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: 811-05742

Name of Fund: 

BlackRock Funds

^SM

BlackRock Total Factor Fund

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock Funds

^SM

, 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 07/31/2021

Date of reporting period: 07/31/2021

Item 1 – Report to Stockholders

(a)

The Report to Shareholders is attached herewith.

(b)

 Not Applicable

July

31,

2021

Not

FDIC

Insured

-

May

Lose

Value

-

No

Bank

Guarantee

2021

Annual

Report

BlackRock

Funds

SM

BlackRock

Total

Factor

Fund

Dear

Shareholder,

The

12-month

reporting

period

as

of

July

31,

2021

was

a

remarkable

period

of

adaptation

and

recovery,

as

the

global

economy

dealt

with

the

implications

of

the

coronavirus

(or

“COVID-19”)

pandemic.

The

United

States,

along

with

most

of

the

world,

began

the

reporting

period

emerging

from

a

severe

recession,

prompted

by

pandemic-related

restrictions

that

disrupted

many

aspects

of

daily

life.

However,

easing

restrictions

and

robust

government

intervention

led

to

a

strong

rebound,

and

the

economy

grew

at

a

significant

pace

for

the

reporting

period,

eventually

regaining

the

output

lost

from

the

pandemic.

Equity

prices

rose

with

the

broader

economy,

as

strong

fiscal

and

monetary

support,

as

well

as

the

development

of

vaccines,

made

investors

increasingly

optimistic

about

the

economic

outlook.

The

implementation

of

mass

vaccination

campaigns

and

passage

of

two

additional

fiscal

stimulus

packages

further

boosted

stocks,

and

many

equity

indices

neared

or

surpassed

all-time

highs

late

in

the

reporting

period.

In

the

United

States,

returns

of

small-capitalization

stocks,

which

benefited

the

most

from

the

resumption

of

in-person

activities,

outpaced

large-capitalization

stocks.

International

equities

also

gained,

as

both

developed

and

emerging

markets

rebounded

substantially.

The

10-year

U.S.

Treasury

yield

(which

is

inversely

related

to

bond

prices)

had

fallen

sharply

prior

to

the

beginning

of

the

reporting

period,

which

meant

bonds

were

priced

for

extreme

risk

avoidance

and

economic

disruption.

Despite

expectations

of

doom

and

gloom,

the

economy

expanded

rapidly,

stoking

inflation

concerns

in

early

2021,

which

led

to

higher

yields

and

a

negative

overall

return

for

most

U.S.

Treasuries.

In

the

corporate

bond

market,

support

from

the

U.S.

Federal

Reserve

(the

“Fed”)

assuaged

credit

concerns

and

led

to

solid

returns

for

high-yield

corporate

bonds,

although

investment-grade

corporates

declined

slightly.

The

Fed

remained

committed

to

accommodative

monetary

policy

by

maintaining

near

zero

interest

rates

and

by

reiterating

that

inflation

could

exceed

its

2%

target

for

a

sustained

period

without

triggering

a

rate

increase.

In

response

to

rising

inflation

late

in

the

period,

the

Fed

changed

its

market

guidance,

raising

the

likelihood

of

less

bond

purchasing

and

the

possibility

of

higher

rates

in

2023.

Looking

ahead,

we

believe

that

the

global

expansion

will

continue

to

broaden

as

Europe

and

other

developed

market

economies

gain

momentum,

although

the

Delta

variant

remains

a

threat,

particularly

in

emerging

markets.

While

we

expect

inflation

to

remain

elevated

in

the

medium-term

as

the

expansion

continues,

we

believe

the

recent

uptick

owes

more

to

temporary

supply

disruptions

than

a

lasting

change

in

fundamentals.

The

change

in

Fed

policy

also

means

that

moderate

inflation

is

less

likely

to

be

followed

by

interest

rate

hikes

that

could

threaten

the

economic

expansion.

Overall,

we

favor

a

moderately

positive

stance

toward

risk,

with

an

overweight

in

equities.

Sectors

that

are

better

poised

to

manage

the

transition

to

a

lower-carbon

world,

such

as

technology

and

healthcare,

are

particularly

attractive

in

the

long-term.

U.S.

small-capitalization

stocks

and

European

equities

are

likely

to

benefit

from

the

continuing

vaccine-led

restart.

We

are

underweight

long-term

credit,

but

inflation-protected

U.S.

Treasuries,

Asian

fixed

income,

and

Chinese

government

bonds

offer

potential

opportunities.

We

believe

that

international

diversification

and

a

focus

on

sustainability

can

help

provide

portfolio

resilience,

and

the

disruption

created

by

the

coronavirus

appears

to

be

accelerating

the

shift

toward

sustainable

investments.

In

this

environment,

our

view

is

that

investors

need

to

think

globally,

extend

their

scope

across

a

broad

array

of

asset

classes,

and

be

nimble

as

market

conditions

change.

We

encourage

you

to

talk

with

your

financial

advisor

and

visit

blackrock.com

for

further

insight

about

investing

in

today’s

markets.

Sincerely,

Rob

Kapito

President,

BlackRock

Advisors,

LLC

The

Markets

in

Review

Rob

Kapito

President,

BlackRock

Advisors,

LLC

Past

performance

is

not

an

indication

of

future

results.

Index

performance

is

shown

for

illustrative

purposes

only.

You

cannot

invest

directly

in

an

index.

Total

Returns

as

of

July

31,

2021

6-Month

12-Month

U.S.

large

cap

equities

(S&P

500

®

Index)

19.19%

36.45%

U.S.

small

cap

equities

(Russell

2000

®

Index)

7.86

51.97

International

equities

(MSCI

Europe,

Australasia,

Far

East

Index)

10.83

30.31

Emerging

market

equities

(MSCI

Emerging

Markets

Index)

(2.76)

20.64

3-month

Treasury

bills

(ICE

BofA

3-Month

U.S.

Treasury

Bill

Index)

0.02

0.08

U.S.

Treasury

securities

(ICE

BofA

10-Year

U.S.

Treasury

Index)

(0.59)

(5.12)

U.S.

investment

grade

bonds

(Bloomberg

Barclays

U.S.

Aggregate

Bond

Index)

0.21

(0.70)

Tax-exempt

municipal

bonds

(S&P

Municipal

Bond

Index)

1.38

3.47

U.S.

high

yield

bonds

(Bloomberg

Barclays

U.S.

Corporate

High

Yield

2%

Issuer

Capped

Index)

3.66

10.62

This

Page

is

not

Part

of

Your

Fund

Report

2

Table

of

Contents

Page

3

The

Markets

in

Review

...................................................................................................

2

Annual

Report:

Fund

Summary

........................................................................................................

4

About

Fund

Performance

..................................................................................................

7

Disclosure

of

Expenses

...................................................................................................

7

Derivative

Financial

Instruments

.............................................................................................

8

Consolidated

Financial

Statements:

Consolidated

Schedule

of

Investments

........................................................................................

9

Consolidated

Statement

of

Assets

and

Liabilities

..................................................................................

62

Consolidated

Statement

of

Operations

........................................................................................

64

Consolidated

Statements

of

Changes

in

Net

Assets

................................................................................

65

Consolidated

Financial

Highlights

.............................................................................................

66

Notes

to

Consolidated

Financial

Statements

......................................................................................

70

Report

of

Independent

Registered

Public

Accounting

Firm

..............................................................................

80

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

...................................................................

81

Trustee

and

Officer

Information

..............................................................................................

84

Additional

Information

....................................................................................................

88

Glossary

of

Terms

Used

in

this

Report

..........................................................................................

90

Fund

Summary

as

of

July

31,

2021

2021

BlackRock

Annual

Report

to

Shareholders

4

BlackRock

Total

Factor

Fund

Investment

Objective

BlackRock

Total

Factor

Fund’s

(the

“Fund”)

investment

objective

is

to

seek

total

return.

Portfolio

Management

Commentary

How

did

the

Fund

perform?

For

the

12-month

period

ended

July

31,

2021,

the

Fund

underperformed

its

reference

benchmark,

a

blend

of

60%

MSCI

World

Index

Hedged

USD

Net/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index.

For

the

same

period,

the

Fund

outperformed

its

secondary

benchmark,

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index.

What

factors

influenced

performance?

The

Fund

targets

a

total

return

in

the

form

of

capital

appreciation

and

income

over

the

long-term.

The

Fund

utilizes

a

factor

investing

approach

to

provide

a

diversified

engine

for

growth.

The

Fund

targets

multiple

return

drivers,

or

factors,

across

many

asset

classes

and

geographies.

By

leveraging

a

long/short

implementation

framework,

the

strategy

seeks

to

isolate

broad

and

persistent

sources

of

returns,

while

maintaining

a

low

correlation

to

equity

and

fixed-income

markets

in

seeking

to

be

resilient

to

market

shocks

and

drawdowns.

Both

the

macro

factor/risk

parity

and

market-neutral

style

factor

components

of

the

Fund

proved

additive

to

performance

over

the

12

months,

as

the

reflation

trade

sparked

by

the

announcements

of

vaccine

efficacy

against

the

novel

coronavirus

provided

a

boost

for

the

strategy.

On

the

macro

factor

side,

the

Fund’s

pro-cyclical

economic

growth

exposure

(risk-balanced

allocation

across

equities,

commodities

and

credit)

drove

substantial

outperformance

as

a

push

toward

global

reopening

ignited

strong

tailwinds

for

risk

assets,

with

all

three

of

the

underlying

asset

classes

contributing

notably.

Long/short

style

factors

provided

the

strongest

contributions

across

currencies

and

fixed

income,

with

performance

benefiting,

respectively,

from

a

tilt

toward

commodity-sensitive

currencies

over

the

course

of

the

reopening

trade

and

security

selection

across

developed

market

debt.

In

terms

of

style-factor

drivers,

quality

insights

led

contributions

as

investors

began

to

shift

into

high

cash

flow

companies

with

strong

balance

sheets.

Momentum

contributed

meaningfully

as

well,

particularly

across

equity

and

fixed

income

exposures.

At

the

portfolio

level,

the

primary

detractor

was

the

inflation

factor

within

the

macro

factor/risk

parity

allocation

proxied

by

the

spread

between

nominal

and

inflation-linked

bonds.

The

factor

detracted

as

nominal

debt

went

through

a

period

of

turbulence

in

the

reflationary

regime

as

investors

shifted

toward

risk-on

assets

and

rising

inflation

data

weighed

on

bond

prices.

Across

the

market-neutral

style

factor

allocation,

the

commodity

and

single

name

equity

strategies

detracted

slightly

for

the

period.

In

terms

of

style-

factor

drivers,

while

the

majority

of

the

long/short

style-factor

allocation

had

a

neutral

or

positive

impact

on

returns,

carry

insights

lagged

as

strong

performance

in

currencies

was

offset

by

weakness

in

the

equity

and

fixed

income

buckets.

The

Fund

routinely

holds

derivatives

including

futures,

swaps,

and

currency

forwards

to

gain

exposure

to

single

name

stocks,

global

bonds,

currencies,

commodities,

and

equity

market

indices

in

a

cost-efficient

and

capital-efficient

manner.

Additionally,

some

of

the

Fund’s

currency

forwards

are

held

for

hedging

purposes

to

protect

against

unintended

exposure

to

foreign

currency

risk.

Over

the

period,

the

use

of

derivatives

contributed

positively

to

performance.

The

Fund

holds

large

unencumbered

cash

positions

to

meet

collateral

calls

on

derivative

positions.

The

cash

balance

did

not

have

a

material

impact

on

performance

during

the

period.

Describe

recent

portfolio

activity.

While

the

overall

allocations

to

the

factor

groupings

remained

stable

throughout

the

period,

the

timing

model

within

single

name

equities

was

tilted

toward

value

insights

beginning

early

in

the

reflation

trade

through

the

middle

of

the

second

quarter

of

2021.

Late

in

the

period,

the

timing

model

began

to

pare

value

exposure

in

favor

of

quality

and

momentum

insights,

which

have

rotated

into

favor

as

investors

have

repriced

monetary

policy

expectations

and

the

level

of

realized

inflation

that

central

banks

are

willing

to

tolerate

prior

to

tightening.

Describe

portfolio

positioning

at

period

end.

The

Fund

continued

to

seek

to

deliver

positive

absolute

returns

by

balancing

risks

among

equities,

bonds,

commodities,

currencies

and

diversifying

strategies.

At

the

end

of

the

period,

the

Fund

was

positioned

slightly

overweight

to

value

and

momentum

strategies

at

the

portfolio

level,

and

with

a

marginal

tilt

away

from

carry.

Within

single

name

equities,

the

timing

model

held

a

tilt

toward

momentum

and

quality

insights,

while

maintaining

a

roughly

neutral

stance

on

value

and

underweighting

low

volatility.

Equities

and

fixed

income

remained

the

most

overweight

asset

classes

within

the

portfolio.

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.

Fund

Summary

as

of

July

31,

2021

(continued)

5

Fund

Summary

BlackRock

Total

Factor

Fund

Portfolio

Information

TOTAL

RETURN

BASED

ON

A

$10,000

INVESTMENT

PORTFOLIO

COMPOSITION

Asset

Type

Percent

of

at

Total

Investments

(a)

Foreign

Government

Obligations

........................

52‌

%

U.S.

Treasury

Obligations

.............................

48‌

Common

Stocks

...................................

—‌

(b)

(a)

Excludes

short-term

securities

and

options

purchased.

(b)

Represents

less

than

1%

of

the

Fund's

total

investments.

PORTFOLIO

HOLDINGS

Security

Percent

of

TotaI

Investments

(a)

U.S.

Treasury

Inflation

Linked

Notes

.....................

31‌

%

U.S.

Treasury

Inflation

Linked

Bonds

.....................

16‌

Canadian

Government

Bond

..........................

1

6‌

U.K.

Treasury

Inflation

Linked

Bonds

.....................

13‌

Commonwealth

of

Australia

...........................

12‌

French

Republic

..................................

9‌

Federal

Republic

of

Germany

.........................

3‌

(a)

Excludes

short-term

securities

and

options

purchased.

(a)

Commencement

of

operations.

(b)

Assuming

maximum

sales

charges,

if

any,

transaction

costs

and

other

operating

expenses,

including

investment

advisory

fees

and

administration

fees,

if

any.

Institutional

Shares

do

not

have

a

sales

charge.

(c)

The

Fund

seeks

to

achieve

its

investment

objective

by

investing

in

a

broad

range

of

global

asset

classes,

such

as

equity

securities

(which

may

include

derivative

instruments

that

are

tied

economically

to

equity

securities),

fixed

and

floating

rate

debt

instruments,

derivatives,

other

investment

companies,

including

exchange-traded

funds

(“ETFs”),

real

estate

investment

trusts

(“REITs”)

and

commodity-related

instruments.

The

Fund’s

total

returns

prior

to

February

3,

2017

are

the

returns

of

the

Fund

when

it

followed

different

investment

strategies

under

the

name

“BlackRock

Strategic

Risk

Allocation

Fund”.

(d)

This

customized

weighted

index

is

comprised

of

the

returns

of

the

MSCI

World

Index

Hedged

USD

Net

(60%)

and

the

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

(40%).

(e)

Represents

a

close

estimation

of

the

performance

that

can

be

achieved

by

hedging

the

currency

exposures

of

its

parent

index,

the

MSCI

World

Index,

to

the

U.S.

Dollar

("USD"),

the

"home"

currency

for

the

hedged

index.

The

index

is

100%

hedged

to

the

USD

by

selling

each

foreign

currency

forward

at

the

one-month

forward

weight.

The

parent

index

is

composed

of

large

and

midcap

stocks

across

23

developed

market

countries

and

its

local

performance

is

calculated

in

13

different

currencies,

including

the

Euro.

(f)

A

broad-based

flagship

benchmark

that

measures

the

investment

grade,

U.S.

dollar-denominated,

fixed-rate

taxable

bond

market.

The

index

includes

U.S.

Treasuries,

government-related

and

corporate

securities,

mortgage-backed

securities

(agency

fixed-rate

pass-throughs),

asset-backed

securities

and

commercial

mortgage-backed

securities

(agency

and

non-agency).

(g)

An

unmanaged

index

that

tracks

3-month

U.S.

Treasury

securities.

On

3/1/2021

the

Fund

began

to

track

the

4pm

pricing

variant

of

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

(the

"Index").

Historical

index

data

prior

to

3/1/2021

is

for

the

3pm

pricing

variant

of

the

lndex.

Index

data

on

and

after

3/1/2021

is

for

the

4pm

pricing

variant

of

the

Index.

Fund

Summary

as

of

July

31,

2021

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

6

BlackRock

Total

Factor

Fund

Performance

Summary

for

the

Period

Ended

July

31,

2021

Average

Annual

Total

Returns

(a)(b)

1

Year

5

Years

Since

Inception

(c)

w/o

sales

charge

w/sales

charge

w/o

sales

charge

w/sales

charge

w/o

sales

charge

w/sales

charge

Institutional

..........................................................

8.31‌%

N/A‌

1.76‌%

N/A‌

2.26‌%

N/A‌

Investor

A

...........................................................

8.01‌

2.34‌%

1.50‌

0.42‌%

2.01‌

1.37‌%

Investor

C

...........................................................

7.16‌

6.16‌

0.75‌

0.75‌

1.30‌

1.30‌

Class

K

............................................................

8.30‌

N/A‌

1.79‌

N/A‌

2.28‌

N/A‌

60%

MSCI

World

Index

Hedged

USD

Net/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

......................................................

19.75‌

N/A‌

10.32‌

N/A‌

9.48‌

N/A‌

MSCI

World

Index

Hedged

USD

Net

........................................

35.02‌

N/A‌

14.91‌

N/A‌

13.62‌

N/A‌

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

..............................

(0.70‌)

N/A‌

3.13‌

N/A‌

3.00‌

N/A‌

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

...................................

0.08‌

N/A‌

1.17‌

N/A‌

0.72‌

N/A‌

(a)

Assuming

maximum

sales

charges,

if

any.

Average

annual

total

returns

with

and

without

sales

charges

reflect

reductions

for

distribution

and

service

fees.

See

“About

Fund

Performance”

for

a

detailed

description

of

share

classes,

including

any

related

sales

charges

and

fees,

and

how

performance

was

calculated

for

certain

share

classes.

(b)

The

Fund

seeks

to

achieve

its

investment

objective

by

investing

in

a

broad

range

of

global

asset

classes,

such

as

equity

securities

(which

may

include

derivative

instruments

that

are

tied

economically

to

equity

securities),

fixed

and

floating

rate

debt

instruments,

derivatives,

other

investment

companies,

including

ETFs,

REITs

and

commodity-related

instruments.

The

Fund’s

total

returns

prior

to

February

3,

2017

are

the

returns

of

the

Fund

when

it

followed

different

investment

strategies

under

the

name

“BlackRock

Strategic

Risk

Allocation

Fund”.

(c)

The

Fund

commenced

operations

on

December

27,

2012.

N/A

—

Not

applicable

as

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.

About

Fund

Performance

7

About

Fund

Performance

/

Disclosure

of

Expenses

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.

Class

K

Shares

performance

shown

prior

to

the

Class

K

Shares

inception

date

of

February

3,

2017

is

that

of

Institutional

Shares.

The

performance

of

the

Fund’s

Class

K

Shares

would

be

substantially

similar

to

Institutional

Shares

because

Class

K

Shares

and

Institutional

Shares

invest

in

the

same

portfolio

of

securities

and

performance

would

only

differ

to

the

extent

that

Class

K

Shares

and

Institutional

Shares

have

different

expenses.

The

actual

returns

of

Class

K

Shares

would

have

been

higher

than

those

of

the

Institutional

Shares

because

Class

K

Shares

have

lower

expenses

than

the

Institutional

Shares.

Investor

A

Shares

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).

Certain

redemptions

of

these

shares

may

be

subject

to

a

contingent

deferred

sales

charge

("CDSC")

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

These

shares

are

generally

available

through

financial

intermediaries.

Investor

C

Shares

 are

subject

to

a 1.00%

CDSC

if

redeemed

within

one

year

of

purchase.

In

addition,

these

shares

are

subject

to

a

distribution

fee

of

0.75

%

per

year

and

a

service

fee

of 

0.25%

per

year.

These

shares

are

generally

available

through

financial

intermediaries.

These

shares

automatically

convert

to

Investor

A

Shares

after

approximately eight

years.

Past

performance

is

not

an

indication

of

future

results.

Financial

markets

have

experienced

extreme

volatility

and

trading

in

many

instruments

has

been

disrupted.

These

circumstances

may

continue

for

an

extended

period

of

time,

and

may

continue

to

affect

adversely

the

value

and

liquidity

of

the

fund's

investments.

As

a

result,

current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

Refer

to

blackrock.com 

to

obtain

performance

data

current

to

the

most

recent

month-end.

Performance

results

do

not

reflect

the

deduction

of

taxes

that

a

shareholder

would

pay

on

Fund

distributions

or

the

redemption

of

Fund

shares.

Figures

shown

in

the

performance

table(s) assume

reinvestment

of

all

distributions,

if

any,

at

net

asset

value

("NAV")

on

the

ex-dividend

date

or

payable

date,

as

applicable.

Investment

return

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Distributions

paid

to

each

class

of

shares

will

vary

because

of

the

different

levels

of

service,

distribution

and

transfer

agency

fees

applicable

to

each

class,

which

are

deducted

from

the

income

available

to

be

paid

to

shareholders. 

BlackRock

Advisors,

LLC

(the

"Manager”),

the

Fund's

investment

adviser,

has

contractually

and/or

voluntarily

agreed

to

waive

and/or

reimburse

a

portion

of

the

Fund’s

expenses.

Without

such

waiver(s)

and/or

reimbursement(s),

the

Fund's

performance

would

have

been

lower.

With

respect

to

the

Fund's

voluntary

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

waive

and/or

reimburse

or

to

continue

waiving

and/or

reimbursing

its

fees

and

such

voluntary

waiver(s)

may

be

reduced

or

discontinued

at

any

time.

With

respect

to

the

Fund's

contractual

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

continue

waiving

and/or

reimbursing

its

fees

after

the

applicable

termination

date

of

such

agreement.

See

the

Notes

to

Consolidated

Financial

Statements

for

additional

information

on

waivers

and/or

reimbursements. 

Disclosure

of

Expenses

Shareholders

of

the

Fund

may

incur

the

following

charges:

(a)

transactional

expenses,

such

as

sales

charges;

and

(b)

operating

expenses,

including

investment

advisory

fees, administration

fees,

service

and

distribution

fees,

including

12b-1

fees,

acquired

fund

fees

and

expenses, and

other

fund

expenses.

The

expense

example

shown

(which

is

based

on

a

hypothetical

investment

of

$1,000

invested

on February

1,

2021 and

held

through

July

31,

2021)

is

intended

to

assist

shareholders

both

in

calculating

expenses

based

on

an

investment

in

the

Fund

and

in

comparing

these

expenses

with

similar

costs

of

investing

in

other

mutual

funds.

The

expense

example

provides

information

about

actual

account

values

and

actual

expenses.

In

order

to

estimate

the

expenses

a

shareholder

paid

during

the

period

covered

by

this

report,

shareholders

can

divide

their

account

value

by

$1,000

and

then

multiply

the

result

by

the

number

corresponding

to

their share

class

under

the

heading

entitled

“Expenses

Paid

During

the

Period.” 

The

expense

example

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on the

Fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses.

In

order

to

assist

shareholders

in

comparing

the

ongoing

expenses

of

investing

in

the

Fund

and

other

funds,

compare

the

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

shareholder

reports

of

other

funds. 

The

expenses

shown

in

the

expense

example

are

intended

to

highlight

shareholders’

ongoing

costs

only

and

do

not

reflect

transactional

expenses,

such

as

sales

charges,

if

any.

Therefore,

the

hypothetical

example is

useful

in

comparing

ongoing

expenses

only,

and

will

not

help

shareholders

determine

the

relative

total

expenses

of

owning

different

funds.

If

these

transactional

expenses

were

included,

shareholder

expenses

would

have

been

higher.

Actual

Hypothetical

(a)

Beginning

Account

Value

(02/01/21)

Ending

Account

Value

(07/31/21)

Expenses

Paid

During

the

Period

(b)

Beginning

Account

Value

(02/01/21)

Ending

Account

Value

(07/31/21)

Expenses

Paid

During

the

Period

(b)

Annualized

Expense

Ratio

Institutional

...............................

$

1,000.00

$

1,089.30

$

2.85

$

1,000.00

$

1,022.07

$

2.76

0.55%

Investor

A

................................

1,000.00

1,087.60

4.14

1,000.00

1,020.83

4.01

0.80

Investor

C

................................

1,000.00

1,084.10

7.96

1,000.00

1,017.16

7.70

1.54

Class

K

..................................

1,000.00

1,089.20

2.59

1,000.00

1,022.32

2.51

0.50

(a)

Hypothetical

5%

annual

return

before

expenses

is

calculated

by

prorating

the

number

of

days

in

the

most

recent

fiscal

half

year

divided

by

365.

(b)

For

each

class

of

the

Fund,

expenses

are

equal

to

the

annualized

expense

ratio

for

the

class,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

181/365

(to

reflect

the

one-half

year

period

shown).

Derivative

Financial

Instruments

2021

BlackRock

Annual

Report

to

Shareholders

8

The

Fund

may

invest

in

various

derivative

financial

instruments.

These

instruments

are

used

to

obtain

exposure

to

a

security,

commodity,

index,

market,

and/or

other

assets

without

owning

or

taking

physical

custody

of

securities,

commodities

and/or

other

referenced

assets

or

to

manage

market,

equity,

credit,

interest

rate,

foreign

currency

exchange

rate,

commodity

and/or

other

risks.

Derivative

financial

instruments

may

give

rise

to

a

form

of

economic

leverage

and

involve

risks,

including

the

imperfect

correlation

between

the

value

of

a

derivative

financial

instrument

and

the

underlying

asset,

possible

default

of

the

counterparty

to

the

transaction

or

illiquidity

of

the

instrument.

The

Fund’s

successful

use

of

a

derivative

financial

instrument

depends

on

the

investment

adviser’s

ability

to

predict

pertinent

market

movements

accurately,

which

cannot

be

assured.

The

use

of

these

instruments

may

result

in

losses

greater

than

if

they

had

not

been

used,

may

limit

the

amount

of

appreciation the

Fund

can

realize

on

an

investment

and/or

may

result

in

lower

distributions

paid

to

shareholders.

The

Fund’s

investments

in

these

instruments,

if

any,

are

discussed

in

detail

in

the

Notes

to

Consolidated

Financial

Statements.

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

9

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

July

31,

2021

Security

Shares

Shares

Value

Common

Stocks

—

0.0%

United

States

—

0.0%

Avaya

Holdings

Corp.

(a)

..........

15

$

363

Total

Common

Stocks

—

0.0%

(Cost:

$207)

...................................

363

Par

(000)

Pa

r

(

000)

Foreign

Government

Obligations

—

5.3%

Australia

—

1.2%

Commonwealth

of

Australia:

3.00%,

09/20/25

............

AUD

716

627,740

0.75%,

11/21/27

............

494

408,015

2.50%,

09/20/30

............

556

538,009

2.00%,

08/21/35

............

373

372,675

1.25%,

08/21/40

............

312

294,697

1.00%,

02/21/50

............

308

294,820

2,535,956

Canada

—

1.6%

Canadian

Government

Bond:

6.76%,

12/01/26

............

CAD

456

474,023

4.00%,

12/01/31

............

486

577,944

4.07%,

12/01/36

............

441

528,719

2.51%,

12/01/41

............

453

510,604

1.81%,

12/01/44

............

512

544,523

1.42%,

12/01/47

............

480

501,424

0.54%,

12/01/50

............

448

403,536

3,540,773

France

—

0.9%

French

Republic:

1.27%,

07/25/22

............

EUR

124

152,081

2.43%,

07/25/23

(b)

...........

139

177,341

0.27%,

07/25/24

............

107

136,447

0.10%,

03/01/25

............

79

100,279

0.10%,

03/01/26

(b)

...........

66

86,026

2.11%,

07/25/27

............

130

191,803

0.10%,

03/01/28

............

78

104,323

0.10%,

03/01/29

............

72

99,162

4.48%,

07/25/29

............

71

122,012

0.75%,

07/25/30

(b)

...........

97

143,384

0.10%,

07/25/31

(b)

...........

21

30,246

0.10%,

03/01/32

............

10

14,192

4.16%,

07/25/32

............

92

173,129

0.10%,

03/01/36

(b)

...........

38

55,484

0.10%,

07/25/36

(b)

...........

46

68,571

2.20%,

07/25/40

(b)

...........

87

172,800

0.11%,

07/25/47

(b)

...........

78

127,349

1,954,629

Germany

—

0.3%

Federal

Republic

of

Germany:

0.11%,

04/15/23

............

98

119,968

0.11%,

04/15/26

............

111

145,180

0.53%,

04/15/30

............

133

195,043

0.10%,

04/15/33

............

18

27,510

0.11%,

04/15/46

............

67

124,902

612,603

United

Kingdom

—

1.3%

U.K.

Treasury

Inflation

Linked

Bonds:

1.88%,

11/22/22

............

GBP

43

63,996

0.13%,

03/22/24

............

50

75,827

2.50%,

07/17/24

............

37

61,301

Security

Par

(000)

Par

(000)

Value

United

Kingdom

(continued)

0.13%,

03/22/26

............

GBP

40

$

64,372

1.25%,

11/22/27

............

42

76,459

0.13%,

08/10/28

............

42

73,528

0.13%,

03/22/29

............

48

85,451

4.13%,

07/22/30

............

25

59,485

0.13%,

08/10/31

............

12

23,228

1.25%,

11/22/32

............

42

90,178

0.75%,

03/22/34

............

48

102,612

2.00%,

01/26/35

............

33

82,084

0.13%,

11/22/36

............

37

79,319

1.13%,

11/22/37

............

42

103,580

0.13%,

03/22/39

............

8

18,181

0.63%,

03/22/40

............

53

130,298

0.13%,

08/10/41

............

26

61,178

0.63%,

11/22/42

............

41

108,303

0.13%,

03/22/44

............

44

108,165

0.13%,

03/22/46

............

35

90,857

0.75%,

11/22/47

............

42

127,282

0.13%,

08/10/48

............

23

63,247

0.50%,

03/22/50

............

47

143,007

0.13%,

03/22/51

............

5

14,760

0.25%,

03/22/52

............

32

96,228

1.25%,

11/22/55

............

37

150,255

0.13%,

11/22/56

............

21

66,561

0.13%,

03/22/58

............

27

90,864

0.38%,

03/22/62

............

36

138,893

0.13%,

11/22/65

............

22

88,028

0.13%,

03/22/68

............

35

149,680

2,687,207

Total

Foreign

Government

Obligations

—

5.3%

(Cost:

$10,030,130)

..............................

11,331,168

U.S.

Treasury

Obligations

—

4.9%

U.S.

Treasury

Inflation

Linked

Bonds:

2.38%, 01/15/25

-

01/15/27

.....

USD

356

426,899

2.00%, 01/15/26

............

197

234,275

1.75%, 01/15/28

............

113

139,629

3.63%, 04/15/28

............

158

217,421

2.50%, 01/15/29

............

100

132,287

3.88%, 04/15/29

............

180

259,121

3.38%, 04/15/32

............

40

59,975

2.13%, 02/15/40

-

02/15/41

.....

276

425,276

0.75%, 02/15/42

-

02/15/45

.....

292

369,038

0.63%, 02/15/43

............

191

235,404

1.38%, 02/15/44

............

188

267,782

1.00%, 02/15/46

-

02/15/49

.....

386

529,826

0.88%, 02/15/47

............

104

138,335

0.25%, 02/15/50

............

89

104,832

0.13%, 02/15/51

............

63

72,378

U.S.

Treasury

Inflation

Linked

Notes:

0.13%, 07/15/22

-

01/15/31

.....

2,803

3,072,264

0.63%, 04/15/23

-

01/15/26

.....

1,048

1,139,167

0.38%, 07/15/23

-

07/15/27

.....

1,094

1,211,607

0.50%, 04/15/24

-

01/15/28

.....

256

289,808

0.25%, 01/15/25

-

07/15/29

.....

552

617,728

0.75%, 07/15/28

............

243

286,403

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

10

(Percentages

shown

are

based

on

Net

Assets)

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

0.88%, 01/15/29

............

USD

303

$

359,691

Total

U.S.

Treasury

Obligations

—

4.9%

(Cost:

$9,722,274)

..............................

10,589,146

Total

Long-Term

Investments

—

10.2%

(Cost:

$19,752,611)

..............................

21,920,677

Shares

Shares

Short-Term

Securities

—

66.3%

Money

Market

Funds

—

10.3%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

0.01%

(c)(d)

....

22,001,744

22,001,744

Total

Money

Market

Funds

—

10.3%

(Cost:

$22,001,744)

..............................

22,001,744

Security

Par

(000)

Pa

r

(

000)

Value

U.S.

Treasury

Obligations

—

56.0%

U.S.

Treasury

Bills

(e)

:

0.04%, 04/21/22

............

USD

22,000

$

21,991,994

0.05%, 03/24/22

............

30,000

29,990,738

0.06%, 05/19/22

............

35,000

34,982,379

0.09%, 08/12/21

............

33,000

32,999,679

Total

U.S.

Treasury

Obligations

—

56.0%

(Cost:

$119,966,319)

.............................

119,964,790

Total

Short-Term

Securities

—

66.3%

(Cost:

$141,968,063)

.............................

141,966,534

Total

Options

Purchased

—

0.2%

(Cost:

$851,208

)

................................

320,355

Total

Investments

—

76.7%

(Cost:

$162,571,882)

.............................

164,207,566

Other

Assets

Less

Liabilities

—

23.3%

..................

49,934,177

Net

Assets

—

100.0%

..............................

$

214,141,743

(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)

Annualized

7-day

yield

as

of

period

end.

(d)

Affiliate

of

the

Fund.

(e)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

Affiliates

Investments

in

issuers

considered

to

be

affiliate(s)

of

the

Fund

during

the

year

ended

July

31,

2021

for

purposes

of

Section

2(a)(3)

of

the

Investment

Company

Act

of

1940,

as

amended,

were

as

follows:

Affiliated

Issuer

Value

at

07/31/20

Purchases

at

Cost

Proceeds

from

Sale

Net

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

07/31/21

Shares

Held

at

07/31/21

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

(a)

..

$

50,698,955

$

—

$

(28,697,211)

$

—

$

—

$

22,001,744

22,001,744

$

4,002

$

—

—

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

11

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

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

CAC

40

10

Euro

Index

......................................................

114

08/20/21

$

8,938

$

86,147

IBEX

35

Index

............................................................

193

08/20/21

19,860

54,231

FTSE

China

A50

Index

......................................................

1,230

08/30/21

18,418

(671,814)

Brent

Crude

Oil

(a)

..........................................................

117

08/31/21

8,823

657,779

Euro-Bund

..............................................................

495

09/08/21

103,681

3,045,547

TOPIX

Index

.............................................................

120

09/09/21

20,838

(512,348)

Low

Sulphur

Gasoil

(a)

.......................................................

146

09/10/21

8,968

211,325

Australia

10

Year

Bond

......................................................

1,204

09/15/21

128,467

4,201,572

FTSE/MIB

Index

..........................................................

72

09/17/21

10,829

(63,444)

MSCI

Hong

Kong

Equity

Index

.................................................

34

09/17/21

2,638

(68,034)

U.S.

Treasury

10

Year

Note

...................................................

251

09/21/21

33,767

526,266

Silver

(a)

................................................................

4

09/28/21

511

(11,726)

100

oz

Gold

(a)

............................................................

25

12/29/21

4,543

24,398

7,479,899

Short

Contracts

AEX

Index

..............................................................

13

08/20/21

2,317

(41,661)

OMXS30

Index

...........................................................

541

08/20/21

14,896

(173,544)

WTI

Crude

Oil

(a)

...........................................................

34

08/20/21

2,514

(28,634)

SGX

NIFTY

50

Index

.......................................................

262

08/26/21

8,266

49,568

Natural

Gas

(a)

............................................................

53

08/27/21

2,074

(102,347)

RBOB

Gasoline

(a)

.........................................................

31

08/31/21

3,040

(210,448)

S&P/TSX

60

Index

.........................................................

80

09/16/21

15,549

(157,059)

SPI

200

Index

............................................................

32

09/16/21

4,286

(29,623)

DAX

Index

..............................................................

7

09/17/21

3,228

(7,043)

FTSE

100

Index

..........................................................

94

09/17/21

9,102

128,825

S&P

500

E-Mini

Index

......................................................

52

09/17/21

11,413

(43,128)

Canada

10

Year

Bond

......................................................

604

09/21/21

71,656

(1,934,637)

Long

Gilt

...............................................................

219

09/28/21

39,509

(778,020)

(3,327,751)

$

4,152,148

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

See

Note

1

of

the

Notes

to

Consolidated

Financial

Statements

for

details

on

the

wholly-owned

subsidiary.

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

611,498

AUD

815,000

Barclays

Bank

plc

08/03/21

$

13,410

USD

611,421

AUD

815,000

Goldman

Sachs

International

08/03/21

13,333

USD

611,486

AUD

815,000

Toronto

Dominion

Bank

08/03/21

13,398

USD

698,086

AUD

930,350

UBS

AG

08/03/21

15,348

USD

763,189

CAD

945,000

Barclays

Bank

plc

08/03/21

5,735

USD

851,701

CAD

1,055,000

Goldman

Sachs

International

08/03/21

6,078

USD

763,126

CAD

945,000

Toronto

Dominion

Bank

08/03/21

5,672

USD

806,043

CAD

998,080

UBS

AG

08/03/21

6,043

USD

612,215

EUR

515,000

Barclays

Bank

plc

08/03/21

1,296

USD

612,317

EUR

515,000

Goldman

Sachs

International

08/03/21

1,398

USD

612,376

EUR

515,000

Toronto

Dominion

Bank

08/03/21

1,457

USD

619,758

EUR

521,874

UBS

AG

08/03/21

685

USD

709,674

AUD

963,000

Barclays

Bank

plc

09/02/21

2,861

USD

623,019

AUD

845,000

Goldman

Sachs

International

09/02/21

2,814

USD

622,813

AUD

845,000

Toronto

Dominion

Bank

09/02/21

2,608

USD

619,188

AUD

840,350

UBS

AG

09/02/21

2,396

USD

791,962

CAD

985,000

Barclays

Bank

plc

09/02/21

2,471

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

12

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

791,832

CAD

985,000

Goldman

Sachs

International

09/02/21

$

2,341

USD

791,899

CAD

985,000

Toronto

Dominion

Bank

09/02/21

2,408

USD

794,395

CAD

988,080

UBS

AG

09/02/21

2,436

USD

630,421

EUR

530,000

Barclays

Bank

plc

09/02/21

1,332

USD

630,316

EUR

530,000

Goldman

Sachs

International

09/02/21

1,227

USD

630,546

EUR

530,000

Toronto

Dominion

Bank

09/02/21

1,457

USD

630,013

EUR

529,874

UBS

AG

09/02/21

1,074

USD

802,208

GBP

575,000

Barclays

Bank

plc

09/02/21

2,900

USD

635,223

GBP

455,000

Goldman

Sachs

International

09/02/21

2,727

USD

635,451

GBP

455,000

Toronto

Dominion

Bank

09/02/21

2,955

USD

638,372

GBP

457,499

UBS

AG

09/02/21

2,403

CAD

600,000

(a)

USD

477,219

Morgan

Stanley

&

Co.

International

plc

09/15/21

3,696

CHF

1,091,000

(a)

USD

1,186,959

Morgan

Stanley

&

Co.

International

plc

09/15/21

18,801

CNY

3,578,000

(a)

USD

550,531

Morgan

Stanley

&

Co.

International

plc

09/15/21

881

GBP

23,992,000

(a)

USD

33,167,713

Morgan

Stanley

&

Co.

International

plc

09/15/21

184,814

INR

55,798,000

(a)

USD

744,857

Morgan

Stanley

&

Co.

International

plc

09/15/21

1,653

JPY

109,667,000

(a)

USD

987,904

Morgan

Stanley

&

Co.

International

plc

09/15/21

12,091

MXN

46,608,000

(a)

USD

2,238,294

Morgan

Stanley

&

Co.

International

plc

09/15/21

89,164

NZD

15,174,000

(a)

USD

10,534,125

Morgan

Stanley

&

Co.

International

plc

09/15/21

35,684

RUB

334,268,000

(a)

USD

4,512,683

Barclays

Bank

plc

09/15/21

28,805

RUB

176,803,000

(a)

USD

2,390,257

Deutsche

Bank

AG

09/15/21

11,854

RUB

514,072,000

(a)

USD

6,928,459

HSBC

Bank

plc

09/15/21

55,913

RUB

1,255,496,000

(a)

USD

16,856,861

JPMorgan

Chase

Bank

NA

09/15/21

200,771

SEK

2,599,000

USD

300,812

JPMorgan

Chase

Bank

NA

09/15/21

1,208

TWD

150,185,000

(a)

USD

5,370,060

Citibank

NA

09/15/21

12,005

USD

34,492,403

(a)

AUD

45,393,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

1,173,345

USD

4,299,166

(a)

BRL

22,026,000

BNP

Paribas

SA

09/15/21

95,065

USD

955,877

(a)

BRL

4,888,738

Goldman

Sachs

International

09/15/21

22,764

USD

3,459,971

(a)

BRL

17,781,000

HSBC

Bank

plc

09/15/21

66,114

USD

980,180

(a)

BRL

4,980,000

JPMorgan

Chase

Bank

NA

09/15/21

29,648

USD

103,087

(a)

BRL

527,262

Standard

Chartered

Bank

09/15/21

2,449

USD

7,651,762

(a)

CAD

9,495,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

41,287

USD

1,638,231

(a)

CHF

1,466,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

18,025

USD

6,858,455

(a)

CNY

44,161,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

52,719

USD

51,953,262

(a)

EUR

42,534,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

1,453,281

USD

187,025

(a)

HKD

1,451,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

290

USD

37,460,085

(a)

KRW

41,639,085,000

BNP

Paribas

SA

09/15/21

1,372,531

USD

88,650

(a)

KRW

98,862,396

Deutsche

Bank

AG

09/15/21

2,968

USD

955,709

(a)

KRW

1,065,816,604

Goldman

Sachs

International

09/15/21

31,992

USD

268,065

(a)

NOK

2,213,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

17,549

USD

22,954,418

(a)

NZD

32,094,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

598,583

USD

1,050,251

(a)

SEK

8,669,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

42,858

USD

152,687

(a)

SGD

202,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

3,613

USD

36,614,507

(a)

TWD

1,004,043,000

Barclays

Bank

plc

09/15/21

633,388

USD

1,046,563

(a)

TWD

28,719,780

BNP

Paribas

SA

09/15/21

17,354

USD

547,837

(a)

TWD

15,197,000

HSBC

Bank

plc

09/15/21

3,234

USD

526,822

(a)

TWD

14,457,220

Morgan

Stanley

&

Co.

International

plc

09/15/21

8,730

6,465,390

AUD

845,000

USD

622,849

Barclays

Bank

plc

08/03/21

(2,747)

AUD

845,000

USD

622,942

Goldman

Sachs

International

08/03/21

(2,839)

AUD

845,000

USD

622,729

Toronto

Dominion

Bank

08/03/21

(2,627)

AUD

840,350

USD

619,077

UBS

AG

08/03/21

(2,386)

CAD

985,000

USD

791,992

Barclays

Bank

plc

08/03/21

(2,476)

CAD

985,000

USD

791,864

Goldman

Sachs

International

08/03/21

(2,348)

CAD

985,000

USD

791,928

Toronto

Dominion

Bank

08/03/21

(2,412)

CAD

988,080

USD

794,430

UBS

AG

08/03/21

(2,445)

EUR

530,000

USD

630,064

Barclays

Bank

plc

08/03/21

(1,351)

EUR

530,000

USD

629,958

Goldman

Sachs

International

08/03/21

(1,245)

EUR

530,000

USD

630,186

Toronto

Dominion

Bank

08/03/21

(1,473)

EUR

529,874

USD

629,655

UBS

AG

08/03/21

(1,092)

GBP

455,000

USD

635,316

Barclays

Bank

plc

08/03/21

(2,867)

GBP

455,000

USD

635,180

Goldman

Sachs

International

08/03/21

(2,730)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

13

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

GBP

455,000

USD

635,407

Toronto

Dominion

Bank

08/03/21

$

(2,958)

GBP

457,499

USD

638,330

UBS

AG

08/03/21

(2,406)

USD

62,848

EUR

53,000

UBS

AG

08/03/21

(23)

USD

616,156

GBP

445,000

Barclays

Bank

plc

08/03/21

(2,394)

USD

616,106

GBP

445,000

Goldman

Sachs

International

08/03/21

(2,444)

USD

616,213

GBP

445,000

Toronto

Dominion

Bank

08/03/21

(2,337)

USD

602,233

GBP

435,499

UBS

AG

08/03/21

(3,111)

USD

71,660

GBP

52,000

Westpac

Banking

Corp.

08/03/21

(620)

USD

64,883

CAD

81,000

Barclays

Bank

plc

09/02/21

(40)

USD

75,934

EUR

64,000

Barclays

Bank

plc

09/02/21

(31)

AUD

4,692,000

(a)

USD

3,474,190

Morgan

Stanley

&

Co.

International

plc

09/15/21

(30,199)

BRL

103,048,000

(a)

USD

20,244,471

Deutsche

Bank

AG

09/15/21

(575,710)

BRL

4,025,000

(a)

USD

798,073

Goldman

Sachs

International

09/15/21

(29,822)

CAD

61,591,000

(a)

USD

50,990,107

Morgan

Stanley

&

Co.

International

plc

09/15/21

(1,623,420)

CNY

170,591,000

(a)

USD

26,565,269

Morgan

Stanley

&

Co.

International

plc

09/15/21

(275,164)

EUR

6,137,000

(a)

USD

7,303,738

Morgan

Stanley

&

Co.

International

plc

09/15/21

(17,370)

GBP

10,664,000

(a)

USD

15,077,235

Morgan

Stanley

&

Co.

International

plc

09/15/21

(252,654)

INR

71,384,243

(a)

USD

967,100

BNP

Paribas

SA

09/15/21

(12,064)

INR

2,643,406,757

(a)

USD

35,891,875

Morgan

Stanley

&

Co.

International

plc

09/15/21

(526,262)

JPY

3,276,035,000

(a)

USD

29,997,227

Morgan

Stanley

&

Co.

International

plc

09/15/21

(124,810)

MXN

142,451,000

(a)

USD

7,134,151

Morgan

Stanley

&

Co.

International

plc

09/15/21

(20,591)

RUB

42,920,000

(a)

USD

587,296

Goldman

Sachs

International

09/15/21

(4,169)

TWD

26,628,000

(a)

USD

962,029

BNP

Paribas

SA

09/15/21

(7,782)

TWD

6,111,000

(a)

USD

219,939

Deutsche

Bank

AG

09/15/21

(944)

TWD

282,766,000

(a)

USD

10,138,252

Societe

Generale

SA

09/15/21

(4,984)

USD

4,212,450

(a)

CAD

5,307,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(41,239)

USD

10,867,021

(a)

CNY

70,565,000

HSBC

Bank

plc

09/15/21

(7,886)

USD

17,024,159

(a)

CNY

110,743,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(42,655)

USD

20,874,979

(a)

EUR

17,659,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(91,288)

USD

2,770,998

(a)

INR

208,156,000

BNP

Paribas

SA

09/15/21

(13,880)

USD

2,731,781

(a)

INR

204,190,000

Citibank

NA

09/15/21

(36)

USD

16,616,805

(a)

JPY

1,827,422,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(46,483)

USD

10,474,656

(a)

MXN

211,266,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(75,311)

USD

6,554,298

(a)

NZD

9,417,000

Morgan

Stanley

&

Co.

International

plc

09/15/21

(5,336)

USD

343,813

(a)

RUB

25,485,000

Goldman

Sachs

International

09/15/21

(2,436)

(3,879,897)

$

2,585,493

(a)

All

or

a

portion

of

the

security

is

held

by

a

wholly-owned

subsidiary.

See

Note

1

of

the

Notes

to

Consolidated

Financial

Statements

for

details

on

the

wholly-owned

subsidiary.

OTC

Interest

Rate

Swaptions

Purchased

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Put

10-Year

Interest

Rate

Swap

(a)

0.26%

Annual

6

month

EURIBOR

Semi-Annual

BNP

Paribas

SA

08/13/21

0.26

%

EUR

21,398

$

18

10-Year

Interest

Rate

Swap

(a)

1.82%

Semi-Annual

3

month

LIBOR

Quarterly

Citibank

NA

08/13/21

1.82

USD

17,724

50

10-Year

Interest

Rate

Swap

(a)

1.43%

Semi-Annual

3

month

LIBOR

Quarterly

Barclays

Bank

plc

10/15/21

1.43

USD

24,987

192,591

10-Year

Interest

Rate

Swap

(a)

0.05%

Annual

6

month

EURIBOR

Semi-Annual

BNP

Paribas

SA

10/15/21

0.05

EUR

16,938

73,124

10-Year

Interest

Rate

Swap

(a)

0.05%

Annual

6

month

EURIBOR

Semi-Annual

Citibank

NA

10/15/21

0.05

EUR

12,641

54,572

$

320,355

(a)

Forward

settling

swaption.

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

14

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Centrally

Cleared

Credit

Defa

ul

t

Swaps

—

Sell

Protection

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

CDX.NA.HY.36.V1

.....

5.00

%

Quarterly

06/20/26

BBB-

USD

9,563

$

933,982

$

785,988

$

147,994

ITRAXX.EUR.

CROSSOVER.35.V1

.

5.00

Quarterly

06/20/26

BB

EUR

7,758

1,162,791

929,200

233,591

$

2,096,773

$

1,715,188

$

381,585

(a)

Using

the

rating

of

the

issuer

or

the

underlying

securities

of

the

index,

as

applicable,

provided

by

S&P

Global

Ratings.

(b)

The

maximum

potential

amount

the

Fund

may

pay

should

a

negative

credit

event

take

place

as

defined

under

the

terms

of

the

agreement.

OTC

Total

Return

Swap

s

-

Future

Reference

Entity

Fixed

Amount

Paid

/

(Received)

by

the

Fund

(a)

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

BOVESPA

Index

Futures

August

2021

................

BRL

(10,222,837)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

10,223

$

65,053

$

—

$

65,053

BOVESPA

Index

Futures

August

2021

................

BRL

(1,414,168)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

1,414

13,804

—

13,804

BOVESPA

Index

Futures

August

2021

................

BRL

(1,026,966)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

1,027

9,747

—

9,747

BOVESPA

Index

Futures

August

2021

................

BRL

(3,694,057)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

3,694

29,824

—

29,824

BOVESPA

Index

Futures

August

2021

................

BRL

(4,776,467)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

4,776

26,788

—

26,788

BOVESPA

Index

Futures

August

2021

................

BRL

(7,211,432)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

7,211

72,583

—

72,583

BOVESPA

Index

Futures

August

2021

................

BRL

(9,752,012)

Merrill

Lynch

International

&

Co.

08/18/21

BRL

9,752

44,941

—

44,941

Taiwan

Capitalization

Weighted

Stock

Index

Futures

August

2021

................

TWD

37,545,584

Merrill

Lynch

International

&

Co.

08/18/21

TWD

37,546

8,483

—

8,483

Taiwan

Capitalization

Weighted

Stock

Index

Futures

August

2021

................

TWD

131,707,529

Merrill

Lynch

International

&

Co.

08/18/21

TWD

131,708

(42,379)

—

(42,379)

Taiwan

Capitalization

Weighted

Stock

Index

Futures

August

2021

................

TWD

417,124,742

Merrill

Lynch

International

&

Co.

08/18/21

TWD

417,125

(422,612)

—

(422,612)

KOSPI

200

Index

Futures

September

2021

........

KRW

2,530,506,000

HSBC

Bank

plc

09/09/21

KRW

2,530,506

(78,423)

—

(78,423)

KOSPI

200

Index

Futures

September

2021

........

KRW

2,080,944,600

Merrill

Lynch

International

&

Co.

09/09/21

KRW

2,080,945

(56,548)

—

(56,548)

KOSPI

200

Index

Futures

September

2021

........

KRW

1,834,441,100

Merrill

Lynch

International

&

Co.

09/09/21

KRW

1,834,441

(26,726)

—

(26,726)

KOSPI

200

Index

Futures

September

2021

........

KRW

4,441,103,600

Merrill

Lynch

International

&

Co.

09/09/21

KRW

4,441,104

(79,116)

—

(79,116)

KOSPI

200

Index

Futures

September

2021

........

KRW

1,755,563,600

Merrill

Lynch

International

&

Co.

09/09/21

KRW

1,755,564

(50,392)

—

(50,392)

KOSPI

200

Index

Futures

September

2021

........

KRW

3,335,829,400

Merrill

Lynch

International

&

Co.

09/09/21

KRW

3,335,829

(40,625)

—

(40,625)

KOSPI

200

Index

Futures

September

2021

........

KRW

1,506,430,100

Merrill

Lynch

International

&

Co.

09/09/21

KRW

1,506,430

(18,283)

—

(18,283)

KOSPI

200

Index

Futures

September

2021

........

KRW

2,381,745,850

Merrill

Lynch

International

&

Co.

09/09/21

KRW

2,381,746

(41,336)

—

(41,336)

Swiss

Market

Index

Futures

September

2021

........

CHF

2,733,090

HSBC

Bank

plc

09/17/21

CHF

2,733

55,097

—

55,097

Swiss

Market

Index

Futures

September

2021

........

CHF

1,435,180

HSBC

Bank

plc

09/17/21

CHF

1,435

18,568

—

18,568

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

15

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

(a)

The

Fund

receives

the

total

return

on

a

portfolio

of

long

positions

underlying

the

total

return

swap.

The

Fund

pays

the

total

return

on

a

portfolio

of

short

positions

underlying

the

total

return

swap.

In

addition,

the

Fund

pays

or

receives

a

variable

rate

of

interest,

based

on

a

specified

benchmark.

The

benchmark

and

spread

are

determined

based

upon

the

country

and/or

currency

of

the

individual

underlying

positions.

The

following

are

the

specified

benchmarks

(plus

or

minus

a

range)

used

in

determining

the

variable

rate

of

interest:

OTC

Total

Return

Swaps

-

Future

(continued)

Reference

Entity

Fixed

Amount

Paid

/

(Received)

by

the

Fund

(a)

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

Swiss

Market

Index

Futures

September

2021

........

CHF

240,792

HSBC

Bank

plc

09/17/21

CHF

241

$

1,333

$

—

$

1,333

Swiss

Market

Index

Futures

September

2021

........

CHF

359,808

HSBC

Bank

plc

09/17/21

CHF

360

3,524

—

3,524

$

(506,695)

$

—

$

(506,695)

(a)

At

termination,

the

fixed

amount

paid

(received)

will

be

exchanged

for

the

total

return

of

the

reference

entity.

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/Short

...

Monthly

Barclays

Bank

plc

(b)

06/16/25

$

(9,926)

$

169,411

(c)

$

163,275

34.8

%

Monthly

Citibank

NA

(d)

02/24/23-02/27/23

50,545

140,422

(e)

165,967

21.8

Monthly

Credit

Suisse

International

(f)

02/08/23

(297,264)

378,045

(g)

71,528

30.8

Monthly

Deutsche

Bank

AG

(h)

02/17/23

28,678

206,914

(i)

77,695

25.6

Monthly

Goldman

Sachs

International

(j)

02/27/23-03/01/23

157,448

45,011

(k)

203,575

34.6

Monthly

JPMorgan

Chase

Bank

NA

(l)

02/08/23

82,180

7,598

(m)

79,956

4.3

Monthly

Merrill

Lynch

International

&

Co.

(n)

02/15/23

102,401

102,915

(o)

211,516

30.9

$

1,050,316

$

973,512

(b)

(d)

(f)

Range:

15-210

basis

points

18-90

basis

points

20-80

basis

points

Benchmarks:

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

SGD

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Copenhagen

Interbank

Swap

Rate

1

Month

Bank

of

Canada

Overnight

Repo

Rate

Canada

Bankers

Acceptances

1

Month

Hong

Kong

Interbank

Offer

Rate

1

Month

Copenhagen

Interbank

Swap

Rate

1

Week

Copenhagen

Interbank

Swap

Rate

1

Month

Intercontinental

Exchange

LIBOR:

Hong

Kong

Interbank

Offer

Rate

1

Week

Hong

Kong

Interbank

Offer

Rate

1

Month

CHF

1

Month

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR:

EUR

1

Month

CHF

1

Week

CHF

1

Month

JPY

1

Month

EUR

1

Week

EUR

1

Month

USD

1

Month

JPY

1

Month

GBP

1

Month

Norway

Interbank

Offer

Rate

1

Month

USD

1

Month

JPY

1

Month

Sterling

Overnight

Index

Average

Israel

Tel

Aviv

Interbank

Offer

Rate

1

Month

Norway

Interbank

Offer

Rate

1

Month

Stockholm

Interbank

Offer

Rate

1

Month

Norway

Interbank

Offer

Rate

1

Week

Stockholm

Interbank

Offer

Rate

1

Month

USD

Overnight

Bank

Funding

Rate

Sterling

Overnight

Index

Average

USD

Overnight

Bank

Funding

Rate

Stockholm

Interbank

Offer

Rate

1

Week

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

16

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

(c)

Amount

includes

$(3,790)

of

net

dividends

and

financing

fees.

(e)

Amount

includes

$25,000

of

net

dividends

and

financing

fees.

(g)

Amount

includes

$9,253

of

net

dividends

and

financing

fees.

(i)

Amount

includes

$157,897

of

net

dividends

and

financing

fees.

(k)

Amount

includes

$(1,116)

of

net

dividends

and

financing

fees.

(m)

Amount

includes

$9,822

of

net

dividends

and

financing

fees.

(o)

Amount

includes

$(6,200)

of

net

dividends

and

financing

fees.

i

(h)

(j)

(l)

Range:

20

basis

points

15-133

basis

points

18-35

basis

points

Benchmarks:

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Fixing

1

Month

Association

of

Banks

in

Singapore

Swap

Offer

Rate

Overnight

Bank

of

Canada

Overnight

Lending

Rate

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Bank

of

Canada

Overnight

Repo

Rate

Canada

Overnight

Interbank

Rate

Bank

of

Canada

Overnight

Lending

Rate

Danish

Tomorrow/Next

Reference

Rate

Intercontinental

Exchange

LIBOR

USD

1

Month

Copenhagen

Interbank

Overnight

Deposit

MID

Rate

Euro

Overnight

Index

Average

USD

Overnight

Bank

Funding

Rate

Hong

Kong

Interbank

Offer

Rate

1

Month

Hong

Kong

Overnight

Index

Swap

Rate

Intercontinental

Exchange

LIBOR:

Intercontinental

Exchange

LIBOR

CHF

1

Day

CHF

1

Month

Israel

Tel

Aviv

Interbank

Offer

Rate

Overnight

EUR

1

Week

New

Zealand

Overnight

Deposit

Rate

GBP

1

Week

Norwegian

Overnight

Weighted

Average

JPY

1

Month

Reserve

Bank

of

Australia

Overnight

Cash

Rate

New

Zealand

Overnight

Deposit

Rate

Sterling

Overnight

Index

Average

Norwegian

Overnight

Weighted

Average

Stockholm

Interbank

Offer

Rate

Overnight

Sterling

Overnight

Index

Average

Compounded

Rate

1

Month

Tokyo

Overnight

Average

Rate

Stockholm

Interbank

Offer

Rate

1

Week

U.S.

Federal

Reserve

Overnight

Effective

Federal

Funds

Rate

USD

Overnight

Bank

Funding

Rate

(n)

Range:

0-86

basis

points

Benchmarks:

ASX

Australian

Bank

Bill

Short

Term

Rates

1

Month

Bank

of

Canada

Overnight

Lending

Rate

Copenhagen

Interbank

Swap

Rate

1

Week

Intercontinental

Exchange

LIBOR:

CHF

1

Week

EUR

1

Week

JPY

1

Week

Israel

Tel

Aviv

Interbank

Offer

Rate

1

Month

New

Zealand

Bank

Bill

Rates

1

Month

Norway

Interbank

Offer

Rate

1

Week

Sterling

Overnight

Index

Average

Stockholm

Interbank

Offer

Rate

1

Week

USD

Overnight

Bank

Funding

Rate

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Barclays

Bank

plc,

as

of

July

31,

2021,

expiration

date

06/16/25:

Shares

Value

%

of

Basket

Value

Reference

Entity

—

Long

Australia

Aurizon

Holdings

Ltd.

......

7,481

$

21,230

13.0

%

BHP

Group

Ltd.

..........

744

29,224

17.9

Brambles

Ltd.

............

18,067

154,684

94.7

Cochlear

Ltd.

............

132

23,881

14.6

Coles

Group

Ltd.

.........

12,233

157,433

96.4

Ramsay

Health

Care

Ltd.

....

776

36,700

22.5

Rio

Tinto

Ltd.

............

616

60,374

37.0

Rio

Tinto

plc

.............

2,258

191,795

117.5

Tabcorp

Holdings

Ltd.

......

22,879

83,511

51.1

Wesfarmers

Ltd.

..........

102

4,599

2.8

763,431

Shares

Value

%

of

Basket

Value

Austria

Raiffeisen

Bank

International

AG

1,198

$

28,326

17.3

%

Belgium

Anheuser-Busch

InBev

SA/NV

274

17,293

10.6

Groupe

Bruxelles

Lambert

SA

.

605

70,391

43.1

87,684

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

33

91,582

56.1

Coloplast

A/S,

Class

B

......

950

173,721

106.4

Genmab

A/S

............

153

69,153

42.3

Novo

Nordisk

A/S,

Class

B

...

3,258

301,597

184.7

Pandora

A/S

............

444

57,435

35.2

693,488

Finland

Kesko

OYJ,

Class

B

.......

623

26,703

16.4

Neste

OYJ

..............

243

14,937

9.1

41,640

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

17

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

France

Arkema

SA

.............

708

$

90,117

55.2

%

BioMerieux

.............

201

23,967

14.7

Bollore

SA

..............

5,355

29,925

18.3

Carrefour

SA

............

2,787

51,767

31.7

CNP

Assurances

..........

1,432

24,341

14.9

Credit

Agricole

SA

.........

3,101

43,239

26.5

Dassault

Systemes

SE

.....

1,310

72,263

44.3

Engie

SA

...............

8,603

114,724

70.3

Eurazeo

SE

.............

354

34,289

21.0

Hermes

International

.......

62

94,784

58.1

Orange

SA

..............

18,233

202,918

124.3

Pernod

Ricard

SA

.........

438

96,670

59.2

Publicis

Groupe

SA

........

499

31,502

19.3

Teleperformance

..........

131

55,255

33.8

Thales

SA

..............

521

54,681

33.5

TotalEnergies

SE

.........

2,770

120,791

74.0

1,141,233

Germany

Allianz

SE

(Registered)

.....

608

151,127

92.6

BASF

SE

...............

3,171

249,172

152.6

Deutsche

Boerse

AG

.......

334

55,733

34.1

Deutsche

Post

AG

(Registered)

3,848

260,784

159.7

E.ON

SE

...............

10,223

125,677

77.0

Evonik

Industries

AG

.......

1,347

46,835

28.7

GEA

Group

AG

...........

1,142

50,637

31.0

Henkel

AG

&

Co.

KGaA

(Preference)

..........

929

94,186

57.7

Merck

KGaA

............

126

25,793

15.8

SAP

SE

................

215

30,855

18.9

Scout24

AG

.............

886

75,872

46.5

Siemens

AG

(Registered)

....

338

52,739

32.3

Symrise

AG

.............

475

70,038

42.9

Vonovia

SE

.............

326

21,705

13.3

1,311,153

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

13,000

88,448

54.2

New

World

Development

Co.

Ltd.

................

16,000

75,852

46.4

Sun

Hung

Kai

Properties

Ltd.

.

8,000

114,443

70.1

278,743

Ireland

CRH

plc

...............

5,939

296,826

181.8

Israel

Check

Point

Software

Technologies

Ltd.

.......

332

42,197

25.8

Italy

Poste

Italiane

SpA

.........

2,935

38,837

23.8

Japan

ABC-Mart,

Inc.

...........

100

5,514

3.4

Ajinomoto

Co.,

Inc.

........

2,000

50,954

31.2

Asahi

Kasei

Corp.

.........

3,600

39,258

24.0

Astellas

Pharma,

Inc.

.......

3,300

52,560

32.2

Brother

Industries

Ltd.

......

8,100

164,843

101.0

Chubu

Electric

Power

Co.,

Inc.

1,800

21,601

13.2

Chugai

Pharmaceutical

Co.

Ltd.

1,500

55,276

33.8

Daiwa

House

Industry

Co.

Ltd.

2,500

76,651

46.9

Denso

Corp.

............

500

34,351

21.0

ENEOS

Holdings,

Inc.

......

43,300

181,886

111.4

FUJIFILM

Holdings

Corp.

....

1,000

71,763

43.9

Fujitsu

Ltd.

..............

500

85,065

52.1

Hirose

Electric

Co.

Ltd.

.....

300

44,942

27.5

Shares

Value

%

of

Basket

Value

Japan

(continued)

Hitachi

Ltd.

.............

400

$

23,008

14.1

%

Honda

Motor

Co.

Ltd.

......

3,700

118,836

72.8

Iida

Group

Holdings

Co.

Ltd.

..

3,800

91,697

56.2

Isuzu

Motors

Ltd.

.........

2,100

28,013

17.2

Ito

En

Ltd.

..............

400

23,602

14.5

JSR

Corp.

..............

700

23,464

14.4

Kajima

Corp.

............

10,900

140,314

85.9

KDDI

Corp.

.............

5,700

174,327

106.8

Kikkoman

Corp.

..........

1,200

73,484

45.0

Lawson,

Inc.

............

1,100

55,286

33.9

Lixil

Corp.

..............

5,400

147,366

90.3

Mazda

Motor

Corp.

........

2,300

22,689

13.9

McDonald's

Holdings

Co.

Japan

Ltd.

................

3,000

135,198

82.8

Mitsubishi

Electric

Corp.

.....

17,200

233,357

142.9

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,900

39,579

24.2

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

5,700

30,111

18.4

Mitsui

&

Co.

Ltd.

..........

1,400

32,133

19.7

Mitsui

Chemicals,

Inc.

......

4,400

140,311

85.9

Mizuho

Financial

Group,

Inc.

..

16,600

237,208

145.3

NEC

Corp.

..............

800

40,574

24.8

NH

Foods

Ltd.

...........

500

20,167

12.3

Nippon

Express

Co.

Ltd.

....

1,000

73,050

44.7

Nippon

Telegraph

&

Telephone

Corp.

...............

10,300

263,764

161.5

Nippon

Yusen

KK

.........

5,400

291,773

178.7

Nitto

Denko

Corp.

.........

2,700

200,606

122.9

Nomura

Holdings,

Inc.

......

4,100

20,531

12.6

Nomura

Research

Institute

Ltd.

700

22,526

13.8

NSK

Ltd.

...............

17,400

143,600

87.9

Osaka

Gas

Co.

Ltd.

........

12,700

237,270

145.3

Panasonic

Corp.

..........

3,200

38,640

23.7

Pola

Orbis

Holdings,

Inc.

....

1,200

28,685

17.6

Recruit

Holdings

Co.

Ltd.

....

1,900

98,478

60.3

Santen

Pharmaceutical

Co.

Ltd.

1,600

21,680

13.3

Secom

Co.

Ltd.

...........

800

60,552

37.1

Seiko

Epson

Corp.

........

2,600

44,735

27.4

Sekisui

Chemical

Co.

Ltd.

....

3,300

56,943

34.9

Shizuoka

Bank

Ltd.

(The)

....

2,700

19,498

11.9

Sohgo

Security

Services

Co.

Ltd.

................

1,000

46,761

28.6

Subaru

Corp.

............

2,000

39,294

24.1

Sumitomo

Chemical

Co.

Ltd.

..

25,200

131,179

80.3

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

1,000

33,709

20.6

Suntory

Beverage

&

Food

Ltd.

5,500

192,844

118.1

Taisei

Corp.

.............

2,200

74,143

45.4

Tokyo

Electron

Ltd.

........

200

82,485

50.5

Tokyo

Gas

Co.

Ltd.

........

8,900

168,466

103.2

TOPPAN,

Inc.

............

3,900

66,156

40.5

Toray

Industries,

Inc.

.......

7,600

50,040

30.6

Tosoh

Corp.

.............

1,800

31,588

19.3

TOTO

Ltd.

..............

2,500

129,626

79.4

Toyo

Suisan

Kaisha

Ltd.

.....

1,100

41,995

25.7

Yamaha

Motor

Co.

Ltd.

.....

3,800

95,155

58.3

5,521,160

Netherlands

Adyen

NV

..............

14

37,941

23.2

Akzo

Nobel

NV

...........

215

26,559

16.3

EXOR

NV

..............

1,331

109,350

67.0

Koninklijke

Ahold

Delhaize

NV

.

720

22,381

13.7

Koninklijke

KPN

NV

........

8,051

26,418

16.2

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

18

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Netherlands

(continued)

Koninklijke

Philips

NV

......

1,108

$

51,089

31.3

%

NN

Group

NV

............

2,407

119,667

73.3

Randstad

NV

............

3,142

227,954

139.6

Royal

Dutch

Shell

plc,

Class

B

1,284

25,371

15.5

646,730

Norway

Norsk

Hydro

ASA

.........

3,481

23,159

14.2

Orkla

ASA

..............

3,621

32,887

20.1

56,046

Poland

InPost

SA

..............

2,473

48,491

29.7

Singapore

DBS

Group

Holdings

Ltd.

....

1,500

33,564

20.6

Oversea-Chinese

Banking

Corp.

Ltd.

................

5,900

53,379

32.7

Singapore

Telecommunications

Ltd.

................

13,400

22,460

13.7

United

Overseas

Bank

Ltd.

...

9,300

179,802

110.1

289,205

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

12,350

79,058

48.4

Iberdrola

SA

.............

3,012

33,222

20.3

Industria

de

Diseno

Textil

SA

..

411

13,940

8.5

Repsol

SA

..............

2,278

24,951

15.3

151,171

Sweden

Assa

Abloy

AB,

Class

B

.....

792

25,404

15.6

Boliden

AB

..............

5,511

214,775

131.5

Lundin

Energy

AB

.........

1,480

46,138

28.3

Skanska

AB,

Class

B

.......

3,228

91,125

55.8

Swedish

Match

AB

........

6,191

55,440

34.0

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

7,711

88,940

54.5

Telia

Co.

AB

.............

7,091

31,103

19.0

552,925

Switzerland

Adecco

Group

AG

(Registered)

2,094

125,402

76.8

Geberit

AG

(Registered)

.....

72

59,118

36.2

Givaudan

SA

(Registered)

...

66

329,422

201.8

Holcim

Ltd.

(Registered)

.....

1,636

95,904

58.8

Kuehne

+

Nagel

International

AG

(Registered)

...........

958

323,165

197.9

Logitech

International

SA

(Registered)

...........

691

75,920

46.5

Nestle

SA

(Registered)

.....

853

108,015

66.2

Novartis

AG

(Registered)

....

2,195

202,990

124.3

SGS

SA

(Registered)

.......

55

178,017

109.0

STMicroelectronics

NV

.....

549

22,593

13.8

Straumann

Holding

AG

(Registered)

...........

81

150,176

92.0

Swiss

Life

Holding

AG

(Registered)

...........

333

171,762

105.2

Swisscom

AG

(Registered)

...

652

391,853

240.0

Zurich

Insurance

Group

AG

..

465

187,476

114.8

2,421,813

United

Kingdom

Ashtead

Group

plc

........

478

35,768

21.9

BP

plc

.................

4,752

19,075

11.7

Burberry

Group

plc

........

974

27,938

17.1

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Coca-Cola

Europacific

Partners

plc

.................

1,584

$

98,303

60.2

%

Experian

plc

.............

2,296

101,083

61.9

Intertek

Group

plc

.........

1,264

90,560

55.5

Kingfisher

plc

............

34,686

178,162

109.1

Persimmon

plc

...........

808

32,593

20.0

Phoenix

Group

Holdings

plc

..

3,115

29,355

18.0

RELX

plc

...............

781

22,957

14.1

Rentokil

Initial

plc

.........

3,083

24,286

14.9

Sage

Group

plc

(The)

......

5,051

49,234

30.1

United

Utilities

Group

plc

....

5,012

74,626

45.7

WPP

plc

...............

27,887

360,663

220.9

1,144,603

United

States

ABIOMED,

Inc.

...........

91

29,770

18.2

Accenture

plc,

Class

A

......

1,554

493,675

302.4

Adobe,

Inc.

.............

1,044

648,982

397.5

Aflac,

Inc.

..............

5,618

308,990

189.2

Agilent

Technologies,

Inc.

....

1,148

175,908

107.7

Airbnb,

Inc.,

Class

A

.......

83

11,953

7.3

Align

Technology,

Inc.

......

174

121,069

74.2

Ally

Financial,

Inc.

.........

1,361

69,901

42.8

Alphabet,

Inc.,

Class

A

......

135

363,762

222.8

Amazon.com,

Inc.

.........

45

149,742

91.7

AMERCO

..............

289

169,920

104.1

Ameriprise

Financial,

Inc.

....

216

55,633

34.1

Apple,

Inc.

..............

2,461

358,961

219.9

Applied

Materials,

Inc.

......

2,348

328,556

201.2

Archer-Daniels-Midland

Co.

..

4,695

280,385

171.7

Arista

Networks,

Inc.

.......

62

23,584

14.4

Arrow

Electronics,

Inc.

......

1,755

208,090

127.4

Athene

Holding

Ltd.,

Class

A

..

304

19,644

12.0

Autodesk,

Inc.

...........

701

225,112

137.9

AutoZone,

Inc.

...........

71

115,273

70.6

Avery

Dennison

Corp.

......

477

100,494

61.5

Bank

of

New

York

Mellon

Corp.

(The)

...............

753

38,651

23.7

Berkshire

Hathaway,

Inc.,

Class

B

..................

238

66,233

40.6

Best

Buy

Co.,

Inc.

.........

1,657

186,164

114.0

Booz

Allen

Hamilton

Holding

Corp.

...............

1,216

104,345

63.9

Bunge

Ltd.

..............

1,248

96,882

59.3

Cadence

Design

Systems,

Inc.

2,569

379,313

232.3

Cardinal

Health,

Inc.

.......

850

50,473

30.9

CDW

Corp.

.............

123

22,552

13.8

Cerner

Corp.

............

3,412

274,291

168.0

CH

Robinson

Worldwide,

Inc.

.

556

49,579

30.4

Chipotle

Mexican

Grill,

Inc.

...

7

13,044

8.0

Cigna

Corp.

.............

187

42,915

26.3

Cintas

Corp.

.............

248

97,757

59.9

Citigroup,

Inc.

............

1,132

76,546

46.9

Citrix

Systems,

Inc.

........

265

26,699

16.4

Coca-Cola

Co.

(The)

.......

3,242

184,891

113.2

Cognex

Corp.

............

817

73,865

45.2

Constellation

Brands,

Inc.,

Class

A

..................

363

81,435

49.9

Cooper

Cos.,

Inc.

(The)

.....

157

66,218

40.6

Copart,

Inc.

.............

504

74,088

45.4

Corteva,

Inc.

............

2,457

105,110

64.4

Costco

Wholesale

Corp.

.....

146

62,739

38.4

CSX

Corp.

..............

3,236

104,588

64.1

Cummins,

Inc.

...........

922

213,996

131.1

CVS

Health

Corp.

.........

1,913

157,555

96.5

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

19

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

DaVita,

Inc.

.............

139

$

16,715

10.2

%

Deere

&

Co.

.............

160

57,854

35.4

Domino's

Pizza,

Inc.

.......

147

77,247

47.3

Dover

Corp.

.............

164

27,408

16.8

Dropbox,

Inc.,

Class

A

......

8,144

256,455

157.1

DuPont

de

Nemours,

Inc.

....

548

41,127

25.2

eBay,

Inc.

..............

527

35,947

22.0

Ecolab,

Inc.

.............

601

132,719

81.3

Edwards

Lifesciences

Corp.

..

3,328

373,635

228.8

Electronic

Arts,

Inc.

........

2,037

293,247

179.6

Eli

Lilly

&

Co.

............

175

42,612

26.1

Emerson

Electric

Co.

.......

1,623

163,744

100.3

EOG

Resources,

Inc.

.......

273

19,891

12.2

Exelon

Corp.

............

2,979

139,417

85.4

Expeditors

International

of

Washington,

Inc.

........

957

122,735

75.2

Fair

Isaac

Corp.

..........

155

81,206

49.7

Fastenal

Co.

............

31

1,698

1.0

FedEx

Corp.

............

669

187,287

114.7

Ferguson

plc

............

1,873

262,574

160.8

Fortinet,

Inc.

.............

55

14,973

9.2

Fortive

Corp.

............

1,020

74,113

45.4

Garmin

Ltd.

.............

1,634

256,865

157.3

Gartner,

Inc.

.............

183

48,446

29.7

Genuine

Parts

Co.

........

1,452

184,288

112.9

Gilead

Sciences,

Inc.

.......

2,351

160,550

98.3

Henry

Schein,

Inc.

.........

464

37,190

22.8

Hershey

Co.

(The)

........

1,160

207,501

127.1

Hewlett

Packard

Enterprise

Co.

4,179

60,595

37.1

Hologic,

Inc.

.............

1,745

130,945

80.2

Home

Depot,

Inc.

(The)

.....

16

5,251

3.2

HP,

Inc.

................

7,105

205,121

125.6

HubSpot,

Inc.

............

37

22,053

13.5

IDEXX

Laboratories,

Inc.

....

333

225,950

138.4

IHS

Markit

Ltd.

...........

1,648

192,552

117.9

Illinois

Tool

Works,

Inc.

......

1,771

401,433

245.9

Incyte

Corp.

.............

1,781

137,760

84.4

Intel

Corp.

..............

2,485

133,494

81.8

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

2,205

77,969

47.8

Intuit,

Inc.

..............

1,334

706,980

433.0

IQVIA

Holdings,

Inc.

.......

206

51,026

31.3

Jacobs

Engineering

Group,

Inc.

472

63,838

39.1

James

Hardie

Industries

plc,

CDI

................

9,546

322,068

197.3

Jazz

Pharmaceuticals

plc

....

36

6,103

3.7

JB

Hunt

Transport

Services,

Inc.

1,285

216,458

132.6

Johnson

&

Johnson

........

430

74,046

45.3

Johnson

Controls

International

plc

.................

2,506

178,979

109.6

Keysight

Technologies,

Inc.

...

839

138,057

84.6

Kinder

Morgan,

Inc.

........

5,518

95,903

58.7

KKR

&

Co.,

Inc.

..........

1,162

74,089

45.4

KLA

Corp.

..............

69

24,023

14.7

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,034

101,069

61.9

Kroger

Co.

(The)

..........

1,140

46,398

28.4

Lam

Research

Corp.

.......

308

196,322

120.2

Lennox

International,

Inc.

....

64

21,084

12.9

LKQ

Corp.

..............

505

25,629

15.7

Lowe's

Cos.,

Inc.

.........

773

148,949

91.2

Lululemon

Athletica,

Inc.

....

58

23,210

14.2

Masco

Corp.

............

2,875

171,666

105.1

Masimo

Corp.

............

75

20,429

12.5

Maxim

Integrated

Products,

Inc.

1,735

173,344

106.2

Shares

Value

%

of

Basket

Value

United

States

(continued)

McDonald's

Corp.

.........

96

$

23,300

14.3

%

MetLife,

Inc.

.............

7,154

412,786

252.8

Mettler-Toledo

International,

Inc.

141

207,793

127.3

Microsoft

Corp.

...........

1,565

445,884

273.1

Mohawk

Industries,

Inc.

.....

361

70,359

43.1

Molina

Healthcare,

Inc.

.....

315

85,998

52.7

Mondelez

International,

Inc.,

Class

A

..............

393

24,861

15.2

Monster

Beverage

Corp.

....

360

33,955

20.8

Moody's

Corp.

...........

68

25,568

15.7

Morgan

Stanley

..........

1,152

110,569

67.7

Mosaic

Co.

(The)

.........

246

7,683

4.7

NetApp,

Inc.

.............

1,204

95,826

58.7

Newell

Brands,

Inc.

........

1,073

26,557

16.3

News

Corp.,

Class

A

.......

3,213

79,136

48.5

NIKE,

Inc.,

Class

B

........

126

21,106

12.9

Nordson

Corp.

...........

234

52,914

32.4

Norfolk

Southern

Corp.

.....

58

14,954

9.2

Northern

Trust

Corp.

.......

194

21,893

13.4

NVIDIA

Corp.

............

87

16,964

10.4

NVR,

Inc.

...............

22

114,897

70.4

Old

Dominion

Freight

Line,

Inc.

1,021

274,802

168.3

Omnicom

Group,

Inc.

.......

1,440

104,861

64.2

O'Reilly

Automotive,

Inc.

....

88

53,138

32.5

Owens

Corning

...........

623

59,908

36.7

Parker-Hannifin

Corp.

......

68

21,218

13.0

Paychex,

Inc.

............

403

45,869

28.1

Pentair

plc

..............

331

24,385

14.9

PepsiCo,

Inc.

............

1,310

205,604

125.9

Pool

Corp.

..............

318

151,947

93.1

Prudential

Financial,

Inc.

....

1,070

107,300

65.7

PTC,

Inc.

...............

753

101,994

62.5

Qualcomm,

Inc.

..........

1,477

221,255

135.5

Raymond

James

Financial,

Inc.

429

55,547

34.0

Robert

Half

International,

Inc.

.

1,219

119,718

73.3

Rockwell

Automation,

Inc.

....

131

40,272

24.7

Ross

Stores,

Inc.

.........

516

63,308

38.8

Sealed

Air

Corp.

..........

1,842

104,534

64.0

ServiceNow,

Inc.

..........

457

268,666

164.5

Sherwin-Williams

Co.

(The)

..

418

121,651

74.5

Stanley

Black

&

Decker,

Inc.

..

115

22,661

13.9

Starbucks

Corp.

..........

2,143

260,224

159.4

Stellantis

NV

............

1,245

23,875

14.6

Stryker

Corp.

............

102

27,636

16.9

Swiss

Re

AG

............

212

19,220

11.8

Synchrony

Financial

.......

1,158

54,449

33.3

Synopsys,

Inc.

...........

658

189,497

116.1

Sysco

Corp.

.............

593

44,001

26.9

T.

Rowe

Price

Group,

Inc.

....

228

46,548

28.5

Target

Corp.

.............

527

137,573

84.3

Teradyne,

Inc.

...........

255

32,385

19.8

Texas

Instruments,

Inc.

.....

716

136,484

83.6

TJX

Cos.,

Inc.

(The)

.......

2,000

137,620

84.3

Tractor

Supply

Co.

........

225

40,709

24.9

Travelers

Cos.,

Inc.

(The)

....

163

24,274

14.9

Trimble,

Inc.

.............

1,859

158,945

97.3

Tyson

Foods,

Inc.,

Class

A

...

938

67,029

41.1

UGI

Corp.

..............

5,954

273,824

167.7

Ulta

Beauty,

Inc.

..........

65

21,827

13.4

United

Parcel

Service,

Inc.,

Class

B

..................

391

74,822

45.8

Universal

Health

Services,

Inc.,

Class

B

..............

407

65,287

40.0

Vail

Resorts,

Inc.

..........

72

21,974

13.5

Veeva

Systems,

Inc.,

Class

A

.

147

48,908

30.0

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

20

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Verizon

Communications,

Inc.

.

5,146

$

287,044

175.8

%

Vertex

Pharmaceuticals,

Inc.

..

1,059

213,473

130.7

VMware,

Inc.,

Class

A

......

532

81,790

50.1

Vulcan

Materials

Co.

.......

152

27,358

16.8

Walmart,

Inc.

............

559

79,685

48.8

Waters

Corp.

............

352

137,213

84.0

West

Pharmaceutical

Services,

Inc.

.................

70

28,821

17.7

Western

Union

Co.

(The)

....

2,940

68,237

41.8

Whirlpool

Corp.

...........

401

88,838

54.4

WW

Grainger,

Inc.

.........

191

84,915

52.0

Xilinx,

Inc.

..............

152

22,776

13.9

Yum!

Brands,

Inc.

.........

570

74,892

45.9

Zebra

Technologies

Corp.,

Class

A

..................

164

90,607

55.5

Zoetis,

Inc.

..............

214

43,378

26.6

21,997,349

Total

Reference

Entity

—

Long

............

37,553,051

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(14)

(21,962)

(13.5)

Australia

Afterpay

Ltd.

............

(1,292)

(91,838)

(56.2)

APA

Group

..............

(14,187)

(99,550)

(61.0)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

(8,247)

(167,897)

(102.8)

Crown

Resorts

Ltd.

........

(12,659)

(80,313)

(49.2)

Evolution

Mining

Ltd.

.......

(26,493)

(80,573)

(49.3)

Fortescue

Metals

Group

Ltd.

..

(5,547)

(101,358)

(62.1)

Magellan

Financial

Group

Ltd.

.

(898)

(32,399)

(19.8)

National

Australia

Bank

Ltd.

..

(2,409)

(45,939)

(28.1)

Newcrest

Mining

Ltd.

.......

(6,023)

(116,410)

(71.3)

Northern

Star

Resources

Ltd.

.

(8,316)

(61,964)

(38.0)

Transurban

Group

.........

(8,735)

(92,135)

(56.4)

WiseTech

Global

Ltd.

.......

(282)

(6,396)

(3.9)

Woodside

Petroleum

Ltd.

....

(4,310)

(69,236)

(42.4)

Woolworths

Group

Ltd.

.....

(2,058)

(58,872)

(36.1)

(1,104,880)

Belgium

Elia

Group

SA/NV

.........

(289)

(34,157)

(20.9)

Sofina

SA

..............

(99)

(46,420)

(28.4)

(80,577)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(351)

(53,594)

(32.8)

Brazil

Yara

International

ASA

......

(1,175)

(61,930)

(37.9)

Chile

Antofagasta

plc

...........

(3,147)

(65,342)

(40.0)

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(58,000)

(161,867)

(99.1)

Futu

Holdings

Ltd.,

ADR

.....

(385)

(39,447)

(24.2)

Prosus

NV

..............

(845)

(75,390)

(46.2)

(276,704)

Denmark

Chr

Hansen

Holding

A/S

....

(603)

(54,233)

(33.2)

Danske

Bank

A/S

.........

(2,542)

(44,551)

(27.3)

Orsted

A/S

..............

(119)

(17,650)

(10.8)

Shares

Value

%

of

Basket

Value

Denmark

(continued)

Rockwool

International

A/S,

Class

B

..............

(85)

$

(45,103)

(27.6)

%

Vestas

Wind

Systems

A/S

...

(2,560)

(94,399)

(57.8)

(255,936)

Finland

Fortum

OYJ

.............

(2,220)

(61,162)

(37.5)

Kone

OYJ,

Class

B

........

(263)

(21,783)

(13.3)

(82,945)

France

Accor

SA

...............

(3,632)

(128,537)

(78.7)

Adevinta

ASA

............

(5,256)

(101,059)

(61.9)

Aeroports

de

Paris

........

(618)

(74,912)

(45.9)

Air

Liquide

SA

...........

(330)

(57,390)

(35.2)

Alstom

SA

..............

(628)

(26,047)

(16.0)

Atos

SE

................

(449)

(21,472)

(13.2)

Bouygues

SA

............

(598)

(23,048)

(14.1)

Iliad

SA

................

(346)

(74,565)

(45.7)

Kering

SA

..............

(44)

(39,474)

(24.2)

L'Oreal

SA

..............

(60)

(27,450)

(16.8)

Renault

SA

.............

(1,853)

(70,378)

(43.1)

Ubisoft

Entertainment

SA

....

(345)

(21,871)

(13.4)

Worldline

SA

............

(865)

(80,964)

(49.6)

(747,167)

Germany

adidas

AG

..............

(8)

(2,904)

(1.8)

Beiersdorf

AG

............

(968)

(114,973)

(70.4)

Continental

AG

...........

(2,160)

(293,426)

(179.7)

Daimler

AG

(Registered)

....

(1,864)

(166,343)

(101.9)

Deutsche

Lufthansa

AG

(Registered)

...........

(6,836)

(77,208)

(47.3)

Deutsche

Telekom

AG

(Registered)

...........

(3,988)

(82,768)

(50.7)

Fresenius

SE

&

Co.

KGaA

...

(474)

(24,913)

(15.3)

HelloFresh

SE

...........

(403)

(37,777)

(23.1)

Infineon

Technologies

AG

....

(4,246)

(162,257)

(99.4)

Knorr-Bremse

AG

.........

(347)

(39,294)

(24.1)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(69)

(18,618)

(11.4)

Porsche

Automobil

Holding

SE

(Preference)

..........

(516)

(55,847)

(34.2)

Sartorius

AG

(Preference)

...

(54)

(32,665)

(20.0)

Siemens

Energy

AG

.......

(701)

(19,071)

(11.7)

Siemens

Healthineers

AG

....

(1,400)

(92,430)

(56.6)

TeamViewer

AG

..........

(535)

(17,988)

(11.0)

Telefonica

Deutschland

Holding

AG

.................

(21,524)

(58,019)

(35.5)

(1,296,501)

Hong

Kong

Bank

of

East

Asia

Ltd.

(The)

..

(25,000)

(41,191)

(25.2)

CK

Infrastructure

Holdings

Ltd.

(32,500)

(196,199)

(120.2)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

..

(195,500)

(198,276)

(121.4)

HKT

Trust

&

HKT

Ltd.

......

(104,000)

(141,365)

(86.6)

Jardine

Matheson

Holdings

Ltd.

(2,100)

(124,941)

(76.5)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(6,191)

(86,179)

(52.8)

(788,151)

Ireland

Kerry

Group

plc,

Class

A

....

(1,287)

(190,838)

(116.9)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

21

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(2,601)

$

(25,100)

(15.4)

%

Wix.com

Ltd.

............

(174)

(51,963)

(31.8)

(77,063)

Italy

Ferrari

NV

..............

(159)

(34,652)

(21.2)

Moncler

SpA

............

(1,727)

(118,615)

(72.7)

(153,267)

Japan

Acom

Co.

Ltd.

...........

(10,000)

(41,044)

(25.1)

Aeon

Co.

Ltd.

............

(800)

(21,892)

(13.4)

Asahi

Group

Holdings

Ltd.

...

(1,400)

(62,992)

(38.6)

Bandai

Namco

Holdings,

Inc.

.

(1,100)

(71,175)

(43.6)

Bridgestone

Corp.

.........

(1,600)

(70,488)

(43.2)

Central

Japan

Railway

Co.

...

(1,000)

(145,465)

(89.1)

Cosmos

Pharmaceutical

Corp.

(200)

(33,951)

(20.8)

Daiichi

Sankyo

Co.

Ltd.

.....

(1,100)

(21,785)

(13.3)

Daiwa

Securities

Group,

Inc.

..

(6,100)

(32,076)

(19.6)

East

Japan

Railway

Co.

.....

(1,800)

(119,920)

(73.5)

Eisai

Co.

Ltd.

............

(300)

(24,676)

(15.1)

FANUC

Corp.

............

(500)

(111,984)

(68.6)

Fast

Retailing

Co.

Ltd.

......

(100)

(67,820)

(41.5)

GMO

Payment

Gateway,

Inc.

.

(700)

(89,983)

(55.1)

Hamamatsu

Photonics

KK

...

(400)

(22,240)

(13.6)

Hikari

Tsushin,

Inc.

........

(100)

(17,313)

(10.6)

Hitachi

Metals

Ltd.

........

(1,100)

(21,482)

(13.2)

Inpex

Corp.

.............

(8,400)

(59,578)

(36.5)

Japan

Exchange

Group,

Inc.

..

(900)

(20,471)

(12.5)

Japan

Post

Bank

Co.

Ltd.

....

(8,100)

(68,750)

(42.1)

Japan

Post

Insurance

Co.

Ltd.

(1,700)

(30,139)

(18.5)

JFE

Holdings,

Inc.

.........

(3,100)

(37,695)

(23.1)

Keio

Corp.

..............

(1,100)

(61,616)

(37.7)

Keisei

Electric

Railway

Co.

Ltd.

(600)

(17,870)

(10.9)

Keyence

Corp.

...........

(600)

(334,202)

(204.7)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(23,929)

(14.7)

Kobe

Bussan

Co.

Ltd.

......

(7,300)

(245,794)

(150.5)

Koei

Tecmo

Holdings

Co.

Ltd.

.

(650)

(30,539)

(18.7)

Koito

Manufacturing

Co.

Ltd.

..

(400)

(24,480)

(15.0)

Kose

Corp.

.............

(800)

(126,409)

(77.4)

Kubota

Corp.

............

(4,500)

(94,102)

(57.6)

Lasertec

Corp.

...........

(900)

(168,959)

(103.5)

Lion

Corp.

..............

(1,200)

(20,771)

(12.7)

Makita

Corp.

............

(2,400)

(124,798)

(76.4)

Mercari,

Inc.

.............

(2,100)

(109,916)

(67.3)

MISUMI

Group,

Inc.

........

(900)

(31,370)

(19.2)

Mitsubishi

Corp.

..........

(6,000)

(168,293)

(103.1)

Mitsubishi

HC

Capital,

Inc.

...

(5,300)

(28,908)

(17.7)

Murata

Manufacturing

Co.

Ltd.

(1,900)

(157,673)

(96.6)

Nexon

Co.

Ltd.

...........

(2,800)

(57,613)

(35.3)

Nidec

Corp.

.............

(300)

(33,673)

(20.6)

Nihon

M&A

Center,

Inc.

.....

(4,400)

(122,536)

(75.1)

Nippon

Sanso

Holdings

Corp.

.

(2,500)

(55,340)

(33.9)

Nippon

Shinyaku

Co.

Ltd.

....

(500)

(37,616)

(23.0)

Nippon

Steel

Corp.

........

(4,000)

(69,389)

(42.5)

Nissan

Motor

Co.

Ltd.

......

(4,700)

(27,278)

(16.7)

Odakyu

Electric

Railway

Co.

Ltd.

(8,000)

(190,929)

(116.9)

Oji

Holdings

Corp.

.........

(3,600)

(20,756)

(12.7)

Oriental

Land

Co.

Ltd.

......

(200)

(27,400)

(16.8)

Otsuka

Corp.

............

(2,000)

(103,921)

(63.7)

PeptiDream,

Inc.

..........

(3,300)

(136,197)

(83.4)

Pigeon

Corp.

............

(5,100)

(146,845)

(89.9)

Rakuten

Group,

Inc.

.......

(7,000)

(77,028)

(47.2)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Ryohin

Keikaku

Co.

Ltd.

.....

(4,300)

$

(87,231)

(53.4)

%

SCSK

Corp.

.............

(1,200)

(72,324)

(44.3)

Shimano,

Inc.

............

(100)

(25,598)

(15.7)

Shin-Etsu

Chemical

Co.

Ltd.

..

(800)

(130,503)

(79.9)

Shiseido

Co.

Ltd.

.........

(600)

(40,101)

(24.6)

SMC

Corp.

..............

(100)

(59,447)

(36.4)

SoftBank

Corp.

...........

(2,000)

(26,122)

(16.0)

SoftBank

Group

Corp.

......

(1,800)

(113,194)

(69.3)

Square

Enix

Holdings

Co.

Ltd.

.

(1,000)

(51,887)

(31.8)

SUMCO

Corp.

...........

(3,200)

(74,011)

(45.3)

Sumitomo

Dainippon

Pharma

Co.

Ltd.

................

(1,700)

(29,436)

(18.0)

Sumitomo

Electric

Industries

Ltd.

................

(11,900)

(169,060)

(103.5)

Takeda

Pharmaceutical

Co.

Ltd.

(12,000)

(399,438)

(244.6)

TIS,

Inc.

...............

(4,900)

(127,088)

(77.8)

Tobu

Railway

Co.

Ltd.

......

(3,500)

(91,014)

(55.7)

Toho

Co.

Ltd.

............

(1,600)

(69,655)

(42.7)

Tokyo

Century

Corp.

.......

(600)

(33,020)

(20.2)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(9,800)

(26,119)

(16.0)

Tokyu

Corp.

.............

(4,800)

(64,333)

(39.4)

Toyota

Motor

Corp.

........

(300)

(26,933)

(16.5)

West

Japan

Railway

Co.

....

(2,300)

(124,965)

(76.5)

Z

Holdings

Corp.

..........

(7,900)

(39,541)

(24.2)

(5,950,089)

Luxembourg

ArcelorMittal

SA

..........

(7,356)

(256,912)

(157.4)

Macau

SJM

Holdings

Ltd.

.........

(25,000)

(22,548)

(13.8)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(2,869)

(33,443)

(20.5)

Aegon

NV

..............

(8,964)

(38,165)

(23.4)

ASM

International

NV

......

(204)

(72,402)

(44.3)

ASML

Holding

NV

.........

(231)

(176,573)

(108.1)

JDE

Peet's

NV

...........

(2,982)

(100,391)

(61.5)

(420,974)

New

Zealand

Xero

Ltd.

...............

(1,064)

(110,392)

(67.6)

Norway

Schibsted

ASA,

Class

A

.....

(994)

(48,829)

(29.9)

Singapore

Keppel

Corp.

Ltd.

.........

(55,100)

(222,758)

(136.4)

Singapore

Airlines

Ltd.

......

(25,000)

(93,725)

(57.4)

Venture

Corp.

Ltd.

.........

(11,000)

(154,295)

(94.5)

(470,778)

Spain

Aena

SME

SA

...........

(641)

(102,077)

(62.5)

Amadeus

IT

Group

SA

......

(347)

(22,756)

(13.9)

Cellnex

Telecom

SA

.......

(5,285)

(344,670)

(211.1)

EDP

Renovaveis

SA

.......

(3,879)

(91,109)

(55.8)

Naturgy

Energy

Group

SA

...

(812)

(20,958)

(12.8)

Siemens

Gamesa

Renewable

Energy

SA

............

(2,260)

(63,029)

(38.6)

(644,599)

Sweden

Embracer

Group

AB

.......

(4,605)

(119,184)

(73.0)

EQT

AB

................

(2,573)

(124,024)

(76.0)

Essity

AB,

Class

B

........

(1,364)

(44,627)

(27.3)

Sandvik

AB

.............

(925)

(24,120)

(14.8)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

22

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Skandinaviska

Enskilda

Banken

AB,

Class

A

...........

(5,472)

$

(74,008)

(45.3)

%

(385,963)

Switzerland

ABB

Ltd.

(Registered)

......

(10,370)

(379,110)

(232.2)

Banque

Cantonale

Vaudoise

(Registered)

...........

(2,836)

(253,175)

(155.0)

Credit

Suisse

Group

AG

(Registered)

...........

(16,686)

(167,516)

(102.6)

EMS-Chemie

Holding

AG

(Registered)

...........

(68)

(75,382)

(46.2)

Lonza

Group

AG

(Registered)

.

(555)

(432,137)

(264.7)

Sika

AG

(Registered)

.......

(132)

(46,500)

(28.5)

Temenos

AG

(Registered)

...

(9)

(1,430)

(0.9)

Vifor

Pharma

AG

..........

(1,260)

(176,213)

(107.9)

(1,531,463)

Taiwan

Sea

Ltd.,

ADR

...........

(274)

(75,668)

(46.3)

United

Kingdom

Associated

British

Foods

plc

..

(1,453)

(40,403)

(24.7)

Clarivate

plc

.............

(7,374)

(168,127)

(103.0)

Halma

plc

..............

(3,850)

(154,543)

(94.7)

HSBC

Holdings

plc

........

(15,169)

(83,736)

(51.3)

Informa

plc

..............

(2,727)

(18,738)

(11.5)

InterContinental

Hotels

Group

plc

.................

(512)

(33,814)

(20.7)

Johnson

Matthey

plc

.......

(620)

(25,627)

(15.7)

Liberty

Global

plc,

Class

C

...

(2,268)

(60,918)

(37.3)

Linde

plc

...............

(982)

(301,857)

(184.9)

Prudential

plc

............

(1,208)

(22,685)

(13.9)

Rolls-Royce

Holdings

plc

....

(37,254)

(51,452)

(31.5)

Tesco

plc

...............

(11,811)

(38,237)

(23.4)

Vodafone

Group

plc

........

(11,788)

(18,954)

(11.6)

(1,019,091)

United

States

Air

Products

&

Chemicals,

Inc.

(1,146)

(333,520)

(204.3)

Akamai

Technologies,

Inc.

...

(824)

(98,814)

(60.5)

Altria

Group,

Inc.

..........

(881)

(42,323)

(25.9)

Amcor

plc

..............

(8,652)

(100,017)

(61.3)

American

Electric

Power

Co.,

Inc.

.................

(1,651)

(145,486)

(89.1)

American

Express

Co.

......

(215)

(36,664)

(22.5)

American

Financial

Group,

Inc.

(257)

(32,508)

(19.9)

AMETEK,

Inc.

...........

(649)

(90,243)

(55.3)

Amphenol

Corp.,

Class

A

....

(2,819)

(204,349)

(125.2)

Analog

Devices,

Inc.

.......

(599)

(100,285)

(61.4)

Anthem,

Inc.

............

(236)

(90,626)

(55.5)

Aon

plc,

Class

A

..........

(104)

(27,043)

(16.6)

Apollo

Global

Management,

Inc.

(2,280)

(134,201)

(82.2)

Aptiv

plc

...............

(645)

(107,618)

(65.9)

Aramark

...............

(2,734)

(96,045)

(58.8)

Arthur

J

Gallagher

&

Co.

....

(532)

(74,113)

(45.4)

AT&T,

Inc.

..............

(2,185)

(61,289)

(37.5)

Atmos

Energy

Corp.

.......

(303)

(29,873)

(18.3)

Avalara,

Inc.

.............

(279)

(46,640)

(28.6)

Baxter

International,

Inc.

....

(276)

(21,349)

(13.1)

Becton

Dickinson

and

Co.

...

(310)

(79,283)

(48.6)

BioMarin

Pharmaceutical,

Inc.

.

(913)

(70,054)

(42.9)

Black

Knight,

Inc.

.........

(1,367)

(113,201)

(69.3)

Blackstone

Group,

Inc.

(The)

.

(853)

(98,325)

(60.2)

Boeing

Co.

(The)

.........

(398)

(90,139)

(55.2)

Booking

Holdings,

Inc.

......

(78)

(169,904)

(104.1)

Shares

Value

%

of

Basket

Value

United

States

(continued)

BorgWarner,

Inc.

..........

(1,817)

$

(88,997)

(54.5)

%

Boston

Scientific

Corp.

......

(1,625)

(74,100)

(45.4)

Bristol-Myers

Squibb

Co.

....

(3,043)

(206,528)

(126.5)

Broadcom,

Inc.

...........

(775)

(376,185)

(230.4)

Brown

&

Brown,

Inc.

.......

(1,208)

(65,715)

(40.2)

Burlington

Stores,

Inc.

......

(506)

(169,409)

(103.8)

Caesars

Entertainment,

Inc.

..

(2,093)

(182,844)

(112.0)

Campbell

Soup

Co.

........

(2,209)

(96,577)

(59.2)

Carlyle

Group,

Inc.

(The)

....

(904)

(45,625)

(27.9)

Carnival

Corp.

...........

(8,325)

(180,236)

(110.4)

Carvana

Co.

............

(462)

(155,953)

(95.5)

Catalent,

Inc.

............

(527)

(63,140)

(38.7)

CenterPoint

Energy,

Inc.

....

(960)

(24,442)

(15.0)

Ceridian

HCM

Holding,

Inc.

..

(715)

(70,356)

(43.1)

Charter

Communications,

Inc.,

Class

A

..............

(369)

(274,554)

(168.2)

Cheniere

Energy,

Inc.

......

(394)

(33,462)

(20.5)

Chevron

Corp.

...........

(5,661)

(576,346)

(353.0)

Chewy,

Inc.,

Class

A

.......

(131)

(10,965)

(6.7)

Church

&

Dwight

Co.,

Inc.

...

(2,358)

(204,156)

(125.0)

Cisco

Systems,

Inc.

........

(2,923)

(161,847)

(99.1)

Clorox

Co.

(The)

..........

(548)

(99,128)

(60.7)

Cloudflare,

Inc.,

Class

A

.....

(1,242)

(147,338)

(90.2)

CME

Group,

Inc.

..........

(1,025)

(217,433)

(133.2)

CMS

Energy

Corp.

........

(1,361)

(84,096)

(51.5)

Consolidated

Edison,

Inc.

....

(467)

(34,451)

(21.1)

CoStar

Group,

Inc.

........

(1,400)

(124,390)

(76.2)

CyberArk

Software

Ltd.

.....

(653)

(92,746)

(56.8)

Danaher

Corp.

...........

(622)

(185,039)

(113.3)

Datadog,

Inc.,

Class

A

......

(1,390)

(153,873)

(94.2)

Delta

Air

Lines,

Inc.

........

(558)

(22,264)

(13.6)

Discovery,

Inc.,

Class

A

.....

(1,431)

(41,513)

(25.4)

DISH

Network

Corp.,

Class

A

.

(3,761)

(157,548)

(96.5)

Dollar

General

Corp.

.......

(384)

(89,334)

(54.7)

Dollar

Tree,

Inc.

..........

(227)

(22,652)

(13.9)

Dominion

Energy,

Inc.

......

(548)

(41,029)

(25.1)

Dow,

Inc.

...............

(1,141)

(70,925)

(43.4)

DR

Horton,

Inc.

...........

(758)

(72,336)

(44.3)

DraftKings,

Inc.,

Class

A

.....

(1,261)

(61,159)

(37.5)

Duke

Energy

Corp.

........

(1,322)

(138,955)

(85.1)

Edison

International

........

(416)

(22,672)

(13.9)

Enphase

Energy,

Inc.

.......

(409)

(77,546)

(47.5)

Entergy

Corp.

............

(737)

(75,852)

(46.5)

Erie

Indemnity

Co.,

Class

A

..

(1,065)

(196,908)

(120.6)

Essential

Utilities,

Inc.

......

(4,191)

(205,862)

(126.1)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(345)

(115,171)

(70.5)

Exact

Sciences

Corp.

......

(728)

(78,508)

(48.1)

Expedia

Group,

Inc.

........

(1,009)

(162,318)

(99.4)

Exxon

Mobil

Corp.

.........

(3,549)

(204,316)

(125.1)

FirstEnergy

Corp.

.........

(3,620)

(138,718)

(85.0)

Fiserv,

Inc.

..............

(2,974)

(342,337)

(209.7)

FleetCor

Technologies,

Inc.

...

(124)

(32,019)

(19.6)

Franklin

Resources,

Inc.

.....

(2,299)

(67,935)

(41.6)

Generac

Holdings,

Inc.

.....

(57)

(23,904)

(14.6)

General

Electric

Co.

.......

(7,783)

(100,790)

(61.7)

General

Mills,

Inc.

.........

(2,889)

(170,047)

(104.1)

General

Motors

Co.

........

(663)

(37,685)

(23.1)

Guidewire

Software,

Inc.

....

(259)

(29,837)

(18.3)

Halliburton

Co.

...........

(4,735)

(97,920)

(60.0)

Hasbro,

Inc.

.............

(478)

(47,532)

(29.1)

HEICO

Corp.,

Class

A

......

(1,188)

(158,402)

(97.0)

Hess

Corp.

.............

(1,042)

(79,650)

(48.8)

Hilton

Worldwide

Holdings,

Inc.

(327)

(42,984)

(26.3)

Honeywell

International,

Inc.

..

(240)

(56,110)

(34.4)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

23

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Horizon

Therapeutics

plc

....

(1,283)

$

(128,326)

(78.6)

%

Hormel

Foods

Corp.

.......

(923)

(42,809)

(26.2)

Howmet

Aerospace,

Inc.

....

(1,857)

(60,947)

(37.3)

Huntington

Ingalls

Industries,

Inc.

.................

(100)

(20,513)

(12.6)

IAC/InterActiveCorp

........

(609)

(83,610)

(51.2)

Ingersoll

Rand,

Inc.

........

(985)

(48,137)

(29.5)

Insulet

Corp.

............

(68)

(19,019)

(11.6)

International

Business

Machines

Corp.

...............

(366)

(51,591)

(31.6)

IPG

Photonics

Corp.

.......

(338)

(73,738)

(45.2)

Jack

Henry

&

Associates,

Inc.

.

(294)

(51,182)

(31.3)

Kellogg

Co.

.............

(327)

(20,719)

(12.7)

Keurig

Dr

Pepper,

Inc.

......

(5,576)

(196,331)

(120.2)

Kimberly-Clark

Corp.

.......

(1,077)

(146,170)

(89.5)

Lamb

Weston

Holdings,

Inc.

..

(340)

(22,702)

(13.9)

Las

Vegas

Sands

Corp.

.....

(5,336)

(225,980)

(138.4)

Lear

Corp.

..............

(329)

(57,568)

(35.3)

Leidos

Holdings,

Inc.

.......

(73)

(7,769)

(4.8)

Lennar

Corp.,

Class

A

......

(214)

(22,502)

(13.8)

Liberty

Broadband

Corp.,

Class

C

..................

(2,659)

(471,946)

(289.1)

Live

Nation

Entertainment,

Inc.

(709)

(55,933)

(34.3)

Marriott

International,

Inc.,

Class

A

..................

(2,626)

(383,343)

(234.8)

Marsh

&

McLennan

Cos.,

Inc.

.

(382)

(56,238)

(34.4)

Match

Group,

Inc.

.........

(343)

(54,630)

(33.5)

Medtronic

plc

............

(3,416)

(448,555)

(274.7)

Merck

&

Co.,

Inc.

.........

(466)

(35,821)

(21.9)

MGM

Resorts

International

...

(710)

(26,646)

(16.3)

Microchip

Technology,

Inc.

...

(1,262)

(180,617)

(110.6)

MongoDB,

Inc.

...........

(181)

(64,965)

(39.8)

Neurocrine

Biosciences,

Inc.

..

(217)

(20,227)

(12.4)

Newmont

Corp.

..........

(300)

(18,846)

(11.5)

NextEra

Energy,

Inc.

.......

(1,146)

(89,273)

(54.7)

Nucor

Corp.

.............

(1,741)

(181,099)

(110.9)

Oak

Street

Health,

Inc.

......

(4,743)

(298,999)

(183.1)

Occidental

Petroleum

Corp.

..

(924)

(24,116)

(14.8)

Okta,

Inc.

...............

(92)

(22,797)

(14.0)

ON

Semiconductor

Corp.

....

(591)

(23,084)

(14.1)

Oracle

Corp.

............

(2,164)

(188,571)

(115.5)

Packaging

Corp.

of

America

..

(284)

(40,186)

(24.6)

Palantir

Technologies,

Inc.,

Class

A

..................

(4,512)

(97,956)

(60.0)

Palo

Alto

Networks,

Inc.

.....

(152)

(60,656)

(37.2)

Paycom

Software,

Inc.

......

(104)

(41,600)

(25.5)

PayPal

Holdings,

Inc.

......

(11)

(3,031)

(1.9)

Peloton

Interactive,

Inc.,

Class

A

(1,183)

(139,653)

(85.5)

PerkinElmer,

Inc.

.........

(449)

(81,821)

(50.1)

Pfizer,

Inc.

..............

(2,999)

(128,387)

(78.6)

Philip

Morris

International,

Inc.

(222)

(22,220)

(13.6)

Pinnacle

West

Capital

Corp.

..

(513)

(42,861)

(26.3)

Pioneer

Natural

Resources

Co.

(239)

(34,743)

(21.3)

Plug

Power,

Inc.

..........

(4,523)

(123,387)

(75.6)

PPG

Industries,

Inc.

.......

(592)

(96,804)

(59.3)

Procter

&

Gamble

Co.

(The)

..

(631)

(89,747)

(55.0)

Progressive

Corp.

(The)

.....

(459)

(43,678)

(26.8)

Public

Service

Enterprise

Group,

Inc.

.................

(933)

(58,061)

(35.6)

Regeneron

Pharmaceuticals,

Inc.

.................

(147)

(84,468)

(51.7)

Reinsurance

Group

of

America,

Inc.

.................

(541)

(59,607)

(36.5)

Republic

Services,

Inc.

.....

(4,023)

(476,162)

(291.6)

ResMed,

Inc.

............

(366)

(99,479)

(60.9)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Roper

Technologies,

Inc.

....

(534)

$

(262,376)

(160.7)

%

Royal

Caribbean

Cruises

Ltd.

.

(282)

(21,677)

(13.3)

Royalty

Pharma

plc,

Class

A

..

(755)

(28,841)

(17.7)

RPM

International,

Inc.

.....

(757)

(65,549)

(40.1)

S&P

Global,

Inc.

..........

(214)

(91,746)

(56.2)

salesforce.com,

Inc.

.......

(293)

(70,885)

(43.4)

Schneider

Electric

SE

......

(937)

(156,937)

(96.1)

SEI

Investments

Co.

.......

(1,242)

(75,514)

(46.3)

Sensata

Technologies

Holding

plc

.................

(374)

(21,924)

(13.4)

Sirius

XM

Holdings,

Inc.

.....

(3,187)

(20,620)

(12.6)

Snap-on,

Inc.

............

(205)

(44,686)

(27.4)

Snowflake,

Inc.,

Class

A

.....

(409)

(108,679)

(66.6)

SolarEdge

Technologies,

Inc.

.

(537)

(139,341)

(85.3)

Southwest

Airlines

Co.

......

(2,466)

(124,582)

(76.3)

Splunk,

Inc.

.............

(595)

(84,478)

(51.7)

Square,

Inc.,

Class

A

.......

(294)

(72,694)

(44.5)

SS&C

Technologies

Holdings,

Inc.

.................

(342)

(26,809)

(16.4)

Sunrun,

Inc.

.............

(4,136)

(219,084)

(134.2)

Take-Two

Interactive

Software,

Inc.

.................

(145)

(25,146)

(15.4)

TE

Connectivity

Ltd.

.......

(888)

(130,953)

(80.2)

Teladoc

Health,

Inc.

........

(519)

(77,046)

(47.2)

Teleflex,

Inc.

.............

(197)

(78,294)

(48.0)

Tenaris

SA

..............

(7,942)

(80,921)

(49.6)

Tesla,

Inc.

..............

(110)

(75,592)

(46.3)

T-Mobile

US,

Inc.

.........

(1,571)

(226,255)

(138.6)

Trade

Desk,

Inc.

(The),

Class

A

(360)

(29,488)

(18.1)

Tradeweb

Markets,

Inc.,

Class

A

(300)

(26,019)

(15.9)

TransUnion

.............

(898)

(107,814)

(66.0)

Twitter,

Inc.

.............

(1,066)

(74,354)

(45.5)

Union

Pacific

Corp.

........

(236)

(51,627)

(31.6)

UnitedHealth

Group,

Inc.

....

(163)

(67,192)

(41.2)

US

Bancorp

.............

(1,285)

(71,369)

(43.7)

Verisk

Analytics,

Inc.

.......

(430)

(81,674)

(50.0)

Viatris,

Inc.

..............

(6,220)

(87,515)

(53.6)

Vimeo,

Inc.

.............

(1)

(45)

(0.0)

Visa,

Inc.,

Class

A

.........

(5,020)

(1,236,878)

(757.5)

Vistra

Corp.

.............

(7,305)

(139,891)

(85.7)

Waste

Connections,

Inc.

.....

(1,439)

(182,307)

(111.7)

Waste

Management,

Inc.

....

(1,400)

(207,564)

(127.1)

Wayfair,

Inc.,

Class

A

.......

(286)

(69,029)

(42.3)

Wells

Fargo

&

Co.

.........

(594)

(27,288)

(16.7)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,001)

(84,955)

(52.0)

Willis

Towers

Watson

plc

....

(779)

(160,536)

(98.3)

Wynn

Resorts

Ltd.

........

(614)

(60,375)

(37.0)

Xcel

Energy,

Inc.

..........

(1,909)

(130,289)

(79.8)

Zendesk,

Inc.

............

(428)

(55,867)

(34.2)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(205)

(77,511)

(47.5)

Zscaler,

Inc.

.............

(462)

(108,990)

(66.8)

(21,195,613)

Total

Reference

Entity

—

Short

............

(37,389,776)

Net

Value

of

Reference

Entity

—

Barclays

Bank

plc

................................

$

163,275

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

24

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Citibank

NA,

as

of

July

31,

2021,

expiration

dates

02/24/23-02/27/23:

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

1,560

$

47,807

28.8

%

ASX

Ltd.

...............

2,498

141,511

85.3

Aurizon

Holdings

Ltd.

......

86,527

245,555

148.0

BHP

Group

Ltd.

..........

1,119

43,953

26.5

BHP

Group

plc

...........

809

26,192

15.8

Brambles

Ltd.

............

15,678

134,230

80.9

Cochlear

Ltd.

............

1,147

207,514

125.0

Ramsay

Health

Care

Ltd.

....

507

23,978

14.4

Rio

Tinto

plc

.............

43

3,652

2.2

Sonic

Healthcare

Ltd.

......

877

25,912

15.6

Tabcorp

Holdings

Ltd.

......

15,805

57,690

34.8

957,994

Austria

Mondi

plc

...............

1,753

48,600

29.3

Raiffeisen

Bank

International

AG

1,274

30,123

18.2

voestalpine

AG

...........

144

6,353

3.8

85,076

Belgium

Etablissements

Franz

Colruyt

NV

.................

1,606

91,313

55.0

Proximus

SADP

..........

1,774

36,456

22.0

UCB

SA

...............

201

21,740

13.1

149,509

Brazil

Wheaton

Precious

Metals

Corp.

953

44,022

26.5

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

..............

2,057

82,916

50.0

Bank

of

Montreal

.........

622

61,587

37.1

Bank

of

Nova

Scotia

(The)

...

941

58,733

35.4

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

465

71,539

43.1

CGI,

Inc.

...............

237

21,559

13.0

Constellation

Software,

Inc.

..

46

73,684

44.4

Power

Corp.

of

Canada

.....

4,963

158,405

95.4

Royal

Bank

of

Canada

......

332

33,578

20.2

Sun

Life

Financial,

Inc.

......

706

36,771

22.2

Suncor

Energy,

Inc.

........

1,102

21,694

13.1

Thomson

Reuters

Corp.

.....

1,039

110,096

66.3

730,562

China

BOC

Hong

Kong

Holdings

Ltd.

120,000

385,354

232.2

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

28

77,706

46.8

Coloplast

A/S,

Class

B

......

1,023

187,070

112.7

GN

Store

Nord

A/S

........

571

50,039

30.1

Novo

Nordisk

A/S,

Class

B

...

1,565

144,874

87.3

Novozymes

A/S,

Class

B

....

746

58,609

35.3

Pandora

A/S

............

5

647

0.4

518,945

Finland

Elisa

OYJ

..............

407

26,158

15.8

Nordea

Bank

Abp

.........

2,045

23,948

14.4

50,106

France

Amundi

SA

.............

584

53,934

32.5

BioMerieux

.............

694

82,750

49.9

Shares

Value

%

of

Basket

Value

France

(continued)

BNP

Paribas

SA

..........

1,077

$

65,675

39.6

%

Dassault

Systemes

SE

.....

394

21,734

13.1

Eurazeo

SE

.............

709

68,675

41.4

Hermes

International

.......

31

47,392

28.6

Ipsen

SA

...............

550

58,773

35.4

Pernod

Ricard

SA

.........

532

117,416

70.7

Teleperformance

..........

70

29,526

17.8

Thales

SA

..............

204

21,411

12.9

Vinci

SA

...............

559

59,184

35.7

Wendel

SE

.............

301

42,250

25.5

668,720

Germany

BASF

SE

...............

680

53,433

32.2

Bechtle

AG

.............

61

12,595

7.6

Deutsche

Post

AG

(Registered)

267

18,095

10.9

E.ON

SE

...............

5,334

65,574

39.5

Hannover

Rueck

SE

.......

33

5,547

3.3

Merck

KGaA

............

126

25,793

15.5

Nemetschek

SE

..........

1,790

157,964

95.2

Scout24

AG

.............

207

17,726

10.7

Siemens

AG

(Registered)

....

592

92,372

55.7

Symrise

AG

.............

469

69,154

41.7

Zalando

SE

.............

191

21,222

12.8

539,475

Hong

Kong

Power

Assets

Holdings

Ltd.

..

3,500

22,628

13.6

Sun

Hung

Kai

Properties

Ltd.

.

6,500

92,985

56.0

115,613

Ireland

CRH

plc

...............

453

22,640

13.6

Israel

Bank

Hapoalim

BM

........

6,557

52,180

31.4

Bank

Leumi

Le-Israel

BM

....

4,085

31,214

18.8

Israel

Discount

Bank

Ltd.,

Class

A

..................

5,994

28,079

16.9

111,473

Italy

Assicurazioni

Generali

SpA

...

9,330

186,023

112.1

Enel

SpA

...............

1,969

18,145

10.9

Intesa

Sanpaolo

SpA

.......

10,118

27,952

16.8

Prysmian

SpA

...........

1,874

67,189

40.5

299,309

Japan

Aisin

Corp.

..............

1,000

40,484

24.4

Asahi

Kasei

Corp.

.........

4,300

46,891

28.3

Astellas

Pharma,

Inc.

.......

16,100

256,431

154.5

Capcom

Co.

Ltd.

..........

1,000

27,496

16.6

Denso

Corp.

............

700

48,091

29.0

ENEOS

Holdings,

Inc.

......

8,700

36,545

22.0

Honda

Motor

Co.

Ltd.

......

400

12,847

7.7

Hoya

Corp.

.............

1,100

155,287

93.6

Iida

Group

Holdings

Co.

Ltd.

..

800

19,305

11.6

Japan

Tobacco,

Inc.

.......

2,900

56,667

34.1

Kajima

Corp.

............

5,200

66,939

40.3

KDDI

Corp.

.............

2,600

79,517

47.9

Kikkoman

Corp.

..........

600

36,742

22.1

Lawson,

Inc.

............

1,700

85,442

51.5

Marubeni

Corp.

...........

28,100

239,171

144.1

McDonald's

Holdings

Co.

Japan

Ltd.

................

700

31,546

19.0

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

25

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Mitsubishi

Chemical

Holdings

Corp.

...............

2,800

$

23,495

14.2

%

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,200

24,997

15.1

Mitsui

&

Co.

Ltd.

..........

1,000

22,952

13.8

Mitsui

Chemicals,

Inc.

......

1,400

44,645

26.9

NEC

Corp.

..............

900

45,645

27.5

NGK

Insulators

Ltd.

........

5,400

86,480

52.1

Nippon

Express

Co.

Ltd.

....

1,300

94,965

57.2

Nippon

Telegraph

&

Telephone

Corp.

...............

9,300

238,156

143.5

Nippon

Yusen

KK

.........

700

37,822

22.8

Nitto

Denko

Corp.

.........

1,100

81,728

49.2

Nomura

Holdings,

Inc.

......

4,300

21,533

13.0

Nomura

Real

Estate

Holdings,

Inc.

.................

1,000

24,796

14.9

Olympus

Corp.

...........

4,600

94,665

57.0

Ono

Pharmaceutical

Co.

Ltd.

.

900

20,545

12.4

Osaka

Gas

Co.

Ltd.

........

3,200

59,785

36.0

Panasonic

Corp.

..........

11,300

136,448

82.2

Recruit

Holdings

Co.

Ltd.

....

500

25,915

15.6

Ricoh

Co.

Ltd.

...........

3,800

41,522

25.0

Rohm

Co.

Ltd.

...........

800

78,046

47.0

Seiko

Epson

Corp.

........

3,900

67,103

40.4

Sekisui

House

Ltd.

........

17,700

350,557

211.2

Seven

&

i

Holdings

Co.

Ltd.

..

2,100

93,703

56.5

Shimadzu

Corp.

..........

4,900

197,619

119.1

Sohgo

Security

Services

Co.

Ltd.

................

500

23,380

14.1

Stanley

Electric

Co.

Ltd.

.....

600

15,656

9.4

Subaru

Corp.

............

3,100

60,906

36.7

Sumitomo

Chemical

Co.

Ltd.

..

8,300

43,206

26.0

Suzuki

Motor

Corp.

........

500

20,343

12.3

Terumo

Corp.

............

800

31,049

18.7

Tokyo

Gas

Co.

Ltd.

........

8,400

159,001

95.8

TOPPAN,

Inc.

............

3,000

50,889

30.7

Toray

Industries,

Inc.

.......

25,200

165,922

100.0

Toyo

Suisan

Kaisha

Ltd.

.....

500

19,089

11.5

Tsuruha

Holdings,

Inc.

......

300

35,419

21.3

Yamaha

Corp.

...........

3,500

193,949

116.9

Yamaha

Motor

Co.

Ltd.

.....

3,200

80,130

48.3

4,051,462

Netherlands

Adyen

NV

..............

11

29,811

17.9

Koninklijke

DSM

NV

.......

181

36,486

22.0

Koninklijke

Philips

NV

......

579

26,698

16.1

92,995

Norway

Equinor

ASA

............

1,087

21,174

12.7

Norsk

Hydro

ASA

.........

3,837

25,527

15.4

Orkla

ASA

..............

2,486

22,579

13.6

69,280

Portugal

Galp

Energia

SGPS

SA

.....

5,612

54,727

33.0

Russia

Coca-Cola

HBC

AG

........

5,414

204,448

123.2

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

9,600

86,853

52.3

Shares

Value

%

of

Basket

Value

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

57

$

1,499

0.9

%

Iberdrola

SA

.............

1,825

21,964

13.2

Repsol

SA

..............

7,492

82,059

49.4

105,522

Sweden

Boliden

AB

..............

1,208

47,078

28.4

Electrolux

AB

............

2,611

68,574

41.3

H

&

M

Hennes

&

Mauritz

AB,

Class

B

..............

1,281

26,782

16.1

Industrivarden

AB,

Class

C

...

1,060

40,577

24.4

Investor

AB,

Class

B

.......

7,724

191,281

115.3

Kinnevik

AB,

Class

B

.......

976

42,550

25.6

Lundin

Energy

AB

.........

4,095

127,659

76.9

Skanska

AB,

Class

B

.......

1,951

55,076

33.2

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

1,760

20,300

12.2

619,877

Switzerland

Adecco

Group

AG

(Registered)

390

23,356

14.1

Baloise

Holding

AG

(Registered)

447

70,479

42.5

Geberit

AG

(Registered)

.....

45

36,949

22.3

Julius

Baer

Group

Ltd.

......

445

29,371

17.7

Nestle

SA

(Registered)

.....

551

69,773

42.0

Roche

Holding

AG

........

898

346,908

209.0

Straumann

Holding

AG

(Registered)

...........

20

37,080

22.3

Swiss

Life

Holding

AG

(Registered)

...........

110

56,738

34.2

Swiss

Prime

Site

AG

(Registered)

...........

460

48,982

29.5

UBS

Group

AG

(Registered)

..

3,640

59,972

36.1

779,608

United

Kingdom

3i

Group

plc

.............

4,023

71,502

43.1

Aviva

plc

...............

2,022

10,859

6.5

Barclays

plc

.............

15,413

37,285

22.5

Barratt

Developments

plc

....

2,529

24,715

14.9

Burberry

Group

plc

........

3,778

108,366

65.3

CK

Hutchison

Holdings

Ltd.

..

23,500

171,698

103.5

CNH

Industrial

NV

.........

1,311

21,891

13.2

Croda

International

plc

......

528

61,808

37.2

J

Sainsbury

plc

...........

9,407

37,043

22.3

Legal

&

General

Group

plc

...

7,110

25,756

15.5

M&G

plc

...............

6,662

20,860

12.6

Phoenix

Group

Holdings

plc

..

4,524

42,633

25.7

RELX

plc

...............

1,750

51,440

31.0

Severn

Trent

plc

..........

1,158

45,013

27.1

SSE

plc

................

2,074

41,583

25.1

Taylor

Wimpey

plc

.........

11,420

26,109

15.7

United

Utilities

Group

plc

....

3,079

45,845

27.6

WPP

plc

...............

2,853

36,898

22.2

881,304

United

States

ABIOMED,

Inc.

...........

166

54,305

32.7

Adobe,

Inc.

.............

55

34,190

20.6

Agilent

Technologies,

Inc.

....

2,100

321,783

193.9

Align

Technology,

Inc.

......

105

73,059

44.0

Allegion

plc

.............

153

20,900

12.6

Ally

Financial,

Inc.

.........

4,690

240,878

145.1

AMERCO

..............

36

21,167

12.8

Ameriprise

Financial,

Inc.

....

277

71,344

43.0

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

26

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Autodesk,

Inc.

...........

165

$

52,986

31.9

%

AutoZone,

Inc.

...........

33

53,578

32.3

Avery

Dennison

Corp.

......

1,349

284,207

171.2

Berkshire

Hathaway,

Inc.,

Class

B

..................

83

23,098

13.9

Booz

Allen

Hamilton

Holding

Corp.

...............

1,737

149,052

89.8

Boston

Beer

Co.,

Inc.

(The),

Class

A

..............

75

53,250

32.1

Bunge

Ltd.

..............

1,624

126,071

76.0

Cadence

Design

Systems,

Inc.

1,517

223,985

135.0

Capital

One

Financial

Corp.

..

241

38,970

23.5

CBRE

Group,

Inc.,

Class

A

...

1,111

107,167

64.6

CDW

Corp.

.............

383

70,223

42.3

Cerner

Corp.

............

1,670

134,251

80.9

CH

Robinson

Worldwide,

Inc.

.

401

35,757

21.5

Chipotle

Mexican

Grill,

Inc.

...

32

59,630

35.9

Cigna

Corp.

.............

311

71,371

43.0

Cintas

Corp.

.............

86

33,899

20.4

Citizens

Financial

Group,

Inc.

.

483

20,363

12.3

Coca-Cola

Co.

(The)

.......

396

22,584

13.6

Cognex

Corp.

............

1,082

97,824

58.9

Copart,

Inc.

.............

1,495

219,765

132.4

Costco

Wholesale

Corp.

.....

111

47,699

28.7

CSX

Corp.

..............

214

6,916

4.2

Cummins,

Inc.

...........

238

55,240

33.3

Darden

Restaurants,

Inc.

....

163

23,778

14.3

Dentsply

Sirona,

Inc.

.......

1,653

109,164

65.8

Dexcom,

Inc.

............

52

26,807

16.2

Discover

Financial

Services

..

372

46,247

27.9

Dover

Corp.

.............

1,443

241,154

145.3

Dropbox,

Inc.,

Class

A

......

3,603

113,458

68.4

DTE

Energy

Co.

..........

165

19,358

11.7

eBay,

Inc.

..............

50

3,411

2.1

Edwards

Lifesciences

Corp.

..

259

29,078

17.5

Emerson

Electric

Co.

.......

838

84,546

50.9

EOG

Resources,

Inc.

.......

1,203

87,651

52.8

Equitable

Holdings,

Inc.

.....

652

20,127

12.1

Everest

Re

Group

Ltd.

......

102

25,789

15.5

Expeditors

International

of

Washington,

Inc.

........

6,299

807,847

486.8

Fair

Isaac

Corp.

..........

433

226,853

136.7

FedEx

Corp.

............

162

45,352

27.3

FMC

Corp.

..............

2,032

217,322

130.9

Fortinet,

Inc.

.............

1,127

306,814

184.9

Gilead

Sciences,

Inc.

.......

813

55,520

33.5

GoDaddy,

Inc.,

Class

A

.....

635

53,245

32.1

Hologic,

Inc.

.............

289

21,687

13.1

IDEXX

Laboratories,

Inc.

....

162

109,922

66.2

IHS

Markit

Ltd.

...........

220

25,705

15.5

Illinois

Tool

Works,

Inc.

......

601

136,229

82.1

Incyte

Corp.

.............

621

48,034

28.9

Intel

Corp.

..............

3

161

0.1

International

Paper

Co.

.....

351

20,274

12.2

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

722

25,530

15.4

Intuit,

Inc.

..............

782

414,437

249.7

Intuitive

Surgical,

Inc.

......

161

159,625

96.2

IQVIA

Holdings,

Inc.

.......

107

26,504

16.0

J

M

Smucker

Co.

(The)

.....

173

22,682

13.7

Jacobs

Engineering

Group,

Inc.

970

131,193

79.0

James

Hardie

Industries

plc,

CDI

................

3,443

116,162

70.0

JB

Hunt

Transport

Services,

Inc.

259

43,629

26.3

Keysight

Technologies,

Inc.

...

845

139,045

83.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

KLA

Corp.

..............

66

$

22,979

13.8

%

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,029

51,131

30.8

Laboratory

Corp.

of

America

Holdings

.............

179

53,011

31.9

Lennox

International,

Inc.

....

57

18,778

11.3

LKQ

Corp.

..............

1,190

60,393

36.4

Lowe's

Cos.,

Inc.

.........

229

44,126

26.6

Lululemon

Athletica,

Inc.

....

65

26,011

15.7

Masco

Corp.

............

2,094

125,033

75.3

Masimo

Corp.

............

244

66,463

40.0

Maxim

Integrated

Products,

Inc.

638

63,743

38.4

MetLife,

Inc.

.............

1,407

81,184

48.9

Mettler-Toledo

International,

Inc.

164

241,688

145.6

Molina

Healthcare,

Inc.

.....

224

61,154

36.8

Molson

Coors

Beverage

Co.,

Class

B

..............

380

18,578

11.2

Mondelez

International,

Inc.,

Class

A

..............

340

21,508

13.0

Monster

Beverage

Corp.

....

1,009

95,169

57.3

Moody's

Corp.

...........

86

32,336

19.5

Motorola

Solutions,

Inc.

.....

128

28,662

17.3

NetApp,

Inc.

.............

550

43,775

26.4

NIKE,

Inc.,

Class

B

........

770

128,983

77.7

Nordson

Corp.

...........

97

21,935

13.2

Northern

Trust

Corp.

.......

373

42,093

25.4

Old

Dominion

Freight

Line,

Inc.

1,407

378,694

228.2

Omnicom

Group,

Inc.

.......

1,268

92,336

55.6

O'Reilly

Automotive,

Inc.

....

92

55,553

33.5

Owens

Corning

...........

1,337

128,566

77.5

Pentair

plc

..............

1,643

121,040

72.9

PepsiCo,

Inc.

............

2,616

410,581

247.4

Pinterest,

Inc.,

Class

A

......

356

20,968

12.6

PTC,

Inc.

...............

557

75,446

45.5

Qorvo,

Inc.

..............

116

21,992

13.3

Qualcomm,

Inc.

..........

101

15,130

9.1

Raymond

James

Financial,

Inc.

258

33,406

20.1

Regions

Financial

Corp.

.....

4,708

90,629

54.6

Robert

Half

International,

Inc.

.

574

56,373

34.0

Rockwell

Automation,

Inc.

....

109

33,509

20.2

ServiceNow,

Inc.

..........

543

319,224

192.3

Sherwin-Williams

Co.

(The)

..

142

41,326

24.9

Skyworks

Solutions,

Inc.

....

133

24,540

14.8

Stanley

Black

&

Decker,

Inc.

..

111

21,873

13.2

Starbucks

Corp.

..........

1,200

145,716

87.8

State

Street

Corp.

.........

397

34,595

20.8

Stryker

Corp.

............

80

21,675

13.1

Synopsys,

Inc.

...........

325

93,597

56.4

Texas

Instruments,

Inc.

.....

471

89,782

54.1

Trane

Technologies

plc

.....

246

50,088

30.2

Travelers

Cos.,

Inc.

(The)

....

208

30,975

18.7

Trimble,

Inc.

.............

420

35,910

21.6

UGI

Corp.

..............

4,154

191,042

115.1

Ulta

Beauty,

Inc.

..........

136

45,669

27.5

Vail

Resorts,

Inc.

..........

107

32,656

19.7

Veeva

Systems,

Inc.,

Class

A

.

534

177,667

107.0

VeriSign,

Inc.

............

242

52,362

31.5

Verizon

Communications,

Inc.

.

718

40,050

24.1

VMware,

Inc.,

Class

A

......

280

43,047

25.9

Waters

Corp.

............

490

191,007

115.1

West

Pharmaceutical

Services,

Inc.

.................

258

106,226

64.0

Western

Union

Co.

(The)

....

2,397

55,634

33.5

Workday,

Inc.,

Class

A

......

676

158,454

95.5

Yum!

Brands,

Inc.

.........

520

68,323

41.2

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

27

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zebra

Technologies

Corp.,

Class

A

..................

197

$

108,839

65.6

%

Zoetis,

Inc.

..............

242

49,053

29.6

11,922,138

Total

Reference

Entity

—

Long

............

23,547,012

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(34)

(53,336)

(32.1)

Australia

Glencore

plc

............

(44,769)

(201,064)

(121.2)

Magellan

Financial

Group

Ltd.

.

(1,044)

(37,667)

(22.7)

Woodside

Petroleum

Ltd.

....

(1,333)

(21,413)

(12.9)

(260,144)

Belgium

Elia

Group

SA/NV

.........

(220)

(26,002)

(15.7)

Umicore

SA

.............

(573)

(35,564)

(21.4)

(61,566)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(299)

(45,654)

(27.5)

Canada

Algonquin

Power

&

Utilities

Corp.

...............

(5,757)

(91,735)

(55.3)

BlackBerry

Ltd.

...........

(1,326)

(13,498)

(8.1)

Canadian

National

Railway

Co.

(461)

(50,091)

(30.2)

Cenovus

Energy,

Inc.

.......

(3,011)

(25,124)

(15.1)

Dollarama,

Inc.

...........

(2,199)

(103,552)

(62.4)

Emera,

Inc.

.............

(710)

(33,116)

(20.0)

Enbridge,

Inc.

............

(1,387)

(54,675)

(32.9)

Fortis,

Inc.

..............

(1,157)

(52,471)

(31.6)

Franco-Nevada

Corp.

......

(269)

(43,026)

(25.9)

Great-West

Lifeco,

Inc.

.....

(8,712)

(262,142)

(158.0)

Imperial

Oil

Ltd.

..........

(1,830)

(50,136)

(30.2)

Ivanhoe

Mines

Ltd.,

Class

A

..

(6,057)

(44,957)

(27.1)

Kirkland

Lake

Gold

Ltd.

.....

(1,907)

(81,547)

(49.1)

Loblaw

Cos.

Ltd.

..........

(1,710)

(115,681)

(69.7)

Metro,

Inc.

..............

(4,758)

(246,748)

(148.7)

Northland

Power,

Inc.

......

(4,981)

(174,790)

(105.3)

Pan

American

Silver

Corp.

...

(648)

(18,194)

(11.0)

TELUS

Corp.

............

(11,200)

(248,759)

(149.9)

(1,710,242)

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(6,900)

(19,257)

(11.6)

Prosus

NV

..............

(2,884)

(257,306)

(155.1)

(276,563)

Denmark

Ambu

A/S,

Class

B

........

(1,001)

(37,034)

(22.3)

Chr

Hansen

Holding

A/S

....

(422)

(37,954)

(22.9)

DSV

Panalpina

A/S

........

(577)

(140,652)

(84.7)

Orsted

A/S

..............

(318)

(47,166)

(28.4)

Vestas

Wind

Systems

A/S

...

(4,980)

(183,635)

(110.6)

(446,441)

France

Accor

SA

...............

(632)

(22,366)

(13.5)

Air

Liquide

SA

...........

(453)

(78,781)

(47.5)

Alstom

SA

..............

(1,515)

(62,837)

(37.9)

Bollore

SA

..............

(1)

(6)

(0.0)

Bouygues

SA

............

(2,598)

(100,131)

(60.3)

Shares

Value

%

of

Basket

Value

France

(continued)

Danone

SA

.............

(462)

$

(33,982)

(20.5)

%

Kering

SA

..............

(40)

(35,886)

(21.6)

L'Oreal

SA

..............

(55)

(25,162)

(15.2)

Orpea

SA

..............

(682)

(86,605)

(52.2)

Remy

Cointreau

SA

........

(148)

(32,511)

(19.6)

Renault

SA

.............

(2,018)

(76,645)

(46.2)

Safran

SA

..............

(848)

(110,981)

(66.9)

Ubisoft

Entertainment

SA

....

(894)

(56,674)

(34.1)

Worldline

SA

............

(565)

(52,884)

(31.9)

(775,451)

Germany

Commerzbank

AG

.........

(3,258)

(20,981)

(12.6)

KION

Group

AG

..........

(987)

(104,814)

(63.2)

Knorr-Bremse

AG

.........

(159)

(18,005)

(10.9)

Lanxess

AG

.............

(418)

(30,273)

(18.2)

MTU

Aero

Engines

AG

......

(221)

(55,280)

(33.3)

Porsche

Automobil

Holding

SE

(Preference)

..........

(237)

(25,651)

(15.5)

Puma

SE

...............

(413)

(50,663)

(30.5)

Sartorius

AG

(Preference)

...

(30)

(18,147)

(10.9)

Siemens

Energy

AG

.......

(976)

(26,552)

(16.0)

Siemens

Healthineers

AG

....

(450)

(29,710)

(17.9)

TeamViewer

AG

..........

(473)

(15,903)

(9.6)

Telefonica

Deutschland

Holding

AG

.................

(7,420)

(20,001)

(12.1)

(415,980)

Hong

Kong

AIA

Group

Ltd.

...........

(16,200)

(193,845)

(116.8)

Hong

Kong

&

China

Gas

Co.

Ltd.

................

(129,150)

(210,042)

(126.5)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(1,297)

(18,054)

(10.9)

MTR

Corp.

Ltd.

...........

(119,839)

(710,483)

(428.1)

Wharf

Real

Estate

Investment

Co.

Ltd.

..............

(54,000)

(304,986)

(183.7)

(1,437,410)

Ireland

Flutter

Entertainment

plc

....

(260)

(44,323)

(26.7)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(6,762)

(65,253)

(39.3)

Wix.com

Ltd.

............

(277)

(82,723)

(49.8)

(147,976)

Italy

Atlantia

SpA

.............

(2,620)

(47,523)

(28.6)

Ferrari

NV

..............

(338)

(73,663)

(44.4)

Infrastrutture

Wireless

Italiane

SpA

................

(6,383)

(72,103)

(43.4)

Nexi

SpA

...............

(3,950)

(84,630)

(51.0)

(277,919)

Japan

ANA

Holdings,

Inc.

........

(5,300)

(124,196)

(74.8)

Asahi

Intecc

Co.

Ltd.

.......

(1,200)

(32,516)

(19.6)

Central

Japan

Railway

Co.

...

(600)

(87,279)

(52.6)

Cosmos

Pharmaceutical

Corp.

(100)

(16,975)

(10.2)

CyberAgent,

Inc.

..........

(1,100)

(19,798)

(11.9)

East

Japan

Railway

Co.

.....

(800)

(53,298)

(32.1)

Eisai

Co.

Ltd.

............

(300)

(24,676)

(14.9)

FANUC

Corp.

............

(200)

(44,794)

(27.0)

Harmonic

Drive

Systems,

Inc.

.

(400)

(22,127)

(13.3)

ITOCHU

Corp.

...........

(5,500)

(162,796)

(98.1)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

28

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Japan

Post

Bank

Co.

Ltd.

....

(40,100)

$

(340,357)

(205.1)

%

Japan

Post

Holdings

Co.

Ltd.

.

(10,100)

(85,733)

(51.7)

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(4,400)

(41,505)

(25.0)

Kao

Corp.

..............

(900)

(54,190)

(32.7)

Keio

Corp.

..............

(400)

(22,406)

(13.5)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(3,700)

(125,027)

(75.3)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(700)

(55,835)

(33.6)

Kobe

Bussan

Co.

Ltd.

......

(900)

(30,303)

(18.3)

Koito

Manufacturing

Co.

Ltd.

..

(400)

(24,480)

(14.7)

Kose

Corp.

.............

(500)

(79,005)

(47.6)

Kubota

Corp.

............

(14,400)

(301,125)

(181.4)

Lasertec

Corp.

...........

(200)

(37,546)

(22.6)

M3,

Inc.

................

(500)

(32,703)

(19.7)

Mercari,

Inc.

.............

(800)

(41,873)

(25.2)

Mitsubishi

Heavy

Industries

Ltd.

(3,800)

(109,794)

(66.2)

Murata

Manufacturing

Co.

Ltd.

(700)

(58,090)

(35.0)

Nexon

Co.

Ltd.

...........

(2,700)

(55,556)

(33.5)

Nidec

Corp.

.............

(300)

(33,673)

(20.3)

Nippon

Paint

Holdings

Co.

Ltd.

(11,100)

(141,682)

(85.4)

Nissan

Motor

Co.

Ltd.

......

(18,300)

(106,210)

(64.0)

Obic

Co.

Ltd.

............

(100)

(17,575)

(10.6)

Odakyu

Electric

Railway

Co.

Ltd.

(900)

(21,480)

(12.9)

Oriental

Land

Co.

Ltd.

......

(400)

(54,800)

(33.0)

Otsuka

Corp.

............

(1,000)

(51,961)

(31.3)

Pan

Pacific

International

Holdings

Corp.

.........

(11,100)

(231,702)

(139.6)

Pigeon

Corp.

............

(1,900)

(54,707)

(33.0)

Resona

Holdings,

Inc.

......

(8,300)

(31,164)

(18.8)

SG

Holdings

Co.

Ltd.

.......

(3,500)

(94,112)

(56.7)

Shimano,

Inc.

............

(600)

(153,587)

(92.5)

Shiseido

Co.

Ltd.

.........

(900)

(60,152)

(36.2)

SoftBank

Group

Corp.

......

(300)

(18,866)

(11.4)

Sompo

Holdings,

Inc.

......

(1,300)

(53,745)

(32.4)

Square

Enix

Holdings

Co.

Ltd.

.

(200)

(10,377)

(6.3)

SUMCO

Corp.

...........

(3,200)

(74,011)

(44.6)

Sumitomo

Electric

Industries

Ltd.

................

(6,900)

(98,026)

(59.1)

Sumitomo

Metal

Mining

Co.

Ltd.

(600)

(24,316)

(14.7)

T&D

Holdings,

Inc.

........

(3,500)

(44,782)

(27.0)

Takeda

Pharmaceutical

Co.

Ltd.

(11,800)

(392,781)

(236.7)

Tobu

Railway

Co.

Ltd.

......

(900)

(23,404)

(14.1)

Toho

Co.

Ltd.

............

(1,700)

(74,009)

(44.6)

Tokio

Marine

Holdings,

Inc.

...

(900)

(42,895)

(25.8)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(30,100)

(80,222)

(48.3)

Toshiba

Corp.

............

(1,200)

(51,650)

(31.1)

Toyota

Motor

Corp.

........

(2,500)

(224,439)

(135.2)

Unicharm

Corp.

..........

(2,400)

(96,330)

(58.0)

Z

Holdings

Corp.

..........

(9,400)

(47,049)

(28.3)

(4,493,690)

Jordan

Hikma

Pharmaceuticals

plc

...

(2,584)

(95,017)

(57.3)

Luxembourg

ArcelorMittal

SA

..........

(2,037)

(71,143)

(42.9)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(4,474)

(52,152)

(31.4)

ASML

Holding

NV

.........

(59)

(45,099)

(27.2)

Heineken

NV

............

(2,082)

(242,453)

(146.1)

(339,704)

Shares

Value

%

of

Basket

Value

Norway

Mowi

ASA

..............

(5,551)

$

(141,438)

(85.2)

%

Singapore

Singapore

Airlines

Ltd.

......

(9,800)

(36,740)

(22.1)

Spain

Aena

SME

SA

...........

(634)

(100,963)

(60.8)

Amadeus

IT

Group

SA

......

(865)

(56,727)

(34.2)

EDP

Renovaveis

SA

.......

(2,474)

(58,109)

(35.0)

Ferrovial

SA

.............

(2,934)

(87,067)

(52.5)

Grifols

SA

..............

(1,874)

(47,659)

(28.7)

Naturgy

Energy

Group

SA

...

(1,036)

(26,739)

(16.1)

Siemens

Gamesa

Renewable

Energy

SA

............

(716)

(19,968)

(12.0)

(397,232)

Sweden

Embracer

Group

AB

.......

(2,012)

(52,074)

(31.4)

Essity

AB,

Class

B

........

(813)

(26,600)

(16.0)

Fastighets

AB

Balder,

Class

B

.

(561)

(38,714)

(23.3)

Investment

AB

Latour,

Class

B

(3,046)

(119,044)

(71.7)

Sandvik

AB

.............

(3,421)

(89,207)

(53.7)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(6,007)

(111,731)

(67.3)

(437,370)

Switzerland

Credit

Suisse

Group

AG

(Registered)

...........

(4,867)

(48,861)

(29.4)

EMS-Chemie

Holding

AG

(Registered)

...........

(27)

(29,931)

(18.0)

Temenos

AG

(Registered)

...

(679)

(107,858)

(65.0)

Vifor

Pharma

AG

..........

(1,298)

(181,528)

(109.4)

(368,178)

Taiwan

Sea

Ltd.,

ADR

...........

(106)

(29,273)

(17.6)

United

Arab

Emirates

NMC

Health

plc

..........

(9,400)

—

(0.0)

United

Kingdom

Admiral

Group

plc

.........

(2,344)

(110,727)

(66.7)

Associated

British

Foods

plc

..

(692)

(19,242)

(11.6)

AVEVA

Group

plc

.........

(1,656)

(90,355)

(54.4)

British

American

Tobacco

plc

.

(560)

(20,828)

(12.6)

BT

Group

plc

............

(7,987)

(19,239)

(11.6)

GlaxoSmithKline

plc

.......

(4,337)

(85,629)

(51.6)

Halma

plc

..............

(2,102)

(84,376)

(50.8)

Hargreaves

Lansdown

plc

...

(935)

(21,206)

(12.8)

HSBC

Holdings

plc

........

(3,605)

(19,900)

(12.0)

Informa

plc

..............

(4,731)

(32,508)

(19.6)

Linde

plc

...............

(100)

(30,739)

(18.5)

Ocado

Group

plc

.........

(1,149)

(29,607)

(17.8)

Standard

Chartered

plc

.....

(7,422)

(44,493)

(26.8)

Tesco

plc

...............

(16,768)

(54,285)

(32.7)

(663,134)

United

States

Abbott

Laboratories

........

(214)

(25,890)

(15.6)

Albemarle

Corp.

..........

(339)

(69,848)

(42.1)

Altria

Group,

Inc.

..........

(1,104)

(53,036)

(32.0)

American

Electric

Power

Co.,

Inc.

.................

(460)

(40,535)

(24.4)

American

Water

Works

Co.,

Inc.

(143)

(24,326)

(14.7)

AMETEK,

Inc.

...........

(154)

(21,414)

(12.9)

Amphenol

Corp.,

Class

A

....

(3,400)

(246,466)

(148.5)

Analog

Devices,

Inc.

.......

(1,414)

(236,732)

(142.6)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

29

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Aon

plc,

Class

A

..........

(100)

$

(26,003)

(15.7)

%

Apollo

Global

Management,

Inc.

(815)

(47,971)

(28.9)

Aptiv

plc

...............

(181)

(30,200)

(18.2)

Avalara,

Inc.

.............

(483)

(80,743)

(48.7)

Bank

of

America

Corp.

......

(923)

(35,406)

(21.3)

Baxter

International,

Inc.

....

(1,391)

(107,594)

(64.8)

Becton

Dickinson

and

Co.

...

(573)

(146,545)

(88.3)

Bentley

Systems,

Inc.,

Class

B

(523)

(31,804)

(19.2)

Bio-Techne

Corp.

.........

(111)

(53,529)

(32.3)

Black

Knight,

Inc.

.........

(2,954)

(244,621)

(147.4)

Booking

Holdings,

Inc.

......

(105)

(228,717)

(137.8)

BorgWarner,

Inc.

..........

(4,237)

(207,528)

(125.0)

Broadcom,

Inc.

...........

(208)

(100,963)

(60.8)

Brookfield

Renewable

Corp.

..

(513)

(21,768)

(13.1)

Brown

&

Brown,

Inc.

.......

(2,287)

(124,413)

(75.0)

Brown-Forman

Corp.,

Class

B

.

(1,196)

(84,820)

(51.1)

Cable

One,

Inc.

..........

(15)

(28,320)

(17.1)

CarMax,

Inc.

............

(186)

(24,915)

(15.0)

Carnival

Corp.

...........

(825)

(17,861)

(10.8)

Carvana

Co.

............

(64)

(21,604)

(13.0)

Catalent,

Inc.

............

(26)

(3,115)

(1.9)

Caterpillar,

Inc.

...........

(410)

(84,768)

(51.1)

Centene

Corp.

...........

(338)

(23,190)

(14.0)

CenterPoint

Energy,

Inc.

....

(7,948)

(202,356)

(121.9)

Ceridian

HCM

Holding,

Inc.

..

(1,124)

(110,602)

(66.6)

CF

Industries

Holdings,

Inc.

..

(421)

(19,892)

(12.0)

Charter

Communications,

Inc.,

Class

A

..............

(90)

(66,965)

(40.3)

Chevron

Corp.

...........

(1,450)

(147,625)

(88.9)

Chewy,

Inc.,

Class

A

.......

(2,366)

(198,034)

(119.3)

Church

&

Dwight

Co.,

Inc.

...

(3,999)

(346,233)

(208.6)

Cincinnati

Financial

Corp.

....

(1,197)

(141,102)

(85.0)

Cisco

Systems,

Inc.

........

(970)

(53,709)

(32.4)

CME

Group,

Inc.

..........

(216)

(45,820)

(27.6)

Comcast

Corp.,

Class

A

.....

(1,297)

(76,303)

(46.0)

Consolidated

Edison,

Inc.

....

(473)

(34,893)

(21.0)

CyberArk

Software

Ltd.

.....

(357)

(50,705)

(30.6)

Delta

Air

Lines,

Inc.

........

(1,325)

(52,868)

(31.9)

DISH

Network

Corp.,

Class

A

.

(622)

(26,056)

(15.7)

Dollar

General

Corp.

.......

(137)

(31,872)

(19.2)

Dollar

Tree,

Inc.

..........

(234)

(23,351)

(14.1)

DR

Horton,

Inc.

...........

(279)

(26,625)

(16.0)

DraftKings,

Inc.,

Class

A

.....

(371)

(17,993)

(10.8)

Duke

Energy

Corp.

........

(445)

(46,774)

(28.2)

Eaton

Corp.

plc

...........

(184)

(29,081)

(17.5)

Edison

International

........

(2,866)

(156,197)

(94.1)

Enphase

Energy,

Inc.

.......

(132)

(25,027)

(15.1)

Erie

Indemnity

Co.,

Class

A

..

(768)

(141,996)

(85.6)

Essential

Utilities,

Inc.

......

(1,168)

(57,372)

(34.6)

Exact

Sciences

Corp.

......

(388)

(41,842)

(25.2)

Expedia

Group,

Inc.

........

(134)

(21,557)

(13.0)

F5

Networks,

Inc.

.........

(166)

(34,281)

(20.7)

Fiserv,

Inc.

..............

(1,405)

(161,730)

(97.4)

FleetCor

Technologies,

Inc.

...

(96)

(24,789)

(14.9)

Ford

Motor

Co.

...........

(5,479)

(76,432)

(46.1)

Freeport-McMoRan,

Inc.

....

(3,783)

(144,132)

(86.8)

Generac

Holdings,

Inc.

.....

(199)

(83,453)

(50.3)

General

Electric

Co.

.......

(1,886)

(24,424)

(14.7)

General

Mills,

Inc.

.........

(518)

(30,489)

(18.4)

General

Motors

Co.

........

(529)

(30,068)

(18.1)

Global

Payments,

Inc.

......

(322)

(62,278)

(37.5)

Globe

Life,

Inc.

...........

(220)

(20,484)

(12.3)

Guidewire

Software,

Inc.

....

(413)

(47,578)

(28.7)

Halliburton

Co.

...........

(11,758)

(243,155)

(146.5)

Hasbro,

Inc.

.............

(1,556)

(154,729)

(93.2)

Shares

Value

%

of

Basket

Value

United

States

(continued)

HEICO

Corp.

............

(152)

$

(20,558)

(12.4)

%

Hilton

Worldwide

Holdings,

Inc.

(365)

(47,979)

(28.9)

Horizon

Therapeutics

plc

....

(136)

(13,603)

(8.2)

Hormel

Foods

Corp.

.......

(490)

(22,726)

(13.7)

Howmet

Aerospace,

Inc.

....

(2,632)

(86,382)

(52.0)

Humana,

Inc.

............

(123)

(52,381)

(31.6)

Huntington

Ingalls

Industries,

Inc.

.................

(408)

(83,693)

(50.4)

IAC/InterActiveCorp

........

(764)

(104,890)

(63.2)

Ingersoll

Rand,

Inc.

........

(1,455)

(71,106)

(42.8)

International

Business

Machines

Corp.

...............

(412)

(58,076)

(35.0)

IPG

Photonics

Corp.

.......

(533)

(116,279)

(70.1)

Jack

Henry

&

Associates,

Inc.

.

(253)

(44,045)

(26.5)

JPMorgan

Chase

&

Co.

.....

(369)

(56,007)

(33.7)

Keurig

Dr

Pepper,

Inc.

......

(2,827)

(99,539)

(60.0)

Kimberly-Clark

Corp.

.......

(351)

(47,638)

(28.7)

Las

Vegas

Sands

Corp.

.....

(5,195)

(220,008)

(132.6)

Lennar

Corp.,

Class

A

......

(307)

(32,281)

(19.5)

Liberty

Broadband

Corp.,

Class

C

..................

(801)

(142,169)

(85.7)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(1,266)

(59,413)

(35.8)

Live

Nation

Entertainment,

Inc.

(1,019)

(80,389)

(48.4)

LyondellBasell

Industries

NV,

Class

A

..............

(1,674)

(166,278)

(100.2)

MarketAxess

Holdings,

Inc.

..

(45)

(21,383)

(12.9)

Marriott

International,

Inc.,

Class

A

..................

(271)

(39,561)

(23.8)

Medtronic

plc

............

(1,933)

(253,822)

(152.9)

Merck

&

Co.,

Inc.

.........

(1,792)

(137,751)

(83.0)

MGM

Resorts

International

...

(574)

(21,542)

(13.0)

Nasdaq,

Inc.

............

(257)

(47,990)

(28.9)

Neurocrine

Biosciences,

Inc.

..

(862)

(80,347)

(48.4)

Oak

Street

Health,

Inc.

......

(678)

(42,741)

(25.8)

Occidental

Petroleum

Corp.

..

(249)

(6,499)

(3.9)

Okta,

Inc.

...............

(99)

(24,531)

(14.8)

PACCAR,

Inc.

...........

(684)

(56,765)

(34.2)

Packaging

Corp.

of

America

..

(739)

(104,569)

(63.0)

Paycom

Software,

Inc.

......

(320)

(128,000)

(77.1)

Peloton

Interactive,

Inc.,

Class

A

(283)

(33,408)

(20.1)

Pfizer,

Inc.

..............

(1,312)

(56,167)

(33.8)

PG&E

Corp.

.............

(2,639)

(23,197)

(14.0)

Plug

Power,

Inc.

..........

(655)

(17,868)

(10.8)

PPG

Industries,

Inc.

.......

(249)

(40,716)

(24.5)

Progressive

Corp.

(The)

.....

(1,086)

(103,344)

(62.3)

ResMed,

Inc.

............

(112)

(30,442)

(18.3)

Royal

Caribbean

Cruises

Ltd.

.

(263)

(20,217)

(12.2)

RPM

International,

Inc.

.....

(399)

(34,549)

(20.8)

Schlumberger

NV

.........

(318)

(9,168)

(5.5)

SEI

Investments

Co.

.......

(996)

(60,557)

(36.5)

Sensata

Technologies

Holding

plc

.................

(369)

(21,631)

(13.0)

Snap-on,

Inc.

............

(107)

(23,324)

(14.1)

SS&C

Technologies

Holdings,

Inc.

.................

(682)

(53,462)

(32.2)

Steel

Dynamics,

Inc.

.......

(1,081)

(69,670)

(42.0)

STERIS

plc

.............

(293)

(63,859)

(38.5)

Take-Two

Interactive

Software,

Inc.

.................

(141)

(24,452)

(14.7)

Teledyne

Technologies,

Inc.

..

(131)

(59,313)

(35.7)

Teleflex,

Inc.

.............

(231)

(91,806)

(55.3)

Tenaris

SA

..............

(4,282)

(43,629)

(26.3)

Thermo

Fisher

Scientific,

Inc.

.

(58)

(31,321)

(18.9)

Trade

Desk,

Inc.

(The),

Class

A

(1,880)

(153,991)

(92.8)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

30

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

TransUnion

.............

(416)

$

(49,945)

(30.1)

%

Twilio,

Inc.,

Class

A

........

(199)

(74,344)

(44.8)

Twitter,

Inc.

.............

(473)

(32,992)

(19.9)

Union

Pacific

Corp.

........

(149)

(32,595)

(19.6)

UnitedHealth

Group,

Inc.

....

(262)

(108,002)

(65.1)

Unity

Software,

Inc.

........

(5)

(536)

(0.3)

US

Bancorp

.............

(1,023)

(56,817)

(34.2)

Valero

Energy

Corp.

.......

(665)

(44,535)

(26.8)

ViacomCBS,

Inc.

..........

(873)

(35,732)

(21.5)

Vistra

Corp.

.............

(5,561)

(106,493)

(64.2)

Walt

Disney

Co.

(The)

......

(460)

(80,969)

(48.8)

Waste

Connections,

Inc.

.....

(324)

(41,048)

(24.7)

Wayfair,

Inc.,

Class

A

.......

(79)

(19,067)

(11.5)

Wells

Fargo

&

Co.

.........

(1,029)

(47,272)

(28.5)

Willis

Towers

Watson

plc

....

(139)

(28,645)

(17.3)

Wynn

Resorts

Ltd.

........

(322)

(31,662)

(19.1)

Xcel

Energy,

Inc.

..........

(155)

(10,579)

(6.4)

Zillow

Group,

Inc.,

Class

C

...

(393)

(41,760)

(25.2)

Zimmer

Biomet

Holdings,

Inc.

.

(181)

(29,579)

(17.8)

(10,355,121)

Total

Reference

Entity

—

Short

............

(23,381,045)

Net

Value

of

Reference

Entity

—

Citibank

NA

..

$

165,967

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Credit

Suisse

International,

as

of

July

31,

2021,

expiration

date

02/08/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

4,261

22,565

31.5

Aristocrat

Leisure

Ltd.

......

2,234

68,461

95.7

Aurizon

Holdings

Ltd.

......

6,147

17,445

24.4

Brambles

Ltd.

............

2,642

22,620

31.6

Rio

Tinto

Ltd.

............

1,056

103,498

144.7

Rio

Tinto

plc

.............

564

47,906

67.0

Tabcorp

Holdings

Ltd.

......

20,143

73,524

102.8

Telstra

Corp.

Ltd.

.........

8,283

23,072

32.3

Wesfarmers

Ltd.

..........

5,500

247,977

346.7

627,068

Austria

OMV

AG

...............

3,425

184,929

258.6

voestalpine

AG

...........

2,040

89,996

125.8

274,925

Belgium

Ageas

SA/NV

............

388

20,489

28.6

Etablissements

Franz

Colruyt

NV

.................

624

35,479

49.6

Groupe

Bruxelles

Lambert

SA

.

189

21,990

30.7

UCB

SA

...............

550

59,487

83.2

137,445

Brazil

Wheaton

Precious

Metals

Corp.

1,601

73,955

103.4

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

..............

815

32,852

45.9

Bank

of

Montreal

.........

3,485

345,064

482.4

Bank

of

Nova

Scotia

(The)

...

373

23,281

32.5

Canadian

Imperial

Bank

of

Commerce

...........

754

87,674

122.6

Shares

Value

%

of

Basket

Value

Canada

(continued)

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

590

$

90,770

126.9

%

CGI,

Inc.

...............

528

48,030

67.2

Constellation

Software,

Inc.

..

95

152,173

212.7

Fairfax

Financial

Holdings

Ltd.

65

27,381

38.3

Hydro

One

Ltd.

...........

1,280

31,600

44.2

Manulife

Financial

Corp.

.....

13,660

264,090

369.2

National

Bank

of

Canada

....

860

65,823

92.0

Nutrien

Ltd.

.............

1,134

67,425

94.3

Onex

Corp.

.............

291

22,182

31.0

Open

Text

Corp.

..........

435

22,594

31.6

Sun

Life

Financial,

Inc.

......

5,221

271,931

380.2

Thomson

Reuters

Corp.

.....

851

90,175

126.1

West

Fraser

Timber

Co.

Ltd.

..

998

71,586

100.1

1,714,631

Denmark

Carlsberg

A/S,

Class

B

.....

1,238

228,764

319.8

Coloplast

A/S,

Class

B

......

897

164,029

229.3

Genmab

A/S

............

120

54,237

75.8

Novo

Nordisk

A/S,

Class

B

...

1,325

122,657

171.5

Novozymes

A/S,

Class

B

....

2,436

191,384

267.6

761,071

Finland

Elisa

OYJ

..............

726

46,661

65.2

Neste

OYJ

..............

919

56,492

79.0

Nordea

Bank

Abp

.........

4,653

54,488

76.2

Stora

Enso

OYJ,

Class

R

....

1,114

22,059

30.8

179,700

France

Arkema

SA

.............

468

59,569

83.3

BNP

Paribas

SA

..........

1,082

65,979

92.2

Carrefour

SA

............

7,529

139,846

195.5

Cie

de

Saint-Gobain

.......

420

30,021

42.0

Dassault

Systemes

SE

.....

1,041

57,424

80.3

Engie

SA

...............

8,090

107,883

150.8

Hermes

International

.......

44

67,266

94.0

Ipsen

SA

...............

710

75,871

106.1

La

Francaise

des

Jeux

SAEM

.

1,483

79,284

110.8

Orange

SA

..............

5,175

57,593

80.5

Publicis

Groupe

SA

........

713

45,012

62.9

Suez

SA

...............

864

20,154

28.2

Teleperformance

..........

339

142,989

199.9

Thales

SA

..............

578

60,664

84.8

Vinci

SA

...............

197

20,857

29.2

1,030,412

Germany

Allianz

SE

(Registered)

.....

193

47,973

67.1

BASF

SE

...............

2,232

175,387

245.2

Bechtle

AG

.............

438

90,440

126.5

Deutsche

Boerse

AG

.......

501

83,599

116.9

Deutsche

Post

AG

(Registered)

4,398

298,058

416.7

E.ON

SE

...............

10,132

124,558

174.1

HeidelbergCement

AG

......

791

70,097

98.0

Siemens

AG

(Registered)

....

1,391

217,042

303.4

Symrise

AG

.............

1,337

197,139

275.6

United

Internet

AG

(Registered)

723

29,923

41.8

Vonovia

SE

.............

354

23,569

33.0

1,357,785

Hong

Kong

Hang

Seng

Bank

Ltd.

......

2,100

40,218

56.2

Sun

Hung

Kai

Properties

Ltd.

.

3,500

50,069

70.0

Swire

Pacific

Ltd.,

Class

A

...

5,500

34,165

47.8

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

31

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Hong

Kong

(continued)

Techtronic

Industries

Co.

Ltd.

.

13,500

$

240,736

336.5

%

365,188

Ireland

CRH

plc

...............

1,129

56,426

78.9

Smurfit

Kappa

Group

plc

....

512

28,884

40.4

85,310

Israel

Check

Point

Software

Technologies

Ltd.

.......

515

65,456

91.5

Italy

Poste

Italiane

SpA

.........

2,157

28,543

39.9

Japan

Ajinomoto

Co.,

Inc.

........

2,300

58,597

81.9

Asahi

Kasei

Corp.

.........

8,900

97,054

135.7

Astellas

Pharma,

Inc.

.......

1,300

20,706

28.9

Azbil

Corp.

..............

500

19,499

27.3

Daiwa

House

Industry

Co.

Ltd.

700

21,462

30.0

ENEOS

Holdings,

Inc.

......

84,800

356,211

498.0

Fujitsu

Ltd.

..............

300

51,039

71.4

Hitachi

Ltd.

.............

3,300

189,813

265.4

Honda

Motor

Co.

Ltd.

......

5,500

176,648

247.0

Hoshizaki

Corp.

..........

300

25,192

35.2

Isuzu

Motors

Ltd.

.........

1,600

21,344

29.8

Kajima

Corp.

............

2,000

25,746

36.0

KDDI

Corp.

.............

1,600

48,934

68.4

Kyocera

Corp.

...........

2,700

166,838

233.2

Lawson,

Inc.

............

500

25,130

35.1

Mazda

Motor

Corp.

........

8,100

79,906

111.7

McDonald's

Holdings

Co.

Japan

Ltd.

................

1,000

45,066

63.0

MEIJI

Holdings

Co.

Ltd.

.....

3,800

235,223

328.9

MinebeaMitsumi,

Inc.

.......

5,300

143,105

200.1

Mitsubishi

Electric

Corp.

.....

19,200

260,491

364.2

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,100

22,914

32.0

Mitsui

Chemicals,

Inc.

......

4,300

137,122

191.7

NEC

Corp.

..............

2,600

131,864

184.3

NGK

Insulators

Ltd.

........

1,300

20,819

29.1

Nippon

Express

Co.

Ltd.

....

1,100

80,355

112.3

Nippon

Telegraph

&

Telephone

Corp.

...............

3,000

76,824

107.4

Nissin

Foods

Holdings

Co.

Ltd.

3,400

241,945

338.2

Nitori

Holdings

Co.

Ltd.

.....

700

133,053

186.0

Nitto

Denko

Corp.

.........

3,500

260,044

363.6

Nomura

Holdings,

Inc.

......

6,700

33,551

46.9

Obayashi

Corp.

..........

2,500

20,443

28.6

Olympus

Corp.

...........

1,000

20,579

28.8

Ono

Pharmaceutical

Co.

Ltd.

.

11,200

255,676

357.4

Osaka

Gas

Co.

Ltd.

........

8,900

166,276

232.5

Otsuka

Holdings

Co.

Ltd.

....

4,700

186,821

261.2

Panasonic

Corp.

..........

8,100

97,808

136.7

Recruit

Holdings

Co.

Ltd.

....

600

31,098

43.5

Secom

Co.

Ltd.

...........

1,000

75,691

105.8

Sekisui

House

Ltd.

........

2,200

43,572

60.9

Shimadzu

Corp.

..........

100

4,033

5.6

Shimizu

Corp.

...........

3,500

25,776

36.0

Sony

Group

Corp.

.........

2,100

219,380

306.7

Subaru

Corp.

............

5,800

113,952

159.3

Sumitomo

Chemical

Co.

Ltd.

..

25,100

130,659

182.7

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

1,400

47,193

66.0

Sysmex

Corp.

...........

200

23,798

33.3

Shares

Value

%

of

Basket

Value

Japan

(continued)

Taisei

Corp.

.............

500

$

16,851

23.6

%

Terumo

Corp.

............

2,300

89,265

124.8

Tokyo

Gas

Co.

Ltd.

........

2,100

39,750

55.6

Toray

Industries,

Inc.

.......

44,300

291,679

407.8

Trend

Micro,

Inc.

..........

600

31,238

43.7

USS

Co.

Ltd.

............

1,200

20,890

29.2

Yakult

Honsha

Co.

Ltd.

.....

2,500

147,737

206.5

Yamada

Holdings

Co.

Ltd.

...

4,800

22,677

31.7

Yamaha

Motor

Co.

Ltd.

.....

2,100

52,585

73.5

ZOZO,

Inc.

..............

1,000

34,059

47.6

5,415,981

Netherlands

Adyen

NV

..............

19

51,491

72.0

Akzo

Nobel

NV

...........

1,742

215,185

300.8

Koninklijke

Ahold

Delhaize

NV

.

1,074

33,385

46.7

Koninklijke

DSM

NV

.......

234

47,170

66.0

NN

Group

NV

............

672

33,409

46.7

Randstad

NV

............

2,122

153,952

215.2

Royal

Dutch

Shell

plc,

Class

A

.

3,156

63,439

88.7

598,031

Norway

Norsk

Hydro

ASA

.........

9,111

60,615

84.8

Orkla

ASA

..............

24,543

222,910

311.6

283,525

Poland

InPost

SA

..............

1,356

26,588

37.2

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

13,100

118,519

165.7

United

Overseas

Bank

Ltd.

...

2,100

40,600

56.8

159,119

South

Africa

Anglo

American

plc

........

688

30,488

42.6

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

10,458

66,947

93.6

Endesa

SA

.............

3,180

77,244

108.0

Iberdrola

SA

.............

2,236

26,911

37.6

Industria

de

Diseno

Textil

SA

..

1,625

55,114

77.1

226,216

Sweden

Assa

Abloy

AB,

Class

B

.....

1,699

54,498

76.2

Boliden

AB

..............

881

34,334

48.0

Electrolux

AB

............

3,322

87,247

122.0

Investor

AB,

Class

B

.......

1,000

24,764

34.6

Skanska

AB,

Class

B

.......

1,807

51,011

71.3

Swedish

Match

AB

........

12,890

115,430

161.4

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

6,509

75,076

105.0

Telia

Co.

AB

.............

4,736

20,773

29.0

463,133

Switzerland

Adecco

Group

AG

(Registered)

2,427

145,344

203.2

Holcim

Ltd.

(Registered)

.....

3,538

207,402

290.0

Julius

Baer

Group

Ltd.

......

1,274

84,087

117.6

Kuehne

+

Nagel

International

AG

(Registered)

...........

174

58,696

82.1

Logitech

International

SA

(Registered)

...........

1,481

162,717

227.5

Nestle

SA

(Registered)

.....

177

22,413

31.3

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

32

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Novartis

AG

(Registered)

....

326

$

30,148

42.1

%

Roche

Holding

AG

........

229

88,465

123.7

SGS

SA

(Registered)

.......

18

58,260

81.4

Straumann

Holding

AG

(Registered)

...........

31

57,475

80.4

Swiss

Life

Holding

AG

(Registered)

...........

49

25,274

35.3

UBS

Group

AG

(Registered)

..

9,372

154,411

215.9

1,094,692

United

Kingdom

3i

Group

plc

.............

2,490

44,255

61.9

Auto

Trader

Group

plc

......

3,794

34,374

48.1

Aviva

plc

...............

36,720

197,210

275.7

Barratt

Developments

plc

....

2,168

21,187

29.6

Berkeley

Group

Holdings

plc

..

1,631

109,812

153.5

DCC

plc

...............

792

66,309

92.7

Experian

plc

.............

1,585

69,781

97.6

Intertek

Group

plc

.........

698

50,009

69.9

Kingfisher

plc

............

1,417

7,278

10.2

Legal

&

General

Group

plc

...

15,302

55,431

77.5

M&G

plc

...............

7,217

22,598

31.6

Persimmon

plc

...........

532

21,460

30.0

Phoenix

Group

Holdings

plc

..

1,857

17,500

24.5

SSE

plc

................

2,059

41,282

57.7

United

Utilities

Group

plc

....

3,168

47,170

65.9

WPP

plc

...............

2,876

37,195

52.0

842,851

United

States

3M

Co.

................

219

43,349

60.6

A

O

Smith

Corp.

..........

673

47,332

66.2

ABIOMED,

Inc.

...........

555

181,563

253.8

Accenture

plc,

Class

A

......

238

75,608

105.7

Adobe,

Inc.

.............

513

318,896

445.8

Aflac,

Inc.

..............

805

44,275

61.9

Agilent

Technologies,

Inc.

....

2,595

397,632

555.9

Airbnb,

Inc.,

Class

A

.......

19

2,736

3.8

Align

Technology,

Inc.

......

48

33,398

46.7

Allegion

plc

.............

384

52,454

73.3

Allstate

Corp.

(The)

........

735

95,587

133.6

Ally

Financial,

Inc.

.........

898

46,121

64.5

Alphabet,

Inc.,

Class

A

......

15

40,418

56.5

Amazon.com,

Inc.

.........

28

93,172

130.3

AMERCO

..............

308

181,092

253.2

Ameriprise

Financial,

Inc.

....

89

22,923

32.0

AmerisourceBergen

Corp.

...

133

16,249

22.7

Amgen,

Inc.

.............

114

27,536

38.5

Apple,

Inc.

..............

365

53,239

74.4

Applied

Materials,

Inc.

......

1,645

230,185

321.8

Archer-Daniels-Midland

Co.

..

108

6,450

9.0

Arista

Networks,

Inc.

.......

250

95,097

132.9

Autodesk,

Inc.

...........

1,606

515,735

721.0

Avery

Dennison

Corp.

......

367

77,320

108.1

Berkshire

Hathaway,

Inc.,

Class

B

..................

641

178,384

249.4

Best

Buy

Co.,

Inc.

.........

729

81,903

114.5

Booz

Allen

Hamilton

Holding

Corp.

...............

1,991

170,848

238.9

Boston

Beer

Co.,

Inc.

(The),

Class

A

..............

30

21,300

29.8

Bunge

Ltd.

..............

716

55,583

77.7

Cadence

Design

Systems,

Inc.

1,784

263,408

368.3

Capital

One

Financial

Corp.

..

626

101,224

141.5

CBRE

Group,

Inc.,

Class

A

...

1,163

112,183

156.8

Shares

Value

%

of

Basket

Value

United

States

(continued)

Cerner

Corp.

............

2,866

$

230,398

322.1

%

Cigna

Corp.

.............

406

93,173

130.3

Cintas

Corp.

.............

146

57,550

80.5

Citigroup,

Inc.

............

2,060

139,297

194.7

Coca-Cola

Co.

(The)

.......

1,917

109,326

152.8

Cognex

Corp.

............

547

49,454

69.1

Cognizant

Technology

Solutions

Corp.,

Class

A

.........

711

52,280

73.1

Colgate-Palmolive

Co.

......

707

56,206

78.6

Copart,

Inc.

.............

444

65,268

91.2

Costco

Wholesale

Corp.

.....

82

35,237

49.3

CVS

Health

Corp.

.........

1,648

135,729

189.8

Darden

Restaurants,

Inc.

....

19

2,772

3.9

DaVita,

Inc.

.............

595

71,549

100.0

Deere

&

Co.

.............

58

20,972

29.3

Devon

Energy

Corp.

.......

1,366

35,297

49.3

DocuSign,

Inc.

...........

81

24,141

33.7

Domino's

Pizza,

Inc.

.......

95

49,922

69.8

Dover

Corp.

.............

177

29,580

41.4

DuPont

de

Nemours,

Inc.

....

873

65,519

91.6

eBay,

Inc.

..............

1,621

110,568

154.6

Edwards

Lifesciences

Corp.

..

1,803

202,423

283.0

Electronic

Arts,

Inc.

........

2,783

400,641

560.1

Emerson

Electric

Co.

.......

784

79,098

110.6

EOG

Resources,

Inc.

.......

352

25,647

35.9

Equitable

Holdings,

Inc.

.....

639

19,726

27.6

Etsy,

Inc.

...............

121

22,205

31.0

Evergy,

Inc.

.............

1

65

0.1

Expeditors

International

of

Washington,

Inc.

........

1,265

162,236

226.8

Facebook,

Inc.,

Class

A

.....

344

122,567

171.4

FedEx

Corp.

............

169

47,312

66.1

Ferguson

plc

............

230

32,243

45.1

First

Republic

Bank

........

157

30,618

42.8

FMC

Corp.

..............

252

26,951

37.7

Fortinet,

Inc.

.............

517

140,748

196.8

Fortune

Brands

Home

&

Security,

Inc.

.................

499

48,638

68.0

Garmin

Ltd.

.............

2,499

392,843

549.2

Genuine

Parts

Co.

........

1,247

158,269

221.3

Gilead

Sciences,

Inc.

.......

1,342

91,645

128.1

GoDaddy,

Inc.,

Class

A

.....

2,219

186,063

260.1

HCA

Healthcare,

Inc.

.......

92

22,834

31.9

Hershey

Co.

(The)

........

791

141,494

197.8

Hewlett

Packard

Enterprise

Co.

2,935

42,557

59.5

Hologic,

Inc.

.............

1,080

81,043

113.3

Home

Depot,

Inc.

(The)

.....

407

133,573

186.7

HP,

Inc.

................

3,060

88,342

123.5

IDEXX

Laboratories,

Inc.

....

257

174,382

243.8

Illinois

Tool

Works,

Inc.

......

635

143,935

201.2

Incyte

Corp.

.............

1,681

130,025

181.8

Intuit,

Inc.

..............

233

123,483

172.6

Invesco

Ltd.

.............

873

21,284

29.8

IQVIA

Holdings,

Inc.

.......

121

29,972

41.9

J

M

Smucker

Co.

(The)

.....

309

40,513

56.6

James

Hardie

Industries

plc,

CDI

................

5,026

169,570

237.1

Jazz

Pharmaceuticals

plc

....

728

123,411

172.5

Johnson

Controls

International

plc

.................

1,056

75,420

105.4

KeyCorp

...............

6,977

137,168

191.8

Keysight

Technologies,

Inc.

...

660

108,603

151.8

KLA

Corp.

..............

178

61,972

86.6

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,048

52,075

72.8

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

33

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Kraft

Heinz

Co.

(The)

.......

1,011

$

38,893

54.4

%

Lam

Research

Corp.

.......

38

24,222

33.9

Lennox

International,

Inc.

....

158

52,050

72.8

LKQ

Corp.

..............

1,883

95,562

133.6

Lowe's

Cos.,

Inc.

.........

104

20,040

28.0

Lululemon

Athletica,

Inc.

....

188

75,232

105.2

Markel

Corp.

............

60

72,370

101.2

Masco

Corp.

............

2,264

135,183

189.0

Masimo

Corp.

............

321

87,437

122.2

Maxim

Integrated

Products,

Inc.

1,368

136,677

191.1

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

1,104

92,924

129.9

McDonald's

Corp.

.........

458

111,161

155.4

MetLife,

Inc.

.............

1,091

62,951

88.0

Mettler-Toledo

International,

Inc.

117

172,424

241.1

Microsoft

Corp.

...........

153

43,591

60.9

Molina

Healthcare,

Inc.

.....

191

52,145

72.9

Molson

Coors

Beverage

Co.,

Class

B

..............

20

978

1.4

Mondelez

International,

Inc.,

Class

A

..............

436

27,581

38.6

Monolithic

Power

Systems,

Inc.

99

44,477

62.2

Monster

Beverage

Corp.

....

1,099

103,658

144.9

Moody's

Corp.

...........

74

27,824

38.9

Morgan

Stanley

..........

393

37,720

52.7

Mosaic

Co.

(The)

.........

1,967

61,429

85.9

NetApp,

Inc.

.............

365

29,050

40.6

News

Corp.,

Class

A

.......

805

19,827

27.7

NIKE,

Inc.,

Class

B

........

159

26,634

37.2

Nordson

Corp.

...........

396

89,547

125.2

Norfolk

Southern

Corp.

.....

172

44,347

62.0

Northern

Trust

Corp.

.......

875

98,744

138.0

NVIDIA

Corp.

............

141

27,494

38.4

Old

Dominion

Freight

Line,

Inc.

500

134,575

188.1

Omnicom

Group,

Inc.

.......

1,318

95,977

134.2

O'Reilly

Automotive,

Inc.

....

384

231,875

324.2

Owens

Corning

...........

828

79,620

111.3

Pentair

plc

..............

406

29,910

41.8

PepsiCo,

Inc.

............

2,589

406,344

568.1

Pinterest,

Inc.,

Class

A

......

1,129

66,498

93.0

Pool

Corp.

..............

19

9,079

12.7

Principal

Financial

Group,

Inc.

.

321

19,944

27.9

PTC,

Inc.

...............

235

31,831

44.5

PulteGroup,

Inc.

..........

870

47,737

66.7

Qorvo,

Inc.

..............

459

87,022

121.7

Qualcomm,

Inc.

..........

3,153

472,319

660.3

Raymond

James

Financial,

Inc.

958

124,042

173.4

Regions

Financial

Corp.

.....

8,040

154,770

216.4

Robert

Half

International,

Inc.

.

1,485

145,842

203.9

Rockwell

Automation,

Inc.

....

162

49,802

69.6

Roku,

Inc.

..............

249

106,649

149.1

Ross

Stores,

Inc.

.........

171

20,980

29.3

Sealed

Air

Corp.

..........

2,664

151,182

211.4

ServiceNow,

Inc.

..........

169

99,353

138.9

Sherwin-Williams

Co.

(The)

..

768

223,511

312.5

Stanley

Black

&

Decker,

Inc.

..

121

23,843

33.3

Starbucks

Corp.

..........

1,026

124,587

174.2

Stryker

Corp.

............

1,125

304,807

426.1

Swiss

Re

AG

............

246

22,302

31.2

Synopsys,

Inc.

...........

2,406

692,904

968.7

Sysco

Corp.

.............

392

29,086

40.7

Target

Corp.

.............

283

73,877

103.3

Teradyne,

Inc.

...........

1,770

224,790

314.3

Texas

Instruments,

Inc.

.....

568

108,272

151.4

TJX

Cos.,

Inc.

(The)

.......

591

40,667

56.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

Tractor

Supply

Co.

........

255

$

46,137

64.5

%

Trane

Technologies

plc

.....

751

152,911

213.8

Trimble,

Inc.

.............

1,368

116,964

163.5

Tyson

Foods,

Inc.,

Class

A

...

728

52,023

72.7

UGI

Corp.

..............

461

21,201

29.6

Ulta

Beauty,

Inc.

..........

159

53,392

74.6

United

Rentals,

Inc.

........

65

21,421

29.9

Universal

Health

Services,

Inc.,

Class

B

..............

696

111,645

156.1

Vail

Resorts,

Inc.

..........

374

114,145

159.6

Veeva

Systems,

Inc.,

Class

A

.

371

123,435

172.6

VeriSign,

Inc.

............

111

24,017

33.6

Vertex

Pharmaceuticals,

Inc.

..

569

114,699

160.4

Walmart,

Inc.

............

281

40,057

56.0

Waters

Corp.

............

104

40,540

56.7

West

Pharmaceutical

Services,

Inc.

.................

1,383

569,423

796.1

Workday,

Inc.,

Class

A

......

630

147,672

206.5

Yum!

Brands,

Inc.

.........

875

114,966

160.7

Zebra

Technologies

Corp.,

Class

A

..................

179

98,894

138.3

Zoetis,

Inc.

..............

454

92,026

128.7

17,610,769

Total

Reference

Entity

—

Long

............

33,452,882

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(31)

(48,630)

(68.0)

Australia

APA

Group

..............

(9,095)

(63,820)

(89.2)

Evolution

Mining

Ltd.

.......

(6,786)

(20,638)

(28.9)

Insurance

Australia

Group

Ltd.

(78,271)

(279,126)

(390.2)

National

Australia

Bank

Ltd.

..

(2,454)

(46,797)

(65.4)

Orica

Ltd.

..............

(1,946)

(17,749)

(24.8)

Sydney

Airport

...........

(11,167)

(64,257)

(89.8)

Transurban

Group

.........

(27,740)

(292,596)

(409.1)

Woodside

Petroleum

Ltd.

....

(3,066)

(49,252)

(68.9)

(834,235)

Belgium

Elia

Group

SA/NV

.........

(380)

(44,913)

(62.8)

Umicore

SA

.............

(2,183)

(135,492)

(189.4)

(180,405)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(667)

(101,844)

(142.4)

Canada

Algonquin

Power

&

Utilities

Corp.

...............

(6,264)

(99,814)

(139.5)

Ballard

Power

Systems,

Inc.

..

(3,597)

(58,239)

(81.4)

BCE,

Inc.

...............

(673)

(33,591)

(47.0)

Cameco

Corp.

...........

(1,458)

(25,932)

(36.3)

Canadian

Pacific

Railway

Ltd.

.

(960)

(71,284)

(99.7)

Dollarama,

Inc.

...........

(1,294)

(60,935)

(85.2)

Emera,

Inc.

.............

(546)

(25,466)

(35.6)

Fortis,

Inc.

..............

(716)

(32,471)

(45.4)

Franco-Nevada

Corp.

......

(385)

(61,580)

(86.1)

Imperial

Oil

Ltd.

..........

(800)

(21,917)

(30.6)

Loblaw

Cos.

Ltd.

..........

(373)

(25,233)

(35.3)

Northland

Power,

Inc.

......

(1,734)

(60,849)

(85.1)

Pan

American

Silver

Corp.

...

(634)

(17,801)

(24.9)

(595,112)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

34

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Chile

Antofagasta

plc

...........

(2,050)

$

(42,565)

(59.5)

%

China

Prosus

NV

..............

(540)

(48,178)

(67.3)

Denmark

Chr

Hansen

Holding

A/S

....

(2,759)

(248,138)

(346.9)

Danske

Bank

A/S

.........

(1,417)

(24,834)

(34.7)

Orsted

A/S

..............

(149)

(22,100)

(30.9)

Tryg

A/S

...............

(1,084)

(26,791)

(37.5)

Vestas

Wind

Systems

A/S

...

(2,510)

(92,555)

(129.4)

(414,418)

Finland

Fortum

OYJ

.............

(1,407)

(38,763)

(54.2)

France

Adevinta

ASA

............

(2,874)

(55,260)

(77.3)

Aeroports

de

Paris

........

(407)

(49,335)

(69.0)

Air

Liquide

SA

...........

(525)

(91,302)

(127.6)

Airbus

SE

..............

(217)

(29,766)

(41.6)

Alstom

SA

..............

(1,846)

(76,565)

(107.0)

Atos

SE

................

(501)

(23,959)

(33.5)

Bouygues

SA

............

(1,823)

(70,261)

(98.2)

Danone

SA

.............

(3,860)

(283,917)

(396.9)

Dassault

Aviation

SA

.......

(43)

(51,198)

(71.6)

Edenred

...............

(401)

(23,297)

(32.6)

Faurecia

SE

.............

(2,685)

(119,838)

(167.5)

Getlink

SE

..............

(3,185)

(51,019)

(71.3)

Iliad

SA

................

(838)

(180,593)

(252.5)

Legrand

SA

.............

(321)

(36,175)

(50.6)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(252)

(201,768)

(282.1)

Orpea

SA

..............

(1,324)

(168,131)

(235.1)

Renault

SA

.............

(1,627)

(61,795)

(86.4)

Safran

SA

..............

(1,256)

(164,378)

(229.8)

SCOR

SE

..............

(777)

(21,699)

(30.3)

Sodexo

SA

.............

(295)

(25,136)

(35.1)

Ubisoft

Entertainment

SA

....

(899)

(56,991)

(79.7)

Worldline

SA

............

(862)

(80,683)

(112.8)

(1,923,066)

Germany

Bayer

AG

(Registered)

......

(364)

(21,687)

(30.3)

Brenntag

SE

............

(861)

(85,996)

(120.2)

Commerzbank

AG

.........

(21,649)

(139,418)

(194.9)

Continental

AG

...........

(260)

(35,320)

(49.4)

Deutsche

Bank

AG

(Registered)

(11,806)

(148,830)

(208.1)

Fresenius

SE

&

Co.

KGaA

...

(876)

(46,043)

(64.4)

KION

Group

AG

..........

(1,236)

(131,256)

(183.5)

Knorr-Bremse

AG

.........

(790)

(89,459)

(125.1)

MTU

Aero

Engines

AG

......

(85)

(21,262)

(29.7)

Porsche

Automobil

Holding

SE

(Preference)

..........

(477)

(51,626)

(72.2)

Sartorius

AG

(Preference)

...

(137)

(82,873)

(115.8)

Siemens

Energy

AG

.......

(1,442)

(39,229)

(54.8)

Siemens

Healthineers

AG

....

(1,823)

(120,357)

(168.3)

Zalando

SE

.............

(220)

(24,445)

(34.2)

(1,037,801)

Hong

Kong

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(1,091)

(15,187)

(21.2)

Ireland

Kerry

Group

plc,

Class

A

....

(250)

(37,070)

(51.8)

Shares

Value

%

of

Basket

Value

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(10,422)

$

(100,572)

(140.6)

%

Italy

Atlantia

SpA

.............

(5,371)

(97,422)

(136.2)

Davide

Campari-Milano

NV

..

(7,590)

(106,704)

(149.2)

Ferrari

NV

..............

(118)

(25,717)

(35.9)

Infrastrutture

Wireless

Italiane

SpA

................

(32,215)

(363,907)

(508.8)

Moncler

SpA

............

(328)

(22,528)

(31.5)

(616,278)

Japan

Advantest

Corp.

..........

(800)

(70,625)

(98.7)

Bandai

Namco

Holdings,

Inc.

.

(1,000)

(64,704)

(90.5)

Canon,

Inc.

.............

(1,000)

(23,028)

(32.2)

Central

Japan

Railway

Co.

...

(700)

(101,825)

(142.4)

Daifuku

Co.

Ltd.

..........

(2,100)

(188,179)

(263.1)

Dai-ichi

Life

Holdings,

Inc.

...

(3,200)

(58,896)

(82.3)

Daiichi

Sankyo

Co.

Ltd.

.....

(1,800)

(35,648)

(49.8)

East

Japan

Railway

Co.

.....

(400)

(26,649)

(37.3)

Eisai

Co.

Ltd.

............

(400)

(32,901)

(46.0)

FANUC

Corp.

............

(300)

(67,190)

(93.9)

Harmonic

Drive

Systems,

Inc.

.

(600)

(33,190)

(46.4)

ITOCHU

Corp.

...........

(600)

(17,760)

(24.8)

Japan

Airlines

Co.

Ltd.

......

(2,900)

(60,457)

(84.5)

Japan

Post

Bank

Co.

Ltd.

....

(4,900)

(41,590)

(58.1)

JFE

Holdings,

Inc.

.........

(2,400)

(29,183)

(40.8)

Kansai

Electric

Power

Co.,

Inc.

(The)

...............

(12,600)

(118,854)

(166.2)

Kao

Corp.

..............

(1,200)

(72,254)

(101.0)

Keio

Corp.

..............

(400)

(22,406)

(31.3)

Keyence

Corp.

...........

(800)

(445,602)

(623.0)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(500)

(16,895)

(23.6)

Kirin

Holdings

Co.

Ltd.

......

(2,000)

(36,582)

(51.1)

Koito

Manufacturing

Co.

Ltd.

..

(1,400)

(85,681)

(119.8)

Kose

Corp.

.............

(900)

(142,210)

(198.8)

Kyowa

Kirin

Co.

Ltd.

.......

(1,500)

(48,827)

(68.3)

Lasertec

Corp.

...........

(300)

(56,320)

(78.7)

Mitsubishi

Heavy

Industries

Ltd.

(3,300)

(95,348)

(133.3)

MonotaRO

Co.

Ltd.

........

(7,900)

(181,722)

(254.1)

Murata

Manufacturing

Co.

Ltd.

(1,100)

(91,284)

(127.6)

Nexon

Co.

Ltd.

...........

(900)

(18,518)

(25.9)

Nidec

Corp.

.............

(500)

(56,122)

(78.5)

Nihon

M&A

Center,

Inc.

.....

(1,200)

(33,419)

(46.7)

Nippon

Paint

Holdings

Co.

Ltd.

(3,900)

(49,780)

(69.6)

Nippon

Sanso

Holdings

Corp.

.

(1,400)

(30,990)

(43.3)

Obic

Co.

Ltd.

............

(900)

(158,178)

(221.1)

Oji

Holdings

Corp.

.........

(9,600)

(55,349)

(77.4)

Oracle

Corp.

Japan

........

(300)

(22,410)

(31.3)

Oriental

Land

Co.

Ltd.

......

(1,900)

(260,301)

(363.9)

Otsuka

Corp.

............

(7,500)

(389,705)

(544.8)

PeptiDream,

Inc.

..........

(600)

(24,763)

(34.6)

Pigeon

Corp.

............

(1,900)

(54,707)

(76.5)

Rakuten

Group,

Inc.

.......

(10,000)

(110,041)

(153.8)

Resona

Holdings,

Inc.

......

(11,100)

(41,677)

(58.3)

Ryohin

Keikaku

Co.

Ltd.

.....

(1,300)

(26,372)

(36.9)

Sharp

Corp.

.............

(4,900)

(75,261)

(105.2)

Shin-Etsu

Chemical

Co.

Ltd.

..

(200)

(32,626)

(45.6)

Shionogi

&

Co.

Ltd.

........

(1,500)

(78,997)

(110.4)

Shiseido

Co.

Ltd.

.........

(3,300)

(220,558)

(308.4)

SMC

Corp.

..............

(400)

(237,790)

(332.4)

SoftBank

Group

Corp.

......

(1,800)

(113,194)

(158.3)

Square

Enix

Holdings

Co.

Ltd.

.

(1,400)

(72,641)

(101.6)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

35

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Sumitomo

Corp.

..........

(11,700)

$

(159,002)

(222.3)

%

Sumitomo

Electric

Industries

Ltd.

................

(1,600)

(22,731)

(31.8)

Sumitomo

Metal

Mining

Co.

Ltd.

(600)

(24,316)

(34.0)

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(2,800)

(91,261)

(127.6)

Takeda

Pharmaceutical

Co.

Ltd.

(7,600)

(252,978)

(353.7)

Tobu

Railway

Co.

Ltd.

......

(900)

(23,404)

(32.7)

Tokio

Marine

Holdings,

Inc.

...

(5,100)

(243,071)

(339.8)

Tokyu

Corp.

.............

(1,400)

(18,764)

(26.2)

Toyota

Industries

Corp.

.....

(500)

(41,943)

(58.6)

Toyota

Motor

Corp.

........

(1,100)

(98,753)

(138.1)

Unicharm

Corp.

..........

(400)

(16,055)

(22.4)

Welcia

Holdings

Co.

Ltd.

....

(600)

(20,424)

(28.6)

West

Japan

Railway

Co.

....

(2,200)

(119,531)

(167.1)

Yaskawa

Electric

Corp.

.....

(2,900)

(143,598)

(200.8)

Z

Holdings

Corp.

..........

(33,400)

(167,173)

(233.7)

(5,872,213)

Luxembourg

ArcelorMittal

SA

..........

(8,062)

(281,569)

(393.6)

Eurofins

Scientific

SE

......

(1,347)

(161,118)

(225.3)

(442,687)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(6,066)

(70,709)

(98.9)

Argenx

SE

..............

(126)

(38,477)

(53.8)

ASM

International

NV

......

(370)

(131,317)

(183.6)

ASML

Holding

NV

.........

(76)

(58,093)

(81.2)

Heineken

NV

............

(309)

(35,984)

(50.3)

(334,580)

Norway

Mowi

ASA

..............

(7,608)

(193,850)

(271.0)

Saudi

Arabia

Delivery

Hero

SE

.........

(1,842)

(275,365)

(385.0)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

(973)

(25,593)

(35.8)

Aena

SME

SA

...........

(465)

(74,050)

(103.5)

Amadeus

IT

Group

SA

......

(413)

(27,085)

(37.9)

CaixaBank

SA

...........

(53,206)

(158,017)

(220.9)

Cellnex

Telecom

SA

.......

(2,611)

(170,281)

(238.1)

EDP

Renovaveis

SA

.......

(2,076)

(48,760)

(68.2)

Ferrovial

SA

.............

(851)

(25,254)

(35.3)

Grifols

SA

..............

(8,905)

(226,470)

(316.6)

Naturgy

Energy

Group

SA

...

(2,713)

(70,023)

(97.9)

Siemens

Gamesa

Renewable

Energy

SA

............

(4,510)

(125,779)

(175.8)

Telefonica

SA

............

(11,283)

(51,618)

(72.2)

(1,002,930)

Sweden

Embracer

Group

AB

.......

(3,286)

(85,047)

(118.9)

Essity

AB,

Class

B

........

(1,332)

(43,580)

(60.9)

Evolution

AB

............

(204)

(35,496)

(49.6)

Hexagon

AB,

Class

B

......

(14,119)

(233,720)

(326.8)

ICA

Gruppen

AB

..........

(5,795)

(286,438)

(400.5)

Investment

AB

Latour,

Class

B

(2,019)

(78,907)

(110.3)

Sandvik

AB

.............

(949)

(24,746)

(34.6)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(6,152)

(114,428)

(160.0)

Shares

Value

%

of

Basket

Value

Sweden

(continued)

Svenska

Handelsbanken

AB,

Class

A

..............

(1,906)

$

(21,479)

(30.0)

%

(923,841)

Switzerland

ABB

Ltd.

(Registered)

......

(4,790)

(175,115)

(244.8)

Barry

Callebaut

AG

(Registered)

(43)

(108,989)

(152.4)

Clariant

AG

(Registered)

....

(3,621)

(75,329)

(105.3)

EMS-Chemie

Holding

AG

(Registered)

...........

(176)

(195,107)

(272.8)

Vifor

Pharma

AG

..........

(1,482)

(207,260)

(289.8)

(761,800)

Taiwan

Sea

Ltd.,

ADR

...........

(582)

(160,725)

(224.7)

United

Arab

Emirates

NMC

Health

plc

..........

(6,160)

—

(0.0)

United

Kingdom

Abrdn

plc

...............

(27,283)

(107,630)

(150.5)

Admiral

Group

plc

.........

(4,077)

(192,591)

(269.2)

Associated

British

Foods

plc

..

(1,221)

(33,952)

(47.5)

AstraZeneca

plc

..........

(666)

(76,530)

(107.0)

AVEVA

Group

plc

.........

(1,077)

(58,763)

(82.1)

British

American

Tobacco

plc

.

(1,146)

(42,623)

(59.6)

BT

Group

plc

............

(9,497)

(22,876)

(32.0)

Halma

plc

..............

(551)

(22,118)

(30.9)

Hargreaves

Lansdown

plc

...

(6,901)

(156,520)

(218.8)

InterContinental

Hotels

Group

plc

.................

(503)

(33,220)

(46.4)

Just

Eat

Takeaway.com

NV

...

(3,839)

(340,906)

(476.6)

Linde

plc

...............

(685)

(210,562)

(294.4)

Melrose

Industries

plc

......

(35,205)

(78,235)

(109.4)

Natwest

Group

plc

........

(22,748)

(63,847)

(89.3)

Ocado

Group

plc

.........

(4,649)

(119,793)

(167.5)

Reckitt

Benckiser

Group

plc

..

(1,967)

(150,475)

(210.4)

Rolls-Royce

Holdings

plc

....

(44,034)

(60,816)

(85.0)

Spirax-Sarco

Engineering

plc

.

(977)

(203,557)

(284.6)

Tesco

plc

...............

(24,920)

(80,676)

(112.8)

Unilever

plc

.............

(1,551)

(89,262)

(124.8)

(2,144,952)

United

States

Abbott

Laboratories

........

(1,357)

(164,170)

(229.5)

AbbVie,

Inc.

.............

(341)

(39,658)

(55.4)

Air

Products

&

Chemicals,

Inc.

(166)

(48,311)

(67.5)

Akamai

Technologies,

Inc.

...

(697)

(83,584)

(116.9)

Albemarle

Corp.

..........

(141)

(29,052)

(40.6)

Alnylam

Pharmaceuticals,

Inc.

.

(313)

(56,008)

(78.3)

Altria

Group,

Inc.

..........

(2,293)

(110,156)

(154.0)

American

Electric

Power

Co.,

Inc.

.................

(1,218)

(107,330)

(150.1)

American

Water

Works

Co.,

Inc.

(404)

(68,724)

(96.1)

Amphenol

Corp.,

Class

A

....

(1,605)

(116,346)

(162.7)

Analog

Devices,

Inc.

.......

(1,003)

(167,922)

(234.8)

Ansys,

Inc.

..............

(116)

(42,741)

(59.8)

Aptiv

plc

...............

(404)

(67,407)

(94.2)

Arthur

J

Gallagher

&

Co.

....

(562)

(78,292)

(109.5)

AT&T,

Inc.

..............

(4,844)

(135,874)

(190.0)

Atmos

Energy

Corp.

.......

(682)

(67,238)

(94.0)

Automatic

Data

Processing,

Inc.

(114)

(23,898)

(33.4)

Baker

Hughes

Co.

.........

(18,370)

(390,179)

(545.5)

Baxter

International,

Inc.

....

(1,578)

(122,058)

(170.6)

Becton

Dickinson

and

Co.

...

(479)

(122,504)

(171.3)

Black

Knight,

Inc.

.........

(296)

(24,512)

(34.3)

Boeing

Co.

(The)

.........

(653)

(147,891)

(206.8)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

36

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Booking

Holdings,

Inc.

......

(9)

$

(19,604)

(27.4)

%

Boston

Scientific

Corp.

......

(784)

(35,750)

(50.0)

Broadcom,

Inc.

...........

(227)

(110,186)

(154.0)

Brookfield

Renewable

Corp.

..

(492)

(20,877)

(29.2)

Brown

&

Brown,

Inc.

.......

(1,713)

(93,187)

(130.3)

Burlington

Stores,

Inc.

......

(143)

(47,876)

(66.9)

Cable

One,

Inc.

..........

(44)

(83,072)

(116.1)

Campbell

Soup

Co.

........

(497)

(21,729)

(30.4)

CarMax,

Inc.

............

(413)

(55,321)

(77.3)

Carnival

Corp.

...........

(2,937)

(63,586)

(88.9)

Carrier

Global

Corp.

.......

(478)

(26,410)

(36.9)

Carvana

Co.

............

(145)

(48,946)

(68.4)

Catalent,

Inc.

............

(2,456)

(294,253)

(411.4)

Centene

Corp.

...........

(1,733)

(118,901)

(166.2)

CenterPoint

Energy,

Inc.

....

(2,790)

(71,033)

(99.3)

Ceridian

HCM

Holding,

Inc.

..

(1,411)

(138,842)

(194.1)

Charles

Schwab

Corp.

(The)

..

(1,749)

(118,845)

(166.2)

Charter

Communications,

Inc.,

Class

A

..............

(121)

(90,030)

(125.9)

Cheniere

Energy,

Inc.

......

(28)

(2,378)

(3.3)

Chevron

Corp.

...........

(1,498)

(152,511)

(213.2)

Chewy,

Inc.,

Class

A

.......

(1,496)

(125,215)

(175.1)

Church

&

Dwight

Co.,

Inc.

...

(374)

(32,381)

(45.3)

Cisco

Systems,

Inc.

........

(1,442)

(79,844)

(111.6)

Clorox

Co.

(The)

..........

(698)

(126,261)

(176.5)

CME

Group,

Inc.

..........

(315)

(66,821)

(93.4)

CoStar

Group,

Inc.

........

(2,280)

(202,578)

(283.2)

Coupa

Software,

Inc.

.......

(410)

(88,970)

(124.4)

CyberArk

Software

Ltd.

.....

(79)

(11,220)

(15.7)

Datadog,

Inc.,

Class

A

......

(775)

(85,793)

(119.9)

Delta

Air

Lines,

Inc.

........

(1,331)

(53,107)

(74.2)

DISH

Network

Corp.,

Class

A

.

(469)

(19,646)

(27.5)

Dollar

General

Corp.

.......

(376)

(87,473)

(122.3)

DR

Horton,

Inc.

...........

(248)

(23,667)

(33.1)

DraftKings,

Inc.,

Class

A

.....

(738)

(35,793)

(50.0)

Duke

Energy

Corp.

........

(967)

(101,641)

(142.1)

Eaton

Corp.

plc

...........

(531)

(83,925)

(117.3)

Elanco

Animal

Health,

Inc.

...

(6,460)

(235,596)

(329.4)

Entergy

Corp.

............

(200)

(20,584)

(28.8)

Erie

Indemnity

Co.,

Class

A

..

(536)

(99,101)

(138.5)

Essential

Utilities,

Inc.

......

(4,141)

(203,406)

(284.4)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(216)

(72,107)

(100.8)

Exact

Sciences

Corp.

......

(1,356)

(146,231)

(204.4)

Expedia

Group,

Inc.

........

(180)

(28,957)

(40.5)

Fiserv,

Inc.

..............

(671)

(77,239)

(108.0)

Freeport-McMoRan,

Inc.

....

(2,117)

(80,658)

(112.8)

General

Electric

Co.

.......

(11,703)

(151,554)

(211.9)

General

Mills,

Inc.

.........

(1,626)

(95,706)

(133.8)

General

Motors

Co.

........

(585)

(33,251)

(46.5)

Global

Payments,

Inc.

......

(90)

(17,407)

(24.3)

Guidewire

Software,

Inc.

....

(462)

(53,222)

(74.4)

Halliburton

Co.

...........

(5,096)

(105,385)

(147.3)

Hasbro,

Inc.

.............

(218)

(21,678)

(30.3)

HEICO

Corp.

............

(207)

(27,997)

(39.1)

Hess

Corp.

.............

(2,376)

(181,621)

(253.9)

Hilton

Worldwide

Holdings,

Inc.

(404)

(53,106)

(74.2)

Horizon

Therapeutics

plc

....

(328)

(32,807)

(45.9)

Hormel

Foods

Corp.

.......

(1,309)

(60,711)

(84.9)

Huntington

Bancshares,

Inc.

..

(9,330)

(131,366)

(183.7)

IAC/InterActiveCorp

........

(1,063)

(145,939)

(204.0)

IDEX

Corp.

.............

(93)

(21,082)

(29.5)

International

Business

Machines

Corp.

...............

(528)

(74,427)

(104.1)

IPG

Photonics

Corp.

.......

(419)

(91,409)

(127.8)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Jack

Henry

&

Associates,

Inc.

.

(364)

$

(63,369)

(88.6)

%

JPMorgan

Chase

&

Co.

.....

(134)

(20,339)

(28.4)

Kimberly-Clark

Corp.

.......

(1,960)

(266,011)

(371.9)

Las

Vegas

Sands

Corp.

.....

(856)

(36,252)

(50.7)

Lear

Corp.

..............

(418)

(73,142)

(102.3)

Leidos

Holdings,

Inc.

.......

(1,000)

(106,420)

(148.8)

Liberty

Broadband

Corp.,

Class

C

..................

(2,340)

(415,327)

(580.6)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(436)

(20,462)

(28.6)

Liberty

Media

Corp-Liberty

SiriusXM

.............

(931)

(43,012)

(60.1)

Live

Nation

Entertainment,

Inc.

(1,643)

(129,616)

(181.2)

LyondellBasell

Industries

NV,

Class

A

..............

(222)

(22,051)

(30.8)

Marathon

Petroleum

Corp.

...

(1,091)

(60,245)

(84.2)

MarketAxess

Holdings,

Inc.

..

(183)

(86,956)

(121.6)

Marriott

International,

Inc.,

Class

A

..................

(883)

(128,900)

(180.2)

Marsh

&

McLennan

Cos.,

Inc.

.

(410)

(60,360)

(84.4)

McKesson

Corp.

..........

(107)

(21,810)

(30.5)

Medtronic

plc

............

(1,477)

(193,945)

(271.1)

Microchip

Technology,

Inc.

...

(484)

(69,270)

(96.8)

Micron

Technology,

Inc.

.....

(744)

(57,720)

(80.7)

MSCI,

Inc.

..............

(40)

(23,838)

(33.3)

Nasdaq,

Inc.

............

(158)

(29,503)

(41.2)

Neurocrine

Biosciences,

Inc.

..

(458)

(42,690)

(59.7)

NextEra

Energy,

Inc.

.......

(1,598)

(124,484)

(174.0)

NiSource,

Inc.

...........

(983)

(24,349)

(34.0)

Occidental

Petroleum

Corp.

..

(3,356)

(87,592)

(122.5)

ON

Semiconductor

Corp.

....

(3,190)

(124,601)

(174.2)

Oracle

Corp.

............

(1,000)

(87,140)

(121.8)

Packaging

Corp.

of

America

..

(380)

(53,770)

(75.2)

Peloton

Interactive,

Inc.,

Class

A

(192)

(22,666)

(31.7)

PerkinElmer,

Inc.

.........

(518)

(94,395)

(132.0)

Pfizer,

Inc.

..............

(1,211)

(51,843)

(72.5)

PG&E

Corp.

.............

(16,226)

(142,627)

(199.4)

Philip

Morris

International,

Inc.

(513)

(51,346)

(71.8)

Procter

&

Gamble

Co.

(The)

..

(524)

(74,529)

(104.2)

Progressive

Corp.

(The)

.....

(1,186)

(112,860)

(157.8)

Public

Service

Enterprise

Group,

Inc.

.................

(353)

(21,967)

(30.7)

QIAGEN

NV

.............

(2,398)

(128,516)

(179.7)

Quest

Diagnostics,

Inc.

.....

(230)

(32,614)

(45.6)

Republic

Services,

Inc.

.....

(1,229)

(145,464)

(203.4)

ResMed,

Inc.

............

(129)

(35,062)

(49.0)

RingCentral,

Inc.,

Class

A

....

(295)

(78,845)

(110.2)

Rollins,

Inc.

.............

(4,772)

(182,911)

(255.7)

Roper

Technologies,

Inc.

....

(461)

(226,508)

(316.7)

Royal

Caribbean

Cruises

Ltd.

.

(2,211)

(169,960)

(237.6)

RPM

International,

Inc.

.....

(378)

(32,731)

(45.8)

Schlumberger

NV

.........

(7,200)

(207,576)

(290.2)

Seagen,

Inc.

............

(572)

(87,739)

(122.7)

SEI

Investments

Co.

.......

(345)

(20,976)

(29.3)

Snowflake,

Inc.,

Class

A

.....

(115)

(30,558)

(42.7)

SolarEdge

Technologies,

Inc.

.

(201)

(52,156)

(72.9)

Southwest

Airlines

Co.

......

(1,222)

(61,735)

(86.3)

STERIS

plc

.............

(454)

(98,949)

(138.3)

Take-Two

Interactive

Software,

Inc.

.................

(565)

(97,982)

(137.0)

Teladoc

Health,

Inc.

........

(403)

(59,825)

(83.6)

Teledyne

Technologies,

Inc.

..

(154)

(69,727)

(97.5)

Teleflex,

Inc.

.............

(309)

(122,806)

(171.7)

Tesla,

Inc.

..............

(145)

(99,644)

(139.3)

Thermo

Fisher

Scientific,

Inc.

.

(250)

(135,003)

(188.7)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

37

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

T-Mobile

US,

Inc.

.........

(1,098)

$

(158,134)

(221.1)

%

Trade

Desk,

Inc.

(The),

Class

A

(470)

(38,498)

(53.8)

Tradeweb

Markets,

Inc.,

Class

A

(494)

(42,845)

(59.9)

Twilio,

Inc.,

Class

A

........

(381)

(142,338)

(199.0)

Tyler

Technologies,

Inc.

.....

(522)

(257,158)

(359.5)

Union

Pacific

Corp.

........

(406)

(88,817)

(124.2)

Unity

Software,

Inc.

........

(918)

(98,336)

(137.5)

US

Bancorp

.............

(375)

(20,828)

(29.1)

Valero

Energy

Corp.

.......

(3,092)

(207,071)

(289.5)

Verisk

Analytics,

Inc.

.......

(630)

(119,662)

(167.3)

VF

Corp.

...............

(291)

(23,338)

(32.6)

Viatris,

Inc.

..............

(6,389)

(89,893)

(125.7)

Vimeo,

Inc.

.............

(1)

(45)

(0.1)

Visa,

Inc.,

Class

A

.........

(1,092)

(269,058)

(376.2)

Vistra

Corp.

.............

(7,501)

(143,644)

(200.8)

W

R

Berkley

Corp.

........

(1,966)

(143,852)

(201.1)

Walgreens

Boots

Alliance,

Inc.

(636)

(29,987)

(41.9)

Waste

Connections,

Inc.

.....

(1,134)

(143,666)

(200.9)

Waste

Management,

Inc.

....

(362)

(53,670)

(75.0)

Western

Digital

Corp.

.......

(3,218)

(208,945)

(292.1)

Wynn

Resorts

Ltd.

........

(702)

(69,028)

(96.5)

Xcel

Energy,

Inc.

..........

(529)

(36,104)

(50.5)

Xylem,

Inc.

..............

(331)

(41,656)

(58.2)

Zillow

Group,

Inc.,

Class

C

...

(464)

(49,305)

(68.9)

Zimmer

Biomet

Holdings,

Inc.

.

(685)

(111,943)

(156.5)

Zscaler,

Inc.

.............

(465)

(109,698)

(153.4)

(15,234,287)

Total

Reference

Entity

—

Short

............

(33,381,354)

Net

Value

of

Reference

Entity

—

Credit

Suisse

International

.........................

$

71,528

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Deutsche

Bank

AG,

as

of

July

31,

2021,

expiration

date

02/17/23:

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

7,437

227,908

293.3

Aud

Financing

...........

1

—

0.0

Aurizon

Holdings

Ltd.

......

39,587

112,344

144.6

Brambles

Ltd.

............

76,266

652,965

840.4

REA

Group

Ltd.

..........

1,630

194,172

249.9

Rio

Tinto

plc

.............

335

28,455

36.6

Sonic

Healthcare

Ltd.

......

1,731

51,145

65.8

Suncorp

Group

Ltd.

........

22,587

191,828

246.9

Tabcorp

Holdings

Ltd.

......

109,959

401,362

516.6

Telstra

Corp.

Ltd.

.........

25,422

70,811

91.1

Wesfarmers

Ltd.

..........

2,868

129,309

166.4

2,060,299

Austria

Mondi

plc

...............

2,305

63,903

82.2

OMV

AG

...............

844

45,571

58.7

Raiffeisen

Bank

International

AG

8,460

200,034

257.5

voestalpine

AG

...........

1,147

50,601

65.1

360,109

Belgium

Ageas

SA/NV

............

819

43,248

55.7

Anheuser-Busch

InBev

SA/NV

293

18,492

23.8

KBC

Group

NV

...........

580

46,703

60.1

Proximus

SADP

..........

16,853

346,334

445.8

Solvay

SA

..............

475

63,439

81.6

Shares

Value

%

of

Basket

Value

Belgium

(continued)

UCB

SA

...............

1,750

$

189,276

243.6

%

707,492

Canada

Bank

of

Montreal

.........

878

86,934

111.9

Bank

of

Nova

Scotia

(The)

...

706

44,066

56.7

Constellation

Software,

Inc.

..

20

32,036

41.2

Onex

Corp.

.............

595

45,355

58.4

Royal

Bank

of

Canada

......

212

21,441

27.6

Thomson

Reuters

Corp.

.....

562

59,552

76.7

289,384

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

84

233,119

300.0

Coloplast

A/S,

Class

B

......

171

31,270

40.2

Demant

A/S

.............

457

27,931

35.9

Genmab

A/S

............

164

74,124

95.4

GN

Store

Nord

A/S

........

568

49,776

64.1

Novo

Nordisk

A/S,

Class

B

...

2,110

195,325

251.4

Novozymes

A/S,

Class

B

....

9,099

714,861

920.1

Pandora

A/S

............

679

87,833

113.0

1,414,239

Finland

Kesko

OYJ,

Class

B

.......

3,635

155,803

200.5

Neste

OYJ

..............

4,531

278,524

358.5

Nordea

Bank

Abp

.........

18,062

211,514

272.3

Orion

OYJ,

Class

B

........

594

25,284

32.6

Sampo

OYJ,

Class

A

.......

953

45,867

59.0

Stora

Enso

OYJ,

Class

R

....

3,332

65,979

84.9

782,971

France

Amundi

SA

.............

230

21,241

27.3

Arkema

SA

.............

992

126,266

162.5

BioMerieux

.............

1,079

128,656

165.6

BNP

Paribas

SA

..........

4,093

249,588

321.2

Bollore

SA

..............

12,711

71,033

91.4

Bureau

Veritas

SA

.........

1,120

36,987

47.6

Capgemini

SE

...........

735

158,872

204.5

Carrefour

SA

............

5,986

111,186

143.1

Cie

de

Saint-Gobain

.......

3,928

280,767

361.4

CNP

Assurances

..........

1,567

26,636

34.3

Dassault

Systemes

SE

.....

595

32,821

42.2

Engie

SA

...............

9,661

128,832

165.8

Eurazeo

SE

.............

1,908

184,812

237.9

Hermes

International

.......

236

360,791

464.4

Ipsen

SA

...............

1,422

151,956

195.6

La

Francaise

des

Jeux

SAEM

.

6,071

324,567

417.7

Orange

SA

..............

71,081

791,071

1,018.2

Pernod

Ricard

SA

.........

115

25,381

32.7

Publicis

Groupe

SA

........

6,895

435,286

560.2

SEB

SA

................

431

71,614

92.2

Societe

Generale

SA

.......

4,052

118,666

152.7

Teleperformance

..........

257

108,402

139.5

Thales

SA

..............

1,364

143,158

184.3

Vinci

SA

...............

864

91,476

117.7

Wendel

SE

.............

632

88,711

114.2

4,268,776

Germany

Allianz

SE

(Registered)

.....

1,098

272,923

351.3

BASF

SE

...............

3,862

303,470

390.6

Deutsche

Boerse

AG

.......

303

50,560

65.1

Deutsche

Post

AG

(Registered)

5,681

385,008

495.5

E.ON

SE

...............

23,160

284,718

366.4

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

38

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Germany

(continued)

GEA

Group

AG

...........

3,925

$

174,036

224.0

%

Hannover

Rueck

SE

.......

592

99,505

128.1

HeidelbergCement

AG

......

1,406

124,597

160.4

Henkel

AG

&

Co.

KGaA

(Preference)

..........

209

21,189

27.3

LEG

Immobilien

SE

........

827

130,705

168.2

Merck

KGaA

............

897

183,620

236.3

Nemetschek

SE

..........

250

22,062

28.4

SAP

SE

................

1,206

173,075

222.8

Scout24

AG

.............

547

46,842

60.3

Siemens

AG

(Registered)

....

3,245

506,328

651.7

Symrise

AG

.............

169

24,919

32.1

Volkswagen

AG

..........

107

35,512

45.7

2,839,069

Hong

Kong

Hongkong

Land

Holdings

Ltd.

.

9,500

43,101

55.5

Sun

Hung

Kai

Properties

Ltd.

.

1,500

21,458

27.6

64,559

Italy

Eni

SpA

................

32,640

385,988

496.8

Intesa

Sanpaolo

SpA

.......

149,651

413,418

532.1

Poste

Italiane

SpA

.........

12,681

167,801

216.0

Snam

SpA

..............

8,262

49,976

64.3

Terna

SpA

..............

19,732

156,601

201.6

1,173,784

Japan

Asahi

Kasei

Corp.

.........

2,000

21,810

28.1

Astellas

Pharma,

Inc.

.......

1,300

20,706

26.6

Denso

Corp.

............

400

27,480

35.4

Hitachi

Ltd.

.............

400

23,008

29.6

JSR

Corp.

..............

1,900

63,688

82.0

Nitto

Denko

Corp.

.........

300

22,290

28.7

Sumitomo

Chemical

Co.

Ltd.

..

11,400

59,343

76.4

Sysmex

Corp.

...........

400

47,596

61.3

Tokyo

Gas

Co.

Ltd.

........

2,300

43,536

56.0

Toray

Industries,

Inc.

.......

3,500

23,045

29.7

Yamato

Holdings

Co.

Ltd.

....

900

25,938

33.4

378,440

Netherlands

Adyen

NV

..............

50

135,503

174.4

Akzo

Nobel

NV

...........

277

34,217

44.0

Koninklijke

Ahold

Delhaize

NV

.

24,363

757,321

974.7

Koninklijke

KPN

NV

........

23,344

76,600

98.6

Koninklijke

Philips

NV

......

12,963

597,717

769.3

NN

Group

NV

............

11,793

586,305

754.6

Randstad

NV

............

6,075

440,745

567.3

Wolters

Kluwer

NV

........

1,033

117,766

151.6

2,746,174

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

6,666

146,731

188.8

Nzd

Financing

...........

1

—

0.0

Spark

New

Zealand

Ltd.

.....

6,695

22,099

28.4

168,830

Norway

DNB

Bank

ASA

...........

370

7,582

9.8

Equinor

ASA

............

5,696

110,954

142.8

Norsk

Hydro

ASA

.........

33,163

220,633

284.0

Orkla

ASA

..............

2,357

21,407

27.5

360,576

Shares

Value

%

of

Basket

Value

Portugal

EDP

-

Energias

de

Portugal

SA

13,508

$

70,066

90.2

%

Jeronimo

Martins

SGPS

SA

..

1,070

21,800

28.0

91,866

Russia

Coca-Cola

HBC

AG

........

3,293

124,353

160.1

Singapore

DBS

Group

Holdings

Ltd.

....

500

11,188

14.4

Oversea-Chinese

Banking

Corp.

Ltd.

................

26,600

240,657

309.7

Singapore

Technologies

Engineering

Ltd.

........

58,600

173,056

222.7

424,901

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

.........

13

342

0.4

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

6,434

41,187

53.0

Endesa

SA

.............

23,771

577,413

743.2

Iberdrola

SA

.............

7,784

48,014

61.8

Industria

de

Diseno

Textil

SA

..

605

20,519

26.4

Repsol

SA

..............

12,521

137,141

176.5

Telefonica

SA

............

394

1,802

2.3

826,418

Sweden

Alfa

Laval

AB

............

663

27,687

35.6

Boliden

AB

..............

3,854

150,198

193.3

Electrolux

AB

............

12,193

320,229

412.2

Husqvarna

AB,

Class

B

.....

29,902

418,438

538.6

Industrivarden

AB,

Class

C

...

1,236

47,314

60.9

Investor

AB,

Class

B

.......

10,052

248,933

320.4

Kinnevik

AB,

Class

B

.......

892

38,887

50.0

Lundin

Energy

AB

.........

3,883

121,050

155.8

Securitas

AB,

Class

B

......

2,329

41,068

52.9

Skanska

AB,

Class

B

.......

10,369

292,713

376.7

Swedish

Match

AB

........

4,161

37,262

48.0

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

19,275

222,321

286.1

Telia

Co.

AB

.............

25,862

113,439

146.0

2,079,539

Switzerland

Givaudan

SA

(Registered)

...

21

104,816

134.9

Roche

Holding

AG

........

104

40,176

51.7

SGS

SA

(Registered)

.......

10

32,367

41.6

Swisscom

AG

(Registered)

...

43

25,843

33.3

203,202

United

Kingdom

3i

Group

plc

.............

21,270

378,036

486.6

Ashtead

Group

plc

........

1,276

95,482

122.9

Barratt

Developments

plc

....

27,611

269,833

347.3

Berkeley

Group

Holdings

plc

..

190

12,792

16.5

BP

plc

.................

7,118

28,572

36.8

Burberry

Group

plc

........

4,675

134,095

172.6

CNH

Industrial

NV

.........

3,894

65,020

83.7

Croda

International

plc

......

463

54,199

69.8

Entain

plc

..............

1,677

42,288

54.4

Imperial

Brands

plc

........

5,089

108,957

140.2

Intertek

Group

plc

.........

3,007

215,439

277.3

Kingfisher

plc

............

23,040

118,343

152.3

Legal

&

General

Group

plc

...

33,500

121,353

156.2

M&G

plc

...............

34,925

109,359

140.8

Next

plc

................

1,044

114,364

147.2

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

39

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Persimmon

plc

...........

8,958

$

361,344

465.1

%

Phoenix

Group

Holdings

plc

..

8,958

84,419

108.7

Sage

Group

plc

(The)

......

2,274

22,166

28.5

Schroders

plc

............

3,356

170,432

219.4

United

Utilities

Group

plc

....

12,447

185,329

238.5

WPP

plc

...............

33,458

432,713

556.9

3,124,535

United

States

3M

Co.

................

171

33,848

43.6

Agilent

Technologies,

Inc.

....

222

34,017

43.8

Align

Technology,

Inc.

......

19

13,220

17.0

Arista

Networks,

Inc.

.......

192

73,035

94.0

Autodesk,

Inc.

...........

125

40,141

51.7

Avery

Dennison

Corp.

......

739

155,693

200.4

Boston

Beer

Co.,

Inc.

(The),

Class

A

..............

22

15,620

20.1

Cadence

Design

Systems,

Inc.

1,079

159,314

205.1

CBRE

Group,

Inc.,

Class

A

...

1,017

98,100

126.3

Coca-Cola

Co.

(The)

.......

465

26,519

34.1

Colgate-Palmolive

Co.

......

1,557

123,782

159.3

Costco

Wholesale

Corp.

.....

19

8,165

10.5

Deere

&

Co.

.............

121

43,752

56.3

Edwards

Lifesciences

Corp.

..

493

55,349

71.2

EOG

Resources,

Inc.

.......

291

21,202

27.3

Eversource

Energy

........

257

22,171

28.5

Facebook,

Inc.,

Class

A

.....

39

13,896

17.9

FedEx

Corp.

............

93

26,035

33.5

Ferguson

plc

............

2,398

336,174

432.7

Garmin

Ltd.

.............

143

22,480

28.9

Gilead

Sciences,

Inc.

.......

711

48,554

62.5

Hartford

Financial

Services

Group,

Inc.

(The)

.......

510

32,446

41.8

Hershey

Co.

(The)

........

127

22,718

29.2

International

Flavors

&

Fragrances,

Inc.

........

529

79,689

102.6

IQVIA

Holdings,

Inc.

.......

127

31,458

40.5

J

M

Smucker

Co.

(The)

.....

182

23,862

30.7

James

Hardie

Industries

plc,

CDI

................

2,891

97,538

125.5

Juniper

Networks,

Inc.

......

1,566

44,067

56.7

Keysight

Technologies,

Inc.

...

1,158

190,549

245.3

KLA

Corp.

..............

108

37,601

48.4

Kroger

Co.

(The)

..........

1,072

43,630

56.2

Lululemon

Athletica,

Inc.

....

121

48,421

62.3

Lyft,

Inc.,

Class

A

.........

2,169

119,989

154.4

Mondelez

International,

Inc.,

Class

A

..............

1,016

64,272

82.7

NVIDIA

Corp.

............

867

169,056

217.6

Old

Dominion

Freight

Line,

Inc.

159

42,795

55.1

Parker-Hannifin

Corp.

......

92

28,707

37.0

PepsiCo,

Inc.

............

172

26,995

34.8

PTC,

Inc.

...............

373

50,523

65.0

Ross

Stores,

Inc.

.........

142

17,422

22.4

Starbucks

Corp.

..........

394

47,843

61.6

Stryker

Corp.

............

230

62,316

80.2

Synopsys,

Inc.

...........

714

205,625

264.7

Sysco

Corp.

.............

294

21,815

28.1

Texas

Instruments,

Inc.

.....

263

50,133

64.5

Travelers

Cos.,

Inc.

(The)

....

272

40,506

52.1

Trimble,

Inc.

.............

689

58,910

75.8

United

Parcel

Service,

Inc.,

Class

B

..................

120

22,963

29.6

Walmart,

Inc.

............

384

54,739

70.5

Waters

Corp.

............

61

23,778

30.6

Shares

Value

%

of

Basket

Value

United

States

(continued)

Workday,

Inc.,

Class

A

......

312

$

73,133

94.1

%

3,204,566

Total

Reference

Entity

—

Long

............

27,694,082

Reference

Entity

—

Short

Australia

Afterpay

Ltd.

............

(1,020)

(72,504)

(93.3)

Ampol

Ltd.

..............

(2,231)

(46,445)

(59.8)

APA

Group

..............

(9,044)

(63,462)

(81.7)

AusNet

Services

Ltd.

.......

(102,026)

(136,448)

(175.6)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

(2,913)

(59,305)

(76.3)

Commonwealth

Bank

of

Australia

.............

(1,377)

(100,945)

(129.9)

Crown

Resorts

Ltd.

........

(22,765)

(144,430)

(185.9)

CSL

Ltd.

...............

(467)

(99,420)

(128.0)

Domino's

Pizza

Enterprises

Ltd.

(233)

(20,047)

(25.8)

Evolution

Mining

Ltd.

.......

(23,616)

(71,823)

(92.4)

Fortescue

Metals

Group

Ltd.

..

(2,364)

(43,196)

(55.6)

Lendlease

Corp.

Ltd.

.......

(3,164)

(28,399)

(36.5)

Macquarie

Group

Ltd.

......

(321)

(37,065)

(47.7)

Medibank

Pvt

Ltd.

.........

(51,179)

(124,820)

(160.6)

National

Australia

Bank

Ltd.

..

(1,153)

(21,987)

(28.3)

Newcrest

Mining

Ltd.

.......

(9,413)

(181,930)

(234.1)

Northern

Star

Resources

Ltd.

.

(7,708)

(57,434)

(73.9)

Oil

Search

Ltd.

...........

(35,475)

(99,152)

(127.6)

Orica

Ltd.

..............

(27,923)

(254,679)

(327.8)

Qantas

Airways

Ltd.

.......

(5,903)

(19,899)

(25.6)

Reece

Ltd.

..............

(2,289)

(39,709)

(51.1)

Santos

Ltd.

.............

(7,084)

(33,429)

(43.0)

Sydney

Airport

...........

(34,578)

(198,968)

(256.1)

Transurban

Group

.........

(35,959)

(379,288)

(488.2)

Treasury

Wine

Estates

Ltd.

...

(9,426)

(82,682)

(106.4)

Westpac

Banking

Corp.

.....

(18,559)

(333,365)

(429.1)

Woolworths

Group

Ltd.

.....

(689)

(19,710)

(25.4)

(2,770,541)

Austria

Verbund

AG

.............

(1,052)

(97,036)

(124.9)

Belgium

Elia

Group

SA/NV

.........

(4,321)

(510,703)

(657.3)

Sofina

SA

..............

(363)

(170,205)

(219.1)

Umicore

SA

.............

(881)

(54,681)

(70.4)

(735,589)

Brazil

Yara

International

ASA

......

(560)

(29,516)

(38.0)

Canada

BCE,

Inc.

...............

(1,805)

(90,091)

(116.0)

Northland

Power,

Inc.

......

(1,092)

(38,320)

(49.3)

Restaurant

Brands

International,

Inc.

.................

(537)

(36,638)

(47.2)

(165,049)

Chile

Antofagasta

plc

...........

(8,653)

(179,664)

(231.2)

China

Prosus

NV

..............

(3,307)

(295,045)

(379.7)

Denmark

Ambu

A/S,

Class

B

........

(3,561)

(131,745)

(169.6)

Chr

Hansen

Holding

A/S

....

(2,148)

(193,186)

(248.6)

Danske

Bank

A/S

.........

(1,454)

(25,483)

(32.8)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

40

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Denmark

(continued)

Orsted

A/S

..............

(549)

$

(81,428)

(104.8)

%

Rockwool

International

A/S,

Class

B

..............

(415)

(220,210)

(283.4)

Tryg

A/S

...............

(25,330)

(626,025)

(805.7)

Vestas

Wind

Systems

A/S

...

(7,596)

(280,099)

(360.5)

(1,558,176)

Finland

Kone

OYJ,

Class

B

........

(305)

(25,262)

(32.5)

Wartsila

OYJ

Abp

.........

(15,296)

(230,427)

(296.6)

(255,689)

France

Accor

SA

...............

(609)

(21,553)

(27.7)

Adevinta

ASA

............

(6,962)

(133,861)

(172.3)

Aeroports

de

Paris

........

(556)

(67,397)

(86.7)

Air

Liquide

SA

...........

(1,115)

(193,908)

(249.6)

Airbus

SE

..............

(1,758)

(241,143)

(310.4)

Alstom

SA

..............

(6,273)

(260,181)

(334.9)

Atos

SE

................

(647)

(30,941)

(39.8)

AXA

SA

................

(85)

(2,201)

(2.8)

Danone

SA

.............

(2,458)

(180,795)

(232.7)

Dassault

Aviation

SA

.......

(302)

(359,577)

(462.8)

Eiffage

SA

..............

(1,243)

(126,717)

(163.1)

Electricite

de

France

SA

.....

(3,404)

(41,323)

(53.2)

EssilorLuxottica

SA

........

(1,308)

(246,928)

(317.8)

Faurecia

SE

.............

(1,407)

(62,798)

(80.8)

Getlink

SE

..............

(21,575)

(345,601)

(444.8)

Iliad

SA

................

(537)

(115,726)

(148.9)

L'Oreal

SA

..............

(298)

(136,333)

(175.5)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

............

(117)

(93,678)

(120.6)

Orpea

SA

..............

(1,021)

(129,654)

(166.9)

Remy

Cointreau

SA

........

(1,452)

(318,963)

(410.5)

Renault

SA

.............

(5,660)

(214,971)

(276.7)

Safran

SA

..............

(2,402)

(314,360)

(404.6)

Sartorius

Stedim

Biotech

....

(75)

(42,813)

(55.1)

Ubisoft

Entertainment

SA

....

(748)

(47,419)

(61.0)

Worldline

SA

............

(3,384)

(316,743)

(407.7)

(4,045,584)

Germany

Bayer

AG

(Registered)

......

(449)

(26,751)

(34.4)

Bayerische

Motoren

Werke

AG

(Preference)

..........

(434)

(37,252)

(48.0)

Beiersdorf

AG

............

(419)

(49,766)

(64.1)

Brenntag

SE

............

(263)

(26,268)

(33.8)

Commerzbank

AG

.........

(6,926)

(44,603)

(57.4)

Covestro

AG

............

(685)

(44,129)

(56.8)

Deutsche

Lufthansa

AG

(Registered)

...........

(6,671)

(75,345)

(97.0)

Deutsche

Telekom

AG

(Registered)

...........

(13,198)

(273,914)

(352.6)

Deutsche

Wohnen

SE

......

(334)

(20,852)

(26.8)

Fuchs

Petrolub

SE

(Preference)

(1,202)

(59,894)

(77.1)

Infineon

Technologies

AG

....

(15,303)

(584,792)

(752.7)

KION

Group

AG

..........

(472)

(50,124)

(64.5)

Knorr-Bremse

AG

.........

(2,048)

(231,915)

(298.5)

MTU

Aero

Engines

AG

......

(86)

(21,512)

(27.7)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(224)

(60,441)

(77.8)

Porsche

Automobil

Holding

SE

(Preference)

..........

(1,649)

(178,473)

(229.7)

Rational

AG

.............

(83)

(90,381)

(116.3)

Sartorius

AG

(Preference)

...

(387)

(234,101)

(301.3)

Shares

Value

%

of

Basket

Value

Germany

(continued)

Siemens

Energy

AG

.......

(5,081)

$

(138,228)

(177.9)

%

Siemens

Healthineers

AG

....

(8,632)

(569,897)

(733.5)

TeamViewer

AG

..........

(7,350)

(247,118)

(318.1)

Uniper

SE

..............

(1,477)

(57,666)

(74.2)

Zalando

SE

.............

(988)

(109,779)

(141.3)

(3,233,201)

Hong

Kong

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(1,447)

(20,142)

(25.9)

Ireland

Flutter

Entertainment

plc

....

(127)

(21,650)

(27.9)

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(22,957)

(221,535)

(285.1)

Italy

Amplifon

SpA

............

(1,420)

(70,126)

(90.3)

Ferrari

NV

..............

(780)

(169,992)

(218.8)

FinecoBank

Banca

Fineco

SpA

(2,423)

(43,387)

(55.8)

Infrastrutture

Wireless

Italiane

SpA

................

(7,575)

(85,568)

(110.1)

Mediobanca

Banca

di

Credito

Finanziario

SpA

........

(7,813)

(91,447)

(117.7)

Moncler

SpA

............

(1,821)

(125,071)

(161.0)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

......

(703)

(43,482)

(56.0)

(629,073)

Japan

Bandai

Namco

Holdings,

Inc.

.

(1,200)

(77,645)

(99.9)

CyberAgent,

Inc.

..........

(1,100)

(19,798)

(25.5)

Eisai

Co.

Ltd.

............

(300)

(24,676)

(31.8)

Japan

Post

Bank

Co.

Ltd.

....

(2,500)

(21,219)

(27.3)

Kose

Corp.

.............

(100)

(15,801)

(20.3)

Kubota

Corp.

............

(4,800)

(100,375)

(129.2)

Kyowa

Kirin

Co.

Ltd.

.......

(1,400)

(45,572)

(58.7)

Lasertec

Corp.

...........

(300)

(56,320)

(72.5)

Mitsubishi

Corp.

..........

(800)

(22,439)

(28.9)

Nexon

Co.

Ltd.

...........

(2,200)

(45,267)

(58.3)

Nissan

Motor

Co.

Ltd.

......

(5,700)

(33,082)

(42.6)

Otsuka

Corp.

............

(800)

(41,569)

(53.5)

Pigeon

Corp.

............

(1,400)

(40,311)

(51.9)

Shimano,

Inc.

............

(200)

(51,196)

(65.9)

SUMCO

Corp.

...........

(1,000)

(23,128)

(29.8)

Sumitomo

Electric

Industries

Ltd.

................

(1,900)

(26,993)

(34.7)

Sumitomo

Metal

Mining

Co.

Ltd.

(1,400)

(56,738)

(73.0)

Toyota

Industries

Corp.

.....

(400)

(33,554)

(43.2)

West

Japan

Railway

Co.

....

(500)

(27,166)

(35.0)

(762,849)

Jordan

Hikma

Pharmaceuticals

plc

...

(739)

(27,174)

(35.0)

Luxembourg

ArcelorMittal

SA

..........

(1,756)

(61,329)

(78.9)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(13,526)

(157,668)

(202.9)

Argenx

SE

..............

(81)

(24,735)

(31.8)

ASM

International

NV

......

(74)

(26,263)

(33.8)

Heineken

NV

............

(2,158)

(251,303)

(323.5)

JDE

Peet's

NV

...........

(3,187)

(107,293)

(138.1)

(567,262)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

41

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

New

Zealand

a2

Milk

Co.

Ltd.

(The)

......

(6,005)

$

(26,109)

(33.6)

%

Auckland

International

Airport

Ltd.

................

(69,426)

(350,279)

(450.8)

Ryman

Healthcare

Ltd.

.....

(19,966)

(183,386)

(236.0)

Xero

Ltd.

...............

(722)

(74,909)

(96.4)

(634,683)

Norway

Gjensidige

Forsikring

ASA

...

(3,447)

(78,878)

(101.5)

Mowi

ASA

..............

(1,686)

(42,959)

(55.3)

Schibsted

ASA,

Class

A

.....

(2,032)

(107,703)

(138.6)

(229,540)

Russia

Evraz

plc

...............

(2,591)

(22,137)

(28.5)

Saudi

Arabia

Delivery

Hero

SE

.........

(2,017)

(301,527)

(388.1)

Singapore

CapitaLand

Ltd.

..........

(58,900)

(174,990)

(225.2)

Keppel

Corp.

Ltd.

.........

(7,900)

(31,938)

(41.1)

Singapore

Airlines

Ltd.

......

(20,500)

(76,855)

(98.9)

UOL

Group

Ltd.

..........

(33,300)

(178,973)

(230.3)

Venture

Corp.

Ltd.

.........

(1,500)

(21,040)

(27.1)

(483,796)

Spain

Aena

SME

SA

...........

(1,973)

(314,194)

(404.4)

Amadeus

IT

Group

SA

......

(2,530)

(165,919)

(213.6)

Cellnex

Telecom

SA

.......

(5,452)

(355,561)

(457.6)

Ferrovial

SA

.............

(14,727)

(437,026)

(562.5)

Grifols

SA

..............

(8,358)

(212,559)

(273.6)

Naturgy

Energy

Group

SA

...

(1,696)

(43,774)

(56.3)

Siemens

Gamesa

Renewable

Energy

SA

............

(3,461)

(96,523)

(124.2)

(1,625,556)

Sweden

Embracer

Group

AB

.......

(1,821)

(47,130)

(60.7)

Essity

AB,

Class

B

........

(6,022)

(197,026)

(253.6)

Evolution

AB

............

(290)

(50,460)

(64.9)

Fastighets

AB

Balder,

Class

B

.

(1,562)

(107,791)

(138.7)

Hexagon

AB,

Class

B

......

(5,768)

(95,481)

(122.9)

Investment

AB

Latour,

Class

B

(3,303)

(129,088)

(166.1)

L

E

Lundbergforetagen

AB,

Class

B

..................

(3,789)

(270,375)

(348.0)

Sandvik

AB

.............

(4,481)

(116,848)

(150.4)

Sinch

AB

...............

(8,710)

(175,644)

(226.1)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(32,552)

(605,472)

(779.3)

Svenska

Handelsbanken

AB,

Class

A

..............

(1,867)

(21,040)

(27.1)

Tele2

AB,

Class

B

.........

(4,672)

(68,627)

(88.3)

(1,884,982)

Switzerland

EMS-Chemie

Holding

AG

(Registered)

...........

(52)

(57,645)

(74.2)

Taiwan

Sea

Ltd.,

ADR

...........

(582)

(160,725)

(206.9)

United

Kingdom

Abrdn

plc

...............

(5,346)

(21,090)

(27.1)

Admiral

Group

plc

.........

(4,880)

(230,524)

(296.7)

Associated

British

Foods

plc

..

(2,067)

(57,477)

(74.0)

AstraZeneca

plc

..........

(2,052)

(235,795)

(303.5)

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

AVEVA

Group

plc

.........

(6,927)

$

(377,951)

(486.5)

%

BT

Group

plc

............

(8,511)

(20,501)

(26.4)

Compass

Group

plc

........

(1,951)

(41,224)

(53.1)

Diageo

plc

..............

(837)

(41,504)

(53.4)

Direct

Line

Insurance

Group

plc

(5,555)

(22,963)

(29.6)

GlaxoSmithKline

plc

.......

(1,392)

(27,483)

(35.4)

Halma

plc

..............

(2,367)

(95,014)

(122.3)

Hargreaves

Lansdown

plc

...

(2,380)

(53,980)

(69.5)

HSBC

Holdings

plc

........

(9,497)

(52,425)

(67.5)

Informa

plc

..............

(4,994)

(34,315)

(44.2)

InterContinental

Hotels

Group

plc

.................

(2,034)

(134,333)

(172.9)

Just

Eat

Takeaway.com

NV

...

(2,556)

(226,975)

(292.1)

London

Stock

Exchange

Group

plc

.................

(250)

(26,068)

(33.6)

Melrose

Industries

plc

......

(9,243)

(20,540)

(26.4)

Ocado

Group

plc

.........

(8,260)

(212,840)

(273.9)

Pearson

plc

.............

(1,959)

(23,607)

(30.4)

Prudential

plc

............

(4,323)

(81,181)

(104.5)

Reckitt

Benckiser

Group

plc

..

(2,237)

(171,130)

(220.3)

Rolls-Royce

Holdings

plc

....

(104,067)

(143,729)

(185.0)

St

James's

Place

plc

.......

(4,498)

(99,100)

(127.5)

Standard

Chartered

plc

.....

(11,920)

(71,458)

(92.0)

Tesco

plc

...............

(60,835)

(196,947)

(253.5)

Unilever

plc

.............

(6,073)

(349,510)

(449.8)

Wm

Morrison

Supermarkets

plc

(5,833)

(21,697)

(27.9)

(3,091,361)

United

States

Abbott

Laboratories

........

(296)

(35,810)

(46.1)

Air

Products

and

Chemicals,

Inc.

(518)

(150,753)

(194.0)

AMETEK,

Inc.

...........

(173)

(24,056)

(31.0)

Amphenol

Corp.,

Class

A

....

(402)

(29,141)

(37.5)

Anthem,

Inc.

............

(59)

(22,657)

(29.2)

Aptiv

plc

...............

(292)

(48,720)

(62.7)

Arthur

J

Gallagher

&

Co.

....

(299)

(41,654)

(53.6)

Automatic

Data

Processing,

Inc.

(99)

(20,753)

(26.7)

Biogen,

Inc.

.............

(142)

(46,396)

(59.7)

Bio-Techne

Corp.

.........

(71)

(34,239)

(44.1)

Boeing

Co.

(The)

.........

(296)

(67,038)

(86.3)

Booking

Holdings,

Inc.

......

(17)

(37,030)

(47.7)

Bristol-Myers

Squibb

Co.

....

(1,334)

(90,539)

(116.5)

Campbell

Soup

Co.

........

(564)

(24,658)

(31.7)

Carnival

Corp.

...........

(1,563)

(33,839)

(43.5)

Ceridian

HCM

Holding,

Inc.

..

(897)

(88,265)

(113.6)

Charter

Communications,

Inc.,

Class

A

..............

(38)

(28,274)

(36.4)

Chevron

Corp.

...........

(1,151)

(117,183)

(150.8)

Church

&

Dwight

Co.,

Inc.

...

(621)

(53,766)

(69.2)

Cisco

Systems,

Inc.

........

(661)

(36,600)

(47.1)

Delta

Air

Lines,

Inc.

........

(630)

(25,137)

(32.3)

DISH

Network

Corp.,

Class

A

.

(575)

(24,087)

(31.0)

DR

Horton,

Inc.

...........

(263)

(25,098)

(32.3)

Edison

International

........

(366)

(19,947)

(25.7)

Expedia

Group,

Inc.

........

(300)

(48,261)

(62.1)

Ford

Motor

Co.

...........

(1,444)

(20,144)

(25.9)

Globe

Life,

Inc.

...........

(239)

(22,253)

(28.6)

Guidewire

Software,

Inc.

....

(192)

(22,118)

(28.5)

Halliburton

Co.

...........

(5,327)

(110,162)

(141.8)

Hilton

Worldwide

Holdings,

Inc.

(170)

(22,346)

(28.8)

Huntington

Ingalls

Industries,

Inc.

.................

(237)

(48,616)

(62.6)

IAC/InterActiveCorp

........

(139)

(19,083)

(24.6)

International

Business

Machines

Corp.

...............

(372)

(52,437)

(67.5)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

42

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

JPMorgan

Chase

&

Co.

.....

(1,124)

$

(170,601)

(219.6)

%

Kellogg

Co.

.............

(344)

(21,796)

(28.0)

Las

Vegas

Sands

Corp.

.....

(2,041)

(86,436)

(111.2)

Live

Nation

Entertainment,

Inc.

(237)

(18,697)

(24.1)

Marriott

International,

Inc.,

Class

A

..................

(165)

(24,087)

(31.0)

McKesson

Corp.

..........

(203)

(41,377)

(53.3)

Medtronic

plc

............

(1,211)

(159,016)

(204.7)

Micron

Technology,

Inc.

.....

(10)

(776)

(1.0)

Nucor

Corp.

.............

(463)

(48,161)

(62.0)

Otis

Worldwide

Corp.

.......

(425)

(38,059)

(49.0)

Peloton

Interactive,

Inc.,

Class

A

(585)

(69,059)

(88.9)

Progressive

Corp.

(The)

.....

(527)

(50,149)

(64.5)

Royal

Caribbean

Cruises

Ltd.

.

(311)

(23,906)

(30.8)

RPM

International,

Inc.

.....

(264)

(22,860)

(29.4)

Schneider

Electric

SE

......

(166)

(27,803)

(35.8)

SEI

Investments

Co.

.......

(336)

(20,429)

(26.3)

Sensata

Technologies

Holding

plc

.................

(1,585)

(92,913)

(119.6)

Sirius

XM

Holdings,

Inc.

.....

(14,195)

(91,842)

(118.2)

Southern

Co.

(The)

........

(1,232)

(78,688)

(101.3)

SS&C

Technologies

Holdings,

Inc.

.................

(455)

(35,667)

(45.9)

STERIS

plc

.............

(222)

(48,385)

(62.3)

Take-Two

Interactive

Software,

Inc.

.................

(126)

(21,851)

(28.1)

Tenaris

SA

..............

(45,268)

(461,233)

(593.6)

Trade

Desk,

Inc.

(The),

Class

A

(738)

(60,450)

(77.8)

US

Bancorp

.............

(491)

(27,270)

(35.1)

Valero

Energy

Corp.

.......

(611)

(40,919)

(52.7)

Walgreens

Boots

Alliance,

Inc.

(413)

(19,473)

(25.1)

Western

Digital

Corp.

.......

(1,776)

(115,316)

(148.4)

Wynn

Resorts

Ltd.

........

(202)

(19,863)

(25.6)

Zillow

Group,

Inc.,

Class

C

...

(190)

(20,189)

(26.0)

(3,448,331)

Total

Reference

Entity

—

Short

............

(27,616,387)

Net

Value

of

Reference

Entity

—

Deutsche

Bank

AG

................................

$

77,695

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Goldman

Sachs

International,

as

of

July

31,

2021,

expiration

dates

02/27/23-03/01/23:

Reference

Entity

—

Long

Australia

Aristocrat

Leisure

Ltd.

......

791

24,240

11.9

Aurizon

Holdings

Ltd.

......

6,809

19,323

9.5

BHP

Group

Ltd.

..........

702

27,574

13.5

Brambles

Ltd.

............

9,921

84,940

41.7

Cochlear

Ltd.

............

302

54,637

26.8

Coles

Group

Ltd.

.........

1,661

21,376

10.5

Ramsay

Health

Care

Ltd.

....

464

21,944

10.8

REA

Group

Ltd.

..........

283

33,712

16.6

Rio

Tinto

Ltd.

............

598

58,610

28.8

Rio

Tinto

plc

.............

1,647

139,897

68.7

Tabcorp

Holdings

Ltd.

......

8,441

30,811

15.1

Telstra

Corp.

Ltd.

.........

18,244

50,817

25.0

Wesfarmers

Ltd.

..........

4,081

183,999

90.4

751,880

Shares

Value

%

of

Basket

Value

Austria

Mondi

plc

...............

1,018

$

28,223

13.9

%

voestalpine

AG

...........

616

27,175

13.3

55,398

Belgium

Groupe

Bruxelles

Lambert

SA

.

575

66,901

32.9

Canada

B2Gold

Corp.

............

30,720

128,780

63.3

Bank

of

Montreal

.........

1,306

129,312

63.5

Canadian

Imperial

Bank

of

Commerce

...........

1,798

209,070

102.7

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

428

65,847

32.3

Constellation

Software,

Inc.

..

35

56,064

27.5

Empire

Co.

Ltd.,

Class

A

....

2,094

68,765

33.8

Fairfax

Financial

Holdings

Ltd.

65

27,381

13.4

George

Weston

Ltd.

.......

577

59,837

29.4

Hydro

One

Ltd.

...........

2,296

56,682

27.8

Intact

Financial

Corp.

.......

200

27,252

13.4

Kinross

Gold

Corp.

........

5,618

36,790

18.1

Magna

International,

Inc.

....

550

46,113

22.7

Manulife

Financial

Corp.

.....

2,131

41,199

20.2

National

Bank

of

Canada

....

927

70,952

34.9

Nutrien

Ltd.

.............

860

51,134

25.1

Onex

Corp.

.............

569

43,373

21.3

Open

Text

Corp.

..........

293

15,218

7.5

Power

Corp.

of

Canada

.....

1,359

43,376

21.3

Quebecor,

Inc.,

Class

B

.....

1,200

31,395

15.4

Ritchie

Bros

Auctioneers,

Inc.

.

238

14,208

7.0

Royal

Bank

of

Canada

......

1,315

132,997

65.3

Thomson

Reuters

Corp.

.....

1,576

166,998

82.0

TMX

Group

Ltd.

..........

216

23,721

11.7

West

Fraser

Timber

Co.

Ltd.

..

245

17,574

8.6

1,564,038

China

NXP

Semiconductors

NV

....

948

195,658

96.1

Denmark

AP

Moller

-

Maersk

A/S,

Class

B

9

24,977

12.3

Coloplast

A/S,

Class

B

......

526

96,186

47.3

Novo

Nordisk

A/S,

Class

B

...

3,860

357,325

175.5

Novozymes

A/S,

Class

B

....

302

23,727

11.7

Pandora

A/S

............

37

4,786

2.4

507,001

Finland

Neste

OYJ

..............

1,758

108,066

53.1

Nokia

OYJ

..............

6,351

39,023

19.2

Orion

OYJ,

Class

B

........

507

21,581

10.6

UPM-Kymmene

OYJ

.......

2,686

109,764

53.9

278,434

France

Amundi

SA

.............

260

24,012

11.8

BNP

Paribas

SA

..........

1,037

63,235

31.1

Carrefour

SA

............

1,261

23,422

11.5

Cie

de

Saint-Gobain

.......

361

25,804

12.7

Credit

Agricole

SA

.........

5,968

83,215

40.9

Dassault

Systemes

SE

.....

1,185

65,367

32.1

Engie

SA

...............

1,308

17,443

8.6

Hermes

International

.......

109

166,637

81.9

La

Francaise

des

Jeux

SAEM

.

1,797

96,071

47.2

Orange

SA

..............

8,660

96,378

47.3

Pernod

Ricard

SA

.........

416

91,814

45.1

Publicis

Groupe

SA

........

1,424

89,898

44.2

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

43

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

France

(continued)

Sanofi

.................

1,075

$

110,804

54.4

%

SEB

SA

................

290

48,186

23.7

Teleperformance

..........

381

160,705

78.9

Thales

SA

..............

656

68,850

33.8

Vinci

SA

...............

178

18,846

9.3

Wendel

SE

.............

200

28,073

13.8

1,278,760

Germany

Allianz

SE

(Registered)

.....

100

24,856

12.2

BASF

SE

...............

1,003

78,814

38.7

Deutsche

Post

AG

(Registered)

6,813

461,726

226.8

E.ON

SE

...............

9,598

117,993

58.0

GEA

Group

AG

...........

4,160

184,456

90.6

HeidelbergCement

AG

......

575

50,955

25.0

Henkel

AG

&

Co.

KGaA

(Preference)

..........

210

21,291

10.5

Merck

KGaA

............

113

23,132

11.4

Siemens

AG

(Registered)

....

89

13,887

6.8

Symrise

AG

.............

1,321

194,780

95.7

Vonovia

SE

.............

1,956

130,228

64.0

1,302,118

Hong

Kong

CK

Asset

Holdings

Ltd.

.....

73,500

500,072

245.7

CLP

Holdings

Ltd.

.........

3,500

36,090

17.7

Hongkong

Land

Holdings

Ltd.

.

5,300

24,046

11.8

New

World

Development

Co.

Ltd.

................

28,000

132,741

65.2

Sun

Hung

Kai

Properties

Ltd.

.

9,000

128,748

63.3

821,697

Ireland

CRH

plc

...............

1,327

66,322

32.6

Smurfit

Kappa

Group

plc

....

1,173

66,174

32.5

132,496

Israel

Bank

Hapoalim

BM

........

5,586

44,453

21.8

Bank

Leumi

Le-Israel

BM

....

5,761

44,021

21.6

Check

Point

Software

Technologies

Ltd.

.......

627

79,692

39.2

168,166

Italy

Intesa

Sanpaolo

SpA

.......

10,686

29,521

14.5

Terna

SpA

..............

14,143

112,244

55.1

141,765

Japan

ABC-Mart,

Inc.

...........

800

44,109

21.7

Aisin

Corp.

..............

500

20,242

9.9

Asahi

Kasei

Corp.

.........

9,500

103,597

50.9

Astellas

Pharma,

Inc.

.......

1,400

22,298

10.9

Brother

Industries

Ltd.

......

11,200

227,931

112.0

Chubu

Electric

Power

Co.,

Inc.

2,100

25,201

12.4

Denso

Corp.

............

900

61,831

30.4

ENEOS

Holdings,

Inc.

......

41,000

172,224

84.6

Fuji

Electric

Co.

Ltd.

.......

900

39,387

19.3

Fujitsu

Ltd.

..............

100

17,013

8.4

Hino

Motors

Ltd.

..........

11,500

100,817

49.5

Honda

Motor

Co.

Ltd.

......

3,100

99,565

48.9

Idemitsu

Kosan

Co.

Ltd.

.....

1,500

35,310

17.3

Iida

Group

Holdings

Co.

Ltd.

..

2,600

62,740

30.8

Isuzu

Motors

Ltd.

.........

1,700

22,678

11.1

Ito

En

Ltd.

..............

1,300

76,705

37.7

JSR

Corp.

..............

4,000

134,080

65.9

Shares

Value

%

of

Basket

Value

Japan

(continued)

Kajima

Corp.

............

16,700

$

214,976

105.6

%

KDDI

Corp.

.............

4,000

122,334

60.1

Kurita

Water

Industries

Ltd.

...

900

43,712

21.5

Lawson,

Inc.

............

600

30,156

14.8

Lixil

Corp.

..............

2,300

62,767

30.8

McDonald's

Holdings

Co.

Japan

Ltd.

................

400

18,026

8.9

Mitsubishi

Chemical

Holdings

Corp.

...............

2,600

21,816

10.7

Mitsubishi

Electric

Corp.

.....

41,800

567,111

278.6

Mitsubishi

Estate

Co.

Ltd.

....

5,300

83,141

40.8

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,900

39,579

19.4

Mitsui

&

Co.

Ltd.

..........

2,000

45,905

22.5

Mitsui

Chemicals,

Inc.

......

2,700

86,100

42.3

NGK

Insulators

Ltd.

........

3,200

51,248

25.2

Nippon

Express

Co.

Ltd.

....

1,100

80,355

39.5

Nippon

Telegraph

&

Telephone

Corp.

...............

15,000

384,122

188.7

Nissan

Chemical

Corp.

.....

600

29,408

14.4

Nitto

Denko

Corp.

.........

3,600

267,474

131.4

Nomura

Holdings,

Inc.

......

9,800

49,074

24.1

NSK

Ltd.

...............

9,100

75,101

36.9

ORIX

Corp.

.............

3,500

61,234

30.1

Osaka

Gas

Co.

Ltd.

........

7,800

145,725

71.6

Panasonic

Corp.

..........

9,400

113,506

55.8

Persol

Holdings

Co.

Ltd.

.....

1,200

24,210

11.9

Pola

Orbis

Holdings,

Inc.

....

400

9,562

4.7

Recruit

Holdings

Co.

Ltd.

....

1,000

51,831

25.5

Ricoh

Co.

Ltd.

...........

5,900

64,468

31.7

Secom

Co.

Ltd.

...........

300

22,707

11.2

Sekisui

Chemical

Co.

Ltd.

....

18,100

312,324

153.4

Sekisui

House

Ltd.

........

3,500

69,319

34.0

Sohgo

Security

Services

Co.

Ltd.

................

500

23,380

11.5

Sony

Group

Corp.

.........

900

94,020

46.2

Subaru

Corp.

............

2,400

47,153

23.2

Sumitomo

Mitsui

Trust

Holdings,

Inc.

.................

1,300

42,674

21.0

Suntory

Beverage

&

Food

Ltd.

1,600

56,100

27.6

Sysmex

Corp.

...........

300

35,697

17.5

TDK

Corp.

..............

400

45,640

22.4

Tokyo

Electron

Ltd.

........

100

41,243

20.3

Tokyo

Gas

Co.

Ltd.

........

1,300

24,607

12.1

TOPPAN,

Inc.

............

2,900

49,193

24.2

Toray

Industries,

Inc.

.......

6,300

41,480

20.4

TOTO

Ltd.

..............

800

41,480

20.4

Toyo

Suisan

Kaisha

Ltd.

.....

2,200

83,990

41.3

Toyota

Tsusho

Corp.

.......

1,000

47,215

23.2

Yamaha

Motor

Co.

Ltd.

.....

1,100

27,545

13.5

5,114,436

Netherlands

Adyen

NV

..............

25

67,751

33.3

Koninklijke

Ahold

Delhaize

NV

.

6,297

195,741

96.2

Koninklijke

DSM

NV

.......

564

113,692

55.9

Koninklijke

KPN

NV

........

26,428

86,720

42.6

Koninklijke

Vopak

NV

......

723

30,614

15.0

NN

Group

NV

............

429

21,328

10.5

Randstad

NV

............

3,957

287,083

141.0

Wolters

Kluwer

NV

........

1,682

191,754

94.2

994,683

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

44

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

New

Zealand

Fisher

&

Paykel

Healthcare

Corp.

Ltd.

................

3,416

$

75,193

36.9

%

Norway

Norsk

Hydro

ASA

.........

12,123

80,654

39.6

Poland

InPost

SA

..............

1,108

21,726

10.7

Portugal

EDP

-

Energias

de

Portugal

SA

5,425

28,139

13.8

Russia

Coca-Cola

HBC

AG

........

566

21,374

10.5

Singapore

Oversea-Chinese

Banking

Corp.

Ltd.

................

17,900

161,946

79.6

Singapore

Telecommunications

Ltd.

................

30,800

51,623

25.4

United

Overseas

Bank

Ltd.

...

2,400

46,401

22.8

259,970

Spain

Iberdrola

SA

.............

40,946

269,312

132.3

Industria

de

Diseno

Textil

SA

..

1,352

45,855

22.5

315,167

Sweden

Boliden

AB

..............

1,396

54,405

26.7

Husqvarna

AB,

Class

B

.....

3,316

46,403

22.8

Lundin

Energy

AB

.........

3,549

110,638

54.4

Skanska

AB,

Class

B

.......

679

19,168

9.4

Swedish

Match

AB

........

4,650

41,641

20.5

Telia

Co.

AB

.............

4,913

21,550

10.6

293,805

Switzerland

Adecco

Group

AG

(Registered)

2,330

139,535

68.5

Baloise

Holding

AG

(Registered)

191

30,115

14.8

Geberit

AG

(Registered)

.....

139

114,130

56.1

Givaudan

SA

(Registered)

...

133

663,836

326.1

Holcim

Ltd.

(Registered)

.....

1,479

86,701

42.6

Julius

Baer

Group

Ltd.

......

395

26,071

12.8

Logitech

International

SA

(Registered)

...........

463

50,869

25.0

Nestle

SA

(Registered)

.....

1,133

143,471

70.5

Novartis

AG

(Registered)

....

2,477

229,069

112.5

Roche

Holding

AG

........

708

273,509

134.4

SGS

SA

(Registered)

.......

15

48,550

23.8

Straumann

Holding

AG

(Registered)

...........

116

215,066

105.6

UBS

Group

AG

(Registered)

..

5,089

83,845

41.2

2,104,767

United

Kingdom

3i

Group

plc

.............

6,800

120,858

59.4

Ashtead

Group

plc

........

288

21,551

10.6

Aviva

plc

...............

16,705

89,716

44.1

Barratt

Developments

plc

....

7,006

68,467

33.6

BP

plc

.................

9,360

37,571

18.5

Burberry

Group

plc

........

2,059

59,059

29.0

Croda

International

plc

......

323

37,811

18.6

Entain

plc

..............

2,241

56,510

27.8

Imperial

Brands

plc

........

869

18,606

9.1

Intertek

Group

plc

.........

1,179

84,470

41.5

Legal

&

General

Group

plc

...

7,609

27,563

13.5

RELX

plc

...............

796

23,398

11.5

Shares

Value

%

of

Basket

Value

United

Kingdom

(continued)

Sage

Group

plc

(The)

......

4,937

$

48,123

23.6

%

SSE

plc

................

632

12,671

6.2

WPP

plc

...............

2,394

30,962

15.2

737,336

United

States

A

O

Smith

Corp.

..........

1,111

78,137

38.4

Accenture

plc,

Class

A

......

307

97,528

47.9

Adobe,

Inc.

.............

605

376,086

184.7

Advance

Auto

Parts,

Inc.

....

146

30,961

15.2

Aflac,

Inc.

..............

2,222

122,210

60.0

Agilent

Technologies,

Inc.

....

1,450

222,183

109.1

Airbnb,

Inc.,

Class

A

.......

783

112,760

55.4

Allegion

plc

.............

1,275

174,165

85.6

Ally

Financial,

Inc.

.........

456

23,420

11.5

Alphabet,

Inc.,

Class

A

......

154

414,958

203.8

AMERCO

..............

49

28,810

14.2

American

International

Group,

Inc.

.................

709

33,571

16.5

Ameriprise

Financial,

Inc.

....

328

84,480

41.5

AmerisourceBergen

Corp.

...

549

67,071

32.9

Amgen,

Inc.

.............

806

194,681

95.6

Apple,

Inc.

..............

533

77,743

38.2

Archer-Daniels-Midland

Co.

..

5,711

341,061

167.5

Arista

Networks,

Inc.

.......

311

118,301

58.1

Arrow

Electronics,

Inc.

......

798

94,619

46.5

Assurant,

Inc.

............

644

101,630

49.9

Autodesk,

Inc.

...........

675

216,763

106.5

Avery

Dennison

Corp.

......

1,232

259,558

127.5

Berkshire

Hathaway,

Inc.,

Class

B

..................

457

127,179

62.5

Best

Buy

Co.,

Inc.

.........

25

2,809

1.4

Booz

Allen

Hamilton

Holding

Corp.

...............

505

43,334

21.3

Bunge

Ltd.

..............

1,173

91,060

44.7

Cadence

Design

Systems,

Inc.

2,952

435,863

214.1

Capital

One

Financial

Corp.

..

385

62,254

30.6

Cardinal

Health,

Inc.

.......

1,800

106,884

52.5

CBRE

Group,

Inc.,

Class

A

...

2,224

214,527

105.4

Cerner

Corp.

............

2,653

213,275

104.8

Cintas

Corp.

.............

8

3,153

1.5

Citigroup,

Inc.

............

529

35,771

17.6

Citrix

Systems,

Inc.

........

323

32,542

16.0

Coca-Cola

Co.

(The)

.......

385

21,957

10.8

Cognex

Corp.

............

486

43,939

21.6

Colgate-Palmolive

Co.

......

323

25,678

12.6

Constellation

Brands,

Inc.,

Class

A

..................

244

54,739

26.9

Copart,

Inc.

.............

691

101,577

49.9

Corning,

Inc.

............

1,204

50,399

24.8

Corteva,

Inc.

............

2,347

100,405

49.3

Costco

Wholesale

Corp.

.....

54

23,205

11.4

Cummins,

Inc.

...........

265

61,507

30.2

Darden

Restaurants,

Inc.

....

409

59,665

29.3

Deere

&

Co.

.............

374

135,235

66.4

Devon

Energy

Corp.

.......

3,196

82,585

40.6

Dexcom,

Inc.

............

186

95,885

47.1

Domino's

Pizza,

Inc.

.......

295

155,020

76.1

Dover

Corp.

.............

295

49,300

24.2

Dropbox,

Inc.,

Class

A

......

2,656

83,637

41.1

DTE

Energy

Co.

..........

882

103,476

50.8

DuPont

de

Nemours,

Inc.

....

885

66,419

32.6

Eastman

Chemical

Co.

.....

269

30,322

14.9

eBay,

Inc.

..............

2,730

186,213

91.5

Ecolab,

Inc.

.............

344

75,966

37.3

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

45

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Edwards

Lifesciences

Corp.

..

787

$

88,356

43.4

%

Electronic

Arts,

Inc.

........

2,511

361,484

177.6

Emerson

Electric

Co.

.......

659

66,487

32.7

EOG

Resources,

Inc.

.......

763

55,592

27.3

EPAM

Systems,

Inc.

.......

353

197,609

97.1

Equifax,

Inc.

.............

281

73,229

36.0

Expeditors

International

of

Washington,

Inc.

........

801

102,728

50.5

Facebook,

Inc.,

Class

A

.....

1,172

417,584

205.1

Fair

Isaac

Corp.

..........

208

108,973

53.5

Fastenal

Co.

............

1,337

73,227

36.0

FedEx

Corp.

............

276

77,266

38.0

Ferguson

plc

............

1,532

214,770

105.5

FMC

Corp.

..............

494

52,833

26.0

Fortinet,

Inc.

.............

112

30,491

15.0

Fortune

Brands

Home

&

Security,

Inc.

.................

481

46,883

23.0

Gartner,

Inc.

.............

154

40,768

20.0

Genuine

Parts

Co.

........

811

102,932

50.6

Gilead

Sciences,

Inc.

.......

3,467

236,761

116.3

HCA

Healthcare,

Inc.

.......

527

130,801

64.3

Henry

Schein,

Inc.

.........

286

22,923

11.3

Hologic,

Inc.

.............

970

72,789

35.8

Home

Depot,

Inc.

(The)

.....

887

291,105

143.0

HP,

Inc.

................

1,615

46,625

22.9

IDEXX

Laboratories,

Inc.

....

520

352,836

173.3

IHS

Markit

Ltd.

...........

775

90,551

44.5

Illinois

Tool

Works,

Inc.

......

777

176,123

86.5

Intel

Corp.

..............

2,064

110,878

54.5

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

8,744

309,188

151.9

Intuit,

Inc.

..............

836

443,055

217.6

Intuitive

Surgical,

Inc.

......

105

104,103

51.1

J

M

Smucker

Co.

(The)

.....

154

20,191

9.9

Jazz

Pharmaceuticals

plc

....

985

166,977

82.0

JB

Hunt

Transport

Services,

Inc.

176

29,647

14.6

Johnson

Controls

International

plc

.................

1,846

131,841

64.8

Keysight

Technologies,

Inc.

...

699

115,020

56.5

KKR

&

Co.,

Inc.

..........

376

23,974

11.8

KLA

Corp.

..............

62

21,586

10.6

Knight-Swift

Transportation

Holdings,

Inc.

..........

1,449

72,001

35.4

Kroger

Co.

(The)

..........

2,705

110,094

54.1

L

Brands,

Inc.

............

1,745

139,722

68.6

Laboratory

Corp.

of

America

Holdings

.............

85

25,173

12.4

Lam

Research

Corp.

.......

67

42,706

21.0

Lennox

International,

Inc.

....

284

93,558

46.0

LKQ

Corp.

..............

1,377

69,883

34.3

Lowe's

Cos.,

Inc.

.........

231

44,511

21.9

Lululemon

Athletica,

Inc.

....

130

52,022

25.6

Masco

Corp.

............

4,020

240,034

117.9

Masimo

Corp.

............

364

99,150

48.7

Maxim

Integrated

Products,

Inc.

4,084

408,032

200.4

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

865

72,807

35.8

McDonald's

Corp.

.........

620

150,480

73.9

MetLife,

Inc.

.............

1,223

70,567

34.7

Mettler-Toledo

International,

Inc.

58

85,475

42.0

Microsoft

Corp.

...........

1,608

458,135

225.0

Mohawk

Industries,

Inc.

.....

212

41,319

20.3

Molina

Healthcare,

Inc.

.....

496

135,413

66.5

Molson

Coors

Beverage

Co.,

Class

B

..............

327

15,987

7.9

Shares

Value

%

of

Basket

Value

United

States

(continued)

Mondelez

International,

Inc.,

Class

A

..............

3,995

$

252,724

124.1

%

Monolithic

Power

Systems,

Inc.

501

225,079

110.6

Monster

Beverage

Corp.

....

2,756

259,946

127.7

Morgan

Stanley

..........

936

89,837

44.1

Mosaic

Co.

(The)

.........

1,140

35,602

17.5

Motorola

Solutions,

Inc.

.....

338

75,685

37.2

NetApp,

Inc.

.............

2,055

163,557

80.3

Newell

Brands,

Inc.

........

3,750

92,813

45.6

NIKE,

Inc.,

Class

B

........

850

142,383

69.9

Nordson

Corp.

...........

766

173,216

85.1

Northern

Trust

Corp.

.......

372

41,980

20.6

NVIDIA

Corp.

............

135

26,324

12.9

Old

Dominion

Freight

Line,

Inc.

995

267,804

131.6

Omnicom

Group,

Inc.

.......

2,140

155,835

76.5

ONEOK,

Inc.

............

404

20,996

10.3

O'Reilly

Automotive,

Inc.

....

201

121,372

59.6

Owens

Corning

...........

1,262

121,354

59.6

PepsiCo,

Inc.

............

3,158

495,648

243.5

Pinterest,

Inc.,

Class

A

......

287

16,904

8.3

Pool

Corp.

..............

226

107,987

53.0

Prudential

Financial,

Inc.

....

396

39,711

19.5

PTC,

Inc.

...............

167

22,620

11.1

Qorvo,

Inc.

..............

613

116,219

57.1

Qualcomm,

Inc.

..........

2,029

303,944

149.3

Raymond

James

Financial,

Inc.

169

21,882

10.7

Robert

Half

International,

Inc.

.

756

74,247

36.5

Ross

Stores,

Inc.

.........

455

55,824

27.4

Sealed

Air

Corp.

..........

502

28,488

14.0

Sempra

Energy

..........

281

36,713

18.0

ServiceNow,

Inc.

..........

160

94,062

46.2

Sherwin-Williams

Co.

(The)

..

675

196,445

96.5

Skyworks

Solutions,

Inc.

....

867

159,970

78.6

Starbucks

Corp.

..........

2,682

325,675

160.0

Stellantis

NV

............

1,846

35,400

17.4

Synopsys,

Inc.

...........

708

203,897

100.2

Target

Corp.

.............

210

54,820

26.9

Texas

Instruments,

Inc.

.....

1,335

254,478

125.0

TJX

Cos.,

Inc.

(The)

.......

383

26,354

12.9

Tractor

Supply

Co.

........

186

33,653

16.5

Trane

Technologies

plc

.....

615

125,220

61.5

Truist

Financial

Corp.

.......

684

37,230

18.3

Tyson

Foods,

Inc.,

Class

A

...

672

48,021

23.6

UGI

Corp.

..............

1,340

61,627

30.3

Ulta

Beauty,

Inc.

..........

203

68,167

33.5

United

Parcel

Service,

Inc.,

Class

B

..................

481

92,044

45.2

Universal

Health

Services,

Inc.,

Class

B

..............

848

136,028

66.8

Vail

Resorts,

Inc.

..........

68

20,754

10.2

Veeva

Systems,

Inc.,

Class

A

.

559

185,985

91.4

VeriSign,

Inc.

............

435

94,121

46.2

Vertex

Pharmaceuticals,

Inc.

..

163

32,858

16.1

VMware,

Inc.,

Class

A

......

556

85,479

42.0

Walmart,

Inc.

............

790

112,614

55.3

Waters

Corp.

............

239

93,165

45.8

West

Pharmaceutical

Services,

Inc.

.................

270

111,167

54.6

Whirlpool

Corp.

...........

119

26,363

12.9

Workday,

Inc.,

Class

A

......

277

64,929

31.9

XPO

Logistics,

Inc.

........

409

56,724

27.9

Yum!

Brands,

Inc.

.........

640

84,090

41.3

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

46

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zebra

Technologies

Corp.,

Class

A

..................

196

$

108,286

53.2

%

20,298,051

Total

Reference

Entity

—

Long

............

37,609,613

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(82)

(128,633)

(63.2)

Australia

Afterpay

Ltd.

............

(830)

(58,998)

(29.0)

APA

Group

..............

(4,122)

(28,924)

(14.2)

AusNet

Services

Ltd.

.......

(32,697)

(43,728)

(21.5)

Australia

&

New

Zealand

Banking

Group

Ltd.

............

(2,973)

(60,526)

(29.7)

Computershare

Ltd.

........

(3,280)

(37,712)

(18.5)

Crown

Resorts

Ltd.

........

(17,421)

(110,525)

(54.3)

CSL

Ltd.

...............

(211)

(44,920)

(22.1)

Lendlease

Corp.

Ltd.

.......

(1,850)

(16,605)

(8.2)

Magellan

Financial

Group

Ltd.

.

(515)

(18,581)

(9.1)

National

Australia

Bank

Ltd.

..

(1,736)

(33,105)

(16.3)

Newcrest

Mining

Ltd.

.......

(4,278)

(82,683)

(40.6)

Northern

Star

Resources

Ltd.

.

(8,385)

(62,478)

(30.7)

Seek

Ltd.

...............

(5,562)

(120,317)

(59.1)

Sydney

Airport

...........

(25,832)

(148,642)

(73.0)

Transurban

Group

.........

(2,955)

(31,169)

(15.3)

Westpac

Banking

Corp.

.....

(4,361)

(78,334)

(38.5)

WiseTech

Global

Ltd.

.......

(2,616)

(59,338)

(29.1)

(1,036,585)

Belgium

Elia

Group

SA/NV

.........

(394)

(46,567)

(22.9)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(226)

(34,508)

(17.0)

Brazil

Yara

International

ASA

......

(416)

(21,926)

(10.8)

Canada

Air

Canada

.............

(1,096)

(21,945)

(10.8)

Barrick

Gold

Corp.

........

(3,981)

(86,666)

(42.6)

BCE,

Inc.

...............

(2,449)

(122,234)

(60.0)

CAE,

Inc.

...............

(1,741)

(53,126)

(26.1)

Cameco

Corp.

...........

(2,492)

(44,323)

(21.8)

Canadian

Natural

Resources

Ltd.

................

(3,586)

(118,336)

(58.1)

Canadian

Utilities

Ltd.,

Class

A

(6,032)

(176,715)

(86.8)

Cenovus

Energy,

Inc.

.......

(3,767)

(31,432)

(15.4)

Dollarama,

Inc.

...........

(567)

(26,700)

(13.1)

Fortis,

Inc.

..............

(4,374)

(198,366)

(97.4)

Inter

Pipeline

Ltd.

.........

(1,266)

(20,275)

(10.0)

Ivanhoe

Mines

Ltd.,

Class

A

..

(3,337)

(24,768)

(12.2)

Keyera

Corp.

............

(2,210)

(59,165)

(29.1)

Lightspeed

POS,

Inc.

.......

(1,924)

(164,749)

(80.9)

Metro,

Inc.

..............

(895)

(46,414)

(22.8)

Pan

American

Silver

Corp.

...

(1,652)

(46,385)

(22.8)

Pembina

Pipeline

Corp.

.....

(624)

(20,627)

(10.1)

Rogers

Communications,

Inc.,

Class

B

..............

(815)

(41,599)

(20.4)

(1,303,825)

Chile

Antofagasta

plc

...........

(2,527)

(52,469)

(25.8)

Shares

Value

%

of

Basket

Value

China

Budweiser

Brewing

Co.

APAC

Ltd.

................

(11,700)

$

(32,653)

(16.0)

%

ESR

Cayman

Ltd.

.........

(6,200)

(21,792)

(10.7)

Prosus

NV

..............

(1,391)

(124,103)

(61.0)

Wilmar

International

Ltd.

....

(15,300)

(48,999)

(24.1)

(227,547)

Denmark

Ambu

A/S,

Class

B

........

(1,177)

(43,545)

(21.4)

Danske

Bank

A/S

.........

(1,575)

(27,603)

(13.6)

Orsted

A/S

..............

(160)

(23,731)

(11.7)

Vestas

Wind

Systems

A/S

...

(5,973)

(220,252)

(108.2)

(315,131)

Finland

Kone

OYJ,

Class

B

........

(555)

(45,969)

(22.6)

France

Adevinta

ASA

............

(1,183)

(22,746)

(11.2)

Aeroports

de

Paris

........

(360)

(43,638)

(21.4)

Air

Liquide

SA

...........

(2,614)

(454,597)

(223.3)

Alstom

SA

..............

(2,071)

(85,898)

(42.2)

Bouygues

SA

............

(975)

(37,578)

(18.5)

Danone

SA

.............

(375)

(27,583)

(13.6)

Dassault

Aviation

SA

.......

(20)

(23,813)

(11.7)

Faurecia

SE

.............

(3,689)

(164,649)

(80.9)

Getlink

SE

..............

(3,939)

(63,097)

(31.0)

Kering

SA

..............

(66)

(59,211)

(29.1)

Remy

Cointreau

SA

........

(105)

(23,066)

(11.3)

Renault

SA

.............

(1,157)

(43,944)

(21.6)

Safran

SA

..............

(361)

(47,246)

(23.2)

Veolia

Environnement

SA

....

(1,408)

(46,179)

(22.7)

Worldline

SA

............

(299)

(27,986)

(13.8)

(1,171,231)

Germany

Brenntag

SE

............

(217)

(21,674)

(10.6)

Commerzbank

AG

.........

(3,170)

(20,415)

(10.0)

Continental

AG

...........

(785)

(106,638)

(52.4)

Fresenius

SE

&

Co.

KGaA

...

(452)

(23,757)

(11.7)

Knorr-Bremse

AG

.........

(528)

(59,791)

(29.4)

Muenchener

Rueckversicherungs-

Gesellschaft

AG

(Registered)

(74)

(19,967)

(9.8)

Puma

SE

...............

(227)

(27,846)

(13.7)

Sartorius

AG

(Preference)

...

(98)

(59,281)

(29.1)

Siemens

Energy

AG

.......

(995)

(27,069)

(13.3)

Siemens

Healthineers

AG

....

(1,298)

(85,696)

(42.1)

TeamViewer

AG

..........

(1,632)

(54,870)

(27.0)

Zalando

SE

.............

(626)

(69,556)

(34.2)

(576,560)

Hong

Kong

Hong

Kong

Exchanges

&

Clearing

Ltd.

..........

(500)

(31,955)

(15.7)

Jardine

Matheson

Holdings

Ltd.

(400)

(23,798)

(11.7)

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(5,672)

(78,954)

(38.8)

(134,707)

Ireland

Flutter

Entertainment

plc

....

(313)

(53,358)

(26.2)

Kingspan

Group

plc

........

(235)

(25,555)

(12.6)

(78,913)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

47

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Israel

Teva

Pharmaceutical

Industries

Ltd.,

ADR

............

(7,707)

$

(74,373)

(36.5)

%

Italy

DiaSorin

SpA

............

(119)

(24,152)

(11.9)

Ferrari

NV

..............

(302)

(65,817)

(32.3)

Infrastrutture

Wireless

Italiane

SpA

................

(4,560)

(51,511)

(25.3)

Moncler

SpA

............

(670)

(46,017)

(22.6)

(187,497)

Japan

Aeon

Co.

Ltd.

............

(2,000)

(54,730)

(26.9)

Asahi

Group

Holdings

Ltd.

...

(600)

(26,997)

(13.3)

Bandai

Namco

Holdings,

Inc.

.

(700)

(45,293)

(22.3)

Canon,

Inc.

.............

(800)

(18,422)

(9.1)

Casio

Computer

Co.

Ltd.

....

(1,800)

(29,338)

(14.4)

Central

Japan

Railway

Co.

...

(300)

(43,639)

(21.4)

Chiba

Bank

Ltd.

(The)

......

(4,800)

(27,306)

(13.4)

Cosmos

Pharmaceutical

Corp.

(400)

(67,901)

(33.4)

CyberAgent,

Inc.

..........

(2,600)

(46,796)

(23.0)

Daifuku

Co.

Ltd.

..........

(500)

(44,805)

(22.0)

Daiwa

Securities

Group,

Inc.

..

(32,900)

(173,000)

(85.0)

Dentsu

Group,

Inc.

........

(1,200)

(41,705)

(20.5)

Disco

Corp.

.............

(100)

(28,556)

(14.0)

East

Japan

Railway

Co.

.....

(1,600)

(106,596)

(52.4)

FANUC

Corp.

............

(100)

(22,397)

(11.0)

Fast

Retailing

Co.

Ltd.

......

(100)

(67,820)

(33.3)

Harmonic

Drive

Systems,

Inc.

.

(300)

(16,595)

(8.2)

Hikari

Tsushin,

Inc.

........

(600)

(103,878)

(51.0)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(2,300)

(64,988)

(31.9)

Ibiden

Co.

Ltd.

...........

(600)

(31,785)

(15.6)

Itochu

Techno-Solutions

Corp.

.

(700)

(21,473)

(10.6)

Japan

Exchange

Group,

Inc.

..

(1,700)

(38,666)

(19.0)

Japan

Post

Bank

Co.

Ltd.

....

(3,500)

(29,707)

(14.6)

JFE

Holdings,

Inc.

.........

(4,900)

(59,583)

(29.3)

Kakaku.com,

Inc.

.........

(1,300)

(35,476)

(17.4)

Keio

Corp.

..............

(1,000)

(56,014)

(27.5)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(1,400)

(47,307)

(23.2)

Kobayashi

Pharmaceutical

Co.

Ltd.

................

(300)

(23,929)

(11.8)

Kobe

Bussan

Co.

Ltd.

......

(4,200)

(141,416)

(69.5)

Koei

Tecmo

Holdings

Co.

Ltd.

.

(1,950)

(91,618)

(45.0)

Kubota

Corp.

............

(1,700)

(35,549)

(17.5)

Lasertec

Corp.

...........

(900)

(168,959)

(83.0)

Mercari,

Inc.

.............

(1,400)

(73,277)

(36.0)

Mitsubishi

Corp.

..........

(4,900)

(137,439)

(67.5)

Mitsubishi

Heavy

Industries

Ltd.

(2,100)

(60,676)

(29.8)

Miura

Co.

Ltd.

...........

(600)

(26,495)

(13.0)

MonotaRO

Co.

Ltd.

........

(800)

(18,402)

(9.0)

MS&AD

Insurance

Group

Holdings,

Inc.

..........

(1,100)

(34,002)

(16.7)

Nexon

Co.

Ltd.

...........

(1,000)

(20,576)

(10.1)

Nidec

Corp.

.............

(500)

(56,122)

(27.6)

Nintendo

Co.

Ltd.

.........

(100)

(51,410)

(25.3)

Nippon

Paint

Holdings

Co.

Ltd.

(8,600)

(109,772)

(53.9)

Nippon

Sanso

Holdings

Corp.

.

(3,800)

(84,117)

(41.3)

Nissan

Motor

Co.

Ltd.

......

(46,400)

(269,298)

(132.3)

NTT

Data

Corp.

..........

(3,000)

(46,469)

(22.8)

Odakyu

Electric

Railway

Co.

Ltd.

(3,700)

(88,305)

(43.4)

Oji

Holdings

Corp.

.........

(5,400)

(31,134)

(15.3)

Oriental

Land

Co.

Ltd.

......

(600)

(82,200)

(40.4)

PeptiDream,

Inc.

..........

(2,700)

(111,434)

(54.7)

Pigeon

Corp.

............

(3,600)

(103,656)

(50.9)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Rakuten

Group,

Inc.

.......

(15,300)

$

(168,362)

(82.7)

%

Ryohin

Keikaku

Co.

Ltd.

.....

(3,500)

(71,002)

(34.9)

SBI

Holdings,

Inc.

.........

(4,700)

(112,508)

(55.3)

SCSK

Corp.

.............

(600)

(36,162)

(17.8)

Shimano,

Inc.

............

(600)

(153,587)

(75.4)

Shin-Etsu

Chemical

Co.

Ltd.

..

(800)

(130,503)

(64.1)

Shiseido

Co.

Ltd.

.........

(2,200)

(147,039)

(72.2)

SMC

Corp.

..............

(100)

(59,447)

(29.2)

SoftBank

Corp.

...........

(2,300)

(30,041)

(14.8)

SoftBank

Group

Corp.

......

(1,400)

(88,040)

(43.3)

Square

Enix

Holdings

Co.

Ltd.

.

(1,000)

(51,887)

(25.5)

SUMCO

Corp.

...........

(5,700)

(131,831)

(64.8)

Sumitomo

Electric

Industries

Ltd.

................

(4,800)

(68,192)

(33.5)

Takeda

Pharmaceutical

Co.

Ltd.

(10,700)

(356,166)

(175.0)

TIS,

Inc.

...............

(2,000)

(51,872)

(25.5)

Tobu

Railway

Co.

Ltd.

......

(1,700)

(44,207)

(21.7)

Toho

Co.

Ltd.

............

(900)

(39,181)

(19.2)

Tokio

Marine

Holdings,

Inc.

...

(800)

(38,129)

(18.7)

Tokyo

Century

Corp.

.......

(1,300)

(71,543)

(35.1)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(16,000)

(42,643)

(21.0)

Tokyu

Corp.

.............

(7,600)

(101,861)

(50.0)

Toyota

Industries

Corp.

.....

(300)

(25,165)

(12.4)

Toyota

Motor

Corp.

........

(1,400)

(125,686)

(61.7)

Unicharm

Corp.

..........

(600)

(24,082)

(11.8)

West

Japan

Railway

Co.

....

(1,900)

(103,232)

(50.7)

(5,489,396)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,528)

(129,730)

(63.7)

Macau

Galaxy

Entertainment

Group

Ltd.

................

(12,000)

(81,325)

(39.9)

Sands

China

Ltd.

.........

(19,600)

(66,759)

(32.8)

SJM

Holdings

Ltd.

.........

(57,000)

(51,409)

(25.3)

(199,493)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(3,687)

(42,978)

(21.1)

Argenx

SE

..............

(381)

(116,348)

(57.2)

ASM

International

NV

......

(131)

(46,493)

(22.8)

ASML

Holding

NV

.........

(66)

(50,449)

(24.8)

Heineken

NV

............

(244)

(28,414)

(14.0)

(284,682)

New

Zealand

Xero

Ltd.

...............

(825)

(85,596)

(42.0)

Norway

Mowi

ASA

..............

(3,046)

(77,611)

(38.1)

Russia

Evraz

plc

...............

(7,433)

(63,507)

(31.2)

Saudi

Arabia

Delivery

Hero

SE

.........

(344)

(51,425)

(25.3)

Singapore

Keppel

Corp.

Ltd.

.........

(10,000)

(40,428)

(19.9)

Singapore

Airlines

Ltd.

......

(24,500)

(91,851)

(45.1)

Singapore

Exchange

Ltd.

....

(4,900)

(42,875)

(21.1)

Venture

Corp.

Ltd.

.........

(3,900)

(54,705)

(26.9)

(229,859)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

48

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Spain

Aena

SME

SA

...........

(308)

$

(49,048)

(24.1)

%

EDP

Renovaveis

SA

.......

(1,049)

(24,639)

(12.1)

Grifols

SA

..............

(1,103)

(28,051)

(13.8)

(101,738)

Sweden

Atlas

Copco

AB,

Class

A

....

(2,549)

(172,631)

(84.8)

Autoliv,

Inc.

.............

(304)

(30,668)

(15.1)

Embracer

Group

AB

.......

(8,810)

(228,016)

(112.0)

Epiroc

AB,

Class

A

........

(934)

(21,757)

(10.7)

Essity

AB,

Class

B

........

(7,530)

(246,365)

(121.0)

Investment

AB

Latour,

Class

B

(16,148)

(631,096)

(310.0)

Sandvik

AB

.............

(1,999)

(52,127)

(25.6)

Sinch

AB

...............

(1,390)

(28,030)

(13.8)

Svenska

Cellulosa

AB

SCA,

Class

B

..............

(3,282)

(61,046)

(30.0)

Volvo

AB,

Class

B

.........

(1,527)

(36,009)

(17.7)

(1,507,745)

Switzerland

ABB

Ltd.

(Registered)

......

(12,892)

(471,310)

(231.5)

Alcon,

Inc.

..............

(1,676)

(122,011)

(59.9)

Banque

Cantonale

Vaudoise

(Registered)

...........

(1,456)

(129,980)

(63.9)

Barry

Callebaut

AG

(Registered)

(119)

(301,622)

(148.2)

Credit

Suisse

Group

AG

(Registered)

...........

(6,923)

(69,502)

(34.1)

EMS-Chemie

Holding

AG

(Registered)

...........

(22)

(24,388)

(12.0)

Lonza

Group

AG

(Registered)

.

(61)

(47,496)

(23.3)

Partners

Group

Holding

AG

..

(29)

(49,543)

(24.3)

Schindler

Holding

AG

......

(130)

(42,086)

(20.7)

Vifor

Pharma

AG

..........

(2,029)

(283,759)

(139.4)

(1,541,697)

Taiwan

Sea

Ltd.,

ADR

...........

(265)

(73,182)

(35.9)

United

Kingdom

Admiral

Group

plc

.........

(1,137)

(53,710)

(26.4)

AVEVA

Group

plc

.........

(725)

(39,558)

(19.4)

Compass

Group

plc

........

(1,213)

(25,631)

(12.6)

GlaxoSmithKline

plc

.......

(1,330)

(26,259)

(12.9)

Halma

plc

..............

(2,985)

(119,821)

(58.8)

Informa

plc

..............

(3,510)

(24,118)

(11.8)

InterContinental

Hotels

Group

plc

.................

(1,794)

(118,482)

(58.2)

Just

Eat

Takeaway.com

NV

...

(637)

(56,566)

(27.8)

Liberty

Global

plc,

Class

A

...

(3,328)

(89,357)

(43.9)

Linde

plc

...............

(566)

(173,983)

(85.5)

London

Stock

Exchange

Group

plc

.................

(1,901)

(198,220)

(97.4)

Melrose

Industries

plc

......

(9,462)

(21,027)

(10.3)

National

Grid

plc

..........

(1,920)

(24,549)

(12.1)

Ocado

Group

plc

.........

(2,381)

(61,352)

(30.1)

Prudential

plc

............

(2,396)

(44,994)

(22.1)

Reckitt

Benckiser

Group

plc

..

(1,077)

(82,390)

(40.5)

Rolls-Royce

Holdings

plc

....

(14,372)

(19,849)

(9.7)

Tesco

plc

...............

(48,153)

(155,891)

(76.6)

Whitbread

plc

............

(1,102)

(46,577)

(22.9)

(1,382,334)

United

States

10X

Genomics,

Inc.,

Class

A

..

(371)

(67,978)

(33.4)

Abbott

Laboratories

........

(1,496)

(180,986)

(88.9)

Activision

Blizzard,

Inc.

.....

(1,141)

(95,410)

(46.9)

Air

Products

&

Chemicals,

Inc.

(411)

(119,613)

(58.8)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Albemarle

Corp.

..........

(183)

$

(37,705)

(18.5)

%

Alleghany

Corp.

..........

(168)

(111,401)

(54.7)

Altria

Group,

Inc.

..........

(2,121)

(101,893)

(50.1)

Amcor

plc

..............

(7,371)

(85,209)

(41.9)

American

Electric

Power

Co.,

Inc.

.................

(3,144)

(277,049)

(136.1)

American

Water

Works

Co.,

Inc.

(534)

(90,839)

(44.6)

AMETEK,

Inc.

...........

(164)

(22,804)

(11.2)

Amphenol

Corp.,

Class

A

....

(686)

(49,728)

(24.4)

Analog

Devices,

Inc.

.......

(1,638)

(274,234)

(134.7)

Anthem,

Inc.

............

(74)

(28,417)

(14.0)

Aon

plc,

Class

A

..........

(1,096)

(284,993)

(140.0)

Aptiv

plc

...............

(522)

(87,096)

(42.8)

Arthur

J

Gallagher

&

Co.

....

(142)

(19,782)

(9.7)

Atmos

Energy

Corp.

.......

(996)

(98,196)

(48.2)

Automatic

Data

Processing,

Inc.

(218)

(45,699)

(22.4)

Avalara,

Inc.

.............

(2,167)

(362,257)

(177.9)

Baker

Hughes

Co.

.........

(7,838)

(166,479)

(81.8)

Ball

Corp.

..............

(474)

(38,337)

(18.8)

Bausch

Health

Cos.,

Inc.

....

(12,666)

(370,559)

(182.0)

Baxter

International,

Inc.

....

(2,906)

(224,779)

(110.4)

Becton

Dickinson

and

Co.

...

(741)

(189,511)

(93.1)

BioMarin

Pharmaceutical,

Inc.

.

(948)

(72,740)

(35.7)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(367)

(271,400)

(133.3)

Bio-Techne

Corp.

.........

(246)

(118,631)

(58.3)

Black

Knight,

Inc.

.........

(1,724)

(142,764)

(70.1)

Boeing

Co.

(The)

.........

(220)

(49,826)

(24.5)

Booking

Holdings,

Inc.

......

(11)

(23,961)

(11.8)

BorgWarner,

Inc.

..........

(718)

(35,168)

(17.3)

Bristol-Myers

Squibb

Co.

....

(358)

(24,297)

(11.9)

Broadcom,

Inc.

...........

(331)

(160,667)

(78.9)

Brookfield

Renewable

Corp.

..

(1,056)

(44,810)

(22.0)

Burlington

Stores,

Inc.

......

(156)

(52,229)

(25.7)

Cable

One,

Inc.

..........

(15)

(28,320)

(13.9)

Campbell

Soup

Co.

........

(608)

(26,582)

(13.1)

Carnival

Corp.

...........

(7,627)

(165,125)

(81.1)

Catalent,

Inc.

............

(1,133)

(135,745)

(66.7)

Caterpillar,

Inc.

...........

(16)

(3,308)

(1.6)

Celanese

Corp.

..........

(139)

(21,652)

(10.6)

CenterPoint

Energy,

Inc.

....

(1,197)

(30,476)

(15.0)

Ceridian

HCM

Holding,

Inc.

..

(1,934)

(190,306)

(93.5)

Charles

River

Laboratories

International,

Inc.

.......

(781)

(317,805)

(156.1)

Charter

Communications,

Inc.,

Class

A

..............

(218)

(162,203)

(79.7)

Church

&

Dwight

Co.,

Inc.

...

(2,334)

(202,078)

(99.3)

Cisco

Systems,

Inc.

........

(376)

(20,819)

(10.2)

Clorox

Co.

(The)

..........

(279)

(50,468)

(24.8)

Cloudflare,

Inc.,

Class

A

.....

(413)

(48,994)

(24.1)

CME

Group,

Inc.

..........

(243)

(51,548)

(25.3)

CMS

Energy

Corp.

........

(1,155)

(71,367)

(35.1)

Consolidated

Edison,

Inc.

....

(839)

(61,893)

(30.4)

CoStar

Group,

Inc.

........

(2,370)

(210,575)

(103.4)

Coupa

Software,

Inc.

.......

(1,069)

(231,973)

(113.9)

CyberArk

Software

Ltd.

.....

(1,475)

(209,494)

(102.9)

Danaher

Corp.

...........

(2,876)

(855,581)

(420.3)

Datadog,

Inc.,

Class

A

......

(594)

(65,756)

(32.3)

Delta

Air

Lines,

Inc.

........

(597)

(23,820)

(11.7)

Discovery,

Inc.,

Class

A

.....

(920)

(26,689)

(13.1)

DR

Horton,

Inc.

...........

(301)

(28,724)

(14.1)

DraftKings,

Inc.,

Class

A

.....

(1,364)

(66,154)

(32.5)

Dynatrace,

Inc.

...........

(1,459)

(93,186)

(45.8)

Edison

International

........

(874)

(47,633)

(23.4)

Elanco

Animal

Health,

Inc.

...

(1,605)

(58,534)

(28.8)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

49

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Enphase

Energy,

Inc.

.......

(161)

$

(30,526)

(15.0)

%

Erie

Indemnity

Co.,

Class

A

..

(301)

(55,652)

(27.3)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(157)

(52,411)

(25.7)

Exact

Sciences

Corp.

......

(843)

(90,909)

(44.7)

FactSet

Research

Systems,

Inc.

(124)

(44,303)

(21.8)

Fidelity

National

Information

Services,

Inc.

..........

(1,278)

(190,486)

(93.6)

FirstEnergy

Corp.

.........

(4,833)

(185,201)

(91.0)

Fiserv,

Inc.

..............

(712)

(81,958)

(40.3)

FleetCor

Technologies,

Inc.

...

(319)

(82,372)

(40.5)

Ford

Motor

Co.

...........

(1,692)

(23,603)

(11.6)

Freeport-McMoRan,

Inc.

....

(1,752)

(66,751)

(32.8)

Generac

Holdings,

Inc.

.....

(149)

(62,485)

(30.7)

General

Electric

Co.

.......

(12,012)

(155,555)

(76.4)

General

Mills,

Inc.

.........

(2,965)

(174,520)

(85.7)

General

Motors

Co.

........

(495)

(28,136)

(13.8)

Global

Payments,

Inc.

......

(615)

(118,947)

(58.4)

Globe

Life,

Inc.

...........

(682)

(63,501)

(31.2)

Hasbro,

Inc.

.............

(470)

(46,737)

(23.0)

HEICO

Corp.

............

(239)

(32,325)

(15.9)

Hess

Corp.

.............

(931)

(71,166)

(35.0)

Hilton

Worldwide

Holdings,

Inc.

(876)

(115,150)

(56.6)

Honeywell

International,

Inc.

..

(258)

(60,318)

(29.6)

Hormel

Foods

Corp.

.......

(2,148)

(99,624)

(48.9)

Howmet

Aerospace,

Inc.

....

(1,953)

(64,097)

(31.5)

Huntington

Ingalls

Industries,

Inc.

.................

(211)

(43,282)

(21.3)

IAC/InterActiveCorp

........

(775)

(106,400)

(52.3)

Ingersoll

Rand,

Inc.

........

(1,042)

(50,923)

(25.0)

International

Business

Machines

Corp.

...............

(361)

(50,887)

(25.0)

IPG

Photonics

Corp.

.......

(119)

(25,961)

(12.8)

Jack

Henry

&

Associates,

Inc.

.

(311)

(54,142)

(26.6)

JPMorgan

Chase

&

Co.

.....

(668)

(101,389)

(49.8)

Kansas

City

Southern

......

(29)

(7,766)

(3.8)

Kellogg

Co.

.............

(1,345)

(85,219)

(41.9)

Kimberly-Clark

Corp.

.......

(1,119)

(151,871)

(74.6)

Lamb

Weston

Holdings,

Inc.

..

(1,240)

(82,795)

(40.7)

Las

Vegas

Sands

Corp.

.....

(4,111)

(174,101)

(85.5)

Liberty

Broadband

Corp.,

Class

C

..................

(2,092)

(371,309)

(182.4)

Liberty

Media

Corp-Liberty

SiriusXM

.............

(720)

(33,617)

(16.5)

Lincoln

National

Corp.

......

(324)

(19,965)

(9.8)

Live

Nation

Entertainment,

Inc.

(345)

(27,217)

(13.4)

Lumen

Technologies,

Inc.

....

(5,774)

(72,002)

(35.4)

MarketAxess

Holdings,

Inc.

..

(147)

(69,850)

(34.3)

Marriott

International,

Inc.,

Class

A

..................

(204)

(29,780)

(14.6)

Marsh

&

McLennan

Cos.,

Inc.

.

(1,114)

(164,003)

(80.6)

Match

Group,

Inc.

.........

(103)

(16,405)

(8.1)

Medtronic

plc

............

(2,182)

(286,518)

(140.7)

MGM

Resorts

International

...

(879)

(32,989)

(16.2)

Microchip

Technology,

Inc.

...

(519)

(74,279)

(36.5)

Micron

Technology,

Inc.

.....

(1,393)

(108,069)

(53.1)

MSCI,

Inc.

..............

(126)

(75,091)

(36.9)

Netflix,

Inc.

..............

(335)

(173,386)

(85.2)

Neurocrine

Biosciences,

Inc.

..

(317)

(29,548)

(14.5)

NextEra

Energy,

Inc.

.......

(1,812)

(141,155)

(69.3)

NiSource,

Inc.

...........

(2,346)

(58,110)

(28.5)

NortonLifeLock,

Inc.

.......

(960)

(23,827)

(11.7)

Novocure

Ltd.

............

(108)

(16,633)

(8.2)

Nucor

Corp.

.............

(808)

(84,048)

(41.3)

ON

Semiconductor

Corp.

....

(1,237)

(48,317)

(23.7)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Oracle

Corp.

............

(3,745)

$

(326,339)

(160.3)

%

Packaging

Corp.

of

America

..

(634)

(89,711)

(44.1)

Palo

Alto

Networks,

Inc.

.....

(107)

(42,698)

(21.0)

Paycom

Software,

Inc.

......

(47)

(18,800)

(9.2)

PayPal

Holdings,

Inc.

......

(965)

(265,886)

(130.6)

Peloton

Interactive,

Inc.,

Class

A

(961)

(113,446)

(55.7)

PerkinElmer,

Inc.

.........

(1,231)

(224,325)

(110.2)

Pfizer,

Inc.

..............

(1,009)

(43,195)

(21.2)

PG&E

Corp.

.............

(2,205)

(19,382)

(9.5)

Phillips

66

..............

(680)

(49,932)

(24.5)

Plug

Power,

Inc.

..........

(2,257)

(61,571)

(30.2)

PNC

Financial

Services

Group,

Inc.

(The)

............

(177)

(32,287)

(15.9)

PPG

Industries,

Inc.

.......

(742)

(121,332)

(59.6)

Public

Service

Enterprise

Group,

Inc.

.................

(439)

(27,319)

(13.4)

Reinsurance

Group

of

America,

Inc.

.................

(347)

(38,232)

(18.8)

Republic

Services,

Inc.

.....

(1,366)

(161,680)

(79.4)

RingCentral,

Inc.,

Class

A

....

(367)

(98,088)

(48.2)

Rollins,

Inc.

.............

(1,070)

(41,013)

(20.1)

Royal

Caribbean

Cruises

Ltd.

.

(252)

(19,371)

(9.5)

S&P

Global,

Inc.

..........

(209)

(89,602)

(44.0)

salesforce.com,

Inc.

.......

(1,466)

(354,669)

(174.2)

Schlumberger

NV

.........

(13,220)

(381,133)

(187.2)

Schneider

Electric

SE

......

(2,192)

(367,135)

(180.3)

Seagen,

Inc.

............

(530)

(81,297)

(39.9)

SEI

Investments

Co.

.......

(629)

(38,243)

(18.8)

Snap,

Inc.,

Class

A

........

(843)

(62,736)

(30.8)

SolarEdge

Technologies,

Inc.

.

(375)

(97,305)

(47.8)

Southwest

Airlines

Co.

......

(1,167)

(58,957)

(29.0)

SS&C

Technologies

Holdings,

Inc.

.................

(1,693)

(132,714)

(65.2)

Sunrun,

Inc.

.............

(2,077)

(110,019)

(54.0)

Take-Two

Interactive

Software,

Inc.

.................

(274)

(47,517)

(23.3)

TE

Connectivity

Ltd.

.......

(2,008)

(296,120)

(145.5)

Teladoc

Health,

Inc.

........

(791)

(117,424)

(57.7)

Teledyne

Technologies,

Inc.

..

(225)

(101,873)

(50.0)

Teleflex,

Inc.

.............

(61)

(24,243)

(11.9)

Thermo

Fisher

Scientific,

Inc.

.

(621)

(335,346)

(164.7)

T-Mobile

US,

Inc.

.........

(4,162)

(599,411)

(294.4)

Trade

Desk,

Inc.

(The),

Class

A

(635)

(52,013)

(25.5)

Tradeweb

Markets,

Inc.,

Class

A

(921)

(79,878)

(39.2)

TransUnion

.............

(1,161)

(139,390)

(68.5)

Twilio,

Inc.,

Class

A

........

(644)

(240,592)

(118.2)

Twitter,

Inc.

.............

(866)

(60,404)

(29.7)

Tyler

Technologies,

Inc.

.....

(266)

(131,042)

(64.4)

Union

Pacific

Corp.

........

(212)

(46,377)

(22.8)

Valero

Energy

Corp.

.......

(1,209)

(80,967)

(39.8)

Verisk

Analytics,

Inc.

.......

(763)

(144,924)

(71.2)

Viatris,

Inc.

..............

(18,600)

(261,702)

(128.6)

Visa,

Inc.,

Class

A

.........

(2,124)

(523,332)

(257.1)

Vistra

Corp.

.............

(3,020)

(57,833)

(28.4)

Waste

Management,

Inc.

....

(2,593)

(384,438)

(188.8)

Wells

Fargo

&

Co.

.........

(2,911)

(133,731)

(65.7)

Western

Digital

Corp.

.......

(310)

(20,128)

(9.9)

Westinghouse

Air

Brake

Technologies

Corp.

......

(1,868)

(158,537)

(77.9)

Williams

Cos.,

Inc.

(The)

....

(1,193)

(29,885)

(14.7)

Wynn

Resorts

Ltd.

........

(222)

(21,829)

(10.7)

Xcel

Energy,

Inc.

..........

(1,202)

(82,037)

(40.3)

Zendesk,

Inc.

............

(474)

(61,871)

(30.4)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(134)

(50,665)

(24.9)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

50

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Zscaler,

Inc.

.............

(213)

$

(50,249)

(24.7)

%

(20,724,017)

Zambia

First

Quantum

Minerals

Ltd.

..

(1,288)

(27,585)

(13.5)

Total

Reference

Entity

—

Short

............

(37,406,038)

Net

Value

of

Reference

Entity

—

Goldman

Sachs

International

.........................

$

203,575

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

JPMorgan

Chase

Bank

NA,

as

of

July

31,

2021,

expiration

date

02/08/23:

Reference

Entity

—

Long

Brazil

Wheaton

Precious

Metals

Corp.

3,930

181,537

227.0

Canada

Alimentation

Couche-Tard,

Inc.,

Class

B

..............

2,439

98,315

123.0

AltaGas

Ltd.

.............

4,932

104,404

130.6

Atco

Ltd.,

Class

I

.........

3,377

122,022

152.6

B2Gold

Corp.

............

49,835

208,911

261.3

Bank

of

Montreal

.........

1,594

157,829

197.4

Bank

of

Nova

Scotia

(The)

...

317

19,786

24.7

Canadian

Apartment

Properties

REIT

................

2,365

118,193

147.8

Canadian

Imperial

Bank

of

Commerce

...........

1,796

208,838

261.2

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

1,326

204,002

255.1

CCL

Industries,

Inc.,

Class

B

..

2,075

119,001

148.8

CGI,

Inc.

...............

730

66,406

83.0

Constellation

Software,

Inc.

..

159

254,689

318.5

Empire

Co.

Ltd.,

Class

A

....

5,748

188,759

236.1

Fairfax

Financial

Holdings

Ltd.

202

85,091

106.4

George

Weston

Ltd.

.......

4,215

437,109

546.7

Gildan

Activewear,

Inc.

......

3,836

132,243

165.4

Hydro

One

Ltd.

...........

9,287

229,272

286.7

iA

Financial

Corp.,

Inc.

......

1,156

63,952

80.0

Kinross

Gold

Corp.

........

19,810

129,727

162.2

Manulife

Financial

Corp.

.....

1,352

26,138

32.7

National

Bank

of

Canada

....

2,245

171,830

214.9

Nutrien

Ltd.

.............

923

54,880

68.6

Onex

Corp.

.............

1,405

107,098

133.9

Open

Text

Corp.

..........

5,674

294,706

368.6

Parkland

Corp.

...........

3,072

97,779

122.3

Power

Corp.

of

Canada

.....

3,133

99,997

125.1

Quebecor,

Inc.,

Class

B

.....

8,386

219,396

274.4

Ritchie

Bros

Auctioneers,

Inc.

.

767

45,789

57.3

Royal

Bank

of

Canada

......

2,158

218,256

273.0

Sun

Life

Financial,

Inc.

......

2,801

145,887

182.5

Thomson

Reuters

Corp.

.....

906

96,003

120.1

Toromont

Industries

Ltd.

.....

490

41,408

51.8

WSP

Global,

Inc.

.........

322

38,221

47.8

4,605,937

South

Korea

HDC

Holdings

Co.

Ltd.

......

1

11

0.0

United

States

Fortive

Corp.

............

1

73

0.1

Total

Reference

Entity

—

Long

............

4,787,558

Shares

Value

%

of

Basket

Value

Reference

Entity

—

Short

Canada

Agnico

Eagle

Mines

Ltd.

.....

(296)

$

(19,149)

(24.0)

%

Air

Canada

.............

(3,965)

(79,389)

(99.3)

Algonquin

Power

&

Utilities

Corp.

...............

(5,576)

(88,851)

(111.1)

Barrick

Gold

Corp.

........

(12,132)

(264,111)

(330.3)

Brookfield

Asset

Management,

Inc.,

Class

A

...........

(6,843)

(369,410)

(462.0)

Cameco

Corp.

...........

(6,897)

(122,671)

(153.4)

Canadian

Natural

Resources

Ltd.

................

(1,738)

(57,353)

(71.7)

Canadian

Utilities

Ltd.,

Class

A

(3,632)

(106,404)

(133.1)

Cenovus

Energy,

Inc.

.......

(3,733)

(31,148)

(39.0)

Dollarama,

Inc.

...........

(4,938)

(232,532)

(290.8)

Emera,

Inc.

.............

(9,974)

(465,203)

(581.8)

Enbridge,

Inc.

............

(572)

(22,548)

(28.2)

FirstService

Corp.

.........

(350)

(65,192)

(81.5)

Fortis,

Inc.

..............

(6,331)

(287,118)

(359.1)

Franco-Nevada

Corp.

......

(311)

(49,744)

(62.2)

GFL

Environmental,

Inc.

.....

(16,040)

(558,752)

(698.8)

Ivanhoe

Mines

Ltd.,

Class

A

..

(9,312)

(69,116)

(86.4)

Kirkland

Lake

Gold

Ltd.

.....

(5,649)

(241,563)

(302.1)

Lightspeed

POS,

Inc.

.......

(463)

(39,646)

(49.6)

Northland

Power,

Inc.

......

(3,976)

(139,523)

(174.5)

Nuvei

Corp.

.............

(388)

(31,874)

(39.9)

Pan

American

Silver

Corp.

...

(9,456)

(265,505)

(332.1)

Restaurant

Brands

International,

Inc.

.................

(2,532)

(172,751)

(216.1)

Saputo,

Inc.

.............

(4,301)

(124,107)

(155.2)

Shopify,

Inc.,

Class

A

.......

(98)

(147,126)

(184.0)

TC

Energy

Corp.

..........

(10,861)

(529,469)

(662.2)

(4,580,255)

Chile

Lundin

Mining

Corp.

.......

(2,171)

(19,785)

(24.7)

United

States

Brookfield

Renewable

Corp.

..

(1,059)

(44,937)

(56.2)

Lennar

Corp.,

Class

B

......

(1)

(87)

(0.1)

(45,024)

Zambia

First

Quantum

Minerals

Ltd.

..

(2,920)

(62,538)

(78.2)

Total

Reference

Entity

—

Short

............

(4,707,602)

Net

Value

of

Reference

Entity

—

JPMorgan

Chase

Bank

NA

............................

$

79,956

The

following

table

represents

the

individual

long

and

short

positions

and

related

values

of

equity

securities

underlying

the

total

return

swap

with

Merrill

Lynch

International

&

Co.,

as

of

July

31,

2021,

expiration

date

02/15/23:

Reference

Entity

—

Long

Australia

AGL

Energy

Ltd.

..........

21,192

112,225

53.1

Aristocrat

Leisure

Ltd.

......

160

4,903

2.3

BHP

Group

Ltd.

..........

1,958

76,908

36.4

BHP

Group

plc

...........

3,392

109,821

51.9

Brambles

Ltd.

............

2,984

25,548

12.1

Cochlear

Ltd.

............

1,545

279,520

132.1

South32

Ltd.

............

11,848

25,962

12.3

Telstra

Corp.

Ltd.

.........

7,816

21,771

10.3

656,658

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

51

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Austria

Mondi

plc

...............

3,514

$

97,421

46.1

%

Raiffeisen

Bank

International

AG

1,200

28,374

13.4

voestalpine

AG

...........

911

40,189

19.0

165,984

Belgium

Ageas

SA/NV

............

383

20,224

9.6

Etablissements

Franz

Colruyt

NV

.................

175

9,950

4.7

Groupe

Bruxelles

Lambert

SA

.

188

21,874

10.3

52,048

Brazil

Wheaton

Precious

Metals

Corp.

454

20,971

9.9

Canada

Atco

Ltd.,

Class

I

.........

1,250

45,167

21.4

Bank

of

Nova

Scotia

(The)

...

1,530

95,496

45.2

Canadian

Imperial

Bank

of

Commerce

...........

601

69,884

33.0

Canadian

Tire

Corp.

Ltd.,

Class

A

..................

388

59,693

28.2

Constellation

Software,

Inc.

..

311

498,166

235.5

Fairfax

Financial

Holdings

Ltd.

59

24,853

11.8

George

Weston

Ltd.

.......

453

46,978

22.2

Gildan

Activewear,

Inc.

......

1,841

63,467

30.0

Hydro

One

Ltd.

...........

19,903

491,353

232.3

Intact

Financial

Corp.

.......

949

129,312

61.1

Nutrien

Ltd.

.............

701

41,680

19.7

Royal

Bank

of

Canada

......

1,578

159,596

75.5

Teck

Resources

Ltd.,

Class

B

.

1,964

44,834

21.2

Thomson

Reuters

Corp.

.....

611

64,744

30.6

West

Fraser

Timber

Co.

Ltd.

..

133

9,540

4.5

1,844,763

Denmark

Carlsberg

AS,

Class

B

......

114

21,066

10.0

Coloplast

A/S,

Class

B

......

1,604

293,313

138.7

Genmab

A/S

............

607

274,351

129.7

GN

Store

Nord

A/S

........

263

23,048

10.9

Novo

Nordisk

A/S,

Class

B

...

7,677

710,670

336.0

Novozymes

A/S,

Class

B

....

477

37,475

17.7

1,359,923

Finland

Kesko

OYJ,

Class

B

.......

3,453

148,002

70.0

Neste

OYJ

..............

1,310

80,527

38.1

Nordea

Bank

Abp

.........

7,882

92,302

43.6

Stora

Enso

OYJ,

Class

R

....

4,786

94,771

44.8

415,602

France

Arkema

SA

.............

162

20,620

9.7

BNP

Paribas

SA

..........

601

36,648

17.3

Cie

de

Saint-Gobain

.......

3,565

254,820

120.5

Dassault

Systemes

SE

.....

3,315

182,863

86.4

Engie

SA

...............

2,018

26,911

12.7

Eurazeo

SE

.............

617

59,764

28.3

Hermes

International

.......

22

33,633

15.9

Ipsen

SA

...............

671

71,703

33.9

La

Francaise

des

Jeux

SAEM

.

901

48,169

22.8

Orange

SA

..............

7,499

83,457

39.5

Pernod

Ricard

SA

.........

537

118,520

56.0

Publicis

Groupe

SA

........

767

48,421

22.9

SEB

SA

................

126

20,936

9.9

Teleperformance

..........

128

53,990

25.5

Thales

SA

..............

609

63,918

30.2

Shares

Value

%

of

Basket

Value

France

(continued)

Vivendi

SE

..............

2,591

$

87,541

41.4

%

1,211,914

Germany

BASF

SE

...............

358

28,131

13.3

Deutsche

Boerse

AG

.......

124

20,691

9.8

Deutsche

Post

AG

(Registered)

10,203

691,470

326.9

Evonik

Industries

AG

.......

768

26,704

12.6

HeidelbergCement

AG

......

233

20,648

9.8

LEG

Immobilien

SE

........

272

42,989

20.3

SAP

SE

................

162

23,249

11.0

Scout24

AG

.............

489

41,875

19.8

Siemens

AG

(Registered)

....

209

32,611

15.4

Symrise

AG

.............

961

141,699

67.0

Vonovia

SE

.............

946

62,984

29.8

1,133,051

Ireland

CRH

plc

...............

796

39,784

18.8

Smurfit

Kappa

Group

plc

....

240

13,539

6.4

53,323

Israel

Bank

Hapoalim

BM

........

3,226

25,672

12.2

Israel

Discount

Bank

Ltd.,

Class

A

..................

10,213

47,843

22.6

73,515

Italy

Assicurazioni

Generali

SpA

...

812

16,190

7.6

Enel

SpA

...............

25,749

237,291

112.2

Terna

SpA

..............

820

6,508

3.1

259,989

Japan

AGC,

Inc.

..............

5,400

230,921

109.2

Aisin

Corp.

..............

100

4,048

1.9

Ajinomoto

Co.,

Inc.

........

2,000

50,954

24.1

Asahi

Kasei

Corp.

.........

10,400

113,411

53.6

Astellas

Pharma,

Inc.

.......

3,100

49,375

23.3

Brother

Industries

Ltd.

......

100

2,035

1.0

Daito

Trust

Construction

Co.

Ltd.

900

105,741

50.0

ENEOS

Holdings,

Inc.

......

48,700

204,569

96.7

FUJIFILM

Holdings

Corp.

....

1,300

93,292

44.1

Fujitsu

Ltd.

..............

2,200

374,287

177.0

Hitachi

Ltd.

.............

600

34,512

16.3

Honda

Motor

Co.

Ltd.

......

11,800

378,991

179.2

Hoshizaki

Corp.

..........

1,500

125,959

59.6

Iida

Group

Holdings

Co.

Ltd.

..

800

19,305

9.1

Isuzu

Motors

Ltd.

.........

3,700

49,357

23.3

JSR

Corp.

..............

2,300

77,096

36.4

Kajima

Corp.

............

12,600

162,197

76.7

KDDI

Corp.

.............

1,700

51,992

24.6

Kikkoman

Corp.

..........

400

24,495

11.6

Kyocera

Corp.

...........

700

43,254

20.4

Marubeni

Corp.

...........

1,700

14,469

6.8

Mitsubishi

Electric

Corp.

.....

14,700

199,439

94.3

Mitsubishi

Gas

Chemical

Co.,

Inc.

.................

1,900

39,579

18.7

Mitsubishi

UFJ

Financial

Group,

Inc.

.................

29,900

157,952

74.7

Mitsui

&

Co.

Ltd.

..........

1,000

22,952

10.9

Mitsui

Chemicals,

Inc.

......

1,400

44,644

21.1

Mitsui

Fudosan

Co.

Ltd.

.....

2,800

65,484

31.0

NGK

Insulators

Ltd.

........

1,300

20,819

9.8

Nippon

Express

Co.

Ltd.

....

1,000

73,050

34.5

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

52

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Japan

(continued)

Nippon

Telegraph

&

Telephone

Corp.

...............

5,100

$

130,601

61.7

%

Nisshin

Seifun

Group,

Inc.

...

1,400

22,572

10.7

Nitto

Denko

Corp.

.........

8,000

594,387

281.0

Nomura

Research

Institute

Ltd.

1,200

38,616

18.3

NSK

Ltd.

...............

1,000

8,253

3.9

Osaka

Gas

Co.

Ltd.

........

19,400

362,445

171.4

Panasonic

Corp.

..........

19,500

235,464

111.3

Pola

Orbis

Holdings,

Inc.

....

300

7,171

3.4

Recruit

Holdings

Co.

Ltd.

....

1,500

77,746

36.8

Seiko

Epson

Corp.

........

1,800

30,971

14.6

Subaru

Corp.

............

4,700

92,341

43.7

Sumitomo

Chemical

Co.

Ltd.

..

18,500

96,302

45.5

Sumitomo

Mitsui

Financial

Group,

Inc.

...........

4,800

161,804

76.5

Suzuki

Motor

Corp.

........

500

20,343

9.6

Sysmex

Corp.

...........

700

83,293

39.4

Taisei

Corp.

.............

2,000

67,403

31.9

TDK

Corp.

..............

1,800

205,380

97.1

Terumo

Corp.

............

2,100

81,503

38.5

Tokyo

Gas

Co.

Ltd.

........

2,500

47,322

22.4

TOPPAN,

Inc.

............

1,600

27,141

12.8

Toray

Industries,

Inc.

.......

7,100

46,748

22.1

Yamaha

Motor

Co.

Ltd.

.....

7,400

185,301

87.6

Yamato

Holdings

Co.

Ltd.

....

800

23,056

10.9

5,480,342

Netherlands

Adyen

NV

..............

21

56,911

26.9

Koninklijke

DSM

NV

.......

180

36,285

17.2

Koninklijke

KPN

NV

........

11,224

36,830

17.4

Koninklijke

Philips

NV

......

1,239

57,130

27.0

NN

Group

NV

............

800

39,773

18.8

Randstad

NV

............

5,765

418,255

197.7

645,184

Norway

Equinor

ASA

............

1,426

27,777

13.1

Portugal

Galp

Energia

SGPS

SA

.....

11,654

113,647

53.7

Russia

Coca-Cola

HBC

AG

........

699

26,396

12.5

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

.................

3,893

24,921

11.8

Banco

Santander

SA

.......

5,082

18,616

8.8

Iberdrola

SA

.............

14,920

102,345

48.4

Repsol

SA

..............

17,073

186,999

88.4

332,881

Sweden

Assa

Abloy

AB,

Class

B

.....

1,518

48,692

23.0

Husqvarna

AB,

Class

B

.....

2,052

28,715

13.6

Investor

AB,

Class

B

.......

10,458

258,987

122.4

Lundin

Energy

AB

.........

5,762

179,627

84.9

Telefonaktiebolaget

LM

Ericsson,

Class

B

..............

2,246

25,906

12.3

Telia

Co.

AB

.............

13,376

58,671

27.7

600,598

Switzerland

Adecco

Group

AG

(Registered)

2,119

126,899

60.0

Baloise

Holding

AG

(Registered)

304

47,932

22.7

Geberit

AG

(Registered)

.....

110

90,319

42.7

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Julius

Baer

Group

Ltd.

......

1,397

$

92,205

43.6

%

Kuehne

+

Nagel

International

AG

(Registered)

...........

126

42,504

20.1

Nestle

SA

(Registered)

.....

1,148

145,371

68.7

Novartis

AG

(Registered)

....

1,229

113,656

53.7

Roche

Holding

AG

........

388

149,889

70.9

Sonova

Holding

AG

(Registered)

494

193,962

91.7

STMicroelectronics

NV

.....

610

25,104

11.9

Straumann

Holding

AG

(Registered)

...........

49

90,847

42.9

UBS

Group

AG

(Registered)

..

15,191

250,284

118.3

1,368,972

United

Kingdom

3i

Group

plc

.............

6,300

111,971

52.9

Ashtead

Group

plc

........

624

46,694

22.1

Aviva

plc

...............

3,929

21,101

10.0

BAE

Systems

plc

.........

9,158

73,425

34.7

BP

plc

.................

37,663

151,180

71.5

Bunzl

plc

...............

3,047

112,883

53.4

Experian

plc

.............

2,495

109,844

51.9

Imperial

Brands

plc

........

197

4,218

2.0

J

Sainsbury

plc

...........

11,386

44,836

21.2

JD

Sports

Fashion

plc

......

6,274

78,175

37.0

Legal

&

General

Group

plc

...

8,785

31,823

15.0

Pentair

plc

..............

55

4,052

1.9

RELX

plc

...............

1,075

31,599

14.9

WPP

plc

...............

4,732

61,199

28.9

883,000

United

States

3M

Co.

................

353

69,873

33.0

Accenture

plc,

Class

A

......

927

294,489

139.2

Adobe,

Inc.

.............

336

208,868

98.7

Advanced

Micro

Devices,

Inc.

.

1,132

120,207

56.8

Agilent

Technologies,

Inc.

....

1,098

168,247

79.5

Align

Technology,

Inc.

......

425

295,715

139.8

Allegion

plc

.............

268

36,609

17.3

Ally

Financial,

Inc.

.........

1,434

73,650

34.8

Alphabet,

Inc.,

Class

A

......

55

148,199

70.1

Amazon.com,

Inc.

.........

51

169,707

80.2

AMERCO

..............

77

45,273

21.4

Ameriprise

Financial,

Inc.

....

602

155,051

73.3

Apple,

Inc.

..............

131

19,108

9.0

Applied

Materials,

Inc.

......

709

99,210

46.9

Arch

Capital

Group

Ltd.

.....

557

21,723

10.3

Archer-Daniels-Midland

Co.

..

4,448

265,635

125.6

Arista

Networks,

Inc.

.......

68

25,867

12.2

Autodesk,

Inc.

...........

495

158,959

75.2

Avery

Dennison

Corp.

......

1,672

352,257

166.5

Berkshire

Hathaway,

Inc.,

Class

B

..................

827

230,146

108.8

Best

Buy

Co.,

Inc.

.........

943

105,946

50.1

Booz

Allen

Hamilton

Holding

Corp.

...............

591

50,714

24.0

Bunge

Ltd.

..............

1,213

94,165

44.5

Cadence

Design

Systems,

Inc.

1,504

222,066

105.0

Capital

One

Financial

Corp.

..

196

31,693

15.0

CBRE

Group,

Inc.,

Class

A

...

939

90,576

42.8

Cerner

Corp.

............

3,685

296,237

140.1

CH

Robinson

Worldwide,

Inc.

.

111

9,898

4.7

Cigna

Corp.

.............

292

67,011

31.7

Cintas

Corp.

.............

46

18,132

8.6

Citigroup,

Inc.

............

627

42,398

20.0

Citizens

Financial

Group,

Inc.

.

3,364

141,826

67.1

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

53

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Citrix

Systems,

Inc.

........

623

$

62,767

29.7

%

Coca-Cola

Co.

(The)

.......

603

34,389

16.3

Cognex

Corp.

............

1,447

130,823

61.9

Copart,

Inc.

.............

2,043

300,321

142.0

Corning,

Inc.

............

562

23,525

11.1

Costco

Wholesale

Corp.

.....

116

49,848

23.6

Crown

Holdings,

Inc.

.......

826

82,402

39.0

CSX

Corp.

..............

1,156

37,362

17.7

Darden

Restaurants,

Inc.

....

1,290

188,185

89.0

Deere

&

Co.

.............

299

108,115

51.1

Dentsply

Sirona,

Inc.

.......

330

21,793

10.3

DexCom,

Inc.

............

90

46,396

21.9

Dover

Corp.

.............

1,631

272,573

128.9

Dropbox,

Inc.,

Class

A

......

752

23,680

11.2

DTE

Energy

Co.

..........

219

25,693

12.1

DuPont

de

Nemours,

Inc.

....

1,369

102,743

48.6

Ecolab,

Inc.

.............

457

100,919

47.7

Edwards

Lifesciences

Corp.

..

3,317

372,400

176.1

Electronic

Arts,

Inc.

........

785

113,009

53.4

Emerson

Electric

Co.

.......

1,010

101,899

48.2

EOG

Resources,

Inc.

.......

33

2,404

1.1

Equifax,

Inc.

.............

119

31,011

14.7

Equitable

Holdings,

Inc.

.....

1,439

44,422

21.0

Expeditors

International

of

Washington,

Inc.

........

1,285

164,801

77.9

Facebook,

Inc.,

Class

A

.....

62

22,091

10.4

Fair

Isaac

Corp.

..........

133

69,680

32.9

Fastenal

Co.

............

464

25,413

12.0

FedEx

Corp.

............

221

61,869

29.3

Fifth

Third

Bancorp

........

1,694

61,475

29.1

FMC

Corp.

..............

718

76,790

36.3

Fortinet,

Inc.

.............

2

544

0.3

Fortune

Brands

Home

&

Security,

Inc.

.................

1,153

112,383

53.1

Gartner,

Inc.

.............

76

20,119

9.5

Genuine

Parts

Co.

........

1,127

143,039

67.6

GoDaddy,

Inc.,

Class

A

.....

245

20,543

9.7

Hershey

Co.

(The)

........

376

67,259

31.8

Hewlett

Packard

Enterprise

Co.

4,624

67,048

31.7

Hologic,

Inc.

.............

270

20,261

9.6

HP,

Inc.

................

7,509

216,785

102.5

IDEXX

Laboratories,

Inc.

....

188

127,564

60.3

Illinois

Tool

Works,

Inc.

......

863

195,616

92.5

Illumina,

Inc.

............

108

53,541

25.3

Intel

Corp.

..............

872

46,844

22.1

Interpublic

Group

of

Cos.,

Inc.

(The)

...............

725

25,636

12.1

Intuit,

Inc.

..............

450

238,487

112.8

Intuitive

Surgical,

Inc.

......

46

45,607

21.6

Invesco

Ltd.

.............

1,805

44,006

20.8

IQVIA

Holdings,

Inc.

.......

87

21,550

10.2

J

M

Smucker

Co.

(The)

.....

215

28,189

13.3

James

Hardie

Industries

plc,

CDI

................

1,342

45,277

21.4

Jazz

Pharmaceuticals

plc

....

414

70,181

33.2

JB

Hunt

Transport

Services,

Inc.

491

82,709

39.1

Johnson

Controls

International

plc

.................

2,282

162,980

77.1

KeyCorp

...............

2,195

43,154

20.4

Keysight

Technologies,

Inc.

...

283

46,568

22.0

KLA

Corp.

..............

162

56,402

26.7

Knight-Swift

Transportation

Holdings,

Inc.

..........

2,224

110,511

52.2

Kroger

Co.

(The)

..........

885

36,020

17.0

Shares

Value

%

of

Basket

Value

United

States

(continued)

Laboratory

Corp.

of

America

Holdings

.............

440

$

130,306

61.6

%

Lam

Research

Corp.

.......

159

101,348

47.9

Lennox

International,

Inc.

....

331

109,041

51.6

LKQ

Corp.

..............

2,097

106,423

50.3

Loews

Corp.

............

3,220

172,689

81.6

Lowe's

Cos.,

Inc.

.........

424

81,701

38.6

Lululemon

Athletica,

Inc.

....

84

33,614

15.9

Masco

Corp.

............

932

55,650

26.3

Masimo

Corp.

............

284

77,359

36.6

Maxim

Integrated

Products,

Inc.

512

51,154

24.2

McCormick

&

Co.,

Inc.

(Non-

Voting)

..............

648

54,542

25.8

McDonald's

Corp.

.........

683

165,771

78.4

MetLife,

Inc.

.............

2,149

123,997

58.6

Mettler-Toledo

International,

Inc.

204

300,637

142.1

Microsoft

Corp.

...........

489

139,321

65.9

Molina

Healthcare,

Inc.

.....

220

60,062

28.4

Molson

Coors

Beverage

Co.,

Class

B

..............

494

24,152

11.4

Mondelez

International,

Inc.,

Class

A

..............

1,459

92,296

43.6

Monolithic

Power

Systems,

Inc.

123

55,259

26.1

Monster

Beverage

Corp.

....

297

28,013

13.2

Moody's

Corp.

...........

116

43,616

20.6

Morgan

Stanley

..........

829

79,567

37.6

Mosaic

Co.

(The)

.........

169

5,278

2.5

Motorola

Solutions,

Inc.

.....

335

75,013

35.5

NetApp,

Inc.

.............

483

38,442

18.2

Newell

Brands,

Inc.

........

754

18,662

8.8

NIKE,

Inc.,

Class

B

........

688

115,247

54.5

Nordson

Corp.

...........

445

100,628

47.6

Northern

Trust

Corp.

.......

507

57,215

27.0

NVIDIA

Corp.

............

145

28,274

13.4

Old

Dominion

Freight

Line,

Inc.

82

22,070

10.4

Omnicom

Group,

Inc.

.......

2,817

205,134

97.0

Owens

Corning

...........

1,871

179,915

85.1

Parker-Hannifin

Corp.

......

487

151,959

71.8

PepsiCo,

Inc.

............

760

119,282

56.4

Pinterest,

Inc.,

Class

A

......

1,098

64,672

30.6

Principal

Financial

Group,

Inc.

.

528

32,805

15.5

PTC,

Inc.

...............

431

58,379

27.6

Qorvo,

Inc.

..............

126

23,888

11.3

Qualcomm,

Inc.

..........

2,683

401,913

190.0

Raymond

James

Financial,

Inc.

252

32,629

15.4

Regions

Financial

Corp.

.....

2,285

43,986

20.8

Robert

Half

International,

Inc.

.

2,502

245,721

116.2

Rockwell

Automation,

Inc.

....

698

214,579

101.4

Ross

Stores,

Inc.

.........

1,041

127,720

60.4

Sealed

Air

Corp.

..........

701

39,782

18.8

ServiceNow,

Inc.

..........

120

70,547

33.4

Starbucks

Corp.

..........

2,634

319,847

151.2

State

Street

Corp.

.........

1,410

122,867

58.1

Swiss

Re

AG

............

216

19,583

9.3

Synopsys,

Inc.

...........

1,581

455,312

215.3

Teradyne,

Inc.

...........

103

13,081

6.2

Texas

Instruments,

Inc.

.....

712

135,721

64.2

TJX

Cos.,

Inc.

(The)

.......

1,056

72,663

34.4

Tractor

Supply

Co.

........

652

117,966

55.8

Trane

Technologies

plc

.....

253

51,513

24.4

Travelers

Cos.,

Inc.

(The)

....

145

21,593

10.2

Trimble,

Inc.

.............

1,592

136,116

64.4

Truist

Financial

Corp.

.......

53

2,885

1.4

Tyson

Foods,

Inc.,

Class

A

...

1,778

127,056

60.1

Ulta

Beauty,

Inc.

..........

86

28,879

13.7

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

54

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

United

Rentals,

Inc.

........

578

$

190,480

90.1

%

Universal

Health

Services,

Inc.,

Class

B

..............

439

70,420

33.3

Vail

Resorts,

Inc.

..........

207

63,176

29.9

Veeva

Systems,

Inc.,

Class

A

.

135

44,916

21.2

Verizon

Communications,

Inc.

.

550

30,679

14.5

Vertex

Pharmaceuticals,

Inc.

..

623

125,584

59.4

VMware,

Inc.,

Class

A

......

196

30,133

14.2

Walmart,

Inc.

............

236

33,642

15.9

Waters

Corp.

............

116

45,218

21.4

West

Pharmaceutical

Services,

Inc.

.................

420

172,927

81.8

Western

Union

Co.

(The)

....

3,441

79,866

37.8

Westrock

Co.

............

466

22,932

10.8

Whirlpool

Corp.

...........

103

22,819

10.8

Workday,

Inc.,

Class

A

......

256

60,006

28.4

WW

Grainger,

Inc.

.........

544

241,852

114.3

Yum!

Brands,

Inc.

.........

2,599

341,483

161.4

Zebra

Technologies

Corp.,

Class

A

..................

119

65,745

31.1

16,864,294

Total

Reference

Entity

—

Long

............

33,590,832

Reference

Entity

—

Short

Argentina

MercadoLibre,

Inc.

........

(27)

(42,355)

(20.0)

Australia

Newcrest

Mining

Ltd.

.......

(1,350)

(26,092)

(12.3)

Sydney

Airport

...........

(28,437)

(163,632)

(77.4)

Westpac

Banking

Corp.

.....

(4,662)

(83,741)

(39.6)

(273,465)

Austria

Erste

Group

Bank

AG

......

(2,112)

(81,841)

(38.7)

Belgium

Umicore

SA

.............

(1,499)

(93,038)

(44.0)

Bermuda

RenaissanceRe

Holdings

Ltd.

.

(1,176)

(179,563)

(84.9)

Brazil

Yara

International

ASA

......

(1,338)

(70,521)

(33.3)

Canada

Ballard

Power

Systems,

Inc.

..

(9,439)

(152,828)

(72.3)

Barrick

Gold

Corp.

........

(8,212)

(178,774)

(84.5)

BCE,

Inc.

...............

(2,586)

(129,072)

(61.0)

Canadian

Natural

Resources

Ltd.

................

(2,249)

(74,216)

(35.1)

Canadian

Utilities

Ltd.,

Class

A

(5,384)

(157,731)

(74.6)

Dollarama,

Inc.

...........

(2,621)

(123,424)

(58.4)

FirstService

Corp.

.........

(165)

(30,733)

(14.5)

Fortis,

Inc.

..............

(4,964)

(225,123)

(106.4)

GFL

Environmental,

Inc.

.....

(1,701)

(59,254)

(28.0)

Ivanhoe

Mines

Ltd.,

Class

A

..

(25,919)

(192,377)

(90.9)

Kirkland

Lake

Gold

Ltd.

.....

(4,659)

(199,229)

(94.2)

Loblaw

Cos.

Ltd.

..........

(439)

(29,698)

(14.0)

Metro,

Inc.

..............

(1,178)

(61,091)

(28.9)

Northland

Power,

Inc.

......

(4,744)

(166,473)

(78.7)

Pan

American

Silver

Corp.

...

(1,265)

(35,518)

(16.8)

Pembina

Pipeline

Corp.

.....

(1,700)

(56,194)

(26.6)

Rogers

Communications,

Inc.,

Class

B

..............

(427)

(21,795)

(10.3)

Shares

Value

%

of

Basket

Value

Canada

(continued)

Toronto-Dominion

Bank

(The)

.

(2,920)

$

(194,144)

(91.8)

%

(2,087,674)

Denmark

Chr

Hansen

Holding

A/S

....

(1,357)

(122,046)

(57.7)

Danske

Bank

A/S

.........

(2,993)

(52,455)

(24.8)

Rockwool

International

A/S,

Class

B

..............

(58)

(30,776)

(14.6)

Vestas

Wind

Systems

A/S

...

(734)

(27,066)

(12.8)

(232,343)

Finland

Kone

OYJ,

Class

B

........

(966)

(80,011)

(37.8)

France

Accor

SA

...............

(2,061)

(72,939)

(34.5)

Aeroports

de

Paris

........

(1,726)

(209,220)

(98.9)

Air

Liquide

SA

...........

(735)

(127,823)

(60.4)

Airbus

SE

..............

(160)

(21,947)

(10.4)

Alstom

SA

..............

(2,056)

(85,275)

(40.3)

Atos

SE

................

(1,508)

(72,117)

(34.1)

AXA

SA

................

(5,696)

(147,510)

(69.7)

Bouygues

SA

............

(3,437)

(132,467)

(62.6)

Dassault

Aviation

SA

.......

(20)

(23,813)

(11.3)

Eiffage

SA

..............

(840)

(85,634)

(40.5)

Faurecia

SE

.............

(862)

(38,473)

(18.2)

Getlink

SE

..............

(4,434)

(71,026)

(33.6)

Orpea

SA

..............

(791)

(100,447)

(47.5)

Renault

SA

.............

(1,884)

(71,556)

(33.8)

Safran

SA

..............

(583)

(76,300)

(36.1)

Ubisoft

Entertainment

SA

....

(405)

(25,674)

(12.1)

Worldline

SA

............

(2,427)

(227,167)

(107.4)

(1,589,388)

Germany

adidas

AG

..............

(327)

(118,686)

(56.1)

Bayer

AG

(Registered)

......

(668)

(39,799)

(18.8)

Beiersdorf

AG

............

(574)

(68,176)

(32.2)

Brenntag

SE

............

(236)

(23,572)

(11.2)

Carl

Zeiss

Meditec

AG

......

(279)

(62,137)

(29.4)

Commerzbank

AG

.........

(5,159)

(33,224)

(15.7)

Continental

AG

...........

(312)

(42,384)

(20.0)

Deutsche

Telekom

AG

(Registered)

...........

(1,457)

(30,239)

(14.3)

Fresenius

SE

&

Co.

KGaA

...

(1,281)

(67,329)

(31.8)

KION

Group

AG

..........

(516)

(54,796)

(25.9)

Knorr-Bremse

AG

.........

(223)

(25,252)

(12.0)

Porsche

Automobil

Holding

SE

(Preference)

..........

(1,370)

(148,277)

(70.1)

Siemens

Energy

AG

.......

(2,681)

(72,936)

(34.5)

Siemens

Healthineers

AG

....

(2,611)

(172,382)

(81.5)

TeamViewer

AG

..........

(3,313)

(111,388)

(52.7)

Zalando

SE

.............

(371)

(41,223)

(19.5)

(1,111,800)

Hong

Kong

Melco

Resorts

&

Entertainment

Ltd.,

ADR

............

(4,555)

(63,406)

(30.0)

Ireland

Flutter

Entertainment

plc

....

(228)

(38,868)

(18.4)

Italy

Davide

Campari-Milano

NV

..

(4,090)

(57,500)

(27.2)

Infrastrutture

Wireless

Italiane

SpA

................

(2,742)

(30,974)

(14.6)

Moncler

SpA

............

(339)

(23,283)

(11.0)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

55

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Italy

(continued)

Nexi

SpA

...............

(2,332)

$

(49,964)

(23.6)

%

UniCredit

SpA

...........

(1,762)

(21,076)

(10.0)

(182,797)

Japan

Acom

Co.

Ltd.

...........

(9,400)

(38,582)

(18.2)

Aeon

Co.

Ltd.

............

(4,000)

(109,459)

(51.8)

Asahi

Group

Holdings

Ltd.

...

(1,700)

(76,491)

(36.2)

Asahi

Intecc

Co.

Ltd.

.......

(2,400)

(65,033)

(30.7)

Bandai

Namco

Holdings,

Inc.

.

(300)

(19,411)

(9.2)

Central

Japan

Railway

Co.

...

(300)

(43,639)

(20.6)

Daifuku

Co.

Ltd.

..........

(500)

(44,805)

(21.2)

Daikin

Industries

Ltd.

.......

(1,500)

(313,249)

(148.1)

East

Japan

Railway

Co.

.....

(2,800)

(186,543)

(88.2)

Eisai

Co.

Ltd.

............

(200)

(16,451)

(7.8)

FANUC

Corp.

............

(300)

(67,190)

(31.8)

Hankyu

Hanshin

Holdings,

Inc.

(900)

(26,614)

(12.6)

Harmonic

Drive

Systems,

Inc.

.

(700)

(38,722)

(18.3)

Hitachi

Construction

Machinery

Co.

Ltd.

..............

(300)

(8,477)

(4.0)

Kao

Corp.

..............

(400)

(24,085)

(11.4)

Keisei

Electric

Railway

Co.

Ltd.

(700)

(20,848)

(9.9)

Kintetsu

Group

Holdings

Co.

Ltd.

................

(4,800)

(162,197)

(76.7)

Kirin

Holdings

Co.

Ltd.

......

(3,700)

(67,676)

(32.0)

Komatsu

Ltd.

............

(7,400)

(185,437)

(87.7)

Konami

Holdings

Corp.

.....

(500)

(27,693)

(13.1)

Kose

Corp.

.............

(100)

(15,801)

(7.5)

Kubota

Corp.

............

(4,300)

(89,919)

(42.5)

Kyowa

Kirin

Co.

Ltd.

.......

(700)

(22,786)

(10.8)

Lion

Corp.

..............

(2,100)

(36,349)

(17.2)

Mitsubishi

Heavy

Industries

Ltd.

(3,400)

(98,237)

(46.4)

MonotaRO

Co.

Ltd.

........

(1,700)

(39,105)

(18.5)

Murata

Manufacturing

Co.

Ltd.

(900)

(74,687)

(35.3)

Nexon

Co.

Ltd.

...........

(1,000)

(20,576)

(9.7)

Nidec

Corp.

.............

(1,800)

(202,038)

(95.5)

Nihon

M&A

Center,

Inc.

.....

(2,200)

(61,268)

(29.0)

Nippon

Paint

Holdings

Co.

Ltd.

(3,000)

(38,293)

(18.1)

Nippon

Sanso

Holdings

Corp.

.

(900)

(19,922)

(9.4)

Nissan

Motor

Co.

Ltd.

......

(50,900)

(295,416)

(139.7)

Odakyu

Electric

Railway

Co.

Ltd.

(2,500)

(59,665)

(28.2)

Omron

Corp.

............

(800)

(68,460)

(32.4)

Oriental

Land

Co.

Ltd.

......

(500)

(68,500)

(32.4)

Otsuka

Corp.

............

(2,700)

(140,294)

(66.3)

Pigeon

Corp.

............

(3,600)

(103,656)

(49.0)

Rakuten

Group,

Inc.

.......

(3,500)

(38,514)

(18.2)

Renesas

Electronics

Corp.

...

(2,500)

(27,134)

(12.8)

Rinnai

Corp.

.............

(300)

(27,870)

(13.2)

Shimano,

Inc.

............

(400)

(102,392)

(48.4)

Shin-Etsu

Chemical

Co.

Ltd.

..

(300)

(48,939)

(23.1)

Shiseido

Co.

Ltd.

.........

(3,300)

(220,558)

(104.3)

SoftBank

Corp.

...........

(1,700)

(22,204)

(10.5)

SoftBank

Group

Corp.

......

(1,800)

(113,194)

(53.5)

Sompo

Holdings,

Inc.

......

(1,700)

(70,282)

(33.2)

Square

Enix

Holdings

Co.

Ltd.

.

(600)

(31,132)

(14.7)

SUMCO

Corp.

...........

(5,900)

(136,457)

(64.5)

Sumitomo

Corp.

..........

(6,900)

(93,770)

(44.3)

Sumitomo

Metal

Mining

Co.

Ltd.

(1,900)

(77,002)

(36.4)

Sumitomo

Realty

&

Development

Co.

Ltd.

..............

(1,500)

(48,890)

(23.1)

Tobu

Railway

Co.

Ltd.

......

(1,800)

(46,807)

(22.1)

Toho

Co.

Ltd.

............

(1,200)

(52,241)

(24.7)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

..........

(4,700)

(12,526)

(5.9)

Tokyu

Corp.

.............

(5,200)

(69,694)

(33.0)

Shares

Value

%

of

Basket

Value

Japan

(continued)

Toyota

Industries

Corp.

.....

(400)

$

(33,554)

(15.9)

%

Toyota

Motor

Corp.

........

(1,500)

(134,663)

(63.7)

West

Japan

Railway

Co.

....

(900)

(48,899)

(23.1)

Z

Holdings

Corp.

..........

(11,300)

(56,559)

(26.7)

(4,510,855)

Jordan

Hikma

Pharmaceuticals

plc

...

(3,768)

(138,555)

(65.5)

Luxembourg

ArcelorMittal

SA

..........

(1,752)

(61,189)

(28.9)

Netherlands

ABN

AMRO

Bank

NV,

CVA

...

(8,228)

(95,911)

(45.3)

Aegon

NV

..............

(22,781)

(96,992)

(45.8)

Argenx

SE

..............

(198)

(60,465)

(28.6)

JDE

Peet's

NV

...........

(564)

(18,988)

(9.0)

(272,356)

New

Zealand

a2

Milk

Co.

Ltd.

(The)

......

(5,319)

(23,126)

(10.9)

Ryman

Healthcare

Ltd.

.....

(2,254)

(20,703)

(9.8)

(43,829)

Norway

DNB

Bank

ASA

...........

(2,528)

(51,806)

(24.5)

Telenor

ASA

.............

(1,577)

(27,380)

(12.9)

(79,186)

Spain

Aena

SME

SA

...........

(174)

(27,709)

(13.1)

Amadeus

IT

Group

SA

......

(627)

(41,119)

(19.5)

Ferrovial

SA

.............

(5,776)

(171,404)

(81.0)

Grifols

SA

..............

(3,187)

(81,051)

(38.3)

Siemens

Gamesa

Renewable

Energy

SA

............

(4,159)

(115,990)

(54.9)

(437,273)

Sweden

Embracer

Group

AB

.......

(1,774)

(45,914)

(21.7)

Essity

AB,

Class

B

........

(4,525)

(148,048)

(70.0)

Evolution

AB

............

(231)

(40,194)

(19.0)

Hexagon

AB,

Class

B

......

(6,657)

(110,197)

(52.1)

Sandvik

AB

.............

(2,888)

(75,308)

(35.6)

SKF

AB,

Class

B

..........

(1,604)

(42,677)

(20.2)

Svenska

Handelsbanken

AB,

Class

A

..............

(1,903)

(21,446)

(10.1)

Swedbank

AB,

Class

A

......

(2,525)

(49,171)

(23.2)

Tele2

AB,

Class

B

.........

(2,173)

(31,919)

(15.1)

(564,874)

Switzerland

ABB

Ltd.

(Registered)

......

(5,242)

(191,639)

(90.6)

Banque

Cantonale

Vaudoise

(Registered)

...........

(207)

(18,479)

(8.7)

Chocoladefabriken

Lindt

&

Spruengli

AG

..........

(22)

(246,509)

(116.6)

Clariant

AG

(Registered)

....

(9,641)

(200,567)

(94.8)

Credit

Suisse

Group

AG

(Registered)

...........

(4,852)

(48,711)

(23.0)

EMS-Chemie

Holding

AG

(Registered)

...........

(111)

(123,050)

(58.2)

Lonza

Group

AG

(Registered)

.

(218)

(169,741)

(80.3)

Schindler

Holding

AG

......

(563)

(182,263)

(86.2)

Swatch

Group

AG

(The)

.....

(243)

(81,061)

(38.3)

Temenos

AG

(Registered)

...

(505)

(80,219)

(37.9)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

56

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

Switzerland

(continued)

Vifor

Pharma

AG

..........

(1,112)

$

(155,515)

(73.5)

%

(1,497,754)

Taiwan

Sea

Ltd.,

ADR

...........

(261)

(72,078)

(34.1)

United

Kingdom

Associated

British

Foods

plc

..

(695)

(19,326)

(9.1)

British

American

Tobacco

plc

.

(2,330)

(86,658)

(41.0)

Compass

Group

plc

........

(956)

(20,200)

(9.5)

Direct

Line

Insurance

Group

plc

(5,913)

(24,443)

(11.6)

Hargreaves

Lansdown

plc

...

(2,706)

(61,374)

(29.0)

HSBC

Holdings

plc

........

(28,149)

(155,388)

(73.5)

Informa

plc

..............

(12,744)

(87,568)

(41.4)

InterContinental

Hotels

Group

plc

.................

(1,670)

(110,293)

(52.1)

Linde

plc

...............

(82)

(25,206)

(11.9)

London

Stock

Exchange

Group

plc

.................

(1,750)

(182,475)

(86.3)

Ocado

Group

plc

.........

(2,504)

(64,522)

(30.5)

Reckitt

Benckiser

Group

plc

..

(806)

(61,659)

(29.1)

Rolls-Royce

Holdings

plc

....

(16,155)

(22,312)

(10.5)

Smith

&

Nephew

plc

.......

(787)

(16,060)

(7.6)

Smiths

Group

plc

.........

(1,902)

(41,095)

(19.4)

Standard

Chartered

plc

.....

(2,968)

(17,793)

(8.4)

Tesco

plc

...............

(91,836)

(297,310)

(140.6)

Unilever

plc

.............

(3,692)

(212,480)

(100.5)

Vodafone

Group

plc

........

(77,686)

(124,915)

(59.1)

Whitbread

plc

............

(4,750)

(200,762)

(94.9)

(1,831,839)

United

States

Abbott

Laboratories

........

(1,321)

(159,815)

(75.6)

AbbVie,

Inc.

.............

(564)

(65,593)

(31.0)

Air

Products

&

Chemicals,

Inc.

(2,426)

(706,039)

(333.8)

Albemarle

Corp.

..........

(169)

(34,821)

(16.5)

Altria

Group,

Inc.

..........

(2,678)

(128,651)

(60.8)

American

Electric

Power

Co.,

Inc.

.................

(292)

(25,731)

(12.2)

American

Financial

Group,

Inc.

(416)

(52,620)

(24.9)

American

Water

Works

Co.,

Inc.

(932)

(158,543)

(75.0)

AMETEK,

Inc.

...........

(411)

(57,150)

(27.0)

Amphenol

Corp.,

Class

A

....

(1,332)

(96,557)

(45.7)

Analog

Devices,

Inc.

.......

(1,298)

(217,311)

(102.7)

Ansys,

Inc.

..............

(122)

(44,952)

(21.3)

Anthem,

Inc.

............

(57)

(21,889)

(10.3)

Aon

plc,

Class

A

..........

(59)

(15,342)

(7.3)

Apollo

Global

Management,

Inc.

(3,997)

(235,263)

(111.2)

Aptiv

plc

...............

(178)

(29,699)

(14.0)

Arthur

J

Gallagher

&

Co.

....

(614)

(85,536)

(40.4)

AT&T,

Inc.

..............

(1,430)

(40,111)

(19.0)

Atmos

Energy

Corp.

.......

(825)

(81,337)

(38.5)

Avantor,

Inc.

.............

(2,379)

(89,403)

(42.3)

Baker

Hughes

Co.

.........

(6,714)

(142,605)

(67.4)

Bausch

Health

Cos.,

Inc.

....

(2,636)

(77,119)

(36.5)

Baxter

International,

Inc.

....

(303)

(23,437)

(11.1)

Becton

Dickinson

and

Co.

...

(172)

(43,989)

(20.8)

BioMarin

Pharmaceutical,

Inc.

.

(3,146)

(241,393)

(114.1)

Bio-Rad

Laboratories,

Inc.,

Class

A

..................

(48)

(35,496)

(16.8)

Boeing

Co.

(The)

.........

(565)

(127,961)

(60.5)

Booking

Holdings,

Inc.

......

(16)

(34,852)

(16.5)

Boston

Scientific

Corp.

......

(3,842)

(175,195)

(82.8)

Bristol-Myers

Squibb

Co.

....

(1,741)

(118,162)

(55.9)

Broadcom,

Inc.

...........

(521)

(252,893)

(119.6)

Shares

Value

%

of

Basket

Value

United

States

(continued)

Broadridge

Financial

Solutions,

Inc.

.................

(327)

$

(56,731)

(26.8)

%

Brookfield

Renewable

Corp.

..

(4,633)

(196,594)

(92.9)

Brown

&

Brown,

Inc.

.......

(1,286)

(69,958)

(33.1)

Burlington

Stores,

Inc.

......

(59)

(19,753)

(9.3)

Cable

One,

Inc.

..........

(90)

(169,919)

(80.3)

Caesars

Entertainment,

Inc.

..

(220)

(19,219)

(9.1)

Campbell

Soup

Co.

........

(2,608)

(114,022)

(53.9)

CarMax,

Inc.

............

(1,874)

(251,022)

(118.7)

Carvana

Co.

............

(402)

(135,699)

(64.2)

Catalent,

Inc.

............

(1,672)

(200,322)

(94.7)

Caterpillar,

Inc.

...........

(101)

(20,882)

(9.9)

Celanese

Corp.

..........

(695)

(108,260)

(51.2)

CenterPoint

Energy,

Inc.

....

(1,912)

(48,680)

(23.0)

Ceridian

HCM

Holding,

Inc.

..

(4,784)

(470,746)

(222.6)

Charles

River

Laboratories

International,

Inc.

.......

(65)

(26,450)

(12.5)

Charter

Communications,

Inc.,

Class

A

..............

(197)

(146,578)

(69.3)

Cheniere

Energy,

Inc.

......

(3,626)

(307,956)

(145.6)

Chevron

Corp.

...........

(1,147)

(116,776)

(55.2)

Chewy,

Inc.,

Class

A

.......

(360)

(30,132)

(14.2)

Church

&

Dwight

Co.,

Inc.

...

(3,081)

(266,753)

(126.1)

Cincinnati

Financial

Corp.

....

(202)

(23,812)

(11.3)

Cisco

Systems,

Inc.

........

(5,970)

(330,559)

(156.3)

Clorox

Co.

(The)

..........

(438)

(79,230)

(37.5)

Cloudflare,

Inc.,

Class

A

.....

(273)

(32,386)

(15.3)

CME

Group,

Inc.

..........

(206)

(43,699)

(20.7)

CMS

Energy

Corp.

........

(2,154)

(133,096)

(62.9)

ConocoPhillips

...........

(1,087)

(60,937)

(28.8)

CoStar

Group,

Inc.

........

(698)

(62,017)

(29.3)

Coupa

Software,

Inc.

.......

(343)

(74,431)

(35.2)

CyberArk

Software

Ltd.

.....

(523)

(74,282)

(35.1)

Datadog,

Inc.,

Class

A

......

(232)

(25,682)

(12.1)

Delta

Air

Lines,

Inc.

........

(1,267)

(50,553)

(23.9)

Discovery,

Inc.,

Class

A

.....

(670)

(19,437)

(9.2)

DISH

Network

Corp.,

Class

A

.

(1,560)

(65,348)

(30.9)

Dollar

Tree,

Inc.

..........

(239)

(23,850)

(11.3)

DR

Horton,

Inc.

...........

(239)

(22,808)

(10.8)

Duke

Energy

Corp.

........

(587)

(61,700)

(29.2)

Eaton

Corp.

plc

...........

(151)

(23,866)

(11.3)

Edison

International

........

(383)

(20,873)

(9.9)

Enphase

Energy,

Inc.

.......

(352)

(66,739)

(31.6)

Erie

Indemnity

Co.,

Class

A

..

(230)

(42,525)

(20.1)

Essential

Utilities,

Inc.

......

(9,288)

(456,227)

(215.7)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

..............

(129)

(43,064)

(20.4)

Exact

Sciences

Corp.

......

(315)

(33,970)

(16.1)

Expedia

Group,

Inc.

........

(476)

(76,574)

(36.2)

Fiserv,

Inc.

..............

(984)

(113,268)

(53.6)

FleetCor

Technologies,

Inc.

...

(714)

(184,369)

(87.2)

Freeport-McMoRan,

Inc.

....

(1,962)

(74,752)

(35.3)

General

Electric

Co.

.......

(5,129)

(66,421)

(31.4)

General

Mills,

Inc.

.........

(1,487)

(87,525)

(41.4)

Globe

Life,

Inc.

...........

(829)

(77,188)

(36.5)

Guidewire

Software,

Inc.

....

(1,071)

(123,379)

(58.3)

Hasbro,

Inc.

.............

(842)

(83,728)

(39.6)

Hess

Corp.

.............

(245)

(18,728)

(8.9)

Hilton

Worldwide

Holdings,

Inc.

(723)

(95,038)

(44.9)

Honeywell

International,

Inc.

..

(502)

(117,363)

(55.5)

Hormel

Foods

Corp.

.......

(7,223)

(335,003)

(158.4)

Howmet

Aerospace,

Inc.

....

(2,689)

(88,253)

(41.7)

IAC/InterActiveCorp

........

(539)

(73,999)

(35.0)

IDEX

Corp.

.............

(226)

(51,232)

(24.2)

Ingersoll

Rand,

Inc.

........

(4,846)

(236,824)

(112.0)

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

57

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Shares

Value

%

of

Basket

Value

United

States

(continued)

Insulet

Corp.

............

(206)

$

(57,616)

(27.2)

%

Intercontinental

Exchange,

Inc.

(460)

(55,122)

(26.1)

International

Business

Machines

Corp.

...............

(487)

(68,648)

(32.5)

IPG

Photonics

Corp.

.......

(168)

(36,651)

(17.3)

Kansas

City

Southern

......

(42)

(11,248)

(5.3)

Keurig

Dr

Pepper,

Inc.

......

(1,278)

(44,998)

(21.3)

Kimberly-Clark

Corp.

.......

(323)

(43,838)

(20.7)

Lamb

Weston

Holdings,

Inc.

..

(315)

(21,033)

(9.9)

Las

Vegas

Sands

Corp.

.....

(4,934)

(208,955)

(98.8)

Leidos

Holdings,

Inc.

.......

(535)

(56,935)

(26.9)

Liberty

Broadband

Corp.,

Class

C

..................

(672)

(119,273)

(56.4)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

....

(4,783)

(224,466)

(106.1)

LyondellBasell

Industries

NV,

Class

A

..............

(259)

(25,726)

(12.2)

M&T

Bank

Corp.

..........

(517)

(69,200)

(32.7)

Marathon

Petroleum

Corp.

...

(416)

(22,972)

(10.9)

MarketAxess

Holdings,

Inc.

..

(106)

(50,368)

(23.8)

Marsh

&

McLennan

Cos.,

Inc.

.

(848)

(124,843)

(59.0)

Martin

Marietta

Materials,

Inc.

.

(159)

(57,765)

(27.3)

McKesson

Corp.

..........

(441)

(89,889)

(42.5)

Medtronic

plc

............

(2,025)

(265,903)

(125.7)

MGM

Resorts

International

...

(497)

(18,652)

(8.8)

Microchip

Technology,

Inc.

...

(1,225)

(175,322)

(82.9)

Micron

Technology,

Inc.

.....

(558)

(43,290)

(20.5)

Nasdaq,

Inc.

............

(676)

(126,229)

(59.7)

Netflix,

Inc.

..............

(98)

(50,722)

(24.0)

NextEra

Energy,

Inc.

.......

(2,466)

(192,101)

(90.8)

NiSource,

Inc.

...........

(2,890)

(71,585)

(33.8)

Nucor

Corp.

.............

(1,188)

(123,576)

(58.4)

Oak

Street

Health,

Inc.

......

(1,105)

(69,659)

(32.9)

Okta,

Inc.

...............

(1,451)

(359,543)

(170.0)

ON

Semiconductor

Corp.

....

(848)

(33,123)

(15.7)

Oracle

Corp.

............

(3,254)

(283,554)

(134.1)

Packaging

Corp.

of

America

..

(138)

(19,527)

(9.2)

PayPal

Holdings,

Inc.

......

(127)

(34,992)

(16.5)

Peloton

Interactive,

Inc.,

Class

A

(216)

(25,499)

(12.1)

PerkinElmer,

Inc.

.........

(176)

(32,072)

(15.2)

Pfizer,

Inc.

..............

(696)

(29,796)

(14.1)

PG&E

Corp.

.............

(13,435)

(118,094)

(55.8)

Philip

Morris

International,

Inc.

(244)

(24,422)

(11.5)

Pinnacle

West

Capital

Corp.

..

(973)

(81,294)

(38.4)

Plug

Power,

Inc.

..........

(3,575)

(97,526)

(46.1)

PPD,

Inc.

...............

(562)

(25,919)

(12.3)

PPG

Industries,

Inc.

.......

(254)

(41,534)

(19.6)

Progressive

Corp.

(The)

.....

(2,490)

(236,948)

(112.0)

Public

Service

Enterprise

Group,

Inc.

.................

(648)

(40,325)

(19.1)

Republic

Services,

Inc.

.....

(945)

(111,850)

(52.9)

Shares

Value

%

of

Basket

Value

United

States

(continued)

ResMed,

Inc.

............

(223)

$

(60,611)

(28.7)

%

RingCentral,

Inc.,

Class

A

....

(261)

(69,757)

(33.0)

Rollins,

Inc.

.............

(807)

(30,932)

(14.6)

Roper

Technologies,

Inc.

....

(273)

(134,136)

(63.4)

Royal

Caribbean

Cruises

Ltd.

.

(323)

(24,829)

(11.7)

S&P

Global,

Inc.

..........

(173)

(74,169)

(35.1)

Schlumberger

NV

.........

(5,875)

(169,376)

(80.1)

SEI

Investments

Co.

.......

(345)

(20,976)

(9.9)

Southwest

Airlines

Co.

......

(1,430)

(72,244)

(34.2)

Splunk,

Inc.

.............

(13)

(1,846)

(0.9)

Square,

Inc.,

Class

A

.......

(290)

(71,705)

(33.9)

SS&C

Technologies

Holdings,

Inc.

.................

(1,018)

(79,801)

(37.7)

Steel

Dynamics,

Inc.

.......

(1,311)

(84,494)

(39.9)

STERIS

plc

.............

(363)

(79,116)

(37.4)

Sunrun,

Inc.

.............

(980)

(51,911)

(24.5)

Take-Two

Interactive

Software,

Inc.

.................

(141)

(24,452)

(11.6)

Teladoc

Health,

Inc.

........

(775)

(115,049)

(54.4)

Teledyne

Technologies,

Inc.

..

(156)

(70,632)

(33.4)

Teleflex,

Inc.

.............

(428)

(170,100)

(80.4)

Tenaris

SA

..............

(12,751)

(129,919)

(61.4)

Tesla,

Inc.

..............

(126)

(86,587)

(40.9)

Thermo

Fisher

Scientific,

Inc.

.

(70)

(37,801)

(17.9)

Trade

Desk,

Inc.

(The),

Class

A

(300)

(24,573)

(11.6)

Tradeweb

Markets,

Inc.,

Class

A

(263)

(22,810)

(10.8)

TransUnion

.............

(818)

(98,209)

(46.4)

Union

Pacific

Corp.

........

(207)

(45,283)

(21.4)

US

Bancorp

.............

(603)

(33,491)

(15.8)

Valero

Energy

Corp.

.......

(1,093)

(73,198)

(34.6)

Verisk

Analytics,

Inc.

.......

(775)

(147,204)

(69.6)

VF

Corp.

...............

(609)

(48,842)

(23.1)

Viatris,

Inc.

..............

(3,649)

(51,341)

(24.3)

Vistra

Corp.

.............

(4,639)

(88,837)

(42.0)

Voya

Financial,

Inc.

........

(573)

(36,901)

(17.4)

Walt

Disney

Co.

(The)

......

(944)

(166,163)

(78.6)

Waste

Connections,

Inc.

.....

(699)

(88,556)

(41.9)

Waste

Management,

Inc.

....

(685)

(101,558)

(48.0)

Wells

Fargo

&

Co.

.........

(4,186)

(192,305)

(90.9)

Western

Digital

Corp.

.......

(715)

(46,425)

(21.9)

Wynn

Resorts

Ltd.

........

(1,426)

(140,219)

(66.3)

Xcel

Energy,

Inc.

..........

(1,597)

(108,995)

(51.5)

Zendesk,

Inc.

............

(530)

(69,181)

(32.7)

Zillow

Group,

Inc.,

Class

C

...

(1,186)

(126,024)

(59.6)

Zoom

Video

Communications,

Inc.,

Class

A

...........

(208)

(78,645)

(37.2)

(17,742,458)

Total

Reference

Entity

—

Short

............

(33,379,316)

Net

Value

of

Reference

Entity

—

Merrill

Lynch

International

&

Co.

.....................

$

211,516

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

3

month

LIBOR

.......................................

London

Interbank

Offered

Rate

0.12

%

6

month

EURIBOR

.....................................

Euro

Interbank

Offered

Rate

(0.52)

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

58

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

Derivative

Financial

Instruments

Categorized

by

Risk

Exposure

Balances

Reported

in

the

Consolidated

Statement

of

Assets

and

Liabilities

for

Centrally

Cleared

Swaps

and

OTC

Swaps

Swap

Premiums

Paid

Swap

Premiums

Received

Unrealized

Appreciation

Unrealized

Depreciation

Centrally

Cleared

Swaps

(a)

.........................................................

$

1,715,188

$

—

$

381,585

$

—

OTC

Swaps

...................................................................

—

—

1,400,061

(856,440)

(a)

Includes

cumulative

appreciation

(depreciation)

on

centrally

cleared

swaps,

as

reported

in

the

Consolidated

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Consolidated

Statement

of

Assets

and

Liabilities

and

is

net

of

any

previously

paid

(received)

swap

premium

amounts.

As

of

period

end,

the

fair

values

of

derivative

financial

instruments

located

in

the

Consolidated

Statement

of

Assets

and

Liabilities

were

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Assets

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

appreciation

on

futures

contracts

(a)

.....

$

893,502

$

—

$

318,771

$

—

$

7,773,385

$

—

$

8,985,658

Forward

foreign

currency

exchange

contracts

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

6,465,390

—

—

6,465,390

Options

purchased

(b)

Investments

at

value

—

unaffiliated

(c)

...........

—

—

—

—

320,355

—

320,355

Swaps

—

centrally

cleared

Unrealized

appreciation

on

centrally

cleared

swaps

(a)

.

—

381,585

—

—

—

—

381,585

Swaps

—

OTC

Unrealized

appreciation

on

OTC

swaps;

Swap

premiums

paid

................................

—

—

1,400,061

—

—

—

1,400,061

$

893,502

$

381,585

$

1,718,832

$

6,465,390

$

8,093,740

$

—

$

17,553,049

Liabilities

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

depreciation

on

futures

contracts

(a)

.....

353,155

—

1,767,698

—

2,712,657

—

4,833,510

Forward

foreign

currency

exchange

contracts

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

3,879,897

—

—

3,879,897

Swaps

—

OTC

Unrealized

depreciation

on

OTC

swaps;

Swap

premiums

received

.............................

—

—

856,440

—

—

—

856,440

$

353,155

$

—

$

2,624,138

$

3,879,897

$

2,712,657

$

—

$

9,569,847

(a)

Net

cumulative

unrealized

appreciation

(depreciation)

on

futures

contracts

and

centrally

cleared

swaps,

if

any,

are

reported

in

the

Consolidated

Schedule

of

Investments.

In

the

Consolidated

Statement

of

Assets

and

Liabilities,

only

current

day's

variation

margin

is

reported

in

receivables

or

payables

and

the

net

cumulative

unrealized

appreciation

(depreciation)

is

included

in

accumulated

earnings

(loss).

(b)

Includes

forward

settling

swaptions.

(c)

Includes

options

purchased

at

value

as

reported

in

the

Consolidated

Schedule

of

Investments.

For

the

year

ended

July

31,

2021,

the

effect

of

derivative

financial

instruments

in

the

Consolidated

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

.......................

$

2,309,890

$

—

$

(2,587,946)

$

—

$

(6,173,865)

$

—

$

(6,451,921)

Forward

foreign

currency

exchange

contracts

....

—

—

—

2,053,952

—

—

2,053,952

Options

purchased

(a)

....................

—

—

—

—

288,124

—

288,124

Swaps

..............................

—

1,535,262

8,566,675

—

—

—

10,101,937

$

2,309,890

$

1,535,262

$

5,978,729

$

2,053,952

$

(5,885,741)

$

—

$

5,992,092

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

59

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

For

more

information

about

the

Fund’s

investment

risks

regarding

derivative

financial

instruments,

refer

to

the

Notes

to

Consolidated

Financial

Statements.

Derivative

Financial

Instruments

—

Offsetting

as

of

Period

End

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on:

Futures

contracts

.......................

173,101

—

605,639

—

4,456,063

—

5,234,803

Forward

foreign

currency

exchange

contracts

....

—

—

—

3,936,191

—

—

3,936,191

Options

purchased

(b)

....................

—

—

—

—

(530,853)

—

(530,853)

Swaps

..............................

—

84,947

(1,522,808)

—

—

—

(1,437,861)

$

173,101

$

84,947

$

(917,169)

$

3,936,191

$

3,925,210

$

—

$

7,202,280

(a)

Options

purchased

are

included

in

net

realized

gain

(loss)

from

investments

—

unaffiliated.

(b)

Options

purchased

are

included

in

net

change

in

unrealized

appreciation

(depreciation)

on

investments

—

unaffiliated.

Average

Quarterly

Balances

of

Outstanding

Derivative

Financial

Instruments

Futures

contracts:

Average

notional

value

of

contracts

—

long

..................................................................................

$

318,644,414

Average

notional

value

of

contracts

—

short

.................................................................................

157,817,346

Forward

foreign

currency

exchange

contracts:

Average

amounts

purchased

—

in

USD

....................................................................................

280,417,855

Average

amounts

sold

—

in

USD

........................................................................................

255,084,086

Options:

Average

notional

value

of

swaption

contracts

purchased

.........................................................................

51,541,265

Credit

default

swaps:

Average

notional

value

—

sell

protection

...................................................................................

16,497,103

Total

return

swaps:

Average

notional

value

...............................................................................................

47,917,250

The

Fund's

derivative

assets

and

liabilities

(by

type)

were

as

follows:

Assets

Liabilities

Derivative

Financial

Instruments

$

2,309,891

Futures

contracts

....................................................................................

$

801,510

$

1,387,246

Forward

foreign

currency

exchange

contracts

.................................................................

6,465,390

3,879,897

Options

(a)(b)

........................................................................................

320,355

—

Swaps

—

Centrally

cleared

.............................................................................

—

28,142

Swaps

—

OTC

(c)

....................................................................................

1,400,061

856,440

Total

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

.............................................

$

8,987,316

$

6,151,725

Derivatives

not

subject

to

a

Master

Netting

Agreement

or

similar

agreement

("MNA")

........................................

(801,510)

(1,415,388)

Total

derivative

assets

and

liabilities

subject

to

an

MNA

............................................................

$

8,185,806

$

4,736,337

(a)

Includes

options

purchased

at

value

which

is

included

in

Investments

at

value

–

unaffiliated

in

the

Consolidated

Statement

of

Assets

and

Liabilities

and

reported

in

the

Consolidated

Schedule

of

Investments.

(b)

Includes

forward

settling

swaptions.

(c)

Includes

unrealized

appreciation

(depreciation)

on

OTC

swaps

and

swap

premiums

(paid/received)

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

2021

BlackRock

Annual

Report

to

Shareholders

BlackRock

Total

Factor

Fund

60

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

The

following

tables

present

the

Fund's

derivative

assets

and

liabilities

by

counterparty

net

of

amounts

available

for

offset

under

an

MNA

and

net

of

the

related

collateral

received

and

pledged

by

the

Fund:

Counterparty

Derivative

Assets

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Received

Cash

Collateral

Received

(b)

Net

Amount

of

Derivative

Assets

(c)(d)

Barclays

Bank

plc

................................

$

392,007

$

(11,906)

$

—

$

(380,101)

$

—

Barclays

Bank

plc

(e)

...............................

662,193

—

—

(490,000)

172,193

BNP

Paribas

SA

.................................

73,142

—

—

—

73,142

BNP

Paribas

SA

(e)

................................

1,484,950

(33,726)

—

(1,220,000)

231,224

Citibank

NA

....................................

195,044

—

—

(195,044)

—

Citibank

NA

(e)

...................................

12,005

(36)

—

—

11,969

Credit

Suisse

International

..........................

378,045

—

—

(378,045)

—

Deutsche

Bank

AG

...............................

206,914

—

—

—

206,914

Deutsche

Bank

AG

(e)

..............................

14,822

(14,822)

—

—

—

Goldman

Sachs

International

........................

74,929

(11,606)

—

—

63,323

Goldman

Sachs

International

(e)

.......................

54,756

(36,427)

—

—

18,329

HSBC

Bank

plc

..................................

78,522

(78,423)

—

—

99

HSBC

Bank

plc

(e)

................................

125,261

(7,886)

—

—

117,375

JPMorgan

Chase

Bank

NA

..........................

8,806

—

—

—

8,806

JPMorgan

Chase

Bank

NA

(e)

.........................

230,419

—

—

—

230,419

Merrill

Lynch

International

&

Co.

......................

374,138

(374,138)

—

—

—

Morgan

Stanley

&

Co.

International

plc

(e)

.................

3,757,064

(3,172,782)

—

(500,000)

84,282

Standard

Chartered

Bank

(e)

..........................

2,449

—

—

—

2,449

Toronto

Dominion

Bank

............................

29,955

(11,807)

—

—

18,148

UBS

AG

......................................

30,385

(11,463)

—

—

18,922

$

8,185,806

$

(3,765,022)

$

—

$

(3,163,190)

$

1,257,594

Counterparty

Derivative

Liabilities

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Pledged

Cash

Collateral

Pledged

(f)

Net

Amount

of

Derivative

Liabilities

(d)(g)

Barclays

Bank

plc

................................

$

11,906

$

(11,906)

$

—

$

—

$

—

BNP

Paribas

SA

(e)

................................

33,726

(33,726)

—

—

—

Citibank

NA

(e)

...................................

36

(36)

—

—

—

Deutsche

Bank

AG

(e)

..............................

576,654

(14,822)

—

—

561,832

Goldman

Sachs

International

........................

11,606

(11,606)

—

—

—

Goldman

Sachs

International

(e)

.......................

36,427

(36,427)

—

—

—

HSBC

Bank

plc

..................................

78,423

(78,423)

—

—

—

HSBC

Bank

plc

(e)

................................

7,886

(7,886)

—

—

—

Merrill

Lynch

International

&

Co.

......................

778,017

(374,138)

—

(403,879)

—

Morgan

Stanley

&

Co.

International

plc

(e)

.................

3,172,782

(3,172,782)

—

—

—

Societe

Generale

SA

(e)

.............................

4,984

—

—

—

4,984

Toronto

Dominion

Bank

............................

11,807

(11,807)

—

—

—

UBS

AG

......................................

11,463

(11,463)

—

—

—

Westpac

Banking

Corp.

............................

620

—

—

—

620

$

4,736,337

$

(3,765,022)

$

—

$

(403,879)

$

567,436

(a)

The

amount

of

derivatives

available

for

offset

is

limited

to

the

amount

of

derivative

assets

and/or

liabilities

that

are

subject

to

an

MNA.

(b)

Excess

of

collateral

received

from

the

individual

counterparty

is

not

shown

for

financial

reporting

purposes.

(c)

Net

amount

represents

the

net

amount

receivable

from

the

counterparty

in

the

event

of

default.

(d)

Net

amount

may

also

include

forward

foreign

currency

exchange

contracts

that

are

not

required

to

be

collateralized.

(e)

Represents

derivatives

owned

by

the

BlackRock

Cayman

Strategic

Risk

Allocation

Fund,

Ltd.,

a

wholly-owned

subsidiary

of

the

Fund.

See

Note

1

of

the

Notes

to

Consolidated

Financial

Statements.

(f)

Excess

of

collateral

pledged

to

the

individual

counterparty

is

not

shown

for

financial

reporting

purposes.

(g)

Net

amount

represents

the

net

amount

payable

due

to

the

counterparty

in

the

event

of

default.

BlackRock

Total

Factor

Fund

Consolidated

Schedule

of

Investments

61

Consolidated

Schedule

of

Investments

(continued)

July

31,

2021

See

notes

to

consolidated

financial

statements.

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

For

a

description

of

the

input

levels

and

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

the

Notes

to

Consolidated

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

Consolidated

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets:

Investments:

Long-Term

Investments:

Common

Stocks

.........................................

$

363

$

—

$

—

$

363

Foreign

Government

Obligations

..............................

—

11,331,168

—

11,331,168

U.S.

Treasury

Obligations

...................................

—

10,589,146

—

10,589,146

Short-Term

Securities:

Money

Market

Funds

......................................

22,001,744

—

—

22,001,744

U.S.

Treasury

Obligations

...................................

—

119,964,790

—

119,964,790

Options

Purchased:

Interest

rate

contracts

......................................

—

320,355

—

320,355

$

22,002,107

$

142,205,459

$

—

$

164,207,566

Derivative

Financial

Instruments

(a)

Assets:

Commodity

contracts

.......................................

$

893,502

$

—

$

—

$

893,502

Credit

contracts

...........................................

—

381,585

—

381,585

Equity

contracts

...........................................

318,771

1,400,061

—

1,718,832

Foreign

currency

exchange

contracts

............................

—

6,465,390

—

6,465,390

Interest

rate

contracts

.......................................

7,773,385

—

—

7,773,385

Liabilities:

Commodity

contracts

.......................................

(353,155)

—

—

(353,155)

Equity

contracts

...........................................

(1,767,698)

(856,440)

—

(2,624,138)

Foreign

currency

exchange

contracts

............................

—

(3,879,897)

—

(3,879,897)

Interest

rate

contracts

.......................................

(2,712,657)

—

—

(2,712,657)

$

4,152,148

$

3,510,699

$

—

$

7,662,847

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts.

Swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument.

Consolidated

Statement

of

Assets

and

Liabilities

July

31,

2021

2021

BlackRock

Annual

Report

to

Shareholders

62

+

+

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

ASSETS

Investments,

at

value

—

unaffiliated

(a)

........................................................................................

$

142,205,822‌

Investments,

at

value

—

affiliated

(b)

.........................................................................................

22,001,744‌

Cash

.............................................................................................................

10,758,421‌

Cash

pledged:

–‌

Collateral

—

OTC

derivatives

............................................................................................

3,210,000‌

Futures

contracts

....................................................................................................

19,498,000‌

Centrally

cleared

swaps

................................................................................................

1,379,000‌

Foreign

currency,

at

value

(c)

..............................................................................................

17,917,623‌

Receivables:

–‌

Swaps  

..........................................................................................................

1,457,335‌

Capital

shares

sold

...................................................................................................

178,679‌

Dividends

—

affiliated

.................................................................................................

66‌

From

the

Manager

...................................................................................................

9,829‌

Variation

margin

on

futures

contracts

.......................................................................................

801,510‌

Unrealized

appreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

6,465,390‌

OTC

swaps

........................................................................................................

1,400,061‌

Prepaid

expenses

.....................................................................................................

68,436‌

Total

assets

.........................................................................................................

227,351,916‌

LIABILITIES

Cash

received:

–‌

Collateral

—

OTC

derivatives

............................................................................................

3,330,000‌

Payables:

–‌

Investments

purchased

................................................................................................

358,946‌

Swaps  

..........................................................................................................

935,486‌

Administration

fees

...................................................................................................

7,676‌

Capital

shares

redeemed

...............................................................................................

2,012,717‌

Investment

advisory

fees

..............................................................................................

31,120‌

Trustees'

and

Officer's

fees

.............................................................................................

2,115‌

Other

affiliate

fees

...................................................................................................

172‌

Service

and

distribution

fees

.............................................................................................

1,425‌

Variation

margin

on

futures

contracts

.......................................................................................

1,387,246‌

Variation

margin

on

centrally

cleared

swaps

..................................................................................

28,142‌

Other

accrued

expenses

...............................................................................................

378,791‌

Unrealized

depreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

3,879,897‌

OTC

swaps

........................................................................................................

856,440‌

Total

liabilities

........................................................................................................

13,210,173‌

NET

ASSETS

........................................................................................................

$

214,141,743‌

NET

ASSETS

CONSIST

OF

Paid-in

capital

........................................................................................................

$

2

12

,

343

,

880‌

Accumulated

earnings

..................................................................................................

1,

797

,

863‌

NET

ASSETS

........................................................................................................

$

214,141,743‌

(a)

  Investments,

at

cost

—

unaffiliated

........................................................................................

$

140,570,138‌

(b)

  Investments,

at

cost

—

affiliated

..........................................................................................

$

22,001,744‌

(c)

  Foreign

currency,

at

cost

...............................................................................................

$

17,834,344‌

Consolidated

Statement

of

Assets

and

Liabilities

(continued)

July

31,

2021

63

Consolidated

Financial

Statements

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

NET

ASSET

VALUE

Institutional

Net

assets

........................................................................................................

$

176,703,477

Shares

outstanding

.................................................................................................

18,581,029

Net

asset

value

....................................................................................................

$

9.51

Shares

authorized

..................................................................................................

Unlimited

Par

value

........................................................................................................

$

0.001

Investor

A

Net

assets

........................................................................................................

$

5,891,967

Shares

outstanding

.................................................................................................

624,284

Net

asset

value

....................................................................................................

$

9.44

Shares

authorized

..................................................................................................

Unlimited

Par

value

........................................................................................................

$

0.001

Investor

C

Net

assets

........................................................................................................

$

220,814

Shares

outstanding

.................................................................................................

23,799

Net

asset

value

....................................................................................................

$

9.28

Shares

authorized

..................................................................................................

Unlimited

Par

value

........................................................................................................

$

0.001

Class

K

Net

assets

........................................................................................................

$

31,325,485

Shares

outstanding

.................................................................................................

3,289,966

Net

asset

value

....................................................................................................

$

9.52

Shares

authorized

..................................................................................................

Unlimited

Par

value

........................................................................................................

$

0.001

Consolidated

Statement

of

Operations

Year

Ended

July

31,

2021

2021

BlackRock

Annual

Report

to

Shareholders

64

(a)

Includes

net

inflationary

and

deflationary

adjustments.

See

Note

4

of

the

Notes

to

Consolidated

Financial

Statements.

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

INVESTMENT

INCOME

Dividends

—

affiliated

.................................................................................................

$

4,002‌

Interest

—

unaffiliated

(a)

...............................................................................................

760,264‌

Total

investment

income

.................................................................................................

764,266‌

EXPENSES

Investment

advisory

..................................................................................................

1,085,512‌

Accounting

services

..................................................................................................

253,314‌

Transfer

agent

—

class

specific

..........................................................................................

206,089‌

Registration

.......................................................................................................

172,110‌

Professional

.......................................................................................................

126,923‌

Administration

.....................................................................................................

92,270‌

Administration

—

class

specific

..........................................................................................

43,418‌

Custodian

.........................................................................................................

36,414‌

Service

and

distribution

—

class

specific

....................................................................................

17,357‌

Trustees

and

Officer

..................................................................................................

10,950‌

Miscellaneous

......................................................................................................

35,336‌

Total

expenses

.......................................................................................................

2,079,693‌

Less:

–‌

Administration

fees

waived

—

class

specific

..................................................................................

(43,280‌)

Fees

waived

and/or

reimbursed

by

the

Manager

...............................................................................

(724,191‌)

Transfer

agent

fees

waived

and/or

reimbursed

—

class

specific

.....................................................................

(114,326‌)

Total

expenses

after

fees

waived

and/or

reimbursed

..............................................................................

1,197,896‌

Net

investment

loss

....................................................................................................

(433,630‌)

REALIZED

AND

UNREALIZED

GAIN

(LOSS)

$

13,764,873‌

Net

realized

gain

(loss)

from:

$

–‌

Investments

—

unaffiliated

...........................................................................................

308,744‌

Forward

foreign

currency

exchange

contracts

...............................................................................

2,053,952‌

Foreign

currency

transactions

.........................................................................................

(421,360‌)

Futures

contracts

..................................................................................................

(6,451,921‌)

Swaps

.........................................................................................................

10,101,937‌

A

5,591,352‌

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investments

—

unaffiliated

...........................................................................................

(185,244‌)

Forward

foreign

currency

exchange

contracts

...............................................................................

3,936,191‌

Foreign

currency

translations

..........................................................................................

625,632‌

Futures

contracts

..................................................................................................

5,234,803‌

Swaps

.........................................................................................................

(1,437,861‌)

A

8,173,521‌

Net

realized

and

unrealized

gain

...........................................................................................

13,764,873‌

NET

INCREASE

IN

NET

ASSETS

RESULTING

FROM

OPERATIONS

..................................................................

$

13,331,243‌

Consolidated

Statements

of

Changes

in

Net

Assets

65

Consolidated

Financial

Statements

See

notes

to

consolidated

financial

statements.

BlackRock

Total

Factor

Fund

Year

Ended

July

31,

2021

2020

INCREASE

(DECREASE)

IN

NET

ASSETS

OPERATIONS

Net

investment

income

(loss)

..........................................................................

$

(433,630‌)

$

3,093,443‌

Net

realized

gain

(loss)

..............................................................................

5,591,352‌

(56,389,744‌)

Net

change

in

unrealized

appreciation

(depreciation)

..........................................................

8,173,521‌

(6,604,347‌)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

.....................................................

13,331,243‌

(59,900,648‌)

DISTRIBUTIONS

TO

SHAREHOLDERS

(a)

Institutional

....................................................................................

—‌

(7,545,741‌)

Investor

A

.....................................................................................

—‌

(251,603‌)

Investor

C

.....................................................................................

—‌

(16,900‌)

Class

K

.......................................................................................

—‌

(567,568‌)

Decrease

in

net

assets

resulting

from

distributions

to

shareholders

...................................................

—‌

(8,381,812‌)

CAPITAL

SHARE

TRANSACTIONS

Net

increase

(decrease)

in

net

assets

derived

from

capital

share

transactions

...........................................

(101,374,823‌)

137,702,357‌

NET

ASSETS

Total

increase

(decrease)

in

net

assets

.....................................................................

(88,043,580‌)

69,419,897‌

Beginning

of

year

....................................................................................

302,185,323‌

232,765,426‌

End

of

year

........................................................................................

$

214,141,743‌

$

302,185,323‌

(a)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

Consolidated

Financial

Highlights

(For

a

share

outstanding

throughout

each

period)

2021

BlackRock

Annual

Report

to

Shareholders

66

(a)

Based

on

average

shares

outstanding.

(b)

Amount

is

greater

than

$(0.005)

per

share.

(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

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds

as

follows:

BlackRock

Total

Factor

Fund

Institutional

Year

Ended

July

31,

2021

2020

2019

2018

2017

Net

asset

value,

beginning

of

year

..............................

$

8.78‌

$

10.50‌

$

10.18‌

$

10.18‌

$

9.79‌

Net

investment

income

(loss)

(a)

.................................

(0.02‌)

0.09‌

0.16‌

0.08‌

0.00‌

(b)

Net

realized

and

unrealized

gain

(loss)

...........................

0.75‌

(1.51‌)

0.44‌

0.39‌

0.53‌

Net

increase

(decrease)

from

investment

operations

....................

0.73‌

(1.42‌)

0.60‌

0.47‌

0.53‌

Distributions

(c)

–

–

–

–

–

From

net

investment

income

..................................

—‌

(0.01‌)

(0.24‌)

—‌

(0.04‌)

From

net

realized

gain

.......................................

—‌

(0.29‌)

(0.04‌)

(0.47‌)

(0.10‌)

Total

distributions

...........................................

—‌

(0.30‌)

(0.28‌)

(0.47‌)

(0.14‌)

Net

asset

value,

end

of

year

...................................

$

9.51‌

$

8.78‌

$

10.50‌

$

10.18‌

$

10.18‌

Total

Return

(d)

8.31%

(13.93)%

6.10%

4.59%

—

Based

on

net

asset

value

......................................

8.31%

(13.93)%

6.10%

4.59%

5.46%

Ratios

to

Average

Net

Assets

(e)

Total

expenses

.............................................

0.96%

0.84%

1.29%

1.82%

1.65%

Total

expenses

after

fees

waived

and/or

reimbursed

....................

0.55%

0.55%

0.55%

0.54%

0.68%

Net

investment

income

(loss)

...................................

(0.19)%

0.97%

1.55%

0.76%

(0.03)%

Supplemental

Data

Net

assets,

end

of

year

(000)

....................................

$

176,703‌

$

265,507‌

$

206,351‌

$

122,627‌

$

31,334‌

Portfolio

turnover

rate

........................................

49%

166%

74%

64%

73%

Year

Ended

July

31,

2021

2020

2019

2018

2017

Investments

in

underlying

funds

..................................

0.01%

0.01%

0.01%

0.05%

0.11%

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

67

Consolidated

Financial

Highlights

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Amount

is

greater

than

$(0.005)

per

share.

(d)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(e)

Excludes

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds

as

follows:

BlackRock

Total

Factor

Fund

Investor

A

Year

Ended

July

31,

2021

2020

2019

2018

2017

Net

asset

value,

beginning

of

year

..............................

$

8.74‌

$

10.46‌

$

10.15‌

$

10.15‌

$

9.77‌

Net

investment

income

(loss)

(a)

.................................

(0.04‌)

0.07‌

0.13‌

0.02‌

(0.02‌)

Net

realized

and

unrealized

gain

(loss)

...........................

0.74‌

(1.50‌)

0.44‌

0.42‌

0.52‌

Net

increase

(decrease)

from

investment

operations

....................

0.70‌

(1.43‌)

0.57‌

0.44‌

0.50‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

..................................

—‌

(0.00‌)

(c)

(0.22‌)

—‌

(0.02‌)

From

net

realized

gain

.......................................

—‌

(0.29‌)

(0.04‌)

(0.44‌)

(0.10‌)

Total

distributions

...........................................

—‌

(0.29‌)

(0.26‌)

(0.44‌)

(0.12‌)

Net

asset

value,

end

of

year

...................................

$

9.44‌

$

8.74‌

$

10.46‌

$

10.15‌

$

10.15‌

Total

Return

(d)

8.01%

(14.07)%

5.80%

4.35%

—

Based

on

net

asset

value

......................................

8.01%

(14.07)%

5.80%

4.35%

5.16%

Ratios

to

Average

Net

Assets

(e)

Total

expenses

.............................................

1.31%

1.22%

1.65%

2.20%

2.09%

Total

expenses

after

fees

waived

and/or

reimbursed

....................

0.80%

0.80%

0.80%

0.80%

0.91%

Net

investment

income

(loss)

...................................

(0.46)%

0.73%

1.28%

0.18%

(0.21)%

Supplemental

Data

Net

assets,

end

of

year

(000)

....................................

$

5,892‌

$

6,916‌

$

7,423‌

$

4,936‌

$

2,327‌

Portfolio

turnover

rate

........................................

49%

166%

74%

64%

73%

Year

Ended

July

31,

2021

2020

2019

2018

2017

Investments

in

underlying

funds

..................................

0.01%

0.01%

0.01%

0.05%

0.11%

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

2021

BlackRock

Annual

Report

to

Shareholders

68

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Amount

is

greater

than

$(0.005)

per

share.

(d)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(e)

Excludes

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds

as

follows:

BlackRock

Total

Factor

Fund

Investor

C

Year

Ended

July

31,

2021

2020

2019

2018

2017

Net

asset

value,

beginning

of

year

..............................

$

8.66‌

$

10.40‌

$

10.08‌

$

10.07‌

$

9.71‌

Net

investment

income

(loss)

(a)

.................................

(0.10‌)

(0.01‌)

0.04‌

(0.11‌)

(0.10‌)

Net

realized

and

unrealized

gain

(loss)

...........................

0.72‌

(1.48‌)

0.44‌

0.48‌

0.52‌

Net

increase

(decrease)

from

investment

operations

....................

0.62‌

(1.49‌)

0.48‌

0.37‌

0.42‌

Distributions

(b)

–

–

–

–

–

From

net

investment

income

..................................

—‌

(0.00‌)

(c)

(0.12‌)

—‌

—‌

From

net

realized

gain

.......................................

—‌

(0.25‌)

(0.04‌)

(0.36‌)

(0.06‌)

Total

distributions

...........................................

—‌

(0.25‌)

(0.16‌)

(0.36‌)

(0.06‌)

Net

asset

value,

end

of

year

...................................

$

9.28‌

$

8.66‌

$

10.40‌

$

10.08‌

$

10.07‌

Total

Return

(d)

7.16%

(14.68)%

4.95%

3.62%

—

Based

on

net

asset

value

......................................

7.16%

(14.68)%

4.95%

3.62%

4.40%

Ratios

to

Average

Net

Assets

(e)

Total

expenses

.............................................

2.08%

1.92%

2.47%

2.98%

2.80%

Total

expenses

after

fees

waived

and/or

reimbursed

....................

1.54%

1.55%

1.55%

1.55%

1.68%

Net

investment

income

(loss)

...................................

(1.19)%

(0.06)%

0.41%

(1.08)%

(1.01)%

Supplemental

Data

Net

assets,

end

of

year

(000)

....................................

$

221‌

$

304‌

$

608‌

$

755‌

$

908‌

Portfolio

turnover

rate

........................................

49%

166%

74%

64%

73%

Year

Ended

July

31,

2021

2020

2019

2018

2017

Investments

in

underlying

funds

..................................

0.01%

0.01%

0.01%

0.05%

0.11%

See

notes

to

financial

statements.

Consolidated

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

69

Consolidated

Financial

Highlights

(a)

Commencement

of

operations.

(b)

Based

on

average

shares

outstanding.

(c)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(d)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(e)

Aggregate

total

return.

(f)

Excludes

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds

as

follows:

(g)

Annualized.

(h)

Portfolio

turnover

rate

is

representative

of

the

portfolio

for

the

entire

year.

BlackRock

Total

Factor

Fund

Class

K

Year

Ended

July

31,

Period

from

02/03/17

(a)

to

07/31/17

2021

2020

2019

2018

Net

asset

value,

beginning

of

period

.............................

$

8.79‌

$

10.51‌

$

10.18‌

$

10.18‌

$

9.76‌

Net

investment

income

(loss)

(b)

.................................

(0.02‌)

0.10‌

0.14‌

0.28‌

0.01‌

Net

realized

and

unrealized

gain

(loss)

...........................

0.75‌

(1.52‌)

0.47‌

0.19‌

0.41‌

Net

increase

(decrease)

from

investment

operations

....................

0.73‌

(1.42‌)

0.61‌

0.47‌

0.42‌

Distributions

(c)

–

–

–

–

–

From

net

investment

income

..................................

—‌

(0.01‌)

(0.24‌)

—‌

—‌

From

net

realized

gain

.......................................

—‌

(0.29‌)

(0.04‌)

(0.47‌)

—‌

Total

distributions

...........................................

—‌

(0.30‌)

(0.28‌)

(0.47‌)

—‌

Net

asset

value,

end

of

period

..................................

$

9.52‌

$

8.79‌

$

10.51‌

$

10.18‌

$

10.18‌

Total

Return

(d)

8.30%

(13.89)%

6.23%

4.61%

—

Based

on

net

asset

value

......................................

8.30%

(13.89)%

6.23%

4.61%

4.30%

(e)

Ratios

to

Average

Net

Assets

(f)

Total

expenses

.............................................

0.87%

0.77%

1.29%

1.81%

1.84%

(g)

Total

expenses

after

fees

waived

and/or

reimbursed

....................

0.50%

0.50%

0.50%

0.50%

0.49%

(g)

Net

investment

income

(loss)

...................................

(0.18)%

1.08%

1.43%

2.79%

0.28%

(g)

Supplemental

Data

Net

assets,

end

of

period

(000)

..................................

$

31,325‌

$

29,458‌

$

18,383‌

$

28,440‌

$

230‌

Portfolio

turnover

rate

........................................

49%

166%

74%

64%

73%

(h)

Year

Ended

July

31,

Period

from

02/03/17

(a)

to

07/31/17

2021

2020

2019

2018

Investments

in

underlying

funds

..................................

0.01

%

0.01%

0.01%

0.05%

0.11%

See

notes

to

financial

statements.

Notes

to

Consolidated

Financial

Statements

2021

BlackRock

Annual

Report

to

Shareholders

70

1.

ORGANIZATION 

BlackRock

Funds

SM

 (the

“Trust”)

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”),

as

an

open-end

management

investment

company.

The Trust

is

organized

as

a 

Massachusetts

business

trust.

BlackRock

Total

Factor

Fund

(the

"Fund")

is

a

series

of

the

Trust.

The

Fund

is

classified

as

diversified.

The

Fund

offers

multiple

classes

of

shares.

All

classes

of

shares

have

identical

voting,

dividend,

liquidation

and

other

rights

and

are

subject

to

the

same

terms

and

conditions,

except

that

certain

classes

bear

expenses

related

to

the

shareholder

servicing

and

distribution

of

such

shares.

Institutional

and

Class

K

Shares

are

sold

only

to

certain

eligible

investors.

Investor

A

and

Investor

C

Shares

bear

certain

expenses

related

to

shareholder

servicing

of

such

shares,

and

Investor

C

Shares

also

bear

certain

expenses

related

to

the

distribution

of

such

shares.

Investor

A

and

Investor

C

Shares

are

generally

available

through

financial

intermediaries.

Each

class

has

exclusive

voting

rights

with

respect

to

matters

relating

to

its

shareholder

servicing

and

distribution

expenditures

(except

that

Investor

C

shareholders

may

vote

on

material

changes

to

the

Investor

A

Shares

distribution

and

service

plan).

(a)

Investor

A

Shares

may

be

subject

to

a

contingent

deferred

sales

charge

(“CDSC”)

for

certain

redemptions

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

(b)

A

CDSC

of

1.00%

is

assessed

on

certain

redemptions

of

Investor

C

Shares

made

within

one

year

after

purchase.

The

Fund,

together

with

certain

other

registered

investment

companies

advised

by

BlackRock

Advisors,

LLC

(the

"Manager") or

its

affiliates,

is

included

in

a

complex

of

equity,

multi-asset,

index

and

money

market

funds

referred

to

as

the

BlackRock

Multi-Asset

Complex.

Basis

of

Consolidation:

The

accompanying

consolidated

financial

statements

of

the

Fund

 include

the

accounts

of

BlackRock

Cayman

Strategic

Risk

Allocation

Fund,

Ltd.

(the

“Subsidiary”),

which

is

a

wholly-owned

subsidiary

of

the

Fund

 and

primarily

invests

in

commodity-related

instruments

and

other

derivatives.

The

Subsidiary

enables 

the

Fund

to

hold

these

commodity-related

instruments

and

satisfy

regulated

investment

company

tax

requirements.

The

Fund

 may

invest

up

to

25%

of

its

total

assets

in

the

Subsidiary.

The

net

assets

of

the

Subsidiary

as

of

period

end

were

$13,409,380

,

which

is

6.3%

 of

the

Fund's

 consolidated

net

assets.

Intercompany

accounts

and

transactions,

if

any,

have

been

eliminated.

The

Subsidiary

is

subject

to

the

same

investment

policies

and

restrictions

that

apply

to 

the

Fund

,

except

that

the

Subsidiary

may

invest

without

limitation

in

commodity-related

instruments. 

2.

SIGNIFICANT

ACCOUNTING

POLICIES

The

consolidated

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

consolidated

financial

statements,

disclosure

of

contingent

assets

and

liabilities

at

the

date

of

the

consolidated

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates.

The

Fund

is

considered

an

investment

company

under

U.S.

GAAP

and

follows

the

accounting

and

reporting

guidance

applicable

to

investment

companies.

Below

is

a

summary

of

significant

accounting

policies: 

Investment

Transactions

and

Income

Recognition:

For

financial

reporting

purposes,

investment

transactions

are

recorded

on

the

dates

the

transactions

are

executed.

Realized

gains

and

losses

on

investment

transactions

are

determined

using

the

specific

identification

method.

Dividend

income

and

capital

gain

distributions,

if

any,

are

recorded

on

the

ex-dividend

dates.

Non-cash

dividends,

if

any,

are

recorded

on

the

ex-dividend

dates

at

fair

value.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities,

is

recognized

daily

on

an

accrual

basis.

Income,

expenses

and

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

based

on

its

relative

net

assets.

Foreign

Currency

Translation:

The

Fund’s

books

and

records

are

maintained

in

U.S.

dollars.

Securities

and

other

assets

and

liabilities

denominated

in

foreign

currencies

are

translated

into

U.S.

dollars

using

exchange

rates

determined

as

of

the

close

of

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

.

Purchases

and

sales

of

investments

are

recorded

at

the

rates

of

exchange

prevailing

on

the

respective

dates

of

such

transactions.

Generally,

when

the

U.S.

dollar

rises

in

value

against

a

foreign

currency,

the

investments

denominated

in

that

currency

will

lose

value;

the

opposite

effect

occurs

if

the

U.S.

dollar

falls

in

relative

value. 

The

Fund

does

not

isolate

the

effect

of

fluctuations

in

foreign

exchange

rates

from

the

effect

of

fluctuations

in

the

market

prices

of

investments

for

financial

reporting

purposes.

Accordingly,

the

effects

of

changes

in

exchange

rates

on

investments

are

not

segregated

in

the

Consolidated

Statement

of

Operations

from

the

effects

of

changes

in

market

prices

of

those

investments,

but

are

included

as

a

component

of

net

realized

and

unrealized

gain

(loss)

from

investments.

The

Fund

reports

realized

currency

gains

(losses)

on

foreign

currency

related

transactions

as

components

of

net

realized

gain

(loss)

for

financial

reporting

purposes,

whereas

such

components

are

generally

treated

as

ordinary

income

for

U.S.

federal

income

tax

purposes.

Segregation

and

Collateralization:

In

cases

where the

Fund

enters

into

certain

investments

(e.g.,

futures

contracts,

forward

foreign

currency

exchange

contracts

and

swaps)

that

would

be

treated

as

“senior

securities”

for

1940

Act

purposes, the

Fund

may

segregate

or

designate

on

its

books

and

records

cash

or

liquid

assets

having

a

market

value

at

least

equal

to

the

amount

of

its

future

obligations

under

such

investments.

Doing

so

allows

the

investment

to

be

excluded

from

treatment

as

a

“senior

security.” 

Furthermore,

if

required

by

an

exchange

or

counterparty

agreement,

the

Fund

may

be

required

to

deliver/deposit

cash

and/or

securities

to/with

an

exchange,

or

broker-dealer

or

custodian

as

collateral

for

certain

investments

or

obligations.  

Distributions:

Distributions

from

net

investment

income

are

declared

daily

and

paid

monthly. 

Distributions

of

capital

gains

are

recorded

on

the

ex-dividend

dates

and

made

at

least

annually.

The

character

and

timing

of

distributions

are

determined

in

accordance

with

U.S.

federal

income

tax

regulations,

which

may

differ

from

U.S.

GAAP.

Net

income

and

realized

gains

from

investments

held

by

the

Subsidiary

are

treated

as

ordinary

income

for

tax

purposes.

If

a

net

loss

is

realized

by

the

Subsidiary

in

any

taxable

year,

the

loss

will

generally

not

be

available

to

offset

the

Fund’s

ordinary

income

and/or

capital

gains

for

that

year.

Share

Class

Initial

Sales

Charge

CDSC

Conversion

Privilege

Institutional

and

Class

K

Shares

...................................

No

No

None

Investor

A

Shares

............................................

Yes

No

(a)

None

Investor

C

Shares

...........................................

No

Yes

(b)

To

Investor

A

Shares

after

approximately

8

years

Notes

to

Consolidated

Financial

Statements

(continued)

71

Notes

to

Consolidated

Financial

Statements

Indemnifications:

In

the

normal

course

of

business,

the

Fund

enters

into

contracts

that

contain

a

variety

of

representations

that

provide

general

indemnification.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

because

it

involves

future

potential

claims

against

the

Fund,

which

cannot

be

predicted

with

any

certainty.

Other:

Expenses

directly

related

to the

Fund

or

its

classes

are

charged

to

the

Fund

or

the

applicable

class.

Expenses

directly

related

to

the

Fund

and

other

shared

expenses

prorated

to

the

Fund

are

allocated

daily

to

each

class

based

on

its

relative

net

assets

or

other

appropriate

methods.

Other

operating

expenses

shared

by

several

funds,

including

other

funds

managed

by

the

Manager

,

are

prorated

among

those

funds

on

the

basis

of

relative

net

assets

or

other

appropriate

methods.  

3.

INVESTMENT

VALUATION

AND

FAIR

VALUE

MEASUREMENTS 

Investment

Valuation

Policies:

 The

Fund’s

investments

are

valued

at

fair

value

(also

referred

to

as

“market

value”

within

the

consolidated

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

Fund

determines

the

fair

values

of

its

financial

instruments

using

various

independent

dealers

or

pricing

services

under

policies

approved

by

the

Board

of

Trustees

of

the

Trust

(the

“Board”).

If

a

security’s

market

price

is

not

readily

available

or

does

not

otherwise

accurately

represent

the

fair

value

of

the

security,

the

security

will

be

valued

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value.

The

BlackRock

Global

Valuation

Methodologies

Committee

(the

“Global

Valuation

Committee”)

is

the

committee

formed

by

management

to

develop

global

pricing

policies

and

procedures

and

to

oversee

the

pricing

function

for

all

financial

instruments.

Fair

Value

Inputs

and

Methodologies:

The

following

methods

and

inputs

are

used

to

establish

the

fair

value

of

the

Fund’s

assets

and

liabilities: 

Equity

investments

traded

on

a

recognized

securities

exchange

are

valued

at

that

day's official

closing

price,

as

applicable,

on

the

exchange

where

the

stock

is

primarily

traded.

Equity

investments

traded

on

a

recognized

exchange

for

which

there

were

no

sales

on

that

day

may

be

valued

at

the

last

available

bid

(long

positions)

or

ask

(short

positions)

price.  

Generally,

trading

in

foreign

instruments

is

substantially

completed

each

day

at

various

times

prior

to

the

close

of

trading

on

the

NYSE.

Each

business

day,

the

Fund

uses

current

market

factors

supplied

by

independent

pricing

services

to

value

certain

foreign

instruments

(“Systematic

Fair

Value

Price”).

The

Systematic

Fair

Value

Price

is

designed

to

value

such

foreign

securities

at

fair

value

as

of

the

close

of

trading

on

the

NYSE,

which

follows

the

close

of

the

local

markets.

Fixed-income investments

for

which

market

quotations

are

readily

available

are

generally

valued

using

the

last

available

bid

price

or

current

market

quotations

provided

by

independent

dealers

or

third

party

pricing

services.

Floating

rate

loan

interests

are

valued

at

the

mean

of

the

bid

prices

from

one

or

more

independent

brokers

or

dealers

as

obtained

from

a

third

party

pricing

service.

Pricing

services

generally

value

fixed-income

securities

assuming

orderly

transactions

of

an

institutional

round

lot

size,

but

a

fund

may

hold

or

transact

in

such

securities

in

smaller,

odd

lot

sizes.

Odd

lots

may

trade

at

lower

prices

than

institutional

round

lots.

The

pricing

services

may

use

matrix

pricing

or

valuation

models

that

utilize

certain

inputs

and

assumptions

to

derive

values,

including

transaction

data

(e.g.,

recent

representative

bids

and

offers),

market

data, credit

quality

information,

perceived

market

movements,

news,

and

other

relevant

information.

Certain

fixed-income

securities,

including

asset-

backed

and

mortgage

related

securities

may

be

valued

based

on

valuation

models

that

consider

the

estimated

cash

flows

of

each

tranche

of

the

entity,

establish

a

benchmark

yield

and

develop

an

estimated

tranche

specific

spread

to

the

benchmark

yield

based

on

the

unique

attributes

of

the

tranche.

The

amortized

cost

method

of

valuation

may

be

used

with

respect

to

debt

obligations

with

sixty

days

or

less

remaining

to

maturity

unless

the

Manager

determines

such

method

does

not

represent

fair

value.

Investments

in

open-end

U.S.

mutual

funds

(including

money

market

funds) are

valued

at

that

day's

published net

asset

value

(“NAV”). 

Futures

contracts

are valued

based

on

that

day’s

last

reported

settlement

or

trade price

on

the

exchange

where

the

contract

is

traded.

Forward

foreign

currency

exchange

contracts

are

valued

at

the

mean

between

the

bid

and

ask

prices

and

are

determined

as

of

the

close

of

trading

on

the

NYSE

based

on

that

day’s

prevailing

forward

exchange

rate

for

the

underlying

currencies.

Over-the-counter

("OTC")

options

and

options

on

swaps

(“swaptions”)

are

valued

by

an

independent

pricing

service

using

a

mathematical

model,

which

incorporates

a

number

of

market

data

factors,

such

as

the

trades

and

prices

of

the

underlying

instruments.

Swap

agreements

are

valued

utilizing

quotes

received

daily

by

independent pricing

services

or

through

brokers,

which

are

derived

using

daily

swap

curves

and

models

that

incorporate

a

number

of

market

data

factors,

such

as

discounted

cash

flows,

trades

and

values

of

the

underlying

reference

instruments. 

If

events

(e.g.,

a

market

closure,

market

volatility,

company

announcement or

a

natural

disaster)

occur

that

are

expected

to

materially

affect

the

value

of

such

investment,

or

in

the

event

that application

of

these

methods

of

valuation

results

in

a

price

for

an

investment

that

is

deemed

not

to

be

representative

of

the

market

value

of

such

investment,

or

if

a

price

is

not

available,

the

investment

will

be

valued

by

the

Global

Valuation

Committee,

or

its

delegate,

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value

(“Fair

Valued

Investments”).

The

fair

valuation

approaches

that

may

be

used

by

the

Global

Valuation

Committee include

market

approach,

income

approach

and

cost

approach.

Valuation

techniques

such

as

discounted

cash

flow,

use

of

market

comparables

and

matrix

pricing

are

types

of

valuation

approaches

and

are

typically

used

in

determining

fair

value.

When

determining

the

price

for

Fair

Valued

Investments,

the

Global

Valuation

Committee,

or

its

delegate,

seeks

to

determine

the

price

that

the

Fund

might

reasonably

expect

to

receive

or

pay

from

the

current

sale

or

purchase

of

that

asset

or

liability

in

an

arm’s-length

transaction.

Fair

value

determinations

shall

be

based

upon

all

available

factors

that

the

Global

Valuation

Committee,

or

its

delegate,

deems

relevant

and

consistent

with

the

principles

of

fair

value

measurement.

The

pricing

of

all

Fair

Valued

Investments

is

subsequently

reported

to

the

Board

or

a

committee

thereof

on

a

quarterly

basis.

Notes

to

Consolidated

Financial

Statements

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

72

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

Fund

has

the

ability

to

access;

Level

2

—

Other

observable

inputs

(including,

but

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks

and

default

rates)

or

other

market–corroborated

inputs);

and 

Level

3 —

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

(including

the

Global

Valuation

Committee's assumptions

used

in

determining

the

fair

value

of

financial

instruments).

The

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Accordingly,

the

degree

of

judgment

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

fair

value

hierarchy

classification

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety. Investments

classified

within

Level

3

have

significant

unobservable

inputs

used

by

the

Global

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

privately

held

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

Consolidated

Statement

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

With

regard

to

municipal

inflation-indexed

bonds

and

certain

corporate

inflation-indexed

bonds,

the

inflation

adjustment

is

typically

reflected

in

the

semi-annual

coupon

payment.

As

a

result,

the

principal

value

of

municipal

inflation-indexed

bonds

and

such

corporate

inflation-indexed

bonds

does

not

adjust

according

to

the

rate

of

inflation.

5.

Derivative

Financial

Instruments

The

Fund

engages

in

various

portfolio

investment

strategies

using

derivative

contracts

both

to

increase

the

returns

of

the

Fund

and/or

to

manage

its

exposure

to

certain

risks

such

as

credit

risk,

equity

risk,

interest

rate

risk,

foreign

currency

exchange

rate

risk,

commodity

price

risk

or

other

risks

(e.g.,

inflation

risk).

Derivative

financial

instruments

categorized

by

risk

exposure

are

included

in

the

Consolidated

Schedule

of

Investments.

These

contracts

may

be

transacted

on

an

exchange or

OTC.

Futures

Contracts:

Futures

contracts

are

purchased

or

sold

to

gain

exposure

to,

or

manage

exposure

to,

changes

in

interest

rates

(interest

rate

risk)

and

changes

in

the

value

of

equity

securities

(equity

risk)

or

foreign

currencies

(foreign

currency

exchange

rate

risk).  

Futures

contracts

are

exchange-traded agreements

between

the

Fund

and

a

counterparty

to

buy

or

sell

a

specific

quantity

of

an

underlying

instrument

at

a

specified

price

and

on

a

specified

date.

Depending

on

the

terms

of

a

contract,

it

is

settled

either

through

physical

delivery

of

the

underlying

instrument

on

the

settlement

date

or

by

payment

of

a

cash

amount

on

the

settlement

date.

Upon

entering

into

a

futures

contract,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

a

contract’s

size

and

risk

profile.

The

initial

margin

deposit

must

then

be

maintained

at

an

established

level

over

the

life

of

the

contract.

Amounts

pledged,

which

are

considered

restricted,

are

included

in

cash

pledged

for

futures

contracts

in

the Consolidated

Statement

of

Assets

and

Liabilities.

Securities

deposited

as

initial

margin

are

designated

in

the

Consolidated

Schedule

of

Investments

and

cash

deposited,

if

any, are

shown

as

cash

pledged

for

futures

contracts

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

an

amount

of

cash

equal

to

the

daily

fluctuation

in

market

value

of

the

contract

(“variation

margin”).

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and,

if

any,

shown

as

variation

margin

receivable

(or

payable)

on

futures

contracts

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

the

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

notional

amount

of

the

contract

at

the

time

it

was

opened

and

the

notional

amount

at

the

time

it

was

closed.

The

use

of

futures

contracts

involves

the

risk

of

an

imperfect

correlation

in

the

movements

in

the

price

of

futures

contracts

and

interest

rates,

foreign

currency

exchange

rates

or

underlying

assets.

Forward

Foreign

Currency

Exchange

Contracts

:

Forward

foreign

currency

exchange

contracts

are

entered

into

to

gain

or

reduce

exposure

to

foreign

currencies

(foreign

currency

exchange

rate

risk).

A

forward

foreign

currency

exchange

contract

is

an

agreement

between

two

parties

to

buy

and

sell

a

currency

at

a

set

exchange

rate

on

a

specified

date.

These

contracts

help

to

manage

the

overall

exposure

to

the

currencies

in

which

some

of

the

investments

held

by

the

Fund

are

denominated

and

in

some

cases,

may

be

used

to

obtain

exposure

to

a

particular

market.

The

contracts

are

traded

OTC

and

not

on

an

organized

exchange.

The

contract

is

marked-to-market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

(depreciation)

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

value

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

cash

without

the

Notes

to

Consolidated

Financial

Statements

(continued)

73

Notes

to

Consolidated

Financial

Statements

delivery

of

foreign

currency.

The

use

of

forward

foreign

currency

exchange

contracts

involves

the

risk

that

the

value

of

a

forward

foreign

currency

exchange

contract

changes

unfavorably

due

to

movements

in

the

value

of

the

referenced

foreign

currencies,

and

such

value

may

exceed

the

amount(s)

reflected

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Cash

amounts

pledged

for

forward

foreign

currency

exchange

contracts

are

considered

restricted

and

are

included

in

cash

pledged

as

collateral

for

OTC

derivatives

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

A

Fund’s

risk

of

loss

from

counterparty

credit

risk

on

OTC

derivatives

is

generally

limited

to

the

aggregate

unrealized

gain

netted

against

any

collateral

held

by

the

Fund.

Options:

The

Fund

may purchase

and

write

call

and

put

options

to

increase

or

decrease

its

exposure

to

the

risks

of

underlying

instruments,

including

equity

risk,

interest

rate

risk

and/or

commodity

price

risk

and/or,

in

the

case

of

options

written,

to

generate

gains

from

options

premiums.

A

call

option

gives

the

purchaser

(holder)

of

the

option

the

right

(but

not

the

obligation)

to

buy,

and

obligates

the

seller

(writer)

to

sell

(when

the

option

is

exercised)

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

A

put

option

gives

the

holder

the

right

to

sell

and

obligates

the

writer

to

buy

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

Premiums

paid

on

options

purchased

and

premiums

received

on

options

written,

as

well

as

the

daily

fluctuation

in

market

value,

are

included

in

investments

at

value

–

unaffiliated

and

options

written

at

value,

respectively,

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

When

an

instrument

is

purchased

or

sold

through

the

exercise

of

an

option,

the

premium

is

offset

against

the

cost

or

proceeds

of

the

underlying

instrument.

When

an

option

expires,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

to

the

extent

of

the

premiums

received

or

paid.

When

an

option

is

closed

or

sold,

a

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

received

or

paid.

When

the

Fund

writes

a

call

option,

such

option

is

typically

“covered,”

meaning

that

it

holds

the

underlying

instrument

subject

to

being

called

by

the

option

counterparty.

When

the

Fund

writes

a

put

option,

cash

is

segregated in

an

amount

sufficient

to

cover

the

obligation.

These

amounts,

which

are

considered

restricted,

are

included

in

cash

pledged

as

collateral

for

options

written

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Swaptions

–

The

Fund

may purchase

and

write

options

on

swaps

(“swaptions”)

primarily

to

preserve

a

return

or

spread

on

a

particular

investment

or

portion

of

the

Fund’s

holdings,

as

a

duration

management

technique

or

to

protect

against

an

increase

in

the

price

of

securities

it

anticipates

purchasing

at

a

later

date.

The

purchaser

and

writer

of

a

swaption

is

buying

or

granting

the

right

to

enter

into

a

previously

agreed

upon

interest

rate

or

credit

default

swap

agreement

(interest

rate

risk

and/or

credit

risk)

at

any

time

before

the

expiration

of

the

option. 

In

purchasing

and

writing

options,

the

Fund

bears

the

risk

of

an

unfavorable

change

in

the

value

of

the

underlying

instrument

or

the

risk

that

it

may

not

be

able

to

enter

into

a

closing

transaction

due

to

an

illiquid

market.

Exercise

of

a

written

option

could

result

in

the

Fund

purchasing

or

selling

a

security

when

it

otherwise

would

not,

or

at

a

price

different

from

the

current

market

value.

Swaps:

Swap

contracts

are

entered

into

to

manage

exposure

to

issuers,

markets

and

securities.

Such

contracts

are

agreements

between

the

Fund

and

a

counterparty

to

make

periodic

net

payments

on

a

specified

notional

amount

or

a

net

payment

upon

termination.

Swap

agreements

are

privately

negotiated

in

the

OTC

market

and

may

be

entered

into

as

a

bilateral

contract

(“OTC

swaps”)

or

centrally

cleared

(“centrally

cleared

swaps”).

For

OTC

swaps,

any

upfront

premiums

paid

and

any

upfront

fees

received

are

shown

as

swap

premiums

paid

and

swap

premiums

received,

respectively,

in

the

Consolidated

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

Consolidated

Statement

of

Assets

and

Liabilities.

Payments

received

or

paid

are

recorded

in

the

Consolidated

Statement

of

Operations

as

realized

gains

or

losses,

respectively.

When

an

OTC

swap

is

terminated,

a

realized

gain

or

loss

is

recorded

in

the

Consolidated

Statement

of

Operations

equal

to

the

difference

between

the

proceeds

from

(or

cost

of)

the

closing

transaction

and

the

Fund’s

basis

in

the

contract,

if

any.

Generally,

the

basis

of

the

contract

is

the

premium

received

or

paid.

In

a

centrally

cleared

swap,

immediately

following

execution

of

the

swap

contract,

the

swap

contract

is

novated

to

a

central

counterparty

(the

“CCP”)

and

the

CCP

becomes

the Fund’s

counterparty

on

the

swap.

The

Fund

is

required

to

interface

with

the

CCP

through

the

broker.

Upon

entering

into

a

centrally

cleared

swap,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

the

size

and

risk

profile

of

the

particular

swap. Securities

deposited

as

initial

margin

are

designated

in

the

Consolidated

Schedule

of

Investments

and

cash

deposited

is

shown

as

cash

pledged

for

centrally

cleared

swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities. Amounts

pledged,

which

are

considered

restricted

cash,

are

included

in

cash

pledged

for

centrally

cleared

swaps

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

variation

margin.

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and

shown

as

variation

margin

receivable

(or

payable)

on

centrally

cleared

swaps

in

the

Consolidated

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

Consolidated

Statement

of

Operations,

including

those

at

termination.

Credit

default

swaps

—

Credit

default

swaps

are

entered

into

to

manage

exposure

to

the

market

or

certain

sectors

of

the

market,

to

reduce

risk

exposure

to

defaults

of

corporate

and/or

sovereign

issuers

or

to

create

exposure

to

corporate

and/or

sovereign

issuers

to

which

a

fund

is

not

otherwise

exposed

(credit

risk).

The

Fund

may

either

buy

or

sell

(write)

credit

default

swaps

on

single-name

issuers

(corporate

or

sovereign),

a

combination

or

basket

of

single-name

issuers

or

traded

indexes.

Credit

default

swaps

are

agreements

in

which

the

protection

buyer

pays

fixed

periodic

payments

to

the

seller

in

consideration

for

a

promise

from

the

protection

seller

to

make

a

specific

payment

should

a

negative

credit

event

take

place

with

respect

to

the

referenced

entity

(e.g.,

bankruptcy,

failure

to

pay,

obligation

acceleration,

repudiation,

moratorium

or

restructuring).

As

a

buyer,

if

an

underlying

credit

event

occurs,

the

Fund

will

either

(i)

receive

from

the

seller

an

amount

equal

to

the

notional

amount

of

the

swap

and

deliver

the

referenced

security

or

underlying

securities

comprising

the

index,

or

(ii)

receive

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

As

a

seller

(writer),

if

an

underlying

credit

event

occurs,

the

Fund

will

either

pay

the

buyer

an

amount

equal

to

the

notional

amount

of

the

swap

and

take

delivery

of

the

referenced

security

or

underlying

securities

comprising

the

index

or

pay

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

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).

Notes

to

Consolidated

Financial

Statements

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

74

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

Fund

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

Fund

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

Fund

and

the

counterparty.

The

amounts

that

are

available

for

cash

settlement

are

recorded

as

realized

gains

or

losses

in

the

Consolidated

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

Fund

and

the

counterparty,

over

the

life

of

the

agreement.

Certain

swaps

have

no

stated

expiration

and

can

be

terminated

by

either

party

at

any

time.

Swap

transactions

involve,

to

varying

degrees,

elements

of

interest

rate,

credit

and

market

risk

in

excess

of

the

amounts

recognized

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

Such

risks

involve

the

possibility

that

there

will

be

no

liquid

market

for

these

agreements,

that

the

counterparty

to

the

agreements

may

default

on

its

obligation

to

perform

or

disagree

as

to

the

meaning

of

the

contractual

terms

in

the

agreements,

and

that

there

may

be

unfavorable

changes

in

interest

rates

and/or

market

values

associated

with

these

transactions.

Master

Netting

Arrangements:

In

order

to

define

its

contractual

rights

and

to

secure

rights

that

will

help

it mitigate its

counterparty

risk, the

Fund

may

enter

into

an

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreement

(“ISDA

Master

Agreement”)

or

similar

agreement

with

its

counterparties.

An

ISDA

Master

Agreement

is

a

bilateral

agreement

between a

Fund

and

a

counterparty

that

governs

certain

OTC

derivatives

and

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

a

default

and/or

termination

event.

Under

an

ISDA

Master

Agreement, a

Fund

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

default

including

the

bankruptcy

or

insolvency

of

the

counterparty.

However,

bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

Requirements:

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Consolidated

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

and

cash

received

as

collateral,

respectively.

Non-cash

collateral

pledged

by

the

Fund,

if

any,

is

noted

in

the

Consolidated

Schedule

of

Investments.

Generally,

the

amount

of

collateral

due

from

or

to

a

counterparty

is

subject

to

a

certain

minimum

transfer

amount

threshold

before

a

transfer

is

required,

which

is

determined

at

the

close

of

business

of

the

Fund.

Any

additional

required

collateral

is

delivered

to/pledged

by

the

Fund

on

the

next

business

day.

Typically,

the

counterparty

is

not

permitted

to

sell,

re-pledge

or

use

cash

and

non-cash

collateral

it

receives.

The

Fund

generally

agrees

not

to

use

non-cash

collateral

that

it

receives

but

may,

absent

default

or

certain

other

circumstances

defined

in

the

underlying

ISDA

Master

Agreement,

be

permitted

to

use

cash

collateral

received.

In

such

cases,

interest

may

be

paid

pursuant

to

the

collateral

arrangement

with

the

counterparty.

To

the

extent

amounts

due

to

the

Fund

from the

counterparties

are

not

fully

collateralized, the

Fund bears

the

risk

of

loss

from

counterparty

non-performance.

Likewise,

to

the

extent

the

Fund

has

delivered

collateral

to

a

counterparty

and

stands

ready

to

perform

under

the

terms

of

its

agreement

with

such

counterparty, the

Fund bears the

risk

of

loss

from

a

counterparty

in

the

amount

of

the

value

of

the

collateral

in

the

event

the

counterparty

fails

to

return

such

collateral.

Based

on

the

terms

of

agreements,

collateral

may

not

be

required

for

all

derivative

contracts.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements,

if

any,

in

the

Consolidated

Statement

of

Assets

and

Liabilities.

6.

INVESTMENT

ADVISORY

AGREEMENT

AND

OTHER

TRANSACTIONS

WITH

AFFILIATES 

Investment

Advisory:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Investment

Advisory

Agreement

with

the

Manager,

the

Fund’s

investment

adviser

and

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

Inc.

(“BlackRock”)

,

to

provide

investment

advisory

services.

The

Manager

is

responsible

for

the

management

of the

Fund’s

portfolio

and

provides

the

personnel,

facilities,

equipment

and

certain

other

services

necessary

to

the

operations

of the

Fund.

For

such

services,

the

Fund

pays

the

Manager

a

monthly

fee

at

an

annual

rate

equal

to

the

following

percentages

of

the

average

daily

value

of

the

Fund’s

net

assets:

The

Manager

provides

investment

management

and

other

services

to

the

Subsidiary.

The

Manager

does

not

receive

separate

compensation

from

the

Subsidiary

for

providing

investment

management

or

administrative

services.

However,

the

Fund

pays

the

Manager

based

on

the

Fund's

net

assets,

which

includes

the

assets

of

the

Subsidiary.

Average

Daily

Net

Assets

Investment

Advisory

Fees

First

$1

Billion

.........................................................................................................

0.50%

$1

Billion

-

$3

Billion

.....................................................................................................

0.47

$3

Billion

-

$5

Billion

.....................................................................................................

0.45

$5

Billion

-

$10

Billion

....................................................................................................

0.44

Greater

than

$10

Billion

..................................................................................................

0.43

Notes

to

Consolidated

Financial

Statements

(continued)

75

Notes

to

Consolidated

Financial

Statements

The

Manager

entered

into a

sub-advisory

agreement

with

BlackRock

International

Limited

(“BIL”),

an

affiliate

of

the

Manager. The

Manager

pays

BIL

for

services

it provides

for

that

portion

of

the

Fund

for

which

BIL

acts

as

sub-adviser,

a

monthly

fee

that

is

equal

to

a

percentage

of

the

investment

advisory

fees

paid

by the

Fund

to

the

Manager.

Service

and

Distribution

Fees:

 The

Trust

,

on behalf

of

the

Fund,

entered

into

a

Distribution

Agreement

and

a Distribution and

Service

Plan

with

BlackRock

Investments,

LLC

(“BRIL”),

an

affiliate

of

the

Manager.

Pursuant

to

the

Distribution

and

Service

Plan

and

in

accordance

with

Rule

12b-1

under

the

1940

Act,

the

Fund

pays

BRIL

ongoing

service

and

distribution

fees.

The

fees

are

accrued

daily

and

paid

monthly

at

annual

rates

based

upon

the

average

daily

net

assets

of

the

relevant

share

class

of

the

Fund

as

follows:

BRIL

and

broker-dealers,

pursuant

to

sub-agreements

with

BRIL,

provide

shareholder

servicing

and

distribution

services to

the

Fund.

The

ongoing

service

and/or

distribution

fee

compensates

BRIL

and

each

broker-dealer

for

providing

shareholder

servicing

and/or

distribution related

services

to

shareholders.

For

the year

ended

July

31,

2021,

the

following

table

shows

the

class

specific

service

and

distribution

fees

borne

directly

by

each

share

class

of

the

Fund:

Administration:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Administration

Agreement

with

the

Manager,

an

indirect

,

wholly-owned

subsidiary

of

BlackRock,

to

provide

administrative

services.

For

these

services,

the

Manager

receives

an

administration

fee

computed

daily

and

payable

monthly,

based

on

a

percentage

of

the

average

daily

net

assets

of

the

Fund.

The

administration

fee,

which

is

shown

as

administration

in

the

Consolidated

Statement

of

Operations,

is

paid

at

the

annual

rates

below.

In

addition,

the

Manager

charges

each

of

the

share

classes

an

administration

fee,

which

is

shown

as

administration —

class

specific

in

the

Consolidated

Statement

of

Operations,

at

an

annual

rate

of

0.02% of

the

average

daily

net

assets

of

each

respective

class.

For

the

year

ended

July

31,

2021,

the

Fund

paid

the

following

to

the

Manager

in

return

for

these

services,

which

are

included

in

administration —

class

specific

in

the

Consolidated

Statement

of

Operations:

Transfer

Agent:

Pursuant

to

written

agreements,

certain

financial

intermediaries,

some

of

which

may

be

affiliates,

provide

the

Fund

with

sub-accounting,

recordkeeping,

sub-transfer

agency

and

other

administrative

services

with

respect

to

servicing

of

underlying

investor

accounts.

For

these

services,

these

entities

receive

an

asset-based

fee

or

an

annual

fee

per

shareholder

account,

which

will

vary

depending

on

share

class

and/or

net

assets.

For

the

year ended July

31,

2021,

the

Fund

did

not

pay

any

amounts

to

affiliates

in

return

for

these

services.

The

Manager

maintains

a

call

center

that

is

responsible

for

providing

certain

shareholder

services

to

the

Fund.

Shareholder

services

include

responding

to

inquiries

and

processing

purchases

and

sales

based

upon

instructions

from

shareholders.

For

the year

ended

July

31,

2021,

the

Fund

reimbursed

the

Manager

the

following

amounts

for

costs

incurred

in

running

the

call

center,

which

are

included

in

transfer

agent

—

class

specific

in

the

Consolidated

Statement

of

Operations:

Service

Fees

Distribution

Fees

Investor

A

.................................................................................................

0.25‌%

—‌%

Investor

C

.................................................................................................

0.25‌

0.75‌

Service

and

Distribution

Fees

Investor

A

........................................................................................................

$

14,849‌

Investor

C

........................................................................................................

2,508‌

$

17,357‌

Average

Daily

Net

Assets

Administration

Fees

First

$500

Million

0.0425

%

$500

Million

-

$1

Billion

0.0400

$1

Billion

-

$2

Billion

0.0375

$2

Billion

-

$4

Billion

0.0350

$4

Billion

-

$13

Billion

0.0325

Greater

than

$13

Billion

0.0300

Institutional

.......................................................................................................

$

36,811‌

Investor

A

........................................................................................................

1,189‌

Investor

C

........................................................................................................

50‌

Class

K

.........................................................................................................

5,368‌

$

43,418‌

Institutional

....................................................................................................

$

694‌

Investor

A

.....................................................................................................

222‌

Class

K

......................................................................................................

106‌

$

1,022‌

Notes

to

Consolidated

Financial

Statements

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

76

For

the

year ended

July

31,

2021,

the

following

table

shows

the

class

specific

transfer

agent

fees

borne

directly

by

each

share

class

of

the

Fund:

Other

Fees:

For

the 

year

ended 

July

31,

2021

,

affiliates

earned

underwriting

discounts,

direct

commissions

and

dealer

concessions

on

sales

of

the

Fund’s Investor

A

Shares for

a

total

of

$218

.

Expense

Limitations,

Waivers

and

Reimbursements:

The

Manager

contractually

agreed

to

waive

its

investment

advisory

fees

by

the

amount

of

investment

advisory

fees

the

Fund

pays

to

the

Manager

indirectly

through

its

investment

in

affiliated

money

market

funds

(the

“affiliated

money

market

fund

waiver”)

through

November

30,

2021

.

The

contractual

agreement

may

be

terminated upon

90

days’

notice

by

a

majority

of

the

trustees

who

are

not

"interested

persons"

of

the

Trust,

as

defined

in

the

1940

Act

("Independent

Trustees"),

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

The

amount

of

waivers

and/or

reimbursements

of

fees

and

expenses

made

pursuant

to

the

expense

limitation

described

below

will

be

reduced

by

the

amount

of

the

affiliated

money

market

fund

waiver. This

amount

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Consolidated

Statement

of

Operations.

For

the

year

ended

July

31,

2021,

the

amount

waived

was

$7,980

.

The

Manager

has

contractually

agreed

to

waive

its

investment

advisory

fee

with

respect

to

any

portion

of

the

Fund’s

assets

invested

in

affiliated

equity

and

fixed-income mutual

funds

and

affiliated

exchange-traded

funds

that

have

a

contractual

management

fee

through

November

30,

2021.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

For

the

year

ended

July

31,

2021,

there

were

no

fees

waived

by

the

Manager

pursuant

to

this

arrangement.

The

Manager

contractually

agreed

to

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

expenses,

excluding

interest

expense,

dividend

expense,

tax

expense,

acquired

fund

fees

and

expenses,

and

certain

other

fund

expenses,

which

constitute

extraordinary

expenses

not

incurred

in

the

ordinary

course

of the

Fund’s

business

(“expense

limitation”).

The

expense

limitations

as

a

percentage

of

average

daily

net

assets

are

as

follows:

The

Manager

has

agreed

not

to

reduce

or

discontinue

the

contractual

expense

limitations

through

November

30,

2021,

unless

approved

by

the

Board,

including

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of the

Fund. For

the

year

ended

July

31,

2021,

the

Manager

waived

and/or

reimbursed

investment

advisory

fees

of

$716,211,

which

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Consolidated

Statement

of

Operations.

In

addition,

these

amounts

waived

and/or

reimbursed

by

the

Manager are

included

in administration

fees

waived

—

class

specific

and

transfer

agent

fees

waived

and/

or

reimbursed

—

class

specific,

respectively,

in

the

Consolidated

Statement

of

Operations.

For

the

year ended

July

31,

2021,

class

specific

expense

waivers

and/or

reimbursements are

as

follows: 

Interfund

Lending:

In

accordance

with

an

exemptive

order

(the

“Order”)

from

the

U.S.

Securities

and

Exchange

Commission

(“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

facility

for

temporary

purposes

(the

“Interfund

Lending

Program”),

subject

to

compliance

with

the

terms

and

conditions

of

the

Order,

and

to

the

extent

permitted

by

the

Fund’s

investment

policies

and

restrictions.

The

Fund

is

currently

permitted

to

borrow

and

lend

under

the

Interfund

Lending

Program. 

A

lending

BlackRock

fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets,

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

fund

through

the

Interfund

Lending

Program.

A

borrowing

BlackRock

fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets

(or

any

lower

threshold

provided

for

by

the fund’s

investment

restrictions).

If

a

borrowing

BlackRock

fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

each

of

its

outstanding

interfund

loans

will

be

subject

to

collateralization

of

at

least

102%

of

the

outstanding

principal

value

of

the

loan.

All

interfund

loans

are

for

temporary

or

emergency

purposes

and

the

interest

rate

to

be

charged

will

be

the

average

of

the

highest

current

overnight

repurchase

agreement

rate

available

to

a

lending

fund

and

the

bank

loan

rate,

as

calculated

according

to

a

formula

established

by

the

Board. 

During the

year

ended

July

31,

2021,

the

Fund

did

not

participate

in

the

Interfund

Lending

Program.

Institutional

.......................................................................................................

$

192,317‌

Investor

A

........................................................................................................

12,146‌

Investor

C

........................................................................................................

569‌

Class

K

.........................................................................................................

1,057‌

$

206,089‌

Institutional

..........................................................................................................

0.55‌%

Investor

A

...........................................................................................................

0.80‌

Investor

C

...........................................................................................................

1.55‌

Class

K

............................................................................................................

0.50‌

Fund

Name/Share

Class

Administration

Fees

Waived

Transfer

Agent

Fees

Waived

and/or

Reimbursed

BlackRock

Total

Factor

Fund

Institutional

....................................................................................

$

36,71

5‌

$

103,404‌

Investor

A

.....................................................................................

1,188‌

9,413‌

Investor

C

.....................................................................................

5

0‌

469‌

Class

K

......................................................................................

5,327‌

1,040‌

$

43,280‌

$

114,326‌

Notes

to

Consolidated

Financial

Statements

(continued)

77

Notes

to

Consolidated

Financial

Statements

Trustees

and

Officers: 

Certain

trustees

and/or

officers

of

the Trust are directors and/or

officers

of BlackRock

or

its

affiliates.

The

Fund

reimburses

the

Manager

for

a

portion

of

the

compensation

paid

to

the 

Fund's

Chief

Compliance

Officer,

which

is

included

in

Trustees and

Officer

in

the

Consolidated

Statement

of

Operations. 

7.

PURCHASES

AND

SALES 

For

the

year ended

July

31,

2021,

purchases

and

sales

of

investments,

excluding

short-term

investments,

were

as

follows:

RULE

ABOVE

8.

INCOME

TAX

INFORMATION 

It

is

the

Fund’s

policy

to

comply

with

the

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended,

applicable

to

regulated

investment

companies,

and

to

distribute

substantially

all

of

its

taxable

income

to

its

shareholders.

Therefore,

no

U.S.

federal

income

tax

provision

is

required. 

The

Fund

files

U.S.

federal

and

various

state

and

local

tax

returns.

No

income

tax

returns

are

currently

under

examination.

The

statute

of

limitations

on

the

Fund's

U.S.

federal

tax

returns

generally

remains

open

for

a

period

of

three

fiscal

years

after

they

are

filed.

The

statutes

of

limitations

on

the

Fund’s

state

and

local

tax

returns

may

remain

open

for

an

additional

year

depending

upon

the

jurisdiction. 

Management

has

analyzed

tax

laws

and

regulations

and

their

application

to

the Fund

as

of

July

31,

2021,

inclusive

of

the

open

tax

return

years,

and

does

not

believe

that

there

are

any

uncertain

tax

positions

that

require

recognition

of

a

tax

liability

in

the

Fund's

consolidated

financial

statements.

U.S.

GAAP

requires

that

certain

components

of

net

assets

be

adjusted

to

reflect

permanent

differences

between

financial

and

tax

reporting.

These

reclassifications

have

no

effect

on

net

assets

or

NAVs

per

share.

As

of

period

end,

the

following

permanent

differences

attributable

to

net

operating

losses

and

income

recognized

from

the

Fund’s

wholly

owned

subsidiary

was

reclassified

to

the

following

accounts:

The

tax

character

of

distributions

paid

was

as

follows: 

As

of

period

end,

the

tax

components

of

accumulated earnings

(loss) were

as

follows:  

During

the

year

ended July

31,

2021,

the

Fund utilized

the

following

amount

of

its

capital

loss

carryforward. 

U.S.

Government

Securities

Other

Securities

Fund

Name

Purchases

Sales

Purchases

Sales

BlackRock

Total

Factor

Fund

............................................

$

4,687,749‌

$

6,700,244‌

$

5,580,704‌

$

7,879,032‌

Fund

Name

Paid-in

Capital

Accumulated

Earnings

(Loss)

BlackRock

Total

Factor

Fund

....................................................................................

$

(42,939,164‌)

$

42,939,164‌

test

Fund

Name

Year

Ended

07/31/21

Year

Ended

07/31/20

BlackRock

Total

Factor

Fund

(a)

Ordinary

income

............................................................................................

$

—‌

$

5,986,605‌

Long-term

capital

gains

........................................................................................

—‌

2,395,207‌

$

—‌

$

8,381,812‌

(a)

Distribution

amounts

may

include

a

portion

of

the

proceeds

from

redeemed

shares.

Fund

Name

Net

Unrealized

Gains

(Losses)

(a)

BlackRock

Total

Factor

Fund

...............................................................................................

$

1,797,863‌

(a)

The

differences

between

book-basis

and

tax-basis

net

unrealized

losses

were

attributable

primarily

to

the

deferral

of

losses

on

wash

sales

and

straddles,

the

realization

for

tax

purposes

of

unrealized

gains

(losses)

on

certain

futures

and

foreign

currency

contracts,

amortization

methods

for

premiums

and

discounts

on

fixed

income

securities,

investment

in

wholly

owned

subsidiaries

and

the

accounting

for

swap

agreements.

Fund

Name

Amount

Utilized

BlackRock

Total

Factor

Fund

.............................................................................................

$

3,865,479‌

Notes

to

Consolidated

Financial

Statements

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

78

As

of

July

31,

2021, gross

unrealized

appreciation

and

depreciation

based

on

cost

of

investments

(including

short

positions

and

derivatives,

if

any)

for

U.S.

federal

income

tax

purposes

were

as

follows: 

9.

BANK

BORROWINGS 

BlackRock

Funds

SM

,

on

behalf

of

the

Fund,

along

with

certain

other

funds

managed

by

the

Manager

and

its

affiliates

(“Participating

Funds”),

is

a

party

to

a

364-day,

$2.25

billion

credit

agreement

with

a

group

of

lenders.

Under

this

agreement,

the

Fund

may

borrow

to

fund

shareholder

redemptions.

Excluding

commitments

designated

for

certain

individual

funds,

the

Participating

Funds,

including

the

Fund,

can

borrow

up

to

an

aggregate

commitment

amount

of

$1.75

billion

at

any

time

outstanding,

subject

to

asset

coverage

and

other

limitations

as

specified

in

the

agreement.

The

credit

agreement

has

the

following

terms:

a

fee

of

0.10%

per

annum

on

unused

commitment

amounts

and

interest

at

a

rate

equal

to

the

higher

of

(a)

one-month

London

Interbank

Offered

Rate

('LIBOR")

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.80%

per

annum

or

(b)

the

Fed

Funds

rate

(but,

in

any

event,

not

less

than

0.00%)

in

effect

from

time

to

time

plus

0.80%

per

annum

on

amounts

borrowed.

The

agreement

expires

in

April

2022

unless

extended

or

renewed.

These

fees

were

allocated

among

such

funds

based

upon

portions

of

the

aggregate

commitment

available

to

them

and

relative

net

assets

of

Participating

Funds.

During

the

year ended

July

31,

2021,

the

Fund

did

not

borrow

under

the

credit

agreement.

10.

 PRINCIPAL

RISKS 

In

the

normal

course

of

business,

the

Fund

invests

in

securities

or

other

instruments

and

may

enter

into

certain

transactions,

and

such

activities

subject

the

Fund

to

various

risks,

including

among

others,

fluctuations

in

the

market

(market

risk)

or

failure

of

an

issuer

to

meet

all

of

its

obligations.

The

value

of

securities

or

other

instruments

may

also

be

affected

by

various

factors,

including,

without

limitation:

(i)

the

general

economy;

(ii)

the

overall

market

as

well

as

local,

regional

or

global

political

and/or

social

instability;

(iii)

regulation,

taxation

or

international

tax

treaties

between

various

countries;

or

(iv)

currency,

interest

rate

and

price

fluctuations.

Local,

regional

or

global

events

such

as

war,

acts

of

terrorism,

the

spread

of

infectious

illness

or

other

public

health

issues,

recessions,

or

other

events

could

have

a

significant

impact

on

the

Fund

and its

investments.

The

Fund’s

prospectus

provides

details

of

the

risks

to

which

the

Fund

is

subject. 

Market Risk:

The

Fund

may

be

exposed

to

prepayment

risk,

which

is

the

risk

that

borrowers

may

exercise

their

option

to

prepay

principal

earlier

than

scheduled

during

periods

of

declining

interest

rates,

which

would

force

the

Fund

to

reinvest

in

lower

yielding

securities. The

Fund

may

also

be

exposed

to

reinvestment

risk,

which

is

the

risk

that

income

from

the

Fund’s

portfolio

will

decline

if

the Fund

invests

the

proceeds

from

matured,

traded

or

called

fixed-income

securities

at

market

interest

rates

that

are

below

the

Fund

portfolio’s

current

earnings

rate.

An

outbreak

of

respiratory

disease

caused

by

a

novel

coronavirus

has

developed

into

a

global

pandemic

and

has

resulted

in

closing

borders,

quarantines,

disruptions

to

supply

chains

and

customer

activity,

as

well

as

general

concern

and

uncertainty.

The

impact

of

this

pandemic,

and

other

global

health

crises

that

may

arise

in

the

future,

could

affect

the

economies

of

many

nations,

individual

companies

and

the

market

in

general

in

ways

that

cannot

necessarily

be

foreseen

at

the

present

time.

This

pandemic

may

result

in

substantial

market

volatility

and

may

adversely

impact

the

prices

and

liquidity

of

a

fund's

investments.

The duration

of

this

pandemic

and

its

effects

cannot

be

determined

with

certainty.

Valuation

Risk:

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments,

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries. The

Fund

may

invest

in

illiquid

investments.

An

illiquid

investment

is

any

investment

that the

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. The

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

the

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 the

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which the

Fund

invests. 

Counterparty

Credit

Risk:

The

Fund

may

be

exposed

to

counterparty

credit

risk,

or

the

risk

that

an

entity

may

fail

to

or

be

unable

to

perform

on

its

commitments

related

to

unsettled

or

open

transactions,

including

making

timely

interest

and/or

principal

payments

or

otherwise

honoring

its

obligations.

The

Fund

manages

counterparty

credit

risk

by

entering

into

transactions

only

with

counterparties

that

the

Manager

believes

have

the

financial

resources

to

honor

their

obligations

and

by

monitoring

the

financial

stability

of

those

counterparties.

Financial

assets,

which

potentially

expose

the

Fund

to

market,

issuer

and

counterparty

credit

risks,

consist

principally

of

financial

instruments

and

receivables

due

from

counterparties.

The

extent

of

the

Fund’s

exposure

to

market,

issuer

and

counterparty

credit

risks

with

respect

to

these

financial

assets

is

approximately

their

value

recorded

in

the

Consolidated

Statement

of

Assets

and

Liabilities,

less

any

collateral

held

by

the

Fund. 

A

derivative

contract

may

suffer

a

mark-to-market

loss

if

the

value

of

the

contract

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

instrument.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

contract.

For

OTC

options

purchased,

the

Fund

bears

the

risk

of

loss

in

the

amount

of

the

premiums

paid

plus

the

positive

change

in

market

values

net

of

any

collateral

held

by

the

Fund

should

the

counterparty

fail

to

perform

under

the

contracts.

Options

written

by

the

Fund

do

not

typically

give

rise

to

counterparty

credit

risk,

as

options

written

generally

obligate

the

Fund,

and

not

the

counterparty,

to

perform.

The

Fund

may

be

exposed

to

counterparty

credit

risk

with

respect

to

options

written

to

the

extent

the

Fund

deposits

collateral

with

its

counterparty

to

a

written

option. 

With

exchange-traded

futures

and

centrally

cleared

swaps,

there

is

less

counterparty

credit

risk

to

the

Fund

since

the

exchange

or

clearinghouse,

as

counterparty

to

such

instruments,

guarantees

against

a

possible

default.

The

clearinghouse

stands

between

the

buyer

and

the

seller

of

the

contract;

therefore,

credit

risk

is

limited

to

failure

of

the

Fund

Name

Tax

Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Appreciation

(Depreciation)

BlackRock

Total

Factor

Fund

.........................................

$

165,060,283‌

$

16,921,535‌

$

(14,131,840‌)

$

2,789,695‌

Notes

to

Consolidated

Financial

Statements

(continued)

79

Notes

to

Consolidated

Financial

Statements

clearinghouse.

While

offset

rights

may

exist

under

applicable

law, the

Fund

does

not

have

a

contractual

right

of

offset

against

a

clearing

broker

or

clearinghouse

in

the

event

of

a

default

(including

the

bankruptcy

or

insolvency).

Additionally,

credit

risk

exists

in exchange-traded

futures

and

centrally

cleared

swaps

with

respect

to

initial

and

variation

margin

that

is

held

in

a

clearing

broker’s

customer

accounts.

While

clearing

brokers

are

required

to

segregate

customer

margin

from

their

own

assets,

in

the

event

that

a

clearing

broker

becomes

insolvent

or

goes

into

bankruptcy

and

at

that

time

there

is

a

shortfall

in

the

aggregate

amount

of

margin

held

by

the

clearing

broker

for

all

its

clients,

typically

the

shortfall

would

be

allocated

on

a

pro

rata

basis

across

all

the

clearing

broker’s

customers,

potentially

resulting

in

losses

to

the

Fund. 

Concentration

Risk:

 A

diversified

portfolio,

where

this

is appropriate

and

consistent

with

a

fund's

objectives,

minimizes

the

risk

that

a

price

change

of

a

particular

investment

will

have

a

material

impact

on

the

NAV

of

a

fund.

The

investment

concentrations

within

the

Fund's

portfolio

are

disclosed

in

its Consolidated

Schedule

of

Investments.

The

Fund

invests

a

significant

portion

of

its

assets

in

fixed-income

securities

and/or

uses

derivatives

tied

to

the

fixed-income

markets.

Changes

in

market

interest

rates

or

economic

conditions

may

affect

the

value

and/or

liquidity

of

such

investments.

Interest

rate

risk

is

the

risk

that

prices

of

bonds

and

other

fixed-income

securities

will

increase

as

interest

rates

fall

and

decrease

as

interest

rates

rise.

The

Funds

may

be

subject

to

a

greater

risk

of

rising

interest

rates

due

to

the

current

period

of

historically

low

rates.

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

of

issuers

located

in

Europe

or

with

significant

exposure

to

European

issuers

or

countries.

The

European

financial

markets

have

recently

experienced

volatility

and

adverse

trends

due

to

concerns

about

economic

downturns

in,

or

rising

government

debt

levels

of,

several

European

countries.

These

events

may

spread

to

other

countries

in

Europe

and

may

affect

the

value

and

liquidity

of

certain

of

the

Fund’s

investments. 

Responses

to

the

financial

problems

by

European

governments,

central

banks

and

others,

including

austerity

measures

and

reforms,

may

not

work,

may

result

in

social

unrest

and

may

limit

future

growth

and

economic

recovery

or

have

other

unintended

consequences.

Further

defaults

or

restructurings

by

governments

and

others

of

their

debt

could

have

additional

adverse

effects

on

economies,

financial

markets

and

asset

valuations

around

the

world.

In

addition,

the

United

Kingdom

has

withdrawn

from

the

European

Union,

and

one

or

more

other

countries

may

withdraw

from

the

European

Union

and/or

abandon

the

Euro,

the

common

currency

of

the

European

Union.

The

impact

of

these

actions,

especially

if

they

occur

in

a

disorderly

fashion,

is

not

clear

but

could

be

significant

and

far

reaching. 

LIBOR

Transition

Risk:

The

United

Kingdom’s

Financial

Conduct

Authority

announced

a phase

out of

the

LIBOR.

Although

many

LIBOR

rates

will

be

phased

out

by

the

end

of

2021,

a

selection

of

widely

used

USD

LIBOR

rates

will

continue

to

be

published

through

June

2023

in

order

to

assist

with

the

transition.

The

Fund

may

be

exposed

to

financial

instruments

tied

to

LIBOR

to

determine

payment

obligations,

financing

terms,

hedging

strategies

or

investment

value.

The

transition

process

away

from

LIBOR

might

lead

to

increased

volatility

and

illiquidity

in

markets

for,

and

reduce

the

effectiveness

of

new

hedges

placed

against,

instruments

whose

terms

currently

include

LIBOR.

The

ultimate

effect

of

the

LIBOR

transition

process

on

the

Fund

is

uncertain. 

11.

CAPITAL

SHARE

TRANSACTIONS 

Transactions

in

capital

shares

for

each

class

were

as

follows:

12.

SUBSEQUENT

EVENTS

Management

has

evaluated

the

impact

of

all

subsequent

events

on

the

Fund

through

the

date

the

consolidated

financial

statements

were

issued

and

has

determined

that

there

were

no

subsequent

events

requiring

adjustment

or

additional

disclosure

in

the

consolidated

financial

statements.

Year

Ended

07/31/21

Year

Ended

07/31/20

Fund

Name/Share

class

Shares

Amount

Shares

Amount

BlackRock

Total

Factor

Fund

Institutional

Shares

sold

.............................................

10,201,915‌

$

89,887,340‌

25,158,025‌

$

253,451,052‌

Shares

issued

in

reinvestment

of

distributions

........................

—‌

—‌

659,597‌

6,741,082‌

Shares

redeemed

.........................................

(21,849,107‌)

(189,309,769‌)

(15,239,548‌)

(138,351,670‌)

(11,647,192‌)

$

(99,422,429‌)

10,578,074‌

$

121,840,464‌

Investor

A

Shares

sold

and

automatic

conversion

of

shares

......................

161,901‌

$

1,435,546‌

555,698‌

$

5,622,773‌

Shares

issued

in

reinvestment

of

distributions

........................

—‌

—‌

24,603‌

250,453‌

Shares

redeemed

.........................................

(329,107‌)

(2,842,811‌)

(498,310‌)

(4,740,113‌)

(167,206‌)

$

(1,407,265‌)

81,991‌

$

1,133,113‌

Investor

C

Shares

sold

.............................................

70‌

$

600‌

18,610‌

$

192,871‌

Shares

issued

in

reinvestment

of

distributions

........................

—‌

—‌

1,668‌

16,900‌

Shares

redeemed

and

automatic

conversion

of

shares

..................

(11,409‌)

(96,411‌)

(43,586‌)

(387,232‌)

(11,339‌)

$

(95,811‌)

(23,308‌)

$

(177,461‌)

Class

K

Shares

sold

.............................................

1,240,109‌

$

10,932,535‌

3,277,222‌

$

30,256,148‌

Shares

issued

in

reinvestment

of

distributions

........................

—‌

—‌

55,535‌

571,969‌

Shares

redeemed

.........................................

(1,300,845‌)

(11,381,853‌)

(1,731,696‌)

(15,921,876‌)

(60,736‌)

$

(449,318‌)

1,601,061‌

$

14,906,241‌

(11,886,473‌)

$

(101,374,823‌)

12,237,818‌

$

137,702,357‌

Report

of

Independent

Registered

Public

Accounting

Firm

2021

BlackRock

Annual

Report

to

Shareholders

80

To

the

Board

of

Trustees

of

BlackRock

Funds

SM

and

Shareholders

of

BlackRock

Total

Factor

Fund

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

consolidated

statement

of

assets

and

liabilities,

including

the

consolidated

schedule

of

investments,

of

BlackRock

Total

Factor

Fund

and

its

subsidiary

(one

of

the

funds

constituting

BlackRock

Funds

SM

,

referred

to

hereafter

as

the

"Fund")

as

of

July

31,

2021,

the

related

consolidated

statement

of

operations

for

the

year

ended

July

31,

2021,

the

consolidated

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

July

31,

2021,

including

the

related

notes,

and

the

consolidated

financial

highlights

for

each

of

the

periods

indicated

therein

(collectively

referred

to

as

the

“consolidated

financial

statements”).

In

our

opinion,

the

consolidated

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

July

31,

2021,

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

ended

July

31,

2021

and

each

of

the

financial

highlights

for

each

of

the

periods

indicated

therein

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

consolidated

financial

statements

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

consolidated

financial

statements

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

of

these

consolidated

financial

statements

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

consolidated

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

consolidated

financial

statements,

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

consolidated

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

consolidated

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

July

31,

2021

by

correspondence

with

the

custodian,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinion.

/s/PricewaterhouseCoopers

LLP

Philadelphia,

Pennsylvania

September

21,

2021

We

have

served

as

the

auditor

of

one

or

more

BlackRock

investment

companies

since

2000.

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

81

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

The

Board

of

Trustees

(the

“Board,”

the

members

of

which

are

referred

to

as

“Board

Members”)

of

BlackRock

Funds

SM

(the

“Trust”)

met

on

April

7,

2021

(the

“April

Meeting”)

and

May

10-12,

2021

(the

“May

Meeting”)

to

consider

the

approval

to

continue

the

investment

advisory

agreement

(the

“Advisory

Agreement”)

between

the

Trust,

on

behalf

of

BlackRock

Total

Factor

Fund

(the

“Fund”),

and

BlackRock

Advisors,

LLC

(the

“Manager”),

the

Fund’s

investment

advisor.

The

Board

also

considered

the

approval

of

the

sub-advisory

agreement

(the

“Sub-Advisory

Agreement”)

between

the

Manager

and

BlackRock

International

Limited

(the

“Sub-Advisor”)

with

respect

to

the

Fund.

The

Manager

and

the

Sub-Advisor

are

referred

to

herein

as

“BlackRock.”

The

Advisory

Agreement

and

the

Sub-Advisory

Agreement

are

referred

to

herein

as

the

“Agreements.”

The

Approval

Process:

Consistent

with

the

requirements

of

the

Investment

Company

Act

of

1940

(the

“1940

Act”),

the

Board

considers

the

approval

of

the

continuation

of

the

Agreements

for

the

Fund

on

an

annual

basis.

The

Board

members

whom

are

not

“interested

persons”

of

the

Trust,

as

defined

in

the

1940

Act,

are

considered

independent

Board

members

(the

“Independent

Board

Members”).

The

Board’s

consideration

entailed

a

year-long

deliberative

process

during

which

the

Board

and

its

committees

assessed

BlackRock’s

various

services

to

the

Fund,

including

through

the

review

of

written

materials

and

oral

presentations,

and

the

review

of

additional

information

provided

in

response

to

requests

from

the

Independent

Board

Members.

The

Board

had

four

quarterly

meetings

per

year,

each

typically

extending

for

two

days,

as

well

as

additional

ad

hoc

meetings

and

executive

sessions

throughout

the

year,

as

needed.

The

committees

of

the

Board

similarly

met

throughout

the

year.

The

Board

also

had

a

fifth

one-day

meeting

to

consider

specific

information

surrounding

the

renewal

of

the

Agreements.

In

particular,

the

Board

assessed,

among

other

things,

the

nature,

extent

and

quality

of

the

services

provided

to

the

Fund

by

BlackRock,

BlackRock’s

personnel

and

affiliates,

including

(as

applicable):

investment

management

services;

accounting

oversight;

administrative

and

shareholder

services;

oversight

of

the

Fund’s

service

providers;

risk

management

and

oversight;

and

legal,

regulatory

and

compliance

services.

Throughout

the

year,

including

during

the

contract

renewal

process,

the

Independent

Board

Members

were

advised

by

independent

legal

counsel,

and

met

with

independent

legal

counsel

in

various

executive

sessions

outside

of

the

presence

of

BlackRock’s

management.

During

the

year,

the

Board,

acting

directly

and

through

its

committees,

considered

information

that

was

relevant

to

its

annual

consideration

of

the

renewal

of

the

Agreements,

including

the

services

and

support

provided

by

BlackRock

to

the

Fund

and

its

shareholders.

BlackRock

also

furnished

additional

information

to

the

Board

in

response

to

specific

questions

from

the

Board.

Among

the

matters

the

Board

considered

were:

(a)

investment

performance

for

one-year,

three-year,

five-year,

and/or

since

inception

periods,

as

applicable,

against

peer

funds,

relevant

benchmarks,

and

other

performance

metrics,

as

applicable,

as

well

as

BlackRock

senior

management’s

and

portfolio

managers’

analyses

of

the

reasons

for

any

outperformance

or

underperformance

relative

to

its

peers,

benchmarks,

and

other

performance

metrics,

as

applicable;

(b)

fees,

including

advisory,

administration,

if

applicable,

and

other

amounts

paid

to

BlackRock

and

its

affiliates

by

the

Fund

for

services;

(c)

Fund

operating

expenses

and

how

BlackRock

allocates

expenses

to

the

Fund;

(d)

the

resources

devoted

to,

risk

oversight

of,

and

compliance

reports

relating

to,

implementation

of

the

Fund’s

investment

objective,

policies

and

restrictions,

and

meeting

regulatory

requirements;

(e)

BlackRock’s

and

the

Fund’s

adherence

to

applicable

compliance

policies

and

procedures;

(f)

the

nature,

character

and

scope

of

non-investment

management

services

provided

by

BlackRock

and

its

affiliates

and

the

estimated

cost

of

such

services,

as

available;

(g)

BlackRock’s

and

other

service

providers’

internal

controls

and

risk

and

compliance

oversight

mechanisms;

(h)

BlackRock’s

implementation

of

the

proxy

voting

policies

approved

by

the

Board;

(i)

the

use

of

brokerage

commissions

and

execution

quality

of

portfolio

transactions;

(j)

BlackRock’s

implementation

of

the

Fund’s

valuation

and

liquidity

procedures;

(k)

an

analysis

of

management

fees

paid

to

BlackRock

for

products

with

similar

investment

mandates

across

the

open-end

fund,

exchange-traded

fund

(“ETF”),

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable,

and

the

similarities

and

differences

between

these

products

and

the

services

provided

as

compared

to

the

Fund;

(l)

BlackRock’s

compensation

methodology

for

its

investment

professionals

and

the

incentives

and

accountability

it

creates,

along

with

investment

professionals’

investments

in

the

fund(s)

they

manage;

and

(m)

periodic

updates

on

BlackRock’s

business.

Prior

to

and

in

preparation

for

the

April

Meeting,

the

Board

received

and

reviewed

materials

specifically

relating

to

the

renewal

of

the

Agreements.

The

Independent

Board

Members

continuously

engaged

in

a

process

with

their

independent

legal

counsel

and

BlackRock

to

review

the

nature

and

scope

of

the

information

provided

to

the

Board

to

better

assist

its

deliberations.

The

materials

provided

in

connection

with

the

April

Meeting

included,

among

other

things:

(a)

information

independently

compiled

and

prepared

by

Broadridge

Financial

Solutions,

Inc.

(“Broadridge”),

based

on

either

a

Lipper

classification

or

Morningstar

category,

regarding

the

Fund’s

fees

and

expenses

as

compared

with

a

peer

group

of

funds

as

determined

by

Broadridge

(“Expense

Peers”)

and

the

investment

performance

of

the

Fund

as

compared

with

a

peer

group

of

funds

(“Performance

Peers”);

(b)

information

on

the

composition

of

the

Expense

Peers

and

Performance

Peers

and

a

description

of

Broadridge’s

methodology;

(c)

information

on

the

estimated

profits

realized

by

BlackRock

and

its

affiliates

pursuant

to

the

Agreements

and

a

discussion

of

fall-out

benefits

to

BlackRock

and

its

affiliates;

(d)

a

general

analysis

provided

by

BlackRock

concerning

investment

management

fees

received

in

connection

with

other

types

of

investment

products,

such

as

institutional

accounts,

sub-advised

mutual

funds,

ETFs,

closed-end

funds,

open-end

funds,

and

separately

managed

accounts,

under

similar

investment

mandates,

as

well

as

the

performance

of

such

other

products,

as

applicable;

(e)

a

review

of

non-management

fees;

(f)

the

existence,

impact

and

sharing

of

potential

economies

of

scale,

if

any,

with

the

Fund;

(g)

a

summary

of

aggregate

amounts

paid

by

the

Fund

to

BlackRock;

(h)

sales

and

redemption

data

regarding

the

Fund’s

shares;

and

(i)

various

additional

information

requested

by

the

Board

as

appropriate

regarding

BlackRock's

and

the

Fund's

operations.

At

the

April

Meeting,

the

Board

reviewed

materials

relating

to

its

consideration

of

the

Agreements.

As

a

result

of

the

discussions

that

occurred

during

the

April

Meeting,

and

as

a

culmination

of

the

Board’s

year-long

deliberative

process,

the

Board

presented

BlackRock

with

questions

and

requests

for

additional

information.

BlackRock

responded

to

these

questions

and

requests

with

additional

written

information

in

advance

of

the

May

Meeting.

At

the

May

Meeting,

the

Board

concluded

its

assessment

of,

among

other

things:

(a)

the

nature,

extent

and

quality

of

the

services

provided

by

BlackRock;

(b)

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers

and

to

other

metrics,

as

applicable;

(c)

the

advisory

fee

and

the

estimated

cost

of

the

services

and

estimated

profits

realized

by

BlackRock

and

its

affiliates

from

their

relationship

with

the

Fund;

(d)

the

Fund’s

fees

and

expenses

compared

to

its

Expense

Peers;

(e)

the

existence

and

sharing

of

potential

economies

of

scale;

(f)

any

fall-out

benefits

to

BlackRock

and

its

affiliates

as

a

result

of

BlackRock’s

relationship

with

the

Fund;

and

(g)

other

factors

deemed

relevant

by

the

Board

Members.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

other

payments

made

to

BlackRock

or

its

affiliates

relating

to

securities

lending

and

cash

management,

and

BlackRock’s

services

related

to

the

valuation

and

pricing

of

Fund

portfolio

holdings.

The

Board

noted

the

willingness

of

BlackRock’s

personnel

to

engage

in

open,

candid

discussions

with

the

Board.

The

members

of

the

Board

gave

attention

to

all

of

the

information

that

was

furnished,

and

each

Board

Member

placed

varying

degrees

of

importance

on

the

various

pieces

of

information

that

were

provided

to

them.

The

Board

evaluated

the

information

available

to

it

on

a

fund

by

fund

basis.

The

following

paragraphs

provide

more

information

about

some

of

the

primary

factors

that

were

relevant

to

the

Board’s

decision.

The

Board

Members

did

not

identify

any

particular

information,

or

any

single

factor

as

determinative,

and

each

Board

Member

may

have

attributed

different

weights

to

the

various

items

and

factors

considered.

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

82

A.

Nature,

Extent

and

Quality

of

the

Services

Provided

by

BlackRock:

The

Board,

including

the

Independent

Board

Members,

reviewed

the

nature,

extent

and

quality

of

services

provided

by

BlackRock,

including

the

investment

advisory

services,

and

the

resulting

performance

of

the

Fund.

Throughout

the

year,

the

Board

compared

Fund

performance

to

the

performance

of

a

comparable

group

of

mutual

funds,

relevant

benchmarks,

and

performance

metrics,

as

applicable.

The

Board

met

with

BlackRock’s

senior

management

personnel

responsible

for

investment

activities,

including

the

senior

investment

officers.

The

Board

also

reviewed

the

materials

provided

by

the

Fund’s

portfolio

management

team

discussing

the

Fund’s

performance,

investment

strategies

and

outlook.

The

Board

considered,

among

other

factors,

with

respect

to

BlackRock:

the

number,

education

and

experience

of

investment

personnel

generally

and

the

Fund’s

portfolio

management

team;

research

capabilities;

investments

by

portfolio

managers

in

the

funds

they

manage;

portfolio

trading

capabilities;

use

of

technology;

commitment

to

compliance;

credit

analysis

capabilities;

risk

analysis

and

oversight

capabilities;

and

the

approach

to

training

and

retaining

portfolio

managers

and

other

research,

advisory

and

management

personnel.

The

Board

also

considered

BlackRock’s

overall

risk

management

program,

including

the

continued

efforts

of

BlackRock

and

its

affiliates

to

address

cybersecurity

risks

and

the

role

of

BlackRock’s

Risk

&

Quantitative

Analysis

Group.

The

Board

engaged

in

a

review

of

BlackRock’s

compensation

structure

with

respect

to

the

Fund’s

portfolio

management

team

and

BlackRock’s

ability

to

attract

and

retain

high-quality

talent

and

create

performance

incentives.

In

addition

to

investment

advisory

services,

the

Board

considered

the

nature

and

quality

of

the

administrative

and

other

non-investment

advisory

services

provided

to

the

Fund.

BlackRock

and

its

affiliates

provide

the

Fund

with

certain

administrative,

shareholder

and

other

services

(in

addition

to

any

such

services

provided

to

the

Fund

by

third

parties)

and

officers

and

other

personnel

as

are

necessary

for

the

operations

of

the

Fund.

In

particular,

BlackRock

and

its

affiliates

provide

the

Fund

with

administrative

services

including,

among

others:

(i)

responsibility

for

disclosure

documents,

such

as

the

prospectus,

the

summary

prospectus

(as

applicable),

the

statement

of

additional

information

and

periodic

shareholder

reports;

(ii)

oversight

of

daily

accounting

and

pricing;

(iii)

responsibility

for

periodic

filings

with

regulators;

(iv)

overseeing

and

coordinating

the

activities

of

third-party

service

providers

including,

among

others,

the

Fund's

custodian,

fund

accountant,

transfer

agent,

and

auditor;

(v)

organizing

Board

meetings

and

preparing

the

materials

for

such

Board

meetings;

(vi)

providing

legal

and

compliance

support;

(vii)

furnishing

analytical

and

other

support

to

assist

the

Board

in

its

consideration

of

strategic

issues

such

as

the

merger,

consolidation

or

repurposing

of

certain

open-end

funds;

and

(viii)

performing

or

managing

administrative

functions

necessary

for

the

operation

of

the

Fund,

such

as

tax

reporting,

expense

management,

fulfilling

regulatory

filing

requirements,

overseeing

the

Fund’s

distribution

partners,

and

shareholder

call

center

and

other

services.

The

Board

reviewed

the

structure

and

duties

of

BlackRock’s

fund

administration,

shareholder

services,

and

legal

and

compliance

departments

and

considered

BlackRock’s

policies

and

procedures

for

assuring

compliance

with

applicable

laws

and

regulations.

The

Board

considered

the

operation

of

BlackRock’s

business

continuity

plans,

including

in

light

of

the

ongoing

COVID-19

pandemic.

B.

The

Investment

Performance

of

the

Fund

and

BlackRock:

The

Board,

including

the

Independent

Board

Members,

reviewed

and

considered

the

performance

history

of

the

Fund

throughout

the

year

and

at

the

April

Meeting.

In

preparation

for

the

April

Meeting,

the

Board

was

provided

with

reports

independently

prepared

by

Broadridge,

which

included

an

analysis

of

the

Fund’s

performance

as

of

December

31,

2020,

as

compared

to

its

Performance

Peers.

Broadridge

ranks

funds

in

quartiles,

ranging

from

first

to

fourth,

where

first

is

the

most

desirable

quartile

position

and

fourth

is

the

least

desirable.

In

connection

with

its

review,

the

Board

received

and

reviewed

information

regarding

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers

and,

in

light

of

the

Fund’s

outcome-oriented

investment

objective,

certain

performance

metrics

(“Outcome-Oriented

Performance

Metrics”).

The

Board

and

its

Performance

Oversight

Committee

regularly

review

and

meet

with

Fund

management

to

discuss

the

performance

of

the

Fund

throughout

the

year.

In

evaluating

performance,

the

Board

focused

particular

attention

on

funds

with

less

favorable

performance

records.

The

Board

also

noted

that

while

it

found

the

data

provided

by

Broadridge

generally

useful,

it

recognized

the

limitations

of

such

data,

including

in

particular,

that

notable

differences

may

exist

between

a

fund

and

its

Performance

Peers

(for

example,

the

investment

objectives

and

strategies).

Further,

the

Board

recognized

that

the

performance

data

reflects

a

snapshot

of

a

period

as

of

a

particular

date

and

that

selecting

a

different

performance

period

could

produce

significantly

different

results.

The

Board

also

acknowledged

that

long-term

performance

could

be

impacted

by

even

one

period

of

significant

outperformance

or

underperformance,

and

that

a

single

investment

theme

could

have

the

ability

to

disproportionately

affect

long-term

performance.

The

Board

reviewed

and

considered

the

Fund’s

performance

relative

to

the

Fund’s

Outcome-Oriented

Performance

Metrics

including

a

total

return

target.

The

Board

noted

that

for

each

of

the

one-year,

three-year

and

since-inception

periods

reported,

the

Fund

underperformed

its

total

return

target.

The

Board

noted

that

BlackRock

believes

that

the

Outcome-Oriented

Performance

Metrics

are

an

appropriate

performance

metric

for

the

Fund,

and

that

BlackRock

has

explained

its

rationale

for

this

belief

to

the

Board.

The

Board

and

BlackRock

reviewed

the

Fund’s

underperformance

relative

to

its

total

return

target

during

the

applicable

periods.

C.

Consideration

of

the

Advisory/Management

Fees

and

the

Estimated

Cost

of

the

Services

and

Estimated

Profits

Realized

by

BlackRock

and

its

Affiliates

from

their

Relationship

with

the

Fund:

The

Board,

including

the

Independent

Board

Members,

reviewed

the

Fund’s

contractual

management

fee

rate

compared

with

those

of

its

Expense

Peers.

The

contractual

management

fee

rate

represents

a

combination

of

the

advisory

fee

and

any

administrative

fees,

before

taking

into

account

any

reimbursements

or

fee

waivers.

The

Board

also

compared

the

Fund’s

total

expense

ratio,

as

well

as

its

actual

management

fee

rate,

to

those

of

its

Expense

Peers.

The

total

expense

ratio

represents

a

fund’s

total

net

operating

expenses,

including

any

12b-1

or

non-12b-1

service

fees.

The

total

expense

ratio

gives

effect

to

any

expense

reimbursements

or

fee

waivers,

and

the

actual

management

fee

rate

gives

effect

to

any

management

fee

reimbursements

or

waivers.

The

Board

considered

the

services

provided

and

the

fees

charged

by

BlackRock

and

its

affiliates

to

other

types

of

clients

with

similar

investment

mandates,

as

applicable,

including

institutional

accounts

and

sub-advised

mutual

funds

(including

mutual

funds

sponsored

by

third

parties).

The

Board

received

and

reviewed

statements

relating

to

BlackRock’s

financial

condition.

The

Board

reviewed

BlackRock’s

profitability

methodology

and

was

also

provided

with

an

estimated

profitability

analysis

that

detailed

the

revenues

earned

and

the

expenses

incurred

by

BlackRock

for

services

provided

to

the

Fund.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

the

Fund

and

other

funds

the

Board

currently

oversees

for

the

year

ended

December

31,

2020

compared

to

available

aggregate

estimated

profitability

data

provided

for

the

prior

two

years.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

certain

other

U.S.

fund

complexes

managed

by

the

Manager

and/or

its

affiliates.

The

Board

reviewed

BlackRock’s

assumptions

and

methodology

of

allocating

expenses

in

the

estimated

profitability

analysis,

noting

the

inherent

limitations

in

allocating

costs

among

various

advisory

products.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

the

Manager,

the

types

of

funds

managed,

precision

of

expense

allocations

and

business

mix.

The

Board

thus

recognized

that

calculating

and

comparing

profitability

at

the

individual

fund

level

is

difficult.

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

(continued)

83

Disclosure

of

Investment

Advisory

Agreement

and

Sub-Advisory

Agreement

The

Board

noted

that,

in

general,

individual

fund

or

product

line

profitability

of

other

advisors

is

not

publicly

available.

The

Board

reviewed

BlackRock’s

overall

operating

margin,

in

general,

compared

to

that

of

certain

other

publicly

traded

asset

management

firms.

The

Board

considered

the

differences

between

BlackRock

and

these

other

firms,

including

the

contribution

of

technology

at

BlackRock,

BlackRock’s

expense

management,

and

the

relative

product

mix.

The

Board

considered

whether

BlackRock

has

the

financial

resources

necessary

to

attract

and

retain

high

quality

investment

management

personnel

to

perform

its

obligations

under

the

Agreements

and

to

continue

to

provide

the

high

quality

of

services

that

is

expected

by

the

Board.

The

Board

further

considered

factors

including

but

not

limited

to

BlackRock’s

commitment

of

time,

assumption

of

risk,

and

liability

profile

in

servicing

the

Fund,

including

in

contrast

to

what

is

required

of

BlackRock

with

respect

to

other

products

with

similar

investment

mandates

across

the

open-end

fund,

ETF,

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable.

The

Board

noted

that

the

Fund’s

contractual

management

fee

rate

ranked

in

the

first

quartile,

and

that

the

actual

management

fee

rate

and

total

expense

ratio

each

ranked

in

the

first

quartile

relative

to

the

Fund’s

Expense

Peers.

The

Board

also

noted

that

the

Fund

has

an

advisory

fee

arrangement

that

includes

breakpoints

that

adjust

the

fee

rate

downward

as

the

size

of

the

Fund

increases

above

certain

contractually

specified

levels.

The

Board

noted

that

if

the

size

of

the

Fund

were

to

decrease,

the

Fund

could

lose

the

benefit

of

one

or

more

breakpoints.

The

Board

further

noted

that

BlackRock

and

the

Board

have

contractually

agreed

to

a

cap

on

the

Fund’s

total

expenses

as

a

percentage

of

the

Fund’s

average

daily

net

assets

on

a

class-by-class

basis.

D.

Economies

of

Scale:

The

Board,

including

the

Independent

Board

Members,

considered

the

extent

to

which

economies

of

scale

might

be

realized

as

the

assets

of

the

Fund

increase,

including

the

existence

of

fee

waivers

and/or

expense

caps,

as

applicable,

noting

that

any

contractual

fee

waivers

and

contractual

expense

caps

had

been

approved

by

the

Board.

In

its

consideration,

the

Board

further

considered

the

continuation

and/or

implementation

of

fee

waivers

and/or

expense

caps,

as

applicable.

The

Board

also

considered

the

extent

to

which

the

Fund

benefits

from

such

economies

of

scale

in

a

variety

of

ways,

and

whether

there

should

be

changes

in

the

advisory

fee

rate

or

breakpoint

structure

in

order

to

enable

the

Fund

to

more

fully

participate

in

these

economies

of

scale.

The

Board

considered

the

Fund’s

asset

levels

and

whether

the

current

fee

schedule

was

appropriate.

E.

Other

Factors

Deemed

Relevant

by

the

Board

Members:

The

Board,

including

the

Independent

Board

Members,

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

BlackRock

or

its

affiliates

may

derive

from

BlackRock’s

respective

relationships

with

the

Fund,

both

tangible

and

intangible,

such

as

BlackRock’s

ability

to

leverage

its

investment

professionals

who

manage

other

portfolios

and

its

risk

management

personnel,

an

increase

in

BlackRock’s

profile

in

the

investment

advisory

community,

and

the

engagement

of

BlackRock’s

affiliates

as

service

providers

to

the

Fund,

including

for

administrative,

distribution,

securities

lending

and

cash

management

services.

The

Board

also

considered

BlackRock’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

improve

the

quality

of,

its

operations.

The

Board

also

noted

that,

subject

to

applicable

law,

BlackRock

may

use

and

benefit

from

third-party

research

obtained

by

soft

dollars

generated

by

certain

registered

fund

transactions

to

assist

in

managing

all

or

a

number

of

its

other

client

accounts.

In

connection

with

its

consideration

of

the

Agreements,

the

Board

also

received

information

regarding

BlackRock’s

brokerage

and

soft

dollar

practices.

The

Board

received

reports

from

BlackRock

which

included

information

on

brokerage

commissions

and

trade

execution

practices

throughout

the

year.

The

Board

noted

the

competitive

nature

of

the

open-end

fund

marketplace,

and

that

shareholders

are

able

to

redeem

their

Fund

shares

if

they

believe

that

the

Fund’s

fees

and

expenses

are

too

high

or

if

they

are

dissatisfied

with

the

performance

of

the

Fund.

Conclusion

The

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Advisory

Agreement

between

the

Manager

and

the

Trust,

on

behalf

of

the

Fund,

for

a

one-year

term

ending

June

30,

2022,

and

the

Sub-Advisory

Agreement

between

the

Manager

and

the

Sub-Advisor,

with

respect

to

the

Fund,

for

a

one-year

term

ending

June

30,

2022.

Based

upon

its

evaluation

of

all

of

the

aforementioned

factors

in

their

totality,

as

well

as

other

information,

the

Board,

including

the

Independent

Board

Members,

was

satisfied

that

the

terms

of

the

Agreements

were

fair

and

reasonable

and

in

the

best

interest

of

the

Fund

and

its

shareholders.

In

arriving

at

its

decision

to

approve

the

Agreements,

the

Board

did

not

identify

any

single

factor

or

group

of

factors

as

all-important

or

controlling,

but

considered

all

factors

together,

and

different

Board

Members

may

have

attributed

different

weights

to

the

various

factors

considered.

The

Independent

Board

Members

were

also

assisted

by

the

advice

of

independent

legal

counsel

in

making

this

determination.

Trustee

and

Officer

Information

2021

BlackRock

Annual

Report

to

Shareholders

84

Independent

Trustees

(a)

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

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

Five

Years

Mark

Stalnecker

1951

Chair

of

the

Board

(Since

2019)

and

Trustee

(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.

30

RICs

consisting

of

152

Portfolios

None

Bruce

R.

Bond

1946

Trustee

(Since

2019)

Board

Member,

Amsphere

Limited

(software)

since

2018;

Trustee

and

Member

of

the

Governance

Committee,

State

Street

Research

Mutual

Funds

from

1997

to

2005;

Board

Member

of

Governance,

Audit

and

Finance

Committee,

Avaya

Inc.

(computer

equipment)

from

2003

to

2007.

30

RICs

consisting

of

152

Portfolios

None

Susan

J.

Carter

1956

Trustee

(Since

2016)

Director,

Pacific

Pension

Institute

from

2014

to

2018;

Advisory

Board

Member,

Center

for

Private

Equity

and

Entrepreneurship

at

Tuck

School

of

Business

since

1997;

Senior

Advisor,

Commonfund

Capital,

Inc.

(“CCI”)

(investment

adviser)

in

2015;

Chief

Executive

Officer,

CCI

from

2013

to

2014;

President

&

Chief

Executive

Officer,

CCI

from

1997

to

2013;

Advisory

Board

Member,

Girls

Who

Invest

from

2015

to

2018

and

Board

Member

thereof

since

2018;

Advisory

Board

Member,

Bridges

Fund

Management

since

2016;

Trustee,

Financial

Accounting

Foundation

since

2017;

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.

30

RICs

consisting

of

152

Portfolios

None

Collette

Chilton

1958

Trustee

(Since

2015)

Chief

Investment

Officer,

Williams

College

since

2006;

Chief

Investment

Officer,

Lucent

Asset

Management

Corporation

from

1998

to

2006;

Director,

Boys

and

Girls

Club

of

Boston

since

2017;

Director,

B1

Capital

since

2018;

Director,

David

and

Lucile

Packard

Foundation

since

2020.

30

RICs

consisting

of

152

Portfolios

None

Neil

A.

Cotty

1954

Trustee

(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.

30

RICs

consisting

of

152

Portfolios

None

Lena

G.

Goldberg

1949

Trustee

(Since

2019)

Director,

Charles

Stark

Draper

Laboratory,

Inc.

since

2013;

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.

30

RICs

consisting

of

152

Portfolios

None

Henry

R.

Keizer

1956

Trustee

(Since

2019)

Director,

Park

Indemnity

Ltd.

(captive

insurer)

since

2010;

Director,

MUFG

Americas

Holdings

Corporation

and

MUFG

Union

Bank,

N.A.

(financial

and

bank

holding

company)

from

2014

to

2016;

Director,

American

Institute

of

Certified

Public

Accountants

from

2009

to

2011;

Director,

KPMG

LLP

(audit,

tax

and

advisory

services)

from

2004

to

2005

and

2010

to

2012;

Director,

KPMG

International

in

2012,

Deputy

Chairman

and

Chief

Operating

Officer

thereof

from

2010

to

2012

and

U.S.

Vice

Chairman

of

Audit

thereof

from

2005

to

2010;

Global

Head

of

Audit,

KPMGI

(consortium

of

KPMG

firms)

from

2006

to

2010;

Director,

YMCA

of

Greater

New

York

from

2006

to

2010.

30

RICs

consisting

of

152

Portfolios

Hertz

Global

Holdings

(car

rental);

Sealed

Air

Corp.

(packaging);

Montpelier

Re

Holdings,

Ltd.

(publicly

held

property

and

casualty

reinsurance)

from

2013

to

2015;

WABCO

(commercial

vehicle

safety

systems)

from

2015

to

2020

Cynthia

A.

Montgomery

1952

Trustee

(Since

2007)

Professor,

Harvard

Business

School

since

1989.

30

RICs

consisting

of

152

Portfolios

Newell

Rubbermaid,

Inc.

(manufacturing)

from

1995

to

2016

Trustee

and

Officer

Information

(continued)

85

Trustee

and

Officer

Information

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

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

Five

Years

Donald

C.

Opatrny

1952

Trustee

(Since

2019)

Trustee,

Vice

Chair,

Member

of

the

Executive

Committee

and

Chair

of

the

Investment

Committee,

Cornell

University

from

2004

to

2019;

President,

Trustee

and

Member

of

the

Investment

Committee,

The

Aldrich

Contemporary

Art

Museum

from

2007

to

2014;

Member

of

the

Board

and

Investment

Committee,

University

School

from

2007

to

2018;

Member

of

the

Investment

Committee,

Mellon

Foundation

from

2009

to

2015;

Trustee,

Artstor

(a

Mellon

Foundation

affiliate)

from

2010

to

2015;

President

and

Trustee,

the

Center

for

the

Arts,

Jackson

Hole

from

2011

to

2018;

Director,

Athena

Capital

Advisors

LLC

(investment

management

firm)

since

2013;

Trustee

and

Chair

of

the

Investment

Committee,

Community

Foundation

of

Jackson

Hole

since

2014;

Member

of

Affordable

Housing

Supply

Board

of

Jackson,

Wyoming

since

2017;

Member,

Investment

Funds

Committee,

State

of

Wyoming

since

2017;

Trustee,

Phoenix

Art

Museum

since

2018;

Trustee,

Arizona

Community

Foundation

and

Member

of

Investment

Committee

since

2020.

30

RICs

consisting

of

152

Portfolios

None

Joseph

P.

Platt

1947

Trustee

(Since

2007)

General

Partner,

Thorn

Partners,

LP

(private

investments)

since

1998;

Director,

WQED

Multi-Media

(public

broadcasting

not-for-

profit)

since

2001;

Chair,

Basic

Health

International

(non-profit)

since

2015.

30

RICs

consisting

of

152

Portfolios

Greenlight

Capital

Re,

Ltd.

(reinsurance

company);

Consol

Energy

Inc.

Kenneth

L.

Urish

1951

Trustee

(Since

2007)

Managing

Partner,

Urish

Popeck

&

Co.,

LLC

(certified

public

accountants

and

consultants)

since

1976;

Past-Chairman

of

the

Professional

Ethics

Committee

of

the

Pennsylvania

Institute

of

Certified

Public

Accountants

and

Committee

Member

thereof

since

2007;

Member

of

External

Advisory

Board,

The

Pennsylvania

State

University

Accounting

Department

since

founding

in

2001;

Principal,

UP

Strategic

Wealth

Investment

Advisors,

LLC

since

2013;

Trustee,

The

Holy

Family

Institute

from

2001

to

2010;

President

and

Trustee,

Pittsburgh

Catholic

Publishing

Associates

from

2003

to

2008;

Director,

Inter-Tel

from

2006

to

2007;

Member,

Advisory

Board,

ESG

Competent

Boards

since

2020.

30

RICs

consisting

of

152

Portfolios

None

Claire

A.

Walton

1957

Trustee

(Since

2016)

Chief

Operating

Officer

and

Chief

Financial

Officer

of

Liberty

Square

Asset

Management,

LP

from

1998

to

2015;

General

Partner

of

Neon

Liberty

Capital

Management,

LLC

since

2003;

Director,

Boston

Hedge

Fund

Group

from

2009

to

2018;

Director,

Woodstock

Ski

Runners

since

2013;

Director,

Massachusetts

Council

on

Economic

Education

from

2013

to

2015.

30

RICs

consisting

of

152

Portfolios

None

Independent

Trustees

(a)

(continued)

Trustee

and

Officer

Information

(continued)

2021

BlackRock

Annual

Report

to

Shareholders

86

Interested

Trustees

(a)(d)

(a)

The

address

of

each

Trustee

is

c/o

BlackRock,

Inc.,

55

East

52nd

Street,

New

York,

New

York

10055.

(b)

Independent

Trustees

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

Trustees

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

Trustee

joined

the

Board,

certain

Independent

Trustees

first

became

members

of

the

boards

of

other

BlackRock-advised

Funds,

legacy

MLIM

funds

or

legacy

BlackRock

funds

as

follows:

Bruce

R.

Bond,

2005;

Cynthia

A.

Montgomery,

1994;

Joseph

P.

Platt,

1999;

Kenneth

L.

Urish,

1999;

Lena

G.

Goldberg,

2016;

Henry

R.

Keizer,

2016;

Donald

C.

Opatrny,

2015.

(d)

Mr.

Fairbairn

and

Mr.

Perlowski

are

both

“interested

persons,”

as

defined

in

the

1940

Act,

of

the

Trust

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.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

Five

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

Five

Years

Robert

Fairbairn

1965

Trustee

(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.

103

RICs

consisting

of

252

Portfolios

None

John

M.

Perlowski

(e)

1964

Trustee

(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.

105

RICs

consisting

of

254

Portfolios

None

Trustee

and

Officer

Information

(continued)

87

Trustee

and

Officer

Information

Officers

Who

Are

Not

Trustees

(a)

(a)

The

address

of

each

Officer

is

c/o

BlackRock,

Inc.,

55

East

52nd

Street,

New

York,

New

York

10055.

(b)

Officers

of

the

Trust

serve

at

the

pleasure

of

the

Board.

Further

information

about

the

Trust’s

Trustees

and

Officers

is

available

in

the

Trust’s

Statement

of

Additional

Information,

which

can

be

obtained

without

charge

by

calling

(800)

441-7762.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

Principal

Occupation(s)

During

Past

Five

Years

Thomas

Callahan

1968

Vice

President

(Since

2016)

Managing

Director

of

BlackRock,

Inc.

since

2013;

Member

of

the

Board

of

Managers

of

BlackRock

Investments,

LLC

(principal

underwriter)

since

2019

and

Managing

Director

thereof

since

2017;

Head

of

BlackRock’s

Global

Cash

Management

Business

since

2016;

Co-Head

of

the

Global

Cash

Management

Business

from

2014

to

2016;

Deputy

Head

of

the

Global

Cash

Management

Business

from

2013

to

2014;

Member

of

the

Cash

Management

Group

Executive

Committee

since

2013;

Chief

Executive

Officer

of

NYSE

Liffe

U.S.

from

2008

to

2013.

Jennifer

McGovern

1977

Vice

President

(Since

2014)

Managing

Director

of

BlackRock,

Inc.

since

2016;

Director

of

BlackRock,

Inc.

from

2011

to

2015;

Head

of

Americas

Product

Development

and

Governance

for

BlackRock’s

Global

Product

Group

since

2019;

Head

of

Product

Structure

and

Oversight

for

BlackRock's

U.S.

Wealth

Advisory

Group

from

2013

to

2019.

Trent

Walker

1974

Chief

Financial

Officer

(Since

2021)

Managing

Director

of

BlackRock,

Inc.

since

September

2019;

Executive

Vice

President

of

PIMCO

from

2016

to

2019;

Senior

Vice

President

of

PIMCO

from

2008

to

2015;

Treasurer

from

2013

to

2019

and

Assistant

Treasurer

from

2007

to

2017

of

PIMCO

Funds,

PIMCO

Variable

Insurance

Trust,

PIMCO

ETF

Trust,

PIMCO

Equity

Series,

PIMCO

Equity

Series

VIT,

PIMCO

Managed

Accounts

Trust,

2

PIMCO-sponsored

interval

funds

and

21

PIMCO-sponsored

closed-end

funds.

Jay

M.

Fife

1970

Treasurer

(Since

2007)

Managing

Director

of

BlackRock,

Inc.

since

2007.

Charles

Park

1967

Chief

Compliance

Officer

(Since

2014)

Anti-Money

Laundering

Compliance

Officer

for

certain

BlackRock-advised

Funds

from

2014

to

2015;

Chief

Compliance

Officer

of

BlackRock

Advisors,

LLC

and

the

BlackRock-advised

Funds

in

the

BlackRock

Multi-Asset

Complex

and

the

BlackRock

Fixed-Income

Complex

since

2014;

Principal

of

and

Chief

Compliance

Officer

for

iShares

®

Delaware

Trust

Sponsor

LLC

since

2012

and

BlackRock

Fund

Advisors

(“BFA”)

since

2006;

Chief

Compliance

Officer

for

the

BFA-advised

iShares

®

exchange

traded

funds

since

2006;

Chief

Compliance

Officer

for

BlackRock

Asset

Management

International

Inc.

since

2012.

Lisa

Belle

1968

Anti-Money

Laundering

Compliance

Officer

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2019;

Global

Financial

Crime

Head

for

Asset

and

Wealth

Management

of

JP

Morgan

from

2013

to

2019;

Managing

Director

of

RBS

Securities

from

2012

to

2013;

Head

of

Financial

Crimes

for

Barclays

Wealth

Americas

from

2010

to

2012.

Janey

Ahn

1975

Secretary

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2018;

Director

of

BlackRock,

Inc.

from

2009

to

2017.

Neal

J.

Andrews

retired

as

the

Chief

Financial

Officer

effective

December

31,

2020,

and

Trent

Walker

was

elected

as

the

Chief

Financial

Officer

effective

January

1,

2021.

Additional

Information

2021

BlackRock

Annual

Report

to

Shareholders

88

Regulation

Regarding

Derivatives

On

October

28,

2020,

the

Securities

and

Exchange

Commission

(the

“SEC”)

adopted

new

regulations

governing

the

use

of

derivatives

by

registered

investment

companies

(“Rule

18f-4”).

The

Fund

will

be

required

to

implement

and

comply

with

Rule

18f-4

by

August

19, 2022.

Once

implemented,

Rule

18f-4

will

impose

limits

on

the

amount

of

derivatives

a

fund

can

enter

into,

eliminate

the

asset

segregation

framework

currently

used

by

funds

to

comply

with

Section

18

of

the

1940

Act,

treat

derivatives

as

senior

securities

and

require

funds

whose

use

of

derivatives

is

more

than

a

limited

specified

exposure

amount

to

establish

and

maintain

a

comprehensive

derivatives

risk

management

program

and

appoint

a

derivatives

risk

manager.

General

Information 

Quarterly

performance,

semi-annual

and

annual

reports,

current

net

asset

value

and

other

information

regarding

the

Fund

may

be

found

on

BlackRock’s

website,

which

can

be

accessed

at

blackrock.com

.

Any

reference

to

BlackRock’s

website

in

this

report

is

intended

to

allow

investors

public

access

to

information

regarding

the

Fund

and

does

not,

and

is

not

intended

to,

incorporate

BlackRock’s

website

in

this

report.

Householding

The

Fund

will

mail

only

one

copy

of

shareholder

documents,

including

prospectuses,

annual

and

semi-annual

reports,

Rule

30e-3

notices

and

proxy

statements,

to

shareholders

with

multiple

accounts

at

the

same

address.

This

practice

is

commonly

called

“householding”

and

is

intended

to

reduce

expenses

and

eliminate

duplicate

mailings

of

shareholder

documents.

Mailings

of

your

shareholder

documents

may

be

householded

indefinitely

unless

you

instruct

us

otherwise.

If

you

do

not

want

the

mailing

of

these

documents

to

be

combined

with

those

for

other

members

of

your

household,

please

call

the

Fund at

(800)

441-7762.

Availability

of

Quarterly

Schedule

of

Investments 

The

Fund

files

its

complete

schedule

of

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

Fund’s

Form

N-PORT is

available

on

the

SEC’s

website

at

sec.gov

.

Additionally,

the

Fund

makes

its

portfolio

holdings

for

the

first

and

third

quarters

of

each

fiscal

year

available

at

blackrock.com/

fundreports

.

Availability

of

Proxy

Voting

Policies,

Procedures and

Voting

Records

A

description

of

the

policies

and

procedures

that

the

Fund

uses

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

and

information

about

how

the

Fund

voted

proxies

relating

to

securities

held

in

the

Fund's

portfolio

during

the

most

recent

12-month

period

ended

June

30 is

available

without

charge,

upon

request (1)

by

calling

(800)

441-

7762

;

(2)

on

the

BlackRock

website

at

blackrock.com

;

and

(3)

on

the

SEC’s

website

at

sec.gov

.

BlackRock’s

Mutual

Fund

Family

BlackRock

offers

a

diverse

lineup

of

open-end

mutual

funds

crossing

all

investment

styles

and

managed

by

experts

in

equity,

fixed-income

and

tax-exempt

investing.

Visit

blackrock.com

for

more

information.

Shareholder

Privileges

Account

Information

Call

us

at

(800)

441-7762

from

8:00

AM

to

6:00

PM

ET

on

any

business

day

to

get

information

about

your

account

balances,

recent

transactions

and

share

prices.

You

can

also

visit

blackrock.com

for

more

information.

Automatic

Investment

Plans

Investor

class

shareholders

who

want

to

invest

regularly

can

arrange

to

have

$50

or

more

automatically

deducted

from

their

checking

or

savings

account

and

invested

in

any

of

the

BlackRock

funds.

Systematic

Withdrawal

Plans

Investor

class

shareholders

can

establish

a

systematic

withdrawal

plan

and

receive

periodic

payments

of

$50

or

more

from

their

BlackRock

funds,

as

long

as

their

account

balance

is

at

least

$10,000.

Retirement

Plans

Shareholders

may

make

investments

in

conjunction

with

Traditional,

Rollover,

Roth,

Coverdell,

Simple

IRAs,

SEP

IRAs

and

403(b)

Plans.

Additional

Information

(continued)

89

Additional

Information

BlackRock

Privacy

Principles

BlackRock

is

committed

to

maintaining

the

privacy

of

its

current

and

former

fund

investors

and

individual

clients

(collectively,

“Clients”)

and

to

safeguarding

their

non-public

personal

information.

The

following

information

is

provided

to

help

you

understand

what

personal

information

BlackRock

collects,

how

we

protect

that

information

and

why

in

certain

cases

we

share

such

information

with

select

parties.

If

you

are

located

in

a

jurisdiction

where

specific

laws,

rules

or

regulations

require

BlackRock

to

provide

you

with

additional

or

different

privacy-related

rights

beyond

what

is

set

forth

below,

then

BlackRock

will

comply

with

those

specific

laws,

rules

or

regulations.

BlackRock

obtains

or

verifies

personal

non-public

information

from

and

about

you

from

different

sources,

including

the

following:

(i)

information

we

receive

from

you

or,

if

applicable,

your

financial

intermediary,

on

applications,

forms

or

other

documents;

(ii)

information

about

your

transactions

with

us,

our

affiliates,

or

others;

(iii)

information

we

receive

from

a

consumer

reporting

agency;

and

(iv)

from

visits

to

our

websites.

BlackRock

does

not

sell

or

disclose

to

non-affiliated

third

parties

any

non-public

personal

information

about

its

Clients,

except

as

permitted

by

law

or

as

is

necessary

to

respond

to

regulatory

requests

or

to

service

Client

accounts.

These

non-affiliated

third

parties

are

required

to

protect

the

confidentiality

and

security

of

this

information

and

to

use

it

only

for

its

intended

purpose.

We

may

share

information

with

our

affiliates

to

service

your

account

or

to

provide

you

with

information

about

other

BlackRock

products

or

services

that

may

be

of

interest

to

you.

In

addition,

BlackRock

restricts

access

to

non-public

personal

information

about

its

Clients

to

those

BlackRock

employees

with

a

legitimate

business

need

for

the

information.

BlackRock

maintains

physical,

electronic

and

procedural

safeguards

that

are

designed

to

protect

the

non-public

personal

information

of

its

Clients,

including

procedures

relating

to

the

proper

storage

and

disposal

of

such

information.

Fund

and

Service

Providers

Investment

Adviser

and

Administrator

BlackRock

Advisors,

LLC

Wilmington,

DE

19809

Sub-Adviser

BlackRock

International

Limited

Edinburgh,

EH3

8JB

United

Kingdom

Accounting

Agent

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Transfer

Agent

BNY

Mellon

Investment

Servicing

(US)

Inc.

Wilmington,

DE

19809

Custodian

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers

LLP

Philadelphia,

PA

19103

Distributor

BlackRock

Investments,

LLC

New

York,

NY

10022

Legal

Counsel

Sidley

Austin

LLP

New

York,

NY

10019

Address

of

the

Trust

100

Bellevue

Parkway

Wilmington,

DE

19809

Glossary

of

Terms

Used

in

this

Report

2021

BlackRock

Annual

Report

to

Shareholders

90

Currency

Abbreviations

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

CNY

Chinese

Yuan

DKK

Danish

Krone

EUR

Euro

GBP

British

Pound

HKD

Hong

Kong

Dollar

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXN

Mexican

Peso

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

RUB

New

Russian

Ruble

SEK

Swedish

Krona

SGD

Singapore

Dollar

TWD

Taiwan

New

Dollar

USD

United

States

Dollar

Portfolio

Abbreviations

ADR

American

Depositary

Receipts

CMT

Constant

Maturity

Treasury

CVA

Certification

Van

Aandelon

(Dutch

Certificate)

LIBOR

London

Interbank

Offered

Rate

MSCI

Morgan

Stanley

Capital

International

OTC

Over-the-counter

RBOB

Reformulated

Gasoline

Blend

Stock

for

Oxygen

Blending

REIT

Real

Estate

Investment

Trust

S&P

Standard

&

Poor's

SCA

Svenska

Cellulosa

Aktiebolaget

WTI

West

Texas

Intermediate

Want

to

know

more?

blackrock.com

|

800-441-7762

This

report

is

intended

for

current

holders.

It

is

not

authorized

for

use

as

an

offer

of

sale

or

a

solicitation

of

an

offer

to

buy

shares

of

the

Fund

unless

preceded

or

accompanied

by

the

Fund’s

current

prospectus.

Past

performance

results

shown

in

this

report

should

not

be

considered

a

representation

of

future

performance.

Investment

returns

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Statements

and

other

information

herein

are

as

dated

and

are

subject

to

change.

SRA-7/21-AR

Item 2 – Code of Ethics --

The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s 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

registrant undertakes 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 – The 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 Pricewaterhouse Coopers (“PwC”) in each of the last two fiscal years for the services rendered to the Fund:

	(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
BlackRock Total Factor Fund	$42,000	$42,000	$0	$0	$0	$0	$0	$0

The following table presents fees billed by PwC that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the 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	$0	$0

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

Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The 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 registrant 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 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:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BlackRock Total Factor Fund	$0	$0

              (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.

Item 5 –  Audit Committee of Listed Registrant – Not Applicable

Item 6 – Investments

 
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 –  Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 –  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.  

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies –Not Applicable

Item 13 – Exhibits attached hereto

              (a)(1) Code of Ethics – See Item 2

              (a)(2) Section 302 Certifications are attached

section302

(a)(3) Not Applicable

(a)(4) Not Applicable

(b) Section 906 Certifications are attached

section906

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Funds

^SM

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          BlackRock Funds

^SM

Date: October 4, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          BlackRock Funds

^SM

Date: October 4, 2021

By:     /s/ Trent Walker

          Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds

^SM

Date: October 4, 2021