           

Net assets

   $ 19,071,230      $ 2,092,690      $ 385,831,767      $ 206,976,720  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     1,704,663        218,343        25,591,943        9,025,349  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 11.19      $ 9.58      $ 15.08      $ 22.93  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        Unlimited        208 million        208 million  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001      $ 0.001      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Investor P                           

Net assets

   $  199,289,906        N/A      $ 137,724,660      $ 287,808,342  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     17,813,559        N/A        9,167,536        12,597,173  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 11.19        N/A      $ 15.02      $ 22.85  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     Unlimited        N/A        2 billion        2 billion  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

   $ 0.001        N/A      $ 0.0001      $ 0.0001  
 

 

 

     

 

 

     

 

 

     

 

 

  
Class G                           

Net assets

     N/A        N/A      $ 2,737,539,109        N/A  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     N/A        N/A        180,092,359        N/A  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

     N/A        N/A      $ 15.20        N/A  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares authorized

     N/A        N/A        800 million        N/A  
 

 

 

     

 

 

     

 

 

     

 

 

  

Par value

     N/A        N/A      $ 0.0001        N/A  
 

 

 

     

 

 

     

 

 

     

 

 

  
Class K                           

Net assets

   $ 97,410      $ 154,923,331      $ 5,127,823,664      $  1,872,397,509  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares outstanding

     8,707        16,164,998        337,210,483        81,484,805  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value

   $ 11.19      $ 9.58      $ 15.21      $ 22.98  
 

 

 

     

 

 

     

 

 

     

 

 

  

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, 2023

 

    

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

    $ —      $ —      $ 287,198,678      $ —  

Dividends — affiliated

     69,882       137,113       919,958       —  

Interest — unaffiliated

     8,383,194       6,929,287       —       —  

Securities lending income — affiliated — net

     —       1,915       240,108       —  

Other income — unaffiliated

     —       —       522,176       —  

Foreign taxes withheld

     —       —       (24,802,716 )      —  

Foreign withholding tax claims

     —       —       6,428,675       —  

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

        

Dividends — unaffiliated

     —       —       —       38,679,614  

Dividends — affiliated

     —       —       —       1,585,503  

Interest — unaffiliated

     —       —       —       33,893  

Securities lending income — affiliated — net

     —       —       —       3,551,308  

Foreign taxes withheld

     —       —       —       (87,404 ) 

Expenses

     —       —       —       (491,267 ) 

Fees waived

     —       —       —       22,197  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     8,453,076       7,068,315       270,506,879       43,293,844  
 

 

 

    

 

 

    

 

 

    

 

 

  

EXPENSES

        

Service — class specific

     570,077       6,268       1,237,358       1,160,198  

Investment advisory

     267,328       17,612       870,479       —  

Transfer agent — class specific

     134,830       58,087       —       696,059  

Professional

     98,945       126,008       744,271       62,718  

Registration

     84,483       63,371       —       117,269  

Printing and postage

     33,834       41,667       —       26,419  

Accounting services

     9,030       9,034       —       4,976  

Directors and Officer

     8,100       7,439       66,521       —  

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

     5,384       —       —       —  

Custodian

     3,294       3,049       —       —  

Administration

     —       —       —       1,052,529  

Administration — class specific

     —       —       3,360,894       —  

Miscellaneous

     29,319       15,456       208       19,982  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses excluding interest expense

     1,244,624       347,991       6,279,731       3,140,150  

Interest expense

     —       —       353       —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     1,244,624       347,991       6,280,084       3,140,150  

Less:

        

Fees waived and/or reimbursed by the Administrator

     —       —       —       (26,399 ) 

Fees waived and/or reimbursed by the Manager

     (9,309 )      (177,765 )      (129,208 )      —  

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

     (21,031 )      (31,127 )      —       (205,594 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     1,214,284       139,099       6,150,876       2,908,157  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     7,238,792       6,929,216       264,356,003       40,385,687  
 

 

 

    

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

        

Net realized gain (loss) from:

        

Investments — unaffiliated

     (1,362,650 )      (2,682,794 )      (118,339,804 )      —  

Investments — affiliated

     (169 )      —       7,600,186       —  

Foreign currency transactions

     —       —       (1,594,437 )      —  

Futures contracts

     —       —       9,114,153       —  

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

        

Investments — unaffiliated

     —       —       —       9,935,091  

Investments — affiliated

     —       —       —       1,490,688  

Futures contracts

     —       —       —       2,485,377  

Swaps

     —       —       —       1,150,755  
 

 

 

    

 

 

    

 

 

    

 

 

  
    (1,362,819 )      (2,682,794 )      (103,219,902 )      15,061,911  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

38  

2 0 2 3  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, 2023

 

    

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

    $ 10,046,343       $ 4,664,334       $ 1,300,207,654      $ —  

Investments — affiliated

     183        —        (5,075 )      —  

Foreign currency translations

     —        —        1,672,748       —  

Futures contracts

     —        —        2,757,042       —  

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

          

Investments — unaffiliated

     —        —        —       355,787,414  

Investments — affiliated

     —        —        —       2,214,905  

Futures contracts

     —        —        —       138,830  

Swaps

     —        —        —       388,709  
 

 

 

     

 

 

     

 

 

    

 

 

  
    10,046,526        4,664,334        1,304,632,369       358,529,858  
 

 

 

     

 

 

     

 

 

    

 

 

  

Net realized and unrealized gain

     8,683,707        1,981,540        1,201,412,467       373,591,769  
 

 

 

     

 

 

     

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 15,922,499      $ 8,910,756      $ 1,465,768,470     $ 413,977,456  
 

 

 

     

 

 

     

 

 

    

 

 

  

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

12/31/23

             Year Ended
12/31/22		             Year Ended
12/31/23		             Year Ended
12/31/22		  

INCREASE (DECREASE) IN NET ASSETS

                 

OPERATIONS

                 

Net investment income

    $ 7,238,792               $ 7,387,171         $ 6,929,216               $ 8,596,075  

Net realized loss

     (1,362,819 )         (729,225 )         (2,682,794 )         (4,717,963 ) 

Net change in unrealized appreciation (depreciation)

     10,046,526          (35,793,824 )         4,664,334          (8,963,607 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease) in net assets resulting from operations

     15,922,499          (29,135,878 )         8,910,756          (5,085,495 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

                

From net investment income and net realized gain

                 

Institutional

     (1,140,391 )         (796,740 )         (2,084,691 )         (2,804,472 ) 

Investor A

     (519,335 )         (511,155 )         (92,099 )         (121,688 ) 

Investor P

     (5,555,089 )         (6,184,204 )         —          —  

Class K

     (2,921 )         (2,763 )         (4,749,773 )         (5,656,150 ) 

Return of capital

                 

Institutional

     —          —          (5,463 )         (9,161 ) 

Investor A

     —          —          (267 )         (468 ) 

Class K

     —          —          (13,026 )         (20,245 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

Decrease in net assets resulting from distributions to shareholders

     (7,217,736 )         (7,494,862 )         (6,945,319 )         (8,612,184 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL SHARE TRANSACTIONS

                 

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

     (29,234,014 )         (11,343,682 )         140,118,911          44,739,190  
 

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS

                 

Total increase (decrease) in net assets

     (20,529,251 )         (47,974,422 )         142,084,348          31,041,511  

Beginning of year

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

 

 

       

 

 

       

 

 

       

 

 

  

End of year

   $ 259,726,906        $ 280,256,157        $ 277,844,505        $ 135,760,157  
 

 

 

       

 

 

       

 

 

       

 

 

  

 

(a) 

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

 

See notes to financial statements.

 

 

40  

2 0 2 3  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

12/31/23

             Year Ended
12/31/22		            Year Ended
12/31/23		             Year Ended
12/31/22		  

INCREASE (DECREASE) IN NET ASSETS

                

OPERATIONS

                

Net investment income

    $ 264,356,003               $ 245,816,336        $ 40,385,687               $ 35,520,785  

Net realized gain (loss)

     (103,219,902 )         (117,015,183 )        15,061,911          (45,853,774 ) 

Net change in unrealized appreciation (depreciation)

     1,304,632,369          (1,406,167,395 )        358,529,858          (673,608,609 ) 
 

 

 

       

 

 

      

 

 

       

 

 

  

Net increase (decrease) in net assets resulting from operations

     1,465,768,470          (1,277,366,242 )        413,977,456          (683,941,598 ) 
 

 

 

       

 

 

      

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

               

Institutional

     (35,553,987 )         (28,819,074 )        (10,194,573 )         (6,608,956 ) 

Investor A

     (11,099,208 )         (8,746,128 )        (5,449,687 )         (2,784,133 ) 

Investor P

     (3,952,518 )         (3,057,353 )        (7,634,389 )         (3,814,743 ) 

Class G

     (81,197,080 )         —         —          —  

Class K

     (162,225,094 )         (169,428,266 )        (54,470,520 )         (30,551,485 ) 
 

 

 

       

 

 

      

 

 

       

 

 

  

Decrease in net assets resulting from distributions to shareholders

     (294,027,887 )         (210,050,821 )        (77,749,169 )         (43,759,317 ) 
 

 

 

       

 

 

      

 

 

       

 

 

  

CAPITAL SHARE TRANSACTIONS

                

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

     599,156,405          704,872,365         (172,089,720 )         (34,710,452 ) 
 

 

 

       

 

 

      

 

 

       

 

 

  

NET ASSETS

                

Total increase (decrease) in net assets

     1,770,896,988          (782,544,698 )        164,138,567          (762,411,367 ) 

Beginning of year

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

 

 

       

 

 

      

 

 

       

 

 

  

End of year

   $ 9,515,769,584        $ 7,744,872,596       $ 2,767,925,951        $ 2,603,787,384  
 

 

 

       

 

 

      

 

 

       

 

 

  

 

(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  
     Year Ended
12/31/23		     Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 10.81     $ 12.16     $ 12.29      $ 12.02      $ 11.59  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.32       0.30       0.29        0.30        0.30  

Net realized and unrealized gain (loss)(b)

    0.38       (1.35 )      (0.11 )       0.29        0.56  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     0.70       (1.05 )      0.18        0.59        0.86  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

           

From net investment income

     (0.32 )      (0.30 )      (0.29 )       (0.30 )       (0.30 ) 

From net realized gain

     —       (0.00 )(d)      (0.02 )       (0.02 )       (0.13 ) 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

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

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 11.19     $ 10.81     $ 12.16      $ 12.29      $ 12.02  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(e)

           

Based on net asset value

     6.58 %      (8.61 )%      1.54 %       4.97 %       7.52 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(f)

           

Total expenses

     0.25 %(g)      0.24 %      0.25 %       0.23 %       0.30 %(h) 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.25 %      0.24 %      0.24 %       0.22 %       0.23 %(h) 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.92 %      2.75 %      2.40 %       2.46 %       2.49 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

            

Net assets, end of year (000)

   $ 41,268     $ 37,235     $ 11,794      $ 6,115      $ 477  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     10 %      21 %      7 %       8 %       24 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

 

(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 recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

(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.

See notes to financial statements.

 

 

42  

2 0 2 3  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

12/31/23

      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 10.81      $ 12.16     $ 12.29      $ 12.02      $ 11.59  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.29        0.27       0.26        0.27        0.27  

Net realized and unrealized gain (loss)(b)

    0.38        (1.35 )      (0.11 )       0.29        0.56  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     0.67        (1.08 )      0.15        0.56        0.83  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

            

From net investment income

     (0.29 )       (0.27 )      (0.26 )       (0.27 )       (0.27 ) 

From net realized gain

     —        (0.00 )(d)      (0.02 )       (0.02 )       (0.13 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 11.19      $ 10.81     $ 12.16      $ 12.29      $ 12.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(e)

            

Based on net asset value

     6.31 %       (8.85 )%      1.28 %       4.70 %       7.24 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(f)

            

Total expenses

     0.55 %       0.51 %      0.53 %       0.50 %       0.62 %(g) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.50 %       0.50 %      0.50 %       0.48 %       0.50 %(g) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.66 %       2.45 %      2.15 %       2.22 %       2.25 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 19,071      $ 20,060     $ 23,348      $ 23,315      $ 23,805  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     10 %       21 %      7 %       8 %       24 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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 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.

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

12/31/23

     Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 10.81     $ 12.16     $ 12.29      $ 12.02      $ 11.59  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.29       0.27       0.26        0.27        0.27  

Net realized and unrealized gain (loss)(b)

    0.38       (1.35 )      (0.11 )       0.29        0.56  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     0.67       (1.08 )      0.15        0.56        0.83  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

           

From net investment income

     (0.29 )      (0.27 )      (0.26 )       (0.27 )       (0.27 ) 

From net realized gain

     —       (0.00 )(d)       (0.02 )       (0.02 )       (0.13 ) 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

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

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 11.19     $ 10.81     $ 12.16      $ 12.29      $ 12.02  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(e)

           

Based on net asset value

     6.32 %      (8.84 )%      1.29 %       4.69 %       7.25 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(f)

           

Total expenses

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

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.49 %      0.49 %      0.49 %       0.49 %       0.50 %(h)  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.67 %      2.45 %      2.16 %       2.21 %       2.26 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

            

Net assets, end of year (000)

   $ 199,290     $ 222,859     $ 292,983      $ 316,772      $ 333,565  
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     10 %      21 %      7 %       8 %       24 % 
 

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

 

(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, 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 recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

(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 0.47% and 0.50%, respectively.

See notes to financial statements.

 

 

44  

2 0 2 3  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  
    

Year Ended

12/31/23

      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 10.81      $ 12.16     $ 12.29      $ 12.02      $ 11.59  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.32        0.31       0.30        0.30        0.30  

Net realized and unrealized gain (loss)(b)

    0.38        (1.35 )      (0.11 )       0.29        0.56  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     0.70        (1.04 )      0.19        0.59        0.86  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

            

From net investment income

     (0.32 )       (0.31 )      (0.30 )       (0.30 )       (0.30 ) 

From net realized gain

     —        (0.00 )(d)      (0.02 )       (0.02 )       (0.13 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 11.19      $ 10.81     $ 12.16      $ 12.29      $ 12.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(e)

            

Based on net asset value

     6.63 %       (8.58 )%      1.58 %       5.00 %       7.57 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(f)

            

Total expenses

     0.27 %       0.32 %      0.25 %       0.24 %       0.27 %(g) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.20 %       0.20 %      0.20 %       0.20 %       0.20 %(g) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.96 %       2.75 %      2.45 %       2.50 %       2.55 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 97      $ 102     $ 106      $ 107      $ 105  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     10 %       21 %      7 %       8 %       24 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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 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.

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
12/31/23		     Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		     Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 9.52     $ 10.37     $ 10.30      $ 9.98     $ 9.74  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income(a)

    0.37       0.63       0.46        0.25       0.15  

Net realized and unrealized gain (loss)(b)

    0.04       (0.91 )      0.07        0.23       0.30  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease) from investment operations

     0.41       (0.28 )      0.53        0.48       0.45  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Distributions(c)

          

From net investment income

     (0.36 )      (0.57 )      (0.46 )       (0.16 )      (0.21 ) 

From net realized gain

     —       —       —        (0.00 )(d)      —  

Return of capital

     (0.00 )(d)       (0.00 )(d)      —        —       —  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total distributions

     (0.36 )      (0.57 )      (0.46 )       (0.16 )      (0.21 ) 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of year

   $ 9.57     $ 9.52     $ 10.37      $ 10.30     $ 9.98  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(e)

          

Based on net asset value

     4.41 %      (2.81 )%      5.18 %       4.89 %      4.66 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Ratios to Average Net Assets(f)

          

Total expenses

     0.23 %      0.19 %      0.29 %       0.55 %      3.24 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.11 %      0.08 %      0.07 %       0.07 %      0.11 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income

     3.99 %      6.44 %      4.41 %       2.51 %      1.47 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Supplemental Data

           

Net assets, end of year (000)

   $ 120,828     $ 23,581     $ 18,004      $ 16,549     $ 721  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Portfolio turnover rate

     34 %      58 %      10 %       22 %      45 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

 

(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.

See notes to financial statements.

 

 

46  

2 0 2 3  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
12/31/23		     Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		     Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 9.53     $ 10.41     $ 10.34      $ 9.97     $ 9.74  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income(a)

    0.35       0.54       0.40        0.07       0.19  

Net realized and unrealized gain (loss)(b)

    0.04       (0.85 )      0.10        0.39       0.23  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease) from investment operations

     0.39       (0.31 )      0.50        0.46       0.42  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Distributions(c)

          

From net investment income

     (0.34 )      (0.57 )      (0.43 )       (0.09 )      (0.19 ) 

From net realized gain

     —       —       —        (0.00 )(d)      —  

Return of capital

     (0.00 )(d)      (0.00 )(d)      —        —       —  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total distributions

     (0.34 )      (0.57 )      (0.43 )       (0.09 )      (0.19 ) 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of year

   $ 9.58     $ 9.53     $ 10.41      $ 10.34     $ 9.97  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(e)

          

Based on net asset value

     4.22 %      (3.15 )%      4.89 %       4.64 %      4.39 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Ratios to Average Net Assets(f)

          

Total expenses

     0.60 %      0.58 %      0.71 %       1.18 %      3.36 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.36 %      0.36 %      0.36 %       0.36 %      0.36 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income

     3.70 %      5.46 %      3.79 %       0.71 %      1.94 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Supplemental Data

           

Net assets, end of year (000)

   $ 2,093     $ 2,514     $ 1,908      $ 1,475     $ 737  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Portfolio turnover rate

     34 %      58 %      10 %       22 %      45 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

 

(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.

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
12/31/23		     Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		     Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 9.53     $ 10.41     $ 10.34      $ 9.98     $ 9.76  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income(a)

    0.37       0.58       0.49        0.12       0.25  

Net realized and unrealized gain (loss)(b)

    0.05       (0.86 )      0.04        0.36       0.21  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease) from investment operations

     0.42       (0.28 )      0.53        0.48       0.46  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Distributions(c)

          

From net investment income

     (0.37 )      (0.60 )      (0.46 )       (0.12 )      (0.24 ) 

From net realized gain

     —       —       —        (0.00 )(d)      —  

Return of capital

     (0.00 )(d)       (0.00 )(d)       —        —       —  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total distributions

     (0.37 )      (0.60 )      (0.46 )       (0.12 )      (0.24 ) 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of year

   $ 9.58     $ 9.53     $ 10.41      $ 10.34     $ 9.98  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(e)

          

Based on net asset value

     4.51 %      (2.86 )%      5.19 %       4.87 %      4.72 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Ratios to Average Net Assets(f)

          

Total expenses

     0.18 %      0.18 %      0.28 %       0.71 %      2.14 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     0.06 %      0.06 %      0.06 %       0.06 %      0.06 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income

     3.92 %      5.88 %      4.69 %       1.17 %      2.55 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Supplemental Data

           

Net assets, end of year (000)

   $ 154,923     $ 109,665     $ 84,806      $ 41,536     $ 16,112  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Portfolio turnover rate

     34 %      58 %      10 %       22 %      45 % 
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

 

(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.

See notes to financial statements.

 

 

48  

2 0 2 3  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
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 13.25      $ 15.85     $ 14.68      $ 13.86      $ 11.76  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.43        0.41       0.41        0.30        0.42  

Net realized and unrealized gain (loss)(b)

    1.99        (2.64 )      1.24        0.81        2.14  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     2.42        (2.23 )      1.65        1.11        2.56  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 15.19      $ 13.25     $ 15.85      $ 14.68      $ 13.86  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

            

Based on net asset value

     18.33 %       (14.18 )%      11.28 %       8.03 %       21.80 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(e)

            

Total expenses

     0.10 %       0.09 %      0.09 %       0.09 %       0.08 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.10 %       0.09 %      0.09 %       0.09 %       0.08 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.97 %       3.06 %      2.57 %       2.35 %       3.23 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $  1,126,850      $  1,036,641     $  1,058,978      $  1,004,855      $  876,551  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     17 %       4 %      3 %       8 %       4 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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) 

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

   49

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares MSCI EAFE International Index Fund (continued)  
    Investor A  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 13.16      $ 15.74     $ 14.58      $ 13.78      $ 11.69  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

    0.39        0.38       0.36        0.27        0.39  

Net realized and unrealized gain (loss)(b)

    1.97        (2.63 )      1.24        0.78        2.12  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     2.36        (2.25 )      1.60        1.05        2.51  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 15.08      $ 13.16     $ 15.74      $ 14.58      $ 13.78  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

            

Based on net asset value

     18.02 %       (14.36 )%      11.01 %       7.68 %       21.53 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(e)

            

Total expenses

     0.35 %       0.34 %      0.34 %       0.35 %       0.35 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.35 %       0.34 %      0.34 %       0.35 %       0.35 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.75 %       2.85 %      2.31 %       2.11 %       3.00 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 385,832      $ 348,314     $ 385,287      $ 351,999      $ 340,750  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     17 %       4 %      3 %       8 %       4 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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) 

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.

 

 

50  

2 0 2 3  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  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 13.12      $ 15.69     $ 14.53      $ 13.73      $ 11.65  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.39        0.39       0.36        0.26        0.39  

Net realized and unrealized gain (loss)(b)

     1.95        (2.63 )      1.24        0.79        2.11  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     2.34        (2.24 )      1.60        1.05        2.50  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 15.02      $ 13.12     $ 15.69      $ 14.53      $ 13.73  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     17.92 %       (14.36 )%      11.05 %       7.68 %       21.51 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(e)

             

Total expenses

     0.35 %       0.34 %      0.34 %       0.37 %       0.39 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.35 %       0.34 %      0.34 %       0.37 %       0.36 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     2.76 %       2.87 %      2.30 %       2.08 %       2.97 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 137,725      $ 123,463     $ 153,682      $ 146,759      $ 149,612  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     17 %       4 %      3 %       8 %       4 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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) 

Where applicable, excludes the effects of any sales charges and 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

   51

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares MSCI EAFE International Index Fund (continued)    
    Class G    
    

Period from    

 10/16/23(a)   

to 12/31/23    

   

Net asset value, beginning of period

   $ 14.14  
 

 

 

  

Net investment income(b)

     0.03  

Net realized and unrealized gain(c)

     1.50  
 

 

 

  

Net increase from investment operations

     1.53  
 

 

 

  

Distributions from net investment income(d)

     (0.47 ) 
 

 

 

  

Net asset value, end of period

   $ 15.20  
 

 

 

  

Total Return(e)

  

Based on net asset value

     10.85 %(f) 
 

 

 

  

Ratios to Average Net Assets(g)

  

Total expenses

     0.03 %(h) 
 

 

 

  

Total expenses after fees waived and/or reimbursed

     0.02 %(h) 
 

 

 

  

Net investment income

     0.89 %(h) 
 

 

 

  

Supplemental Data

  

Net assets, end of period (000)

   $  2,737,539  
 

 

 

  

Portfolio turnover rate

     17 % 
 

 

 

  

 

(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)

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) 

Annualized.

See notes to financial statements.

 

 

52  

2 0 2 3  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)  
    Class K  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 13.27      $ 15.86     $ 14.69      $ 13.87      $ 11.76  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.46        0.43       0.41        0.31        0.43  

Net realized and unrealized gain (loss)(b)

     1.96        (2.65 )      1.24        0.80        2.14  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     2.42        (2.22 )      1.65        1.11        2.57  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

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

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 15.21      $ 13.27     $ 15.86      $ 14.69      $ 13.87  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     18.34 %       (14.07 )%      11.33 %       8.07 %       21.94 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(e)

             

Total expenses

     0.05 %       0.04 %      0.04 %       0.04 %       0.03 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.05 %       0.04 %      0.04 %       0.04 %       0.03 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     3.14 %       3.19 %      2.60 %       2.39 %       3.28 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $  5,127,824      $  6,236,454     $  6,929,470      $  5,143,404      $  6,870,922  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     17 %       4 %      3 %       8 %       4 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(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) 

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

   53

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund  
    Institutional  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 20.17      $ 25.76     $ 24.19      $ 20.46      $ 16.87  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.33        0.27       0.25        0.23        0.27  

Net realized and unrealized gain (loss)(b)

     3.07        (5.52 )      3.28        3.84        4.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     3.40        (5.25 )      3.53        4.07        4.29  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

             

From net investment income

     (0.35 )       (0.28 )      (0.29 )       (0.25 )       (0.28 ) 

From net realized gain

     (0.32 )       (0.06 )      (1.67 )       (0.09 )       (0.42 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     (0.67 )       (0.34 )      (1.96 )       (0.34 )       (0.70 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 22.90      $ 20.17     $ 25.76      $ 24.19      $ 20.46  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     16.90 %       (20.39 )%      14.73 %       19.97 %       25.50 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

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

             

Total expenses

     0.13 %       0.13 %      0.12 %       0.16 %       0.16 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.12 %       0.12 %      0.12 %       0.12 %       0.12 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     1.55 %       1.26 %      0.93 %       1.22 %       1.38 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 400,743      $ 390,670     $ 479,451      $ 331,429      $ 227,381  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate of the Series

     29 %       38 %      31 %       27 %       20 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(a) 

Based on average Common 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) 

Where applicable, assumes the reinvestment of distributions.

(e) 

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

(f) 

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

(g)

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

See notes to financial statements.

 

 

54  

2 0 2 3  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 (continued)  
    Investor A  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 20.20      $ 25.79     $ 24.22      $ 20.49      $ 16.89  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.27        0.22       0.18        0.17        0.22  

Net realized and unrealized gain (loss)(b)

     3.08        (5.52 )      3.28        3.85        4.03  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     3.35        (5.30 )      3.46        4.02        4.25  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

             

From net investment income

     (0.30 )       (0.23 )      (0.22 )       (0.20 )       (0.23 ) 

From net realized gain

     (0.32 )       (0.06 )      (1.67 )       (0.09 )       (0.42 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     (0.62 )       (0.29 )      (1.89 )       (0.29 )       (0.65 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 22.93      $ 20.20     $ 25.79      $ 24.22      $ 20.49  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     16.60 %       (20.57 )%      14.38 %       19.66 %       25.20 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

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

             

Total expenses

     0.42 %       0.40 %      0.40 %       0.41 %       0.42 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.37 %       0.37 %      0.37 %       0.37 %       0.37 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     1.29 %       1.01 %      0.66 %       0.93 %       1.14 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 206,977      $ 194,549     $ 243,110      $ 257,905      $ 273,413  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate of the Series

     29 %       38 %      31 %       27 %       20 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

Based on average Common 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)

Where applicable, assumes the reinvestment of distributions.

(e)

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

(f)

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

(g)

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

   55

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund (continued)  
    Investor P  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 20.13      $ 25.70     $ 24.14      $ 20.43      $ 16.84  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.27        0.22       0.18        0.18        0.22  

Net realized and unrealized gain (loss)(b)

     3.07        (5.50 )      3.27        3.82        4.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     3.34        (5.28 )      3.45        4.00        4.24  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

             

From net investment income

     (0.30 )       (0.23 )      (0.22 )       (0.20 )       (0.23 ) 

From net realized gain

     (0.32 )       (0.06 )      (1.67 )       (0.09 )       (0.42 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     (0.62 )       (0.29 )      (1.89 )       (0.29 )       (0.65 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 22.85      $ 20.13     $ 25.70      $ 24.14      $ 20.43  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     16.62 %       (20.57 )%      14.42 %       19.65 %       25.25 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

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

             

Total expenses

     0.38 %       0.39 %      0.38 %       0.41 %       0.40 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.36 %       0.37 %      0.37 %       0.37 %       0.36 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     1.29 %       1.01 %      0.67 %       0.95 %       1.14 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $ 287,808      $ 266,391     $ 354,746      $ 329,486      $ 301,163  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate of the Series

     29 %       38 %      31 %       27 %       20 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

Based on average Common 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)

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

(e)

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

(f)

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

(g)

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

See notes to financial statements.

 

 

56  

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Russell 2000 Small-Cap Index Fund (continued)  
    Class K  
     Year Ended
12/31/23		      Year Ended
12/31/22		     Year Ended
12/31/21		      Year Ended
12/31/20		      Year Ended
12/31/19		  
           

Net asset value, beginning of year

   $ 20.24      $ 25.84     $ 24.26      $ 20.52      $ 16.91  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.34        0.28       0.27        0.24        0.28  

Net realized and unrealized gain (loss)(b)

     3.08        (5.53 )      3.29        3.85        4.04  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     3.42        (5.25 )      3.56        4.09        4.32  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions(c)

             

From net investment income

     (0.36 )       (0.29 )      (0.31 )       (0.26 )       (0.29 ) 

From net realized gain

     (0.32 )       (0.06 )      (1.67 )       (0.09 )       (0.42 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     (0.68 )       (0.35 )      (1.98 )       (0.35 )       (0.71 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 22.98      $ 20.24     $ 25.84      $ 24.26      $ 20.52  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(d)

             

Based on net asset value

     16.95 %       (20.32 )%      14.78 %       20.00 %       25.62 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

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

             

Total expenses

     0.07 %       0.07 %      0.07 %       0.08 %       0.08 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     0.07 %       0.07 %      0.07 %       0.07 %       0.07 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     1.60 %       1.31 %      0.99 %       1.26 %       1.44 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

             

Net assets, end of year (000)

   $  1,872,398      $  1,752,177     $  2,288,892      $  1,835,475      $  1,502,229  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate of the Series

     29 %       38 %      31 %       27 %       20 % 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

Based on average Common 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)

Where applicable, assumes the reinvestment of distributions.

(e)

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

(f)

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

(g)

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

   57

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, 2023, the percentage of the Series owned by Small Cap Index was 60.6%. 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. Class G Shares are available only to investors on eligible platforms. 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 and Investor A Shares

   No      No      None

Class K and Class G Shares(a)

  No      No      None

Investor P Shares

   Yes      No (b)     None

 

  (a)

On the close of business on October 16, 2023, some of the issued and outstanding shares were redesignated as Class G Shares.

  (b) 

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

 

 

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Notes to Financial Statements (continued)

 

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.

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

Foreign Taxes: 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, 2023, 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.

Bank Overdraft: The Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.

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

 

 

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

   59

Notes to Financial Statements (continued)

 

 

benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

  •  

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

 

  •  

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

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 involves 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

 

 

60  

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Notes to Financial Statements (continued)

 

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.

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 related collateral, if any, 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		  

International Index

           

HSBC Bank PLC

   $ 16,665,969      $ (16,665,969)      $ —        $ —    

J.P. Morgan Securities LLC

     3,483,612        (3,483,612)        —          —    

Morgan Stanley

     138,777        (138,777)        —          —    

 

 

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Notes to Financial Statements (continued)

 

         
Fund Name/Counterparty    
 Securities
Loaned at Value		  
 		     
 Cash Collateral  
Received(a) 		 
 		     
 Non-Cash Collateral  
Received, at Fair  Value(a)		  
 		     
 Net
Amount		  
 

International Index (continued)

           

State Street Bank & Trust Co.

   $ 51,446      $ (51,446)      $ —        $ —    

Wells Fargo Bank N.A.

     384,433        (384,433)        —          —    
 

 

 

     

 

 

     

 

 

     

 

 

  
  $ 20,724,237      $ (20,724,237)      $ —        $ —    
 

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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.

 

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 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 to the Funds. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to shareholders.

 

 

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Notes to Financial Statements (continued)

 

For the year ended December 31, 2023, 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

   $ 48,894      $ 521,183      $ 570,077  

Short-Term TIPS Bond Index

     6,268        —        6,268  

International Index

     910,081        327,277        1,237,358  

Small Cap Index

     484,319        675,879        1,160,198  

Administration: The Corporation, on behalf of Small Cap Index and International Index, entered into an Administration Agreement with BlackRock Advisors, LLC (the “Administrator”), an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, Small Cap Index pays the Administrator a monthly fee at an annual rate of 0.04% of the average daily net assets of Small Cap Index. Small Cap Index does not pay an investment advisory fee or investment management fee. 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 International Index’s Institutional, Investor A and Investor P Shares, 0.015% of the average daily net assets of Class G Shares, and 0.03% of the average daily net assets of Class K Shares.

For the year ended December 31, 2023, the following table shows the class specific administration fees borne directly by each share class of International Index:

 

             
Fund Name   Institutional      Investor A      Investor P      Class G      Class K      Total  

International Index

   $  862,496      $  291,226      $  104,729      $  37,075      $  2,065,368      $  3,360,894  

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, 2023, 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, 2023, 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

   $ 169      $ 5,813      $ 669      $ 14      $ 6,665  

Short-Term TIPS Bond Index

     228        1,515        —        1,778        3,521  

Small Cap Index

      6,575         33,303         3,961         8,682         52,521  

For the year ended December 31, 2023, 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

   $ 19,867      $ 18,628      $ 96,269      $ 66      $ 134,830  

Short-Term TIPS Bond Index

     37,289        4,731        —        16,067        58,087  

Small Cap Index

      235,770         196,788         180,374         83,127         696,059  

Other Fees: For the year ended December 31, 2023, 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

   $ 2,157  

International Index

     6,930  

Small Cap Index

     13,681  

For the year ended December 31, 2023, affiliates received CDSCs as follows:

 

     
Fund Name   Investor A      Investor P  

Municipal Bond Index

   $ —      $ 322  

Small Cap Index

     509        —  

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, 2024. 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, 2023, the amounts waived were as follows:

 

   
Fund Name   Fees Waived and/or Reimbursed
by the Manager		  

Municipal Bond Index

   $ 2,155  

 

 

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Notes to Financial Statements (continued)

 

   
Fund Name   Fees Waived and/or Reimbursed
by the Manager		  

Short-Term TIPS Bond Index

   $ 1,585  

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, 2024, 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 Directors, or by a vote of a majority of the outstanding voting securities of a Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended ended December 31, 2023, the Manager of International Index waived $13,538 in investment advisory fees pursuant to these arrangements.

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, 2024 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. These amounts of fees waived and/or reimbursed are included in fees waived and/or reimbursed by the Manager/Administrator in the Statements of Operations. For the year ended December 31, 2023, 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

   $ 7,154      $ —  

Short-Term TIPS Bond Index

     176,180        —  

Small Cap Index

     —        26,399  

 

  

With respect to International Index, the fees and expenses of the Fund’s Independent Directors, counsel to the Independent Directors 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, 2034. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended ended December 31, 2023, the amount waived and/or reimbursed was $115,670.

In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed by the Manager - class specific respectively, in the Statements of Operations. For the year ended December 31, 2023, class specific expense waivers and/or reimbursements were 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

   $ 662      $ 8,158      $ 12,149      $ 62      $ 21,031  

Short-Term TIPS Bond Index

     11,629        3,475        —        16,023        31,127  

Small Cap Index

     45,232        91,032        48,399        20,931        205,594  

 

  

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, 2023, the Manager recouped the following fund level and class specific waivers and/or reimbursements previously recorded by the Funds:

 

     
Fund Name   Institutional      Investor P  

Municipal Bond Index

   $ 371      $ 5,013  

 

 

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Notes to Financial Statements (continued)

 

As of December 31, 2023, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement were as follows:

 

     Expiring  
Fund Name/Fund Level/Share Class   12/31/24      11/16/25  

Municipal Bond Index

     

Fund Level

   $ 6,565      $ 7,154  

Institutional

     —        662  

Investor A

     2,466        8,158  

Investor P

     —        12,149  

Class K

     116        62  

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 as follows:

 

   
Fund Name/Fund Level/Share Class    Expired
02/16/23		  

Short-Term TIPS Bond Index

   

Fund Level

    $  317,148  

Institutional

      73  

Investor A

      4,406  

Class K

      25,310  

 

   
Fund Name/Fund Level/Share Class    Expired
12/31/23		  

Municipal Bond Index

   

Fund Level

    $ 1,981  

Institutional

      —  

Investor A

       5,974  

Investor P

      —  

Class K

      52  

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 impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.

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, 2023, each Fund paid BTC the following amounts for securities lending agent services:

 

   
Fund Name   Amounts  

Short-Term TIPS Bond Index

   $ 525  

International Index

     64,613  

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

 

 

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Notes to Financial Statements (continued)

 

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, 2023, the Funds did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of the Trust and the Corporation are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s and the Corporation’s Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

Other Transactions: International Index may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended December 31, 2023, 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

   $  231,171,830      $  17,283,060      $  (1,119,861 ) 

7. PURCHASES AND SALES

For the year ended December 31, 2023, 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

   $ —      $ —      $ 25,834,520      $ 53,408,927  

Short-Term TIPS Bond Index

      173,242,442         57,562,982        —        —  

International Index

     —        —         2,010,425,748         1,472,305,900  

 

  

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, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

The tax character of distributions paid was as follows:

 

     
Fund Name   Year Ended
12/31/23		      Year Ended
12/31/22		  

Municipal Bond Index

     

Tax-exempt income

   $ 7,217,732      $ 7,389,247  

Ordinary income

     4        44  

Long-term capital gains

     —        105,571  
 

 

 

     

 

 

  
  $ 7,217,736      $ 7,494,862  
 

 

 

     

 

 

  

Short-Term TIPS Bond Index

     

Ordinary income

   $ 6,926,563      $ 8,582,310  

Return of capital

     18,756        29,874  
 

 

 

     

 

 

  
  $ 6,945,319      $ 8,612,184  
 

 

 

     

 

 

  

International Index

     

Ordinary income

   $ 294,027,887      $ 210,050,821  
 

 

 

     

 

 

  

Small Cap Index

     

Ordinary income

   $ 40,926,118      $ 35,602,037  

Long-term capital gains

     36,823,051        8,157,280  
 

 

 

     

 

 

  
  $ 77,749,169      $ 43,759,317  
 

 

 

     

 

 

  

 

 

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Notes to Financial Statements (continued)

 

As of December 31, 2023, the tax components of accumulated earnings (loss) were as follows:

 

             
Fund Name   Undistributed
Tax-Exempt Income		      Undistributed
Ordinary Income		      Undistributed
Long-Term
Capital Gains		      Non-Expiring
Capital  Loss
Carryforwards(a)		     Net Unrealized
Gains (Losses)(b)		     Total  

Municipal Bond Index

   $ 272,708      $ —      $ —      $ (2,091,732 )    $ (1,640,981 )    $ (3,460,005 ) 

Short-Term TIPS Bond Index

     —        —        —        (4,643,000 )      (5,541,988 )      (10,184,988 ) 

International Index

     —        25,277,222        —        (1,192,382,115 )      2,094,103,344       926,998,451  

Small Cap Index

     —        4,867,295        4,569,806        —       459,453,088       468,890,189  

 

  (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.

 

As of December 31, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

         
Fund Name   Tax Cost      Gross Unrealized
Appreciation		      Gross Unrealized
Depreciation		     Net Unrealized
Appreciation
(Depreciation)		  

Municipal Bond Index

   $ 258,906,307      $ 4,050,391      $ (5,691,372 )    $ (1,640,981 ) 

Short-Term TIPS Bond Index

     282,232,465        334,242        (5,875,362 )      (5,541,120 ) 

International Index

      7,359,151,511        2,598,999,231         (506,713,086 )       2,092,286,145  

9. BANK BORROWINGS

The Trust and the Corporation, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the 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 2024 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2023, 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 discretionary liquidity fees under certain circumstances.

The Manager uses an indexing approach to try to achieve each Fund’s investment objective. The Funds are not actively managed, and the Manager generally does not attempt to take defensive positions under any market conditions, including declining markets.

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 Index may 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.

 

 

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)

 

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.

Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within 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.

The 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 period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the 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 have been, and may continue to 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.

 

 

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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.

11. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

     Year Ended
12/31/23		     Year Ended
12/31/22		  
Fund Name / Share Class   Shares     Amounts     Shares     Amounts  

Municipal Bond Index

        

Institutional

        

Shares sold

     2,889,613     $ 31,337,434       6,716,407     $ 73,545,161  

Shares issued in reinvestment of distributions

     104,756       1,139,343       72,389       789,735  

Shares redeemed

     (2,748,923 )      (29,668,492 )      (4,315,388 )      (46,776,153 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    245,446     $ 2,808,285       2,473,408     $ 27,558,743  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor A

        

Shares sold

     261,904     $ 2,883,011       514,295     $ 5,646,294  

Shares issued in reinvestment of distributions

     40,768       443,248       39,382       434,735  

Shares redeemed

     (453,015 )      (4,957,566 )      (617,974 )      (6,755,505 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (150,343 )    $ (1,631,307 )      (64,297 )    $ (674,476 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor P

        

Shares sold

     506,187     $ 5,524,071       521,140     $ 5,825,075  

Shares issued in reinvestment of distributions

     512,464       5,571,533       560,086       6,186,252  

Shares redeemed

     (3,814,134 )      (41,498,270 )      (4,557,453 )      (50,247,487 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (2,795,483 )    $ (30,402,666 )      (3,476,227 )    $ (38,236,160 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Class K

        

Shares sold

     —     $ —       753     $ 8,141  

Shares issued in reinvestment of distributions

     11       122       7       70  

Shares redeemed

     (771 )      (8,448 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

  
    (760 )    $ (8,326 )      760     $ 8,211  
 

 

 

    

 

 

    

 

 

    

 

 

  
    (2,701,140 )    $ (29,234,014 )      (1,066,356 )    $ (11,343,682 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

     Year Ended
12/31/23		     Year Ended
12/31/22		  
Fund Name / Share Class   Shares     Amounts     Shares     Amounts  

Short-Term TIPS Bond Index

        

Institutional

        

Shares sold

     12,293,761     $ 116,690,524       7,590,679     $ 76,299,333  

Shares issued in reinvestment of distributions

     220,484       2,089,678       283,528       2,813,945  

Shares redeemed

     (2,369,350 )      (22,588,484 )      (7,132,696 )      (68,621,455 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    10,144,895     $ 96,191,718       741,511     $ 10,491,823  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor A

        

Shares sold

     91,502     $ 889,442       235,325     $ 2,363,513  

Shares issued in reinvestment of distributions

     8,958       85,487       11,509       115,009  

Shares redeemed

     (145,841 )      (1,388,058 )      (166,487 )      (1,677,893 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (45,381 )    $ (413,129 )      80,347     $ 800,629  
 

 

 

    

 

 

    

 

 

    

 

 

  

Class K

        

Shares sold

     7,459,258     $ 71,016,023       6,403,479     $ 63,780,360  

Shares issued in reinvestment of distributions

     500,596       4,773,839       565,093       5,642,604  

Shares redeemed

     (3,301,121 )      (31,449,540 )      (3,612,033 )      (35,976,226 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    4,658,733     $ 44,340,322       3,356,539     $ 33,446,738  
 

 

 

    

 

 

    

 

 

    

 

 

  
    14,758,247     $ 140,118,911       4,178,397     $ 44,739,190  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

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
12/31/23		     Year Ended
12/31/22		  
Fund Name / Share Class   Shares     Amounts     Shares     Amounts  

International Index

        

Institutional

        

Shares sold

     22,716,767     $ 329,016,783       44,830,303     $ 599,799,146  

Shares issued in reinvestment of distributions

     2,157,377       32,249,955       1,990,031       27,339,792  

Shares redeemed

     (28,894,397 )      (412,663,926 )      (35,425,519 )      (467,004,260 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (4,020,253 )    $ (51,397,188 )      11,394,815     $ 160,134,678  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor A

        

Shares sold

     6,923,579     $ 99,151,564       9,154,580     $ 124,407,393  

Shares issued in reinvestment of distributions

     725,024       10,758,045       615,903       8,412,911  

Shares redeemed

     (8,522,040 )      (122,059,509 )      (7,780,497 )      (105,168,005 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (873,437 )    $ (12,149,900 )      1,989,986     $ 27,652,299  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor P

        

Shares sold

     508,169     $ 7,281,150       444,880     $ 5,951,609  

Shares issued in reinvestment of distributions

     266,838       3,946,135       223,905       3,052,600  

Shares redeemed

     (1,020,934 )      (14,627,450 )      (1,052,740 )      (14,165,561 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (245,927 )    $ (3,400,165 )      (383,955 )    $ (5,161,352 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Class G(a)

       

Shares sold

     177,053,564     $ 2,629,696,148       —     $ —  

Shares issued in reinvestment of distributions

     5,431,243       81,197,080       —       —  

Shares redeemed

     (2,392,448 )      (35,853,240 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

  
    180,092,359     $ 2,675,039,988       —     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Class K

        

Shares sold

     164,244,554     $ 2,352,241,555       145,986,650     $ 2,008,193,642  

Shares issued in reinvestment of distributions

     10,669,726       159,658,186       12,034,067       165,580,695  

Shares redeemed

     (307,758,348 )      (4,520,836,071 )      (124,798,602 )      (1,651,527,597 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (132,844,068 )    $ (2,008,936,330 )      33,222,115     $ 522,246,740  
 

 

 

    

 

 

    

 

 

    

 

 

  
    42,108,674     $ 599,156,405       46,222,961     $ 704,872,365  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

The share class commenced operations on October 16, 2023.

 

 

     Year Ended
12/31/23		     Year Ended
12/31/22		  
Fund Name / Share Class   Shares     Amounts     Shares     Amounts  

Small Cap Index

        

Institutional

        

Shares sold

     6,089,140     $ 131,318,773       7,797,928     $ 169,143,081  

Shares issued in reinvestment of distributions

     447,568       10,106,237       315,848       6,543,993  

Shares redeemed

     (8,404,644 )      (173,882,906 )      (7,360,277 )      (159,895,204 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (1,867,936 )    $ (32,457,896 )      753,499     $ 15,791,870  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor A

        

Shares sold

     1,713,549     $ 36,419,814       2,622,705     $ 58,016,949  

Shares issued in reinvestment of distributions

     235,184       5,319,919       131,542       2,720,059  

Shares redeemed

     (2,553,471 )      (54,263,670 )      (2,548,942 )      (55,990,710 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (604,738 )    $ (12,523,937 )      205,305     $ 4,746,298  
 

 

 

    

 

 

    

 

 

    

 

 

  

Investor P

        

Shares sold

     667,716     $ 14,120,428       828,931     $ 18,359,829  

Shares issued in reinvestment of distributions

     338,448       7,628,725       185,136       3,812,087  

Shares redeemed

     (1,643,423 )      (34,895,932 )      (1,583,069 )      (34,375,275 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (637,259 )    $ (13,146,779 )      (569,002 )    $ (12,203,359 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Class K

        

Shares sold

     23,325,168     $ 493,249,455       31,164,847     $ 677,677,385  

Shares issued in reinvestment of distributions

     2,401,795       54,425,549       1,469,932       30,510,791  

Shares redeemed

     (30,822,639 )      (661,636,112 )      (34,633,557 )      (751,233,437 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (5,095,676 )    $ (113,961,108 )      (1,998,778 )    $ (43,045,261 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    (8,205,609 )    $ (172,089,720 )      (1,608,976 )    $ (34,710,452 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

70  

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Notes to Financial Statements (continued)

 

As of December 31, 2023, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:

 

           
Fund Name   Institutional      Investor A      Investor P      Class K      Class G  

Municipal Bond Index

     8,707        871        871        8,707        —  

International Index

     —        —        14,420        —        5,343  

Small Cap Index

     —        —        9,191        —        —  

12. FOREIGN WITHHOLDINGS TAX CLAIMS

The Internal Revenue Service (“IRS”) has issued guidance to address U.S. income tax liabilities attributable to fund shareholders resulting from the recovery of foreign taxes withheld in prior calendar years. These withheld foreign taxes were passed through to shareholders in the form of foreign tax credits in the year the taxes were withheld. Assuming there are sufficient foreign taxes paid which International Index is able to pass through to shareholders as a foreign tax credit in the current year, International Index will be able to offset the prior years’ withholding taxes recovered against the foreign taxes paid in the current year. Accordingly, no federal income tax liability is recorded by the International Index.

13. 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.

 

 

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

   71

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, 2023, 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, 2023, 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, 2023, 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, 2024

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

72  

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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, 2023:

 

   
Fund Name   Exempt-Interest
Dividends		  

Municipal Bond Index

   $ 7,238,591  

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, 2023:

 

   
Fund Name   Qualified Dividend
Income		  

International Index

   $ 264,125,728  

Small Cap Index

     28,367,574  

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, 2023:

 

   
Fund Name  

Qualified Business

Income

  

Small Cap Index

   $ 5,163,159  

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, 2023:

 

   
Fund Name  

20% Rate Long-Term

Capital Gain Dividends

  

Small Cap Index

   $ 36,823,051  

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, 2023:

 

     
Fund Name   Foreign Source
Income Earned		      Foreign
Taxes Paid		  

International Index

   $ 247,991,145      $  16,730,395  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2023:

 

   
Fund Name  

Federal Obligation

Interest

  

Short-Term TIPS Bond Index

   $ 6,808,653  

International Index

     132,579  

Small Cap Index

     197,204  

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, 2023 qualified for the dividends-received deduction for corporate shareholders:

 

   
Fund Name  

Dividends-Received

Deduction

  

Small Cap Index

     66.85 % 

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2023:

 

   
Fund Name   Interest
Dividends		  

Short-Term TIPS Bond Index

   $  6,924,175  

International Index

     793,409  

Small Cap Index

     1,218,386  

 

 

I M P O R T A N T  T A X  I N F O R M A T I O N

   73

Important Tax Information (unaudited) (continued)

 

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, 2023:

 

   
Fund Name   Interest-Related
Dividends		  

Short-Term TIPS Bond Index

   $ 6,924,175  

International Index

     793,409  

Small Cap Index

     1,218,386  

 

 

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Series Portfolio Information as of December 31, 2023    Master Small Cap Index Series

 

 

TEN LARGEST HOLDINGS

 

   
Security(a)   Percent of
Net Assets		  

iShares Russell 2000 ETF

     0.6 % 

Super Micro Computer, Inc.

     0.5  

Simpson Manufacturing Co., Inc.

     0.3  

elf Beauty, Inc.

     0.3  

Cytokinetics, Inc.

     0.3  

MicroStrategy, Inc., Class A

     0.3  

UFP Industries, Inc.

     0.3  

Light & Wonder, Inc., Class A

     0.3  

Onto Innovation, Inc.

     0.3  

Rambus, Inc.

     0.3  

SECTOR ALLOCATION

 

   
Sector(b)   Percent of
Net Assets		  

Industrials

     16.9 % 

Financials

     16.5  

Health Care

     15.3  

Information Technology

     13.5  

Consumer Discretionary

     10.9  

Energy

     6.8  

Real Estate

     6.0  

Materials

     4.4  

Consumer Staples

     3.4  

Utilities

     2.7  

Communication Services

     2.3  

Investment Companies

     0.6  

Short-Term Securities

     9.7  

Liabilities in Excess of Other Assets

     (9.0 ) 
 

 

(a) 

Excludes short-term securities.

(b) 

For Master Small Cap Index Series (the “Master Portfolio”) compliance purposes, the Master Portfolio’s sector classifications refer to one or more of the sector subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

S E R I E S  P O R T F O L I O  I N F O R M A T I O N

   75

Schedule of Investments

December 31, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

    
Advertising Agencies(a) — 0.2%  

Advantage Solutions, Inc., Class A(b)

    154,213       $    558,251  

Boston Omaha Corp., Class A(b)

    43,005       676,469  

Cardlytics, Inc.(b)

    60,068       553,226  

Clear Channel Outdoor Holdings, Inc.

     670,250       1,219,855  

Emerald Holding, Inc.

     31,940       191,001  

QuinStreet, Inc.

     95,967       1,230,297  

Thryv Holdings, Inc.

     55,182       1,122,954  

Viad Corp.

     36,582       1,324,268  
   

 

 

  
      6,876,321  
Aerospace — 0.1%  

Macerich Co.

     386,407       5,962,260  
   

 

 

  
Aerospace & Defense — 1.0%  

AAR Corp.(a)

    60,480       3,773,952  

AeroVironment, Inc.(a)(b)

    46,509       5,861,994  

AerSale Corp.(a)

    45,519       577,864  

Archer Aviation, Inc., Class A(a)(b)

    271,447       1,666,685  

Astronics Corp.(a)

    46,222       805,187  

Cadre Holdings, Inc.

     35,339       1,162,300  

Ducommun, Inc.(a)

    24,091       1,254,177  

Eve Holding, Inc., Class A

     33,526       245,410  

Kaman Corp.

     50,192       1,202,098  

Kratos Defense & Security Solutions, Inc.(a)(b)

    228,223       4,630,645  

Leonardo DRS, Inc.(a)(b)

    123,444       2,473,818  

Moog, Inc., Class A

     50,737       7,345,703  

National Presto Industries, Inc.

     9,426       756,719  

Park Aerospace Corp.

     33,552       493,214  

Parsons Corp.(a)(b)

    73,780       4,626,744  

Redwire Corp.(a)(b)

    9,701       27,648  

Rocket Lab USA, Inc., Class A(a)

    504,275       2,788,641  

Terran Orbital Corp., Class A(a)

    147,132       167,731  

Triumph Group, Inc.(a)

    115,168       1,909,485  

V2X, Inc.(a)

    21,473       997,206  

Virgin Galactic Holdings, Inc., Class A(a)(b)

    595,917       1,459,997  
   

 

 

  
      44,227,218  
Agriculture, Fishing & Ranching — 0.2%  

Alico, Inc.

     13,435       390,690  

Andersons, Inc.

     57,543       3,311,024  

Cadiz, Inc.(a)

    68,917       192,967  

Calavo Growers, Inc.

     31,229       918,445  

Cal-Maine Foods, Inc.

     73,379       4,211,221  

Fresh Del Monte Produce, Inc.

     60,589       1,590,461  

GrowGeneration Corp.(a)(b)

    102,190       256,497  
   

 

 

  
      10,871,305  
Air Transport — 0.5%  

Air Transport Services Group, Inc.(a)(b)

    102,154       1,798,932  

Allegiant Travel Co.

     28,171       2,327,206  

Frontier Group Holdings, Inc.(a)(b)

    69,853       381,397  

Hawaiian Holdings, Inc.(a)(b)

    91,063       1,293,095  

JetBlue Airways Corp.(a)

    598,193       3,319,971  

Joby Aviation, Inc., Class A(a)(b)

    498,211       3,313,103  

SkyWest, Inc.(a)

    72,414       3,780,011  

Spirit Airlines, Inc.

     195,852       3,210,014  

Sun Country Airlines Holdings, Inc.(a)

    67,249       1,057,827  
   

 

 

  
      20,481,556  
Airlines — 0.0%  

Blade Air Mobility, Inc., Class A(a)(b)

    113,832       401,827  
   

 

 

  
Security   Shares     Value  
Alternative Energy — 0.5%  

Ameresco, Inc., Class A(a)(b)

    58,629       $    1,856,780  

Centrus Energy Corp., Class A(a)(b)

    21,828       1,187,661  

Green Brick Partners, Inc.(a)

    47,303       2,456,918  

Green Plains, Inc.(a)

    51,340       1,294,795  

Permian Resources Corp., Class A

     698,041       9,493,358  

REX American Resources Corp.(a)

    27,717       1,311,014  

Sitio Royalties Corp., Class A

     147,059       3,457,357  

Sunnova Energy International, Inc.(a)(b)

    183,442       2,797,491  
   

 

 

  
      23,855,374  
Aluminum — 0.1%  

Century Aluminum Co.(a)(b)

    95,060       1,154,028  

Kaiser Aluminum Corp.

     28,455       2,025,712  
   

 

 

  
      3,179,740  
Asset Management & Custodian — 0.8%  

Artisan Partners Asset Management, Inc., Class A

     109,311       4,829,360  

AssetMark Financial Holdings, Inc.(a)

    39,181       1,173,471  

B. Riley Financial, Inc.(b)

    33,250       697,917  

Brightsphere Investment Group, Inc.

     57,872       1,108,828  

Cohen & Steers, Inc.

     46,487       3,520,461  

Diamond Hill Investment Group, Inc., Class A

     5,136       850,470  

GCM Grosvenor, Inc., Class A

     76,293       683,585  

Hamilton Lane, Inc., Class A

     65,328       7,410,808  

Open Lending Corp.(a)

    177,876       1,513,725  

PJT Partners, Inc., Class A

     42,420       4,321,325  

Silvercrest Asset Management Group, Inc., Class A

     17,353       295,001  

StepStone Group, Inc., Class A

     96,434       3,069,494  

Virtus Investment Partners, Inc.

     12,391       2,995,648  

WisdomTree, Inc.

     245,491       1,701,253  
   

 

 

  
      34,171,346  
Auto Components(a) — 0.1%  

Atmus Filtration Technologies, Inc.

     29,252       687,130  

Holley, Inc.

     94,475       460,093  

Luminar Technologies, Inc., Class A(b)

    486,760       1,640,381  

Solid Power, Inc., Class A(b)

    270,631       392,415  
   

 

 

  
      3,180,019  
Auto Parts — 0.8%  

Adient PLC(a)

    167,733       6,098,772  

American Axle & Manufacturing Holdings, Inc.(a)

    203,592       1,793,646  

CarParts.com, Inc.(a)

    98,455       311,118  

Dana, Inc.

     233,090       3,405,445  

Dorman Products, Inc.(a)

    47,083       3,927,193  

Fisker, Inc., Class A(a)(b)

    348,867       610,517  

Fox Factory Holding Corp.(a)

    76,271       5,146,767  

Gentherm, Inc.(a)(b)

    58,594       3,067,982  

Livewire Group, Inc.(b)

    20,808       235,338  

Standard Motor Products, Inc.

     36,740       1,462,619  

Stoneridge, Inc.(a)(b)

    47,060       920,964  

Visteon Corp.(a)

    49,324       6,160,568  

Workhorse Group, Inc.(a)(b)

    275,096       99,035  

XPEL, Inc.(a)

    41,024       2,209,142  
   

 

 

  
      35,449,106  
Auto Services — 0.2%  

Goodyear Tire & Rubber Co.(a)

    503,377       7,208,359  
   

 

 

  
Back Office Support, HR & Consulting — 1.7%  

ASGN, Inc.(a)

    84,532       8,129,442  

Barrett Business Services, Inc.

     11,829       1,369,798  

CBIZ, Inc.(a)

    85,688       5,363,212  

Conduent, Inc.(a)

    307,036       1,120,681  

CRA International, Inc.

     12,124       1,198,457  
 

 

 

76  

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Schedule of Investments (continued)

December 31, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Back Office Support, HR & Consulting (continued)

 

DHI Group, Inc.(a)(b)

    77,446       $   200,585  

ExlService Holdings, Inc.(a)(b)

    289,077       8,918,026  

Forrester Research, Inc.(a)

    20,894       560,168  

Hackett Group, Inc.

     44,629       1,016,202  

Heidrick & Struggles International, Inc.

     36,773       1,085,907  

HireQuest, Inc.

     8,825       135,464  

Huron Consulting Group, Inc.(a)

    34,037       3,499,004  

ICF International, Inc.

     33,475       4,488,663  

Insperity, Inc.

     63,573       7,452,027  

Kelly Services, Inc., Class A

     55,877       1,208,061  

Kforce, Inc.

     34,254       2,314,200  

Korn Ferry

     93,274       5,535,812  

Liquidity Services, Inc.(a)

    43,118       742,061  

Maximus, Inc.

     108,753       9,120,027  

NV5 Global, Inc.(a)

    24,853       2,761,665  

Resources Connection, Inc.

     57,688       817,439  

Target Hospitality Corp.(a)(b)

    56,424       549,006  

TriNet Group, Inc.(a)

    57,237       6,807,196  

TrueBlue, Inc.(a)

    55,028       844,130  

TTEC Holdings, Inc.

     34,584       749,435  
   

 

 

  
      75,986,668  
Banks: Diversified — 9.0%  

1st Source Corp.

     29,477       1,619,761  

ACNB Corp.

     14,538       650,721  

AlTi Global, Inc., Class A(a)

    33,743       295,589  

Ambac Financial Group, Inc.(a)

    79,115       1,303,815  

Amerant Bancorp, Inc., Class A

     46,013       1,130,539  

American National Bankshares, Inc.

     18,537       903,679  

Ameris Bancorp

     119,062       6,316,239  

Ames National Corp.

     15,023       320,591  

Arrow Financial Corp.

     27,075       756,476  

Associated Banc-Corp

     270,652       5,789,246  

Atlantic Union Bankshares Corp.

     124,813       4,560,667  

Axos Financial, Inc.(a)

    99,280       5,420,688  

Banc of California, Inc.

     236,832       3,180,654  

BancFirst Corp.

     39,648       3,858,940  

Banco Latinoamericano de Comercio Exterior SA, Class E

     48,742       1,205,877  

Bancorp, Inc.(a)

    93,066       3,588,625  

Bank First Corp.

     16,559       1,435,003  

Bank of Hawaii Corp.

     61,336       4,444,407  

Bank of Marin Bancorp

     29,597       651,726  

Bank of NT Butterfield & Son Ltd.

     86,735       2,776,387  

Bank7 Corp.

     6,514       178,158  

BankUnited, Inc.

     115,702       3,752,216  

Bankwell Financial Group, Inc.

     10,372       313,027  

Banner Corp.

     52,372       2,805,044  

Bar Harbor Bankshares

     26,929       790,635  

BayCom Corp.

     21,422       505,345  

BCB Bancorp, Inc.

     28,739       369,296  

Berkshire Hills Bancorp, Inc.

     62,941       1,562,825  

Blue Foundry Bancorp(a)(b)

    41,980       405,947  

Blue Ridge Bankshares, Inc.

     27,012       81,846  

Bridgewater Bancshares, Inc.(a)

    35,658       482,096  

Burke & Herbert Financial Services Corp.

     12,080       759,832  

Business First Bancshares, Inc.

     43,475       1,071,659  

Byline Bancorp, Inc.

     44,679       1,052,637  

C&F Financial Corp.

     5,730       390,729  

Cadence Bank

     265,097       7,844,220  

Cambridge Bancorp

     13,654       947,588  

Camden National Corp.

     26,000       978,380  
Security   Shares     Value  
Banks: Diversified (continued)  

Capital Bancorp, Inc.

     16,840       $    407,528  

Capital City Bank Group, Inc.

     24,236       713,266  

Capitol Federal Financial, Inc.

     227,127       1,464,969  

Capstar Financial Holdings, Inc.

     34,372       644,131  

Carter Bankshares, Inc.(a)

    41,358       619,129  

Cathay General Bancorp

     115,863       5,164,014  

Central Pacific Financial Corp.

     36,134       711,117  

Central Valley Community Bancorp

     17,431       389,583  

Chemung Financial Corp.

     6,111       304,328  

ChoiceOne Financial Services, Inc.

     12,186       357,050  

Citizens & Northern Corp.

     25,956       582,193  

Citizens Financial Services, Inc.

     7,146       462,489  

City Holding Co.

     24,459       2,696,849  

Civista Bancshares, Inc.

     26,972       497,364  

CNB Financial Corp.

     36,894       833,435  

Coastal Financial Corp.(a)

    19,245       854,670  

Codorus Valley Bancorp, Inc.

     16,311       419,193  

Colony Bankcorp, Inc.

     29,633       394,119  

Columbia Financial, Inc.(a)(b)

    53,961       1,040,368  

Community Bank System, Inc.

     86,724       4,519,188  

Community Trust Bancorp, Inc.

     27,821       1,220,229  

ConnectOne Bancorp, Inc.

     65,470       1,499,918  

CrossFirst Bankshares, Inc.(a)

    79,824       1,084,010  

Customers Bancorp, Inc.(a)

    51,149       2,947,205  

CVB Financial Corp.

     221,747       4,477,072  

Eagle Bancorp, Inc.

     52,421       1,579,969  

Eastern Bankshares, Inc.

     277,089       3,934,664  

Enterprise Bancorp, Inc.

     16,303       525,935  

Enterprise Financial Services Corp.

     65,637       2,930,692  

Equity Bancshares, Inc., Class A

     27,056       917,198  

Esquire Financial Holdings, Inc.

     12,602       629,596  

ESSA Bancorp, Inc.

     15,158       303,463  

Evans Bancorp, Inc.

     9,139       288,153  

Farmers & Merchants Bancorp, Inc.

     20,766       514,997  

Farmers National Banc Corp.

     64,894       937,718  

FB Financial Corp.

     63,227       2,519,596  

Fidelity D&D Bancorp, Inc.

     8,135       472,074  

Finance of America Cos., Inc., Class A(a)(b)

    85,338       93,872  

Financial Institutions, Inc.

     27,991       596,208  

First Bancorp, Inc.

     17,071       481,744  

First BanCorp./Puerto Rico

     274,724       4,519,210  

First Bancorp/Southern Pines NC

     70,809       2,620,641  

First Bancshares, Inc.

     54,554       1,600,069  

First Bank/Hamilton

     34,208       502,858  

First Busey Corp.

     92,472       2,295,155  

First Business Financial Services, Inc.

     13,674       548,327  

First Commonwealth Financial Corp.

     182,099       2,811,609  

First Community Bankshares, Inc.

     31,328       1,162,269  

First Community Corp.

     12,860       276,876  

First Financial Bancorp

     167,074       3,968,008  

First Financial Bankshares, Inc.

     233,063       7,061,809  

First Financial Corp.

     21,190       911,806  

First Foundation, Inc.

     95,360       923,085  

First Interstate BancSystem, Inc., Class A

     147,715       4,542,236  

First Merchants Corp.

     105,703       3,919,467  

First Mid Bancshares, Inc.

     35,377       1,226,167  

First of Long Island Corp.

     39,152       518,373  

First Western Financial, Inc.(a)

    14,336       284,283  

Five Star Bancorp

     21,940       574,389  

FS Bancorp, Inc.

     11,563       427,368  

Fulton Financial Corp.

     271,157       4,463,244  

FVCBankcorp, Inc.(a)

    26,676       378,799  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Banks: Diversified (continued)  

German American Bancorp, Inc.

     49,910       $  1,617,583  

Glacier Bancorp, Inc.

     199,434       8,240,613  

Great Southern Bancorp, Inc.

     16,135       957,612  

Greene County Bancorp, Inc.

     11,935       336,567  

Guaranty Bancshares, Inc.

     14,529       488,465  

Hancock Whitney Corp.

     155,162       7,539,322  

Hanmi Financial Corp.

     35,695       692,483  

HarborOne Bancorp, Inc.

     76,028       910,815  

HBT Financial, Inc.

     24,276       512,466  

Heartland Financial USA, Inc.

     75,576       2,842,413  

Heritage Commerce Corp.

     105,582       1,047,373  

Hilltop Holdings, Inc.

     83,480       2,939,331  

Hippo Holdings, Inc.(a)(b)

    17,449       159,135  

Home Bancorp, Inc.

     12,514       525,713  

Home BancShares, Inc.

     341,091       8,639,835  

HomeStreet, Inc.

     31,841       327,962  

Hope Bancorp, Inc.

     205,343       2,480,543  

Horizon Bancorp, Inc.

     78,356       1,121,274  

Independent Bank Corp.

     105,178       5,472,414  

Independent Bank Group, Inc.

     65,092       3,311,881  

International Bancshares Corp.

     96,049       5,217,382  

John Marshall Bancorp, Inc.

     21,461       484,160  

Kearny Financial Corp.

     100,125       898,121  

Lakeland Bancorp, Inc.

     111,767       1,653,034  

Lakeland Financial Corp.

     44,174       2,878,378  

LCNB Corp.

     18,447       290,909  

Live Oak Bancshares, Inc.

     60,123       2,735,597  

Luther Burbank Corp.

     17,080       182,927  

Macatawa Bank Corp.

     49,433       557,604  

MainStreet Bancshares, Inc.

     12,152       301,491  

Mercantile Bank Corp.

     27,968       1,129,348  

Merchants Bancorp.

     28,480       1,212,678  

Metrocity Bankshares, Inc.

     32,493       780,482  

Metropolitan Bank Holding Corp.(a)

    19,118       1,058,755  

Mid Penn Bancorp, Inc.

     26,338       639,487  

Middlefield Banc Corp.

     13,712       443,857  

Midland States Bancorp, Inc.

     38,112       1,050,367  

MVB Financial Corp.

     19,923       449,463  

National Bank Holdings Corp., Class A

     58,670       2,181,937  

National Bankshares, Inc.

     10,079       326,056  

NBT Bancorp, Inc.

     76,900       3,222,879  

Nicolet Bankshares, Inc.(b)

    22,891       1,842,268  

Northeast Bank

     11,928       658,306  

Northeast Community Bancorp, Inc.

     23,352       414,264  

Northfield Bancorp, Inc.

     73,752       927,800  

Northrim BanCorp, Inc.

     9,603       549,388  

Northwest Bancshares, Inc.

     199,164       2,485,567  

Norwood Financial Corp.

     12,876       423,749  

Oak Valley Bancorp

     11,745       351,763  

OFG Bancorp.

     82,945       3,108,779  

Old National Bancorp

     523,894       8,848,570  

Old Second Bancorp, Inc.

     77,136       1,190,980  

Orange County Bancorp, Inc.

     8,911       536,799  

Origin Bancorp, Inc.

     51,881       1,845,407  

Orrstown Financial Services, Inc.

     18,376       542,092  

Pacific Premier Bancorp, Inc.

     160,048       4,658,997  

Park National Corp.

     25,623       3,404,272  

Parke Bancorp, Inc.

     17,784       360,126  

Pathward Financial, Inc.

     44,169       2,337,865  

PCB Bancorp.

     20,635       380,303  

Peapack-Gladstone Financial Corp.

     30,885       920,991  

Penns Woods Bancorp, Inc.

     11,958          269,175  
Security   Shares     Value  
Banks: Diversified (continued)  

Peoples Bancorp, Inc.

     61,672       $   2,082,047  

Peoples Financial Services Corp.

     12,869       626,720  

Pioneer Bancorp, Inc./New York(a)

    20,117       201,371  

Plumas Bancorp

     9,541       394,520  

Ponce Financial Group, Inc.(a)(b)

    34,079       332,611  

Preferred Bank/Los Angeles CA

     12,047       880,033  

Primis Financial Corp.

     38,975       493,424  

Princeton Bancorp, Inc.

     8,867       318,325  

Provident Financial Services, Inc.

     118,929       2,144,290  

QCR Holdings, Inc.

     29,339       1,713,104  

RBB Bancorp

     30,843       587,251  

Red River Bancshares, Inc.

     8,662       486,025  

Renasant Corp.

     89,631       3,018,772  

Republic Bancorp, Inc., Class A

     15,590       859,944  

S&T Bancorp, Inc.

     68,884       2,302,103  

Sandy Spring Bancorp, Inc.

     78,221       2,130,740  

Seacoast Banking Corp. of Florida

     149,383       4,251,440  

ServisFirst Bancshares, Inc.

     91,090       6,069,327  

Shore Bancshares, Inc.

     55,563       791,773  

Sierra Bancorp

     25,643       578,250  

Simmons First National Corp., Class A

     193,623       3,841,480  

SmartFinancial, Inc.

     29,486       722,112  

South Plains Financial, Inc.

     21,387       619,368  

Southern First Bancshares, Inc.(a)

    13,074       485,045  

Southern States Bancshares, Inc.

     13,089       383,246  

Southside Bancshares, Inc.

     52,329       1,638,944  

SouthState Corp.

     136,132       11,496,347  

Stellar Bancorp, Inc.

     86,676       2,413,060  

Sterling Bancorp, Inc.(a)

    33,926       195,753  

Stock Yards Bancorp, Inc.

     48,351       2,489,593  

Summit Financial Group, Inc.

     19,578       600,849  

Texas Capital Bancshares, Inc.(a)(b)

    85,632       5,534,396  

Third Coast Bancshares, Inc.(a)

    22,224       441,591  

Timberland Bancorp, Inc.

     13,172       414,391  

Tompkins Financial Corp.

     24,657       1,485,091  

Towne Bank

     125,467       3,733,898  

TriCo Bancshares

     55,365       2,379,034  

Triumph Financial, Inc.(a)(b)

    39,730       3,185,551  

TrustCo Bank Corp.

     33,091       1,027,476  

Trustmark Corp.

     102,208       2,849,559  

UMB Financial Corp.

     79,182       6,615,656  

United Bankshares, Inc.

     233,986       8,786,174  

United Community Banks, Inc.

     204,544       5,984,957  

Unity Bancorp, Inc.

     12,604       372,952  

Univest Financial Corp.

     51,687       1,138,665  

USCB Financial Holdings, Inc., Class A(a)

    16,653       203,999  

Valley National Bancorp

     771,893       8,382,758  

Veritex Holdings, Inc.

     73,782       1,716,907  

Virginia National Bankshares Corp.

     8,243       283,394  

WaFd, Inc.

     102,537       3,379,620  

Washington Trust Bancorp, Inc.

     30,196       977,747  

Waterstone Financial, Inc.

     33,221       471,738  

WesBanco, Inc.

     105,033       3,294,885  

West BanCorp, Inc.

     27,302       578,802  

Westamerica BanCorp

     46,063       2,598,414  

WSFS Financial Corp.

     94,352       4,333,587  
   

 

 

  
      410,301,736  
Banks: Savings, Thrift & Mortgage Lending — 0.2%  

Amalgamated Financial Corp.

     32,423       873,476  

Brookline Bancorp, Inc.

     155,320       1,694,541  

Flushing Financial Corp.

     51,645       851,110  

Heritage Financial Corp.

     61,709       1,319,956  
 

 

 

78  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Banks: Savings, Thrift & Mortgage Lending (continued)  

Hingham Institution For Savings The(b)

    2,735       $    531,684  

OceanFirst Financial Corp.

     103,640       1,799,190  

Premier Financial Corp.

     63,510       1,530,591  

Southern Missouri Bancorp, Inc.

     15,250       814,197  
   

 

 

  
      9,414,745  
Beverage: Soft Drinks — 0.3%            

Coca-Cola Consolidated, Inc.

     8,537       7,925,751  

Duckhorn Portfolio, Inc.(a)

    79,352       781,617  

National Beverage Corp.(a)

    42,978       2,136,866  

Primo Water Corp.

     279,778       4,210,659  

Zevia PBC, Class A(a)(b)

    41,042       82,494  
   

 

 

  
      15,137,387  
Biotechnology — 7.5%            

2seventy bio, Inc.(a)

    86,765       370,487  

4D Molecular Therapeutics, Inc.(a)

    73,010       1,479,183  

89bio, Inc.(a)

    115,121       1,285,902  

Aadi Bioscience, Inc.(a)(b)

    28,957       58,493  

ACELYRIN, Inc.(a)

    59,206       441,677  

Acrivon Therapeutics, Inc.(a)

    16,624       81,790  

Actinium Pharmaceuticals, Inc.(a)(b)

    50,156       254,792  

Adicet Bio, Inc.(a)(b)

    49,237       93,058  

ADMA Biologics, Inc.(a)

    385,488       1,742,406  

Aerovate Therapeutics, Inc.(a)

    19,839       448,957  

Agenus, Inc.(a)(b)

    631,711       522,994  

Agios Pharmaceuticals, Inc.(a)(b)

    100,594       2,240,228  

Akero Therapeutics, Inc.(a)(b)

    91,704       2,141,288  

Aldeyra Therapeutics, Inc.(a)(b)

    86,250       302,738  

Alector, Inc.(a)

    112,847       900,519  

Allakos, Inc.(a)

    113,371       309,503  

Allogene Therapeutics, Inc.(a)(b)

    146,910       471,581  

Allovir, Inc.(a)(b)

    89,023       60,518  

Alpine Immune Sciences, Inc.(a)(b)

    58,427       1,113,619  

Altimmune, Inc.(a)(b)

    83,966       944,617  

ALX Oncology Holdings, Inc.(a)(b)

    38,942       579,846  

Amicus Therapeutics, Inc.(a)

    510,601       7,245,428  

Amylyx Pharmaceuticals, Inc.(a)

    92,443       1,360,761  

AnaptysBio, Inc.(a)

    33,419       715,835  

Anavex Life Sciences Corp.(a)(b)

    132,540       1,233,947  

ANI Pharmaceuticals, Inc.(a)

    26,438       1,457,791  

Annexon, Inc.(a)

    90,723       411,882  

Apogee Therapeutics, Inc.

     34,668       968,624  

Arbutus Biopharma Corp.(a)

    236,161       590,403  

Arcellx, Inc.(a)

    69,233       3,842,431  

Arcturus Therapeutics Holdings, Inc.(a)(b)

    41,658       1,313,477  

Arcus Biosciences, Inc.(a)

    96,246       1,838,299  

Arcutis Biotherapeutics, Inc.(a)(b)

    91,763       296,394  

Ardelyx, Inc.(a)

    388,310       2,407,522  

ARS Pharmaceuticals, Inc.(a)(b)

    40,466       221,754  

Arvinas, Inc.(a)(b)

    87,728       3,610,884  

Astria Therapeutics, Inc.(a)

    47,855       367,526  

Atara Biotherapeutics, Inc.(a)

    187,044       95,916  

Aura Biosciences, Inc.(a)

    51,345       454,917  

Aurinia Pharmaceuticals, Inc.(a)

    245,659       2,208,474  

Avid Bioservices, Inc.(a)

    110,334       717,171  

Avidity Biosciences, Inc.(a)(b)

    130,924       1,184,862  

Avita Medical, Inc.(a)

    45,770       627,964  

Beam Therapeutics, Inc.(a)(b)

    127,243       3,463,554  

BioAtla, Inc.(a)

    73,127       179,892  

BioCryst Pharmaceuticals, Inc.(a)(b)

    343,841       2,059,608  

Biohaven Ltd.(a)

    122,222       5,231,102  

Biomea Fusion, Inc.(a)(b)

    37,494       544,413  
Security   Shares     Value  
Biotechnology (continued)  

BioVie, Inc., Class A(a)(b)

    7,448       $    9,384  

Bioxcel Therapeutics, Inc.(a)(b)

    33,014       97,391  

Bluebird Bio, Inc.(a)

    190,469       262,847  

Blueprint Medicines Corp.(a)(b)

    108,648       10,021,692  

Bridgebio Pharma, Inc.(a)(b)

    204,605       8,259,904  

Cabaletta Bio, Inc.(a)

    61,523       1,396,572  

Caribou Biosciences, Inc.(a)(b)

    135,148       774,398  

Carisma Therapeutics, Inc.(b)

    45,121       132,205  

Cartesian Therapeutics, Inc.(a)

    225,801       155,667  

Castle Biosciences, Inc.(a)

    46,259       998,269  

Catalyst Pharmaceuticals, Inc.(a)

    181,613       3,052,915  

Celcuity, Inc.(a)

    32,357       471,441  

Celldex Therapeutics, Inc.(a)

    83,005       3,291,978  

Century Therapeutics, Inc.(a)

    47,754       158,543  

Cerevel Therapeutics Holdings, Inc.(a)

    124,894       5,295,506  

Codexis, Inc.(a)

    119,691       365,058  

Cogent Biosciences, Inc.(a)

    149,681       880,124  

Coherus Biosciences, Inc.(a)(b)

    179,604       598,081  

Collegium Pharmaceutical, Inc.(a)

    61,926       1,906,082  

Compass Therapeutics, Inc.(a)

    172,862       269,665  

Crinetics Pharmaceuticals, Inc.(a)

    117,659       4,186,307  

Cue Biopharma, Inc.(a)(b)

    65,421       172,711  

Cullinan Oncology, Inc.(a)

    41,579       423,690  

Cymabay Therapeutics, Inc.(a)(b)

    202,242       4,776,956  

Cytokinetics, Inc.(a)(b)

    166,398       13,892,569  

Day One Biopharmaceuticals, Inc.(a)

    111,530       1,628,338  

Deciphera Pharmaceuticals, Inc.(a)

    96,426       1,555,351  

Denali Therapeutics, Inc.(a)(b)

    211,073       4,529,627  

Design Therapeutics, Inc.(a)

    56,353       149,335  

Disc Medicine, Inc.(a)

    15,823       913,936  

Douglas Elliman, Inc.

     138,611       408,902  

Dynavax Technologies Corp.(a)

    231,563       3,237,251  

Dyne Therapeutics, Inc.(a)

    77,710       1,033,543  

Editas Medicine, Inc.(a)(b)

    150,109       1,520,604  

Emergent BioSolutions, Inc.(a)(b)

    86,397       207,353  

Entrada Therapeutics, Inc.(a)

    38,111       575,095  

Erasca, Inc.(a)

    141,256       300,875  

EyePoint Pharmaceuticals, Inc.(a)

    47,723       1,102,879  

Fate Therapeutics, Inc.(a)(b)

    149,766       560,125  

Fennec Pharmaceuticals, Inc.(a)(b)

    34,891       391,477  

FibroGen, Inc.(a)(b)

    156,758       138,935  

Foghorn Therapeutics, Inc.(a)

    36,217       233,600  

Genelux Corp.(a)(b)

    32,989       462,176  

Generation Bio Co.(a)

    79,184       130,654  

Geron Corp.(a)(b)

    907,094       1,913,968  

Graphite Bio, Inc.(a)

    57,691       151,150  

Gritstone bio, Inc.(a)(b)

    168,348       343,430  

Guardant Health, Inc.(a)

    201,817       5,459,150  

Halozyme Therapeutics, Inc.(a)(b)

    232,008       8,575,016  

Harvard Bioscience, Inc.(a)(b)

    74,015       395,980  

Heron Therapeutics, Inc.(a)(b)

    185,313       315,032  

HilleVax, Inc.(a)(b)

    39,829       639,255  

Humacyte, Inc.(a)

    114,329       324,694  

Icosavax, Inc.(a)

    51,738       815,391  

Ideaya Biosciences, Inc.(a)(b)

    107,522       3,825,633  

IGM Biosciences, Inc.(a)

    21,795       181,116  

Immuneering Corp., Class A(a)

    37,971       279,087  

ImmunityBio, Inc.(a)(b)

    216,869       1,088,682  

ImmunoGen, Inc.(a)

    428,233       12,697,108  

Immunovant, Inc.(a)

    96,396       4,061,163  

Inhibrx, Inc.(a)

    61,358       2,331,604  

Inozyme Pharma, Inc.(a)

    56,742       241,721  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Biotechnology (continued)            

Insmed, Inc.(a)(b)

    246,962       $    7,653,352  

Intellia Therapeutics, Inc.(a)(b)

    157,623       4,805,925  

Invitae Corp.(a)(b)

    460,074       288,374  

Iovance Biotherapeutics, Inc.(a)(b)

    409,779       3,331,503  

iTeos Therapeutics, Inc.(a)

    44,079       482,665  

Janux Therapeutics, Inc.(a)

    29,586       317,458  

KalVista Pharmaceuticals, Inc.(a)(b)

    42,833       524,704  

Karyopharm Therapeutics, Inc.(a)

    196,221       169,731  

Keros Therapeutics, Inc.(a)

    40,212       1,598,829  

Kezar Life Sciences, Inc.(a)(b)

    122,594       116,146  

Kiniksa Pharmaceuticals Ltd., Class A(a)

    56,170       985,222  

Kodiak Sciences, Inc.(a)(b)

    58,852       178,910  

Krystal Biotech, Inc.(a)

    38,615       4,790,577  

Kura Oncology, Inc.(a)(b)

    126,065       1,812,815  

Kymera Therapeutics, Inc.(a)

    67,881       1,728,250  

Larimar Therapeutics, Inc.(a)

    49,990       227,455  

Lexicon Pharmaceuticals, Inc.(a)(b)

    159,542       244,099  

Ligand Pharmaceuticals, Inc.(a)(b)

    30,387       2,170,240  

Lineage Cell Therapeutics, Inc.(a)

    228,835       249,430  

Lyell Immunopharma, Inc.(a)(b)

    310,130       601,652  

MacroGenics, Inc.(a)(b)

    111,166       1,069,417  

Madrigal Pharmaceuticals, Inc.(a)(b)

    26,434       6,116,299  

MannKind Corp.(a)(b)

    466,314       1,697,383  

Marinus Pharmaceuticals, Inc.(a)

    91,009       989,268  

MaxCyte, Inc.(a)

    160,480       754,256  

MeiraGTx Holdings PLC(a)

    57,379       402,801  

Merrimack Pharmaceuticals, Inc.(a)

    20,778       278,633  

Mersana Therapeutics, Inc.(a)

    205,637       477,078  

MiMedx Group, Inc.(a)

    210,444       1,845,594  

Mineralys Therapeutics, Inc.(a)

    24,073       207,028  

Mirum Pharmaceuticals, Inc.(a)

    45,292       1,337,020  

Monte Rosa Therapeutics, Inc.(a)

    55,657       314,462  

Morphic Holding, Inc.(a)

    63,007       1,819,642  

Mural Oncology PLC(a)

    29,826       176,570  

Myriad Genetics, Inc.(a)

    146,049       2,795,378  

Nautilus Biotechnology, Inc.(a)(b)

    86,024       257,212  

NGM Biopharmaceuticals, Inc.(a)

    70,260       60,353  

Nkarta, Inc.(a)

    53,053       350,150  

Novavax, Inc.(a)(b)

    162,163       778,382  

Nurix Therapeutics, Inc.(a)(b)

    84,632       873,402  

Nuvalent, Inc., Class A(a)

    47,477       3,493,832  

Nuvectis Pharma, Inc.

     14,205       118,470  

Ocean Biomedical, Inc.(a)

    12,815       8,458  

Olema Pharmaceuticals, Inc.(a)(b)

    48,721       683,556  

Omega Therapeutics, Inc.(a)

    39,455       118,760  

Omeros Corp.(a)(b)

    103,949       339,913  

OPKO Health, Inc.(a)

    743,881       1,123,260  

ORIC Pharmaceuticals, Inc.(a)

    72,662       668,490  

Outlook Therapeutics, Inc.(a)

    261,763       103,135  

Ovid therapeutics, Inc.(a)(b)

    108,595       349,676  

Pacific Biosciences of California, Inc.(a)(b)

    450,353       4,417,963  

PDS Biotechnology Corp.(a)(b)

    47,347       235,315  

PepGen, Inc.(a)(b)

    19,300       131,240  

Phathom Pharmaceuticals, Inc.(a)

    56,253       513,590  

PMV Pharmaceuticals, Inc.(a)

    67,477       209,179  

Poseida Therapeutics, Inc.(a)(b)

    128,294       431,068  

Precigen, Inc.(a)

    231,899       310,745  

Prelude Therapeutics, Inc.(a)

    26,682       113,932  

Prime Medicine, Inc.(a)(b)

    72,268       640,294  

ProKidney Corp., Class A(a)(b)

    83,450       148,541  

Protagonist Therapeutics, Inc.(a)

    102,042         2,339,823  

Protalix BioTherapeutics, Inc.(b)

    116,801       207,906  
Security   Shares     Value  
Biotechnology (continued)            

Prothena Corp. PLC(a)(b)

    76,052       $    2,763,730  

PTC Therapeutics, Inc.(a)

    128,081       3,529,912  

Pulse Biosciences, Inc.(a)(b)

    29,860       365,486  

Quantum-Si, Inc., Class A(a)

    176,943       355,655  

RadNet, Inc.(a)(b)

    108,525       3,773,414  

Rallybio Corp.(a)(b)

    51,825       123,862  

RAPT Therapeutics, Inc.(a)

    52,767       1,311,260  

RayzeBio, Inc.(a)

    36,467       2,267,153  

Recursion Pharmaceuticals, Inc., Class A(a)(b)

    243,824       2,404,105  

REGENXBIO, Inc.(a)

    74,435       1,336,108  

Relay Therapeutics, Inc.(a)(b)

    161,294       1,775,847  

Reneo Pharmaceuticals, Inc.(a)

    22,003       35,205  

Replimune Group, Inc.(a)(b)

    77,473       653,097  

REVOLUTION Medicines, Inc.(a)(b)

    256,964       7,369,728  

Rhythm Pharmaceuticals, Inc.(a)(b)

    91,786       4,219,402  

Rigel Pharmaceuticals, Inc.(a)

    305,297       442,681  

Rocket Pharmaceuticals, Inc.(a)

    112,081       3,359,068  

Sage Therapeutics, Inc.(a)(b)

    95,969       2,079,648  

Sagimet Biosciences, Inc., Series A

     9,109       49,371  

Sana Biotechnology, Inc.(a)(b)

    165,804       676,480  

Sangamo Therapeutics, Inc.(a)

    254,025       138,012  

Savara, Inc.(a)

    163,794       769,832  

Scholar Rock Holding Corp.(a)(b)

    100,676       1,892,709  

Seres Therapeutics, Inc.(a)(b)

    168,991       236,587  

SomaLogic, Inc., Class A(a)

    280,128       708,724  

SpringWorks Therapeutics, Inc.(a)

    119,891       4,376,021  

Stoke Therapeutics, Inc.(a)

    47,895       251,928  

Summit Therapeutics, Inc.(a)(b)

    217,247       567,015  

Sutro Biopharma, Inc.(a)

    103,661       444,706  

Tango Therapeutics, Inc.(a)(b)

    79,367       785,733  

Tenaya Therapeutics, Inc.(a)(b)

    79,481       257,518  

Travere Therapeutics, Inc.(a)

    130,146       1,170,013  

Turnstone Biologics Corp.

     11,216       28,545  

Twist Bioscience Corp.(a)(b)

    101,692       3,748,367  

Tyra Biosciences, Inc.(a)

    24,587       340,530  

UroGen Pharma Ltd.(a)

    35,332       529,980  

Vanda Pharmaceuticals, Inc.(a)(b)

    104,632       441,547  

Vaxcyte, Inc.(a)(b)

    167,587       10,524,464  

Vaxxinity, Inc., Class A(a)(b)

    79,461       67,542  

Vera Therapeutics, Inc., Class A(a)

    60,297       927,368  

Veracyte, Inc.(a)

    130,059       3,577,923  

Vericel Corp.(a)

    85,088       3,029,984  

Verrica Pharmaceuticals, Inc.(a)(b)

    34,321       251,230  

Verve Therapeutics, Inc.(a)(b)

    93,848       1,308,241  

Vigil Neuroscience, Inc.(a)(b)

    25,497       86,180  

Viking Therapeutics, Inc.(a)(b)

    171,780       3,196,826  

Vir Biotechnology, Inc.(a)

    153,062       1,539,804  

Viridian Therapeutics, Inc.(a)(b)

    77,511       1,688,190  

Vor BioPharma, Inc.(a)

    61,309       137,945  

X4 Pharmaceuticals, Inc.(a)

    212,440       178,131  

Xencor, Inc.(a)(b)

    105,329       2,236,135  

XOMA Corp.(a)(b)

    13,737       254,135  

Y-mAbs Therapeutics, Inc.(a)(b)

    63,965       436,241  

Zentalis Pharmaceuticals, Inc.(a)

    104,044       1,576,267  

Zevra Therapeutics, Inc.(a)

    58,125       380,719  

Zura Bio Ltd., Class A

     20,112       93,923  

Zymeworks, Inc.(a)

    96,478       1,002,406  
   

 

 

  
        344,721,662  
Building Materials — 1.1%            

Aspen Aerogels, Inc.(a)

    91,052       1,436,801  

BlueLinx Holdings, Inc.(a)

    15,364       1,740,895  

Gibraltar Industries, Inc.(a)

    54,643       4,315,704  
 

 

 

80  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Building Materials (continued)            

Griffon Corp.

     74,893       $  4,564,728  

Masonite International Corp.(a)

    39,723       3,362,949  

Masterbrand, Inc.(a)

    231,879       3,443,403  

Patrick Industries, Inc.

     38,173       3,830,661  

PGT Innovations, Inc.(a)

    101,414       4,127,550  

Quanex Building Products Corp.

     60,140       1,838,480  

Simpson Manufacturing Co., Inc.

     76,744       15,193,777  

Summit Materials, Inc., Class A(a)

    213,581       8,214,325  
   

 

 

  
      52,069,273  
Building Products — 0.0%            

Janus International Group, Inc.(a)

    151,537       1,977,558  
   

 

 

  
Building: Climate Control — 0.5%            

AAON, Inc.

     121,127       8,947,651  

Comfort Systems USA, Inc.

     63,292       13,017,266  
   

 

 

  
      21,964,917  
Building: Roofing, Wallboard & Plumbing(a) — 0.3%        

Beacon Roofing Supply, Inc.

     103,643       9,019,014  

JELD-WEN Holding, Inc.(b)

    152,186       2,873,272  
   

 

 

  
      11,892,286  
Cable Television Services(a) — 0.1%            

AMC Networks, Inc., Class A

     55,212       1,037,433  

Liberty Latin America Ltd., Class A

     64,571       472,014  

Liberty Latin America Ltd., Class C(b)

    245,827       1,804,370  

WideOpenWest, Inc.(b)

    90,232       365,440  
   

 

 

  
      3,679,257  
Capital Markets — 0.2%            

Bakkt Holdings, Inc., Class A(a)(b)

    134,184       299,230  

BGC Group, Inc., Class A

     640,126       4,621,710  

Forge Global Holdings, Inc.(a)(b)

    198,874       682,138  

P10, Inc., Class A(b)

    76,494       781,769  

Patria Investments Ltd., Class A

     97,512       1,512,411  

Perella Weinberg Partners, Class A

     78,324       957,902  

Victory Capital Holdings, Inc., Class A

     47,916       1,650,227  
   

 

 

  
      10,505,387  
Casinos & Gambling — 0.5%            

Accel Entertainment, Inc., Class A(a)

    95,307       978,803  

Century Casinos, Inc.(a)

    46,991       229,316  

Full House Resorts, Inc.(a)

    57,565       309,124  

Inspired Entertainment, Inc.(a)

    41,140       406,463  

International Game Technology PLC

     194,137       5,321,295  

Light & Wonder, Inc., Class A(a)(b)

    163,283       13,407,167  

Monarch Casino & Resort, Inc.

     24,595       1,700,745  
   

 

 

  
      22,352,913  
Cement — 0.0%            

Concrete Pumping Holdings, Inc.(a)

    45,872       376,150  
   

 

 

  
Chemicals — 0.0%            

Perimeter Solutions SA(a)

    272,796       1,254,862  
   

 

 

  
Chemicals: Diversified — 0.8%            

AdvanSix, Inc.

     46,596       1,396,016  

American Vanguard Corp., Series 13A

     48,673       533,943  

Avient Corp.

     161,684       6,721,204  

Cabot Corp.

     99,036       8,269,506  

Core Molding Technologies, Inc.(a)

    13,518       250,489  

CSW Industrials, Inc.

     27,554       5,714,975  

Danimer Scientific, Inc., Class A(a)(b)

    156,759       159,894  

Ecovyst, Inc.(a)

    165,422       1,616,173  

Hawkins, Inc.

     34,489       2,428,715  

Ingevity Corp.(a)

    65,353       3,085,969  
Security   Shares     Value  
Chemicals: Diversified (continued)            

LSB Industries, Inc.(a)

    95,946       $   893,257  

Origin Materials, Inc., Class A(a)(b)

    208,846       174,637  

PureCycle Technologies, Inc.(a)(b)

    216,715       877,696  

Rayonier Advanced Materials, Inc.(a)

    114,003       461,712  

Sensient Technologies Corp.

     75,258       4,967,028  

Valhi, Inc.

     3,801       57,737  
   

 

 

  
      37,608,951  
Chemicals: Specialty — 0.8%            

Balchem Corp.

     57,192       8,507,310  

FutureFuel Corp.

     51,392       312,463  

Innospec, Inc.

     44,605       5,497,120  

Livent Corp.(a)(b)

    322,731       5,802,703  

Orion SA

     99,003       2,745,353  

Quaker Chemical Corp.

     24,830       5,299,219  

Stepan Co.

     38,088       3,601,221  

Trinseo PLC

     64,806       542,426  

Tronox Holdings PLC

     211,822       2,999,400  
   

 

 

  
      35,307,215  
Coal — 0.5%            

Arch Resources, Inc., Class A

     32,181       5,340,115  

CONSOL Energy, Inc.

     54,628       5,491,753  

Hallador Energy Co.(a)

    40,665       359,479  

Peabody Energy Corp.

     204,446       4,972,127  

Warrior Met Coal, Inc.

     92,490       5,639,115  
   

 

 

  
      21,802,589  
Commercial Banks — 0.1%            

Dime Community Bancshares, Inc.

     62,211       1,675,342  

HomeTrust Bancshares, Inc.

     27,812       748,699  
   

 

 

  
      2,424,041  
Commercial Finance & Mortgage Companies — 0.3%        

Federal Agricultural Mortgage Corp., Class C

     16,317       3,120,137  

PennyMac Financial Services, Inc., Class A

     45,613       4,030,821  

RE/MAX Holdings, Inc., Class A

     32,749       436,544  

Velocity Financial, Inc.(a)

    14,028       241,562  

Walker & Dunlop, Inc.

     56,874       6,313,583  
   

 

 

  
      14,142,647  
Commercial Services & Supplies — 0.2%            

ACV Auctions, Inc., Class A(a)

    227,146       3,441,262  

Aris Water Solution, Inc., Class A

     55,706       467,373  

Aurora Innovation, Inc., Class A(a)(b)

    609,912       2,665,315  

Information Services Group, Inc.

     62,665       295,152  

LanzaTech Global, Inc.(a)(b)

    35,658       179,360  

Li-Cycle Holdings Corp.(a)(b)

    245,362       143,488  

National Research Corp., Class A

     26,594       1,052,059  

Performant Financial Corp.(a)(b)

    107,296       335,300  
   

 

 

  
      8,579,309  
Commercial Services: Rental & Leasing — 0.9%        

FTAI Aviation Ltd.

     177,970       8,257,808  

GATX Corp.

     63,490       7,632,768  

GMS, Inc.(a)

    73,355       6,046,653  

H&E Equipment Services, Inc.

     58,119       3,040,786  

Herc Holdings, Inc.

     50,541       7,525,049  

McGrath RentCorp

     44,147       5,280,864  

NOW, Inc.(a)

    193,073       2,185,586  

Rush Enterprises, Inc., Class B

     16,464       872,263  

Willis Lease Finance Corp.(a)

    5,319       259,993  
   

 

 

  
      41,101,770  
Commercial Vehicles & Parts — 0.4%            

Blue Bird Corp.(a)

    45,972       1,239,405  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Commercial Vehicles & Parts (continued)            

Commercial Vehicle Group, Inc.(a)

    59,424       $   416,562  

Cooper-Standard Holdings, Inc.(a)

    31,639       618,226  

Miller Industries, Inc.

     19,830       838,611  

Modine Manufacturing Co.(a)

    91,997       5,492,221  

REV Group, Inc.

     56,466       1,025,987  

Rush Enterprises, Inc., Class A

     110,153       5,540,696  

Shyft Group, Inc.

     61,233       748,268  

Wabash National Corp.

     82,331       2,109,320  
   

 

 

  
      18,029,296  
Communications Equipment — 0.0%            

CommScope Holding Co., Inc.(a)

    368,646       1,039,582  
   

 

 

  
Communications Technology — 0.7%            

908 Devices, Inc.(a)(b)

    40,135       450,315  

ADTRAN Holdings, Inc.

     138,781       1,018,652  

Anterix, Inc.(a)

    22,886       762,561  

Aviat Networks, Inc.(a)

    19,750       645,035  

Bandwidth, Inc., Class A(a)

    43,795       633,714  

Bel Fuse, Inc., Class B

     18,791       1,254,675  

Calix, Inc.(a)(b)

    105,423       4,605,931  

Comtech Telecommunications Corp.

     49,342       415,953  

Digi International, Inc.(a)(b)

    62,387       1,622,062  

DZS, Inc.(a)

    36,771       72,439  

EchoStar Corp., Class A(a)

    219,684       3,640,164  

Extreme Networks, Inc.(a)

    225,583       3,979,284  

Harmonic, Inc.(a)

    196,046       2,556,440  

Infinera Corp.(a)(b)

    355,681       1,689,485  

InterDigital, Inc.

     47,250       5,128,515  

KVH Industries, Inc.(a)

    32,730       172,160  

NETGEAR, Inc.(a)

    52,479       765,144  

Ooma, Inc.(a)

    42,780       459,029  

Ribbon Communications, Inc.(a)

    171,256       496,642  
   

 

 

  
      30,368,200  
Computer Services Software & Systems — 5.6%        

A10 Networks, Inc.

     128,952       1,698,298  

ACI Worldwide, Inc.(a)

    193,931       5,934,289  

Adeia, Inc.

     191,260       2,369,711  

Alarm.com Holdings, Inc.(a)

    85,652       5,534,832  

Alkami Technology, Inc.(a)

    72,075       1,747,819  

Altair Engineering, Inc., Class A(a)(b)

    97,112       8,171,975  

American Software, Inc., Class A

     57,491       649,648  

Appfolio, Inc., Class A(a)(b)

    34,331       5,947,502  

Appian Corp., Class A(a)(b)

    73,344       2,762,135  

Applied Digital Corp.(a)(b)

    117,842       794,255  

Asana, Inc., Class A(a)(b)

    145,247       2,761,145  

Asure Software, Inc.(a)

    33,018       314,331  

BigCommerce Holdings, Inc., Series-1(a)

    119,578       1,163,494  

Blackbaud, Inc.(a)(b)

    77,863       6,750,722  

Blackline, Inc.(a)(b)

    101,798       6,356,267  

Box, Inc., Class A(a)(b)

    252,037       6,454,668  

Brightcove, Inc.(a)

    73,596       190,614  

Cargurus, Inc., Class A(a)

    174,846       4,224,279  

Cerence, Inc.(a)

    71,732       1,410,251  

Cleanspark, Inc.(a)(b)

    267,620       2,951,849  

CommVault Systems, Inc.(a)

    78,782       6,290,743  

CoreCard Corp.(a)

    12,635       174,742  

CSG Systems International, Inc.

     55,542       2,955,390  

Digimarc Corp.(a)(b)

    25,311       914,233  

Digital Turbine, Inc.(a)

    170,245       1,167,881  

DigitalOcean Holdings, Inc.(a)(b)

    113,340       4,158,445  

Domo, Inc., Class B(a)

    57,170       588,279  
Security   Shares     Value  
Computer Services Software & Systems (continued)        

E2open Parent Holdings, Inc., Class A(a)(b)

    303,197       $    1,331,035  

Envestnet, Inc.(a)

    80,710       3,996,759  

ePlus, Inc.(a)

    47,512       3,793,358  

Eventbrite, Inc., Class A(a)

    138,199       1,155,344  

Everbridge, Inc.(a)

    72,360       1,759,072  

EverQuote, Inc., Class A(a)

    40,042       490,114  

Evolent Health, Inc., Class A(a)(b)

    196,829       6,501,262  

fuboTV, Inc.(a)

    502,807       1,598,926  

Grid Dynamics Holdings, Inc., Class A(a)

    101,738       1,356,168  

Grindr, Inc.(a)(b)

    74,875       657,402  

LivePerson, Inc.(a)

    132,237       501,178  

LiveRamp Holdings, Inc.(a)

    117,618       4,455,370  

Magnite, Inc.(a)

    243,919       2,278,203  

Marathon Digital Holdings, Inc.(a)(b)

    380,613       8,940,599  

MicroStrategy, Inc., Class A(a)(b)

    21,825       13,785,106  

Mitek Systems, Inc.(a)

    76,151       993,009  

Multiplan Corp., Class A(a)

    687,575       990,108  

NetScout Systems, Inc.(a)

    125,126       2,746,516  

Nextdoor Holdings, Inc., Class A(a)

    271,173       512,517  

ON24, Inc.

     55,490       437,261  

OneSpan, Inc.(a)

    71,268       763,993  

PagerDuty, Inc.(a)

    161,659       3,742,406  

PAR Technology Corp.(a)(b)

    47,575       2,071,415  

PDF Solutions, Inc.(a)

    54,503       1,751,726  

Perficient, Inc.(a)

    61,357       4,038,518  

Progress Software Corp.

     77,809       4,225,029  

PROS Holdings, Inc.(a)(b)

    79,901       3,099,360  

Q2 Holdings, Inc.(a)

    101,766       4,417,662  

Rackspace Technology, Inc.(a)

    105,363       210,726  

Rapid7, Inc.(a)(b)

    108,400       6,189,640  

Red Violet, Inc.(a)

    18,960       378,631  

Rimini Street, Inc.(a)(b)

    98,633       322,530  

Riot Platforms, Inc.(a)(b)

    340,021       5,260,125  

Sapiens International Corp. NV

     56,058       1,622,319  

Schrodinger, Inc.(a)(b)

    97,367       3,485,739  

Shutterstock, Inc.

     43,994       2,124,030  

Simulations Plus, Inc.

     28,235       1,263,516  

SoundThinking, Inc.(a)

    16,906       431,779  

Sprout Social, Inc., Class A(a)(b)

    85,401       5,247,037  

SPS Commerce, Inc.(a)

    65,617       12,719,199  

System1, Inc., Class A(a)

    71,276       158,233  

TechTarget, Inc.(a)

    45,443       1,584,143  

Tenable Holdings, Inc.(a)(b)

    204,126       9,402,044  

Tucows, Inc., Class A(a)(b)

    17,444       470,988  

Unisys Corp.(a)

    124,077       697,313  

Upwork, Inc.(a)

    223,487       3,323,252  

Varonis Systems, Inc.(a)(b)

    194,339       8,799,670  

Verint Systems, Inc.(a)

    113,059       3,055,985  

Veritone, Inc.(a)(b)

    47,390       85,776  

Verra Mobility Corp., Class A(a)

    249,569       5,747,574  

Viant Technology, Inc., Class A(a)

    28,084       193,499  

Workiva, Inc., Class A(a)(b)

    89,106       9,046,932  

Yelp, Inc.(a)

    119,020       5,634,407  

Yext, Inc.(a)

    196,553       1,157,697  

Zuora, Inc., Class A(a)

    236,347       2,221,662  
   

 

 

  
      257,661,659  
Computer Technology — 1.1%            

3D Systems Corp.(a)

    234,484       1,488,973  

Cantaloupe, Inc.(a)

    104,368       773,367  

Corsair Gaming, Inc.(a)(b)

    68,959       972,322  

Immersion Corp.

     57,785       407,962  
 

 

 

82  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Computer Technology (continued)            

Impinj, Inc.(a)(b)

    41,967       $  3,778,289  

Insight Enterprises, Inc.(a)

    51,326       9,094,454  

PC Connection, Inc.

     20,377       1,369,538  

Super Micro Computer, Inc.(a)(b)

    82,922       23,571,408  

Synaptics, Inc.(a)(b)

    70,564       8,049,941  
   

 

 

  
      49,506,254  
Construction — 0.5%            

Bowman Consulting Group Ltd.(a)

    19,394       688,875  

Construction Partners, Inc., Class A(a)

    71,827       3,125,911  

Granite Construction, Inc.

     78,855       4,010,565  

Great Lakes Dredge & Dock Corp.(a)

    117,484       902,277  

INNOVATE Corp.(a)

    95,742       117,763  

Knife River Corp.(a)(b)

    101,164       6,695,033  

Limbach Holdings, Inc.(a)

    16,606       755,075  

Primoris Services Corp.

     94,922       3,152,360  

Southland Holdings, Inc.(a)

    4,576       23,612  

Sterling Infrastructure, Inc.(a)(b)

    53,535       4,707,333  

Tutor Perini Corp.(a)

    77,971       709,536  
   

 

 

  
      24,888,340  
Consumer Electronics(a)(b) — 0.1%            

Sonos, Inc.

     227,088       3,892,288  

VOXX International Corp., Class A

     22,647       241,870  

Vuzix Corp.

     103,757       216,334  
   

 

 

  
      4,350,492  
Consumer Finance(a) — 0.1%            

Consumer Portfolio Services, Inc.

     13,308       124,696  

NerdWallet, Inc., Class A

     60,358       888,470  

OppFi, Inc., Class A

     20,875       106,880  

Upstart Holdings, Inc.

     131,298       5,364,836  
   

 

 

  
      6,484,882  
Consumer Lending — 0.4%            

Encore Capital Group, Inc.(a)

    41,448       2,103,486  

Enova International, Inc.(a)

    52,032       2,880,492  

LendingTree, Inc.(a)

    20,353       617,103  

Marcus & Millichap, Inc.

     42,409       1,852,425  

Navient Corp.

     153,802       2,863,793  

Nelnet, Inc., Class A

     23,427       2,066,730  

PRA Group, Inc.(a)

    69,042       1,808,900  

PROG Holdings, Inc.(a)

    79,200       2,448,072  

Regional Management Corp.

     13,515       338,956  

World Acceptance Corp.(a)

    7,256       947,126  
   

 

 

  
      17,927,083  
Consumer Services: Miscellaneous — 0.4%            

Cars.com, Inc.(a)(b)

    120,647       2,288,674  

Chuy’s Holdings, Inc.(a)

    32,751       1,252,071  

FirstCash Holdings, Inc.

     67,357       7,300,825  

OPENLANE, Inc.(a)

    192,977       2,857,989  

Udemy, Inc.(a)(b)

    156,258       2,301,680  

WW International, Inc.(a)(b)

    97,501       853,134  
   

 

 

  
      16,854,373  
Containers & Packaging — 0.3%            

Greif, Inc., Class A

     43,486       2,852,247  

Greif, Inc., Class B

     9,493       626,633  

Myers Industries, Inc.

     65,057       1,271,864  

O-I Glass, Inc.(a)

    277,756       4,549,643  

Pactiv Evergreen, Inc.

     72,137       988,998  

Ranpak Holdings Corp., Class A(a)

    75,986       442,239  

UFP Technologies, Inc.(a)

    12,652       2,176,650  
   

 

 

  
      12,908,274  
Security   Shares     Value  
Cosmetics — 0.4%            

elf Beauty, Inc.(a)

    96,479     $    13,925,779  

Inter Parfums, Inc.

     32,816       4,725,832  
   

 

 

  
      18,651,611  
Diversified Consumer Services(a) — 0.4%            

Duolingo, Inc., Class A

     52,281       11,859,945  

Frontdoor, Inc.

     144,987       5,106,442  

Lincoln Educational Services Corp.

     41,324       414,893  

Nerdy, Inc., Class A

     104,266       357,632  

Rover Group, Inc., Class A

     163,330       1,777,031  
   

 

 

  
      19,515,943  
Diversified Financial Services — 0.6%            

Alerus Financial Corp.

     33,280       745,139  

Cannae Holdings, Inc.(a)

    122,726       2,394,384  

Compass Diversified Holdings

     112,507       2,525,782  

European Wax Center, Inc., Class A(a)

    63,574       863,971  

Jackson Financial, Inc., Class A

     134,244       6,873,293  

MBIA, Inc.

     82,986       507,874  

MidWestOne Financial Group, Inc.

     26,041       700,763  

Moelis & Co., Class A

     112,337       6,305,476  

Piper Sandler Cos.

     31,016       5,423,768  

SWK Holdings Corp.(a)

    5,499       96,398  

Tiptree, Inc.

     44,876       850,849  
   

 

 

  
      27,287,697  
Diversified Manufacturing Operations — 0.6%            

Barnes Group, Inc.

     87,554       2,856,887  

Custom Truck One Source, Inc.(a)

    100,889       623,494  

Enerpac Tool Group Corp., Class A

     97,603       3,034,477  

Enviri Corp.(a)

    141,046       1,269,414  

Federal Signal Corp.

     107,150       8,222,691  

Luxfer Holdings PLC

     49,826       445,444  

OSI Systems, Inc.(a)

    28,902       3,729,803  

PowerSchool Holdings, Inc., Class A(a)(b)

    99,701       2,348,956  

Standex International Corp.

     21,088       3,339,918  

TriMas Corp.

     75,413       1,910,211  
   

 

 

  
      27,781,295  
Diversified Materials & Processing — 0.4%            

Belden, Inc.

     76,004       5,871,309  

Encore Wire Corp.

     26,882       5,741,995  

Insteel Industries, Inc.

     33,375       1,277,929  

Koppers Holdings, Inc.

     35,908       1,839,208  

NL Industries, Inc.

     14,377       80,655  

Tredegar Corp.

     49,049       265,355  

Uranium Energy Corp.(a)

    670,211       4,289,350  
   

 

 

  
      19,365,801  
Diversified Media — 0.0%            

EW Scripps Co., Class A(a)

    105,940       846,461  
   

 

 

  
Diversified Retail — 0.3%            

Beyond, Inc.(a)(b)

    80,624       2,232,478  

Big Lots, Inc.

     49,137       382,777  

ContextLogic, Inc., Class A(a)(b)

    38,569       229,485  

Dillard’s, Inc., Class A

     6,193       2,499,804  

Duluth Holdings, Inc., Class B(a)

    21,472       115,519  

Global Industrial Co.

     23,664       919,110  

PriceSmart, Inc.

     44,988       3,409,191  

Revolve Group, Inc., Class A(a)(b)

    73,070       1,211,501  

Savers Value Village, Inc.(a)

    46,091       801,062  

Stitch Fix, Inc., Class A(a)

    156,752       559,605  

Winmark Corp.

     5,173       2,159,986  
   

 

 

  
      14,520,518  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Diversified Telecommunication Services(a) — 0.1%        

AST SpaceMobile, Inc., Class A(b)

    147,130     $     887,194  

Charge Enterprises, Inc.

     252,779       28,842  

Lumen Technologies, Inc.

     1,801,675       3,297,065  
   

 

 

  
      4,213,101  
Drug & Grocery Store Chains — 0.3%            

Ingles Markets, Inc., Class A

     25,493       2,201,830  

PetMed Express, Inc.

     35,060       265,054  

Sprouts Farmers Market, Inc.(a)

    182,164       8,763,910  

Village Super Market, Inc., Class A

     15,700       411,811  

Weis Markets, Inc.

     29,897       1,912,212  
   

 

 

  
      13,554,817  
Education Services — 0.7%            

2U, Inc.(a)

    146,129       179,739  

Adtalem Global Education, Inc.(a)(b)

    71,066       4,189,341  

Chegg, Inc.(a)

    203,528       2,312,078  

Coursera, Inc.(a)

    232,732       4,508,019  

Franklin Covey Co.(a)

    21,720       945,472  

Graham Holdings Co., Class B

     6,399       4,457,031  

HealthStream, Inc.

     44,486       1,202,457  

Laureate Education, Inc., Class A

     234,219       3,211,142  

Perdoceo Education Corp.

     116,774       2,050,551  

Strategic Education, Inc.

     40,456       3,736,921  

Stride, Inc.(a)

    75,825       4,501,730  

Universal Technical Institute, Inc.(a)

    60,383       755,995  
   

 

 

  
      32,050,476  
Electrical Equipment — 0.3%            

374Water, Inc.(a)

    97,984       139,137  

Amprius Technologies, Inc.(a)(b)

    9,428       49,874  

Dragonfly Energy Holdings Corp.(a)(b)

    50,615       27,423  

Energy Vault Holdings, Inc.(a)

    177,059       412,548  

Enovix Corp.(a)(b)

    247,401       3,097,461  

Eos Energy Enterprises, Inc., Class A(a)(b)

    192,568       209,899  

ESS Tech, Inc.(a)(b)

    166,053       189,300  

Fluence Energy, Inc., Class A(a)

    104,772       2,498,812  

LSI Industries, Inc.

     46,522       655,030  

NuScale Power Corp., Class A(a)(b)

    96,155       316,350  

SES AI Corp., Class A(a)(b)

    229,971       420,847  

Shoals Technologies Group, Inc., Class A(a)(b)

    306,555       4,763,865  

SKYX Platforms Corp.(a)(b)

    117,137       187,419  
   

 

 

  
      12,967,965  
Electronic Components — 0.7%            

Array Technologies, Inc.(a)(b)

    270,789       4,549,255  

Methode Electronics, Inc.

     60,937       1,385,098  

MicroVision, Inc.(a)(b)

    327,118       870,134  

Novanta, Inc.(a)

    64,014       10,780,598  

NVE Corp.

     8,481       665,165  

Rogers Corp.(a)

    30,957       4,088,491  

Sanmina Corp.(a)

    101,076       5,192,274  

ScanSource, Inc.(a)(b)

    44,065       1,745,414  

Stem, Inc.(a)(b)

    253,284       982,742  

TTM Technologies, Inc.(a)

    187,522       2,964,723  
   

 

 

  
      33,223,894  
Electronic Entertainment(a) — 0.0%            

PlayAGS, Inc.

     68,215       575,053  

Turtle Beach Corp.

     27,194       297,774  
   

 

 

  
      872,827  
Electronic Equipment, Instruments & Components — 0.2%        

Climb Global Solutions, Inc.

     7,473       409,745  

Daktronics, Inc.(a)

    69,803       591,929  
Security   Shares     Value  
Electronic Equipment, Instruments & Components (continued)        

Evolv Technologies Holdings, Inc., Class A(a)

    210,444     $     993,296  

Iteris, Inc.(a)(b)

    75,185       390,962  

Lightwave Logic, Inc.(a)(b)

    213,745       1,064,450  

Luna Innovations, Inc.(a)

    61,264       407,406  

Mirion Technologies, Inc., Class A(a)

    358,145       3,670,986  

Presto Automation, Inc.(a)

    9,019       4,794  

Richardson Electronics Ltd.

     23,313       311,228  

SmartRent, Inc., Class A(a)

    333,051       1,062,433  

Tingo Group, Inc.(a)(b)

    205,487       141,786  
   

 

 

  
      9,049,015  
Electronics(a) — 0.4%            

Agilysys, Inc.

     35,827       3,038,846  

Integer Holdings Corp.

     59,353       5,880,695  

iRobot Corp.

     48,773       1,887,515  

NEXTracker, Inc., Class A

     88,703       4,155,736  

nLight, Inc.

     80,249       1,083,362  
   

 

 

  
      16,046,154  
Energy Equipment — 1.0%            

API Group Corp.(a)(b)

    374,011       12,940,780  

Arcosa, Inc.

     86,736       7,167,863  

Bloom Energy Corp., Class A(a)(b)

    344,381       5,096,839  

Diamond Offshore Drilling, Inc.(a)

    181,873       2,364,349  

Expro Group Holdings NV(a)

    161,923       2,577,814  

FuelCell Energy, Inc.(a)

    761,086       1,217,738  

Matador Resources Co.

     202,591       11,519,324  

SunPower Corp.(a)(b)

    157,908       762,696  

TPI Composites, Inc.(a)

    72,806       301,417  
   

 

 

  
      43,948,820  
Energy Equipment & Services — 0.7%            

Atlas Energy Solutions, Inc.(b)

    28,969       498,846  

Borr Drilling Ltd.(a)

    392,901       2,891,751  

Core Laboratories, Inc.

     85,720       1,513,815  

Forum Energy Technologies, Inc.(a)

    17,115       379,440  

KLX Energy Services Holdings, Inc.(a)(b)

    23,902       269,137  

Kodiak Gas Services, Inc.(b)

    27,785       557,923  

Mammoth Energy Services, Inc.(a)(b)

    45,251       201,819  

Ranger Energy Services, Inc., Class A

     27,445       280,762  

SEACOR Marine Holdings, Inc.(a)

    42,826       539,179  

Seadrill Ltd.(a)

    90,335       4,271,039  

Valaris Ltd.(a)

    108,008       7,406,109  

Verde Clean Fuels, Inc., Class A

     6,336       14,953  

Weatherford International PLC(a)

    127,302       12,453,955  
   

 

 

  
      31,278,728  
Engineering & Contracting Services — 0.8%            

Argan, Inc.

     23,432       1,096,383  

Dycom Industries, Inc.(a)

    51,246       5,897,902  

Exponent, Inc.

     90,546       7,971,670  

Fluor Corp.(a)

    254,995       9,988,154  

IES Holdings, Inc.(a)

    14,581       1,155,107  

Mistras Group, Inc.(a)

    33,891       248,082  

MYR Group, Inc.(a)

    29,390       4,250,676  

NETSTREIT Corp.

     122,535       2,187,250  

VSE Corp.

     23,415       1,512,843  

Willdan Group, Inc.(a)

    22,688       487,792  
   

 

 

  
      34,795,859  
Entertainment — 0.3%            

Atlanta Braves Holdings, Inc., Class A

     18,086       773,719  

Atlanta Braves Holdings, Inc., Class C(a)

    81,408       3,222,128  

Cinemark Holdings, Inc.(a)

    196,498       2,768,657  

Golden Entertainment, Inc.

     36,000       1,437,480  
 

 

 

84  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Entertainment (continued)            

IMAX Corp.(a)

    81,990     $     1,231,490  

Lions Gate Entertainment Corp., Class A(a)

    103,643       1,129,709  

Lions Gate Entertainment Corp., Class B(a)

    214,689       2,187,681  

Loop Media, Inc.(a)(b)

    59,121       59,121  

Madison Square Garden Entertainment Corp.(a)

    72,158       2,293,903  

Playstudios, Inc., Class A(a)

    158,927       430,692  

Reservoir Media, Inc.(a)

    38,285       272,972  
   

 

 

  
      15,807,552  
Environmental, Maintenance, & Security Service — 0.5%        

ABM Industries, Inc.

     118,420       5,308,768  

BrightView Holdings, Inc.(a)

    74,050       623,501  

Brink’s Co.

     82,512       7,256,930  

Healthcare Services Group, Inc.

     132,148       1,370,375  

IBEX Holdings Ltd.(a)

    16,667       316,840  

Montrose Environmental Group, Inc.(a)

    50,952       1,637,088  

SP Plus Corp.(a)

    35,563       1,822,604  

UniFirst Corp.

     26,826       4,906,744  
   

 

 

  
      23,242,850  
Financial Data & Systems — 0.4%            

Atlanticus Holdings Corp.(a)(b)

    8,447       326,645  

Cass Information Systems, Inc.

     24,342       1,096,607  

Donnelley Financial Solutions, Inc.(a)

    44,707       2,788,376  

Everi Holdings, Inc.(a)

    153,995       1,735,524  

EVERTEC, Inc.

     116,825       4,782,815  

Green Dot Corp., Class A(a)

    71,709       709,919  

I3 Verticals, Inc., Class A(a)

    42,103       891,321  

International Money Express, Inc.(a)

    57,223       1,264,056  

LendingClub Corp.(a)(b)

    195,714       1,710,540  

Priority Technology Holdings, Inc.(a)

    27,679       98,537  

Repay Holdings Corp., Class A(a)(b)

    149,889       1,280,052  

Value Line, Inc.(b)

    1,578       76,928  
   

 

 

  
      16,761,320  
Financial Services — 0.3%            

Acacia Research Corp.(a)

    65,497       256,748  

Enact Holdings, Inc.

     52,935       1,529,292  

Ispire Technology, Inc.(b)

    30,199       366,314  

Karat Packaging, Inc.

     11,129       276,556  

NewtekOne, Inc.

     42,892       591,909  

Ocwen Financial Corp.(a)(b)

    12,172       374,411  

Pagseguro Digital Ltd., Class A(a)

    354,970       4,426,476  

Paysign, Inc.(a)

    48,257       135,120  

Security National Financial Corp., Class A(a)

    21,792       196,128  

Turning Point Brands, Inc.

     30,459       801,681  

Universal Corp.

     43,058       2,898,664  

Vector Group Ltd.

     259,871       2,931,345  
   

 

 

  
      14,784,644  
Food & Staples Retailing — 0.0%            

Natural Grocers by Vitamin Cottage, Inc.

     17,991       287,856  
   

 

 

  
Food Products — 0.2%            

Benson Hill, Inc.(a)

    300,534       52,233  

Beyond Meat, Inc.(a)(b)

    105,425       938,283  

BRC, Inc., Class A(a)(b)

    65,654       238,324  

Dole PLC

     130,608       1,605,172  

Forafric Global PLC

     9,653       102,225  

Hain Celestial Group, Inc.(a)

    162,391       1,778,181  

Limoneira Co.

     33,221       685,349  
Security   Shares     Value  
Food Products (continued)            

SunOpta, Inc.(a)

    167,244     $    914,825  

Westrock Coffee Co.(a)(b)

    53,027       541,406  
   

 

 

  
      6,855,998  
Foods — 0.8%            

B&G Foods, Inc.

     126,528       1,328,544  

Chefs’ Warehouse, Inc.(a)(b)

    62,736       1,846,321  

HF Foods Group, Inc.(a)

    64,885       346,486  

J & J Snack Foods Corp.

     26,926       4,500,412  

John B Sanfilippo & Son, Inc.

     16,361       1,685,838  

Lancaster Colony Corp.

     34,924       5,811,004  

Medifast, Inc.

     19,715       1,325,242  

Mission Produce, Inc.(a)

    86,938       877,204  

Nature’s Sunshine Products, Inc.(a)

    24,658       426,337  

Seneca Foods Corp., Class A(a)(b)

    9,339       489,737  

Simply Good Foods Co.(a)

    162,302       6,427,159  

Sovos Brands, Inc.(a)(b)

    92,454       2,036,762  

SpartanNash Co.

     61,264       1,406,009  

TreeHouse Foods, Inc.(a)

    92,082       3,816,799  

United Natural Foods, Inc.(a)

    106,539       1,729,128  

Utz Brands, Inc., Class A

     128,455       2,086,109  

Vita Coco Co., Inc.(a)

    52,302       1,341,546  

Vital Farms, Inc.(a)

    54,302       851,998  
   

 

 

  
      38,332,635  
Forest Products — 0.5%            

Boise Cascade Co.

     71,014       9,186,371  

UFP Industries, Inc.

     107,388       13,482,563  
   

 

 

  
      22,668,934  
Forms & Bulk Printing Services — 0.1%            

Deluxe Corp.

     77,551       1,663,469  

Ennis, Inc.

     45,560       998,220  

Quad/Graphics, Inc., Class A(a)

    53,805       291,623  
   

 

 

  
      2,953,312  
Fruit & Grain Processing — 0.1%            

MGP Ingredients, Inc.

     28,351       2,793,141  
   

 

 

  
Funeral Parlors & Cemeteries — 0.2%            

Carriage Services, Inc.

     24,227       605,917  

Hillenbrand, Inc.

     125,853       6,022,066  

Matthews International Corp., Class A

     53,930       1,976,535  
   

 

 

  
      8,604,518  
Gas Pipeline — 0.2%            

Equitrans Midstream Corp.

     780,959       7,950,163  

Kinetik Holdings, Inc., Class A

     30,634       1,023,175  

NextDecade Corp.(a)(b)

    141,760       676,195  
   

 

 

  
      9,649,533  
Glass — 0.0%            

Apogee Enterprises, Inc.

     39,404       2,104,568  
   

 

 

  
Gold — 0.1%            

Caledonia Mining Corp. PLC

     28,639       349,396  

Coeur Mining, Inc.(a)

    591,192       1,927,286  

Novagold Resources, Inc.(a)(b)

    440,946       1,649,138  
   

 

 

  
      3,925,820  
Health Care Equipment & Services — 0.1%            

Embecta Corp.

     102,822       1,946,421  

Figs, Inc., Class A(a)

    232,837       1,618,217  
   

 

 

  
      3,564,638  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Health Care Equipment & Supplies(a) — 0.2%            

Adaptive Biotechnologies Corp.(b)

    210,817       $    1,033,003  

Inogen, Inc.(b)

    40,440       222,016  

Nano-X Imaging Ltd.(b)

    86,733       552,489  

OmniAb, Inc.

     165,775       1,022,832  

OmniAb, Inc., 12.50 Earnout Shares(c)

    9,003       —  

OmniAb, Inc., 15.00 Earnout Shares(c)

    9,003       —  

Paragon 28, Inc.

     78,288       973,120  

PROCEPT BioRobotics Corp.(b)

    72,099       3,021,669  

Vicarious Surgical, Inc., Class A

     121,523       44,562  

Zimvie, Inc.

     46,169       819,500  
   

 

 

  
      7,689,191  
Health Care Facilities — 0.7%            

Apollo Medical Holdings, Inc.(a)

    77,437       2,965,837  

Brookdale Senior Living, Inc.(a)(b)

    331,825       1,931,222  

CVRx, Inc.(a)

    19,870       624,713  

Ensign Group, Inc.

     97,480       10,938,231  

Joint Corp.(a)(b)

    26,101       250,831  

LifeStance Health Group, Inc.(a)(b)

    188,923       1,479,267  

National HealthCare Corp.

     22,294       2,060,411  

Pliant Therapeutics, Inc.(a)(b)

    103,022       1,865,728  

RxSight, Inc.(a)

    49,551       1,997,896  

Select Medical Holdings Corp.

     185,795       4,366,183  

Sight Sciences, Inc.(a)

    38,565       198,995  

U.S. Physical Therapy, Inc.

     26,477       2,466,068  
   

 

 

  
      31,145,382  
Health Care Management Services(a) — 0.4%            

Computer Programs and Systems, Inc.

     25,663       287,426  

Enhabit, Inc.(b)

    93,452       967,228  

Hims & Hers Health, Inc., Class A

     217,494       1,935,697  

Option Care Health, Inc.

     299,621       10,094,231  

Progyny, Inc.(b)

    141,853       5,274,094  

Quipt Home Medical Corp.

     73,634       374,797  
   

 

 

  
      18,933,473  
Health Care Providers & Services(a) — 0.0%            

23andMe Holding Co., Class A(b)

    479,682       438,190  

Cano Health, Inc.(b)

    4,139       24,296  

CareMax, Inc., Class A

     130,447       64,989  

DocGo, Inc.(b)

    145,712       814,530  

P3 Health Partners, Inc., Class A

     69,896       98,553  
   

 

 

  
      1,440,558  
Health Care Services — 1.6%            

Accolade, Inc.(a)

    121,165       1,455,192  

Addus HomeCare Corp.(a)

    27,814       2,582,530  

Agiliti, Inc.(a)(b)

    56,392       446,625  

AirSculpt Technologies, Inc.(a)(b)

    19,556       146,474  

Alignment Healthcare, Inc.(a)

    152,957       1,316,960  

American Well Corp., Class A(a)

    455,326       678,436  

AMN Healthcare Services, Inc.(a)

    68,123       5,101,050  

Aveanna Healthcare Holdings, Inc.(a)

    99,315       266,164  

Butterfly Network, Inc., Class A(a)(b)

    260,971       281,849  

Cara Therapeutics, Inc.(a)(b)

    77,774       57,786  

CorVel Corp.(a)

    15,585       3,852,768  

Cross Country Healthcare, Inc.(a)(b)

    61,197       1,385,500  

Definitive Healthcare Corp., Class A(a)

    82,853       823,559  

Health Catalyst, Inc.(a)

    99,247       919,027  

HealthEquity, Inc.(a)

    150,244       9,961,177  

Inari Medical, Inc.(a)(b)

    95,601       6,206,417  

ModivCare, Inc.(a)

    22,736       1,000,157  

NeoGenomics, Inc.(a)

    227,664       3,683,603  
Security   Shares     Value  
Health Care Services (continued)            

Omnicell, Inc.(a)

    81,258       $    3,057,739  

OptimizeRx Corp.(a)

    28,884       413,330  

Pediatrix Medical Group, Inc.(a)(b)

    153,573       1,428,229  

Pennant Group, Inc.(a)

    50,706       705,827  

Phibro Animal Health Corp., Class A

     38,274       443,213  

Phreesia, Inc.(a)

    94,303       2,183,114  

Privia Health Group, Inc.(a)(b)

    201,580       4,642,387  

Ryman Hospitality Properties, Inc.

     104,346       11,484,321  

Sharecare, Inc., Class A(a)(b)

    568,164       613,617  

Surgery Partners, Inc.(a)

    135,115       4,322,329  

Veradigm, Inc.(a)(b)

    192,829       2,022,776  

Viemed Healthcare, Inc.(a)

    64,622       507,283  
   

 

 

  
      71,989,439  
Home Building — 1.5%            

Beazer Homes USA, Inc.(a)

    52,498       1,773,907  

Century Communities, Inc.

     50,861       4,635,472  

Hovnanian Enterprises, Inc., Class A(a)

    8,562       1,332,418  

Installed Building Products, Inc.

     42,377       7,747,363  

KB Home

     127,411       7,958,091  

Legacy Housing Corp.(a)

    18,016       454,364  

LGI Homes, Inc.(a)

    37,215       4,955,549  

M/I Homes, Inc.(a)

    48,164       6,634,109  

MDC Holdings, Inc.

     106,983       5,910,811  

Meritage Homes Corp.

     65,125       11,344,775  

Taylor Morrison Home Corp., Class A(a)

    185,242       9,882,661  

Tile Shop Holdings, Inc.(a)

    49,395       363,547  

Tri Pointe Homes, Inc.(a)

    171,952       6,087,101  
   

 

 

  
      69,080,168  
Hotel/Motel — 0.2%            

Bally’s Corp.(a)

    52,451       731,167  

First Watch Restaurant Group, Inc.(a)

    39,510       794,151  

Krispy Kreme, Inc.

     158,658       2,394,149  

Marcus Corp.

     44,558       649,656  

Red Rock Resorts, Inc., Class A

     85,108       4,538,809  

Xponential Fitness, Inc., Class A(a)

    45,584       587,578  
   

 

 

  
      9,695,510  
Hotels, Restaurants & Leisure — 0.1%            

Bowlero Corp., Class A(a)(b)

    30,627       433,678  

Empire Resorts, Inc.(c)

    5,132       —  

Global Business Travel Group I, Class A(a)

    58,993       380,505  

Mondee Holdings, Inc., Class A(a)(b)

    87,266       240,854  

Six Flags Entertainment Corp.(a)

    129,136       3,238,731  

Super Group SGHC Ltd.(b)

    242,622       769,112  
   

 

 

  
      5,062,880  
Household Appliances(a) — 0.0%            

Landsea Homes Corp.

     24,654       323,954  

Snap One Holdings Corp.

     32,217       287,053  

Traeger, Inc.

     59,759       163,142  
   

 

 

  
      774,149  
Household Durables — 0.1%            

Cricut, Inc., Class A

     86,100       567,399  

Dream Finders Homes, Inc., Class A(a)

    43,295       1,538,271  

United Homes Group, Inc., Class A(a)(b)

    12,199       102,838  

Vizio Holding Corp., Class A(a)(b)

    137,689       1,060,205  

Waldencast PLC, Class A(b)

    65,898       720,924  
   

 

 

  
      3,989,637  
Household Equipment & Products — 0.5%            

Central Garden & Pet Co.(a)

    17,666       885,243  

Central Garden & Pet Co., Class A(a)

    70,388       3,099,887  
 

 

 

86  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Household Equipment & Products (continued)        

Energizer Holdings, Inc.

     128,101       $    4,058,240  

Helen of Troy Ltd.(a)

    42,518       5,136,600  

Zurn Elkay Water Solutions Corp.

     264,567       7,780,915  
   

 

 

  
      20,960,885  
Household Furnishings — 0.2%            

American Woodmark Corp.(a)

    29,225       2,713,541  

Ethan Allen Interiors, Inc.

     40,702       1,299,208  

Hooker Furnishings Corp.

     19,177       500,136  

La-Z-Boy, Inc.

     77,615       2,865,546  

Lovesac Co.(a)

    25,932       662,563  

Purple Innovation, Inc.(b)

    91,301       94,040  

Sleep Number Corp.(a)

    38,005       563,614  
   

 

 

  
      8,698,648  
Independent Power Producers & Energy Traders(a)(b) — 0.0%  

Altus Power, Inc., Class A

     116,386       794,916  

Montauk Renewables, Inc.

     122,888       1,094,932  
   

 

 

  
      1,889,848  
Industrial Conglomerates — 0.0%            

Brookfield Business Corp., Class A(b)

    46,451       1,081,379  
   

 

 

  
Insurance — 0.3%            

F&G Annuities & Life, Inc.

     31,514       1,449,644  

Fidelis Insurance Holdings Ltd.

     27,968       354,355  

GoHealth, Inc., Class A(a)

    6,637       88,538  

Kingsway Financial Services, Inc.(a)

    20,483       172,057  

Lemonade, Inc.(a)(b)

    89,832       1,448,990  

Marqeta, Inc., Class A(a)

    858,352       5,991,297  

Mercury General Corp.

     48,729       1,818,079  

Oscar Health, Inc., Class A(a)

    282,037       2,580,638  

Skyward Specialty Insurance Group, Inc.(a)

    42,360       1,435,157  
   

 

 

  
      15,338,755  
Insurance: Life — 0.4%            

American Equity Investment Life Holding Co.(a)

    140,564       7,843,471  

CNO Financial Group, Inc.

     200,238       5,586,640  

National Western Life Group, Inc., Class A

     4,128       1,993,907  

Selectquote, Inc.(a)

    254,562       348,750  

Trupanion, Inc.(a)

    70,581       2,153,426  
   

 

 

  
      17,926,194  
Insurance: Multi-Line — 0.4%            

BRP Group, Inc., Class A(a)(b)

    108,858       2,614,769  

Crawford & Co., Class A

     27,631       364,176  

eHealth, Inc.(a)

    48,558       423,426  

Goosehead Insurance, Inc., Class A(a)

    38,521       2,919,892  

Horace Mann Educators Corp.

     63,440       2,074,488  

James River Group Holdings Ltd.

     65,857       608,519  

Maiden Holdings Ltd.(a)

    155,241       355,502  

Mr. Cooper Group, Inc.(a)(b)

    115,320       7,509,638  

SiriusPoint Ltd.(a)

    126,876       1,471,762  
   

 

 

  
      18,342,172  
Insurance: Property-Casualty — 1.3%            

American Coastal Insurance Corp.(a)

    31,572       298,671  

AMERISAFE, Inc.

     33,798       1,581,070  

Donegal Group, Inc., Class A

     27,114       379,325  

Employers Holdings, Inc.

     41,660       1,641,404  

Enstar Group Ltd.(a)

    21,332       6,279,074  

Essent Group Ltd.

     187,360       9,881,366  

Genworth Financial, Inc., Class A(a)

    710,538       4,746,394  

Greenlight Capital Re Ltd., Class A(a)

    48,629       555,343  

HCI Group, Inc.

     11,828       1,033,767  
Security   Shares     Value  
Insurance: Property-Casualty (continued)            

Investors Title Co.

     2,120       $    343,737  

NI Holdings, Inc.(a)

    13,752       178,638  

NMI Holdings, Inc., Class A(a)

    144,585       4,291,283  

Palomar Holdings, Inc.(a)

    44,067       2,445,719  

ProAssurance Corp.

     77,287       1,065,788  

Radian Group, Inc.

     246,110       7,026,440  

Safety Insurance Group, Inc.

     25,832       1,962,974  

Selective Insurance Group, Inc.

     107,658       10,709,818  

Stewart Information Services Corp.

     40,510       2,379,963  

United Fire Group, Inc.

     38,079       766,149  

Universal Insurance Holdings, Inc.

     43,360       692,893  
   

 

 

  
      58,259,816  
International Trade & Diversified Logistic(a) — 0.0%        

CryoPort, Inc.(b)

    74,655       1,156,406  

Radiant Logistics, Inc.

     64,025       425,126  
   

 

 

  
      1,581,532  
Internet & Catalog Retail(a) — 0.0%            

BARK, Inc.

     226,295       182,281  

ThredUp, Inc., Class A(b)

    134,848       303,408  

Vivid Seats, Inc., Class A

     42,989       271,690  
   

 

 

  
      757,379  
Internet Software & Services(a) — 0.3%            

eGain Corp.

     40,271       335,458  

Flywire Corp.

     189,969       4,397,782  

Gogo, Inc.(b)

    117,414       1,189,404  

MediaAlpha, Inc., Class A

     37,721       420,589  

Outbrain, Inc.(b)

    70,537       308,952  

Remitly Global, Inc.(b)

    238,157       4,625,009  

Rent the Runway, Inc., Class A(b)

    86,971       45,877  

TrueCar, Inc.

     153,975       532,754  

Xometry, Inc., Class A(b)

    60,674       2,178,803  
   

 

 

  
      14,034,628  
IT Services — 0.6%            

BigBear.ai Holdings, Inc.(a)(b)

    48,514       103,820  

Bread Financial Holdings, Inc.

     45,593       1,501,833  

Fastly, Inc., Class A(a)(b)

    216,017       3,845,102  

Payoneer Global, Inc.(a)

    441,513       2,300,283  

Paysafe Ltd.(a)

    59,359       759,202  

Sabre Corp.(a)(b)

    598,490       2,633,356  

SolarWinds Corp.(a)

    92,128       1,150,679  

Squarespace, Inc., Class A(a)

    90,244       2,978,954  

StoneCo Ltd., Class A(a)

    520,362       9,382,127  

Thoughtworks Holding, Inc.(a)

    168,475       810,365  
   

 

 

  
      25,465,721  
Leisure Time — 0.7%            

Acushnet Holdings Corp.

     55,132       3,482,688  

AMMO, Inc.(a)

    168,298       353,426  

Clarus Corp.

     45,706       315,143  

Escalade, Inc.

     17,369       348,943  

Hilton Grand Vacations, Inc.(a)

    143,713       5,774,388  

JAKKS Pacific, Inc.(a)

    13,882       493,505  

Johnson Outdoors, Inc., Class A

     9,970       532,597  

Latham Group, Inc.(a)

    68,765       180,852  

Life Time Group Holdings, Inc.(a)

    82,056       1,237,405  

Lindblad Expeditions Holdings, Inc.(a)

    62,316       702,301  

OneSpaWorld Holdings Ltd.(a)

    148,849       2,098,771  

Portillo’s, Inc., Class A(a)(b)

    80,413       1,280,979  

RCI Hospitality Holdings, Inc.

     15,573       1,031,867  

SeaWorld Entertainment, Inc.(a)(b)

    65,019       3,434,954  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Leisure Time (continued)            

Smith & Wesson Brands, Inc.

     84,316       $    1,143,325  

Sphere Entertainment Co., Class A(a)(b)

    47,623       1,617,277  

Sturm Ruger & Co., Inc.

     31,958       1,452,491  

Topgolf Callaway Brands Corp.(a)

    257,282       3,689,424  

Vista Outdoor, Inc.(a)(b)

    103,282       3,054,049  
   

 

 

  
      32,224,385  
Life Sciences Tools & Services — 0.0%            

WaVe Life Sciences Ltd.(a)

    105,496       532,755  
   

 

 

  
Luxury Items — 0.2%            

Movado Group, Inc.

     27,506       829,306  

Signet Jewelers Ltd.

     79,688       8,547,335  

Stagwell, Inc., Class A(a)(b)

    140,324       930,348  
   

 

 

  
      10,306,989  
Machinery(a) — 0.1%            

Hillman Solutions Corp.

     353,020       3,251,314  

Matterport, Inc., Class A(b)

    461,502       1,241,440  

Microvast Holdings, Inc.

     390,202       546,283  

Velo3D, Inc.(b)

    153,863       61,176  
   

 

 

  
      5,100,213  
Machinery: Agricultural — 0.4%            

Alamo Group, Inc.

     18,044       3,792,668  

Integral Ad Science Holding Corp.(a)

    87,953       1,265,644  

Lindsay Corp.

     19,762       2,552,460  

SPX Technologies, Inc.(a)(b)

    78,925       7,972,214  

Titan International, Inc.(a)

    93,345       1,388,973  

Titan Machinery, Inc.(a)

    38,219       1,103,765  
   

 

 

  
      18,075,724  
Machinery: Construction & Handling — 0.2%        

Astec Industries, Inc.

     41,067       1,527,692  

Douglas Dynamics, Inc.

     40,114       1,190,584  

Manitowoc Co., Inc.(a)

    62,167       1,037,567  

NACCO Industries, Inc., Class A

     7,348       268,202  

Terex Corp.

     118,899       6,831,937  
   

 

 

  
      10,855,982  
Machinery: Industrial — 1.2%            

Applied Industrial Technologies, Inc.

     68,999       11,915,437  

Chart Industries, Inc.(a)(b)

    76,851       10,477,097  

Columbus McKinnon Corp./New York

     50,224       1,959,741  

Desktop Metal, Inc., Class A(a)(b)

    490,326       368,235  

DXP Enterprises, Inc.(a)

    25,107       846,106  

Enpro, Inc.

     37,461       5,871,637  

EVI Industries, Inc.

     9,066       215,136  

Gencor Industries, Inc.(a)

    18,389       296,798  

Hyliion Holdings Corp., Class A(a)(b)

    265,296       215,871  

Hyster-Yale Materials Handling, Inc., Class A

     19,409       1,207,046  

Intevac, Inc.(a)

    50,364       217,572  

John Bean Technologies Corp.

     56,939       5,662,584  

Kadant, Inc.

     20,902       5,859,040  

Kennametal, Inc.

     144,201       3,718,944  

Mayville Engineering Co., Inc.(a)(b)

    21,748       313,606  

Nikola Corp.(a)(b)

    1,146,198       1,002,694  

Omega Flex, Inc.

     6,157       434,130  

Proto Labs, Inc.(a)

    48,040       1,871,638  

Tennant Co.

     33,101       3,068,132  
   

 

 

  
      55,521,444  
Security   Shares     Value  
Machinery: Specialty — 0.1%            

Albany International Corp., Class A

     55,938       $    5,494,230  
   

 

 

  
Manufactured Housing(a) — 0.3%            

Cavco Industries, Inc.

     15,641       5,421,483  

Skyline Champion Corp..

     95,796       7,113,811  
   

 

 

  
      12,535,294  
Marine — 0.1%            

Golden Ocean Group Ltd.

     219,505       2,142,369  
   

 

 

  
Media — 0.2%            

Bumble, Inc., Class A(a)

    179,883       2,651,475  

Gambling.com Group Ltd.(a)

    20,457       199,456  

PubMatic, Inc., Class A(a)(b)

    75,710       1,234,830  

Sinclair, Inc., Class A(b)

    58,387       760,783  

Townsquare Media, Inc., Class A

     21,670       228,835  

Urban One, Inc., Class A(a)

    12,790       51,544  

Urban One, Inc., Class D(a)

    18,543       65,457  

Vimeo, Inc.(a)

    232,955       913,183  

ZipRecruiter, Inc., Class A(a)

    120,903       1,680,552  
   

 

 

  
      7,786,115  
Medical & Dental Instruments & Supplies — 1.5%        

Akoya Biosciences, Inc.(a)

    40,656       198,401  

Alphatec Holdings, Inc.(a)

    164,397       2,484,039  

AngioDynamics, Inc.(a)

    70,684       554,163  

Anika Therapeutics, Inc.(a)

    27,120       614,539  

Artivion, Inc.(a)

    69,832       1,248,596  

AtriCure, Inc.(a)

    83,231       2,970,514  

Atrion Corp.

     2,455       929,929  

Avanos Medical, Inc.(a)

    84,071       1,885,713  

Axogen, Inc.(a)

    75,224       513,780  

BioLife Solutions, Inc.(a)

    61,870       1,005,388  

Cerus Corp.(a)(b)

    312,719       675,473  

Community Health Systems, Inc.(a)

    227,855       713,186  

CONMED Corp.

     54,795       6,000,600  

Cutera, Inc.(a)(b)

    34,992       123,347  

InfuSystem Holdings, Inc.(a)

    31,690       334,013  

Inmode Ltd.(a)(b)

    138,428       3,078,639  

LeMaitre Vascular, Inc.

     35,174       1,996,476  

LivaNova PLC(a)

    96,949       5,016,141  

Merit Medical Systems, Inc.(a)(b)

    101,623       7,719,283  

NanoString Technologies, Inc.(a)

    79,322       59,365  

Neogen Corp.(a)(b)

    389,444       7,831,719  

Ocular Therapeutix, Inc.(a)(b)

    145,211       647,641  

OraSure Technologies, Inc.(a)

    133,627       1,095,741  

Orchestra BioMed Holdings, Inc.(a)(b)

    24,708       225,584  

Organogenesis Holdings, Inc., Class A(a)

    128,915       527,262  

Orthofix Medical, Inc.(a)

    62,529       842,891  

OrthoPediatrics Corp.(a)

    29,535       960,183  

Outset Medical, Inc.(a)

    88,207       477,200  

Owens & Minor, Inc.(a)

    132,219       2,547,860  

Patterson Cos., Inc.

     153,541       4,368,241  

Pulmonx Corp.(a)

    67,926       866,057  

Sanara Medtech, Inc.(a)(b)

    6,035       248,039  

Semler Scientific, Inc.(a)

    8,215       363,842  

STAAR Surgical Co.(a)(b)

    86,869       2,711,182  

Surmodics, Inc.(a)

    24,882       904,461  

TransMedics Group, Inc.(a)(b)

    56,683       4,473,989  
 

 

 

88  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Medical & Dental Instruments & Supplies (continued)  

Treace Medical Concepts, Inc.(a)

    80,396       $    1,025,049  

Utah Medical Products, Inc.

     6,470       544,903  
   

 

 

  
      68,783,429  
Medical Equipment — 0.9%        

Accuray, Inc.(a)

    172,305       487,623  

AdaptHealth Corp.(a)

    174,786       1,274,190  

Beyond Air, Inc.(a)(b)

    42,993       84,266  

CareDx, Inc.(a)

    94,148       1,129,776  

ClearPoint Neuro, Inc.(a)

    43,569       295,834  

Cytek Biosciences, Inc.(a)(b)

    216,533       1,974,781  

Glaukos Corp.(a)

    84,768       6,738,208  

Haemonetics Corp.(a)

    89,630       7,664,261  

iRadimed Corp.

     13,000       617,110  

iRhythm Technologies, Inc.(a)(b)

    54,834       5,869,431  

KORU Medical Systems, Inc.(a)(b)

    63,861       156,779  

Lantheus Holdings, Inc.(a)(b)

    121,593       7,538,766  

Nevro Corp.(a)

    63,456       1,365,573  

Quanterix Corp.(a)

    62,768       1,716,077  

Seer, Inc., Class A(a)

    102,718       199,273  

SI-BONE, Inc.(a)(b)

    64,050       1,344,409  

Silk Road Medical, Inc.(a)(b)

    68,317       838,250  

Tactile Systems Technology, Inc.(a)

    41,369       591,577  

Varex Imaging Corp.(a)

    71,156       1,458,698  

Zynex, Inc.(a)

    36,128       393,434  
   

 

 

  
      41,738,316  
Medical Services(a) — 0.0%        

Fulgent Genetics, Inc.

     37,884       1,095,226  

Innovage Holding Corp.

     30,150       180,900  

Tela Bio, Inc.

     26,671       176,562  
   

 

 

  
      1,452,688  
Metal Fabricating — 0.5%        

CompX International, Inc.

     2,464       62,290  

Distribution Solutions Group, Inc.(a)(b)

    16,636       525,032  

DMC Global, Inc.(a)

    34,720       653,430  

GrafTech International Ltd.

     361,459       791,595  

Haynes International, Inc.

     22,291       1,271,701  

MRC Global, Inc.(a)

    148,670       1,636,857  

Mueller Industries, Inc.

     200,424       9,449,991  

Mueller Water Products, Inc., Class A

     277,469       3,995,554  

Northwest Pipe Co.(a)

    18,119       548,281  

Worthington Enterprises, Inc.

     55,396       3,188,040  

Worthington Steel, Inc.(a)

    55,396       1,556,628  
   

 

 

  
      23,679,399  
Metals & Minerals: Diversified — 1.0%        

Alpha Metallurgical Resources, Inc.

     20,649       6,998,359  

Commercial Metals Co.

     209,471       10,481,929  

Compass Minerals International, Inc.

     62,538       1,583,462  

Constellium SE, Class A(a)

    230,705       4,604,872  

Energy Fuels, Inc./Canada(a)(b)

    284,179       2,043,247  

Hecla Mining Co.

     1,092,452       5,254,694  

Intrepid Potash, Inc.(a)

    19,595       468,125  

Materion Corp.

     36,716       4,777,853  

Minerals Technologies, Inc.

     58,182       4,148,958  

Oil-Dri Corp. of America

     8,802       590,438  

Perpetua Resources Corp.(a)(b)

    59,052       187,195  

Ring Energy, Inc.(a)(b)

    230,505       336,537  

SunCoke Energy, Inc.

     148,953       1,599,755  
Security   Shares     Value  
Metals & Minerals: Diversified (continued)        

U.S. Lime & Minerals, Inc.

     3,699       $    852,065  

U.S. Silica Holdings, Inc.(a)

    137,265       1,552,467  
   

 

 

  
      45,479,956  
Metals & Mining — 0.0%        

Contango ORE, Inc.(a)

    7,011       126,969  

i-80 Gold Corp.(a)(b)

    347,586       611,751  

Ramaco Resources, Inc., Class A

     41,680       716,063  

Ramaco Resources, Inc., Class B

     7,704       102,540  
   

 

 

  
      1,557,323  
Mining(a) — 0.0%        

5E Advanced Materials, Inc.(b)

    68,231       96,206  

Dakota Gold Corp.

     103,435       270,999  

Piedmont Lithium, Inc.

     31,943       901,751  
   

 

 

  
      1,268,956  
Office Supplies & Equipment — 0.3%        

ACCO Brands Corp.

     171,975       1,045,608  

Eastman Kodak Co.(a)(b)

    107,827       420,525  

HNI Corp.

     82,562       3,453,568  

MillerKnoll, Inc.

     131,922       3,519,679  

Pitney Bowes, Inc.

     200,937       884,123  

Steelcase, Inc., Class A

     168,282       2,275,173  
   

 

 

  
      11,598,676  
Oil & Gas Producers — 0.4%        

Civitas Resources, Inc.

     144,567       9,885,492  

Crescent Energy Co., Class A

     139,958       1,848,845  

HighPeak Energy, Inc.(b)

    20,988       298,869  

Kosmos Energy Ltd.(a)

    816,145       5,476,333  
   

 

 

  
      17,509,539  
Oil Well Equipment & Services — 1.1%        

Bristow Group, Inc.(a)

    42,488       1,201,136  

Cactus, Inc., Class A

     115,558       5,246,333  

ChampionX Corp.(b)

    350,078       10,225,778  

Dril-Quip, Inc.(a)

    60,400       1,405,508  

Helix Energy Solutions Group, Inc.(a)

    257,221       2,644,232  

Helmerich & Payne, Inc.

     174,091       6,305,576  

Liberty Energy, Inc., Class A

     293,738       5,328,407  

Nabors Industries Ltd.(a)

    16,690       1,362,405  

Newpark Resources, Inc.(a)

    134,042       890,039  

Oceaneering International, Inc.(a)

    179,654       3,823,037  

Oil States International, Inc.(a)

    112,459       763,597  

Patterson-UTI Energy, Inc.

     632,184       6,827,587  

ProPetro Holding Corp.(a)

    172,593       1,446,329  

RPC, Inc.

     150,682       1,096,965  

Select Water Solutions, Inc., Class A

     142,748       1,083,457  

Solaris Oilfield Infrastructure, Inc., Class A

     53,881       428,893  

TETRA Technologies, Inc.(a)

    231,573       1,046,710  
   

 

 

  
      51,125,989  
Oil, Gas & Consumable Fuels — 0.6%        

Archrock, Inc.

     248,557       3,827,778  

Ardmore Shipping Corp.

     73,470       1,035,192  

DHT Holdings, Inc.

     245,193       2,405,343  

Dorian LPG Ltd.

     57,991       2,544,065  

Empire Petroleum Corp.(a)

    25,444       279,630  

Encore Energy Corp.

     262,984       1,033,527  

Enviva, Inc.

     55,307       55,075  

Excelerate Energy, Inc., Class A

     34,084       526,939  

FLEX LNG Ltd.(a)

    54,380       1,580,283  

Granite Ridge Resources, Inc.

     45,331       272,893  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)            

Gulfport Energy Corp.(a)(b)

    20,068       $    2,673,058  

Noble Corp. PLC

     201,687       9,713,246  

ProFrac Holding Corp., Class A(a)(b)

    47,256       400,731  

VAALCO Energy, Inc.

     200,733       901,291  

Vertex Energy, Inc.(a)

    117,445       398,138  

Vitesse Energy, Inc.

     46,341       1,014,404  
   

 

 

  
      28,661,593  
Oil: Crude Producers — 1.8%            

Amplify Energy Corp.(a)(b)

    66,535       394,553  

Berry Corp.

     134,704       946,969  

California Resources Corp.

     124,560       6,810,941  

Callon Petroleum Co.(a)

    109,519       3,548,416  

Chord Energy Corp.

     74,824       12,437,994  

CNX Resources Corp.(a)

    280,059       5,601,180  

Comstock Resources, Inc.

     166,463       1,473,198  

CVR Energy, Inc.

     53,888       1,632,806  

Evolution Petroleum Corp.

     58,871       342,041  

Gevo, Inc.(a)(b)

    415,762       482,284  

Magnolia Oil & Gas Corp., Class A

     320,781       6,829,427  

Murphy Oil Corp.

     265,725       11,335,828  

Northern Oil and Gas, Inc.

     157,363       5,833,446  

ONE Gas, Inc.

     98,694       6,288,782  

Overseas Shipholding Group, Inc., Class A

     109,688       578,056  

PrimeEnergy Resources Corp.(a)

    1,464       155,696  

Riley Exploration Permian, Inc.

     15,696       427,559  

SandRidge Energy, Inc.(b)

    33,568       458,875  

SilverBow Resources, Inc.(a)

    31,610       919,219  

SM Energy Co.

     211,346       8,183,317  

Talos Energy, Inc.(a)(b)

    194,563       2,768,631  

Tellurian, Inc.(a)(b)

    954,848       721,483  

Vital Energy, Inc.(a)(b)

    42,403       1,928,912  

W&T Offshore, Inc.

     180,654       588,932  
   

 

 

  
      80,688,545  
Oil: Refining & Marketing — 0.4%            

Clean Energy Fuels Corp.(a)(b)

    301,777       1,155,806  

Delek U.S. Holdings, Inc.

     115,029       2,967,748  

Par Pacific Holdings, Inc.(a)

    98,792       3,593,065  

PBF Energy, Inc., Class A

     199,510       8,770,460  

World Kinect Corp.

     106,846       2,433,952  
   

 

 

  
      18,921,031  
Paints & Coatings — 0.2%            

HB Fuller Co.

     96,743       7,875,848  

Kronos Worldwide, Inc.

     39,140       389,051  
   

 

 

  
      8,264,899  
Paper — 0.1%            

Clearwater Paper Corp.(a)

    29,209       1,055,029  

Glatfelter Corp.(a)

    77,419       150,193  

Mativ Holdings, Inc.

     97,455       1,492,036  
   

 

 

  
      2,697,258  
Paper & Forest Products — 0.1%            

Sylvamo Corp.

     64,020       3,144,022  
   

 

 

  
Personal Care — 0.6%            

Beauty Health Co., Class A(a)

    145,471       452,415  

BellRing Brands, Inc.(a)

    235,863       13,073,886  

Edgewell Personal Care Co.

     90,111       3,300,766  

Nu Skin Enterprises, Inc., Class A

     90,970       1,766,637  

Sterling Check Corp.(a)(b)

    56,200       782,304  
Security   Shares     Value  
Personal Care (continued)            

USANA Health Sciences, Inc.(a)

    21,093       $    1,130,585  

WD-40 Co.

     24,275       5,803,424  
   

 

 

  
      26,310,017  
Personal Products — 0.1%            

Herbalife Ltd.(a)

    176,664       2,695,893  
   

 

 

  
Pharmaceuticals — 2.1%            

ACADIA Pharmaceuticals, Inc.(a)

    216,499       6,778,584  

Aclaris Therapeutics, Inc.(a)

    123,478       129,652  

Alkermes PLC(a)

    296,447       8,223,440  

Amneal Pharmaceuticals, Inc., Class A(a)(b)

    219,586       1,332,887  

Amphastar Pharmaceuticals, Inc.(a)(b)

    69,183       4,278,968  

Arrowhead Pharmaceuticals, Inc.(a)

    180,776       5,531,746  

Assertio Holdings, Inc.(a)(b)

    169,034       180,866  

Atea Pharmaceuticals, Inc.(a)

    134,315       409,661  

Axonics, Inc.(a)(b)

    89,342       5,559,753  

Axsome Therapeutics, Inc.(a)(b)

    64,065       5,098,933  

Biote Corp., Class A(a)

    26,839       132,585  

Bright Green Corp.(a)

    94,164       31,083  

Cassava Sciences, Inc.(a)(b)

    70,681       1,591,029  

Citius Pharmaceuticals, Inc.(a)(b)

    200,965       152,030  

Corcept Therapeutics, Inc.(a)(b)

    143,384       4,657,112  

CorMedix, Inc.(a)(b)

    99,843       375,410  

Eagle Pharmaceuticals, Inc.(a)

    17,753       92,848  

Edgewise Therapeutics, Inc.(a)

    79,654       871,415  

Enanta Pharmaceuticals, Inc.(a)

    37,581       353,637  

Enliven Therapeutics, Inc.(a)(b)

    42,665       590,484  

Evolus, Inc.(a)

    75,730       797,437  

Eyenovia, Inc.(a)(b)

    44,656       92,884  

Harmony Biosciences Holdings, Inc.(a)

    57,593       1,860,254  

Harrow, Inc.(a)(b)

    52,484       587,821  

Ikena Oncology, Inc.(a)(b)

    40,485       79,755  

Innoviva, Inc.(a)(b)

    106,193       1,703,336  

Intra-Cellular Therapies, Inc.(a)

    167,406       11,989,618  

Ironwood Pharmaceuticals, Inc., Class A(a)

    250,757       2,868,660  

Liquidia Corp.(a)(b)

    87,568       1,053,443  

Longboard Pharmaceuticals, Inc.(a)

    24,357       146,873  

Neumora Therapeutics, Inc.(b)

    26,998       460,316  

Nuvation Bio, Inc., Class A(a)

    281,043       424,375  

Optinose, Inc.(a)

    113,495       146,409  

Pacira BioSciences, Inc.(a)(b)

    81,388       2,746,031  

PetIQ, Inc., Class A(a)(b)

    49,153       970,772  

Prestige Consumer Healthcare, Inc.(a)

    89,050       5,451,641  

Rain Oncology, Inc.(a)

    31,089       37,307  

Revance Therapeutics, Inc.(a)

    154,215       1,355,550  

Scilex Holding Co., (Acquired 01/06/23, Cost: $1,040,392)(a)(d)

    99,274       197,287  

scPharmaceuticals, Inc.(a)(b)

    49,478       310,227  

SIGA Technologies, Inc.

     81,168       454,541  

Supernus Pharmaceuticals, Inc.(a)

    87,816       2,541,395  

Syndax Pharmaceuticals, Inc.(a)(b)

    119,964       2,592,422  

Taro Pharmaceutical Industries Ltd.(a)

    14,816       619,012  

Tarsus Pharmaceuticals, Inc.(a)(b)

    43,606       883,021  

Terns Pharmaceuticals, Inc.(a)(b)

    76,560       496,874  

TG Therapeutics, Inc.(a)(b)

    247,744       4,231,467  

Theravance Biopharma, Inc.(a)(b)

    99,070       1,113,547  

Theseus Pharmaceuticals, Inc.(a)

    34,367       139,186  

Third Harmonic Bio, Inc.(a)

    37,467       411,013  

Trevi Therapeutics, Inc.(a)

    67,467       90,406  

Ventyx Biosciences, Inc.(a)

    83,204       205,514  
 

 

 

90  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Pharmaceuticals (continued)            

Voyager Therapeutics, Inc.(a)

    60,352       $    509,371  

Xeris Biopharma Holdings, Inc.(a)

    253,263       595,168  
   

 

 

  
      94,535,056  
Photography — 0.0%            

GoPro, Inc., Class A(a)

    225,473       782,391  
   

 

 

  
Power Transmission Equipment — 0.2%            

Advanced Energy Industries, Inc.(b)

    67,256       7,325,524  

Babcock & Wilcox Enterprises, Inc.(a)

    106,657       155,719  

Powell Industries, Inc.

     16,302       1,441,097  

Vicor Corp.(a)(b)

    39,466       1,773,602  
   

 

 

  
      10,695,942  
Printing & Copying Services(a) — 0.2%            

Casella Waste Systems, Inc., Class A

     100,944       8,626,674  

Cimpress PLC

     32,362       2,590,578  
   

 

 

  
      11,217,252  
Producer Durables: Miscellaneous — 0.1%            

First Advantage Corp.

     96,635       1,601,242  

Park-Ohio Holdings Corp.

     15,499       417,853  

Solo Brands, Inc., Class A(a)

    38,288       235,854  
   

 

 

  
      2,254,949  
Production Technology Equipment(a) — 0.8%            

ACM Research, Inc., Class A(b)

    85,712       1,674,812  

Axcelis Technologies, Inc.

     58,272       7,557,296  

Cohu, Inc.

     83,464       2,953,791  

HireRight Holdings Corp.

     24,458       328,960  

Ichor Holdings Ltd.

     50,944       1,713,247  

Maxeon Solar Technologies Ltd.(b)

    53,293       382,111  

Onto Innovation, Inc.

     87,560       13,387,924  

Photronics, Inc.

     109,143       3,423,816  

Ultra Clean Holdings, Inc.

     79,357       2,709,248  

Veeco Instruments, Inc.(b)

    92,007       2,854,977  
   

 

 

  
      36,986,182  
Professional Services — 0.2%            

Alight, Inc., Class A(a)

    740,713       6,318,282  

BlackSky Technology, Inc., Class A(a)

    204,411       286,175  

FiscalNote Holdings, Inc., Class A(a)

    107,542       122,598  

Innodata, Inc.(a)(b)

    47,865       389,621  

Legalzoom.com, Inc.(a)(b)

    211,161       2,386,119  

Planet Labs PBC, Class A(a)(b)

    315,614       779,567  

Skillsoft Corp.

     7,248       127,420  
   

 

 

  
      10,409,782  
Publishing — 0.1%            

Daily Journal Corp.(a)

    2,447       833,986  

Gannett Co., Inc.(a)(b)

    256,849       590,753  

John Wiley & Sons, Inc., Class A

     66,187       2,100,775  

Scholastic Corp.

     47,831       1,803,229  
   

 

 

  
      5,328,743  
Radio & TV Broadcasters — 0.2%            

Entravision Communications Corp., Class A

     112,738       470,118  

Gray Television, Inc.

     152,546       1,366,812  

iHeartMedia, Inc., Class A(a)

    186,275       497,354  

TEGNA, Inc.

     360,997       5,523,254  
   

 

 

  
      7,857,538  
Security   Shares     Value  
Railroad Equipment — 0.1%            

Greenbrier Cos., Inc.

     55,361       $    2,445,849  

Trinity Industries, Inc.

     145,165       3,859,937  
   

 

 

  
      6,305,786  
Real Estate — 0.5%            

Anywhere Real Estate, Inc.(a)

    192,728       1,563,024  

Cushman & Wakefield PLC(a)

    254,184       2,745,187  

eXp World Holdings, Inc.

     129,583       2,011,128  

Kennedy-Wilson Holdings, Inc.

     213,957       2,648,788  

Newmark Group, Inc., Class A

     245,399       2,689,573  

Opendoor Technologies, Inc.(a)

    988,340       4,427,763  

Redfin Corp.(a)(b)

    194,707       2,009,376  

RMR Group, Inc., Class A

     28,818       813,532  

St. Joe Co.

     61,570       3,705,283  

Stratus Properties, Inc.(a)

    9,109       262,886  

Tejon Ranch Co.(a)

    37,405       643,366  
   

 

 

  
      23,519,906  
Real Estate Investment Trusts (REITs) — 6.0%        

Acadia Realty Trust

     167,076       2,838,621  

AFC Gamma, Inc.

     31,863       383,312  

Alexander & Baldwin, Inc.

     131,400       2,499,228  

Alexander’s, Inc.

     3,821       816,051  

Alpine Income Property Trust, Inc.

     22,727       384,314  

American Assets Trust, Inc.

     86,925       1,956,682  

Angel Oak Mortgage REIT, Inc., Series 13A

     23,255       246,503  

Apartment Investment and Management Co., Class A(a)

    261,443       2,047,099  

Apollo Commercial Real Estate Finance, Inc.

     253,829       2,979,952  

Apple Hospitality REIT, Inc.

     385,527       6,403,603  

Arbor Realty Trust, Inc.(b)

    285,682       4,336,653  

Ares Commercial Real Estate Corp.

     96,540       1,000,154  

Armada Hoffler Properties, Inc.

     120,003       1,484,437  

ARMOUR Residential REIT, Inc.

     83,819       1,619,383  

Blackstone Mortgage Trust, Inc., Class A

     308,086       6,552,989  

Braemar Hotels & Resorts, Inc.

     116,745       291,863  

Brandywine Realty Trust

     302,751       1,634,855  

BrightSpire Capital, Inc., Class A

     229,546       1,707,822  

Broadstone Net Lease, Inc.

     336,119       5,787,969  

BRT Apartments Corp.

     21,875       406,656  

CareTrust REIT, Inc.

     179,072       4,007,631  

CBL & Associates Properties, Inc.

     49,618       1,211,672  

Centerspace

     26,877       1,564,241  

Chatham Lodging Trust

     87,903       942,320  

Chicago Atlantic Real Estate Finance, Inc.

     28,747       465,126  

Chimera Investment Corp.

     406,650       2,029,184  

City Office REIT, Inc.

     65,402       399,606  

Claros Mortgage Trust, Inc.

     162,098       2,209,396  

Clipper Realty, Inc.

     23,302       125,831  

Community Healthcare Trust, Inc.

     46,923       1,250,029  

COPT Defense Properties

     201,617       5,167,444  

CoreCivic, Inc.(a)

    203,270       2,953,513  

CTO Realty Growth, Inc.

     39,929       691,970  

DiamondRock Hospitality Co.

     375,952       3,530,189  

Diversified Healthcare Trust

     425,019       1,589,571  

Douglas Emmett, Inc.

     165,902       2,405,579  

Dynex Capital, Inc.

     96,081       1,202,934  

Easterly Government Properties, Inc.

     171,320       2,302,541  

Ellington Financial, Inc.

     136,870       1,739,618  

Elme Communities

     157,038       2,292,755  

Empire State Realty Trust, Inc., Class A

     239,412       2,319,902  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Real Estate Investment Trusts (REITs) (continued)             

Equity Commonwealth

        182,505      $     3,504,096  

Essential Properties Realty Trust, Inc.

     278,867        7,127,841  

Farmland Partners, Inc.

     79,856        996,603  

Four Corners Property Trust, Inc.

     157,919        3,995,351  

Franklin BSP Realty Trust, Inc.

     147,516        1,992,941  

GEO Group, Inc.(a)

    218,539        2,366,777  

Getty Realty Corp.

     81,131        2,370,648  

Gladstone Commercial Corp.

     72,071        954,220  

Gladstone Land Corp.

     62,440        902,258  

Global Medical REIT, Inc.

     109,543        1,215,927  

Global Net Lease, Inc.

     347,964        3,462,242  

Granite Point Mortgage Trust, Inc.

     93,415        554,885  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

     187,357        5,167,306  

Hudson Pacific Properties, Inc.

     245,712        2,287,579  

Independence Realty Trust, Inc.

     403,423        6,172,372  

Innovative Industrial Properties, Inc.

     49,927        5,033,640  

InvenTrust Properties Corp.

     121,548        3,080,026  

Invesco Mortgage Capital, Inc.

     75,747        671,118  

JBG SMITH Properties

     181,351        3,084,781  

Kite Realty Group Trust

     389,282        8,898,987  

KKR Real Estate Finance Trust, Inc.

     104,674        1,384,837  

Ladder Capital Corp., Class A

     205,166        2,361,461  

LTC Properties, Inc.

     73,317        2,354,942  

LXP Industrial Trust

     518,066        5,139,215  

MFA Financial, Inc.

     185,958        2,095,747  

National Health Investors, Inc.

     74,640        4,168,644  

New York Mortgage Trust, Inc.

     166,510        1,420,330  

NexPoint Diversified Real Estate Trust

     55,594        441,972  

Nexpoint Real Estate Finance, Inc.

     14,959        235,604  

NexPoint Residential Trust, Inc.

     40,193        1,383,845  

Office Properties Income Trust

     89,332        653,910  

One Liberty Properties, Inc.

     29,385        643,825  

Orchid Island Capital, Inc.

     79,665        671,576  

Orion Office REIT, Inc.

     106,467        608,991  

Outfront Media, Inc.

     263,831        3,683,081  

Paramount Group, Inc.

     337,412        1,744,420  

Peakstone Realty Trust, Class E

     64,667        1,288,813  

Pebblebrook Hotel Trust

     212,576        3,396,964  

PennyMac Mortgage Investment Trust

     155,406        2,323,320  

Phillips Edison & Co., Inc.

     210,939        7,695,055  

Physicians Realty Trust

     425,543        5,663,977  

Piedmont Office Realty Trust, Inc., Class A

     219,961        1,563,923  

Plymouth Industrial REIT, Inc.

     78,242        1,883,285  

Postal Realty Trust, Inc., Class A

     33,567        488,736  

PotlatchDeltic Corp.

     141,465        6,945,932  

Ready Capital Corp.

     286,349        2,935,077  

Redwood Trust, Inc.

     208,381        1,544,103  

Retail Opportunity Investments Corp.

     220,078        3,087,694  

RLJ Lodging Trust

     277,012        3,246,581  

Sabra Health Care REIT, Inc.

     413,866        5,905,868  

Safehold, Inc.

     79,950        1,870,830  

Saul Centers, Inc.

     21,063        827,144  

Service Properties Trust

     298,511        2,549,284  

SL Green Realty Corp.

     94,957        4,289,208  

Star Holdings(a)

    25,185        377,271  

Summit Hotel Properties, Inc.

     186,436        1,252,850  

Sunstone Hotel Investors, Inc.

     372,476        3,996,667  

Tanger, Inc.

     182,695        5,064,305  

Terreno Realty Corp.

     148,197        9,287,506  

TPG RE Finance Trust, Inc.

     122,871        798,662  

Two Harbors Investment Corp.

     176,025        2,452,028  
Security   Shares     Value  
Real Estate Investment Trusts (REITs) (continued)            

UMH Properties, Inc.

         99,139       $    1,518,809  

Uniti Group, Inc.

     431,653       2,494,954  

Universal Health Realty Income Trust

     23,915       1,034,324  

Urban Edge Properties

     205,422       3,759,223  

Veris Residential, Inc.

     143,504       2,257,318  

Whitestone REIT

     90,282       1,109,566  

Xenia Hotels & Resorts, Inc.

     192,010       2,615,176  
   

 

 

  
      274,135,649  
Real Estate Management & Development — 0.2%        

American Realty Investors, Inc.(a)

    2,389       41,592  

Bluegreen Vacations Holding Corp., Class A

     19,633       1,474,831  

Compass, Inc., Class A(a)(b)

    516,914       1,943,597  

DigitalBridge Group, Inc., Class A

     289,252       5,073,480  

Forestar Group, Inc.(a)

    32,900       1,088,003  

Maui Land & Pineapple Co., Inc.(a)

    13,156       209,049  

Transcontinental Realty Investors, Inc.(a)

    3,272       113,080  
   

 

 

  
      9,943,632  
Recreational Vehicles & Boats — 0.3%            

Camping World Holdings, Inc., Class A

     74,726       1,962,305  

Lazydays Holdings, Inc.(a)(b)

    13,605       95,915  

LCI Industries

     44,187       5,554,748  

Malibu Boats, Inc., Class A(a)

    36,216       1,985,361  

Marine Products Corp.

     14,954       170,476  

MasterCraft Boat Holdings, Inc.(a)

    30,695       694,935  

Winnebago Industries, Inc.

     51,880       3,781,014  
   

 

 

  
      14,244,754  
Rental & Leasing Services: Consumer — 0.1%        

Upbound Group, Inc.

     98,521       3,346,758  
   

 

 

  
Restaurants — 0.9%            

Biglari Holdings, Inc., Class B(a)

    1,350       222,655  

BJ’s Restaurants, Inc.(a)

    40,664       1,464,311  

Bloomin’ Brands, Inc.

     156,687       4,410,739  

Brinker International, Inc.(a)(b)

    78,416       3,386,003  

Carrols Restaurant Group, Inc.

     68,119       536,778  

Cheesecake Factory, Inc.

     86,727       3,036,312  

Cracker Barrel Old Country Store, Inc.

     39,443       3,040,266  

Dave & Buster’s Entertainment, Inc.(a)

    64,562       3,476,664  

Denny’s Corp.(a)

    91,679       997,468  

Dine Brands Global, Inc.

     27,661       1,373,369  

El Pollo Loco Holdings, Inc.(a)

    52,306       461,339  

Jack in the Box, Inc.

     36,234       2,957,781  

Kura Sushi USA, Inc., Class A(a)(b)

    10,374       788,424  

Nathan’s Famous, Inc.

     4,919       383,731  

Noodles & Co., Class A(a)

    67,772       213,482  

ONE Group Hospitality, Inc.(a)

    38,498       235,608  

Papa John’s International, Inc.

     58,773       4,480,266  

Potbelly Corp.(a)

    47,663       496,648  

Red Robin Gourmet Burgers, Inc.(a)(b)

    27,221       339,446  

Rush Street Interactive, Inc., Class A(a)

    115,455       518,393  

Shake Shack, Inc., Class A(a)(b)

    67,518       5,004,434  

Sweetgreen, Inc., Class A(a)(b)

    175,333       1,981,263  
   

 

 

  
      39,805,380  
Road & Rail — 0.0%            

TuSimple Holdings, Inc., Class A(a)(b)

    291,662       256,021  
   

 

 

  
Scientific Instruments: Control & Filter — 0.7%        

Arlo Technologies, Inc.(a)

    159,896       1,522,210  

Energy Recovery, Inc.(a)(b)

    101,473       1,911,751  

ESCO Technologies, Inc.

     45,783       5,357,985  

Gorman-Rupp Co.

     40,732       1,447,208  

Helios Technologies, Inc.

     60,100       2,725,535  
 

 

 

92  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Scientific Instruments: Control & Filter (continued)            

Napco Security Technologies, Inc.

         57,492       $    1,969,101  

Resideo Technologies, Inc.(a)

    261,849       4,927,998  

Thermon Group Holdings, Inc.(a)

    59,535       1,939,055  

Watts Water Technologies, Inc., Class A

     48,906       10,189,076  
   

 

 

  
      31,989,919  
Scientific Instruments: Electrical — 0.7%            

Allient, Inc.

     23,007       695,041  

Atkore, Inc.(a)

    67,733       10,837,280  

AZZ, Inc.

     44,963       2,611,901  

EnerSys

     73,771       7,447,920  

Franklin Electric Co., Inc.

     82,582       7,981,550  

FTC Solar, Inc.(a)(b)

    109,681       75,987  

Preformed Line Products Co.

     4,418       591,394  
   

 

 

  
      30,241,073  
Scientific Instruments: Gauges & Meters — 0.4%        

Badger Meter, Inc.

     52,598       8,119,553  

FARO Technologies, Inc.(a)

    34,249       771,630  

Itron, Inc.(a)

    81,442       6,149,685  

Mesa Laboratories, Inc.

     9,201       963,989  

Transcat, Inc.(a)(b)

    13,545       1,480,875  

Vishay Precision Group, Inc.(a)

    22,635       771,175  
   

 

 

  
      18,256,907  
Scientific Instruments: Pollution Control — 0.0%        

CECO Environmental Corp.(a)

    54,923       1,113,838  
   

 

 

  
Securities Brokerage & Services — 0.1%            

StoneX Group, Inc.(a)

    47,905       3,536,826  
   

 

 

  
Semiconductors & Components — 1.8%            

Alpha & Omega Semiconductor Ltd.(a)

    41,788       1,088,995  

Amkor Technology, Inc.

     201,226       6,694,789  

Atomera, Inc.(a)(b)

    37,334       261,711  

CEVA, Inc.(a)

    43,192       980,890  

Diodes, Inc.(a)

    80,745       6,501,588  

FormFactor, Inc.(a)(b)

    137,937       5,753,352  

Kulicke & Soffa Industries, Inc.

     99,224       5,429,537  

MACOM Technology Solutions Holdings, Inc., Class H(a)(b)

    97,204       9,035,112  

MaxLinear, Inc.(a)

    135,145       3,212,397  

Power Integrations, Inc.

     101,565       8,339,502  

Rambus, Inc.(a)(b)

    194,953       13,305,542  

Semtech Corp.(a)(b)

    114,305       2,504,423  

Silicon Laboratories, Inc.(a)

    56,775       7,509,629  

SiTime Corp.(a)(b)

    31,296       3,820,616  

SkyWater Technology, Inc.(a)(b)

    30,222       290,736  

SMART Global Holdings, Inc.(a)(b)

    86,019       1,628,340  

Vishay Intertechnology, Inc.

     230,588       5,527,194  
   

 

 

  
      81,884,353  
Semiconductors & Semiconductor Equipment(a) — 0.3%            

Aehr Test Systems(b)

    47,780       1,267,604  

Ambarella, Inc.

     67,787       4,154,665  

Credo Technology Group Holding Ltd.

     205,030       3,991,934  

indie Semiconductor, Inc., Class A(b)

    250,986       2,035,497  

inTEST Corp.

     18,072       245,779  

Navitas Semiconductor Corp.

     194,786       1,571,923  

Transphorm, Inc.(b)

    43,608       159,169  
   

 

 

  
      13,426,571  
Shipping — 0.9%            

A-Mark Precious Metals, Inc.

     34,891       1,055,453  

Eagle Bulk Shipping, Inc.

     16,459       911,829  
Security   Shares     Value  
Shipping (continued)            

Genco Shipping & Trading Ltd.

         74,871       $    1,242,110  

Golar LNG Ltd.

     179,101       4,117,532  

Himalaya Shipping Ltd.(b)

    51,190       346,044  

International Seaways, Inc.

     72,623       3,302,894  

Matson, Inc.

     61,703       6,762,649  

Nordic American Tankers Ltd.

     375,526       1,577,209  

Pangaea Logistics Solutions Ltd.

     63,556       523,701  

Safe Bulkers, Inc.

     123,450       485,158  

Scorpio Tankers, Inc.

     85,382       5,191,226  

SFL Corp. Ltd.

     204,823       2,310,403  

SITE Centers Corp.

     340,793       4,645,009  

Teekay Corp.(a)(b)

    110,738       791,777  

Teekay Tankers Ltd., Class A

     43,282       2,162,802  

Tidewater, Inc.(a)

    83,021       5,986,644  
   

 

 

  
      41,412,440  
Software — 1.4%            

Amplitude, Inc., Class A(a)

    120,804       1,536,627  

AvePoint, Inc., Class A(a)(b)

    265,436       2,179,230  

AvidXchange Holdings, Inc.(a)(b)

    270,138       3,347,010  

Bit Digital, Inc.(a)(b)

    127,023       537,307  

Braze, Inc., Class A(a)

    93,663       4,976,315  

C3.ai, Inc., Class A(a)(b)

    145,447       4,175,783  

Cipher Mining, Inc.(a)(b)

    74,178       306,355  

Clear Secure, Inc., Class A

     146,907       3,033,630  

Consensus Cloud Solutions, Inc.(a)

    34,848       913,366  

Couchbase, Inc.(a)(b)

    62,567       1,409,009  

CS Disco, Inc.(a)

    44,051       334,347  

CXApp, Inc., Class A

     3,143       4,054  

Enfusion, Inc., Class A(a)(b)

    68,534       664,780  

EngageSmart, Inc.(a)

    88,138       2,018,360  

EverCommerce, Inc.(a)

    43,674       481,724  

Expensify, Inc., Class A(a)

    94,809       234,178  

Freshworks, Inc., Class A(a)

    289,635       6,803,526  

Instructure Holdings, Inc.(a)

    34,783       939,489  

Intapp, Inc.(a)

    49,121       1,867,580  

Jamf Holding Corp.(a)

    126,663       2,287,534  

Kaltura, Inc.(a)

    151,352       295,136  

MarketWise, Inc., Class A

     63,484       173,311  

MeridianLink, Inc.(a)

    46,932       1,162,506  

Model N, Inc.(a)(b)

    68,163       1,835,630  

N-able, Inc.(a)

    124,402       1,648,326  

NextNav, Inc.(a)

    95,719       425,950  

Olo, Inc., Class A(a)

    191,473       1,095,226  

Qualys, Inc.(a)

    66,506       13,053,798  

SEMrush Holdings, Inc., Class A(a)

    57,839       790,081  

SoundHound AI, Inc., Class A(a)(b)

    248,465       526,746  

Sprinklr, Inc., Class A(a)(b)

    188,854       2,273,802  

Terawulf, Inc.(a)(b)

    256,302       615,125  

Weave Communications, Inc.(a)

    60,371       692,455  

Zeta Global Holdings Corp., Class A(a)(b)

    249,433       2,199,999  
   

 

 

  
      64,838,295  
Specialty Retail — 2.2%            

1-800-Flowers.com, Inc., Class A(a)

    49,440       532,963  

Aaron’s Co., Inc.

     54,498       592,938  

Abercrombie & Fitch Co., Class A(a)

    87,272       7,699,136  

Academy Sports & Outdoors, Inc.

     129,302       8,533,932  

Alta Equipment Group, Inc., Class A

     42,374       524,166  

American Eagle Outfitters, Inc.

     326,680       6,912,549  

America’s Car-Mart, Inc.(a)(b)

    10,484       794,373  

Arko Corp., Class A

     145,236       1,198,197  

Asbury Automotive Group, Inc.(a)(b)

    37,022       8,328,839  
 

 

 

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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Specialty Retail (continued)            

Big 5 Sporting Goods Corp.

         39,098       $     247,881  

Blink Charging Co.(a)(b)

    95,934       325,216  

Boot Barn Holdings, Inc.(a)(b)

    53,188       4,082,711  

Buckle, Inc.

     54,491       2,589,412  

Build-A-Bear Workshop, Inc.

     23,386       537,644  

Caleres, Inc.

     60,241       1,851,206  

Carvana Co., Class A(a)(b)

    171,515       9,080,004  

Cato Corp., Class A

     33,287       237,669  

Chico’s FAS, Inc.(a)

    213,111       1,615,381  

Children’s Place, Inc.(a)

    22,053       512,071  

Designer Brands, Inc., Class A

     77,156       682,831  

Destination XL Group, Inc.(a)

    108,631       477,976  

Envela Corp.(a)

    16,538       80,375  

EVgo, Inc., Class A(a)(b)

    185,400       663,732  

Foot Locker, Inc.

     146,804       4,572,945  

Genesco, Inc.(a)

    19,699       693,602  

Group 1 Automotive, Inc.(b)

    24,409       7,438,399  

Guess?, Inc.

     51,084       1,177,997  

Haverty Furniture Cos., Inc.

     26,441       938,656  

Hibbett, Inc.

     21,858       1,574,213  

J Jill, Inc.(a)

    8,481       218,640  

Lands’ End, Inc.(a)

    26,544       253,761  

Leslie’s, Inc.(a)

    317,023       2,190,629  

MarineMax, Inc.(a)

    38,197       1,485,863  

Monro, Inc.

     56,915       1,669,886  

National Vision Holdings, Inc.(a)

    140,470       2,940,037  

ODP Corp.(a)

    58,047       3,268,046  

OneWater Marine, Inc., Class A(a)(b)

    21,028       710,536  

Sally Beauty Holdings, Inc.(a)(b)

    191,848       2,547,742  

Shoe Carnival, Inc.

     32,591       984,574  

Sonic Automotive, Inc., Class A

     26,626       1,496,648  

Sportsman’s Warehouse Holdings, Inc.(a)

    71,772       305,749  

Tilly’s, Inc., Class A(a)

    41,556       313,332  

Torrid Holdings, Inc.(a)(b)

    20,346       117,396  

Urban Outfitters, Inc.(a)

    114,093       4,071,979  

Warby Parker, Inc., Class A(a)(b)

    150,455       2,121,416  

Zumiez, Inc.(a)

    29,950       609,183  
   

 

 

  
      99,802,431  
Steel — 0.5%            

ATI, Inc.(a)

    230,595       10,485,155  

Carpenter Technology Corp.

     87,788       6,215,390  

Ivanhoe Electric, Inc.(a)

    99,478       1,002,738  

Olympic Steel, Inc.

     17,595       1,173,587  

Ryerson Holding Corp.

     44,189       1,532,475  

Schnitzer Steel Industries, Inc., Class A

     46,177       1,392,698  

TimkenSteel Corp.(a)

    77,447       1,816,132  
   

 

 

  
      23,618,175  
Technology Hardware & Equipment — 0.2%        

CompoSecure, Inc., Class A(a)(b)

    27,101       146,346  

CPI Card Group, Inc.(a)(b)

    6,890       132,219  

IonQ, Inc.(a)(b)

    287,330       3,560,019  

Xerox Holdings Corp.

     209,986       3,849,043  
   

 

 

  
      7,687,627  
Technology: Miscellaneous — 0.5%            

Aeva Technologies, Inc.(a)

    149,503       113,278  

Benchmark Electronics, Inc.

     64,506       1,782,946  

CTS Corp.

     55,385       2,422,540  

Fabrinet(a)

    65,808       12,525,237  
Security   Shares     Value  
Technology: Miscellaneous (continued)            

Kimball Electronics, Inc.(a)(b)

       43,762       $    1,179,386  

Plexus Corp.(a)(b)

    49,073       5,306,263  
   

 

 

  
      23,329,650  
Telecommunications Equipment(a) — 0.2%            

Akoustis Technologies, Inc.

     128,450       107,127  

Cambium Networks Corp.

     20,578       123,468  

Clearfield, Inc.(b)

    23,275       676,837  

Knowles Corp.

     162,764       2,915,103  

Viavi Solutions, Inc.

     395,519       3,982,877  
   

 

 

  
      7,805,412  
Textile Products — 0.0%            

Interface, Inc., Class A

     102,452       1,292,944  
   

 

 

  
Textiles Apparel & Shoes — 0.5%            

Fossil Group, Inc.(a)

    95,290       139,123  

G-III Apparel Group Ltd.(a)

    73,598       2,500,860  

Hanesbrands, Inc.

     629,185       2,806,165  

Kontoor Brands, Inc.

     100,474       6,271,587  

Oxford Industries, Inc.

     27,089       2,708,900  

Rocky Brands, Inc.

     13,681       412,893  

Steven Madden Ltd.

     134,592       5,652,864  

Vera Bradley, Inc.(a)(b)

    49,511       381,235  

Weyco Group, Inc.

     10,748       337,057  

Wolverine World Wide, Inc.

     137,722       1,224,349  
   

 

 

  
      22,435,033  
Textiles, Apparel & Luxury Goods — 0.0%            

Allbirds, Inc., Class A(a)

    158,101       193,674  
   

 

 

  
Toys — 0.0%            

Funko, Inc., Class A(a)

    60,533       467,920  
   

 

 

  
Trading Companies & Distributors — 0.0%            

Hudson Technologies, Inc.(a)

    81,340       1,097,277  
   

 

 

  
Transportation Miscellaneous — 0.2%            

Costamare, Inc.

     83,028       864,322  

Hub Group, Inc., Class A(a)

    56,189       5,166,017  

Textainer Group Holdings Ltd.

     72,257       3,555,044  
   

 

 

  
      9,585,383  
Truckers — 0.5%            

ArcBest Corp.(b)

    42,554       5,115,416  

Covenant Logistics Group, Inc., Class A

     14,810       681,852  

Daseke, Inc.(a)

    75,772       613,753  

Forward Air Corp.

     46,014       2,892,900  

FRP Holdings, Inc.(a)

    12,113       761,666  

FTAI Infrastructure, Inc.

     176,671       687,250  

Heartland Express, Inc.

     83,222       1,186,746  

Marten Transport Ltd.

     105,515       2,213,705  

PAM Transportation Services, Inc.(a)(b)

    9,854       204,766  

RXO, Inc.(a)

    207,765       4,832,614  

Universal Logistics Holdings, Inc.

     13,059       365,913  

Werner Enterprises, Inc.

     113,204       4,796,454  
   

 

 

  
      24,353,035  
Utilities: Electrical — 1.1%            

ALLETE, Inc.

     103,340       6,320,274  

Avista Corp.

     137,483       4,913,642  

Black Hills Corp.

     120,593       6,505,992  

Genie Energy Ltd., Class B

     35,355       994,536  

MGE Energy, Inc.

     65,237       4,717,288  

Northwestern Energy Group, Inc.

     109,675       5,581,361  

Otter Tail Corp.

     73,816       6,272,146  
 

 

 

94  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Utilities: Electrical (continued)            

PNM Resources, Inc.

     153,292       $    6,376,947  

Portland General Electric Co.

     181,773       7,878,042  

Unitil Corp.

     29,224       1,536,306  
   

 

 

  
      51,096,534  
Utilities: Gas Distributors — 0.6%            

Chesapeake Utilities Corp.

     38,043       4,018,482  

New Jersey Resources Corp.

     173,793       7,747,692  

Northwest Natural Holding Co.

     64,204       2,500,104  

RGC Resources, Inc.

     14,637       297,717  

Southwest Gas Holdings, Inc.

     110,458       6,997,514  

Spire, Inc.

     92,156       5,745,005  
   

 

 

  
      27,306,514  
Utilities: Miscellaneous — 0.3%            

Brookfield Infrastructure Corp., Class A

     214,320       7,561,210  

Ormat Technologies, Inc.

     95,619       7,246,964  
   

 

 

  
      14,808,174  
Utilities: Telecommunications — 0.5%            

8x8, Inc.(a)

    209,626       792,386  

ATN International, Inc.

     19,607       764,085  

Cogent Communications Holdings, Inc.

     78,262       5,952,608  

Consolidated Communications Holdings, Inc.(a)

    133,732       581,734  

Globalstar, Inc.(a)

    1,257,447       2,439,447  

IDT Corp., Class B(a)

    28,415       968,667  

Shenandoah Telecommunications Co.

     88,022       1,903,036  

Spok Holdings, Inc.

     32,304       500,066  

Telephone and Data Systems, Inc.

     176,892       3,245,968  

Xperi, Inc.(a)

    75,842       835,779  

Ziff Davis, Inc.(a)

    82,725       5,558,293  
   

 

 

  
      23,542,069  
Utilities: Water — 0.4%            

American States Water Co.

     66,255       5,328,227  

Artesian Resources Corp., Class A

     16,723       693,168  

California Water Service Group

     103,334       5,359,935  

Consolidated Water Co. Ltd.

     27,985       996,266  

Global Water Resources, Inc.

     19,053       249,213  

Middlesex Water Co.

     31,767       2,084,550  

Pure Cycle Corp.(a)

    35,602       372,753  

SJW Group

     57,073       3,729,721  

York Water Co.

     25,484       984,192  
   

 

 

  
      19,798,025  
   

 

 

  

Total Common Stocks — 98.7%
(Cost: $3,572,507,710)

       4,507,628,683  
   

 

 

  

Investment Companies

    
Equity Funds — 0.6%            

iShares Russell 2000 ETF(e)

    146,025       29,308,678  
   

 

 

  

Total Investment Companies — 0.6%
(Cost: $24,936,486)

       29,308,678  
   

 

 

  

 

Security   Shares     Value  

Rights

    
Biotechnology — 0.0%            

Aduro Biotech, Inc., CVR(c)

    21,953       $      55,738  

Cartesian Therapeutics, Inc., CVR

     225,801       40,644  

Chinook Therapeutics, CVR(c)

    100,285       44,125  

GTx, Inc., CVR(b)(c)

    944       968  
   

 

 

  

Total Rights — 0.0%
(Cost: $76,268)

       141,475  
   

 

 

  

Warrants

    
Pharmaceuticals — 0.0%            

Cassava Sciences, Inc., (Issued 12/22/23, Exercisable 01/03/24, 1 Share for 1 Warrant, Expires 11/15/24, Strike Price USD(a)(c)

    29,080       —  
   

 

 

  

Total Warrants — 0.0%
(Cost: $ — )

       —  
   

 

 

  
Total Long-Term Investments —99.3%
(Cost: $3,597,520,464)		         4,537,078,836  
   

 

 

  

Short-Term Securities

    
Money Market Funds — 9.7%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.54%(e)(f)(g)

    388,396,389       388,629,427  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(e)(f)

    55,898,214       55,898,214  
   

 

 

  

Total Short-Term Securities —9.7%
(Cost: $444,282,733)

       444,527,641  
   

 

 

  
Total Investments — 109.0%
(Cost: $4,041,803,197)		         4,981,606,477  

Liabilities in Excess of Other Assets — (9.0)%

 

     (412,921,648 ) 
   

 

 

  

Net Assets — 100.0%

       $4,568,684,829  
   

 

 

  

 

(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)   

Restricted security as to resale, excluding 144A securities. The Series held restricted securities with a current value of $197,287, representing less than 0.05% of its net assets as of period end, and an original cost of $1,040,392.

(e)   

Affiliate of the Series.

(f)   

Annualized 7-day yield as of period end.

(g)   

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

   95

Schedule of Investments (continued)

December 31, 2023

   

Master Small Cap Index Series

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Series during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer  

Value at

12/31/22

    Purchases
at Cost 		   

Proceeds

from Sale

    Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
12/31/23 		    Shares
Held at
12/31/23 		    Income    

Capital Gain
Distributions

from

Underlying
Funds

 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $ 319,335,055     $ 69,196,899 (a)    $ —     $ 17,861     $ 79,612     $ 388,629,427       388,396,389     $ 5,432,257 (b)    $ —  

BlackRock Cash Funds: Treasury, SL Agency Shares

     34,903,521       20,994,693 (a)       —       —       —       55,898,214       55,898,214       2,194,820       —  

iShares Russell 2000 ETF

     34,305,853       334,923,506       (345,938,947 )      2,442,382       3,575,884       29,308,678       146,025       421,906       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ 2,460,243     $ 3,655,496     $ 473,836,319       $ 8,048,983     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (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

            

E-mini Russell 2000 Index

      191        03/15/24      $ 19,556      $ (134,204 ) 
           

 

 

  

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)      08/19/26      $ 9,255,775      $ (20,265 )(c)     $ 9,205,085        0.2 % 
     Monthly      HSBC Bank PLC(d)      02/10/28        7,415,284        562,185 (e)       7,984,606        0.2  
     Monthly      JPMorgan Chase Bank N.A.(f)      02/08/24        7,164,918        351,827 (g)       7,510,794        0.2  
              

 

 

     

 

 

     
               $ 893,747      $ 24,700,485     
              

 

 

     

 

 

     

 

  (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 $30,425 of net dividends and financing fees.

  (e) 

Amount includes $(7,137) of net dividends and financing fees.

  (g) 

Amount includes $5,951 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:

    0 - 300 basis points    40 basis points    40 basis points

Benchmarks: 

    USD - 1D Overnight Fed Funds Effective Rate (FEDL01)    USD - 1D Overnight Bank Funding Rate (OBFR01)    USD - 1D Overnight Bank Funding Rate (OBFR01)

 

 

96  

2 0 2 3  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, 2023

    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 08/19/26:

 

Security   Shares     Value      %of
Basket
Value		  

Reference Entity — Long

       
Common Stocks                   
Banks: Diversified                   

Atlantic Union Bankshares Corp.

     75     $ 2,741        0.0 % 

Bank of Hawaii Corp.

     8,780       636,199        6.9  

BankUnited, Inc.

     16,596       538,208        5.8  

Banner Corp.

     2,354       126,080        1.4  

Berkshire Hills Bancorp, Inc.

     8,104       201,222        2.2  

Cadence Bank

     41,055       1,214,818        13.2  

Cathay General Bancorp

     3,334       148,596        1.6  

Central Pacific Financial Corp.

     1,196       23,537        0.3  

City Holding Co.

     2,400       264,624        2.9  

Community Bank System, Inc.

     4,855       252,994        2.7  

CVB Financial Corp.

     16,152       326,109        3.5  

Fulton Financial Corp.

     16,203       266,701        2.9  

Hanmi Financial Corp.

     8,735       169,459        1.8  

Independent Bank Corp.

     2,776       182,689        2.0  

National Bank Holdings Corp., Class A

     1,629       60,583        0.7  

NBT Bancorp, Inc.

     2,765       115,881        1.3  

Pitney Bowes, Inc.

     219       6,601        0.1  

Simmons First National Corp., Class A

     25,770       511,277        5.5  

Trustmark Corp.

     1,313       36,606        0.4  
   

 

 

     

 

 

  
      5,084,925     
Banks: Savings, Thrift & Mortgage Lending                   

Northwest Bancshares, Inc.

     27,555       343,887        3.7  

WaFd, Inc.

     7,373       243,014        2.7  

WSFS Financial Corp.

     7,839       360,045        3.9  
   

 

 

     

 

 

  
      946,946     
Diversified Financial Services                   

Moelis & Co., Class A

     3,204       179,840        2.0  
   

 

 

     

 

 

  
Insurance: Multi-Line                   

Horace Mann Educators Corp.

     2,538       82,993        0.9  
   

 

 

     

 

 

  
Insurance: Property-Casualty                   

Genworth Financial, Inc., Class A

     1,053       7,034        0.1  

ProAssurance Corp.

     717       9,887        0.1  

Radian Group, Inc.

     15,432       440,584        4.8  

Stewart Information Services Corp.

     7,131       418,946        4.5  
   

 

 

     

 

 

  
      876,451     
IT Services                   

Bread Financial Holdings, Inc.

     7,320       241,121        2.6  

Payoneer Global, Inc.

     8,076       42,076        0.5  
   

 

 

     

 

 

  
      283,197     
Office Supplies & Equipment                   

Pitney Bowes, Inc.

     9,221       40,572        0.4  
   

 

 

     

 

 

  
Real Estate Investment Trusts (REITs)                   

Arbor Realty Trust, Inc.

     43,272       656,869        7.1  
Security   Shares     Value      %of
Basket
Value		  
Real Estate Investment Trusts (REITs) (continued)                   

Douglas Emmett, Inc.

     7,568     $ 109,736        1.2 % 

SL Green Realty Corp.

     20,889       943,556        10.3  
   

 

 

     

 

 

  
      1,710,161     
   

 

 

     
Net Value of Reference Entity — Goldman Sachs Bank USA     $9,205,085         
   

 

 

     

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 02/10/28:

 

Security   Shares     Value      %of
Basket
Value		  

Reference Entity — Long

       
Common Stocks                   
Alternative Energy                   

Green Plains, Inc.

     37,509     $ 945,977        11.8 % 
   

 

 

     

 

 

  
Asset Management & Custodian                   

Artisan Partners Asset Management, Inc., Class A

     533       23,548        0.3  
   

 

 

     

 

 

  
Banks: Diversified                   

Atlantic Union Bankshares Corp.

     6,177       225,708        2.8  

Banner Corp.

     6,481       347,122        4.3  

Berkshire Hills Bancorp, Inc.

     6,677       165,790        2.1  

Cadence Bank

     12,727       376,592        4.7  

Cathay General Bancorp

     5,106       227,575        2.8  

Community Bank System, Inc.

     1,347       70,192        0.9  

First BanCorp./Puerto Rico

     25,587       420,906        5.3  

First Financial Bancorp

     1,360       32,300        0.4  

Independent Bank Corp.

     4,710       309,965        3.9  

National Bank Holdings Corp., Class A

     1,302       48,421        0.6  

NBT Bancorp, Inc.

     2,247       94,172        1.2  

Pacific Premier Bancorp, Inc.

     9,602       279,514        3.5  

Preferred Bank/Los Angeles CA, Preference Shares

     11,451       836,496        10.5  

Provident Financial Services, Inc.

     11,766       212,141        2.6  

Renasant Corp.

     674       22,700        0.3  

Trustmark Corp.

     6,558       182,837        2.3  

United Community Banks, Inc., Series 16-2

     2,146       62,792        0.8  

Veritex Holdings, Inc.

     1,941       45,167        0.6  
   

 

 

     

 

 

  
      3,960,390     
Banks: Savings, Thrift & Mortgage Lending               

Northwest Bancshares, Inc.

     3,610       45,053        0.6  

WaFd, Inc.

     2,275       74,984        0.9  

WSFS Financial Corp.

     7,286       334,646        4.2  
   

 

 

     

 

 

  
      454,683     
Commercial Finance & Mortgage Companies               

Pathward Financial, Inc.

     849       44,937        0.6  
   

 

 

     

 

 

  
Computer Services Software & Systems                   

Envestnet, Inc.

     9,455       468,211        5.9  
   

 

 

     

 

 

  
Diversified Financial Services                   

Moelis & Co., Class A

     3,897       218,739        2.7  
   

 

 

     

 

 

  
Financial Data & Systems                   

Green Dot Corp., Class A

     10,909       107,999        1.4  
   

 

 

     

 

 

  
 

 

 

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, 2023

   

Master Small Cap Index Series

 

Security   Shares     Value      %of
Basket
Value		  
Insurance: Property-Casualty                   

Genworth Financial, Inc., Class A

     54,421     $ 363,532        4.5 % 

ProAssurance Corp.

     2,734       37,702        0.5  

Radian Group, Inc.

     19,809       565,547        7.1  

Stewart Information Services Corp.

     53       3,114        0.0  
   

 

 

     

 

 

  
      969,895     
IT Services                   

Payoneer Global, Inc.

     36,327       189,264        2.4  
   

 

 

     

 

 

  
Office Supplies & Equipment                   

Pitney Bowes, Inc.

     101,341       445,900        5.6  
   

 

 

     

 

 

  
Real Estate Investment Trusts (REITs)                   

Douglas Emmett, Inc.

     10,694       155,063        1.9  
   

 

 

     

 

 

  
Net Value of Reference Entity — HSBC Bank PLC         $7,984,606         
   

 

 

     

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 02/08/24:

 

Security   Shares     Value      %of
Basket
Value		  

Reference Entity — Long

       
Common Stocks                   
Alternative Energy                   

Green Plains, Inc.

     15,114     $ 381,175        5.1 % 
   

 

 

     

 

 

  
Banks                   

Brookline Bancorp, Inc.

     127       1,386        0.0  

Heritage Financial Corp.

     206       4,406        0.1  
   

 

 

     

 

 

  
      5,792     
Banks: Diversified                   

Atlantic Union Bankshares Corp.

     3,227       117,915        1.6  

BankUnited, Inc.

     701       22,733        0.3  

Cadence Bank

     6,950       205,650        2.7  

Central Pacific Financial Corp.

     9,962       196,052        2.6  

Community Bank System, Inc.

     2,289       119,280        1.6  

First BanCorp./Puerto Rico

     7,191       118,292        1.6  

First Bancorp/Southern Pines NC

     345       12,768        0.2  

First Commonwealth Financial Corp.

     888       13,711        0.2  

Hanmi Financial Corp.

     10,684       207,270        2.7  

Hope Bancorp, Inc.

     489       5,907        0.1  

 

Security   Shares     Value      %of
Basket
Value		  
Banks: Diversified (continued)                   

Independent Bank Corp.

     2,775     $ 182,623        2.4 % 

Lakeland Financial Corp.

     216       14,075        0.2  

National Bank Holdings Corp., Class A

     3,929       146,120        1.9  

OFG Bancorp

     873       32,720        0.4  

Renasant Corp.

     8,386       282,440        3.7  

Seacoast Banking Corp. of Florida

     1,222       34,778        0.5  

Simmons First National Corp., Class A

     2,551       50,612        0.7  

TrustCo Bank Corp.

     60       1,863        0.0  

Veritex Holdings, Inc.

     17,957       417,859        5.6  

Westamerica BanCorp

     225       12,692        0.2  
   

 

 

     

 

 

  
      2,195,360     
Banks: Savings, Thrift & Mortgage Lending               

WaFd, Inc.

     3,065       101,022        1.3  
   

 

 

     

 

 

  
Commercial Finance & Mortgage Companies               

Pathward Financial, Inc.

     2,351       124,438        1.7  
   

 

 

     

 

 

  
Diversified Financial Services                   

Jackson Financial, Inc., Class A

     14,171       725,555        9.7  
   

 

 

     

 

 

  
Insurance: Multi-Line                   

Horace Mann Educators Corp.

     7,498       245,185        3.3  
   

 

 

     

 

 

  
Insurance: Property-Casualty                   

Employers Holdings, Inc., Series 2020

     4,905       193,257        2.6  

Genworth Financial, Inc., Class A

     60,255       402,503        5.4  

ProAssurance Corp.

     13,897       191,640        2.5  

Safety Insurance Group, Inc.

     542       41,187        0.5  
   

 

 

     

 

 

  
      828,587     
IT Services                   

Bread Financial Holdings, Inc.

     35,908       1,182,810        15.7  
   

 

 

     

 

 

  
Media                   

Vimeo, Inc.

     37,791       148,141        2.0  
   

 

 

     

 

 

  
Oil, Gas & Consumable Fuels                   

SFL Corp., Ltd.

     897       10,118        0.1  
   

 

 

     

 

 

  
Professional Services                   

CSG Systems International, Inc.

     983       52,305        0.7  
   

 

 

     

 

 

  
Real Estate Investment Trusts (REITs)                   

Douglas Emmett, Inc.

     104,159       1,510,306        20.1  
   

 

 

     

 

 

  
Net Value of Reference Entity — JPMorgan Chase Bank N.A     $7,510,794         
   

 

 

     
 

 

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

    $ —      $ —      $ 914,012      $ (20,265 ) 

 

 

98  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

               
      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Assets — Derivative Financial Instruments

                     

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

    $ —      $ —      $ 914,012      $ —      $ —      $ —      $ 914,012  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

   $ —      $ —      $ 134,204      $ —      $ —      $ —      $ 134,204  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        —        20,265        —        —        —        20,265  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ 154,469      $ —      $ —      $ —      $ 154,469  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

For the period ended December 31, 2023, the effect of derivative financial instruments in the Statement of Operations was as follows:

 

               
      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ 4,060,418      $ —      $ —      $ —      $ 4,060,418  

Swaps

      —        —        2,074,601        —        —        —        2,074,601  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ 6,135,019      $ —      $ —      $ —      $ 6,135,019  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ 229,126      $ —      $ —      $ —      $ 229,126  

Swaps

      —        —        904,313        —        —        —        904,313  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ 1,133,439      $ —      $ —      $ —      $ 1,133,439  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

         

Average notional value of contracts — long

    $ 23,185,680  

Total return swaps:

   

Average notional value

    $ 25,942,194  

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

    $ —      $ 565,752  

Swaps — OTC(a)

     914,012        20,265  
  

 

 

     

 

 

  

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

      914,012        586,017  
  

 

 

     

 

 

  

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

      —        (565,752 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 914,012      $ 20,265  
  

 

 

     

 

 

  

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities.

 

 

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

   99

Schedule of Investments (continued)

December 31, 2023

   

Master Small Cap Index Series

 

The following table presents the Series’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Series:

 

Counterparty     



 Derivative
Assets
Subject to an
MNA by
Counterparty		  
 
 
 
 		     

 Derivatives
Available

for Offset

 
 

 

     

 Non-Cash
Collateral
Received 		 
 
 		     

 Cash
Collateral
Received		  
 
(a) 		     

 Net Amount
of Derivative
Assets(b)		  
 
 

HSBC Bank PLC

    $ 562,185      $ —      $ —      $ (490,000 )     $ 72,185  

JPMorgan Chase Bank N.A

      351,827        —        —        (351,827 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 914,012      $ —      $ —      $ (841,827 )     $ 72,185  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

Counterparty     



 Derivative
Liabilities
Subject to an
MNA by
Counterparty		  
 
 
 
 		     

 Derivatives
Available for
Offset 		 
 
 		     

 Non-Cash
Collateral
Pledged 		 
 
 		     

 Cash
Collateral
Pledged		  
 
 		     

 Net Amount
of Derivative
Liabilities		  
 
(c) 

Goldman Sachs Bank USA

    $ 20,265      $ —      $ —      $ —      $ 20,265  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 
  (c)

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

 

Fair Value Hierarchy as of Period End

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

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

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Common Stocks

                  

Advertising Agencies

    $     6,876,321        $     —        $    —        $     6,876,321  

Aerospace

      5,962,260          —          —          5,962,260  

Aerospace & Defense

      44,227,218          —          —          44,227,218  

Agriculture, Fishing & Ranching

      10,871,305          —          —          10,871,305  

Air Transport

      20,481,556          —          —          20,481,556  

Airlines

      401,827          —          —          401,827  

Alternative Energy

      23,855,374          —          —          23,855,374  

Aluminum

      3,179,740          —          —          3,179,740  

Asset Management & Custodian

      34,171,346          —          —          34,171,346  

Auto Components

      3,180,019          —          —          3,180,019  

Auto Parts

      35,449,106          —          —          35,449,106  

Auto Services

      7,208,359          —          —          7,208,359  

Back Office Support, HR & Consulting

      75,986,668          —          —          75,986,668  

Banks: Diversified

      410,301,736          —          —          410,301,736  

Banks: Savings, Thrift & Mortgage Lending

      9,414,745          —          —          9,414,745  

Beverage: Soft Drinks

      15,137,387          —          —          15,137,387  

Biotechnology

      344,721,662          —          —          344,721,662  

Building Materials

      52,069,273          —          —          52,069,273  

Building Products

      1,977,558          —          —          1,977,558  

Building: Climate Control

      21,964,917          —          —          21,964,917  

Building: Roofing, Wallboard & Plumbing

      11,892,286          —          —          11,892,286  

Cable Television Services

      3,679,257          —          —          3,679,257  

Capital Markets

      10,505,387          —          —          10,505,387  

Casinos & Gambling

      22,352,913          —          —          22,352,913  

Cement

      376,150          —          —          376,150  

Chemicals

      1,254,862          —          —          1,254,862  

Chemicals: Diversified

      37,608,951          —          —          37,608,951  

 

 

100  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

 

Fair Value Hierarchy as of Period End (continued)

 

                                  
         
      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                  

Chemicals: Specialty

    $    35,307,215        $     —        $     —        $    35,307,215  

Coal

      21,802,589          —          —          21,802,589  

Commercial Banks

      2,424,041          —          —          2,424,041  

Commercial Finance & Mortgage Companies

      14,142,647          —          —          14,142,647  

Commercial Services & Supplies

      8,579,309          —          —          8,579,309  

Commercial Services: Rental & Leasing

      41,101,770          —          —          41,101,770  

Commercial Vehicles & Parts

      18,029,296          —          —          18,029,296  

Communications Equipment

      1,039,582          —          —          1,039,582  

Communications Technology

      30,368,200          —          —          30,368,200  

Computer Services Software & Systems

      257,661,659          —          —          257,661,659  

Computer Technology

      49,506,254          —          —          49,506,254  

Construction

      24,888,340          —          —          24,888,340  

Consumer Electronics

      4,350,492          —          —          4,350,492  

Consumer Finance

      6,484,882          —          —          6,484,882  

Consumer Lending

      17,927,083          —          —          17,927,083  

Consumer Services: Miscellaneous

      16,854,373          —          —          16,854,373  

Containers & Packaging

      12,908,274          —          —          12,908,274  

Cosmetics

      18,651,611          —          —          18,651,611  

Diversified Consumer Services

      19,515,943          —          —          19,515,943  

Diversified Financial Services

      27,287,697          —          —          27,287,697  

Diversified Manufacturing Operations

      27,781,295          —          —          27,781,295  

Diversified Materials & Processing

      19,365,801          —          —          19,365,801  

Diversified Media

      846,461          —          —          846,461  

Diversified Retail

      14,520,518          —          —          14,520,518  

Diversified Telecommunication Services

      4,213,101          —          —          4,213,101  

Drug & Grocery Store Chains

      13,554,817          —          —          13,554,817  

Education Services

      32,050,476          —          —          32,050,476  

Electrical Equipment

      12,967,965          —          —          12,967,965  

Electronic Components

      33,223,894          —          —          33,223,894  

Electronic Entertainment

      872,827          —          —          872,827  

Electronic Equipment, Instruments & Components

      8,907,229          141,786          —          9,049,015  

Electronics

      16,046,154          —          —          16,046,154  

Energy Equipment

      43,948,820          —          —          43,948,820  

Energy Equipment & Services

      31,278,728          —          —          31,278,728  

Engineering & Contracting Services

      34,795,859          —          —          34,795,859  

Entertainment

      15,807,552          —          —          15,807,552  

Environmental, Maintenance, & Security Service

      23,242,850          —          —          23,242,850  

Financial Data & Systems

      16,761,320          —          —          16,761,320  

Financial Services

      14,784,644          —          —          14,784,644  

Food & Staples Retailing

      287,856          —          —          287,856  

Food Products

      6,855,998          —          —          6,855,998  

Foods

      38,332,635          —          —          38,332,635  

Forest Products

      22,668,934          —          —          22,668,934  

Forms & Bulk Printing Services

      2,953,312          —          —          2,953,312  

Fruit & Grain Processing

      2,793,141          —          —          2,793,141  

Funeral Parlors & Cemeteries

      8,604,518          —          —          8,604,518  

Gas Pipeline

      9,649,533          —          —          9,649,533  

Glass

      2,104,568          —          —          2,104,568  

Gold

      3,925,820          —          —          3,925,820  

Health Care Equipment & Services

      3,564,638          —          —          3,564,638  

Health Care Equipment & Supplies

      7,689,191          —          —          7,689,191  

Health Care Facilities

      31,145,382          —          —          31,145,382  

Health Care Management Services

      18,933,473          —          —          18,933,473  

Health Care Providers & Services

      1,440,558          —          —          1,440,558  

Health Care Services

      71,989,439          —          —          71,989,439  

Home Building

      69,080,168          —          —          69,080,168  

Hotel/Motel

      9,695,510          —          —          9,695,510  

Hotels, Restaurants & Leisure

      5,062,880          —          —          5,062,880  

Household Appliances

      774,149          —          —          774,149  

Household Durables

      3,989,637          —          —          3,989,637  

Household Equipment & Products

      20,960,885          —          —          20,960,885  

Household Furnishings

      8,698,648          —          —          8,698,648  

Independent Power Producers & Energy Traders

      1,889,848          —          —          1,889,848  

 

 

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

   101

Schedule of Investments (continued)

December 31, 2023

   

Master Small Cap Index Series

 

Fair Value Hierarchy as of Period End (continued)

 

                                  
         
      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                  

Industrial Conglomerates

    $    1,081,379        $     —        $     —        $    1,081,379  

Insurance

      15,338,755          —          —          15,338,755  

Insurance: Life

      17,926,194          —          —          17,926,194  

Insurance: Multi-Line

      18,342,172          —          —          18,342,172  

Insurance: Property-Casualty

      58,259,816          —          —          58,259,816  

International Trade & Diversified Logistic

      1,581,532          —          —          1,581,532  

Internet & Catalog Retail

      757,379          —          —          757,379  

Internet Software & Services

      14,034,628          —          —          14,034,628  

IT Services

      25,465,721          —          —          25,465,721  

Leisure Time

      32,224,385          —          —          32,224,385  

Life Sciences Tools & Services

      532,755          —          —          532,755  

Luxury Items

      10,306,989          —          —          10,306,989  

Machinery

      5,100,213          —          —          5,100,213  

Machinery: Agricultural

      18,075,724          —          —          18,075,724  

Machinery: Construction & Handling

      10,855,982          —          —          10,855,982  

Machinery: Industrial

      55,521,444          —          —          55,521,444  

Machinery: Specialty

      5,494,230          —          —          5,494,230  

Manufactured Housing

      12,535,294          —          —          12,535,294  

Marine

      2,142,369          —          —          2,142,369  

Media

      7,786,115          —          —          7,786,115  

Medical & Dental Instruments & Supplies

      68,783,429          —          —          68,783,429  

Medical Equipment

      41,738,316          —          —          41,738,316  

Medical Services

      1,452,688          —          —          1,452,688  

Metal Fabricating

      23,679,399          —          —          23,679,399  

Metals & Minerals: Diversified

      45,479,956          —          —          45,479,956  

Metals & Mining

      1,557,323          —          —          1,557,323  

Mining

      1,268,956          —          —          1,268,956  

Office Supplies & Equipment

      11,598,676          —          —          11,598,676  

Oil & Gas Producers

      17,509,539          —          —          17,509,539  

Oil Well Equipment & Services

      51,125,989          —          —          51,125,989  

Oil, Gas & Consumable Fuels

      28,661,593          —          —          28,661,593  

Oil: Crude Producers

      80,688,545          —          —          80,688,545  

Oil: Refining & Marketing

      18,921,031          —          —          18,921,031  

Paints & Coatings

      8,264,899          —          —          8,264,899  

Paper

      2,697,258          —          —          2,697,258  

Paper & Forest Products

      3,144,022          —          —          3,144,022  

Personal Care

      26,310,017          —          —          26,310,017  

Personal Products

      2,695,893          —          —          2,695,893  

Pharmaceuticals

      94,337,769          197,287          —          94,535,056  

Photography

      782,391          —          —          782,391  

Power Transmission Equipment

      10,695,942          —          —          10,695,942  

Printing & Copying Services

      11,217,252          —          —          11,217,252  

Producer Durables: Miscellaneous

      2,254,949          —          —          2,254,949  

Production Technology Equipment

      36,986,182          —          —          36,986,182  

Professional Services

      10,409,782          —          —          10,409,782  

Publishing

      5,328,743          —          —          5,328,743  

Radio & TV Broadcasters

      7,857,538          —          —          7,857,538  

Railroad Equipment

      6,305,786          —          —          6,305,786  

Real Estate

      23,519,906          —          —          23,519,906  

Real Estate Investment Trusts (REITs)

      274,135,649          —          —          274,135,649  

Real Estate Management & Development

      9,943,632          —          —          9,943,632  

Recreational Vehicles & Boats

      14,244,754          —          —          14,244,754  

Rental & Leasing Services: Consumer

      3,346,758          —          —          3,346,758  

Restaurants

      39,805,380          —          —          39,805,380  

Road & Rail

      256,021          —          —          256,021  

Scientific Instruments: Control & Filter

      31,989,919          —          —          31,989,919  

Scientific Instruments: Electrical

      30,241,073          —          —          30,241,073  

Scientific Instruments: Gauges & Meters

      18,256,907          —          —          18,256,907  

Scientific Instruments: Pollution Control

      1,113,838          —          —          1,113,838  

Securities Brokerage & Services

      3,536,826          —          —          3,536,826  

Semiconductors & Components

      81,884,353          —          —          81,884,353  

Semiconductors & Semiconductor Equipment

      13,426,571          —          —          13,426,571  

Shipping

      41,412,440          —          —          41,412,440  

 

 

102  

2 0 2 3  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, 2023

   

Master Small Cap Index Series

 

Fair Value Hierarchy as of Period End (continued)

 

                                  
         
      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                  

Software

    $ 64,838,295        $     —        $     —        $ 64,838,295  

Specialty Retail

      99,802,431          —          —          99,802,431  

Steel

      23,618,175          —          —          23,618,175  

Technology Hardware & Equipment

      7,687,627          —          —          7,687,627  

Technology: Miscellaneous

      23,329,650          —          —          23,329,650  

Telecommunications Equipment

      7,805,412          —          —          7,805,412  

Textile Products

      1,292,944          —          —          1,292,944  

Textiles Apparel & Shoes

      22,435,033          —          —          22,435,033  

Textiles, Apparel & Luxury Goods

      193,674          —          —          193,674  

Toys

      467,920          —          —          467,920  

Trading Companies & Distributors

      1,097,277          —          —          1,097,277  

Transportation Miscellaneous

      9,585,383          —          —          9,585,383  

Truckers

      24,353,035          —          —          24,353,035  

Utilities: Electrical

      51,096,534          —          —          51,096,534  

Utilities: Gas Distributors

      27,306,514          —          —          27,306,514  

Utilities: Miscellaneous

      14,808,174          —          —          14,808,174  

Utilities: Telecommunications

      23,542,069          —          —          23,542,069  

Utilities: Water

      19,798,025          —          —          19,798,025  

Investment Companies

      29,308,678          —          —          29,308,678  

Rights

      —          40,644          100,831          141,475  

Warrants

      —          —          —          —  

Short-Term Securities

                  

Money Market Funds

      444,527,641          —          —          444,527,641  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $  4,981,125,929        $ 379,717        $ 100,831        $  4,981,606,477  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Assets

                  

Equity Contracts

    $ —        $   914,012        $     —        $       914,012  

Liabilities

                  

Equity Contracts

      (134,204 )         (20,265 )         —          (154,469 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $        (134,204)        $ 893,747        $ —        $ 759,543  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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.

 

 

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

   103

Statement of Assets and Liabilities

December 31, 2023

   

 

 

 

     Master Small Cap
Index Series		  

 

  

ASSETS

   

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

   $ 4,507,770,158  

Investments, at value — affiliated(c)

     473,836,319  

Cash pledged for futures contracts

      2,344,000  

Receivables:

   

Investments sold

      85,552,579  

Securities lending income — affiliated

      422,969  

Swaps

      2,965,869  

Dividends — unaffiliated

      4,918,068  

Dividends — affiliated

      225,471  

Unrealized appreciation on OTC swaps

      914,012  

Prepaid expenses

      11,493  

Other assets

      4,174  
  

 

 

  

Total assets

      5,078,965,112  
  

 

 

  

LIABILITIES

   

Bank overdraft

      562,228  

Cash received as collateral for OTC derivatives

      1,330,000  

Collateral on securities loaned

      388,483,550  

Payables:

   

Investments purchased

      2,652,881  

Swaps

      132,724  

Accounting services fees

      2,256  

Withdrawals to investors

      116,373,939  

Custodian fees

      36,865  

Investment advisory fees

      34,654  

Directors’ fees

      9,870  

Other accrued expenses

      10,914  

Professional fees

      64,385  

Variation margin on futures contracts

      565,752  

Unrealized depreciation on OTC swaps

      20,265  
  

 

 

  

Total liabilities

      510,280,283  
  

 

 

  

Commitments and contingent liabilities

   

NET ASSETS

    $ 4,568,684,829  
  

 

 

  

NET ASSETS CONSIST OF

   

Investors’ capital

    $ 3,628,122,006  

Net unrealized appreciation (depreciation)

      940,562,823  
  

 

 

  

NET ASSETS

    $ 4,568,684,829  
  

 

 

  

(a) Investments, at cost — unaffiliated

    $ 3,572,583,978  

(b) Securities loaned, at value

    $ 365,013,876  

(c)  Investments, at cost — affiliated

    $ 469,219,219  

See notes to financial statements.

 

 

104  

2 0 2 3  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

Statement of Operations

Year Ended December 31, 2023

   

 

 

 

    

Master Small Cap

Index Series

  

 

  

INVESTMENT INCOME

      

Dividends — unaffiliated

             $ 58,932,969  

Dividends — affiliated

         2,616,726  

Interest — unaffiliated

         52,804  

Securities lending income — affiliated — net

         5,432,257  

Foreign taxes withheld

         (134,423 ) 
     

 

 

  

Total investment income

         66,900,333  
     

 

 

  

EXPENSES

      

Investment advisory

         404,348  

Custodian

         119,786  

Professional

         111,044  

Printing and postage

         38,301  

Directors

         34,740  

Accounting services

         9,018  

Miscellaneous

         35,554  
     

 

 

  

Total expenses excluding interest expense

         752,791  

Interest expense

         7,123  
     

 

 

  

Total expenses

         759,914  

Less:

      

Fees waived and/or reimbursed by the Manager

         (34,302 ) 
     

 

 

  

Total expenses after fees waived and/or reimbursed

         725,612  
     

 

 

  

Net investment income

         66,174,721  
     

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

      

Net realized gain from:

      

Investments — unaffiliated

         15,474,517  

Investments — affiliated

         2,460,243  

Futures contracts

         4,060,418  

Swaps

         2,074,601  
     

 

 

  
        24,069,779  
     

 

 

  

Net change in unrealized appreciation (depreciation) on:

      

Investments — unaffiliated

         584,121,079  

Investments — affiliated

         3,655,496  

Futures contracts

         229,126  

Swaps

         904,313  
     

 

 

  
        588,910,014  
     

 

 

  

Net realized and unrealized gain

         612,979,793  
     

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

       $ 679,154,514  
     

 

 

  

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

   105

Statements of Changes in Net Assets   

  

 

 

    Master Small Cap Index Series  
    Year Ended
12/31/23		     Year Ended
12/31/22		  

 

  

INCREASE (DECREASE) IN NET ASSETS

    

OPERATIONS

    

Net investment income

   $ 66,174,721     $ 53,629,281  

Net realized gain (loss)

     24,069,779       (36,286,409 ) 

Net change in unrealized appreciation (depreciation)

     588,910,014       (943,949,533 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     679,154,514       (926,606,661 ) 
 

 

 

    

 

 

  

CAPITAL TRANSACTIONS

    

Proceeds from contributions

     1,395,977,694       1,206,262,904  

Value of withdrawals

     (1,146,809,963 )      (1,208,228,644 ) 
 

 

 

    

 

 

  

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

     249,167,731       (1,965,740 ) 
 

 

 

    

 

 

  

NET ASSETS

    

Total increase (decrease) in net assets

     928,322,245       (928,572,401 ) 

Beginning of year

     3,640,362,584       4,568,934,985  
 

 

 

    

 

 

  

End of year

   $  4,568,684,829     $ 3,640,362,584  
 

 

 

    

 

 

  

See notes to financial statements.

 

 

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Financial Highlights   

  

 

 

    Master Small Cap Index Series  
     
 Year Ended
12/31/23		  
 		            
 Year Ended
12/31/22		  
 		     
 Year Ended
12/31/21		  
 		     
 Year Ended
12/31/20		  
 		     
 Year Ended
12/31/19		  
 

Total Return

                 

Total return

             17.04 %        (20.29 )%       14.84 %       20.08 %       25.70 % 
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(a)

                

Total expenses

       0.02 %        0.02 %       0.02 %       0.03 %       0.02 % 
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

       0.02 %        0.02 %       0.01 %       0.02 %       0.02 % 
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

       1.64 %        1.36 %       1.03 %       1.29 %       1.49 % 
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

Supplemental Data

                 

Net assets, end of year (000)

     $ 4,568,685       $ 3,640,363      $ 4,568,935      $ 3,895,218      $ 3,325,684  
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

       29 %(b)         38 %       31 %       27 %       20 % 
   

 

 

      

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) 

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

(b) 

Excludes underlying investments in total return swaps.

See notes to financial statements.

 

 

S E R I E S  F I N A N C I A L  H I G H L I G H T S

   107

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.

Foreign Taxes: The Series may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Series invests. These foreign taxes, if any, are paid by the Series and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2023, 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.

Bank Overdraft: The Series had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Series is obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statement of Operations.

Collateralization: If required by an exchange or counterparty agreement, the 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.

 

 

 

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Notes to Financial Statements (continued)

 

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

 

  ·  

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

 

  ·  

Exchange-traded funds (“ETFs”) and closed-end funds 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. ETFs and closed-end funds 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.

 

  ·  

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 involves 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;

 

 

 

S E R I E S  N O T E S  T O  F I N A N C I A L  S T A T E M E N T S

   109

Notes to Financial Statements (continued)

 

  ·  

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

 

  ·  

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

4. SECURITIES AND OTHER INVESTMENTS

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

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 related collateral, if any, 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

  

 

Barclays Capital, Inc.

   $ 6,101,051      $ (6,101,051 )    $ —     $ —  

BMO Capital Markets Corp.

     183,370        (183,370 )      —       —  

BNP Paribas SA

     59,452,100        (59,452,100 )      —       —  

BofA Securities, Inc.

     62,167,733        (62,167,733 )      —       —  

Citadel Clearing LLC

     1,511,878        (1,511,878 )      —       —  

Citigroup Global Markets, Inc.

     20,016,368        (20,016,368 )      —       —  

HSBC Bank PLC

     2,242,221        (2,242,221 )      —       —  

ING Financial Markets LLC

     36,793        (36,793 )      —       —  

J.P. Morgan Securities LLC

     138,743,000        (138,743,000 )      —       —  

Jefferies LLC

     7,182,143        (7,182,143 )      —       —  

Nomura Securities International, Inc.

     173,003        (173,003 )      —       —  

Pershing LLC

     524,704        (524,704 )      —       —  

 

 

 

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Notes to Financial Statements (continued)

 

Counterparty    
 Securities
Loaned at Value		  
 		     
 Cash Collateral
Received		  
(a)  		     
 Non-Cash Collateral
Received, at Fair Value		  
(a) 		     
 Net
Amount		  
 

RBC Capital Markets LLC

   $ 209,959      $ (209,959 )     $ —      $ —  

Scotia Capital (USA), Inc.

     18,285,096        (18,285,096 )       —        —  

State Street Bank & Trust Co.

     14,303,473        (14,303,473 )       —        —  

Toronto-Dominion Bank

     13,194,538        (13,194,538 )       —        —  

UBS AG

     3,692,001        (3,692,001 )       —        —  

UBS Securities LLC

     453,718        (453,718 )       —        —  

Virtu Americas LLC

     281,799        (281,799 )       —        —  

Wells Fargo Bank N.A

     8,585,198        (8,585,198 )       —        —  

Wells Fargo Securities LLC

     7,673,730        (7,673,730 )       —        —  
 

 

 

     

 

 

     

 

 

     

 

 

  
  $ 365,013,876      $ (365,013,876 )     $ —      $ —  
 

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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 the Series is disclosed in the Series’s Statement of Assets and Liabilities.

 

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

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or 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.

 

 

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Notes to Financial Statements (continued)

 

  •  

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.

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 derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the 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, the 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

 

 

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Notes to Financial Statements (continued)

 

the Series pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2024. 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, 2023, the amount waived was $30,646.

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, 2024. 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, 2023, the Manager waived $3,656 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, 2024, 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, 2023, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, 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 impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.

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 expenses), 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, 2023, the Series paid BTC $1,402,040 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, 2023, 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.

 

 

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Notes to Financial Statements (continued)

 

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, 2023, 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

   $  67,174,363      $  168,682,838      $  26,220,110  

 

  

 

7.

PURCHASES AND SALES

For the year ended December 31, 2023, purchases and sales of investments, excluding short-term securities, were $1,498,809,546 and $1,167,140,003, 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, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Series’ financial statements.

As of December 31, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

 

  
Series Name   Tax Cost      Gross Unrealized
Appreciation 		     Gross Unrealized
Depreciation 		    Net Unrealized
Appreciation
(Depreciation) 		 

 

  

Master Small Cap Index Series

   $ 4,239,193,011      $ 1,450,681,752      $ (708,268,286 )    $ 742,413,466  
 

 

 

     

 

 

     

 

 

    

 

 

  

 

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 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 2024 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2023, 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 discretionary liquidity fees under certain circumstances.

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

 

 

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Notes to Financial Statements (continued)

 

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’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Series’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Series, and the Series could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Series’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 Series may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Series manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Series’ portfolio are disclosed in its Schedule of Investments.

The Series invests a significant portion of its assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Series invests.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

 

11.

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, 2023, 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, 2023, 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, 2023, 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, 2024

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 of the Corporation and the Board of Trustees of the Trust (the “Board”), on behalf of the Funds, met on November 16-17, 2023 (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, 2022 through September 30, 2023 (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 166 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 from 2018 to 2022; Advisory Board Member, Bridges Fund Management from 2016 to 2018; 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; Member of the President’s Counsel, Commonfund since 2023.    28 RICs consisting of 166 Portfolios    None

Collette Chilton

1958

   

Director

(Since 2015)

    Senior advisor, Insignia since 2024; Chief Investment Officer, Williams College from 2006 to 2023; 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 166 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 166 Portfolios    None

Lena G. Goldberg

1949

   

Director

(Since 2019)

    Director, Pioneer Public Interest Law Center since 2023; 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 166 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) from 2010 to 2022.    28 RICs consisting of 166 Portfolios    GrafTech International Ltd. (materials manufacturing); Sealed Air Corp. (packaging); WABCO (commercial vehicle safety systems) from 2015 to 2020; Hertz Global Holdings (car rental) from 2015 to 2021.

Cynthia A. Montgomery

1952

   

Director

(Since 2007)

    Professor, Harvard Business School since 1989.    28 RICs consisting of 166 Portfolios    None

Donald C. Opatrny

1952

   

Director

(Since 2019)

    Chair of the Board of Phoenix Art Museum since 2022 and Trustee thereof since 2018; Chair of the Investment Committee of The Arizona Community Foundation since 2022 and Trustee thereof since 2020; 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; Member of Affordable Housing Supply Board of Jackson, Wyoming from 2017 to 2022; Member, Investment Funds Committee, State of Wyoming from 2017 to 2023; 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.    28 RICs consisting of 166 Portfolios    None

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 2001, Emeritus since 2022; 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 166 Portfolios    None

Claire A. Walton

1957

   

Director

(Since 2016)

    Advisory Board Member, Grossman School of Business at the University of Vermont since 2023; Advisory Board Member, Scientific Financial Systems since 2022; General Partner of Neon Liberty Capital Management, LLC from 2003 to 2023; Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Massachusetts Council on Economic Education from 2013 to 2015; Director, Woodstock Ski Runners from 2013 to 2022.    28 RICs consisting of 166 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

(“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.    97 RICs consisting of 268 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.    99 RICs consisting of 270 Portfolios    None
(a) 

The address of each Director is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001.

 

(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; 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/Corporation/Master LLC 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.

Aaron Wasserman

1974

   

Chief Compliance Officer

(Since 2023)

    Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed- Income Complex and the iShares Complex from 2014 to 2023.

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.

 

 

120   2 0 2 3  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

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

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., 50 Hudson Yards, New York, New York 10001.

(b) 

Officers of the Trust/Corporation/Master LLC serve at the pleasure of the Board.

Further information about Trust’s/Corporations/Master LLC’s Trustees and Officers is available in the Trust’s/Corporations/Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

 

Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Trust/Corporation/Master LLC.

 

 

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   121

Additional Information

 

Tailored Shareholder Reports for Open-End Mutual Funds and ETFs

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

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.

 

 

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Additional Information  (continued)

 

Retirement Plans

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Fund and Service Providers

 

Investment Adviser and Administrator(a)   Distributor
BlackRock Advisors, LLC   BlackRock Investments, LLC
Wilmington, DE 19809   New York, NY 10001
Investment Adviser(b)   Independent Registered Public Accounting Firm
BlackRock Fund Advisors   Deloitte & Touche LLP
San Francisco, CA 94105   Boston, MA 02116
Sub-Adviser   Legal Counsel
BlackRock International Limited   Sidley Austin LLP
Edinburgh, EH3 8BL   New York, NY 10019
United Kingdom  
  Address of the Funds/Corporation/Master LLC
Accounting Agent and Custodian   100 Bellevue Parkway
State Street Bank and Trust Company   Wilmington, DE 19809
Boston, MA 02114  
Transfer Agent  
BNY Mellon Investment Servicing (US) Inc.  
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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   123

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
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
CPI    Consumer Price Index
CVA    Certificaten Van Aandelen (Dutch Certificate)
CVR    Contingent Value Right
ETF    Exchange-Traded Fund
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
FTSE    Financial Times Stock Exchange
GNMA    Government National Mortgage Association
GO    General Obligation Bonds
MSCI    Morgan Stanley Capital International
PSF    Permanent School Fund
RB    Revenue Bond
REIT    Real Estate Investment Trust
S/F    Single-Family
SAN    State Aid Notes
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-12/23-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   $34,272    $32,946    $0    $44    $16,300    $15,700    $407    $431
iShares Russell 2000 Small-Cap Index Fund   $8,262    $7,956    $0    $44    $10,750    $22,800    $407    $431
Master Small Cap Index Series   $29,886    $28,764    $0    $44    $27,500    $16,800    $407    $431

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

 

2

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

   $2,154,000    $2,098,000

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 $2,154,000 and $2,098,000 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

(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:

 

3

Entity Name     Current Fiscal Year 
End		    Previous Fiscal
Year End
iShares MSCI EAFE International Index Fund    $16,707    $16,175
iShares Russell 2000 Small-Cap Index Fund    $11,157    $23,275
Master Small Cap Index Series    $27,907    $17,275

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

$2,154,000

   $2,098,000

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.

 

Item 11 –

Controls and Procedures

 

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(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 –

Recovery of Erroneously Awarded Compensation – Not Applicable

 

Item 14 –

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

 

 

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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, 2024

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of 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, 2024

 

 

 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, 2024

 

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