# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0001193125-23-061390
**Filing Date:** 2023-3
**Character Count:** 582061
**Document Hash:** 828d093a339c1d3c2aa13e52a09a6cb2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-061390.hdr.sgml**: 20230306

**ACCESSION NUMBER**: 0001193125-23-061390

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 10

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230306

**DATE AS OF CHANGE**: 20230306

**EFFECTIVENESS DATE**: 20230306

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 23709036

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Sustainable Emerging Markets Bond Fund (Series ID: S000062366)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202314 | Institutional Shares |  |
| C000202315 | Class K Shares       |  |

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: 811-23339

Name of Fund: BlackRock Funds V

BlackRock Sustainable Emerging Markets Bond Fund

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds V, 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 12/31/2022

Date of reporting period: 12/31/2022

------

Item 1 – Report to Stockholders

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Report to Shareholders is attached herewith.

------

---

| | |
|:---|:---|
| ![LOGO](g447177g42l24.jpg)  | **DECEMBER 31, 2022** |

---

**2022 Annual Report**

**BlackRock Funds IV** 

· BlackRock Systematic Multi-Strategy Fund

**BlackRock Funds V** 

· BlackRock Sustainable Emerging Markets Bond Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee**

------

The Markets in Review

Dear Shareholder,

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

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

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

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

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

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

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

Sincerely,

![LOGO](g447177sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g447177photo_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities (MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month<br>U.S. Treasury Bill Index) | 1.32 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year<br>U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | (8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate<br>High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

---

2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

------

**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx447177_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx447177_2) | 4 |
|  [About Fund Performance](#tx447177_3) | 10 |
|  [Disclosure of Expenses](#tx447177_4) | 10 |
|  [Derivative Financial Instruments](#tx447177_5) | 11 |
|  Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Schedules of Investments](#tx447177_6) | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#tx447177_7) | 68 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#tx447177_8) | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#tx447177_9) | 72 |
|  [Financial Highlights](#tx447177_10) | 73 |
|  [Notes to Financial Statements](#tx447177_11) | 79 |
|  [Report of Independent Registered Public Accounting Firm](#tx447177_12) | 93 |
|  [Important Tax Information](#tx447177_13) | 94 |
|  [Statement Regarding Liquidity Risk Management Program](#tx447177_14) | 95 |
|  [Trustee and Officer Information](#tx447177_15) | 96 |
|  [Additional Information](#tx447177_16) | 99 |
|  [Glossary of Terms Used in this Report](#tx447177_17) | 101 |

---

![LOGO](g447177g63k41.jpg)

3.0 ------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**Investment Objective** 

**BlackRock Systematic Multi-Strategy Fund's (the "Fund")** investment objective is to seek total return comprised of current income and capital appreciation.

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund outperformed the Bloomberg U.S. Aggregate Bond Index benchmark. For the same period, the Fund underperformed the ICE BofA 3-Month U.S. Treasury Bill Index.

**What factors influenced performance?** 

The defensive equity long/short strategy was the most significant contributor to the Fund's relative performance, delivering gains for the period. The strategy's ability to generate defensive alpha, or positive returns in falling equity markets, drove its outperformance. This was especially true during January, April, June, and September 2022, as the strategy generated positive returns in four of the 10 worst selloffs in the equity market since the Fund's inception. Performance contributions were well diversified across both the long and short investments. Security selection in energy, consumer discretionary, information technology, and financials stocks led gains, as increased market volatility and dispersion created greater opportunities to generate alpha.

Conversely, the most significant detractor from the Fund's relative performance was the directional asset allocation ("DAA") strategy. The macro strategy also detracted. The DAA strategy seeks to balance credit and rate risk to provide better risk-adjusted returns, but it was challenged, as expected, given the market environment as spreads widened and rate-sensitive investments sold off throughout the year. In the first quarter of 2022, the macro strategy detracted due to its long positioning in Europe, where rates moved higher given elevated geopolitical risk following the Russian invasion of Ukraine. However, both strategies delivered strong positive performance during the fourth quarter of 2022.

**Describe recent portfolio activity.** 

The Fund continued to apply its systematic investment approach, which combines asset allocation, defensive equity long/short alpha, and macro strategies across diversified asset classes. The Fund seeks to provide diversified alpha sources for balanced, consistent returns over time through various market conditions.

During the first quarter of 2022, the Fund reduced positions in riskier assets across dividend equity and high yield exposures, reflecting the Fund's regime indicator having shifted from an expansionary regime to pre-recession risk late in 2021. It also cut duration exposure due to high inflation uncertainty and the shift toward more aggressive policy from the Fed. The Fund maintained this positioning throughout the second quarter of 2022, positioning the DAA portion of the portfolio for less exposure to both rising rates and negative sentiment in risk assets, which proved prudent. The Fund steadily increased investment-grade credit exposure since the second quarter of 2022, and it remained positioned that way entering 2023.

The Fund held derivatives during the period as a part of its investment strategy. Derivatives are used by the portfolio management team to obtain exposure to and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the Fund. Standalone performance impact from derivatives used to manage risk can be taken out of context and may not necessarily portray the total performance impact of the affected position. The use of U.S. Treasury futures, currency forwards, options and swaps had a positive impact on performance for the period. The Fund continued to use leveraged strategies, which involve holding cash in order to back investments in to-be-announced mortgage derivative securities. Despite having a reported cash position exceeding 5%, the Fund's investable cash position is negative due to unsettled forward transactions on derivatives.

**Describe portfolio positioning at period end.** 

The Fund ended the period with positioning that continued to provide a differentiated and defensive return stream against historical drawdowns and volatility, highlighting its ability to be an alternative source of diversification in portfolios. This environment of elevated volatility and uncertainty led to heightened equity market dispersion, conditions in which the defensive equity strategy tends to outperform and provide more reliable and consistent alpha and ballast against downturns.

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

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock Systematic Multi-Strategy Fund** |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g447177g74t62.jpg)

The Fund commenced operations on May 19, 2015.

<sup>(a)</sup> Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory fees. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The Fund invests in a range of global asset classes, with a focus on fixed and floating rate debt securities and equity securities. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock Alternative Capital Strategies Fund (the "Predecessor Fund"), a series of BlackRock FundsSM, through a tax-free reorganization (the "Board Reorganization"). The Predecessor Fund is the performance and accounting survivor of the Board Reorganization. 

<sup>(c)</sup> An unmanaged index that measures returns of 3-month Treasury Bills.

<sup>(d)</sup> A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

**Performance** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year |  | 5 Years | 5 Years | Since<br> Inception<sup>(c)</sup> | Since<br> Inception<sup>(c)</sup> |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (2.95)% | N/A |  | 3.34% | N/A | 3.74% | N/A |
|  Investor A | (3.23) | (7.10)% |  | 3.07 | 2.23% | 3.49 | 2.93% |
|  Investor C | (3.96) | (4.88) |  | 2.32 | 2.32 | 2.71 | 2.71 |
|  Class K | (2.93) | N/A |  | 3.37 | N/A | 3.76 | N/A |
|  **ICE BofA 3-Month U.S. Treasury Bill Index** | 1.47 | N/A |  | 1.27 | N/A | 0.99 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A |  | 0.02 | N/A | 0.85 | N/A |

---

<sup>(a)</sup> 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. 

<sup>(b)</sup> On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of the Predecessor Fund, a series of BlackRock FundsSM, through the Board Reorganization. The Predecessor Fund is the performance and accounting survivor of the Board Reorganization.

<sup>(c)</sup> The Fund commenced operations on May 19, 2015.

N/A — Not applicable as the share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

**Expense Example** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual |  | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $1005.20 | $4.65 |  | $1000.00 | $1020.57 | $4.69 | 0.92% |
|  Investor A | 1000.00 | 1003.30 | 6.01 |  | 1000.00 | 1019.21 | 6.06 | 1.19 |
|  Investor C | 1000.00 | 1000.10 | 9.48 |  | 1000.00 | 1015.73 | 9.55 | 1.88 |
|  Class K | 1000.00 | 1005.30 | 4.04 |  | 1000.00 | 1021.17 | 4.08 | 0.80 |

---

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

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

F U N D S U M M A R Y 5

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock Systematic Multi-Strategy Fund** |

---

**Portfolio Information** 

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Asset Type<sup>(a)</sup>* | *Percent of<br>Net Assets* |
|  Corporate Bonds | 43.9% |
|  U.S. Government Sponsored Agency Securities | 39.7 |
|  Non-Agency Mortgage-Backed Securities | 14.8 |
|  U.S. Treasury Obligations | 12.3 |
|  Money Market Funds | 4.0 |
|  Common Stocks | 2.2 |
|  Asset-Backed Securities | 1.5 |
|  Capital Trust | — <sup>(b)</sup> |
|  TBA Sale Commitments | (5.7) |
|  Liabilities in Excess of Other Assets | (12.7) |

---

**INDUSTRY ALLOCATION** 

---

| | | | |
|:---|:---|:---|:---|
|  | *Percent of*<br> *Total Investments<sup>(c)</sup>* | *Percent of*<br> *Total Investments<sup>(c)</sup>* | *Percent of*<br> *Total Investments<sup>(c)</sup>* |
| *Industry* | *Long* | *Short* | *Total* |
|  Financials | 10.0% | 2.4% | 12.4% |
|  Consumer Discretionary | 6.5 | 4.1 | 10.6 |
|  Energy | 5.9 | 2.2 | 8.1 |
|  Industrials | 4.8 | 3.0 | 7.8 |
|  Health Care | 5.1 | 1.8 | 6.9 |
|  Information Technology | 3.8 | 2.8 | 6.6 |
|  Consumer Staples | 3.4 | 1.6 | 5.0 |
|  Materials | 2.4 | 2.5 | 4.9 |
|  Communication Services | 2.8 | 1.6 | 4.4 |
|  Utilities | 2.0 | 1.6 | 3.6 |
|  Real Estate | 1.9 | 1.4 | 3.3 |
|  Other<sup>(d)</sup> | 26.4 |  | 26.4 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100.0% |

---

<sup>(a)</sup> Excludes underlying investment in total return swaps. 

<sup>(b)</sup> Rounds to less than 0.1%. 

<sup>(c)</sup> Total investments include the gross values of long and short equity securities of the underlying derivative contracts utilized by the Fund and exclude short-term securities and TBA sale commitments. 

<sup>(d)</sup> Consist of Asset-Backed Securities (0.7%), Non-Agency Mortgaged-Backed Securities (7.0%) and U.S. Government Sponsored Agency Obligations (18.7%). 

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Investment Objective** 

**BlackRock Sustainable Emerging Markets Bond Fund's (the "Fund")** investment objective is to seek total return, while seeking to maintain certain environmental, governance and social ("ESG") characteristics, climate risk exposure and climate opportunities relative to the Fund's benchmark.

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund outperformed both its primary benchmark, the J.P. Morgan EMBI Global Diversified Index and its secondary benchmark, the J.P. Morgan ESG Emerging Markets Bond Index Global Diversified Index.

**What factors influenced performance?** 

Emerging-market bonds posted negative returns in 2022. A wide range of adverse developments weighed on performance, including Russia's invasion of Ukraine and prolonged COVID-19 lockdowns in China. In addition, rising inflation prompted global central banks to raise interest rates aggressively, weighing on returns across the world fixed-income markets.

The Fund, while losing ground in absolute terms, outpaced the index. The Fund's duration was lower than that of the benchmark, which was a key contributor to performance at a time of rising rates. (Duration is a measure of interest-rate sensitivity.) The investment adviser achieved this positioning largely through short positions in U.S. Treasury and German bund futures. (The value of a short position rises when the price of the underlying security falls.) Underweights in Russia and Belarus also contributed positively.

An overweight in Ukraine was the largest detractor, but the impact was fully offset by the underweights in Russia and Belarus, together with a short position in the Russian ruble. Overweights in high-yielding countries, such as Ghana, Egypt and Argentina, also detracted amid the broader "risk-off" move across the financial markets. An underweight in Turkey, where bonds benefited from local central-bank purchases despite elevated inflationary pressures in the country, was an additional detractor of note.

The Fund used derivatives to manage risk and/or take outright views on interest rates, credit risk and/or the foreign exchange markets. The use of derivatives was a net positive, primarily as a result of the Fund's short duration strategies and out-of-benchmark positions in emerging market currencies. The fund maintained elevated level of cash in the first half of the year in view of broad market risk-off sentiment caused by heightened inflationary pressure, hawkish central banks' actions, fears of recession, and idiosyncratic events including the Russian invasion of Ukraine. The fund's cash position had no material impact on performance.

**Describe recent portfolio activity.** 

At the start of the year, the investment adviser raised cash by selling holdings in the Dominican Republic and Oman. It participated in the primary issuance market in February 2022, and in March it reduced the extent of the Fund's underweights in investment-grade sovereigns such as Panama, Romania and Peru.

In the second quarter of 2022, the investment adviser reduced overweights in high-yielding countries such as Egypt and Ghana. It increased the extent of the underweight in Turkey, as the country's crisis appeared to be reaching its later stages. In addition, it closed all remaining holdings in Russia. Later in the first half of 2022, it reduced the short position in U.S. Treasury futures given the increasing concerns about the potential for slowing global growth.

During the third quarter of 2022, the investment adviser continued to reduce the Fund's allocations to high-yielding countries—including Morocco, Oman and Sri Lanka—on the belief that these markets had above-average vulnerability to declining global growth.

Late in the year, the investment adviser lowered the Fund's weightings in countries expected to issue new debt in the primary market in early 2023. These included South Africa, Mexico, Oman and the Dominican Republic. It moved the majority of the proceeds from these sales into cash. It also added to the Fund's short position in the United States in December 2022 on expectations that China's reopening could cause inflation to remain high.

**Describe portfolio positioning at period end.** 

Oman, Colombia and Panama were the Fund's largest overweights, while Turkey, Malaysia and China were its most significant underweights. The Fund closed the year with an above-average cash position, reflecting the adviser's effort to reduce risk near year-end.

The Fund's beta (risk profile) and duration were both lower than the benchmark as of December 31, 2022.

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

F U N D S U M M A R Y 7

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g447177g80f22.jpg)

The Fund commenced operations on July 27, 2017.

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including investment advisory fees.

<sup>(b)</sup> The Fund invests primarily in a portfolio of fixed-income securities of issuers located in or tied economically to emerging market countries that are predominantly denominated in U.S. dollars and derivatives with similar economic characteristics. The Fund's total returns for the period beginning on the date of the Reorganization (as defined below) and ended on October 14, 2021 are the returns of the Fund when it followed a different investment objective and different investment strategies and investment process under the name "BlackRock Emerging Markets Bond Fund." On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock Emerging Markets Bond Fund (the "Predecessor Fund"), a series of BlackRock Funds II, through a tax-free reorganization (the "Reorganization"). The Predecessor Fund is the performance and accounting survivor of the Reorganization. 

<sup>(c)</sup> An unmanaged, market-capitalization weighted, total-return index tracking the traded market for U.S.-dollar-denominated Brady bonds, Eurobonds, traded loans, and local market debt instruments issued by emerging market sovereign and quasi-sovereign entities. 

<sup>(d)</sup> An index that tracks liquid, U.S. dollar emerging market fixed and floating-rate debt instruments issued by sovereign and quasi-sovereign entities. The index applies an ESG scoring and screening methodology to tilt toward issuers ranked higher on ESG criteria and green bond issues, and to underweight and remove issuers that rank lower. The index is based on the established flagship J.P. Morgan EMBI Global Diversified Index. 

**Performance** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | Standardized<br>30-Day Yields | Unsubsidized<br>30-Day Yields | *1 Year* | *5 Years* | *Since<br>Inception* *<br><sup>(c)</sup>* |
|  Institutional | 6.75% | 4.56% | (17.47)% | (1.41)% | (1.02)% |
|  Class K | 6.84 | 5.00 | (17.39) | (1.32) | (0.94) |
|  **J.P. Morgan EMBI Global Diversified Index** |  |  | (17.78) | (1.31) | (0.68) |
|  **J.P. Morgan ESG EMBI Global Diversified Index** |  |  | (18.92) | (1.35) | (0.65) |

---

<sup>(a)</sup> See "About Fund Performance" for a detailed description of share classes, including any related fees.

<sup>(b)</sup> The Fund's total returns for the period beginning on the date of the Reorganization and ending on October 14, 2021 are the returns of the Fund when it followed a different investment objective and different investment strategies and investment process under the name "BlackRock Emerging Markets Bond Fund." On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of the Predecessor Fund, a series of BlackRock Funds II, through the Reorganization. The Predecessor Fund is the performance and accounting survivor of the Reorganization. 

<sup>(c)</sup> The Fund commenced operations on July 27, 2017.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

**Expense Example** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $1031.70 | $3.48 | $1000.00 | $1021.78 | $3.47 | 0.68% |
|  Class K | 1000.00 | 1032.10 | 3.02 | 1000.00 | 1022.23 | 3.01 | 0.59 |

---

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

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

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Portfolio Information** 

**PORTFOLIO COMPOSITION** 

---

| | |
|:---|:---|
| *Asset Type<sup>(a)</sup>* | *Percent of*<br> *Total Investments* |
|  Foreign Agency Obligations | 95.3% |
|  Corporate Bonds | 4.7 |

---

**CREDIT QUALITY ALLOCATION** 

---

| | |
|:---|:---|
| *Credit Rating<sup>(a)(b)</sup>* | *Percent of<br>Total Investments* |
|  AA/Aa | 5.9% |
|  A | 10.3 |
|  BBB/Baa | 35.4 |
|  BB/Ba | 24.2 |
|  B | 14.3 |
|  CCC/Caa | 6.9 |
|  CC | 2.3 |
|  C | 0.7 |

---

<sup>(a)</sup> Excludes short-term securities.

<sup>(b)</sup> For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody's Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. 

F U N D S U M M A R Y 9

------

About Fund Performance

**Institutional Shares 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. BlackRock Systematic Multi-Strategy Fund's Class K Shares performance shown prior to the Class K Shares inception date of September 29, 2020 is that of Institutional Shares. The performance of BlackRock Systematic Multi-Strategy 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 for BlackRock Systematic Multi-Strategy Fund would have been higher than those of the Institutional Shares because Class K Shares have lower expenses than the Institutional Shares.

**Investor A Shares** (available only in BlackRock Systematic Multi-Strategy Fund) are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge ("CDSC") where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.

**Investor C Shares** (available only in BlackRock Systematic Multi-Strategy Fund) 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 each Fund's investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to **blackrock.com** to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table(s) assume reinvestment of all distributions, if any, at net asset value ("NAV") on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the "Manager"), each Fund's investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund's expenses. Without such waiver(s) and/or reimbursement(s), each Fund's performance would have been lower. With respect to each Fund's voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund's contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

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

Disclosure of Expenses

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

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the heading entitled "Expenses Paid During the Period."

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

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

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Derivative Financial Instruments

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

D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S 11

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* |  | *Value* | *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
|  ACC Auto Trust, Series 2021-A, Class A, 1.08%, 04/15/27<sup>(a)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3814 |  | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3764646 |
|  Avant Loans Funding Trust, Series 2021-REV1, Class C, 2.30%, 07/15/30<sup>(a)</sup> |  | 2220 |  |  | 1994886 |
|  Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 03/10/28 |  | 871 |  |  | 793084 |
|  Conn's Receivables Funding LLC, Series 2022-A, Class A, 5.87%, 12/15/26<sup>(a)</sup> |  | 23686 |  |  | 23644050 |
|  Drive Auto Receivables Trust |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class D, 4.09%, 06/15/26 |  | 5557 |  |  | 5543886 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class D, 1.39%, 03/15/29 |  | 19970 |  |  | 18401047 |
|  JPMorgan Chase Bank NA<sup>(a)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 0.89%, 12/26/28 |  | 7629 |  |  | 7291190 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class B, 0.76%, 02/26/29 |  | 14973 |  |  | 14112310 |
|  OneMain Financial Issuance Trust, Series 2019-2A, Class A, 3.14%, 10/14/36<sup>(a)</sup> |  | 500 |  |  | 446191 |
|  Santander Bank Auto Credit-Linked Notes, |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 5.28%, 05/15/32<sup>(a)</sup> |  | 17722 |  |  | 17301026 |
|  Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.83%, 12/15/31<sup>(a)</sup> |  | 4417 |  |  | 4248114 |
|  Santander Drive Auto Receivables Trust, |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class D, 3.65%, 04/15/25 |  | 533 |  |  | 531848 |
|  Upstart Securitization Trust<sup>(a)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 0.87%, 03/20/31 |  | 210 |  |  | 209431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 0.91%, 06/20/31 |  | 6465 |  |  | 6354465 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 0.83%, 07/20/31 |  | 3801 |  |  | 3721970 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 0.84%, 09/20/31 |  | 7076 |  |  | 6849930 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 5.98%, 08/20/32 |  | 15919 |  |  | 15610989 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5, Class A, 1.31%, 11/20/31 |  | 5486 |  |  | 5251424 |
|  Westlake Automobile Receivables Trust, |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 2.75%, 03/15/27<sup>(a)</sup> |  | 8580 |  |  | 8265530 |
|  **Total Asset-Backed Securities — 1.5%<br>(Cost: $148,283,400)** | **Total Asset-Backed Securities — 1.5%<br>(Cost: $148,283,400)** | **Total Asset-Backed Securities — 1.5%<br>(Cost: $148,283,400)** |  |  | 144336017 |
|  | | *Shares* | |  |  |
| **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** |
|  Huntington Ingalls Industries, Inc. |  | 17476 |  |  | 4031364 |
|  Lockheed Martin Corp. |  | 8510 |  |  | 4140030 |
|  |  |  |  |  | 8171394 |
| **Banks — 0.1%** |  |  |  |  |  |
|  Credicorp Ltd |  | 6584 |  |  | 893185 |
|  Cullen/Frost Bankers, Inc. |  | 29784 |  |  | 3982121 |
|  Prosperity Bancshares, Inc. |  | 57442 |  |  | 4174885 |
|  United Bankshares, Inc. |  | 9412 |  |  | 381092 |
|  |  |  |  |  | 9431283 |
| **Biotechnology — 0.1%** |  |  |  |  |  |
|  AbbVie, Inc. |  | 25160 |  |  | 4066108 |
|  Amgen, Inc. |  | 14540 |  |  | 3818786 |
|  Gilead Sciences, Inc. |  | 46830 |  |  | 4020355 |
|  |  |  |  |  | 11905249 |
| **Communications Equipment — 0.0%** |  |  |  |  |  |
|  Cisco Systems, Inc. |  | 84774 |  |  | 4038633 |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares* | *Value* |
| **Construction & Engineering — 0.0%** | **Construction & Engineering — 0.0%** | **Construction & Engineering — 0.0%** |
|  MDU Resources Group, Inc. | 34545 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1048095 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
|  Amcor PLC | 328909 | 3917306 |
|  Sonoco Products Co. | 2665 | 161792 |
|  |  | 4079098 |
| **Distributors — 0.0%** | **Distributors — 0.0%** | **Distributors — 0.0%** |
|  Genuine Parts Co. | 22551 | 3912824 |
| **Diversified Telecommunication Services — 0.1%** | **Diversified Telecommunication Services — 0.1%** | **Diversified Telecommunication Services — 0.1%** |
|  Verizon Communications, Inc. | 111661 | 4399443 |
| **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** |
|  Alliant Energy Corp. | 11981 | 661471 |
|  American Electric Power Co., Inc. | 13479 | 1279831 |
|  Avangrid, Inc. | 80947 | 3479102 |
|  Duke Energy Corp. | 40982 | 4220736 |
|  Evergy, Inc. | 32410 | 2039561 |
|  IDACORP, Inc. | 28673 | 3092383 |
|  OGE Energy Corp. | 13579 | 537050 |
|  Pinnacle West Capital Corp. | 3070 | 233443 |
|  Southern Co. | 60151 | 4295383 |
|  |  | 19838960 |
| **Equity Real Estate Investment Trusts (REITs) — 0.1%** | **Equity Real Estate Investment Trusts (REITs) — 0.1%** | **Equity Real Estate Investment Trusts (REITs) — 0.1%** |
|  National Retail Properties, Inc. | 89703 | 4104809 |
|  Physicians Realty Trust | 152166 | 2201842 |
|  |  | 6306651 |
| **Food Products — 0.4%** | **Food Products — 0.4%** | **Food Products — 0.4%** |
|  Cal-Maine Foods, Inc. | 20858 | 1135718 |
|  Campbell Soup Co. | 77735 | 4411461 |
|  Conagra Brands, Inc. | 109669 | 4244190 |
|  Flowers Foods, Inc. | 142828 | 4104877 |
|  General Mills, Inc. | 48245 | 4045343 |
|  Hormel Foods Corp. | 87941 | 4005713 |
|  J M Smucker Co. | 26826 | 4250848 |
|  Kellogg Co. | 56372 | 4015941 |
|  Kraft Heinz Co. | 104494 | 4253951 |
|  |  | 34468042 |
| **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** |
|  New Jersey Resources Corp. | 1182 | 58651 |
|  ONE Gas, Inc. | 3815 | 288872 |
|  Southwest Gas Holdings, Inc. | 5827 | 360575 |
|  Spire, Inc. | 503 | 34636 |
|  |  | 742734 |
| **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** |
|  Medtronic PLC | 14172 | 1101448 |
| **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |
|  CVS Health Corp. | 40707 | 3793485 |
|  Premier, Inc., Class A | 124521 | 4355745 |
|  Quest Diagnostics, Inc. | 20318 | 3178548 |
|  |  | 11327778 |
| **Household Products — 0.1%** | **Household Products — 0.1%** | **Household Products — 0.1%** |
|  Colgate-Palmolive Co. | 53350 | 4203447 |
|  Kimberly-Clark Corp. | 21227 | 2881565 |
|  |  | 7085012 |
| **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** |
|  Brookfield Renewable Corp., Class A | 126020 | 3470591 |

---

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Insurance — 0.3%** | **Insurance — 0.3%** | **Insurance — 0.3%** |
|  Aflac, Inc. | 57943 | $4168419 |
|  Allstate Corp. | 30697 | 4162513 |
|  Cincinnati Financial Corp. | 4920 | 503759 |
|  Everest Re Group Ltd. | 5472 | 1812710 |
|  Hanover Insurance Group, Inc. | 28663 | 3873231 |
|  Hartford Financial Services Group, Inc. | 19560 | 1483235 |
|  Old Republic International Corp. | 172422 | 4163991 |
|  Travelers Cos., Inc. | 21852 | 4097032 |
|  Unum Group | 18245 | 748592 |
|  |  | 25013482 |
| **IT Services — 0.0%** |  |  |
|  International Business Machines Corp. | 27926 | 3934494 |
| **Metals & Mining — 0.0%** |  |  |
|  Newmont Corp. | 41969 | 1980937 |
| **Multi-Utilities — 0.2%** |  |  |
|  CMS Energy Corp. | 25206 | 1596296 |
|  Consolidated Edison, Inc. | 42221 | 4024083 |
|  Dominion Energy, Inc. | 39521 | 2423428 |
|  DTE Energy Co. | 9780 | 1149443 |
|  NorthWestern Corp. | 67714 | 4018149 |
|  WEC Energy Group, Inc. | 42684 | 4002052 |
|  |  | 17213451 |
| **Oil, Gas & Consumable Fuels — 0.1%** |  |  |
|  Kinder Morgan, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119780 | 2165623 |
|  Williams Cos., Inc. | 68529 | 2254604 |
|  |  | 4420227 |
| **Pharmaceuticals — 0.2%** |  |  |
|  Bristol-Myers Squibb Co. | 51541 | 3708375 |
|  Johnson & Johnson | 23391 | 4132020 |
|  Merck & Co., Inc. | 37815 | 4195574 |
|  Pfizer, Inc. | 82863 | 4245900 |
|  |  | 16281869 |
| **Road & Rail — 0.0%** |  |  |
|  Union Pacific Corp. | 3867 | 800740 |
| **Trading Companies & Distributors — 0.0%** |  |  |
|  MSC Industrial Direct Co., Inc., Class A | 49213 | 4020702 |
|  **Total Common Stocks — 2.2%<br>(Cost: $183,455,454)** |  | 204993137 |
|  | *Par*<br> *(000)* |  |
|  **Corporate Bonds** |  |  |
| **Advertising Agencies — 0.0%** |  |  |
|  Interpublic Group of Cos., Inc., 2.40%, 03/01/31 | $430 | 339404 |
| **Aerospace & Defense — 0.7%** |  |  |
|  3M Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/15/23 | 425 | 422644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 04/15/25 | 680 | 649642 |
|  Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.17%, 02/04/23 | 1205 | 1200371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.43%, 02/04/24 | 2579 | 2471474 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 02/04/26 | 2000 | 1817125 |
|  Bombardier, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 06/15/26 | 1065 | 1033278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 04/15/27 | 425 | 412240 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Aerospace & Defense (continued)** |  |  |
|  Bombardier, Inc.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/15/28 | $1010 | $933967 |
|  Carlisle Cos., Inc., 2.75%, 03/01/30 | 7537 | 6271474 |
|  General Dynamics Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/01/25 | 350 | 339134 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | 12000 | 11464721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/15/28 | 2980 | 2832585 |
|  Howmet Aerospace, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 02/01/27 | 3580 | 3559880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/01/37 | 500 | 485374 |
|  Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 11/15/27 | 3540 | 3618012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 06/15/30 | 70 | 57489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/15/32 | 6455 | 6082511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/33 | 14230 | 14671491 |
|  Moog, Inc., 4.25%, 12/15/27<sup>(a)</sup> | 400 | 370000 |
|  Raytheon Technologies Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 12/15/24 | 1153 | 1110168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/16/25 | 130 | 127002 |
|  Rolls-Royce PLC, 5.75%, 10/15/27<sup>(a)</sup> | 1305 | 1243013 |
|  Teledyne Technologies, Inc., 2.75%, 04/01/31 | 3000 | 2453103 |
|  Trane Technologies Luxembourg Finance SA, 3.50%, 03/21/26 | 1555 | 1466915 |
|  TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 12/15/25<sup>(a)</sup> | 115 | 116701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/26<sup>(a)</sup> | 2000 | 1972380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/26 | 100 | 97296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 03/15/27 | 50 | 49470 |
|  |  | 67329460 |
| **Air Freight & Logistics — 0.0%** |  |  |
|  Cargo Aircraft Management, Inc., 4.75 %, 02/01/28<sup>(a)</sup> | 390 | 353968 |
| **Airlines — 0.3%** |  |  |
|  Air Canada, 3.88%, 08/15/26<sup>(a)</sup> | 1365 | 1209025 |
|  American Airlines Group, Inc., 3.75%, 03/01/25<sup>(a)</sup> | 1455 | 1232382 |
|  American Airlines, Inc., 11.75%, 07/15/25<sup>(a)</sup> | 2910 | 3121264 |
|  American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/20/26 | 625 | 601029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/20/29 | 4550 | 4158499 |
|  Delta Air Lines, Inc., 7.38%, 01/15/26 | 3125 | 3192938 |
|  Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27<sup>(a)</sup> | 1069 | 1062835 |
|  Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25<sup>(a)</sup> | 543 | 544748 |
|  United Airlines Holdings, Inc., 4.88%, 01/15/25 | 525 | 501375 |
|  United Airlines, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/26 | 1040 | 964003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/15/29 | 10125 | 8815794 |
|  |  | 25403892 |
| **Auto Components — 0.1%** |  |  |
|  Adient Global Holdings Ltd., 4.88%, 08/15/26<sup>(a)</sup> | 2000 | 1861960 |
|  IHO Verwaltungs GmbH, (6.38% Cash or 7.13% PIK), 6.38%, 05/15/29<sup>(a)</sup> | 2000 | 1690050 |
|  Lear Corp., 3.80%, 09/15/27 | 1964 | 1822964 |
|  Titan International, Inc., 7.00%, 04/30/28 | 4205 | 3970031 |
|  |  | 9345005 |
| **Automobiles — 1.4%** |  |  |
|  Allison Transmission, Inc., 3.75%, 01/30/31<sup>(a)</sup> | 3000 | 2467500 |

---

S C H E D U L E O F I N V E S T M E N T S 13

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Automobiles (continued)** |  |  |
|  American Honda Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 09/10/24 | $2480 | $2366097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 07/08/25 | 1395 | 1275096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 09/09/26 | 1960 | 1729467 |
|  Asbury Automotive Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/01/28 | 1600 | 1408640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/29<sup>(a)</sup> | 955 | 804721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/30 | 2745 | 2295785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/32<sup>(a)</sup> | 790 | 649933 |
|  Cummins, Inc., 0.75%, 09/01/25 | 4550 | 4102350 |
|  Ford Motor Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 12/08/26 | 200 | 189668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 04/22/30 | 240 | 271495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/12/32 | 1700 | 1274901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/43 | 150 | 107669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.29%, 12/08/46 | 950 | 723914 |
|  Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.58%, 03/18/24 | 400 | 394740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 02/10/25 | 8000 | 7303040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/16/25 | 2350 | 2259153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/04/25 | 1000 | 935990 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/13/25 | 1230 | 1111936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 01/08/26 | 1650 | 1536909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/17/27 | 2000 | 1790000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 02/10/29 | 7800 | 6230328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/13/30 | 1320 | 1083509 |
|  General Motors Co., 6.13%, 10/01/25 | 600 | 610626 |
|  General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 06/19/23 | 195 | 193956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 01/17/24 | 375 | 373518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 03/08/24 | 1980 | 1880214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/15/24 | 1150 | 1064632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/25 | 1000 | 970293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/07/25 | 1575 | 1520339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/09/25 | 11080 | 10778912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 02/26/27 | 14390 | 12566999 |
|  Group 1 Automotive, Inc., 4.00%, 08/15/28<sup>(a)</sup> | 3366 | 2849084 |
|  Honda Motor Co. Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.27%, 03/10/25 | 5440 | 5147715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 03/10/27 | 4480 | 4093008 |
|  Jaguar Land Rover Automotive PLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/15/25 | 1250 | 1150000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/27 | 400 | 304722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/15/28 | 4348 | 3306433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/29 | 5400 | 3824313 |
|  PACCAR Financial Corp., 1.90%, 02/07/23 | 325 | 324050 |
|  Sonic Automotive, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/29 | 263 | 210586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/31 | 208 | 163526 |
|  Toyota Motor Credit Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/30/25 | 17055 | 16696132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/18/25 | 7215 | 7010263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/10/25 | 3305 | 3355833 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 06/18/26 | 9440 | 8339871 |
|  |  | 129047866 |
| **Banks — 3.1%** |  |  |
|  Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 05/01/25 | 1220 | 1139608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/07/25 | 13441 | 13042551 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Bank of Montreal (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 09/15/26 | $2260 | $1974708 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series H, 4.25%, 09/14/24 | 15235 | 15032049 |
|  Canadian Imperial Bank of Commerce |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/07/25 | 7045 | 6760316 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/04/25 | 10020 | 9786294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 10/23/25 | 1870 | 1680427 |
|  Cooperatieve Rabobank UA, 1.38%, 01/10/25 | 7360 | 6870313 |
|  First Republic Bank, (1 day SOFR + 0.62%), |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.91%, 02/12/24<sup>(b)</sup> | 1085 | 1080590 |
|  HSBC USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/24/24 | 19825 | 19437621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/23/24 | 400 | 389946 |
|  Huntington National Bank, 5.65%, 01/10/30 | 27485 | 27694814 |
|  ING Groep NV, 4.10%, 10/02/23 | 3570 | 3541059 |
|  Intesa Sanpaolo SpA<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 01/15/26 | 1650 | 1585650 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.60%), 4.20%, 06/01/32<sup>(b)</sup> | 985 | 723687 |
|  KeyBank NA, (1 day SOFR + 0.32%), |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.43%, 06/14/24<sup>(b)</sup> | 2190 | 2132574 |
|  KeyCorp., 2.25%, 04/06/27 | 335 | 296526 |
|  National Bank of Canada, (1 year CMT + 0.40%), 0.55%, 11/15/24<sup>(b)</sup> | 665 | 636474 |
|  PNC Financial Services Group, Inc., (1 day SOFR+ 1.09%), 5.67%, 10/28/25<sup>(b)</sup> | 6290 | 6356903 |
|  Royal Bank of Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.97%, 07/26/24 | 4120 | 4060072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.65%, 07/29/24 | 3845 | 3589031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 10/07/24 | 3300 | 3068342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 06/10/25 | 2500 | 2288329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 04/27/26 | 1495 | 1329248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/21/27 | 8000 | 7225082 |
|  Santander Holdings USA, Inc., (1 day SOFR +1.38%), 4.26%, 06/09/25<sup>(b)</sup> | 4000 | 3882808 |
|  Santander U.K. Group Holdings PLC<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.79%), 1.09%, 03/15/25 | 7635 | 7133496 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.25%), 1.53%, 08/21/26 | 3000 | 2642654 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.57%), 4.80%, 11/15/24 | 1250 | 1228988 |
|  Standard Chartered PLC, (3 mo. LIBOR US + 1.46%), 7.01%<sup>(a)(b)(c)</sup> | 500 | 465000 |
|  Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.29%, 09/13/24 | 1905 | 1882666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 01/10/25 | 2765 | 2574722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 06/06/25 | 20240 | 19641930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 09/15/27 | 9805 | 9692946 |
|  Truist Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 08/05/25 | 3520 | 3219579 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.46%), 4.26%, 07/28/26<sup>(b)</sup> | 6380 | 6268709 |
|  U.S. Bancorp, (1 day SOFR + 1.66%), 4.55%, 07/22/28<sup>(b)</sup> | 2010 | 1962986 |
|  Wells Fargo & Co.<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.51%), 0.81%, 05/19/25 | 1228 | 1150823 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.09%), 2.41%, 10/30/25 | 147 | 139014 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.26%), 2.57%, 02/11/31 | 9580 | 7932875 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 3.91%, 04/25/26 | 3485 | 3387097 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 3.53%, 03/24/28 | 6795 | 6292177 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.56%), 4.54%, 08/15/26 | 14250 | 13964420 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.98%), 4.81%, 07/25/28 | 16560 | 16174091 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.03%), 4.48%, 04/04/31 | 2810 | 2634110 |

---

14 2 0 2 2 B L A C K R o c k A N N U A L R E P O R T T o S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Wells Fargo & Co.<sup>(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.75%), 2.16%, 02/11/26 | $30454 | $28390225 |
|  Westpac Banking Corp., 3.74%, 08/26/25 | 10390 | 10119078 |
|  |  | 292502608 |
| **Beverages — 0.9%** |  |  |
|  ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27<sup>(a)</sup> | 1350 | 938969 |
|  Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/30/25 | 820 | 780425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/26 | 3800 | 3291572 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/15/27 | 650 | 486032 |
|  Ball Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/23 | 15 | 14702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/01/25 | 50 | 49347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/26 | 200 | 193726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 08/15/30 | 910 | 726289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 09/15/31 | 3040 | 2441515 |
|  Coca-Cola Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/25/27 | 3230 | 3097669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 06/01/27 | 11595 | 10235781 |
|  Coca-Cola Femsa SAB de CV,<br>2.75%, 01/22/30 | 8207 | 7072382 |
|  Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 05/09/24 | 8687 | 8515481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/15/25 | 1070 | 1051589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 05/09/27 | 6197 | 6034536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/01/30 | 310 | 263891 |
|  Diageo Capital PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 10/24/24 | 560 | 531203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/24/29 | 405 | 345504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/29/30 | 2710 | 2225950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/24/33 | 3405 | 3562512 |
|  Keurig Dr. Pepper, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/15/29 | 8277 | 7699129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/01/30 | 5495 | 4788592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 04/15/32 | 4165 | 3788695 |
|  Owens-Brockway Glass Container, Inc., 5.88%, 08/15/23<sup>(a)</sup> | 60 | 59573 |
|  PepsiCo, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/19/25 | 850 | 809082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 03/19/27 | 535 | 496909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 02/18/28 | 15870 | 15194321 |
|  Silgan Holdings, Inc., 4.13%, 02/01/28 | 207 | 191508 |
|  |  | 84886884 |
| **Biotechnology — 0.1%** |  |  |
|  Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/18/29 | 1225 | 1144792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 02/22/32 | 3730 | 3257687 |
|  Gilead Sciences, Inc., 0.75%, 09/29/23 | 364 | 352644 |
|  Regeneron Pharmaceuticals, Inc., 1.75%, 09/15/30 | 11190 | 8642795 |
|  |  | 13397918 |
| **Building Materials — 0.4%** |  |  |
|  Allegion U.S. Holding Co., Inc., 3.20%, 10/01/24 | 1175 | 1129914 |
|  Boise Cascade Co., 4.88%, 07/01/30<sup>(a)</sup> | 14401 | 12534310 |
|  Builders FirstSource, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/30 | 870 | 770889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/01/32 | 9250 | 7499232 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Building Materials (continued)** |  |  |
|  Carrier Global Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.24%, 02/15/25 | $704 | $663122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.49%, 02/15/27 | 1154 | 1040230 |
|  Eagle Materials, Inc., 2.50%, 07/01/31 | 444 | 348292 |
|  Griffon Corp., 5.75%, 03/01/28 | 270 | 247050 |
|  James Hardie International Finance DAC,<br>5.00%, 01/15/28<sup>(a)</sup> | 1200 | 1101000 |
|  Louisiana-Pacific Corp., 3.63%, 03/15/29<sup>(a)</sup> | 2950 | 2548347 |
|  Martin Marietta Materials, Inc., 0.65%, 07/15/23 | 2265 | 2206598 |
|  Masco Corp., 3.50%, 11/15/27 | 2925 | 2709282 |
|  Masonite International Corp., Class C, <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/28<sup>(a)</sup> | 1650 | 1525607 |
|  Standard Industries, Inc., 4.38%, 07/15/30<sup>(a)</sup> | 1250 | 1018656 |
|  Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29<sup>(a)</sup> | 155 | 144309 |
|  |  | 35486838 |
| **Building Products — 0.5%** |  |  |
|  Advanced Drainage Systems, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/30/27 | 2105 | 1962912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/30 | 10000 | 9716600 |
|  Beacon Roofing Supply, Inc., 4.13%, 05/15/29<sup>(a)</sup> | 4174 | 3468558 |
|  BlueLinx Holdings, Inc., 6.00%, 11/15/29<sup>(a)</sup> | 5569 | 4622270 |
|  Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/25 | 490 | 469574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/25 | 7185 | 7100027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/15/27 | 150 | 138027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/15/27 | 955 | 890739 |
|  Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/25 | 1930 | 1892412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 09/08/25 | 5045 | 4969672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/01/27 | 4250 | 3989747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 05/03/27 | 9171 | 8538150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 04/01/31 | 1155 | 956989 |
|  |  | 48715677 |
| **Capital Markets — 0.9%** |  |  |
|  Ameriprise Financial, Inc., 3.00%, 04/02/25 | 860 | 823758 |
|  Ares Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/26 | 1485 | 1360930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 07/15/26 | 3936 | 3332501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/27 | 6210 | 5263114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/28 | 3355 | 2690136 |
|  Bank of New York Mellon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 01/27/23 | 315 | 314323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 04/26/24 | 2890 | 2727137 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.35%), 4.41%, 07/24/26<sup>(b)</sup> | 1540 | 1516522 |
|  Blackstone Private Credit Fund, 2.70%, 01/15/25 | 5320 | 4915089 |
|  Brookfield Corp., 4.00%, 01/15/25 | 1000 | 977616 |
|  Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/24 | 300 | 295337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 01/25/28 | 55 | 50430 |
|  Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/18/24 | 935 | 888593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 05/13/26 | 2135 | 1897062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 03/03/27 | 1495 | 1362892 |
|  Compass Group Diversified Holdings LLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/29 | 4515 | 3863896 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/32 | 1110 | 876970 |
|  FS KKR Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/12/24 | 1905 | 1719537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/01/25 | 105 | 98713 |

---

S C H E D U L E O F I N V E S T M E N T S 15

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Capital Markets (continued)** |  |  |
|  FS KKR Capital Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/15/27 | $5275 | $4403755 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/15/27 | 2810 | 2363671 |
|  Golub Capital BDC, Inc., 2.50%, 08/24/26 | 620 | 526378 |
|  Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/24 | 320 | 306800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 12/15/25 | 1600 | 1551680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 05/15/26 | 4610 | 4429731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/27 | 300 | 274680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/29 | 5540 | 4684901 |
|  LPL Holdings, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/27 | 2300 | 2148387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/29 | 2165 | 1883767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/15/31 | 5291 | 4498141 |
|  Main Street Capital Corp., 3.00%, 07/14/26 | 2000 | 1723609 |
|  Nomura Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 07/03/25 | 7720 | 7635029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 07/16/25 | 7520 | 6854162 |
|  Prospect Capital Corp., 3.36%, 11/15/26 | 2255 | 1869373 |
|  StoneX Group, Inc., 8.63%, 06/15/25<sup>(a)</sup> | 3424 | 3458240 |
|  |  | 83586860 |
| **Chemicals — 0.8%** |  |  |
|  Air Products and Chemicals, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 05/15/27 | 2380 | 2114613 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 05/15/30 | 1125 | 941706 |
|  Albemarle Corp., 4.65%, 06/01/27 | 19380 | 18898899 |
|  Ashland LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/01/31<sup>(a)</sup> | 3440 | 2749491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/43 | 1000 | 980000 |
|  Avient Corp., 5.75%, 05/15/25<sup>(a)</sup> | 2950 | 2876251 |
|  Axalta Coating Systems LLC,<br>3.38%, 02/15/29<sup>(a)</sup> | 1080 | 891178 |
|  Chemours Co., 5.38%, 05/15/27 | 939 | 867110 |
|  CVR Partners LP/CVR Nitrogen Finance Corp.,<br>6.13%, 06/15/28<sup>(a)</sup> | 6000 | 5382679 |
|  Ecolab, Inc., 0.90%, 12/15/23 | 1765 | 1698457 |
|  EI du Pont de Nemours and Co.,<br>2.30%, 07/15/30 | 4505 | 3748171 |
|  FMC Corp., 4.10%, 02/01/24 | 1904 | 1877303 |
|  Ingevity Corp., 3.88%, 11/01/28<sup>(a)</sup> | 2770 | 2381826 |
|  International Flavors & Fragrances, Inc., |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 09/26/28 | 40 | 37647 |
|  LSB Industries, Inc., 6.25%, 10/15/28<sup>(a)</sup> | 1865 | 1706382 |
|  Methanex Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/15/27 | 1585 | 1470087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/15/29 | 4005 | 3553454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 12/01/44 | 1300 | 984750 |
|  Olin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 09/15/27 | 50 | 47250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/01/29 | 5500 | 5225000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/30 | 2000 | 1825000 |
|  PPG Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 03/15/26 | 8910 | 7897695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 06/15/30 | 2000 | 1679420 |
|  Sherwin-Williams Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/08/24 | 6935 | 6829853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/27 | 640 | 600280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 08/15/29 | 225 | 196962 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Chemicals (continued)** |  |  |
|  Valvoline, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/30 | $2091 | $2028523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 06/15/31 | 470 | 385649 |
|  |  | 79875636 |
| **Commercial Services & Supplies — 0.3%** |  |  |
|  Alta Equipment Group, Inc.,<br>5.63%, 04/15/26<sup>(a)</sup> | 1653 | 1487857 |
|  AMN Healthcare, Inc., 4.63%, 10/01/27<sup>(a)</sup> | 590 | 544021 |
|  ASGN, Inc., 4.63%, 05/15/28<sup>(a)</sup> | 2090 | 1891868 |
|  Fortress Transportation & Infrastructure Investors LLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/25 | 2696 | 2534790 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 08/01/27 | 5800 | 5814500 |
|  Herc Holdings, Inc., 5.50%, 07/15/27<sup>(a)</sup> | 2822 | 2632221 |
|  Hertz Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/26 | 1265 | 1059438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/01/29 | 1415 | 1073419 |
|  Prime Security Services Borrower LLC/Prime Finance, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/24 | 3600 | 3536315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/15/26 | 3637 | 3500612 |
|  Ritchie Bros Auctioneers, Inc.,<br>5.38%, 01/15/25<sup>(a)</sup> | 2100 | 2063250 |
|  TriNet Group, Inc., 3.50%, 03/01/29<sup>(a)</sup> | 2000 | 1644400 |
|  United Rentals North America, Inc.,<br>5.50%, 05/15/27 | 250 | 246800 |
|  Williams Scotsman International, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/25 | 211 | 208890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/15/28 | 4335 | 3912337 |
|  |  | 32150718 |
| **Communications Equipment — 0.1%** |  |  |
|  Motorola Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/24 | 6 | 5889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/23/28 | 50 | 48428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/23/29 | 600 | 571037 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 11/15/30 | 200 | 156390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/24/31 | 3485 | 2786403 |
|  Nokia OYJ |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/12/27 | 2920 | 2756683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/15/39 | 300 | 284748 |
|  Viasat, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/15/25 | 100 | 92779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/15/27 | 400 | 363340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 | 1035 | 776481 |
|  |  | 7842178 |
| **Construction & Engineering — 0.0%** |  |  |
|  AECOM, 5.13%, 03/15/27 | 2308 | 2221450 |
|  Fluor Corp., 4.25%, 09/15/28 | 1400 | 1260004 |
|  |  | 3481454 |
| **Construction Materials — 0.0%** |  |  |
|  Winnebago Industries, Inc., 6.25%, 07/15/28<sup>(a)</sup> | 861 | 803054 |
| **Consumer Discretionary — 0.2%** |  |  |
|  Cintas Corp. No. 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 05/01/25 | 8425 | 8151380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/27 | 5640 | 5436805 |
|  Life Time, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/26 | 145 | 134923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 04/15/26 | 165 | 148500 |
|  Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 10/01/24 | 3805 | 3504097 |

---

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Consumer Discretionary (continued)** | **Consumer Discretionary (continued)** | **Consumer Discretionary (continued)** |  |
|  Quanta Services, Inc. (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/15/32 | $| 2295 | $1742662 |
|  Royal Caribbean Cruises Ltd., 11.50%, 06/01/25<sup>(a)</sup>  |  | 1897 | 2034532 |
|  |  |  | 21152899 |
| **Consumer Finance — 0.7%** |  |  |  |
|  American Express Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/27/23 |  | 50 | 49964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/03/24 |  | 2435 | 2385421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/30/24 |  | 290 | 278897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/04/25 |  | 1290 | 1217595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/01/25 |  | 7010 | 6867263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/03/29 |  | 3650 | 3475696 |
|  Automatic Data Processing, Inc., 1.70%, 05/15/28 |  | 830 | 720505 |
|  Block Financial LLC, 2.50%, 07/15/28 |  | 1790 | 1521512 |
|  Capital One Financial Corp.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.37%), 4.17%, 05/09/25 |  | 4380 | 4278355 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.16%), 4.99%, 07/24/26 |  | 3985 | 3902946 |
|  CPI CG, Inc., 8.63%, 03/15/26<sup>(a)</sup> |  | 3708 | 3643768 |
|  Discover Financial Services, 6.70%, 11/29/32 |  | 4990 | 5072218 |
|  Enova International, Inc., 8.50%, 09/15/25<sup>(a)</sup> |  | 3850 | 3560476 |
|  goeasy Ltd., 5.38%, 12/01/24<sup>(a)</sup> |  | 555 | 532412 |
|  HealthEquity, Inc., 4.50%, 10/01/29<sup>(a)</sup> |  | 2000 | 1747800 |
|  Mastercard, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/21/26 |  | 380 | 358290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/26/27 |  | 9210 | 8771367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/26/28 |  | 30 | 28466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/01/29 |  | 260 | 234693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 03/15/31 |  | 167 | 135657 |
|  PayPal Holdings, Inc., 2.40%, 10/01/24 |  | 170 | 162922 |
|  PRA Group, Inc., 5.00%, 10/01/29<sup>(a)</sup> |  | 715 | 589875 |
|  S&P Global, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 03/01/27<sup>(a)</sup> |  | 11965 | 10927527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 |  | 115 | 98313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 08/15/30 |  | 1905 | 1465116 |
|  Visa, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 04/15/27 |  | 5190 | 4673982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 04/15/30 |  | 1210 | 1022449 |
|  |  |  | 67723485 |
| **Containers & Packaging — 0.1%** |  |  |  |
|  Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |  | 1000 | 970750 |
|  Graphic Packaging International LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/28 |  | 250 | 217578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 |  | 450 | 383413 |
|  Resolute Forest Products, Inc., 4.88%, 03/01/26<sup>(a)</sup>  |  | 2478 | 2440197 |
|  Sealed Air Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/15/25 |  | 25 | 24641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/01/27 |  | 2200 | 1995701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/15/33 |  | 3400 | 3369289 |
|  |  |  | 9401569 |
| **Diversified Consumer Services — 0.0%** | **Diversified Consumer Services — 0.0%** | **Diversified Consumer Services — 0.0%** |  |
|  Graham Holdings Co., 5.75%, 06/01/26<sup>(a)</sup> |  | 540 | 530604 |
|  Service Corp. International |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/15/27 |  | 50 | 46702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/01/29 |  | 55 | 51564 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Diversified Consumer Services (continued)** | **Diversified Consumer Services (continued)** |  |
|  Service Corp. International (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/30 | $1055 | $857617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/15/31 | 1895 | 1596018 |
|  |  | 3082505 |
| **Diversified Financial Services — 8.7%** |  |  |
|  AerCap Ireland Capital DAC/AerCap Global |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/23 | 3760 | 3735302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 10/29/23 | 2780 | 2674874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/16/24 | 2352 | 2329561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/29/24 | 12310 | 11354748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/26 | 845 | 738284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/28 | 805 | 674409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 01/30/32 | 5883 | 4599099 |
|  Air Lease Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/15/23 | 2000 | 1998098 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 07/01/25 | 715 | 676262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 01/15/26 | 315 | 291456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 01/15/27 | 2355 | 2052284 |
|  Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/12/23 | 4000 | 3978637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.71%, 06/27/24 | 8600 | 8252177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/24/25 | 18400 | 17718077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/28/25 | 800 | 748712 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.45%), 0.70%, 06/30/24<sup>(b)</sup> | 20600 | 20030815 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.90%), 1.72%, 09/14/27<sup>(b)</sup> | 2800 | 2391666 |
|  Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/22/25 | 5045 | 4937847 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.41%), 0.52%, 06/14/24<sup>(b)</sup> | 8033 | 7841900 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.65%), 1.53%, 12/06/25<sup>(b)</sup> | 5700 | 5257113 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 0.98%, 04/22/25<sup>(b)</sup> | 9695 | 9089585 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.74%), 0.81%, 10/24/24<sup>(b)</sup> | 1858 | 1781550 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.91%), 0.98%, 09/25/25<sup>(b)</sup> | 19010 | 17496342 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.96%), 1.73%, 07/22/27<sup>(b)</sup> | 14345 | 12567890 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.15%), 1.32%, 06/19/26<sup>(b)</sup> | 8520 | 7672218 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.21%), 2.57%, 10/20/32<sup>(b)</sup> | 655 | 512998 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.33%), 3.38%, 04/02/26<sup>(b)</sup> | 25840 | 24678201 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.75%), 4.83%, 07/22/26<sup>(b)</sup> | 6870 | 6789723 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.99%), 6.20%, 11/10/28<sup>(b)</sup> | 8160 | 8424969 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.04%), 4.95%, 07/22/28<sup>(b)</sup> | 7120 | 6953824 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.87%), 2.46%, 10/22/25<sup>(b)</sup> | 2000 | 1889714 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.94%), 3.86%, 07/23/24<sup>(b)</sup> | 1605 | 1590459 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.97%), 3.46%, 03/15/25<sup>(b)</sup> | 100 | 97346 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.99%), 2.50%, 02/13/31<sup>(b)</sup> | 2625 | 2133578 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.06%), 3.56%, 04/23/27<sup>(b)</sup> | 1500 | 1405305 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.31%), 4.27%, 07/23/29<sup>(b)</sup> | 1605 | 1496663 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, (1 day SOFR + 1.22%), 2.65%, 03/11/32<sup>(b)</sup> | 290 | 232124 |
|  Bank of Nova Scotia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 02/03/25 | 6450 | 6075300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/11/25 | 7330 | 7053933 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 03/02/26 | 3800 | 3360035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 06/24/26 | 15360 | 13618484 |
|  Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 05/12/26 | 400 | 388998 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.71%), 2.85%, 05/07/26<sup>(b)</sup> | 1150 | 1068609 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.80%), 1.01%, 12/10/24<sup>(b)</sup> | 2690 | 2560630 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.05%), 2.28%, 11/24/27<sup>(b)</sup> | 5980 | 5168971 |

---

S C H E D U L E O F I N V E S T M E N T S 17

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** |  |
|  Barclays PLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.30%), 5.30%, 08/09/26<sup>(b)</sup> | $3165 | $3141339 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.61%), 3.93%, 05/07/25<sup>(b)</sup> | 4005 | 3883798 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 3.05%), 5.09%, 06/20/30<sup>(b)</sup> | 200 | 184212 |
|  Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 09/29/27 | 240 | 228818 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.53%), 1.28%, 11/03/25<sup>(b)</sup> | 3955 | 3644279 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.67%), 0.98%, 05/01/25<sup>(b)</sup> | 3190 | 2987246 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 0.78%, 10/30/24<sup>(b)</sup> | 13120 | 12571044 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 2.01%, 01/25/26<sup>(b)</sup> | 5430 | 5032344 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.77%), 1.46%, 06/09/27<sup>(b)</sup> | 23540 | 20418781 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.37%), 4.14%, 05/24/25<sup>(b)</sup> | 7095 | 6957623 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.53%), 3.29%, 03/17/26<sup>(b)</sup> | 9120 | 8669029 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.55%), 5.61%, 09/29/26<sup>(b)</sup> | 11390 | 11438715 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.67%), 1.68%, 05/15/24<sup>(b)</sup> | 1960 | 1932231 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.84%), 3.11%, 04/08/26<sup>(b)</sup> | 4485 | 4245423 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.90%), 3.35%, 04/24/25<sup>(b)</sup> | 2725 | 2642373 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.02%), 4.04%, 06/01/24<sup>(b)</sup> | 50 | 49667 |
|  CME Group, Inc., 2.65%, 03/15/32 | 250 | 209409 |
|  Credit Acceptance Corp., 6.63%, 03/15/26 | 360 | 341150 |
|  Deutsche Bank AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 02/27/23 | 2000 | 1993092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/25 | 1400 | 1330251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.16%, 05/13/25 | 9485 | 9285541 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.22%), 2.31%, 11/16/27<sup>(b)</sup> | 3725 | 3158362 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 2.55%, 01/07/28<sup>(b)</sup> | 1100 | 935049 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.76%), 3.73%, 01/14/32<sup>(b)</sup> | 900 | 659892 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.19%), 6.12%, 07/14/26<sup>(b)</sup> | 3025 | 3004760 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD ICE Swap + 2.55%), 4.88%, 12/01/32<sup>(b)</sup> | 900 | 752237 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD Swap + 2.25%), 4.30%, 05/24/28<sup>(b)</sup>. | 2650 | 2493050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 0.96%, 11/08/23 | 3265 | 3141350 |
|  Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/20/24 | 9950 | 9777800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/23/25 | 1060 | 1023955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/25 | 2895 | 2783955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/22/25 | 75 | 72537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/21/25 | 8100 | 7905168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/25/26 | 75 | 72192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/16/26 | 35 | 32808 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 02/07/30 | 3090 | 2578664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/30 | 900 | 809077 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.51%),<br>0.66%, 09/10/24<sup>(b)</sup> | 16270 | 15652333 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.61%),<br>0.86%, 02/12/26<sup>(b)</sup> | 3505 | 3169300 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.73%),<br>1.76%, 01/24/25<sup>(b)</sup> | 15430 | 14768868 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.80%),<br>1.43%, 03/09/27<sup>(b)</sup> | 14780 | 12960699 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.09%),<br>1.99%, 01/27/32<sup>(b)</sup> | 4190 | 3192011 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%),<br>2.38%, 07/21/32<sup>(b)</sup> | 10490 | 8139282 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.28%),<br>2.62%, 04/22/32<sup>(b)</sup> | 1545 | 1232123 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%),<br>4.39%, 06/15/27<sup>(b)</sup> | 5985 | 5766054 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.16%),<br>3.81%, 04/23/29<sup>(b)</sup> | 3015 | 2753977 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.20%),<br>3.27%, 09/29/25<sup>(b)</sup> | 125 | 120454 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.30%), 4.22%, 05/01/29<sup>(b)</sup> | 250 | 232904 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series VAR, (1 day SOFR + 0.79%), 1.09%, 12/09/26<sup>(b)</sup> | 6100 | 5377309 |
|  Horizon Therapeutics USA, Inc., 5.50%, 08/01/27<sup>(a)</sup> | 3250 | 3336125 |
|  HSBC Holdings PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 05/25/23 | 1500 | 1490534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/18/25 | 500 | 480974 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.53%), 0.73%, 08/17/24<sup>(b)</sup> | 5300 | 5107167 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  HSBC Holdings PLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.58%), 1.16%, 11/22/24<sup>(b)</sup> | $7110 | $6771996 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.71%), 0.98%, 05/24/25<sup>(b)</sup> | 3670 | 3397987 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.19%), 2.80%, 05/24/32<sup>(b)</sup> | 4383 | 3391035 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.43%), 3.00%, 03/10/26<sup>(b)</sup> | 13635 | 12815201 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 4.18%, 12/09/25<sup>(b)</sup> | 15635 | 15184392 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.54%), 1.65%, 04/18/26<sup>(b)</sup> | 1225 | 1105701 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.61%), 5.21%, 08/11/28<sup>(b)</sup> | 15205 | 14669068 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.25%), 8.11%, 11/03/33<sup>(b)</sup> | 7870 | 8327087 |
|  Intercontinental Exchange, Inc., 3.65%, 05/23/25 | 4060 | 3963120 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/26 | 289 | 273953 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.61%), 1.56%, 12/10/25<sup>(b)</sup> | 9540 | 8832384 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.77%), 1.47%, 09/22/27<sup>(b)</sup> | 22140 | 19167993 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.80%), 1.05%, 11/19/26<sup>(b)</sup> | 8505 | 7501719 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.92%), 2.60%, 02/24/26<sup>(b)</sup> | 21045 | 19785668 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.98%), 3.85%, 06/14/25<sup>(b)</sup> | 15774 | 15422573 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.16%), 2.30%, 10/15/25<sup>(b)</sup> | 4160 | 3920186 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.85%), 2.08%, 04/22/26<sup>(b)</sup> | 428 | 397311 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.99%), 4.85%, 07/25/28<sup>(b)</sup> | 19310 | 18823067 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.00%), 4.02%, 12/05/24<sup>(b)</sup> | 3150 | 3103011 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.16%), 3.22%, 03/01/25<sup>(b)</sup> | 8650 | 8407250 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.25%), 3.96%, 01/29/27<sup>(b)</sup> | 1300 | 1239221 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.26%), 4.20%, 07/23/29<sup>(b)</sup> | 35 | 32613 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.59%), 2.01%, 03/13/26<sup>(b)</sup> | 852 | 788574 |
|  Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29<sup>(a)</sup> | 3675 | 2967048 |
|  Lloyds Banking Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.58%, 12/10/25 | 3110 | 3011405 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.55%), 0.70%, 05/11/24<sup>(b)</sup> | 5135 | 5035991 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.75%), 4.72%, 08/11/26<sup>(b)</sup> | 5380 | 5263973 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.21%), 3.57%, 11/07/28<sup>(b)</sup> | 4132 | 3715886 |
|  Mitsubishi UFJ Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.41%, 03/07/24 | 6065 | 5937994 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.45%), 0.96%, 10/11/25<sup>(b)</sup> | 6325 | 5815536 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.55%), 0.95%, 07/19/25<sup>(b)</sup> | 8640 | 8028000 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.67%), 1.64%, 10/13/27<sup>(b)</sup> | 14770 | 12791767 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.83%), 2.34%, 01/19/28<sup>(b)</sup> | 2585 | 2275275 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.55%), 5.06%, 09/12/25<sup>(b)</sup> | 5470 | 5430997 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.70%), 4.79%, 07/18/25<sup>(b)</sup> | 11005 | 10895309 |
|  Mizuho Financial Group, Inc.<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.87%), 0.85%, 09/08/24 | 3330 | 3213742 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%), 1.24%, 07/10/24 | 2490 | 2429728 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.75%), 1.55%, 07/09/27 | 5780 | 5035224 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.90%), 2.65%, 05/22/26 | 2910 | 2699396 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.00%), 3.92%, 09/11/24 | 2823 | 2777608 |
|  Morgan Stanley<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.72%), 0.99%, 12/10/26 | 12180 | 10672307 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.86%), 1.51%, 07/20/27 | 4585 | 3978808 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.88%), 1.59%, 05/04/27 | 8640 | 7579305 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.14%), 2.70%, 01/22/31 | 2090 | 1727065 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.18%), 2.24%, 07/21/32 | 1685 | 1292722 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.67%), 4.68%, 07/17/26 | 14965 | 14708431 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.99%), 2.19%, 04/28/26 | 8810 | 8186827 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.12%), 3.62%, 04/01/31 | 13680 | 11942688 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.85%), 3.74%, 04/24/24 | 3130 | 3113080 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.34%),<br>3.59%, 07/22/28 | 325 | 298106 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I, (1 day SOFR + 0.75%), 0.86%, 10/21/25 | 3590 | 3293733 |
|  NatWest Group PLC<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.15%), 2.36%, 05/22/24 | 470 | 463269 |

---

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** |
|  NatWest Group PLC<sup>(b)</sup> (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.27%), 5.52%, 09/30/28 | $| 2325 | $| 2296360 |
|  Sumitomo Mitsui Financial Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/15/25 |  | 360 |  | 340632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.47%, 07/08/25 |  | 7252 |  | 6607787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 09/17/26 |  | 7800 |  | 6792376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.17%, 01/14/27 |  | 2735 |  | 2424421 |
|  UniCredit SpA, (5 year CMT + 4.75%), 5.46%, 06/30/35<sup>(a)(b)</sup> |  | 3625 |  | 2945124 |
|  |  |  |  | 823865135 |
| **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** |
|  AT&T, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 03/25/26 |  | 16240 |  | 14635439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/01/27 |  | 11475 |  | 10205737 |
|  Consolidated Communications, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/28 |  | 430 |  | 317111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 |  | 250 |  | 194265 |
|  Level 3 Financing, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 09/15/27 |  | 95 |  | 79088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/29 |  | 1700 |  | 1244810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/15/29 |  | 650 |  | 467591 |
|  Lumen Technologies, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/27<sup>(a)</sup> |  | 285 |  | 241524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/29<sup>(a)</sup> |  | 1415 |  | 976650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/15/29<sup>(a)</sup> |  | 982 |  | 706974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series P, 7.60%, 09/15/39 |  | 50 |  | 34131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series U, 7.65%, 03/15/42 |  | 725 |  | 482045 |
|  Sprint Capital Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/15/28 |  | 5000 |  | 5189700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 03/15/32 |  | 7120 |  | 8473512 |
|  Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30<sup>(a)</sup> |  | 4255 |  | 2692475 |
|  Verizon Communications, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/22/24 |  | 90 |  | 85381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/25 |  | 3000 |  | 2906588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/22/27 |  | 440 |  | 408844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 09/21/28 |  | 350 |  | 336519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.68%, 10/30/30 |  | 2273 |  | 1771737 |
|  |  |  |  | 51450121 |
| **Electric Utilities — 1.2%** |  |  |  |  |
|  AEP Texas, Inc., 3.95%, 06/01/28 |  | 50 |  | 46886 |
|  AES Corp., 1.38%, 01/15/26 |  | 3584 |  | 3182551 |
|  Alabama Power Co., 3.05%, 03/15/32 |  | 1465 |  | 1262242 |
|  Ameren Corp., 3.50%, 01/15/31 |  | 140 |  | 123818 |
|  American Electric Power Co., Inc.,<br>Series N, 1.00%, 11/01/25 |  | 3000 |  | 2679281 |
|  Appalachian Power Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AA, Class AA, 2.70%, 04/01/31 |  | 800 |  | 658028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BB, 4.50%, 08/01/32 |  | 1580 |  | 1473176 |
|  Arizona Public Service Co., 2.20%, 12/15/31 |  | 2310 |  | 1762407 |
|  Atlantic City Electric Co., 4.00%, 10/15/28 |  | 50 |  | 47596 |
|  Avangrid, Inc., 3.80%, 06/01/29 |  | 100 |  | 90869 |
|  Berkshire Hathaway Energy Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 04/15/25 |  | 3330 |  | 3278743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/28 |  | 100 |  | 92513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/15/31 |  | 245 |  | 189633 |
|  Black Hills Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.04%, 08/23/24 |  | 570 |  | 531579 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Black Hills Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 01/15/27 | $1960 | $1812609 |
|  CenterPoint Energy Houston Electric LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AG, Class AG, 3.00%, 03/01/32 | 635 | 547226 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series ai, 4.45%, 10/01/32 | 1850 | 1783458 |
|  Commonwealth Edison Co., 2.20%, 03/01/30 | 170 | 142467 |
|  Consolidated Edison Co. of New York, Inc., |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 3.35%, 04/01/30 | 330 | 296790 |
|  Constellation Energy Generation LLC, 3.25%, 06/01/25 | 770 | 736696 |
|  Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/28 | 165 | 157020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 1.45%, 04/15/26 | 1200 | 1068316 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.60%, 03/15/27 | 1300 | 1221744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.38%, 04/01/30 | 310 | 273177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 2.25%, 08/15/31 | 1375 | 1094056 |
|  DPL, Inc., 4.35%, 04/15/29 | 200 | 179399 |
|  DTE Electric Co., Series C, 2.63%, 03/01/31 | 390 | 331571 |
|  DTE Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 10/01/26 | 5000 | 4606516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.40%, 06/15/29 | 122 | 108377 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 1.05%, 06/01/25 | 630 | 570631 |
|  Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/24 | 1180 | 1158957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/01/26 | 4283 | 3955840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/15/29 | 255 | 228728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 06/15/31 | 3870 | 3153316 |
|  Duke Energy Florida LLC, 1.75%, 06/15/30 | 115 | 91391 |
|  Edison International, 4.95%, 04/15/25 | 2500 | 2458503 |
|  Entergy Corp., 0.90%, 09/15/25 | 290 | 258249 |
|  Entergy Louisiana LLC, 1.60%, 12/15/30 | 2520 | 1935861 |
|  Entergy Texas, Inc., 4.00%, 03/30/29 | 50 | 47156 |
|  Evergy, Inc., 2.90%, 09/15/29 | 100 | 86354 |
|  Eversource Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/27/24 | 6740 | 6661879 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series L, 2.90%, 10/01/24 | 800 | 771129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 3.30%, 01/15/28 | 1000 | 920820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, 3.80%, 12/01/23 | 100 | 98857 |
|  Exelon Corp., 3.95%, 06/15/25 | 1500 | 1464887 |
|  FirstEnergy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.35%, 07/15/47 | 171 | 152667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.40%, 03/01/50 | 1000 | 659800 |
|  Florida Power & Light Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 04/01/25 | 35 | 33512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/03/32 | 190 | 158291 |
|  Georgia Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/30/27 | 50 | 46191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/32 | 900 | 867654 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 2.65%, 09/15/29 | 700 | 597724 |
|  Interstate Power and Light Co.,<br>2.30%, 06/01/30 | 310 | 253298 |
|  ITC Holdings Corp., 3.35%, 11/15/27 | 5420 | 4990163 |
|  MidAmerican Energy Co., 3.65%, 04/15/29 | 310 | 289839 |
|  National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 06/15/26 | 6475 | 5700027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/29 | 100 | 91971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/15/30 | 1105 | 919925 |
|  Nevada Power Co., Series DD, 2.40%, 05/01/30 | 700 | 586815 |
|  NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.65%, 03/01/23 | 4805 | 4772098 |

---

S C H E D U L E O F I N V E S T M E N T S 19

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
|  NextEra Energy Capital Holdings, Inc. (continued) | NextEra Energy Capital Holdings, Inc. (continued) | NextEra Energy Capital Holdings, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 03/21/24 | $| 7100 | $| 6912335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/20/25 |  | 10570 |  | 10439192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/28 |  | 1335 |  | 1139762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/29 |  | 150 |  | 136260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/01/29 |  | 1005 |  | 869280 |
|  NextEra Energy Operating Partners LP<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/15/24 |  | 30 |  | 29100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/24 |  | 25 |  | 23242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/27 |  | 1100 |  | 1008995 |
|  Oncor Electric Delivery Co. LLC<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 06/01/32 |  | 555 |  | 523632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 09/15/32 |  | 385 |  | 376922 |
|  Pacific Gas & Electric Co., 3.25%, 06/01/31 |  | 1750 |  | 1422492 |
|  Pacific Gas and Electric Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 01/01/26 |  | 2350 |  | 2183637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 08/01/27 |  | 35 |  | 29891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/15/28 |  | 1265 |  | 1093596 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/31 |  | 1265 |  | 981496 |
|  PG&E Corp., 5.25%, 07/01/30 |  | 1580 |  | 1437800 |
|  PPL Capital Funding, Inc., 3.10%, 05/15/26 |  | 1070 |  | 999859 |
|  Public Service Co. of Colorado, Series 38, 4.10%, 06/01/32 |  | 1370 |  | 1288696 |
|  Public Service Co. of New Hampshire, Series V, 2.20%, 06/15/31 |  | 380 |  | 312114 |
|  Public Service Electric and Gas Co., 2.45%, 01/15/30 |  | 1350 |  | 1158129 |
|  Public Service Enterprise Group, Inc., 1.60%, 08/15/30 |  | 110 |  | 85290 |
|  Puget Energy, Inc., 2.38%, 06/15/28 |  | 170 |  | 144649 |
|  Sempra Energy |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/01/28 |  | 50 |  | 46405 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/29 |  | 350 |  | 319018 |
|  Southern California Edison Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 08/01/29 |  | 115 |  | 99947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 03/01/28 |  | 770 |  | 717744 |
|  Southern Power Co., 0.90%, 01/15/26 |  | 2000 |  | 1760524 |
|  Tampa Electric Co., 3.88%, 07/12/24 |  | 605 |  | 593071 |
|  Tucson Electric Power Co.,<br>1.50%, 08/01/30 |  | 30 |  | 22948 |
|  Union Electric Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/29 |  | 50 |  | 46108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/30 |  | 240 |  | 210605 |
|  Virginia Electric and Power Co.,<br>2.30%, 11/15/31 |  | 5135 |  | 4132576 |
|  Wisconsin Electric Power Co.,<br>1.70%, 06/15/28 |  | 175 |  | 148980 |
|  Wisconsin Power and Light Co.,<br>3.95%, 09/01/32 |  | 1155 |  | 1057047 |
|  Xcel Energy, Inc., 4.60%, 06/01/32 |  | 860 |  | 821330 |
|  |  |  |  | 116333949 |
| **Electrical Equipment — 0.1%** | **Electrical Equipment — 0.1%** | **Electrical Equipment — 0.1%** | **Electrical Equipment — 0.1%** | **Electrical Equipment — 0.1%** |
|  Eaton Corp., 4.15%, 03/15/33 |  | 1715 |  | 1594294 |
|  GrafTech Finance, Inc., 4.63%, 12/15/28<sup>(a)</sup> |  | 4002 |  | 3286533 |
|  |  |  |  | 4880827 |
| **Electronic Equipment, Instruments & Components — 0.2%** | **Electronic Equipment, Instruments & Components — 0.2%** | **Electronic Equipment, Instruments & Components — 0.2%** | **Electronic Equipment, Instruments & Components — 0.2%** | **Electronic Equipment, Instruments & Components — 0.2%** |
|  Amphenol Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 03/01/25 |  | 1270 |  | 1193797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 02/15/30 |  | 1000 |  | 853564 |
|  Arrow Electronics, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/08/24 |  | 410 |  | 393966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/15/32 |  | 1225 |  | 965828 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** |
|  BWX Technologies, Inc., 4.13%, 06/30/28<sup>(a)</sup> | $| 1245 | $| 1118944 |
|  CDW LLC/CDW Finance Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/24 |  | 5644 |  | 5643664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.28%, 12/01/28 |  | 1763 |  | 1509410 |
|  Keysight Technologies, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 10/30/24 |  | 2000 |  | 1969312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 04/06/27 |  | 130 |  | 126137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/30/29 |  | 80 |  | 69332 |
|  Rockwell Automation, Inc., 0.35%, 08/15/23 |  | 1040 |  | 1012214 |
|  TD SYNNEX Corp., 1.25%, 08/09/24 |  | 6080 |  | 5646736 |
|  Xerox Holdings Corp., 5.50%, 08/15/28<sup>(a)</sup> |  | 1500 |  | 1200378 |
|  |  |  |  | 21703282 |
| **Energy Equipment & Services — 0.3%** | **Energy Equipment & Services — 0.3%** | **Energy Equipment & Services — 0.3%** | **Energy Equipment & Services — 0.3%** | **Energy Equipment & Services — 0.3%** |
|  Baker Hughes Holdings LLC/Baker Hughes Co.- Obligor, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.06%, 12/15/26 |  | 8160 |  | 7313583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.34%, 12/15/27 |  | 5764 |  | 5324230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/07/29 |  | 6800 |  | 5999080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.49%, 05/01/30 |  | 2420 |  | 2306459 |
|  USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/01/26 |  | 250 |  | 239823 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 09/01/27 |  | 1000 |  | 935000 |
|  Weatherford International Ltd.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 12/01/24 |  | 4 |  | 4080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 04/30/30 |  | 1775 |  | 1704547 |
|  |  |  |  | 23826802 |
| **Environmental, Maintenance & Security Service — 0.2%** | **Environmental, Maintenance & Security Service — 0.2%** | **Environmental, Maintenance & Security Service — 0.2%** | **Environmental, Maintenance & Security Service — 0.2%** | **Environmental, Maintenance & Security Service — 0.2%** |
|  Clean Harbors, Inc., 4.88%, 07/15/27<sup>(a)</sup> |  | 2119 |  | 2007753 |
|  Covanta Holding Corp., 5.00%, 09/01/30 |  | 1357 |  | 1095829 |
|  GFL Environmental, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/01/25 |  | 127 |  | 120015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 12/15/26 |  | 180 |  | 172135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/01/28 |  | 4335 |  | 3706425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/28 |  | 500 |  | 439581 |
|  Republic Services, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 11/15/25 |  | 2553 |  | 2286538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/15/28 |  | 3890 |  | 3695015 |
|  Tervita Corp., 11.00%, 12/01/25<sup>(a)</sup> |  | 375 |  | 403151 |
|  Waste Connections, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/28 |  | 4000 |  | 3821826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 02/01/30 |  | 110 |  | 93790 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 06/01/32 |  | 1390 |  | 1192397 |
|  |  |  |  | 19034455 |
| **Equity Real Estate Investment Trusts (REITs) — 1.6%** | **Equity Real Estate Investment Trusts (REITs) — 1.6%** | **Equity Real Estate Investment Trusts (REITs) — 1.6%** | **Equity Real Estate Investment Trusts (REITs) — 1.6%** | **Equity Real Estate Investment Trusts (REITs) — 1.6%** |
|  American Tower Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/31/23 |  | 2545 |  | 2541938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.60%, 01/15/24 |  | 5703 |  | 5436082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/24 |  | 1570 |  | 1564214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 01/15/25 |  | 200 |  | 190751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/15/25 |  | 1071 |  | 1007568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 04/15/26 |  | 5970 |  | 5307859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 09/15/26 |  | 2900 |  | 2530376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/27 |  | 6000 |  | 5439064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/15/27 |  | 5100 |  | 4763301 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC,<br>5.75%, 05/15/26<sup>(a)</sup> | $1640 | $1498086 |
|  Camden Property Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 07/01/29 | 1000 | 891221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/15/30 | 220 | 189294 |
|  Crown Castle, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/01/24 | 640 | 618001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 02/15/26 | 10810 | 10564100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 07/15/26 | 8720 | 7534113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/15/27 | 2195 | 1996475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/01/27 | 8718 | 8097604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 02/15/28 | 1116 | 1037173 |
|  EPR Properties |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 12/15/26 | 1000 | 898518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/31 | 545 | 394853 |
|  Equinix, Inc., 2.63%, 11/18/24 | 2210 | 2104570 |
|  Federal Realty Investment Trust,<br>3.50%, 06/01/30 | 1315 | 1125137 |
|  Iron Mountain, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/27 | 50 | 45980 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/15/28 | 2500 | 2299675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/28 | 2400 | 2155633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/29 | 1854 | 1617059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/30 | 1340 | 1164460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/31 | 300 | 246582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/32 | 8700 | 7539560 |
|  Life Storage LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | 5522 | 5158681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 12/15/27 | 5065 | 4686541 |
|  Mid-America Apartments LP,<br>1.10%, 09/15/26 | 260 | 224848 |
|  MPT Operating Partnership LP/MPT Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 | 1100 | 924583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/01/29 | 50 | 38129 |
|  Omega Healthcare Investors, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/25 | 2210 | 2147372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/27 | 6633 | 6211381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28 | 4915 | 4528842 |
|  Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/01/28 | 3615 | 3276874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/15/29 | 430 | 363995 |
|  Public Storage |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 02/15/26 | 750 | 663983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 11/09/26 | 6960 | 6185504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 11/09/28 | 9275 | 7911744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.39%, 05/01/29 | 450 | 409080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/09/31 | 7850 | 6295246 |
|  Realty Income Corp., 3.25%, 01/15/31 | 480 | 416240 |
|  Simon Property Group LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/25 | 810 | 775766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 01/15/27 | 2920 | 2548474 |
|  Starwood Property Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/25 | 2000 | 1908499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 07/15/26<sup>(a)</sup> | 3480 | 3045000 |
|  VICI Properties LP, 4.38%, 05/15/25 | 975 | 945582 |
|  VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29<sup>(a)</sup> | 620 | 543389 |
|  Welltower, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/24 | 2920 | 2857461 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Welltower, Inc. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/25 | $| 2955 | $| 2878288 |
|  Weyerhaeuser Co., 4.00%, 04/15/30 |  | 6125 |  | 5576940 |
|  XHR LP, 6.38%, 08/15/25<sup>(a)</sup> |  | 1055 |  | 1014343 |
|  |  |  |  | 152336032 |
| **Food & Staples Retailing — 0.7%** | **Food & Staples Retailing — 0.7%** | **Food & Staples Retailing — 0.7%** | **Food & Staples Retailing — 0.7%** | **Food & Staples Retailing — 0.7%** |
|  Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/15/27 |  | 3368 |  | 3128434 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/29 |  | 3245 |  | 2722523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/15/30 |  | 4666 |  | 4164218 |
|  Campbell Soup Co., 3.95%, 03/15/25 |  | 12465 |  | 12172801 |
|  Costco Wholesale Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 06/20/27 |  | 8385 |  | 7343992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 04/20/30 |  | 1375 |  | 1126491 |
|  Darling Ingredients, Inc., 6.00%, 06/15/30<sup>(a)</sup> |  | 6100 |  | 5962750 |
|  Dollar General Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/20/24 |  | 4700 |  | 4635388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/01/25 |  | 2000 |  | 1955713 |
|  General Mills, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/15/24 |  | 1000 |  | 982425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/17/25 |  | 690 |  | 673863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 11/18/25 |  | 1570 |  | 1573909 |
|  Ingles Markets, Inc., 4.00%, 06/15/31<sup>(a)</sup> |  | 1820 |  | 1530693 |
|  Kellogg Co., 3.25%, 04/01/26 |  | 3640 |  | 3460496 |
|  Kraft Heinz Foods Co., 3.75%, 04/01/30 |  | 2520 |  | 2294834 |
|  Kroger Co., 2.20%, 05/01/30 |  | 40 |  | 32459 |
|  Lamb Weston Holdings, Inc., 4.38%, 01/31/32<sup>(a)</sup> |  | 5000 |  | 4368500 |
|  McCormick & Co., Inc., 3.15%, 08/15/24 |  | 300 |  | 290430 |
|  United Natural Foods, Inc., 6.75%, 10/15/28<sup>(a)</sup> |  | 445 |  | 427567 |
|  Walmart, Inc., 1.50%, 09/22/28 |  | 3690 |  | 3162149 |
|  |  |  |  | 62009635 |
| **Food Products — 0.3%** | **Food Products — 0.3%** | **Food Products — 0.3%** | **Food Products — 0.3%** | **Food Products — 0.3%** |
|  Aramark Services, Inc., 5.00%, 02/01/28<sup>(a)</sup> |  | 500 |  | 466467 |
|  Bunge Ltd. Finance Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 08/17/25 |  | 16738 |  | 15242131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/25/27 |  | 3000 |  | 2801281 |
|  Darling Ingredients, Inc., 5.25%, 04/15/27<sup>(a)</sup> |  | 4497 |  | 4327643 |
|  Hershey Co., 0.90%, 06/01/25 |  | 2922 |  | 2666884 |
|  Mondelez International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 05/04/25 |  | 585 |  | 541344 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 03/17/27 |  | 2070 |  | 1876585 |
|  |  |  |  | 27922335 |
| **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** | **Gas Utilities — 0.0%** |
|  Superior Plus LP/Superior General Partner, Inc., 4.50%, 03/15/29<sup>(a)</sup> |  | 395 |  | 337725 |
| **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** |  |  |
|  Abbott Laboratories, 3.40%, 11/30/23 |  | 70 |  | 69259 |
|  Becton Dickinson and Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/06/27 |  | 3650 |  | 3448614 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 08/22/32 |  | 285 |  | 266766 |
|  DH Europe Finance II Sarl, 2.60%, 11/15/29 |  | 68 |  | 59569 |
|  Edwards Lifesciences Corp., 4.30%, 06/15/28 |  | 6885 |  | 6582081 |
|  Hologic, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/01/28 |  | 1000 |  | 942295 |

---

S C H E D U L E O F I N V E S T M E N T S 21

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |  |
|  Hologic, Inc.<sup>(a)</sup> (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/29 | $| 2315 | $1987882 |
|  Thermo Fisher Scientific, Inc., 1.22%, 10/18/24 |  | 6910 | 6485105 |
|  |  |  | 19841571 |
| **Health Care Providers & Services — 0.9%** | **Health Care Providers & Services — 0.9%** | **Health Care Providers & Services — 0.9%** |  |
|  Acadia Healthcare Co., Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/28 |  | 5115 | 4851577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/29 |  | 2100 | 1931370 |
|  Aetna, Inc., 3.50%, 11/15/24 |  | 3118 | 3028745 |
|  AmerisourceBergen Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/01/25 |  | 4875 | 4696005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/27 |  | 849 | 793229 |
|  Elevance Health, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 03/15/23 |  | 3855 | 3822981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 12/01/24 |  | 700 | 678493 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 01/15/25 |  | 95 | 90180 |
|  HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/25 |  | 2940 | 2922869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/15/26 |  | 100 | 100631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 |  | 10950 | 10817828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 09/01/26 |  | 10 | 9889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/01/28 |  | 110 | 109376 |
|  Humana, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.65%, 08/03/23 |  | 4743 | 4620677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 10/01/24 |  | 1078 | 1056283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/25 |  | 893 | 882133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/28 |  | 9550 | 9750871 |
|  McKesson Corp., 0.90%, 12/03/25 |  | 2515 | 2233195 |
|  ModivCare, Inc., 5.88%, 11/15/25<sup>(a)</sup> |  | 6205 | 5828521 |
|  Molina Healthcare, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/15/28 |  | 1520 | 1387137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/15/30 |  | 2000 | 1694879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/15/32 |  | 1140 | 946701 |
|  Teleflex, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/27 |  | 250 | 238272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/28<sup>(a)</sup> |  | 75 | 68464 |
|  Tenet Healthcare Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/24 |  | 124 | 120932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/01/26<sup>(a)</sup> |  | 600 | 567386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/01/27<sup>(a)</sup> |  | 100 | 96051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/01/27<sup>(a)</sup> |  | 300 | 279072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/28<sup>(a)</sup> |  | 2514 | 2249379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 10/01/28<sup>(a)</sup> |  | 1938 | 1735130 |
|  UnitedHealth Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/15/25 |  | 3000 | 2932680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 03/15/26 |  | 50 | 47575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 05/15/27 |  | 7040 | 6809866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/28 |  | 2200 | 2106829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/30 |  | 3585 | 2957906 |
|  |  |  | 82463112 |
| **Health Care Services — 0.5%** | **Health Care Services — 0.5%** | **Health Care Services — 0.5%** |  |
|  UnitedHealth Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/15/28 |  | 12570 | 12849442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 02/15/30 |  | 36090 | 37188644 |
|  |  |  | 50038086 |
| **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** |  |
|  Charles River Laboratories International, Inc.<sup>(a)</sup> 4.25%, 05/01/28 |  | 3025 | 2785934 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Health Care Technology (continued)** | **Health Care Technology (continued)** | **Health Care Technology (continued)** |  |
|  Charles River Laboratories International, Inc.<sup>(a)</sup> (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/31 | $| 2000 | $1730000 |
|  IQVIA, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/26 |  | 1200 | 1145819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/27 |  | 1000 | 953300 |
|  Laboratory Corp. of America Holdings, 1.55%, 06/01/26 |  | 3095 | 2741146 |
|  Syneos Health, Inc., 3.63%, 01/15/29<sup>(a)</sup> |  | 485 | 386227 |
|  |  |  | 9742426 |
| **Hotels, Restaurants & Leisure — 0.7%** | **Hotels, Restaurants & Leisure — 0.7%** | **Hotels, Restaurants & Leisure — 0.7%** |  |
|  Boyd Gaming Corp., 4.75%, 12/01/27 |  | 1625 | 1513492 |
|  Burger King (Restaurant Brands Int)/New Red Finance, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/15/25 |  | 1875 | 1860372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/28 |  | 4510 | 4034400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/28 |  | 1550 | 1387879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/15/30 |  | 9990 | 8090002 |
|  Cedar Fair LP, 5.25%, 07/15/29 |  | 15 | 13471 |
|  Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25<sup>(a)</sup> |  | 310 | 306626 |
|  Choice Hotels International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/01/29 |  | 2755 | 2399177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/15/31 |  | 2000 | 1695308 |
|  Darden Restaurants, Inc.,<br>3.85%, 05/01/27 |  | 10 | 9537 |
|  Dave & Buster's, Inc.,<br>7.63%, 11/01/25<sup>(a)</sup> |  | 128 | 128640 |
|  GLP Capital LP/GLP Financing II, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/25 |  | 3460 | 3401230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/15/26 |  | 6157 | 6040430 |
|  Hilton Domestic Operating Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 05/01/25<sup>(a)</sup> |  | 45 | 44541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/30 |  | 3375 | 3058459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/31<sup>(a)</sup> |  | 1585 | 1326059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/15/32<sup>(a)</sup> |  | 3000 | 2402400 |
|  Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/29 |  | 270 | 232200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/01/31 |  | 665 | 542742 |
|  Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 |  | 50 | 47591 |
|  International Game Technology PLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/26 |  | 525 | 489644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/29 |  | 1565 | 1458360 |
|  KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 06/01/27<sup>(a)</sup> |  | 625 | 600000 |
|  Marriott International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 |  | 2480 | 2447092 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series EE, 5.75%, 05/01/25 |  | 170 | 171466 |
|  Marriott Ownership Resorts, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/15/25 |  | 265 | 273117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/29 |  | 780 | 647108 |
|  McDonald's Corp., 1.45%, 09/01/25 |  | 105 | 96284 |
|  MGM Resorts International |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/25 |  | 500 | 502605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 |  | 98 | 91161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/28 |  | 500 | 436427 |
|  Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29<sup>(a)</sup> |  | 360 | 306311 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |  |
|  Scientific Games International, Inc.<sup>(a)</sup> | Scientific Games International, Inc.<sup>(a)</sup> | Scientific Games International, Inc.<sup>(a)</sup> |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 07/01/25 | $| 790 | $805960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/15/28 |  | 1100 | 1049301 |
|  Six Flags Entertainment Corp., 4.88%, 07/31/24<sup>(a)</sup> |  | 1000 | 962825 |
|  Six Flags Theme Parks, Inc., 7.00%, 07/01/25<sup>(a)</sup> |  | 629 | 633285 |
|  Starbucks Corp., 3.55%, 08/15/29 |  | 40 | 36858 |
|  Travel & Leisure Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 04/01/24 |  | 100 | 98495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/01/27 |  | 300 | 284727 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/30<sup>(a)</sup> |  | 100 | 82927 |
|  Vail Resorts, Inc.,<br>6.25%, 05/15/25<sup>(a)</sup> |  | 1000 | 1000001 |
|  Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28<sup>(a)</sup> |  | 1000 | 897200 |
|  Wynn Las Vegas LLC/Wynn Las Vegas Capital |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corp., 4.25%, 05/30/23<sup>(a)</sup> |  | 50 | 49268 |
|  Wynn Macau Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/26/28 |  | 605 | 511158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 12/15/29 |  | 400 | 319636 |
|  Yum! Brands, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/30<sup>(a)</sup> |  | 800 | 734000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/31/32 |  | 9822 | 8681929 |
|  |  |  | 62201701 |
| **Household Durables — 0.1%** | **Household Durables — 0.1%** | **Household Durables — 0.1%** |  |
|  Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.25%, 09/15/27<sup>(a)</sup> |  | 285 | 253109 |
|  Meritage Homes Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/01/25 |  | 1500 | 1492782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/06/27 |  | 2100 | 1974436 |
|  NVR, Inc., 3.00%, 05/15/30 |  | 3220 | 2703167 |
|  Taylor Morrison Communities, Inc., 5.88%, 06/15/27<sup>(a)</sup> |  | 100 | 96012 |
|  Tempur Sealy International, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29 |  | 450 | 378072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/31 |  | 2600 | 2041065 |
|  Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24 |  | 50 | 49756 |
|  Tri Pointe Homes, Inc., 5.70%, 06/15/28 |  | 1450 | 1313478 |
|  |  |  | 10301877 |
| **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** |  |
|  Clearway Energy Operating LLC, 4.75%, 03/15/28<sup>(a)</sup> |  | 1580 | 1458254 |
|  Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 01/15/26<sup>(a)</sup> |  | 500 | 470920 |
|  NRG Energy, Inc.,<br>6.63%, 01/15/27 |  | 30 | 29747 |
|  TerraForm Power Operating LLC, 5.00%, 01/31/28<sup>(a)</sup> |  | 75 | 67499 |
|  |  |  | 2026420 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |  |
|  Carlisle Cos., Inc., 0.55%, 09/01/23 |  | 5170 | 5002534 |
|  Trinity Industries, Inc., 4.55%, 10/01/24 |  | 500 | 485170 |
|  |  |  | 5487704 |
| **Insurance — 1.1%** | **Insurance — 1.1%** | **Insurance — 1.1%** |  |
|  Aflac, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 03/15/26 |  | 6510 | 5767664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/30 |  | 2592 | 2346059 |
|  Aon Corp., 2.80%, 05/15/30 |  | 405 | 345395 |
|  Aon Corp./Aon Global Holdings PLC, 2.85%, 05/28/27 |  | 495 | 454683 |
|  Assurant, Inc., 4.90%, 03/27/28 |  | 10670 | 10221560 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |  |
|  Athene Holding Ltd., 3.50%, 01/15/31 | $| 3945 | $3239219 |
|  Berkshire Hathaway, Inc., 3.13%, 03/15/26 |  | 2005 | 1921318 |
|  Brown & Brown, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/15/29 |  | 4320 | 4015852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/17/32 |  | 3135 | 2717926 |
|  Corebridge Financial, Inc., 3.50%, 04/04/25<sup>(a)</sup> |  | 4700 | 4505772 |
|  Enstar Group Ltd., 3.10%, 09/01/31 |  | 10905 | 7963210 |
|  Fairfax Financial Holdings Ltd., 3.38%, 03/03/31 |  | 1005 | 823429 |
|  Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/25<sup>(a)</sup> |  | 1015 | 1000085 |
|  Marsh & McLennan Cos., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/15/24 |  | 7965 | 7854495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/10/25 |  | 2200 | 2135392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/15/29 |  | 8460 | 8171415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/30 |  | 4215 | 3450703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 12/15/31 |  | 7610 | 6145445 |
|  NMI Holdings, Inc., 7.38%, 06/01/25<sup>(a)</sup> |  | 3000 | 3030000 |
|  Progressive Corp., 2.50%, 03/15/27 |  | 20065 | 18472320 |
|  Willis North America, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 06/15/27 |  | 5120 | 4945532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/28 |  | 130 | 122496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/15/29 |  | 995 | 836402 |
|  |  |  | 100486372 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |  |
|  Baidu, Inc., 1.72%, 04/09/26 |  | 2170 | 1916262 |
|  Cogent Communications Group, Inc., 3.50%, 05/01/26<sup>(a)</sup> |  | 1500 | 1362664 |
|  eBay, Inc., 1.90%, 03/11/25 |  | 3240 | 3032421 |
|  Netflix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 06/15/25<sup>(a)</sup> |  | 660 | 631838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 04/15/28 |  | 100 | 96558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/28 |  | 900 | 912177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 05/15/29 |  | 500 | 514644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/15/29<sup>(a)</sup> |  | 500 | 485000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/30<sup>(a)</sup> |  | 1000 | 932599 |
|  |  |  | 9884163 |
| **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** |  |
|  Alibaba Group Holding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/06/23 |  | 1500 | 1483140 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/28/24 |  | 550 | 531256 |
|  Genuine Parts Co., 1.75%, 02/01/25 |  | 10100 | 9430131 |
|  Meta Platforms, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/27 |  | 18990 | 17698682 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/15/32 |  | 2210 | 1944660 |
|  |  |  | 31087869 |
| **Internet Software & Services — 0.2%** | **Internet Software & Services — 0.2%** | **Internet Software & Services — 0.2%** |  |
|  Booking Holdings, Inc.,<br>4.63%, 04/13/30 |  | 153 | 147764 |
|  Gen Digital, Inc.,<br>5.00%, 04/15/25<sup>(a)</sup> |  | 750 | 729506 |
|  Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27<sup>(a)</sup> |  | 1000 | 946460 |
|  Match Group Holdings II LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/01/28 |  | 2335 | 2081559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/29 |  | 35 | 32550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/01/30 |  | 1930 | 1575590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/31 |  | 2465 | 1890320 |
|  Uber Technologies, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 05/15/25 |  | 395 | 394712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/01/26 |  | 550 | 551893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 09/15/27 |  | 2500 | 2501750 |

---

S C H E D U L E O F I N V E S T M E N T S 23

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Internet Software & Services (continued)** | **Internet Software & Services (continued)** | **Internet Software & Services (continued)** |  |
|  VeriSign, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/01/25 | $| 2300 | $2293992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/27 |  | 1150 | 1110020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/15/31 |  | 885 | 720759 |
|  |  |  | 14976875 |
| **IT Services — 1.3%** | **IT Services — 1.3%** | **IT Services — 1.3%** |  |
|  Booz Allen Hamilton, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/01/28 |  | 4175 | 3698894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/01/29 |  | 525 | 462076 |
|  Camelot Finance SA, 4.50%, 11/01/26<sup>(a)</sup> |  | 500 | 468625 |
|  Fidelity National Information Services, Inc., 4.50%, 07/15/25 |  | 3040 | 2980886 |
|  Gartner, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/01/28 |  | 8472 | 7898700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 06/15/29 |  | 930 | 817210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/01/30 |  | 2795 | 2409199 |
|  International Business Machines Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/24 |  | 150 | 145879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/27/25 |  | 31280 | 30772371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 02/19/26 |  | 7585 | 7287173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 05/15/26 |  | 16600 | 15794392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 02/09/27 |  | 5120 | 4600374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 07/27/27 |  | 19620 | 19117570 |
|  KBR, Inc., 4.75%, 09/30/28<sup>(a)</sup> |  | 6000 | 5299876 |
|  Kyndryl Holdings, Inc.,<br>2.70%, 10/15/28 |  | 250 | 187613 |
|  Science Applications International Corp., 4.88%, 04/01/28<sup>(a)</sup> |  | 170 | 157250 |
|  Twilio, Inc., 3.88%, 03/15/31 |  | 2000 | 1586710 |
|  Verisk Analytics, Inc.,<br>4.00%, 06/15/25 |  | 9035 | 8781771 |
|  Ziff Davis, Inc., 4.63%, 10/15/30<sup>(a)</sup> |  | 10877 | 9203900 |
|  |  |  | 121670469 |
| **Leisure Products — 0.0%** | **Leisure Products — 0.0%** | **Leisure Products — 0.0%** |  |
|  Hasbro, Inc., 3.55%, 11/19/26 |  | 145 | 135970 |
| **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** |  |
|  Agilent Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 06/04/30 |  | 600 | 485482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/12/31 |  | 750 | 604759 |
|  |  |  | 1090241 |
| **Machinery — 0.6%** | **Machinery — 0.6%** | **Machinery — 0.6%** |  |
|  Caterpillar Financial Services Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 09/14/23 |  | 3970 | 3848784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/13/25 |  | 7225 | 7019301 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/12/25 |  | 5000 | 4877810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 11/13/25 |  | 7235 | 6489459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 08/12/27 |  | 5000 | 4771066 |
|  Deere & Co., 2.75%, 04/15/25 |  | 150 | 144078 |
|  IDEX Corp., 2.63%, 06/15/31 |  | 4980 | 4122443 |
|  John Deere Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/06/25 |  | 15465 | 15002879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 06/17/26 |  | 3880 | 3443147 |
|  Otis Worldwide Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.06%, 04/05/25 |  | 1000 | 935622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.29%, 04/05/27 |  | 65 | 58177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.57%, 02/15/30 |  | 125 | 105025 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** |  |
|  Terex Corp., 5.00%, 05/15/29<sup>(a)</sup> | $| 3050 | $2741188 |
|  Westinghouse Air Brake Technologies Corp., 3.20%, 06/15/25 |  | 2305 | 2170038 |
|  |  |  | 55729017 |
| **Media — 0.7%** | **Media — 0.7%** | **Media — 0.7%** |  |
|  Cable One, Inc., 4.00%, 11/15/30<sup>(a)</sup> |  | 275 | 215797 |
|  CCO Holdings LLC/CCO Holdings Capital Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/01/27 |  | 250 | 233017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/28 |  | 100 | 90799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/01/29 |  | 100 | 90427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/15/30 |  | 810 | 669186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/01/31 |  | 420 | 336888 |
|  Directv Financing LLC/Directv Financing Co.- Obligor, Inc., 5.88%, 08/15/27<sup>(a)</sup> |  | 1145 | 1024386 |
|  DISH DBS Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/24 |  | 475 | 441386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 07/01/26 |  | 1075 | 866869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 07/01/28 |  | 2010 | 1422075 |
|  FactSet Research Systems, Inc., 2.90%, 03/01/27 |  | 9015 | 8183492 |
|  Fox Corp., 4.03%, 01/25/24 |  | 35 | 34594 |
|  Frontier Communications Holdings LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/27 |  | 85 | 78928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/28 |  | 2275 | 1983845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/29 |  | 165 | 136498 |
|  GCI LLC, 4.75%, 10/15/28<sup>(a)</sup> |  | 6660 | 5594936 |
|  Hughes Satellite Systems Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/01/26 |  | 135 | 129492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 08/01/26 |  | 4309 | 4019177 |
|  Lamar Media Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/30 |  | 250 | 218500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/31 |  | 135 | 111608 |
|  Nexstar Media, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/27 |  | 3750 | 3440091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/01/28 |  | 700 | 605500 |
|  Sirius XM Radio, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/29 |  | 7000 | 6389460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/01/31 |  | 9000 | 7021523 |
|  TEGNA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/26<sup>(a)</sup> |  | 2570 | 2492014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/28 |  | 3590 | 3409423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/15/29 |  | 5385 | 5109288 |
|  Thomson Reuters Corp.,<br>4.30%, 11/23/23 |  | 4980 | 4945097 |
|  Univision Communications, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/15/25 |  | 15 | 14286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/01/27 |  | 900 | 868329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 06/30/30 |  | 2500 | 2389250 |
|  Videotron Ltd., 5.13%, 04/15/27<sup>(a)</sup> |  | 500 | 472265 |
|  Virgin Media Finance PLC,<br>5.00%, 07/15/30<sup>(a)</sup> |  | 695 | 557432 |
|  Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28<sup>(a)</sup> |  | 1800 | 1573393 |
|  WMG Acquisition Corp.,<br>3.00%, 02/15/31<sup>(a)</sup> |  | 1575 | 1258567 |
|  |  |  | 66427818 |
| **Metals & Mining — 0.4%** | **Metals & Mining — 0.4%** | **Metals & Mining — 0.4%** |  |
|  Alcoa Nederland Holding BV<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/27 |  | 1000 | 963661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 05/15/28 |  | 1200 | 1182144 |
|  Arconic Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 05/15/25 |  | 500 | 491548 |

---

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Metals & Mining (continued)** | **Metals & Mining (continued)** | **Metals & Mining (continued)** |  |  |
|  Arconic Corp.<sup>(a)</sup> (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/15/28 | $| 2000 | $| 1876530 |
|  Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29<sup>(a)</sup> |  | 2664 |  | 2538061 |
|  Compass Minerals International, Inc., 6.75%, 12/01/27<sup>(a)</sup> |  | 475 |  | 456000 |
|  FMG Resources August 2006 Pty. Ltd., 4.50%, 09/15/27<sup>(a)</sup> |  | 1485 |  | 1369912 |
|  Freeport-McMoRan, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/27 |  | 75 |  | 73368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/01/28 |  | 975 |  | 901880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/01/28 |  | 240 |  | 224009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/01/29 |  | 50 |  | 48240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/30 |  | 750 |  | 680933 |
|  Mineral Resources Ltd.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 05/01/27 |  | 1671 |  | 1682586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/01/30 |  | 3000 |  | 3040590 |
|  Nucor Corp., 3.13%, 04/01/32 |  | 3125 |  | 2648840 |
|  Reliance Steel & Aluminum Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 08/15/25 |  | 6690 |  | 6044233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 08/15/30 |  | 2000 |  | 1574928 |
|  Rio Tinto Finance USA Ltd., 7.13%, 07/15/28 |  | 699 |  | 769575 |
|  Roller Bearing Co. of America, Inc., 4.38%, 10/15/29<sup>(a)</sup> |  | 80 |  | 69176 |
|  Southern Copper Corp.,<br>3.88%, 04/23/25 |  | 200 |  | 192913 |
|  SunCoke Energy, Inc.,<br>4.88%, 06/30/29<sup>(a)</sup> |  | 555 |  | 476405 |
|  Taseko Mines Ltd.,<br>7.00%, 02/15/26<sup>(a)</sup> |  | 8344 |  | 7337207 |
|  |  |  |  | 34642739 |
| **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** |
|  Starwood Property Trust, Inc., 5.50%, 11/01/23<sup>(a)</sup> |  | 2730 |  | 2706235 |
| **Multiline Retail — 0.1%** | **Multiline Retail — 0.1%** | **Multiline Retail — 0.1%** |  |  |
|  Bath & Body Works, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 07/01/25<sup>(a)</sup> |  | 101 |  | 107584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.69%, 01/15/27 |  | 1300 |  | 1290653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/01/28 |  | 3610 |  | 3352426 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/15/29 |  | 50 |  | 49360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/01/30<sup>(a)</sup> |  | 1465 |  | 1374760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/01/35 |  | 1655 |  | 1471130 |
|  Macy's Retail Holdings LLC<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/29 |  | 125 |  | 110675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/32 |  | 3000 |  | 2521590 |
|  |  |  |  | 10278178 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |  |  |
|  AmeriGas Partners LP/AmeriGas Finance Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/20/24 |  | 45 |  | 43681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/20/25 |  | 2500 |  | 2402062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/20/27 |  | 100 |  | 92937 |
|  National Fuel Gas Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/15/25 |  | 12563 |  | 12497271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/26 |  | 2600 |  | 2586614 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 09/15/27 |  | 40 |  | 36912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/01/31 |  | 605 |  | 474109 |
|  NiSource, Inc., 0.95%, 08/15/25 |  | 4330 |  | 3903470 |
|  ONE Gas, Inc., 4.25%, 09/01/32 |  | 1625 |  | 1538706 |
|  Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29 |  | 50 |  | 45819 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Multi-Utilities (continued)** | **Multi-Utilities (continued)** | **Multi-Utilities (continued)** |  |
|  Southwest Gas Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 06/15/30 | $| 25 | $19553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/32 |  | 2995 | 2629810 |
|  |  |  | 26270944 |
| **Offshore Drilling & Other Services<sup>(a)</sup> — 0.0%** | **Offshore Drilling & Other Services<sup>(a)</sup> — 0.0%** | **Offshore Drilling & Other Services<sup>(a)</sup> — 0.0%** |  |
|  Entegris, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/28 |  | 2325 | 2055845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/01/29 |  | 1575 | 1282444 |
|  |  |  | 3338289 |
| **Oil, Gas & Consumable Fuels — 6.0%** | **Oil, Gas & Consumable Fuels — 6.0%** | **Oil, Gas & Consumable Fuels — 6.0%** |  |
|  Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26<sup>(a)</sup> |  | 210 | 208309 |
|  Antero Midstream Partners LP/Antero Midstream Finance Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/28 |  | 6500 | 6029465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/15/29 |  | 8150 | 7451056 |
|  Antero Resources Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 02/01/29 |  | 753 | 757146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/01/30 |  | 6040 | 5599744 |
|  Apache Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/30 |  | 3745 | 3313976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 09/01/40 |  | 4250 | 3522028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/15/43 |  | 3000 | 2263500 |
|  Ascent Resources Utica Holdings LLC/ARU Finance Corp.<sup>(a)</sup> 8.25%, 12/31/28 |  | 385 | 377377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/29 |  | 380 | 338819 |
|  Baytex Energy Corp.,<br>8.75%, 04/01/27<sup>(a)</sup> |  | 5365 | 5458727 |
|  Berry Petroleum Co. LLC, 7.00%, 02/15/26<sup>(a)</sup> |  | 925 | 849553 |
|  Calumet Specialty Products Partners LP/Calumet Finance Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 04/15/25 |  | 2675 | 2788121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 01/15/27 |  | 200 | 187000 |
|  Canadian Natural Resources Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/15/24 |  | 16688 | 16353443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 07/15/25 |  | 4231 | 3936252 |
|  Cheniere Corpus Christi Holdings LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/31/25 |  | 7492 | 7537506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/30/27 |  | 5147 | 5084866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/29 |  | 1660 | 1500509 |
|  Cheniere Energy Partners LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/29 |  | 395 | 355192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/31/32 |  | 1690 | 1343054 |
|  Cheniere Energy, Inc.,<br>4.63%, 10/15/28 |  | 2500 | 2259668 |
|  Chesapeake Energy Corp., 5.50%, 02/01/26<sup>(a)</sup> |  | 110 | 106147 |
|  Chevron Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 05/11/25 |  | 1480 | 1376782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/16/26 |  | 15010 | 14235818 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/11/27 |  | 140 | 125730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.24%, 05/11/30 |  | 170 | 145673 |
|  Chevron USA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.02%, 08/12/27 |  | 6130 | 5257040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/15/28 |  | 910 | 878224 |
|  Chord Energy Corp.,<br>6.38%, 06/01/26<sup>(a)</sup> |  | 8297 | 8080697 |
|  Civitas Resources, Inc.,<br>5.00%, 10/15/26<sup>(a)</sup> |  | 385 | 351988 |
|  CNX Resources Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/14/27 |  | 219 | 217358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 |  | 5685 | 5231019 |

---

S C H E D U L E O F I N V E S T M E N T S 25

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |
|  Colgate Energy Partners III LLC, 5.88%, 07/01/29<sup>(a)</sup> | $1510 | $1296879 |
|  Columbia Pipeline Group, Inc., 4.50%, 06/01/25 | 15510 | 15272902 |
|  Comstock Resources, Inc., 6.75%, 03/01/29<sup>(a)</sup> | 1645 | 1484613 |
|  Conoco Funding Co.,<br>7.25%, 10/15/31 | 405 | 461561 |
|  ConocoPhillips Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/07/25 | 22870 | 21736386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 04/15/29 | 3515 | 3886793 |
|  Continental Resources, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/23 | 61 | 60852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.27%, 11/15/26<sup>(a)</sup> | 1060 | 918444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/28 | 910 | 833797 |
|  Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/01/27 | 4250 | 3952500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/29 | 5910 | 5422488 |
|  CVR Energy, Inc.,<br>5.25%, 02/15/25<sup>(a)</sup> | 500 | 460000 |
|  DCP Midstream Operating LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 07/15/25 | 2130 | 2110191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/15/29 | 3500 | 3373067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 08/16/30 | 1000 | 1106899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/15/37<sup>(a)</sup> | 50 | 50399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 04/01/44 | 610 | 568749 |
|  Devon Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 12/15/25 | 10820 | 11015295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 10/15/27 | 325 | 321597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/15/28 | 191 | 193174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/30 | 4130 | 3845003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.95%, 04/15/32 | 2830 | 3211814 |
|  Diamondback Energy, Inc., 6.25%, 03/15/33 | 545 | 553157 |
|  DT Midstream, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/29 | 1000 | 859110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/15/31 | 1000 | 838900 |
|  Dycom Industries, Inc.,<br>4.50%, 04/15/29<sup>(a)</sup> | 495 | 430845 |
|  Enbridge, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 10/04/26 | 5000 | 4379016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/26 | 6100 | 5864604 |
|  Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28<sup>(a)</sup> | 2000 | 1915040 |
|  Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/25 | 2495 | 2416643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/15/25 | 5200 | 4897073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/15/33 | 4450 | 4353702 |
|  EnLink Midstream LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/15/28<sup>(a)</sup> | 2385 | 2271708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/01/29 | 3700 | 3423529 |
|  EnLink Midstream Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 07/15/26 | 1200 | 1128034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 06/01/47 | 800 | 642600 |
|  Enterprise Products Operating LLC, 3.75%, 02/15/25 | 3410 | 3315546 |
|  EQM Midstream Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/01/26 | 1500 | 1334163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/01/27<sup>(a)</sup> | 5000 | 4896300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/01/27<sup>(a)</sup> | 415 | 396636 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/29<sup>(a)</sup> | 630 | 529154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/48 | 425 | 318569 |
|  EQT Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/01/25 | 775 | 776821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.68%, 10/01/25 | 5975 | 5945958 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |
|  EQT Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/01/27 | $2860 | $2640253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/29 | 880 | 826107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | 1340 | 1389741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/15/31<sup>(a)</sup> | 855 | 724558 |
|  Exxon Mobil Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.02%, 08/16/24 | 300 | 286973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 03/19/25 | 950 | 915045 |
|  Genesis Energy LP/Genesis Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/25 | 1183 | 1130605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 01/15/27 | 2935 | 2772313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/01/28 | 2000 | 1840960 |
|  Global Partners LP/GLP Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 08/01/27 | 400 | 379851 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/29 | 3970 | 3636798 |
|  Harbour Energy PLC,<br>5.50%, 10/15/26<sup>(a)</sup> | 2410 | 2159649 |
|  Harvest Midstream I LP,<br>7.50%, 09/01/28<sup>(a)</sup> | 1355 | 1293266 |
|  Hess Corp., 4.30%, 04/01/27 | 1255 | 1198592 |
|  Hess Midstream Operations LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/26 | 1200 | 1168902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/15/28 | 1050 | 970931 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/30 | 2730 | 2333934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/30 | 1260 | 1152719 |
|  Hilcorp Energy I LP/Hilcorp Finance Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/01/28 | 120 | 108600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/31 | 1065 | 918625 |
|  Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 02/01/28<sup>(a)</sup> | 7733 | 7040945 |
|  Kinder Morgan Energy Partners LP, 3.50%, 09/01/23 | 5430 | 5372084 |
|  Kinder Morgan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/15/23<sup>(a)</sup> | 681 | 681393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 11/15/26 | 3850 | 3397781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 01/15/32 | 1645 | 1849471 |
|  Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26<sup>(a)</sup> | 2000 | 1920000 |
|  Marathon Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 09/15/24 | 3720 | 3620009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/01/25 | 4690 | 4618288 |
|  MasTec, Inc., 6.63%, 08/15/29 | 1491 | 1334445 |
|  Matador Resources Co.,<br>5.88%, 09/15/26 | 1195 | 1148944 |
|  MEG Energy Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 02/01/27 | 3250 | 3314649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/01/29 | 5525 | 5210213 |
|  MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 12/01/24 | 10443 | 10357612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/25 | 33605 | 33089901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/01/26 | 8000 | 7130961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/01/27 | 4000 | 3778047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/27 | 12830 | 12123343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 08/15/30 | 5510 | 4465290 |
|  Murphy Oil Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/15/25 | 16 | 15722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/01/27 | 1462 | 1406868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/15/28 | 3580 | 3445910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 12/01/42 | 1300 | 1014000 |
|  Murphy Oil USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/01/27 | 500 | 485505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/29 | 900 | 823527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31<sup>(a)</sup> | 815 | 671168 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |
|  Nabors Industries, Inc.,<br>7.38%, 05/15/27<sup>(a)</sup> | $235 | $227643 |
|  New Fortress Energy, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/15/25 | 4015 | 3797387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/30/26 | 7500 | 6965250 |
|  Northern Oil & Gas, Inc.,<br>8.13%, 03/01/28<sup>(a)</sup> | 4255 | 4085625 |
|  Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/25 | 420 | 418576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 07/15/27 | 265 | 285354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 07/15/30 | 415 | 468537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 09/01/30 | 4500 | 4650210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 01/01/31 | 3340 | 3370693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 09/15/36 | 4200 | 4284000 |
|  ONEOK Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/15/23 | 9900 | 9888806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/25 | 520 | 512465 |
|  ONEOK, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/01/24 | 155 | 148387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 09/15/25 | 6880 | 6321058 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 01/15/26 | 8156 | 8253677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/13/27 | 15600 | 14676593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 01/15/31 | 2330 | 2367152 |
|  Ovintiv Exploration, Inc.,<br>5.38%, 01/01/26 | 605 | 598959 |
|  Parsley Energy LLC/Parsley Finance Corp.,<br>4.13%, 02/15/28<sup>(a)</sup> | 160 | 146936 |
|  PDC Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/15/24 | 1500 | 1491450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/15/26 | 5000 | 4772850 |
|  Permian Resources Operating LLC, 5.38%, 01/15/26<sup>(a)</sup> | 1032 | 939414 |
|  Pioneer Natural Resources Co., 0.55%, 05/15/23 | 1485 | 1460545 |
|  Range Resources Corp.,<br>8.25%, 01/15/29 | 475 | 489461 |
|  ROCC Holdings LLC,<br>9.25%, 08/15/26<sup>(a)</sup> | 200 | 199120 |
|  Rockcliff Energy II LLC,<br>5.50%, 10/15/29<sup>(a)</sup> | 670 | 613017 |
|  Sabine Pass Liquefaction LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/15/24 | 2200 | 2200531 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/26 | 2500 | 2529604 |
|  Shell International Finance BV, 2.00%, 11/07/24 | 790 | 751054 |
|  SM Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 06/01/25 | 1917 | 1840302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 | 4390 | 4209000 |
|  Southwestern Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 01/23/25 | 365 | 358612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/01/27 | 100 | 101912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 09/15/28 | 2265 | 2335080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/29 | 310 | 287389 |
|  Sunoco LP/Sunoco Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/27 | 100 | 98470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/15/28 | 5750 | 5445487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/29 | 1990 | 1740653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/30/30 | 1761 | 1528636 |
|  Tallgrass Energy Partners LP/Tallgrass Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Finance Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/28 | 650 | 576446 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 12/31/30 | 755 | 652871 |
|  Talos Production, Inc.,<br>12.00%, 01/15/26 | 2720 | 2860529 |
|  Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/01/27 | 9680 | 9487677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 02/01/33 | 2315 | 1991741 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |
|  Targa Resources Partners LP/Targa Resources Partners Finance Corp. | Targa Resources Partners LP/Targa Resources Partners Finance Corp. |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/27 | $1174 | $1181443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/28 | 4159 | 3967514 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/29 | 200 | 201592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/30 | 350 | 329322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/01/31 | 8140 | 7350013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/32 | 1630 | 1371466 |
|  Transcontinental Gas Pipe Line Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.85%, 02/01/26 | 9646 | 10294838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/30 | 1100 | 954573 |
|  Transocean Guardian Ltd.,<br>5.88%, 01/15/24<sup>(a)</sup> | 456 | 445234 |
|  Transocean Pontus Ltd.,<br>6.13%, 08/01/25<sup>(a)</sup> | 61 | 60353 |
|  Transocean Poseidon Ltd.,<br>6.88%, 02/01/27<sup>(a)</sup> | 171 | 166039 |
|  Transocean, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 01/30/27<sup>(a)</sup> | 500 | 501250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 02/01/27<sup>(a)</sup> | 120 | 97997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/31 | 310 | 207719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 03/15/38 | 200 | 126272 |
|  Valero Energy Corp.,<br>2.80%, 12/01/31 | 2000 | 1630042 |
|  Western Midstream Operating LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 07/01/26 | 750 | 711795 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/15/28 | 500 | 456645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 02/01/30 | 6700 | 5848564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 04/01/44 | 4500 | 3738240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 03/01/48 | 1250 | 1027784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 02/01/50 | 535 | 440733 |
|  Williams Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/04/24 | 4875 | 4816033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/25 | 3000 | 2915899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 03/15/31 | 10710 | 8667099 |
|  |  | 570694414 |
| **Personal Products — 0.0%** |  |  |
|  Coty, Inc., 5.00%, 04/15/26<sup>(a)</sup> | 1465 | 1389218 |
| **Pharmaceuticals — 0.9%** |  |  |
|  AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 11/21/24 | 8417 | 8052202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/25 | 1730 | 1686075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 05/14/25 | 4680 | 4535608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/14/26 | 16594 | 15711665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/21/26 | 3818 | 3550679 |
|  Astrazeneca Finance LLC,<br>1.20%, 05/28/26 | 6420 | 5715795 |
|  AstraZeneca PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/17/23 | 100 | 99148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/16/25 | 1150 | 1109632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.70%, 04/08/26 | 1200 | 1054947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 06/12/27 | 5300 | 4976602 |
|  Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/20/28 | 2426 | 2335869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 11/13/30 | 1670 | 1320038 |
|  Cigna Corp., 1.25%, 03/15/26 | 7950 | 7082955 |
|  CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 08/15/24 | 85 | 81652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 06/01/27 | 1780 | 1866805 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 08/21/27 | 5331 | 4513410 |
|  Merck & Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 02/24/26 | 1095 | 969515 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 06/10/27 | 3122 | 2767723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 12/10/31 | 1500 | 1224891 |

---

S C H E D U L E O F I N V E S T M E N T S 27

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |  |  |
|  Novartis Capital Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 05/17/27 | $| 3085 | $| 2923133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 08/14/30 |  | 180 |  | 153096 |
|  Viatris, Inc., 1.65%, 06/22/25 |  | 370 |  | 335106 |
|  Zoetis, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 09/12/27 |  | 11280 |  | 10428215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 08/20/28 |  | 250 |  | 237471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/30 |  | 2215 |  | 1797548 |
|  |  |  |  | 84529780 |
| **Real Estate — 0.0%** |  |  |  |  |
|  American Tower Corp.,<br>3.13%, 01/15/27 |  | 1310 |  | 1200263 |
|  VICI Properties LP/VICI Note Co., Inc., 5.75%, 02/01/27<sup>(a)</sup> |  | 160 |  | 155962 |
|  |  |  |  | 1356225 |
| **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** |  |  |
|  CBRE Services, Inc.,<br>4.88%, 03/01/26 |  | 8250 |  | 8144820 |
|  Howard Hughes Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 08/01/28 |  | 2250 |  | 2026643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/31 |  | 1730 |  | 1399689 |
|  Kennedy-Wilson, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/30 |  | 5000 |  | 3812500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/31 |  | 4250 |  | 3199157 |
|  Starwood Property Trust, Inc., 4.38%, 01/15/27<sup>(a)</sup> |  | 1305 |  | 1141973 |
|  |  |  |  | 19724782 |
| **Road & Rail — 0.1%** |  |  |  |  |
|  Kansas City Southern,<br>2.88%, 11/15/29 |  | 45 |  | 38863 |
|  Union Pacific Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/15/25 |  | 2805 |  | 2725306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/01/26 |  | 3690 |  | 3489296 |
|  |  |  |  | 6253465 |
| **Semiconductors & Semiconductor Equipment — 1.1%** | **Semiconductors & Semiconductor Equipment — 1.1%** | **Semiconductors & Semiconductor Equipment — 1.1%** | **Semiconductors & Semiconductor Equipment — 1.1%** | **Semiconductors & Semiconductor Equipment — 1.1%** |
|  Amkor Technology, Inc.,<br>6.63%, 09/15/27<sup>(a)</sup> |  | 600 |  | 593771 |
|  Analog Devices, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 04/01/25 |  | 80 |  | 76944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/05/26 |  | 1849 |  | 1763231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 10/01/28 |  | 1770 |  | 1499756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 10/01/31 |  | 1335 |  | 1077965 |
|  Atkore, Inc., 4.25%, 06/01/31<sup>(a)</sup> |  | 2515 |  | 2156612 |
|  Barings BDC, Inc.,<br>3.30%, 11/23/26 |  | 1715 |  | 1453597 |
|  Broadcom Corp./Broadcom Cayman Finance Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/24 |  | 9310 |  | 9150414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/27 |  | 23025 |  | 21779121 |
|  Broadcom, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 11/15/25 |  | 520 |  | 492561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 09/15/26 |  | 19619 |  | 18485675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 02/15/28<sup>(a)</sup> |  | 2460 |  | 2077765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29<sup>(a)</sup> |  | 8000 |  | 7267539 |
|  Flex Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/01/26 |  | 100 |  | 94081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/29 |  | 6955 |  | 6548567 |
|  Goldman Sachs Group, Inc., 5.70%, 11/01/24 |  | 7665 |  | 7756228 |
|  Honeywell International, Inc., 2.30%, 08/15/24 |  | 380 |  | 364839 |
|  Intel Corp., 3.40%, 03/25/25 |  | 2850 |  | 2778379 |
|  Jabil, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 04/15/26 |  | 2580 |  | 2286257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/27 |  | 4140 |  | 3914683 |
|  Microchip Technology, Inc.,<br>4.25%, 09/01/25 |  | 1210 |  | 1174598 |
|  Micron Technology, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 02/06/26 |  | 1663 |  | 1635888 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |  |
|  Micron Technology, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 11/01/29 | $350 | $355522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 02/15/30 | 550 | 498836 |
|  NVIDIA Corp., 2.85%, 04/01/30 | 25 | 21808 |
|  NXP BV/NXP Funding LLC/NXP USA,<br>Inc., 2.70%, 05/01/25 | 4205 | 3949546 |
|  ON Semiconductor Corp.,<br>3.88%, 09/01/28<sup>(a)</sup> | 2886 | 2518297 |
|  Sensata Technologies BV,<br>5.00%, 10/01/25<sup>(a)</sup> | 25 | 24415 |
|  Sensata Technologies, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/15/30 | 1275 | 1109893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31 | 500 | 411320 |
|  Texas Instruments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 03/12/25 | 315 | 294096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 09/15/26 | 905 | 798896 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 05/04/30 | 145 | 119200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/15/31<br>| 2445 | 1978605 |
|  |  | 106508905 |
| **Software — 0.4%** |  |  |
|  Activision Blizzard, Inc.,<br>1.35%, 09/15/30 | 250 | 195357 |
|  Black Knight InfoServ LLC, 3.63%, 09/01/28<sup>(a)</sup> | 2440 | 2116700 |
|  Electronic Arts, Inc.,<br>1.85%, 02/15/31 | 2000 | 1571973 |
|  Intuit, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 07/15/27 | 805 | 696227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 07/15/30 | 438 | 351235 |
|  Iron Mountain Information Management<br>Services, Inc., 5.00%, 07/15/32<sup>(a)</sup> | 3260 | 2708084 |
|  MSCI, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/29 | 3745 | 3262025 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 09/01/30 | 1700 | 1413125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/31 | 1415 | 1176466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/15/33 | 3125 | 2413308 |
|  Open Text Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/28 | 305 | 261730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 12/01/29 | 685 | 550869 |
|  Open Text Holdings, Inc., 4.13%, 12/01/31<sup>(a)</sup> | 665 | 516901 |
|  Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/08/24 | 1710 | 1668263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/15/24 | 6000 | 5766356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 03/25/26 | 4960 | 4440298 |
|  PTC, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/15/25 | 50 | 47622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/28 | 1045 | 940534 |
|  Roper Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/15/23 | 830 | 821146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 09/15/24 | 90 | 85930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 09/15/25 | 590 | 528618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/30/30 | 75 | 60105 |
|  ServiceNow, Inc.,<br>1.40%, 09/01/30 | 1000 | 765017 |
|  SS&C Technologies, Inc.,<br>5.50%, 09/30/27<sup>(a)</sup> | 4700 | 4401062 |
|  VMware, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 08/15/24 | 2425 | 2256454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/25 | 540 | 529530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 05/15/27<br>| 2000 | 1935824 |
|  |  | 41480759 |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** |  |  |
|  Abercrombie & Fitch Management Co.,<br>8.75%, 07/15/25<sup>(a)</sup> | $1500 | $| 1469936 |
|  Sally Holdings LLC/Sally Capital,<br>Inc., 5.63%, 12/01/25 | 25 |  | 24082 |
|  |  |  | 1494018 |
| **Technology Hardware, Storage & Peripherals — 0.2%** | **Technology Hardware, Storage & Peripherals — 0.2%** | **Technology Hardware, Storage & Peripherals — 0.2%** | **Technology Hardware, Storage & Peripherals — 0.2%** |
|  Adobe, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 02/01/25 | 175 |  | 165319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/01/27 | 490 |  | 445951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 02/01/30 | 2130 |  | 1816185 |
|  Apple, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 09/11/24 | 340 |  | 323654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 08/05/28 | 2390 |  | 2024573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 08/08/32 | 2195 |  | 1992573 |
|  Dell International LLC/EMC Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/24 | 810 |  | 796048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 07/15/25 | 2720 |  | 2748914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 07/15/27 | 4285 |  | 4402212 |
|  Fortinet, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 03/15/26 | 5000 |  | 4376373 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 03/15/31 | 2000 |  | 1539475 |
|  Western Digital Corp.,<br>4.75%, 02/15/26 | 940 |  | 885217 |
|  |  |  | 21516494 |
| **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** |  |  |
|  MGIC Investment Corp.,<br>5.25%, 08/15/28 | 4000 |  | 3688340 |
|  Nationstar Mortgage Holdings, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/27 | 1090 |  | 975550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/28 | 640 |  | 521864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 12/15/30 | 1455 |  | 1123751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/31 | 3950 |  | 3071125 |
|  PennyMac Financial Services,<br>Inc., 5.75%, 09/15/31<sup>(a)</sup> | 750 |  | 594761 |
|  Radian Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/24 | 50 |  | 48228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/15/25 | 2095 |  | 2066717 |
|  United Wholesale Mortgage LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 06/15/27 | 605 |  | 520839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/29 | 2010 |  | 1598915 |
|  |  |  | 14210090 |
| **Tobacco — 1.5%** | **Tobacco — 1.5%** |  |  |
|  Altria Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 05/06/25 | 21059 |  | 19835728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 09/16/26 | 13420 |  | 12304942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/14/29 | 70 |  | 67167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/06/30 | 265 |  | 226509 |
|  BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.22%, 08/15/24 | 9282 |  | 8937517 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.56%, 08/15/27 | 11220 |  | 10250165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 03/25/28 | 2986 |  | 2478149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 04/02/30 | 4479 |  | 4100874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/19/32 | 2315 |  | 2489956 |
|  BAT International Finance PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/15/25<sup>(a)</sup> | 660 |  | 633849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.67%, 03/25/26 | 5000 |  | 4430272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/16/28 | 3020 |  | 2797007 |
|  Philip Morris International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 05/10/23 | 500 |  | 495106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/01/24 | 500 |  | 485178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/10/24 | 25 |  | 24183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/15/24 | 6630 |  | 6638764 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Tobacco (continued)** | **Tobacco (continued)** | **Tobacco (continued)** |  |
|  Philip Morris International, Inc. (continued) | Philip Morris International, Inc. (continued) | Philip Morris International, Inc. (continued) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 05/01/25 | $| 630 | $583190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 05/01/26 |  | 8000 | 7028122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 08/17/27 |  | 50 | 46320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/29 |  | 4050 | 3646806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/17/29 |  | 19710 | 19995369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 05/01/30 |  | 790 | 638880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/17/32 |  | 7800 | 7951524 |
|  Reynolds American, Inc.,<br>4.45%, 06/12/25 |  | 14757 | 14436142 |
|  Vector Group Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 11/01/26 |  | 2065 | 2049946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/01/29 |  | 7285 | 6316532 |
|  |  |  | 138888197 |
| **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** |  |
|  United Parcel Service, Inc., 4.45%, 04/01/30 |  | 1200 | 1181162 |
| **Utilities — 0.1%** | **Utilities — 0.1%** | **Utilities — 0.1%** |  |
|  American Water Capital Corp., 4.45%, 06/01/32 |  | 2055 | 1966034 |
|  Atlantica Sustainable Infrastructure PLC,<br>4.13%, 06/15/28<sup>(a)</sup> |  | 1000 | 886484 |
|  Essential Utilities, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.57%, 05/01/29 |  | 55 | 49335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/30 |  | 220 | 184522 |
|  Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28<sup>(a)</sup> |  | 490 | 439351 |
|  Solaris Midstream Holdings LLC,<br>7.63%, 04/01/26<sup>(a)</sup> |  | 595 | 591805 |
|  TransAlta Corp., 6.50%, 03/15/40 |  | 200 | 183166 |
|  Vistra Operations Co. LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/27 |  | 4100 | 3889516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/31/27 |  | 1500 | 1392140 |
|  |  |  | 9582353 |
| **Wireless Telecommunication Services — 1.1%** | **Wireless Telecommunication Services — 1.1%** | **Wireless Telecommunication Services — 1.1%** |  |
|  American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 09/15/25 |  | 515 | 464878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 07/15/27 |  | 11250 | 10417496 |
|  Crown Castle, Inc.,<br>1.35%, 07/15/25 |  | 15245 | 13868487 |
|  GLP Capital LP/GLP Financing II, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/01/23 |  | 850 | 847046 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 06/01/28 |  | 1750 | 1715927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 01/15/29 |  | 515 | 487365 |
|  Realty Income Corp.,<br>5.63%, 10/13/32 |  | 1905 | 1934771 |
|  Rogers Communications, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/27 |  | 4215 | 3899996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/32 |  | 3925 | 3387093 |
|  SBA Communications Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 02/01/29 |  | 3300 | 2743917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/27 |  | 100 | 90351 |
|  Sprint LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 09/15/23 |  | 750 | 760489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 06/15/24 |  | 1500 | 1529310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 02/15/25 |  | 500 | 516167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/01/26 |  | 25 | 26308 |
|  T-Mobile USA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/25 |  | 15900 | 15291113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 02/15/28 |  | 6900 | 5925941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 02/15/31 |  | 4975 | 4110983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/31 |  | 4760 | 4111685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 01/15/33 |  | 19025 | 18853468 |
|  Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 02/15/25<sup>(a)</sup> |  | 1500 | 1451839 |

---

S C H E D U L E O F I N V E S T M E N T S 29

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Par<br> (000)* | *Value* | *Value* |
| **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** |
|  VICI Properties LP/VICI Note Co., Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/01/24 | $| 1050 | $| 1039773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/25 |  | 8410 |  | 8063087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/27 |  | 615 |  | 558263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/29 |  | 100 |  | 91000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/30 |  | 300 |  | 262550 |
|  Vmed O2 U.K. Financing I PLC<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/31/31 |  | 900 |  | 728563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/31 |  | 6300 |  | 5117805 |
|  |  |  |  | 108295671 |
|  **Total Corporate Bonds — 43.9%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $4,455,139,644)** | **Total Corporate Bonds — 43.9%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $4,455,139,644)** | **Total Corporate Bonds — 43.9%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $4,455,139,644)** |  | 4167543785 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations<sup>(b)</sup> — 14.8%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 14.8%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 14.8%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 14.8%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 14.8%** |
|  Connecticut Avenue Securities Trust<sup>(a)</sup><br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2020, Class 2M2, (1 mo. LIBOR US + 2.00%),<br>6.39%, 01/25/40 |  | 75967 |  | 74820538 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-R07, Class 1M2C,<br>(1 mo. LIBOR US + 2.40%), 6.79%, 04/25/31 |  | 1866 |  | 1855267 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HRP1,<br>(1 mo. LIBOR US + 2.15%), 6.54%, 11/25/39 |  | 17926 |  | 17519101 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HRP1, Class M2,<br>(1 mo. LIBOR US + 2.15%), 6.54%, 11/25/39 |  | 40312 |  | 39399906 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R01, Class 2M2,<br>(1 mo. LIBOR US + 2.45%), 6.84%, 07/25/31 |  | 23140 |  | 23081467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R01, Class 2M2C,<br>(1 mo. LIBOR US + 2.45%), 6.84%, 07/25/31 |  | 6132 |  | 6133976 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R02, Class 1M2,<br>(1 mo. LIBOR US + 2.30%), 6.69%, 08/25/31 |  | 1711 |  | 1709281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R03, Class 1M2,<br>(1 mo. LIBOR US + 2.15%), 6.54%, 09/25/31 |  | 1631 |  | 1627229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R06, Class 2M2,<br>(1 mo. LIBOR US + 2.10%), 6.49%, 09/25/39 |  | 2160 |  | 2157115 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R06, Class 2M2C,<br>(1 mo. LIBOR US + 2.10%), 6.49%, 09/25/39 |  | 556 |  | 556103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R07, Class 1M2,<br>(1 mo. LIBOR US + 2.10%), 6.49%, 10/25/39 |  | 15883 |  | 15843810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R07, Class 1M2,<br>(1 mo. LIBOR US + 2.40%), 6.79%, 04/25/31 |  | 14576 |  | 14539617 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1M2,<br>(1 mo. LIBOR US + 2.05%), 6.44%, 01/25/40 |  | 46010 |  | 45692805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 1M2,<br>(1 mo. LIBOR US + 3.65%), 8.04%, 02/25/40 |  | 30015 |  | 29643379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 2M2,<br>(1 mo. LIBOR US + 3.65%), 8.04%, 02/25/40 |  | 16367 |  | 16454750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1B1,<br>(30 day SOFR + 3.10%), 7.03%, 10/25/41 |  | 5960 |  | 5601345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1B1,<br>(30 day SOFR + 2.75%), 6.68%, 12/25/41 |  | 8360 |  | 7712100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1B1,<br>(30 day SOFR + 3.15%), 7.08%, 12/25/41 |  | 7900 |  | 7415130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1M1,<br>(30 day SOFR + 1.00%), 4.93%, 12/25/41 |  | 31148 |  | 30750614 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M1,<br>(30 day SOFR + 1.20%), 5.13%, 01/25/42 |  | 9026 |  | 8827889 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1B1,<br>(30 day SOFR + 5.25%), 9.18%, 03/25/42 |  | 7350 |  | 7350031 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Connecticut Avenue Securities Trust<sup>(a)</sup> (continued) | Connecticut Avenue Securities Trust<sup>(a)</sup> (continued) | Connecticut Avenue Securities Trust<sup>(a)</sup> (continued) |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M1, (30 day SOFR + 2.00%), 5.93%, 03/25/42 | $20960 | $20885769 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class M1, (30 day SOFR + 1.90%), 5.83%, 04/25/42 | 39008 | 38638398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M1, (30 day SOFR + 2.75%), 6.68%, 05/25/42 | 17066 | 17278289 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M1, (30 day SOFR + 2.95%), 6.89%, 06/25/42 | 78279 | 78969908 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M1, (30 day SOFR + 2.55%), 6.48%, 07/25/42 | 15317 | 15364764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2M, Class 2C, (1 mo. LIBOR US + 2.00%), 6.39%, 01/25/40 | 6471 | 6373469 |
|  Fannie Mae Connecticut Avenue Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C01, Class M2, (1 mo. LIBOR US + 4.40%), 8.79%, 01/25/24 | 3421 | 3511349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C01, Class 1M2C, (1 mo. LIBOR US + 3.55%), 7.94%, 07/25/29 | 3350 | 3364921 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C03, Class 1M2C, (1 mo. LIBOR US + 3.00%), 7.39%, 10/25/29 | 2118 | 2132560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C05, Class 1EB3, (1 mo. LIBOR US + 1.20%), 5.59%, 01/25/30 | 4300 | 4288017 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C06, Class 1M2C, (1 mo. LIBOR US + 2.65%), 7.04%, 02/25/30 | 5179 | 5072716 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C06, Class 2B1, (1 mo. LIBOR US + 4.45%), 8.84%, 02/25/30 | 5710 | 5900617 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C06, Class 2M2C, (1 mo. LIBOR US + 2.80%), 7.19%, 02/25/30 | 3642 | 3662850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C07, Class 1M2C, (1 mo. LIBOR US + 2.40%), 6.79%, 05/25/30 | 11672 | 11474117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C07, Class 2B1, (1 mo. LIBOR US + 4.45%), 8.84%, 05/25/30 | 6008 | 6190266 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C01, Class 1ED2, (1 mo. LIBOR US + 0.85%), 5.24%, 07/25/30 | 343 | 340629 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C01, Class 1M2, (1 mo. LIBOR US + 2.25%), 6.64%, 07/25/30 | 1041 | 1030144 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C01, Class 1M2C, (1 mo. LIBOR US + 2.25%), 6.64%, 07/25/30 | 5420 | 5387482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C02, Class 2M2, (1 mo. LIBOR US + 2.20%), 6.59%, 08/25/30 | 1750 | 1727627 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C03, Class 1B1, (1 mo. LIBOR US + 3.75%), 8.14%, 10/25/30 | 30822 | 31128845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C03, Class 1M2C, (1 mo. LIBOR US + 2.15%), 6.54%, 10/25/30 | 1537 | 1560284 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2M1, (30 day SOFR + 0.90%), 4.83%, 11/25/41<sup>(a)</sup> | 4684 | 4598579 |
|  Freddie Mac STACR REMIC Trust<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (30 day SOFR + 2.30%),<br>6.23%, 08/25/42 | 41529 | 41480829 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA1, Class B1, (1 mo. LIBOR US + 2.30%), 6.69%, 01/25/50 | 3000 | 2828833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA1, Class M2, (1 mo. LIBOR US + 1.70%), 6.09%, 01/25/50 | 9308 | 9278739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA2, Class M2, (1 mo. LIBOR US + 1.85%), 6.24%, 02/25/50 | 43158 | 43063054 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA3, Class B1, (1 mo. LIBOR US + 5.10%), 9.49%, 06/25/50 | 12530 | 13054312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA4, Class B1, (1 mo. LIBOR US + 6.00%), 10.39%, 08/25/50 | 4425 | 4704843 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA5, Class M2, (30 day SOFR + 2.80%), 6.73%, 10/25/50 | 10159 | 10239075 |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Freddie Mac STACR REMIC Trust<sup>(a)</sup> (continued) | Freddie Mac STACR REMIC Trust<sup>(a)</sup> (continued) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA6, Class M2,<br>(30 day SOFR + 2.00%), 5.93%, 12/25/50 | $14498 | $14397319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA1, Class B1,<br>(1 mo. LIBOR US + 2.35%), 6.74%, 01/25/50 | 7825 | 7267352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA2, Class M2,<br>(1 mo. LIBOR US + 3.10%), 7.49%, 03/25/50 | 86299 | 87495633 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA3, Class B1,<br>(1 mo. LIBOR US + 5.75%), 10.14%, 07/25/50 | 17007 | 17391833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA4, Class M2,<br>(1 mo. LIBOR US + 3.15%), 7.54%, 09/25/50 | 230 | 230493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA1, Class M2,<br>(30 day SOFR + 1.80%), 5.73%, 01/25/51 | 19804 | 19333204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class M2,<br>(30 day SOFR + 1.65%), 5.58%, 01/25/34 | 6223 | 6137216 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class B1,<br>(30 day SOFR + 3.40%), 7.33%, 10/25/41 | 13250 | 12350333 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M1,<br>(30 day SOFR + 0.80%), 4.73%, 10/25/41 | 3762 | 3713016 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class B1,<br>(30 day SOFR + 3.65%), 7.58%, 11/25/41 | 24636 | 22881905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class M1,<br>(30 day SOFR + 0.85%), 4.78%, 11/25/41 | 44164 | 43401116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class M1,<br>(30 day SOFR + 0.70%), 4.63%, 08/25/33 | 1133 | 1126849 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA3, Class M1,<br>(30 day SOFR + 0.85%), 4.78%, 09/25/41 | 23221 | 22168593 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M1A,<br>(30 day SOFR + 1.00%), 4.93%, 01/25/42 | 7826 | 7625526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M1A,<br>(30 day SOFR + 1.30%), 5.23%, 02/25/42 | 4454 | 4380610 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M1A,<br>(30 day SOFR + 2.00%), 5.93%, 04/25/42 | 6248 | 6216622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M1A,<br>(30 day SOFR + 2.20%), 6.13%, 05/25/42 | 2043 | 2036320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1A,<br>(30 day SOFR + 2.95%), 6.88%, 06/25/42 | 58901 | 59592777 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA6, Class M1A,<br>(30 day SOFR + 2.15%), 6.08%, 09/25/42 | 17457 | 17467892 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class M1A,<br>(30 day SOFR + 2.10%), 6.03%, 03/25/42 | 59262 | 58503718 |
|  Freddie Mac STACR Trust<sup>(a)</sup><br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HQA2, Class M2, (1 mo. LIBOR US + 2.30%), 6.69%, 10/25/48 | 21459 | 20920684 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA2, Class M2, (1 mo. LIBOR US + 2.45%), 6.84%, 03/25/49 | 9541 | 9444985 |
|  Freddie Mac Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-DN2, Class M2,<br>(1 mo. LIBOR US + 4.25%), 8.64%, 11/25/23 | 524 | 530704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-DN2, Class M3,<br>(1 mo. LIBOR US + 3.60%), 7.99%, 04/25/24 | 25633 | 25932246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-HQA2, Class M3,<br>(1 mo. LIBOR US + 5.15%), 9.54%, 11/25/28 | 6924 | 7158817 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-HQA1, Class B1,<br>(1 mo. LIBOR US + 5.00%), 9.39%, 08/25/29 | 3790 | 3979386 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-HQA1, Class M2,<br>(1 mo. LIBOR US + 3.55%), 7.94%, 08/25/29 | 6208 | 6410260 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Freddie Mac Structured Agency Credit Risk Debt Notes (continued) | Freddie Mac Structured Agency Credit Risk Debt Notes (continued) | Freddie Mac Structured Agency Credit Risk Debt Notes (continued) |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-HQA3, Class M2,<br>(1 mo. LIBOR US + 2.35%), 6.74%, 04/25/30 | 5675 | 5694194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HQA1, Class B1,<br>(1 mo. LIBOR US + 4.35%), 8.74%, 09/25/30 | 8820 | 9094695 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HQA1, Class M2,<br>(1 mo. LIBOR US + 2.30%), 6.69%, 09/25/30 | 78632 | 78903753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SPI1, Class M2, 3.78%, 02/25/48<sup>(a)</sup>. | 45 | 41977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SPI2, Class M2, 3.84%, 05/25/48<sup>(a)</sup>. | 63 | 59244 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA5, Class M2,<br>(30 day SOFR + 2.60%), 6.53%, 11/25/50<sup>(a)</sup> | 6552 | 6538651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA2, Class M1,<br>30 day SOFR + 0.80%), 4.73%, 08/25/33<sup>(a)</sup> | 1385 | 1381159 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA2, Class M1A,<br>(30 day SOFR + 2.65%), 6.58%, 07/25/42<sup>(a)</sup> | 45487 | 45712608 |
|  STACR Trust<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-DNA3, Class M2A,<br>(1 mo. LIBOR US + 2.10%), 6.49%, 09/25/48 | 1312 | 1314428 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HRP1, Class M2,<br>(1 mo. LIBOR US + 1.65%), 6.04%, 04/25/43 | 2282 | 2278589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HRP2, Class M3,<br>(1 mo. LIBOR US + 2.40%), 6.79%, 02/25/47 | 11503 | 11184679 |
|  |  | 1402522124 |
|  **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** |
|  CFCRE Commercial Mortgage Trust,<br>Series 2016- C4, Class AM, 3.69%, 05/10/58 | 160 | 146683 |
|  **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** |
|  Multifamily Connecticut Avenue Securities Trust,<br>Series 2020-01, Class M10, (1 mo. LIBOR US + 3.75%), 8.14%, 03/25/50<sup>(a)(b)</sup> | 5000 | 4617719 |
|  **Total Non-Agency Mortgage-Backed Securities — 14.9%** | **Total Non-Agency Mortgage-Backed Securities — 14.9%** | **Total Non-Agency Mortgage-Backed Securities — 14.9%** |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,413,669,235)** | &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $1,413,669,235)** | 1407286526 |
| **Preferred Securities** | **Preferred Securities** | **Preferred Securities** |
|  **Capital Trust — 0.0%** | **Capital Trust — 0.0%** | **Capital Trust — 0.0%** |
|  **Wireless Telecommunication Services — 0.0%** | **Wireless Telecommunication Services — 0.0%** | **Wireless Telecommunication Services — 0.0%** |
|  Vodafone Group PLC,<br>7.00%, 04/04/79<sup>(b)</sup> | 200 | 201086 |
|  **Total Preferred Securities — 0.0%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $229,843)** | **Total Preferred Securities — 0.0%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $229,843)** | 201086 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
|  **Collateralized Mortgage Obligations<sup>(b)</sup> — 2.5%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 2.5%** | **Collateralized Mortgage Obligations<sup>(b)</sup> — 2.5%** |
|  Fannie Mae Connecticut Avenue Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C04, Class 1M2,<br>(1 mo. LIBOR US + 4.90%), 9.29%, 11/25/24 | 1452 | 1489662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C03, Class 1B1,<br>(1 mo. LIBOR US + 4.85%), 9.24%, 10/25/29 | 30687 | 32395828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C04, Class 2B1,<br>(1 mo. LIBOR US + 5.05%), 9.44%, 11/25/29 | 28278 | 29380121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C05, Class 1B1,<br>(1 mo. LIBOR US + 3.60%), 7.99%, 01/25/30 | 29985 | 30339090 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C02, Class 2B1,<br>(1 mo. LIBOR US + 4.00%), 8.39%, 08/25/30 | 21475 | 21841142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C04, Class 2M2,<br>(1 mo. LIBOR US + 2.55%), 6.94%, 12/25/30 | 2806 | 2774575 |

---

S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Fannie Mae Connecticut Avenue Securities (continued) | Fannie Mae Connecticut Avenue Securities (continued) | Fannie Mae Connecticut Avenue Securities (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C05, Class 1B1, (1 mo. LIBOR US + 4.25%), 8.64%, 01/25/31 | $| 4344 | $| 4484683 |
|  Freddie Mac STACR REMIC Trust<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HQA4, Class M2,<br>(1 mo. LIBOR US + 2.05%), 6.44%, 11/25/49 |  | 3430 |  | 3421584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA1, Class M2,<br>(1 mo. LIBOR US + 1.90%), 6.29%, 01/25/50 |  | 12656 |  | 12538111 |
|  Freddie Mac STACR Trust<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA4, Class M2,<br>(1 mo. LIBOR US + 1.95%), 6.34%, 10/25/49 |  | 3731 |  | 3731440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FTR2, Class M1,<br>(1 mo. LIBOR US + 0.95%), 5.34%, 11/25/48 |  | 306 |  | 302354 |
|  Freddie Mac Structured Agency Credit Risk Debt Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-DNA1, Class B1,<br>(1 mo. LIBOR US + 4.95%), 9.34%, 07/25/29 |  | 20401 |  | 21738120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-DNA2, Class B1,<br>(1 mo. LIBOR US + 5.15%), 9.54%, 10/25/29 |  | 22769 |  | 24464047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-DNA3, Class B1,<br>(1 mo. LIBOR US + 4.45%), 8.84%, 03/25/30 |  | 16801 |  | 17680281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-DNA3, Class M2,<br>(1 mo. LIBOR US + 2.50%), 6.89%, 03/25/30 |  | 952 |  | 944459 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-HQA2, Class B1,<br>(1 mo. LIBOR US + 4.75%), 9.14%, 12/25/29 |  | 6180 |  | 6426275 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-HQA3, Class B1,<br>(1 mo. LIBOR US + 4.45%), 8.84%, 04/25/30 |  | 3160 |  | 3283343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-DNA1, Class B1,<br>(1 mo. LIBOR US + 3.15%), 7.54%, 07/25/30 |  | 19661 |  | 19828984 |
|  |  |  |  | 237064099 |
| **Mortgage-Backed Securities — 37.2%** | **Mortgage-Backed Securities — 37.2%** | **Mortgage-Backed Securities — 37.2%** | **Mortgage-Backed Securities — 37.2%** | **Mortgage-Backed Securities — 37.2%** |
|  Fannie Mae Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/01/37 |  | 34940 |  | 31119366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 - 02/01/57 |  | 71 |  | 68093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/52 - 10/01/52 |  | 7987 |  | 7760839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/52 - 12/01/52 |  | 12107 |  | 12054003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/52 |  | 877 |  | 890659 |
|  Freddie Mac Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/42 - 01/01/49 |  | 92 |  | 90150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 10/01/44 - 04/01/50 |  | 15716 |  | 14551273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/46 - 02/01/47 |  | 6275 |  | 5620180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/46 - 01/01/49 |  | 47 |  | 44278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/01/52 - 11/01/52 |  | 11233 |  | 11123473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/01/52 - 12/01/52 |  | 3721 |  | 3781668 |
|  Ginnie Mae Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/20/42 - 01/23/53<sup>(d)</sup> |  | 126026 |  | 116321366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/20/45 - 01/23/53<sup>(d)</sup> |  | 137633 |  | 123140713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/20/46 - 01/23/53 |  | 163644 |  | 141778013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/20/47 - 01/23/53<sup>(d)</sup> |  | 67982 |  | 64390894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/20/48 - 01/23/53<sup>(d)</sup> |  | 35508 |  | 34464907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/20/48 - 01/23/53 |  | 13125 |  | 13016565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/20/50 - 01/23/53 |  | 184511 |  | 154873399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/20/52 - 01/23/53 |  | 1300 |  | 1307673 |
|  Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, (1 mo. LIBOR US + 3.25%), 7.64%, 10/25/49<sup>(a)(b)</sup> |  | 17643 |  | 16565081 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
|  Uniform Mortgage-Backed Securities | Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/30 - 01/12/53<sup>(d)</sup> | $333267 | $| 297740010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/32 - 01/12/53<sup>(d)</sup> | 645162 |  | 554630053 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 - 01/12/53<sup>(d)</sup> | 918664 |  | 763111274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/01/37 - 01/12/53 | 62280 |  | 50894389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/17/38 - 07/01/52<sup>(d)</sup> | 197614 |  | 182449284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/17/38 - 01/12/53<sup>(d)</sup> | 830686 |  | 780541421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/17/38 - 01/12/53<sup>(d)</sup> | 96289 |  | 92888568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/41 - 01/12/53<sup>(d)</sup> | 32546 |  | 32070863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/12/53<sup>(d)</sup> | 23350 |  | 23407595 |
|  |  |  | 3530696050 |
|  **Total U.S. Government Sponsored Agency Securities — 39.7%<br>(Cost: $4,010,596,008)** | **Total U.S. Government Sponsored Agency Securities — 39.7%<br>(Cost: $4,010,596,008)** |  | 3767760149 |
| **Total Long-Term Investments — 102.2%<br> (Cost: $10,211,373,584)** | **Total Long-Term Investments — 102.2%<br> (Cost: $10,211,373,584)** | 9692120700 | 9692120700 |
|  | *Shares* |  |  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
|  **Money Market Funds — 4.0%** |  |  |  |
|  BlackRock Liquidity Funds,<br>T-Fund, Institutional<br>Class, 4.03%<sup>(e)(f)</sup> | 376612442 |  | 376612442 |
|  | *Par*<br> *(000)* |  |  |
|  **U.S. Treasury Obligations — 12.3%** | **U.S. Treasury Obligations — 12.3%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills<sup>(g)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.64%, 01/26/23 | $190000 |  | 189528950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 02/28/23 | 560000 |  | 556265656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 03/02/23 | 150000 |  | 148975605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.29%, 03/09/23 | 275000 |  | 272893110 |
|  |  |  | 1167663321 |
|  **Total Short-Term Securities — 16.3%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $1,543,940,757)** | **Total Short-Term Securities — 16.3%**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost: $1,543,940,757)** |  | 1544275763 |
|  **Total Investments Before TBA Sale Commitments — 118.5%** | **Total Investments Before TBA Sale Commitments — 118.5%** | **Total Investments Before TBA Sale Commitments — 118.5%** | **Total Investments Before TBA Sale Commitments — 118.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $11,755,314,341)** | &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $11,755,314,341)** |  | 11236396463 |
|  **TBA Sale Commitments<sup>(d)</sup>** |  |  |  |
|  **Mortgage-Backed Securities — (5.8)%** | **Mortgage-Backed Securities — (5.8)%** |  |  |
|  Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/23/53 | (9969) |  | (9157675) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/23/53 | (100) |  | (99073) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/23/53 | (650) |  | (653635) |
|  Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/12/53 | (5000) |  | (4067301) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/12/53 | (590625) |  | (499972514) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/12/53 | (25528) |  | (23936583) |

---

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* |
|  **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
|  Uniform Mortgage-Backed Securities (continued) | Uniform Mortgage-Backed Securities (continued) | Uniform Mortgage-Backed Securities (continued) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/12/53 | $| &nbsp;&nbsp;&nbsp;&nbsp;(3607) | $(3553694) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/12/53 |  | (4598) | (4609341) |
|  **Total TBA Sale Commitments — (5.8)%<br>(Proceeds: $(560058466))** | **Total TBA Sale Commitments — (5.8)%<br>(Proceeds: $(560058466))** | **Total TBA Sale Commitments — (5.8)%<br>(Proceeds: $(560058466))** | (546049816) |
|  **Total Investments, Net of TBA Sale<br>Commitments — 112.7%<br>(Cost: $11,195,255,875)** | **Total Investments, Net of TBA Sale<br>Commitments — 112.7%<br>(Cost: $11,195,255,875)** | **Total Investments, Net of TBA Sale<br>Commitments — 112.7%<br>(Cost: $11,195,255,875)** | 10690346647 |
|  **Liabilities in Excess of Other Assets — (12.7)%** | **Liabilities in Excess of Other Assets — (12.7)%** | **Liabilities in Excess of Other Assets — (12.7)%** | (1204455821) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $9485890826 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(c)</sup> Perpetual security with no stated maturity date.

<sup>(d)</sup> Represents or includes a TBA transaction.

<sup>(e)</sup> Affiliate of the Fund.

<sup>(f)</sup> Annualized 7-day yield as of period end.

<sup>(g)</sup> Rates are discount rates or a range of discount rates as of period end.

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

**Affiliates** 

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Liquid Environmentally Aware Fund<sup>(a)</sup> | $150039454 | $— | $(150013506)<sup>(b)</sup> | $(130872) | $104924 | $— |  | $160505 | $— |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class | 1979641442 |  | (1603029000)<sup>(b)</sup> |  |  | 376612442 | 376612442 | 2844389 |  |
|  |  |  |  | $(130872) | $104924 | $376612442 |  | $3004894 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Canadian Bond | 1817 | 03/22/23 | $164456 | $(5926473) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 373 | 03/22/23 | 49807 | (4655550) |
|  |  |  |  | (10582023) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro BTP | 506 | 03/08/23 | 58996 | 4925785 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Bund | 2416 | 03/08/23 | 343784 | 23870497 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro OAT | 1531 | 03/08/23 | 208627 | 16231656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Australian Treasury Bonds | 993 | 03/15/23 | 78210 | 2699031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 322 | 03/22/23 | 36109 | 610322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | 2866 | 03/22/23 | 337875 | 3109487 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 4133 | 03/22/23 | 515333 | 6147424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long Gilt | 314 | 03/29/23 | 37923 | 2157644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | 823 | 03/31/23 | 168715 | (116848) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | 12958 | 03/31/23 | 1397237 | 1194468 |
|  |  |  |  | 60829466 |
|  |  |  |  | $50247443 |

---

S C H E D U L E O F I N V E S T M E N T S 33

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| USD | 716967 | CAD | 970000 | Deutsche Bank AG | 03/15/23 | $169 |
| USD | 495238 | CAD | 670000 | HSBC Bank PLC | 03/15/23 | 131 |
| USD | 5585300 | GBP | 4530000 | State Street Bank and Trust Co. | 03/15/23 | 99231 |
| USD | 18676511 | HKD | 145400000 | Societe Generale | 03/15/23 | 23793 |
| USD | 1279842 | NZD | 2000000 | Citibank N.A. | 03/15/23 | 9033 |
| USD | 7930050 | SEK | 81340000 | Deutsche Bank AG | 03/15/23 | 103894 |
|  |  |  |  |  |  | 236251 |
| USD | 2738283 | AUD | 4030000 | Bank of America N.A. | 03/15/23 | (13288) |
| USD | 885987 | AUD | 1320000 | HSBC Bank PLC | 03/15/23 | (15272) |
| USD | 1524147 | CAD | 2070000 | BNP Paribas SA | 03/15/23 | (5513) |
| USD | 538654 | CAD | 730000 | Deutsche Bank AG | 03/15/23 | (792) |
| USD | 844631 | CAD | 1150000 | Deutsche Bank AG | 03/15/23 | (5180) |
| USD | 581265 | CAD | 790000 | Royal Bank of Canada | 03/15/23 | (2518) |
| USD | 1759945 | EUR | 1640000 | Morgan Stanley & Co. International PLC | 03/15/23 | (4013) |
| USD | 3822016 | EUR | 3600000 | Societe Generale | 03/15/23 | (50086) |
|  |  |  |  |  |  | (96662) |
|  |  |  |  |  |  | $139589 |

---

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate Paid<br>by the Fund* | *Payment<br>Frequency* | *Termination<br>Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium*<br> *Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.NA.HY.39.V1 | 5.00% | Quarterly | 12/20/27 | USD | 300900 | $&nbsp;&nbsp;&nbsp;&nbsp;(2253932) | $&nbsp;&nbsp;&nbsp;&nbsp;1934835 | $&nbsp;&nbsp;&nbsp;&nbsp;(4188767) |

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate Received<br>by the Fund* | *Payment<br>Frequency* | *Termination<br>Date* | *Credit<br>Rating<sup>(a)</sup>* | *Notional*<br> *Amount (000)<sup>(b)</sup>* | *Notional*<br> *Amount (000)<sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.NA.IG.39.V1 | 1.00% | Quarterly | 12/20/27 | BBB+ | USD | 327000 | $&nbsp;&nbsp;&nbsp;&nbsp;2715075 | $&nbsp;&nbsp;&nbsp;&nbsp;469868 | $&nbsp;&nbsp;&nbsp;&nbsp;2245207 |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. 

**Centrally Cleared Inflation Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 2.05% | Monthly | Eurostat Eurozone<br>HICP Ex Tobacco Unrevised | Monthly | 02/15/32 | EUR | 22710 | $&nbsp;&nbsp;&nbsp;&nbsp;2637590 | $&nbsp;&nbsp;&nbsp;&nbsp;34939 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2602651 |
| 2.74% | Monthly | Eurostat Eurozone<br>HICP Ex Tobacco Unrevised | Monthly | 06/15/32 | EUR | 25200 | 299128 | 562 | 298566 |
|  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;2936718 | $&nbsp;&nbsp;&nbsp;&nbsp;35501 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2901217 |

---

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium*<br> *Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium*<br> *Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| 8.24% | Monthly | 1-Month MXIBOR, 10.77% | Monthly | N/A | 03/08/28 | MXN | 127630 | $&nbsp;&nbsp;&nbsp;&nbsp;117778 | $59 | $117719 |
| 8.30% | Monthly | 1-Month MXIBOR, 10.77% | Monthly | N/A | 03/08/28 | MXN | 158070 | 126801 | 73 | 126728 |

---

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**Centrally Cleared Interest Rate Swaps (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| 8.91% | Monthly | 1-Month MXIBOR, 10.77% | Monthly | N/A | 03/08/28 | MXN | 58350 | $(25336) | $26 | $(25362) |
| 9.00% | Monthly | 1-Month MXIBOR, 10.77% | Monthly | N/A | 03/08/28 | MXN | 573670 | (352888) | 255 | (353143) |
| 9.07% | Monthly | 1-Month MXIBOR, 10.77% | Monthly | N/A | 03/08/28 | MXN | 369990 | (275944) | 165 | (276109) |
| 3-Month KRW CDC, 3.98% | Quarterly | 0.00% | Quarterly | N/A | 03/15/28 | KRW | 4470890 | 24962 | 38 | 24924 |
| 1-Day SSARON, 0.94% | Annual | 1.41% | Annual | N/A | 03/15/28 | CHF | 14590 | (367090) | 26523 | (393613) |
| 1-Day SSARON, 0.94% | Annual | 1.54% | Annual | N/A | 03/15/28 | CHF | 20960 | (395814) | 248 | (396062) |
| 1-Day SSARON, 0.94% | Annual | 1.56% | Annual | N/A | 03/15/28 | CHF | 18440 | (322239) | 52976 | (375215) |
| 1-Day SSARON, 0.94% | Annual | 1.59% | Annual | N/A | 03/15/28 | CHF | 20610 | (326549) | 11255 | (337804) |
| 1-Day SSARON, 0.94% | Annual | 1.70% | Annual | N/A | 03/15/28 | CHF | 13850 | (145129) | 167 | (145296) |
| 1-Day SSARON, 0.94% | Annual | 1.71% | Annual | N/A | 03/15/28 | CHF | 6720 | (65710) | 75 | (65785) |
| 1-Day SSARON, 0.94% | Annual | 1.73% | Annual | N/A | 03/15/28 | CHF | 20120 | (172821) | 71242 | (244063) |
| 1-Day SSARON, 0.94% | Annual | 1.73% | Annual | N/A | 03/15/28 | CHF | 4690 | (42453) | 52 | (42505) |
| 1-Day SSARON, 0.94% | Annual | 2.06% | Annual | N/A | 03/15/28 | CHF | 26570 | 225465 | 298 | 225167 |
| 1-Day SSARON, 0.94% | Annual | 2.06% | Annual | N/A | 03/15/28 | CHF | 23450 | 190474 | 264 | 190210 |
| 1-Day SSARON, 0.94% | Annual | 2.10% | Annual | N/A | 03/15/28 | CHF | 16680 | 169236 | 189 | 169047 |
| 1-Day THOR, 1.25% | Quarterly | 2.21% | Quarterly | N/A | 03/15/28 | THB | 712010 | (45443) | 227 | (45670) |
| 1-Day THOR, 1.25% | Quarterly | 2.24% | Quarterly | N/A | 03/15/28 | THB | 284920 | (6869) | 90 | (6959) |
| 1-Day THOR, 1.25% | Quarterly | 2.26% | Quarterly | N/A | 03/15/28 | THB | 284920 | 3860 | 90 | 3770 |
| 2.92% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 12200 | 76211 | 101 | 76110 |
| 2.92% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 12200 | 77468 | 101 | 77367 |
| 3.01% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 89550 | 279580 | 715 | 278865 |
| 3.03% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 6300 | 15126 | 52 | 15074 |
| 6-Month EURIBOR, 2.69% | Semi-Annual | 3.04% | Annual | N/A | 03/15/28 | EUR | 7300 | (82695) | 86 | (82781) |
| 3.11% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 167790 | 130460 | 15831 | 114629 |
| 3.19% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 79560 | 36182 | 79 | 36103 |
| 3.20% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 53450 | 20584 | 54 | 20530 |
| 3.23% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 113080 | 29574 | (20626) | 50200 |
| 3.24% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 30850 | (147326) | 244 | (147570) |
|  |  | 3-Month Canada Bank |  |  |  |  |  |  |  |  |
| 3.26% | Semi-Annual | Acceptance, 4.94% | Semi-Annual | N/A | 03/15/28 | CAD | 42980 | 589022 | 6052 | 582970 |
| 3.29% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 203550 | 5692 | 203 | 5489 |
| 1-Day SOFR, 4.32% | Annual | 3.37% | Annual | N/A | 03/15/28 | USD | 14400 | (211780) | 2498 | (214278) |
| 3.38% | Annual | 3-Month STIBOR, 2.70% | Quarterly | N/A | 03/15/28 | SEK | 64990 | (24931) | 65 | (24996) |
| 3.38% | Annual | 6-Month NIBOR, 3.51% | Semi-Annual | N/A | 03/15/28 | NOK | 109900 | (74412) | 30862 | (105274) |
| 1-Day SOFR, 4.32% | Annual | 3.43% | Annual | N/A | 03/15/28 | USD | 14210 | (171506) | 158 | (171664) |
| 3.43% | Annual | 6-Month NIBOR, 3.51% | Semi-Annual | N/A | 03/15/28 | NOK | 84730 | (77163) | 7284 | (84447) |
| 3.51% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 20280 | (282778) | 157 | (282935) |
| 1-Day SOFR, 4.32% | Annual | 3.53% | Annual | N/A | 03/15/28 | USD | 15980 | (120617) | 178 | (120795) |
| 3.53% | Semi-Annual | 1-Day SORA, 2.53% | Semi-Annual | N/A | 03/15/28 | SGD | 27710 | (409215) | 215 | (409430) |
|  |  | 3-Month Canada Bank |  |  |  |  |  |  |  |  |
| 3.57% | Semi-Annual | Acceptance, 4.94% | Semi-Annual | N/A | 03/15/28 | CAD | 20420 | 66145 | (6198) | 72343 |
| 3.57% | Annual | 6-Month NIBOR, 3.51% | Semi-Annual | N/A | 03/15/28 | NOK | 72650 | (115511) | 5142 | (120653) |
|  |  | 3-Month Canada Bank |  |  |  |  |  |  |  |  |
| 3.58% | Semi-Annual | Acceptance, 4.94% | Semi-Annual | N/A | 03/15/28 | CAD | 28440 | 86927 | 11918 | 75009 |
|  |  | 3-Month Canada Bank |  |  |  |  |  |  |  |  |
| 3.60% | Semi-Annual | Acceptance, 4.94% | Semi-Annual | N/A | 03/15/28 | CAD | 12980 | 31640 | (32729) | 64369 |
| 1-Day SOFR, 4.32% | Annual | 3.65% | Annual | N/A | 03/15/28 | USD | 38220 | (80606) | 426 | (81032) |
| 3.69% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 145220 | 242200 | 208 | 241992 |
| 1-Day SONIA, 3.43% | Annual | 3.70% | Annual | N/A | 03/15/28 | GBP | 4230 | (86913) | 3887 | (90800) |
| 3.70% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 87140 | 142819 | 125 | 142694 |
| 3.71% | Annual | 6-Month NIBOR, 3.51% | Semi-Annual | N/A | 03/15/28 | NOK | 78780 | (177104) | 4090 | (181194) |
| 3.72% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 71867 | 109491 | 103 | 109388 |
| 3.72% | Annual | 6-Month NIBOR, 3.51% | Semi-Annual | N/A | 03/15/28 | NOK | 24120 | (55369) | 26 | (55395) |
| 1-Day SOFR, 4.32% | Annual | 3.73% | Annual | N/A | 03/15/28 | USD | 10770 | 18026 | 120 | 17906 |
| 1-Day SONIA, 3.43% | Annual | 3.75% | Annual | N/A | 03/15/28 | GBP | 9590 | (168407) | 128 | (168535) |
| 3.75% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 37023 | 49993 | 53 | 49940 |
| 3.78% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 68045 | 80101 | 97 | 80004 |
| 1-Day SOFR, 4.32% | Annual | 3.79% | Annual | N/A | 03/15/28 | USD | 17110 | 73828 | 191 | 73637 |
| 3.79% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 68045 | 75192 | 97 | 75095 |
| 3.80% | Quarterly | 3-Month HIBOR, 4.99% | Quarterly | N/A | 03/15/28 | HKD | 113570 | 120583 | 163 | 120420 |
| 1-Day SONIA, 3.43% | Annual | 3.90% | Annual | N/A | 03/15/28 | GBP | 5120 | (50365) | 69 | (50434) |

---

S C H E D U L E O F I N V E S T M E N T S 35

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**Centrally Cleared Interest Rate Swaps (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 6-Month BBSW, 3.77% | Semi-Annual | 3.97% | Semi-Annual | N/A | 03/15/28 | AUD | 27900 | $(287112) | $209 | $(287321) |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.00% | Semi-Annual | N/A | 03/15/28 | AUD | 13830 | (127649) | 104 | (127753) |
| 1-Day SONIA, 3.43% | Annual | 4.01% | Annual | N/A | 03/15/28 | GBP | 6420 | (25324) | 87 | (25411) |
| 1-Day SOFR, 4.32% | Annual | 4.03% | Annual | N/A | 03/15/28 | USD | 19280 | 289898 | 215 | 289683 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.20% | Semi-Annual | N/A | 03/15/28 | AUD | 29420 | (95863) | 217 | (96080) |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.24% | Semi-Annual | N/A | 03/15/28 | AUD | 17190 | (36212) | 128 | (36340) |
| 4.32% | Semi-Annual | 3-Month BBR, 0.85% | Quarterly | N/A | 03/15/28 | NZD | 20040 | 298959 | 142 | 298817 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.38% | Semi-Annual | N/A | 03/15/28 | AUD | 10690 | 23817 | 75 | 23742 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.39% | Semi-Annual | N/A | 03/15/28 | AUD | 12680 | 33248 | 89 | 33159 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.42% | Semi-Annual | N/A | 03/15/28 | AUD | 7872 | 27559 | 55 | 27504 |
| 4.43% | Semi-Annual | 3-Month BBR, 0.85% | Quarterly | N/A | 03/15/28 | NZD | 18810 | 223375 | 132 | 223243 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.43% | Semi-Annual | N/A | 03/15/28 | AUD | 7494 | 28282 | 53 | 28229 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.44% | Semi-Annual | N/A | 03/15/28 | AUD | 7872 | 31735 | 55 | 31680 |
| 1-Day SONIA, 3.43% | Annual | 4.50% | Annual | N/A | 03/15/28 | GBP | 22130 | 492451 | 277 | 492174 |
| 6-Month BBSW, 3.77% | Semi-Annual | 4.50% | Semi-Annual | N/A | 03/15/28 | AUD | 9262 | 53486 | 65 | 53421 |
| 4.52% | Semi-Annual | 3-Month BBR, 0.85% | Quarterly | N/A | 03/15/28 | NZD | 8140 | 77526 | 56 | 77470 |
| 6-Month PRIBOR, 2.13% | Semi-Annual | 4.71% | Annual | N/A | 03/15/28 | CZK | 143690 | (110044) | 70 | (110114) |
| 6-Month PRIBOR, 2.13% | Semi-Annual | 4.91% | Annual | N/A | 03/15/28 | CZK | 182940 | (68934) | 89 | (69023) |
| 5.34% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 48010 | 334562 | 120 | 334442 |
| 6-Month PRIBOR, 2.13% | Semi-Annual | 5.68% | Annual | N/A | 03/15/28 | CZK | 182170 | 202436 | 84 | 202352 |
| 6-Month PRIBOR, 2.13% | Semi-Annual | 5.73% | Annual | N/A | 03/15/28 | CZK | 65230 | 79211 | 29 | 79182 |
| 5.94% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 43780 | 66606 | 111 | 66495 |
| 6.03% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 50330 | 32798 | 127 | 32671 |
| 6.21% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 104460 | (104066) | 255 | (104321) |
| 7.54% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 30540 | (400885) | 70 | (400955) |
| 7.63% | Annual | 6-Month WIBOR, 7.14% | Semi-Annual | N/A | 03/15/28 | PLN | 67230 | (940970) | 154 | (941124) |
| 3-Month JIBAR, 7.26% | Quarterly | 8.21% | Quarterly | N/A | 03/15/28 | ZAR | 191450 | (76609) | 124 | (76733) |
| 3-Month JIBAR, 7.26% | Quarterly | 8.65% | Quarterly | N/A | 03/15/28 | ZAR | 312060 | 203364 | 198 | 203166 |
| 3-Month JIBAR, 7.26% | Quarterly | 8.74% | Quarterly | N/A | 03/15/28 | ZAR | 379940 | 324107 | 241 | 323866 |
|  |  |  |  |  |  |  |  | $(1115811) | $200168 | $(1315979) |

---

**OTC Total Return Swaps** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Payment<br>Frequency* | *Counterparty<sup>(a)</sup>* | *Termination<br>Date* | *Net Notional* | *Accrued<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Net Value of<br>Reference<br>Entity* | *Gross<br>Notional<br>Amount<br>Net Asset<br>Percentage* |
|  Equity Securities Long/Short | Monthly | Barclays Bank PLC<sup>(b)</sup> | 01/24/24 | $197254071 | $(1037513)<sup>(c)</sup> | $196171146 | 15.4% |
|  | Monthly | Barclays Bank PLC<sup>(d)</sup> | 01/24/24 | (14101311) | (343337)<sup>(e)</sup> | (13785555) | 14.1 |
|  | Monthly | BNP Paribas SA<sup>(f)</sup> | 04/29/24 | (82735146) | (1429951)<sup>(g)</sup> | (84509629) | 15.1 |
|  | Monthly | BNP Paribas SA<sup>(h)</sup> | 04/29/24 | 13496921 | 8173377 <sup>(i)</sup> | 22817822 | 14.4 |
|  | Monthly | Citibank N.A.<sup>(j)</sup> | 02/24/23 | 74285919 | 2667742 <sup>(k)</sup> | 77200967 | 3.6 |
|  | Monthly | Citibank N.A.<sup>(l)</sup> | 02/24/23 | (28795765) | (816738)<sup>(m)</sup> | (29646730) | 3.7 |
|  | Monthly | Goldman Sachs Bank USA<sup>(n)</sup> | 02/27/23 | 14327170 | (3205275)<sup>(o)</sup> | 11962489 | 3.1 |
|  | Monthly | Goldman Sachs Bank USA<sup>(p)</sup> | 02/27/23 | (43485319) | 607050 <sup>(q)</sup> | (42825925) | 3.9 |
|  | Monthly | HSBC Bank PLC<sup>(r)</sup> | 02/10/23 | (9781802) | (547254)<sup>(s)</sup> | (10554782) | 2.3 |
|  | Monthly | HSBC Bank PLC<sup>(t)</sup> | 02/10/23 | (53852107) | 3640962 <sup>(u)</sup> | (49662527) | 3.1 |
|  | Monthly | Bank of America N.A.<sup>(v)</sup> | 02/15/23 | (51036751) | (2422689)<sup>(w)</sup> | (54283037) | 9.9 |
|  | Monthly | Bank of America N.A.<sup>(x)</sup> | 02/15/23 | 57206708 | (5809881)<sup>(y)</sup> | 53000023 | 8.2 |
|  |  | Morgan Stanley & Co. |  |  |  |  |  |
|  | Monthly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International PLC<sup>(z)</sup> | 10/03/23 | 6348500 | (2538324)<sup>(aa)</sup> | 4097391 | 6.3 |
|  |  | Morgan Stanley & Co. |  |  |  |  |  |
|  | Monthly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International PLC<sup>(ab)</sup> | 10/03/23 | 242304834 | (8896440)<sup>(ac)</sup> | 234711787 | 7.1 |
|  |  |  |  |  | $(11958271) | $&nbsp;&nbsp;&nbsp;&nbsp;314693440 |  |

---

<sup>(a)</sup> 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 countryand/or currency of the individual underlying positions. 

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**OTC Total Return Swaps (continued)** 

<sup>(c)</sup> Amount includes $45,412 of net dividends and financing fees. 

<sup>(e)</sup> Amount includes $(659093) of net dividends and financing fees. 

<sup>(g)</sup> Amount includes $344,532 of net dividends and financing fees. 

<sup>(i)</sup> Amount includes $(1147524) of net dividends and financing fees. 

<sup>(k)</sup> Amount includes $(247306) of net dividends and financing fees. 

<sup>(m)</sup> Amount includes $34,227 of net dividends and financing fees. 

<sup>(o)</sup> Amount includes $(840594) of net dividends and financing fees. 

<sup>(q)</sup> Amount includes $(52344) of net dividends and financing fees. 

<sup>(s)</sup> Amount includes $225,726 of net dividends and financing fees. 

<sup>(u)</sup> Amount includes $(548618) of net dividends and financing fees. 

<sup>(w)</sup> Amount includes $823,597 of net dividends and financing fees. 

<sup>(y)</sup> Amount includes $(1603196) of net dividends and financing fees. 

<sup>(aa)</sup> Amount includes $(287215) of net dividends and financing fees. 

<sup>(ac)</sup> Amount includes $(1303393) of net dividends and financing fees. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

---

| | | | |
|:---|:---|:---|:---|
|  | (b) | (d) | (f) |
| Range: | 15-20 basis points | 15-20 basis points | 15-30 basis points |
| Benchmarks:  | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |
|  | (h) | (j) | (l) |
|  | 15-30 basis points | 15-20 basis points | 15-20 basis points |
|  | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |
|  | (n) | (p) | (r) |
|  | 15-20 basis points | 15-20 basis points | 15-20 basis points |
|  | USD - 1D Overnight Fed Funds Effective Rate (FEDL01) | USD - 1D Overnight Fed Funds Effective Rate (FEDL01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |
|  | (t) | (v) | (x) |
|  | 15-20 basis points | 15-20 basis points | 20 basis points |
|  | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |
|  | (z) | (ab) |  |
|  | 15-20 basis points | 15-20 basis points |  |
|  | USD - 1D Overnight Fed Funds Effective Rate (FEDL01) | USD - 1D Overnight Fed Funds Effective Rate (FEDL01) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Barclays Bank PLC as of period end, termination date January 24, 2024:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** |  |  |
| **Common Stocks** | **Common Stocks** |  |  |
| **Air Freight & Logistics** |  |  |  |
|  C.H. Robinson Worldwide, Inc. | 344410 | $&nbsp;&nbsp;&nbsp;&nbsp;31534180 | 16.1% |
| **Biotechnology** |  |  |  |
|  Biogen, Inc. | 77627 | 21496469 | 11.0 |
| **Building Products** |  |  |  |
|  Owens Corning | 100630 | 8583739 | 4.4 |
| **Capital Markets** |  |  |  |
|  CME Group, Inc. | 69721 | 11724283 | 6.0 |
| **Chemicals** |  |  |  |
|  Albemarle Corp. | 55217 | 11974359 | 6.1 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Chemicals (continued)** |  |  |  |
|  Mosaic Co. | 278450 | $&nbsp;&nbsp;&nbsp;&nbsp;12215601 | 6.2% |
|  Nutrien Ltd. | 34303 | 2505148 | 1.3 |
|  |  | 26695108 |  |
| **Consumer Finance** |  |  |  |
|  American Express Co. | 69890 | 10326247 | 5.3 |
| **Containers & Packaging** |  |  |  |
|  Westrock Co. | 227623 | 8003225 | 4.1 |
| **Diversified Financial Services** |  |  |  |
|  Equitable Holdings, Inc. | 414127 | 11885445 | 6.0 |
|  Voya Financial, Inc. | 146048 | 8980491 | 4.6 |
|  |  | 20865936 |  |
| **Diversified Telecommunication Services** |  |  |  |
|  AT&T, Inc. | 1228408 | 22614991 | 11.5 |
| **Entertainment** |  |  |  |
|  Electronic Arts, Inc. | 216306 | 26428267 | 13.5 |
|  Live Nation Entertainment, Inc. | 403663 | 28151458 | 14.3 |
|  |  | 54579725 |  |

---

S C H E D U L E O F I N V E S T M E N T S 37

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Boston Properties, Inc. | 149963 | $10134499 | 5.2% |
|  Healthpeak Properties, Inc. | 381941 | 9575261 | 4.9 |
|  Weyerhaeuser Co. | 166716 | 5168196 | 2.6 |
|  |  | 24877956 |  |
| **Food & Staples Retailing** |  |  |  |
|  Kroger Co. | 439717 | 19602584 | 10.0 |
| **Food Products** |  |  |  |
|  Kellogg Co. | 232492 | 16562730 | 8.4 |
|  Tyson Foods, Inc., Class A | 278696 | 17348826 | 8.9 |
|  |  | 33911556 |  |
| **Gas Utilities** |  |  |  |
|  Atmos Energy Corp. | 64929 | 7276593 | 3.7 |
| **Health Care Providers & Services** |  |  |  |
|  Cigna Corp. | 92656 | 30700639 | 15.7 |
|  CVS Health Corp. | 315300 | 29382807 | 15.0 |
|  Humana, Inc. | 62165 | 31840291 | 16.2 |
|  |  | 91923737 |  |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Aramark | 22229 | 918947 | 0.5 |
|  Caesars Entertainment, Inc. | 118336 | 4922777 | 2.5 |
|  Expedia Group, Inc. | 59105 | 5177598 | 2.6 |
|  McDonald's Corp. | 117922 | 31075985 | 15.8 |
|  MGM Resorts International | 413171 | 13853624 | 7.1 |
|  |  | 55948931 |  |
| **Household Durables** |  |  |  |
|  Whirlpool Corp. | 47491 | 6718077 | 3.4 |
| **Insurance** |  |  |  |
|  American International Group, Inc. | 184027 | 11637868 | 5.9 |
|  Lincoln National Corp. | 88832 | 2728919 | 1.4 |
|  |  | 14366787 |  |
| **Internet & Direct Marketing Retail** |  |  |  |
|  eBay, Inc. | 296396 | 12291542 | 6.3 |
| **Life Sciences Tools & Services** |  |  |  |
|  Bio-Rad Laboratories, Inc. | 30297 | 12739586 | 6.5 |
| **Media** |  |  |  |
|  Fox Corp. | 514747 | 15632866 | 8.0 |
| **Metals & Mining** |  |  |  |
|  Newmont Corp. | 105715 | 4989748 | 2.5 |
|  Nucor Corp. | 65391 | 8619188 | 4.4 |
|  |  | 13608936 |  |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Phillips 66 | 286352 | 29803516 | 15.2 |
|  SM Energy Co. | 283069 | 9859293 | 5.0 |
|  Southwestern Energy Co. | 3340589 | 19542446 | 10.0 |
|  |  | 59205255 |  |
| **Road & Rail** |  |  |  |
|  Avis Budget Group, Inc. | 201561 | 33041895 | 16.8 |
|  CSX Corp. | 689107 | 21348535 | 10.9 |
|  |  | 54390430 |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |
|  Applied Materials, Inc. | 236704 | $23050236 | 11.7% |
|  Lam Research Corp. | 77407 | 32534162 | 16.6 |
|  |  | 55584398 |  |
| **Software** | **Software** | **Software** |  |
|  Autodesk, Inc. | 172527 | 32240120 | 16.4 |
|  Intuit, Inc. | 48174 | 18750284 | 9.6 |
|  PTC, Inc. | 48216 | 5787849 | 2.9 |
|  |  | 56778253 |  |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |  |
|  Advance Auto Parts, Inc. | 223896 | 32919429 | 16.8 |
|  AutoZone, Inc. | 13293 | 32782931 | 16.7 |
|  Dick's Sporting Goods, Inc. | 57967 | 6972850 | 3.5 |
|  |  | 72675210 |  |
| **Technology Hardware, Storage & Peripherals** |  |  |  |
|  NetApp, Inc. | 148992 | 8948460 | 4.6 |
| **Total Reference Entity — Long** | **Total Reference Entity — Long** | 832905060 |  |
| **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** | **Common Stocks** | **Common Stocks** |  |
| **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** |  |
|  Boeing Co. | (170837) | (32542740) | (16.6) |
|  Raytheon Technologies Corp. | (42564) | (4295559) | (2.2) |
|  |  | (36838299) |  |
| **Building Products** |  |  |  |
|  Allegion PLC | (18283) | (1924469) | (1.0) |
| **Capital Markets** |  |  |  |
|  Brookfield Corp., Class A | (352402) | (11086567) | (5.6) |
| **Communications Equipment** |  |  |  |
|  Motorola Solutions, Inc. | (57470) | (14810594) | (7.5) |
| **Construction & Engineering** |  |  |  |
|  Quanta Services, Inc. | (154393) | (22001003) | (11.2) |
| **Containers & Packaging** |  |  |  |
|  Ball Corp. | (294260) | (15048456) | (7.7) |
| **Diversified Financial Services** |  |  |  |
|  Berkshire Hathaway, Inc., Class B | (64743) | (19999113) | (10.2) |
| **Electronic Equipment, Instruments & Components** |  |  |  |
|  CDW Corp. | (799) | (142685) | (0.1) |
|  Teledyne Technologies, Inc. | (48523) | (19404833) | (9.9) |
|  |  | (19547518) |  |
| **Energy Equipment & Services** |  |  |  |
|  Baker Hughes Co., Class A | (475436) | (14039625) | (7.2) |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  American Homes 4 Rent, Class A | (14841) | (447308) | (0.2) |
|  Sun Communities, Inc. | (1002) | (143286) | (0.1) |
|  WP Carey, Inc. | (37179) | (2905539) | (1.5) |
|  |  | (3496133) |  |
| **Food Products** |  |  |  |
|  Bunge Ltd. | (171368) | (17097385) | (8.7) |

---

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Food Products (continued)** |  |  |  |
|  J M Smucker Co. | (1236) | $(195857) | (0.1)% |
|  McCormick & Co., Inc. | (364933) | (30249296) | (15.4) |
|  |  | (47542538) |  |
| **Health Care Equipment & Supplies** |  |  |  |
|  Dentsply Sirona, Inc. | (471029) | (14997563) | (7.6) |
| **Health Care Providers & Services** |  |  |  |
|  AmerisourceBergen Corp. | (65231) | (10809429) | (5.5) |
|  HCA Healthcare, Inc. | (25724) | (6172731) | (3.2) |
|  |  | (16982160) |  |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Carnival Corp. | (1592509) | (12835623) | (6.5) |
|  Las Vegas Sands Corp. | (676947) | (32540842) | (16.6) |
|  Norwegian Cruise Line Holdings Ltd. | (1253404) | (15341665) | (7.8) |
|  |  | (60718130) |  |
| **Household Durables** |  |  |  |
|  Dr. Horton, Inc. | (12150) | (1083051) | (0.5) |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |
|  AES Corp. | (723405) | (20805128) | (10.6) |
| **Insurance** |  |  |  |
|  Brown & Brown, Inc. | (192825) | (10985240) | (5.6) |
|  Marsh & McLennan Cos., Inc. | (113774) | (18827322) | (9.6) |
|  Progressive Corp. | (106040) | (13754448) | (7.0) |
|  |  | (43567010) |  |
| **IT Services** |  |  |  |
|  International Business Machines Corp. | (157805) | (22233146) | (11.3) |
| **Machinery** |  |  |  |
|  Deere & Co. | (47038) | (20168013) | (10.3) |
| **Media** |  |  |  |
|  Omnicom Group, Inc. | (259751) | (21187889) | (10.8) |
|  Paramount Global, Class B | (1207620) | (20384626) | (10.4) |
|  |  | (41572515) |  |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Cenovus Energy, Inc. | (126082) | (2447252) | (1.3) |
|  Diamondback Energy, Inc. | (28443) | (3890433) | (2.0) |
|  Hess Corp. | (60637) | (8599539) | (4.4) |
|  Kinder Morgan, Inc. | (142973) | (2584952) | (1.3) |
|  Occidental Petroleum Corp. | (361960) | (22799860) | (11.6) |
|  ONEOK, Inc. | (27941) | (1835724) | (0.9) |
|  Ovintiv, Inc. | (448663) | (22751701) | (11.6) |
|  |  | (64909461) |  |
| **Professional Services** |  |  |  |
|  Booz Allen Hamilton Holding Corp., Class A | (77067) | (8055043) | (4.1) |
|  Equifax, Inc. | (165018) | (32072898) | (16.4) |
|  |  | (40127941) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  Entegris, Inc. | (232729) | (15264695) | (7.8) |
|  Intel Corp. | (370514) | (9792685) | (5.0) |
|  |  | (25057380) |  |
| **Specialty Retail** |  |  |  |
|  Gap, Inc. | (945601) | (10666379) | (5.4) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Specialty Retail (continued)** |  |  |  |
|  Lithia Motors, Inc., Class A | (71292) | $(14596324) | (7.5)% |
|  Ross Stores, Inc. | (92823) | (10773966) | (5.5) |
|  |  | (36036669) |  |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |
|  Dell Technologies, Inc. | (550508) | (22141432) | (11.3) |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (636733914) |  |
|  **Net Value of Reference Entity — Barclays Bank PLC** | **Net Value of Reference Entity — Barclays Bank PLC** | $196171146 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Barclays Bank PLC as of period end, termination date January 24, 2024:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** |  |  |  |
|  Lockheed Martin Corp. | 5305 | $2580829 | (18.7)% |
| **Airlines** |  |  |  |
|  Southwest Airlines Co. | 362165 | 12194096 | (88.5) |
| **Communications Equipment** |  |  |  |
|  Cisco Systems, Inc. | 639013 | 30442579 | (220.8) |
| **Containers & Packaging** |  |  |  |
|  Packaging Corp. of America | 115759 | 14806734 | (107.4) |
|  Westrock Co. | 657182 | 23106519 | (167.6) |
|  |  | 37913253 |  |
| **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** |
|  AT&T, Inc. | 654393 | 12047375 | (87.4) |
| **Electric Utilities** |  |  |  |
|  American Electric Power Co., Inc. | 179968 | 17087962 | (124.0) |
|  Exelon Corp. | 425179 | 18380488 | (133.3) |
|  |  | 35468450 |  |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Arrow Electronics, Inc. | 79377 | 8300453 | (60.2) |
| **Energy Equipment & Services** |  |  |  |
|  Halliburton Co. | 159484 | 6275695 | (45.5) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  Weyerhaeuser Co. | 899697 | 27890607 | (202.3) |
| **Food & Staples Retailing** |  |  |  |
|  Kroger Co. | 370817 | 16531022 | (119.9) |
| **Food Products** |  |  |  |
|  General Mills, Inc. | 45197 | 3789768 | (27.5) |
|  Tyson Foods, Inc., Class A | 178380 | 11104155 | (80.6) |
|  |  | 14893923 |  |
| **Health Care Equipment & Supplies** |  |  |  |
|  Baxter International, Inc. | 455802 | 23232228 | (168.5) |
| **Health Care Providers & Services** |  |  |  |
|  Cardinal Health, Inc. | 194922 | 14983654 | (108.7) |

---

S C H E D U L E O F I N V E S T M E N T S 39

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |  |
|  CVS Health Corp. | 153489 | $14303640 | (103.7)% |
|  McKesson Corp. | 70932 | 26608012 | (193.0) |
|  Quest Diagnostics, Inc. | 179384 | 28062833 | (203.6) |
|  |  | 83958139 |  |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |  |
|  Boyd Gaming Corp. | 225611 | 12302568 | (89.2) |
|  McDonald's Corp. | 82397 | 21714081 | (157.5) |
|  MGM Resorts International | 330068 | 11067180 | (80.3) |
|  Royal Caribbean Cruises Ltd. | 7141 | 352980 | (2.6) |
|  |  | 45436809 |  |
| **Household Durables** | **Household Durables** | **Household Durables** |  |
|  Toll Brothers, Inc. | 476538 | 23788777 | (172.6) |
| **Insurance** | **Insurance** | **Insurance** |  |
|  Allstate Corp. | 52284 | 7089710 | (51.4) |
|  American International Group, Inc. | 196428 | 12422107 | (90.1) |
|  Hartford Financial Services Group, Inc. | 139306 | 10563574 | (76.6) |
|  Lincoln National Corp. | 820497 | 25205668 | (182.9) |
|  Loews Corp. | 101570 | 5924578 | (43.0) |
|  Marsh & McLennan Cos., Inc. | 33762 | 5586936 | (40.5) |
|  |  | 66792573 |  |
| **IT Services** | **IT Services** | **IT Services** |  |
|  DXC Technology Co. | 586718 | 15548027 | (112.8) |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |
|  APA Corp. | 418968 | 19557426 | (141.9) |
|  ConocoPhillips | 346634 | 40902812 | (296.7) |
|  Kinder Morgan, Inc. | 349910 | 6326373 | (45.9) |
|  Marathon Petroleum Corp. | 110917 | 12909630 | (93.6) |
|  Occidental Petroleum Corp. | 39757 | 2504293 | (18.1) |
|  Ovintiv, Inc. | 77122 | 3910857 | (28.4) |
|  Valero Energy Corp. | 90820 | 11521425 | (83.6) |
|  |  | 97632816 |  |
| **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** |  |
|  Bristol-Myers Squibb Co. | 286152 | 20588637 | (149.3) |
|  Johnson & Johnson | 21903 | 3869165 | (28.1) |
|  Pfizer, Inc. | 290535 | 14887013 | (108.0) |
|  |  | 39344815 |  |
| **Road & Rail** | **Road & Rail** | **Road & Rail** |  |
|  CSX Corp. | 549839 | 17034012 | (123.6) |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |  |
|  AutoZone, Inc. | 8621 | 21260938 | (154.2) |
|  Best Buy Co., Inc. | 85691 | 6873275 | (49.9) |
|  |  | 28134213 |  |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |
|  HP, Inc. | 777798 | 20899432 | (151.6) |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | 666340123 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** |  |  |  |
|  Howmet Aerospace, Inc. | (430012) | (16946773) | 123.0 |
|  TransDigm Group, Inc. | (38384) | (24168486) | 175.3 |
|  |  | (41115259) |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Airlines** | **Airlines** | **Airlines** |  |
|  American Airlines Group, Inc. | (62675) | $(797226) | 5.8% |
| **Automobiles** | **Automobiles** | **Automobiles** |  |
|  Tesla, Inc. | (74001) | (9115443) | 66.1 |
| **Chemicals** |  |  |  |
|  Ashland, Inc. | (61939) | (6660301) | 48.3 |
|  Corteva, Inc. | (314322) | (18475847) | 134.0 |
|  Eastman Chemical Co. | (78637) | (6404197) | 46.5 |
|  Sherwin-Williams Co. | (135033) | (32047382) | 232.5 |
|  |  | (63587727) |  |
| **Communications Equipment** |  |  |  |
|  Motorola Solutions, Inc. | (124612) | (32113759) | 233.0 |
| **Consumer Finance** |  |  |  |
|  Ally Financial, Inc. | (531159) | (12986838) | 94.2 |
|  Capital One Financial Corp. | (105568) | (9813601) | 71.2 |
|  |  | (22800439) |  |
| **Containers & Packaging** |  |  |  |
|  Ball Corp. | (194176) | (9930161) | 72.0 |
| **Electric Utilities** |  |  |  |
|  FirstEnergy Corp. | (386994) | (16230528) | 117.7 |
|  NextEra Energy, Inc. | (319396) | (26701506) | 193.7 |
|  NRG Energy, Inc. | (972399) | (30941736) | 224.5 |
|  Southern Co. | (190981) | (13637953) | 98.9 |
|  |  | (87511723) |  |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Host Hotels & Resorts, Inc. | (734362) | (11786510) | 85.5 |
|  Iron Mountain, Inc. | (153605) | (7657210) | 55.5 |
|  Simon Property Group, Inc. | (69413) | (8154639) | 59.2 |
|  |  | (27598359) |  |
| **Food Products** |  |  |  |
|  Conagra Brands, Inc. | (538695) | (20847497) | 151.2 |
|  Lamb Weston Holdings, Inc. | (156278) | (13965002) | 101.3 |
|  |  | (34812499) |  |
| **Health Care Equipment & Supplies** |  |  |  |
|  Boston Scientific Corp. | (542265) | (25090602) | 182.0 |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Yum! Brands, Inc. | (164714) | (21096569) | 153.0 |
| **Household Durables** |  |  |  |
|  PulteGroup, Inc. | (388895) | (17706389) | 128.4 |
| **Independent Power and Renewable Electricity Producers** |  |  |  |
|  AES Corp. | (447455) | (12868806) | 93.3 |
|  Vistra Corp. | (580313) | (13463261) | 97.7 |
|  |  | (26332067) |  |
| **Industrial Conglomerates** |  |  |  |
|  General Electric Co. | (10357) | (867813) | 6.3 |
| **Insurance** |  |  |  |
|  MetLife, Inc. | (155763) | (11272568) | 81.8 |
|  Prudential Financial, Inc. | (103028) | (10247165) | 74.3 |
|  |  | (21519733) |  |

---

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Life Sciences Tools & Services** |  |  |  |
|  Danaher Corp. | (98147) | $(26050177) | 189.0% |
| **Machinery** |  |  |  |
|  Caterpillar, Inc. | (99014) | (23719794) | 172.1 |
|  Deere & Co. | (56993) | (24436318) | 177.2 |
|  |  | (48156112) |  |
| **Media** |  |  |  |
|  Omnicom Group, Inc. | (445094) | (36306318) | 263.4 |
|  Paramount Global, Class B | (223723) | (3776444) | 27.4 |
|  |  | (40082762) |  |
| **Multiline Retail** |  |  |  |
|  Nordstrom, Inc. | (412896) | (6664141) | 48.3 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Devon Energy Corp. | (199715) | (12284470) | 89.1 |
|  Enbridge, Inc. | (403964) | (15794992) | 114.6 |
|  Hess Corp. | (134360) | (19054935) | 138.2 |
|  |  | (47134397) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |
|  Advanced Micro Devices, Inc. | (93959) | (6085724) | 44.2 |
| **Specialty Retail** |  |  |  |
|  Gap, Inc. | (1419963) | (16017183) | 116.2 |
| **Thrifts & Mortgage Finance** |  |  |  |
|  MGIC Investment Corp. | (412242) | (5359146) | 38.9 |
|  Radian Group, Inc. | (122925) | (2344180) | 17.0 |
|  |  | (7703326) |  |
| **Trading Companies & Distributors** |  |  |  |
|  United Rentals, Inc. | (52413) | (18628628) | 135.1 |
| **Wireless Telecommunication Services** | **Wireless Telecommunication Services** | **Wireless Telecommunication Services** |  |
|  T-Mobile U.S., Inc. | (154339) | (21607460) | 156.7 |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (680125678) |  |
| **Net Value of Reference Entity — Barclays Bank<br>PLC** |  | $(13785555) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with BNP Paribas SA as of period end, termination date April 29, 2024:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *%of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Airlines** |  |  |  |
|  Southwest Airlines Co. | 277972 | $9359317 | (11.1)% |
| **Building Products** | **Building Products** | **Building Products** | **Building Products** |
|  Builders FirstSource, Inc. | 364089 | 23622094 | (28.0) |
|  Owens Corning | 89678 | 7649534 | (9.0) |
|  |  | 31271628 |  |
| **Capital Markets** | **Capital Markets** | **Capital Markets** | **Capital Markets** |
|  CME Group, Inc. | 42382 | 7126957 | (8.4) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Chemicals** |  |  |  |
|  Mosaic Co. | 367604 | $16126787 | (19.1)% |
|  Nutrien Ltd. | 43864 | 3203388 | (3.8) |
|  Olin Corp. | 609322 | 32257507 | (38.2) |
|  |  | 51587682 |  |
| **Commercial Services & Supplies** | **Commercial Services & Supplies** |  |  |
|  Waste Connections, Inc. | 237481 | 31480481 | (37.3) |
| **Construction Materials** |  |  |  |
|  Martin Marietta Materials, Inc. | 38549 | 13028406 | (15.4) |
| **Containers & Packaging** |  |  |  |
|  Westrock Co. | 133814 | 4704900 | (5.6) |
| **Diversified Consumer Services** |  |  |  |
|  H&R Block, Inc. | 618905 | 22596222 | (26.8) |
| **Diversified Financial Services** |  |  |  |
|  Equitable Holdings, Inc. | 47322 | 1358142 | (1.6) |
|  Voya Financial, Inc. | 75845 | 4663709 | (5.5) |
|  |  | 6021851 |  |
| **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** |  |
|  AT&T, Inc. | 263220 | 4845880 | (5.7) |
| **Electric Utilities** |  |  |  |
|  Evergy, Inc. | 136518 | 8591078 | (10.2) |
|  Eversource Energy | 227202 | 19048616 | (22.5) |
|  Xcel Energy, Inc. | 1995 | 139869 | (0.2) |
|  |  | 27779563 |  |
| **Entertainment** |  |  |  |
|  Electronic Arts, Inc. | 18821 | 2299550 | (2.7) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Alexandria Real Estate Equities, Inc. | 121931 | 17761689 | (21.0) |
|  Boston Properties, Inc. | 165671 | 11196046 | (13.3) |
|  Camden Property Trust | 612 | 68471 | (0.1) |
|  Healthpeak Properties, Inc. | 506344 | 12694044 | (15.0) |
|  Public Storage | 112891 | 31630929 | (37.4) |
|  SBA Communications Corp., Class A | 112759 | 31607475 | (37.4) |
|  Weyerhaeuser Co. | 91863 | 2847753 | (3.4) |
|  |  | 107806407 |  |
| **Food & Staples Retailing** |  |  |  |
|  Sysco Corp. | 50306 | 3845894 | (4.6) |
| **Food Products** |  |  |  |
|  Tyson Foods, Inc., Class A | 43433 | 2703704 | (3.2) |
| **Gas Utilities** |  |  |  |
|  Atmos Energy Corp. | 47727 | 5348765 | (6.3) |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |  |
|  Baxter International, Inc. | 83859 | 4274293 | (5.1) |
|  Medtronic PLC | 26544 | 2063000 | (2.4) |
|  |  | 6337293 |  |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |  |
|  Cardinal Health, Inc. | 403869 | 31045410 | (36.7) |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  MGM Resorts International | 355799 | 11929941 | (14.1) |
| **Household Products** |  |  |  |
|  Kimberly Clark Corp. | 96088 | 13043946 | (15.4) |

---

S C H E D U L E O F I N V E S T M E N T S 41

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Insurance** |  |  |  |
|  American International Group, Inc. | 26515 | $1676808 | (2.0)% |
|  Hartford Financial Services Group, Inc. | 56254 | 4265741 | (5.0) |
|  Lincoln National Corp. | 307851 | 9457183 | (11.2) |
|  |  | 15399732 |  |
| **Interactive Media & Services** |  |  |  |
|  Match Group, Inc. | 794849 | 32978285 | (39.0) |
| **Internet & Direct Marketing Retail** |  |  |  |
|  eBay, Inc. | 91047 | 3775719 | (4.5) |
| **IT Services** |  |  |  |
|  VeriSign, Inc. | 23269 | 4780383 | (5.7) |
| **Leisure Products** |  |  |  |
|  Mattel, Inc. | 966330 | 17239327 | (20.4) |
| **Life Sciences Tools & Services** |  |  |  |
|  Avantor, Inc. | 418755 | 8831543 | (10.5) |
| **Machinery** |  |  |  |
|  Parker-Hannifin Corp. | 10825 | 3150075 | (3.7) |
| **Media** |  |  |  |
|  Cable One, Inc. | 33442 | 23806022 | (28.2) |
|  Fox Corp. | 208290 | 6325767 | (7.5) |
|  |  | 30131789 |  |
| **Metals & Mining** |  |  |  |
|  Nucor Corp. | 85404 | 11257101 | (13.3) |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  APA Corp. | 467715 | 21832936 | (25.8) |
|  Coterra Energy, Inc. | 354473 | 8709402 | (10.3) |
|  Marathon Petroleum Corp. | 219203 | 25513037 | (30.2) |
|  PBF Energy, Inc., Class A | 66574 | 2714888 | (3.2) |
|  Range Resources Corp. | 550995 | 13785895 | (16.3) |
|  SM Energy Co. | 416482 | 14506068 | (17.2) |
|  |  | 87062226 |  |
| **Road & Rail** |  |  |  |
|  CSX Corp. | 206926 | 6410567 | (7.6) |
|  Norfolk Southern Corp. | 9411 | 2319059 | (2.7) |
|  |  | 8729626 |  |
| **Software** |  |  |  |
|  Fair Isaac Corp. | 24696 | 14782531 | (17.5) |
|  PTC, Inc. | 117844 | 14145994 | (16.7) |
|  |  | 28928525 |  |
| **Specialty Retail** |  |  |  |
|  O'Reilly Automotive, Inc. | 6345 | 5355370 | (6.3) |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |  |
|  NetApp, Inc. | 195728 | 11755424 | (13.9) |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | 663538922 |  |
| **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |
| **Common Stocks** |  |  |  |
| **Auto Components** |  |  |  |
|  Aptiv PLC | (73693) | (6863029) | 8.1 |
| **Automobiles** |  |  |  |
|  Ford Motor Co. | (80073) | (931249) | 1.1 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Automobiles (continued)** |  |  |  |
|  General Motors Co. | (118601) | $(3989738) | 4.7% |
|  Stellantis NV | (293842) | (4172556) | 5.0 |
|  |  | (9093543) |  |
| **Capital Markets** |  |  |  |
|  Brookfield Corp., Class A | (230107) | (7239166) | 8.5 |
|  Moody's Corp. | (4152) | (1156830) | 1.4 |
|  |  | (8395996) |  |
| **Chemicals** |  |  |  |
|  Ecolab, Inc. | (22968) | (3343222) | 3.9 |
|  International Flavors & Fragrances, Inc. | (2684) | (281390) | 0.3 |
|  LyondellBasell Industries NV | (5671) | (470863) | 0.6 |
|  PPG Industries, Inc. | (24009) | (3018892) | 3.6 |
|  Sherwin-Williams Co. | (608) | (144297) | 0.2 |
|  Westlake Corp. | (2703) | (277166) | 0.3 |
|  |  | (7535830) |  |
| **Communications Equipment** |  |  |  |
|  Ciena Corp. | (629825) | (32108478) | 38.0 |
|  Motorola Solutions, Inc. | (49318) | (12709742) | 15.0 |
|  |  | (44818220) |  |
| **Construction & Engineering** |  |  |  |
|  Quanta Services, Inc. | (47600) | (6783000) | 8.0 |
| **Containers & Packaging** |  |  |  |
|  Amcor PLC | (1321820) | (15742876) | 18.6 |
|  Ball Corp. | (171927) | (8792347) | 10.4 |
|  |  | (24535223) |  |
| **Diversified Telecommunication Services** |  |  |  |
|  Lumen Technologies, Inc. | (6165555) | (32184197) | 38.1 |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |  |
|  Teledyne Technologies, Inc. | (12780) | (5110850) | 6.0 |
| **Energy Equipment & Services** |  |  |  |
|  Baker Hughes Co., Class A | (147017) | (4341412) | 5.1 |
|  Halliburton Co. | (46956) | (1847719) | 2.2 |
|  |  | (6189131) |  |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Medical Properties Trust, Inc. | (2858695) | (31845862) | 37.7 |
|  Prologis, Inc. | (54184) | (6108162) | 7.2 |
|  Ventas, Inc. | (65069) | (2931359) | 3.5 |
|  VICI Properties, Inc. | (165750) | (5370300) | 6.4 |
|  Welltower, Inc. | (466995) | (30611522) | 36.2 |
|  |  | (76867205) |  |
| **Food & Staples Retailing** |  |  |  |
|  Walgreens Boots Alliance, Inc. | (820109) | (30639272) | 36.3 |
| **Food Products** |  |  |  |
|  Bunge Ltd. | (160989) | (16061873) | 19.0 |
| **Health Care Equipment & Supplies** |  |  |  |
|  Becton Dickinson and Co. | (4113) | (1045936) | 1.2 |
|  Stryker Corp. | (95615) | (23376911) | 27.7 |
|  |  | (24422847) |  |
| **Health Care Providers & Services** |  |  |  |
|  Centene Corp. | (70722) | (5799911) | 6.9 |
|  HCA Healthcare, Inc. | (68424) | (16419023) | 19.4 |
|  |  | (22218934) |  |

---

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Wynn Resorts Ltd. | (15333) | $(1264513) | 1.5% |
|  Yum! Brands, Inc. | (43792) | (5608879) | 6.6 |
|  |  | (6873392) |  |
| **Household Durables** |  |  |  |
|  Dr. Horton, Inc. | (116935) | (10423586) | 12.4 |
|  Lennar Corp. | (119682) | (10831221) | 12.8 |
|  PulteGroup, Inc. | (618466) | (28158757) | 33.3 |
|  Toll Brothers, Inc. | (172963) | (8634313) | 10.2 |
|  |  | (58047877) |  |
| **Insurance** |  |  |  |
|  Aflac, Inc. | (369062) | (26550320) | 31.4 |
|  Assurant, Inc. | (4298) | (537508) | 0.7 |
|  Brown & Brown, Inc. | (71601) | (4079109) | 4.8 |
|  Marsh & McLennan Cos., Inc. | (27234) | (4506683) | 5.3 |
|  Willis Towers Watson PLC | (94947) | (23222137) | 27.5 |
|  |  | (58895757) |  |
| **Internet & Direct Marketing Retail** |  |  |  |
|  Amazon.com, Inc. | (360255) | (30261420) | 35.8 |
| **Machinery** |  |  |  |
|  Caterpillar, Inc. | (36641) | (8777718) | 10.4 |
| **Media** |  |  |  |
|  Charter Communications, Inc. | (2871) | (973556) | 1.2 |
|  Paramount Global, Class B | (692224) | (11684741) | 13.8 |
|  |  | (12658297) |  |
| **Metals & Mining** |  |  |  |
|  Cleveland-Cliffs, Inc. | (748266) | (12054565) | 14.3 |
|  Southern Copper Corp. | (444274) | (26829707) | 31.8 |
|  Teck Resources Ltd. | (170832) | (6460866) | 7.6 |
|  |  | (45345138) |  |
| **Multiline Retail** |  |  |  |
|  Kohl's Corp. | (934706) | (23601327) | 27.9 |
| **Multi-Utilities** |  |  |  |
|  Sempra Energy | (1060) | (163812) | 0.2 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Hess Corp. | (119926) | (17007905) | 20.1 |
|  Kinder Morgan, Inc. | (27753) | (501774) | 0.6 |
|  ONEOK, Inc. | (194161) | (12756378) | 15.1 |
|  Ovintiv, Inc. | (137222) | (6958528) | 8.3 |
|  Targa Resources Corp. | (41419) | (3044296) | 3.6 |
|  |  | (40268881) |  |
| **Personal Products** |  |  |  |
|  Estee Lauder Cos., Inc., Class A | (905) | (224540) | 0.3 |
| **Professional Services** |  |  |  |
|  Booz Allen Hamilton Holding Corp., Class A | (142303) | (14873510) | 17.6 |
|  Verisk Analytics, Inc., Class A | (2025) | (357250) | 0.4 |
|  |  | (15230760) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |  |
|  Broadcom, Inc. | (10493) | (5866951) | 6.9 |
|  ON Semiconductor Corp. | (77332) | (4823197) | 5.7 |
|  |  | (10690148) |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Software** | **Software** | **Software** |  |
|  Gen Digital, Inc. | (303393) | $(6501712) | 7.7% |
|  Workday, Inc., Class A | (119561) | (20006142) | 23.7 |
|  |  | (26507854) |  |
| **Specialty Retail** |  |  |  |
|  Gap, Inc. | (1834087) | (20688501) | 24.5 |
|  Lithia Motors, Inc., Class A | (91703) | (18775272) | 22.2 |
|  Ross Stores, Inc. | (108551) | (12599515) | 14.9 |
|  |  | (52063288) |  |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |  |
|  Dell Technologies, Inc. | (109498) | (4404010) | 5.2 |
|  Western Digital Corp. | (1024253) | (32315182) | 38.3 |
|  |  | (36719192) |  |
| **Total Reference Entity — Short** |  | (748048551) |  |
| **Net Value of Reference Entity — BNP<br>Paribas SA** |  | $(84509629) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with BNP Paribas SA as of period end, termination date April 29, 2024:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Air Freight & Logistics** |  |  |  |
|  FedEx Corp. | 180688 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31295162 | 137.2% |
| **Airlines** |  |  |  |
|  Southwest Airlines Co. | 209811 | 7064336 | 31.0 |
| **Auto Components** |  |  |  |
|  BorgWarner, Inc. | 464258 | 18686385 | 81.9 |
|  Goodyear Tire & Rubber Co. | 1404142 | 14252041 | 62.5 |
|  |  | 32938426 |  |
| **Automobiles** |  |  |  |
|  General Motors Co. | 1176810 | 39587888 | 173.5 |
| **Biotechnology** |  |  |  |
|  Amgen, Inc. | 105738 | 27771028 | 121.7 |
| **Building Products** |  |  |  |
|  Johnson Controls International PLC | 610127 | 39048128 | 171.1 |
| **Communications Equipment** | **Communications Equipment** | **Communications Equipment** |  |
|  Cisco Systems, Inc. | 215375 | 10260465 | 45.0 |
| **Containers & Packaging** |  |  |  |
|  Westrock Co. | 321903 | 11318110 | 49.6 |
| **Diversified Consumer Services** | **Diversified Consumer Services** | **Diversified Consumer Services** |  |
|  H&R Block, Inc. | 330597 | 12070097 | 52.9 |
| **Electric Utilities** |  |  |  |
|  American Electric Power Co., Inc. | 36078 | 3425606 | 15.0 |
|  Exelon Corp. | 240529 | 10398069 | 45.6 |
|  |  | 13823675 |  |

---

S C H E D U L E O F I N V E S T M E N T S 43

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |  |
|  Arrow Electronics, Inc. | 60417 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6317806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27.7% |
| **Energy Equipment & Services** |  |  |  |
|  Halliburton Co. | 296847 | 11680930 | 51.2 |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Weyerhaeuser Co. | 159919 | 4957489 | 21.7 |
| **Food & Staples Retailing** |  |  |  |
|  Kroger Co. | 165936 | 7397427 | 32.4 |
| **Food Products** |  |  |  |
|  Campbell Soup Co. | 180051 | 10217894 | 44.8 |
| **Health Care Equipment & Supplies** |  |  |  |
|  Baxter International, Inc. | 123654 | 6302644 | 27.6 |
| **Health Care Providers & Services** |  |  |  |
|  Cardinal Health, Inc. | 83059 | 6384745 | 28.0 |
|  CVS Health Corp. | 128631 | 11987123 | 52.5 |
|  DaVita, Inc. | 540591 | 40365930 | 176.9 |
|  |  | 58737798 |  |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Boyd Gaming Corp. | 69046 | 3765078 | 16.5 |
|  Expedia Group, Inc. | 397977 | 34862785 | 152.8 |
|  MGM Resorts International | 173009 | 5800992 | 25.4 |
|  |  | 44428855 |  |
| **Household Durables** |  |  |  |
|  Toll Brothers, Inc. | 58111 | 2900901 | 12.7 |
| **Industrial Conglomerates** |  |  |  |
|  Honeywell International, Inc. | 178251 | 38199189 | 167.4 |
| **Insurance** |  |  |  |
|  Allstate Corp. | 161040 | 21837024 | 95.7 |
|  Chubb Ltd. | 185948 | 41020129 | 179.8 |
|  Hartford Financial Services Group, Inc. | 11568 | 877201 | 3.8 |
|  Lincoln National Corp. | 309969 | 9522248 | 41.7 |
|  Loews Corp. | 53581 | 3125380 | 13.7 |
|  Marsh & McLennan Cos., Inc. | 62718 | 10378574 | 45.5 |
|  |  | 86760556 |  |
| **IT Services** |  |  |  |
|  DXC Technology Co. | 78451 | 2078952 | 9.1 |
| **Multi-Utilities** |  |  |  |
|  Dominion Energy, Inc. | 101450 | 6220914 | 27.3 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  APA Corp. | 208428 | 9729419 | 42.6 |
|  Marathon Petroleum Corp. | 65723 | 7649500 | 33.5 |
|  Ovintiv, Inc. | 352371 | 17868734 | 78.3 |
|  Valero Energy Corp. | 177456 | 22512068 | 98.7 |
|  |  | 57759721 |  |
| **Pharmaceuticals** |  |  |  |
|  Johnson & Johnson | 68151 | 12038874 | 52.8 |
|  Pfizer, Inc. | 66620 | 3413609 | 14.9 |
|  |  | 15452483 |  |
| **Road & Rail** |  |  |  |
|  CSX Corp. | 225743 | 6993518 | 30.7 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Road & Rail (continued)** | **Road & Rail (continued)** | **Road & Rail (continued)** |  |
|  Norfolk Southern Corp. | 99349 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24481581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107.3% |
|  Union Pacific Corp. | 80336 | 16635175 | 72.9 |
|  |  | 48110274 |  |
| **Specialty Retail** |  |  |  |
|  AutoZone, Inc. | 3225 | 7953430 | 34.9 |
|  Bath & Body Works, Inc. | 206597 | 8705998 | 38.1 |
|  |  | 16659428 |  |
| **Technology Hardware, Storage & Peripherals** |  |  |  |
|  Dell Technologies, Inc. | 519233 | 20883551 | 91.5 |
|  HP, Inc. | 371940 | 9994028 | 43.8 |
|  Xerox Holdings Corp. | 459505 | 6708773 | 29.4 |
|  |  | 37586352 |  |
| **Total Reference Entity — Long** |  | 686946928 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** |  |  |  |
|  Howmet Aerospace, Inc. | (247823) | (9766704) | (42.8) |
|  Raytheon Technologies Corp. | (411829) | (41561783) | (182.1) |
|  TransDigm Group, Inc. | (20112) | (12663521) | (55.5) |
|  |  | (63992008) |  |
| **Air Freight & Logistics** |  |  |  |
|  United Parcel Service, Inc., Class B | (144186) | (25065294) | (109.9) |
| **Airlines** |  |  |  |
|  American Airlines Group, Inc. | (101810) | (1295023) | (5.7) |
|  United Airlines Holdings, Inc. | (567947) | (21411602) | (93.8) |
|  |  | (22706625) |  |
| **Automobiles** |  |  |  |
|  Tesla, Inc. | (179215) | (22075704) | (96.8) |
| **Chemicals** |  |  |  |
|  Corteva, Inc. | (50975) | (2996310) | (13.1) |
|  Dow, Inc. | (729176) | (36743179) | (161.0) |
|  Eastman Chemical Co. | (155904) | (12696822) | (55.7) |
|  Sherwin-Williams Co. | (16794) | (3985720) | (17.5) |
|  |  | (56422031) |  |
| **Communications Equipment** |  |  |  |
|  Motorola Solutions, Inc. | (25265) | (6511043) | (28.5) |
| **Consumer Finance** |  |  |  |
|  Ally Financial, Inc | (581353) | (14214081) | (62.3) |
|  Capital One Financial Corp. | (67827) | (6305198) | (27.6) |
|  OneMain Holdings, Inc. | (400781) | (13350015) | (58.5) |
|  |  | (33869294) |  |
| **Containers & Packaging** |  |  |  |
|  Ball Corp. | (66301) | (3390633) | (14.9) |
|  Sealed Air Corp. | (216168) | (10782460) | (47.2) |
|  |  | (14173093) |  |
| **Diversified Telecommunication Services** |  |  |  |
|  Lumen Technologies, Inc. | (1051786) | (5490323) | (24.1) |
| **Electric Utilities** |  |  |  |
|  NextEra Energy, Inc. | (52443) | (4384235) | (19.2) |
|  Southern Co. | (40603) | (2899460) | (12.7) |
|  |  | (7283695) |  |

---

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Host Hotels & Resorts, Inc. | (658797) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10573692) | (46.4)% |
|  Iron Mountain, Inc. | (125058) | (6234141) | (27.3) |
|  |  | (16807833) |  |
| **Food & Staples Retailing** |  |  |  |
|  Walmart, Inc. | (117175) | (16614243) | (72.8) |
| **Food Products** |  |  |  |
|  Conagra Brands, Inc. | (51771) | (2003538) | (8.8) |
|  Mondelez International, Inc. | (132429) | (8826393) | (38.7) |
|  |  | (10829931) |  |
| **Health Care Equipment & Supplies** |  |  |  |
|  Boston Scientific Corp. | (126483) | (5852368) | (25.7) |
| **Health Care Providers & Services** |  |  |  |
|  HCA Healthcare, Inc. | (129164) | (30994193) | (135.8) |
| **Household Durables** |  |  |  |
|  Dr. Horton, Inc. | (293375) | (26151448) | (114.6) |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |  |
|  AES Corp. | (243212) | (6994777) | (30.6) |
|  Vistra Corp. | (723524) | (16785757) | (73.6) |
|  |  | (23780534) |  |
| **Insurance** |  |  |  |
|  MetLife, Inc. | (185461) | (13421812) | (58.8) |
|  Prudential Financial, Inc. | (176571) | (17561752) | (77.0) |
|  |  | (30983564) |  |
| **IT Services** |  |  |  |
|  Fiserv, Inc. | (75724) | (7653424) | (33.6) |
|  International Business Machines Corp. | (181757) | (25607744) | (112.2) |
|  |  | (33261168) |  |
| **Machinery** |  |  |  |
|  Caterpillar, Inc. | (50608) | (12123652) | (53.1) |
| **Media** |  |  |  |
|  Charter Communications, Inc. | (16360) | (5547676) | (24.3) |
|  DISH Network Corp., Class A | (38049) | (534208) | (2.4) |
|  Paramount Global, Class B | (1942609) | (32791240) | (143.7) |
|  |  | (38873124) |  |
| **Metals & Mining** |  |  |  |
|  Barrick Gold Corp. | (969786) | (16660924) | (73.0) |
|  Teck Resources Ltd. | (310732) | (11751884) | (51.5) |
|  |  | (28412808) |  |
| **Multiline Retail** |  |  |  |
|  Nordstrom, Inc. | (805488) | (13000576) | (57.0) |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Hess Corp. | (126964) | (18006035) | (78.9) |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |
|  Advanced Micro Devices, Inc. | (517862) | (33541922) | (147.0) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |  |
|  Gap, Inc. | (1970791) | $(22230523) | (97.4)% |
|  Home Depot, Inc. | (120214) | (37970794) | (166.4) |
|  |  | (60201317) |  |
| **Wireless Telecommunication Services** | **Wireless Telecommunication Services** | **Wireless Telecommunication Services** |  |
|  T-Mobile U.S., Inc. | (50752) | (7105280) | (31.1) |
|  **Total Reference Entity — Short** |  | (664129106) |  |
|  **Net Value of Reference Entity — BNP Paribas SA** |  | $22817822 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date February 24, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Diversified Financial Services** |  |  |  |
|  Berkshire Hathaway, Inc., Class B | 126798 | $39167902 | 50.7% |
| **Food & Staples Retailing** |  |  |  |
|  Kroger Co. | 14240 | 634819 | 0.8 |
| **Health Care Providers & Services** |  |  |  |
|  Tenet Healthcare Corp. | 126887 | 6190817 | 8.0 |
| **Insurance** |  |  |  |
|  Lincoln National Corp. | 181918 | 5588521 | 7.2 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  APA Corp. | 102288 | 4774804 | 6.2 |
|  Targa Resources Corp. | 477698 | 35110803 | 45.5 |
|  |  | 39885607 |  |
| **Pharmaceuticals** |  |  |  |
|  Johnson & Johnson | 13826 | 2442363 | 3.2 |
| **Road & Rail** |  |  |  |
|  Avis Budget Group, Inc. | 232012 | 38033727 | 49.3 |
| **Specialty Retail** |  |  |  |
|  Lowe's Cos., Inc. | 192216 | 38297116 | 49.6 |
| **Tobacco** |  |  |  |
|  Altria Group, Inc. | 876765 | 40076928 | 51.9 |
| **Total Reference Entity — Long** |  | 210317800 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Automobiles** |  |  |  |
|  Tesla, Inc. | (57801) | (7119927) | (9.2) |
| **Consumer Finance** |  |  |  |
|  American Express Co. | (265826) | (39275791) | (50.9) |

---

S C H E D U L E O F I N V E S T M E N T S 45

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Electric Utilities** |  |  |  |
|  NextEra Energy, Inc. | (6425) | $(537130) | (0.7)% |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Simon Property Group, Inc. | (41745) | (4904203) | (6.4) |
| **Household Durables** |  |  |  |
|  Dr. Horton, Inc. | (34673) | (3090751) | (4.0) |
|  Newell Brands, Inc. | (1209238) | (15816833) | (20.5) |
|  |  | (18907584) |  |
| **Household Products** |  |  |  |
|  Procter & Gamble Co. | (153799) | (23309776) | (30.2) |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |  |
|  Vistra Corp. | (140769) | (3265841) | (4.2) |
| **Insurance** |  |  |  |
|  MetLife, Inc. | (87586) | (6338599) | (8.2) |
|  Prudential Financial, Inc. | (81507) | (8106686) | (10.5) |
|  |  | (14445285) |  |
| **Multiline Retail** |  |  |  |
|  Kohl's Corp. | (795506) | (20086527) | (26.0) |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Devon Energy Corp. | (20562) | (1264769) | (1.6) |
|  **Total Reference Entity — Short** |  | (133116833) |  |
|  **Net Value of Reference Entity — Citibank N.A** |  | $77200967 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date February 24, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** |  |  |  |
|  L3Harris Technologies, Inc. | 54453 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11337659 | (38.2)% |
| **Beverages** |  |  |  |
|  Constellation Brands, Inc., Class A | 3942 | 913559 | (3.1) |
| **Building Products** |  |  |  |
|  Advanced Drainage Systems, Inc. | 32231 | 2641975 | (8.9) |
|  Builders FirstSource, Inc. | 132658 | 8606851 | (29.1) |
|  Owens Corning | 27886 | 2378676 | (8.0) |
|  |  | 13627502 |  |
| **Chemicals** |  |  |  |
|  Nutrien Ltd. | 31850 | 2326005 | (7.9) |
| **Consumer Finance** |  |  |  |
|  Capital One Financial Corp. | 43831 | 4074530 | (13.7) |
|  Synchrony Financial | 109898 | 3611248 | (12.2) |
|  |  | 7685778 |  |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Boston Properties, Inc. | 46594 | 3148823 | (10.6) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Health Care Providers & Services** | **Health Care Providers & Services** |  |  |
|  AMN Healthcare Services, Inc. | 226875 | $23327286 | (78.7)% |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |  |  |
|  Darden Restaurants, Inc. | 25885 | 3580672 | (12.1) |
|  Marriott International, Inc. | 5681 | 845844 | (2.8) |
|  |  | 4426516 |  |
| **IT Services** |  |  |  |
|  Gartner, Inc. | 1136 | 381855 | (1.3) |
| **Media** |  |  |  |
|  Fox Corp. | 174859 | 5310468 | (17.9) |
| **Metals & Mining** |  |  |  |
|  Alcoa Corp. | 38879 | 1767828 | (6.0) |
|  U.S. Steel Corp. | 379445 | 9505097 | (32.0) |
|  |  | 11272925 |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |  |
|  Coterra Energy, Inc. | 472291 | 11604190 | (39.2) |
|  Devon Energy Corp. | 2824 | 173704 | (0.6) |
|  EOG Resources, Inc. | 72817 | 9431258 | (31.8) |
|  Valero Energy Corp. | 217854 | 27636958 | (93.2) |
|  |  | 48846110 |  |
| **Pharmaceuticals** |  |  |  |
|  Elanco Animal Health, Inc. | 393324 | 4806419 | (16.2) |
| **Road & Rail** |  |  |  |
|  CSX Corp. | 127820 | 3959864 | (13.4) |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |
|  Analog Devices, Inc. | 22739 | 3729878 | (12.6) |
|  Qorvo, Inc. | 26834 | 2432234 | (8.2) |
|  |  | 6162112 |  |
| **Software** |  |  |  |
|  Fair Isaac Corp. | 25307 | 15148264 | (51.1) |
|  PTC, Inc. | 13438 | 1613098 | (5.4) |
|  |  | 16761362 |  |
| **Specialty Retail** |  |  |  |
|  Foot Locker, Inc. | 48514 | 1833344 | (6.2) |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |  |
|  HP, Inc. | 36401 | 978095 | (3.3) |
| **Total Reference Entity — Long** |  | 167105682 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Biotechnology** |  |  |  |
|  AbbVie, Inc. | (41120) | (6645403) | 22.4 |
| **Capital Markets** |  |  |  |
|  S&P Global, Inc. | (31065) | (10404911) | 35.1 |
| **Chemicals** |  |  |  |
|  FMC Corp. | (23984) | (2993203) | 10.1 |
| **Communications Equipment** |  |  |  |
|  Motorola Solutions, Inc. | (16172) | (4167686) | 14.1 |
| **Construction & Engineering** |  |  |  |
|  Quanta Services, Inc. | (20075) | (2860688) | 9.6 |
| **Energy Equipment & Services** | **Energy Equipment & Services** | **Energy Equipment & Services** |  |
|  Schlumberger Ltd. | (625753) | (33452755) | 112.8 |

---

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Entertainment** | **Entertainment** | **Entertainment** |  |
|  Walt Disney Co. | (59357) | $(5156936) | 17.4% |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Equinix, Inc. | (8886) | (5820597) | 19.6 |
| **Food Products** |  |  |  |
|  Archer-Daniels-Midland Co. | (26755) | (2484202) | 8.4 |
| **Health Care Equipment & Supplies** |  |  |  |
|  Zimmer Biomet Holdings, Inc. | (219297) | (27960368) | 94.3 |
| **Health Care Providers & Services** |  |  |  |
|  HCA Healthcare, Inc. | (38604) | (9263416) | 31.3 |
|  Molina Healthcare, Inc. | (16624) | (5489577) | 18.5 |
|  |  | (14752993) |  |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Booking Holdings, Inc. | (6452) | (13002586) | 43.9 |
|  Wynn Resorts Ltd. | (5825) | (480388) | 1.6 |
|  |  | (13482974) |  |
| **Industrial Conglomerates** |  |  |  |
|  3M Co. | (72502) | (8694440) | 29.3 |
| **Insurance** |  |  |  |
|  Brown & Brown, Inc. | (44379) | (2528272) | 8.5 |
| **Life Sciences Tools & Services** |  |  |  |
|  Thermo Fisher Scientific, Inc. | (28093) | (15470534) | 52.2 |
| **Machinery** |  |  |  |
|  Cummins, Inc. | (10728) | (2599287) | 8.8 |
| **Metals & Mining** |  |  |  |
|  Freeport-McMoRan, Inc. | (345247) | (13119386) | 44.2 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Hess Corp. | (29985) | (4252473) | 14.3 |
|  Kinder Morgan, Inc. | (80010) | (1446581) | 4.9 |
|  ONEOK, Inc. | (127085) | (8349484) | 28.2 |
|  |  | (14048538) |  |
| **Professional Services** |  |  |  |
|  Leidos Holdings, Inc. | (6647) | (699198) | 2.4 |
| **Specialty Retail** |  |  |  |
|  Home Depot, Inc. | (10376) | (3277363) | 11.1 |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |  |
|  Hewlett Packard Enterprise Co. | (384253) | (6132678) | 20.7 |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (196752412) |  |
|  **Net Value of Reference Entity — Citibank N.A** | **Net Value of Reference Entity — Citibank N.A** | $(29646730) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Goldman Sachs Bank USA as of period end, termination date February 27, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |  |
|  Arrow Electronics, Inc. | 19137 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2001156 | 16.7% |
| **Entertainment** |  |  |  |
|  Netflix, Inc. | 95564 | 28179912 | 235.6 |
|  Walt Disney Co. | 454813 | 39514154 | 330.3 |
|  |  | 67694066 |  |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Weyerhaeuser Co. | 182946 | 5671326 | 47.4 |
| **Food Products** |  |  |  |
|  Campbell Soup Co. | 42383 | 2405235 | 20.1 |
| **Health Care Providers & Services** |  |  |  |
|  UnitedHealth Group, Inc. | 76101 | 40347228 | 337.3 |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Expedia Group, Inc. | 21218 | 1858697 | 15.5 |
| **Insurance** |  |  |  |
|  Marsh & McLennan Cos., Inc. | 57464 | 9509143 | 79.5 |
| **Media** |  |  |  |
|  Comcast Corp. | 586576 | 20512563 | 171.5 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Marathon Petroleum Corp. | 23173 | 2697105 | 22.6 |
| **Pharmaceuticals** |  |  |  |
|  Johnson & Johnson | 15662 | 2766692 | 23.1 |
| **Total Reference Entity — Long** |  | 155463211 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** |  |  |  |
|  Boeing Co. | (37936) | (7226429) | (60.4) |
| **Consumer Finance** |  |  |  |
|  OneMain Holdings, Inc. | (1057) | (35209) | (0.3) |
| **Containers & Packaging** |  |  |  |
|  Ball Corp. | (86734) | (4435577) | (37.1) |
| **Diversified Telecommunication Services** |  |  |  |
|  Lumen Technologies, Inc. | (1426795) | (7447870) | (62.3) |
| **Equity Real Estate Investment Trusts (REITs)** |  |  |  |
|  Simon Property Group, Inc. | (37402) | (4393987) | (36.7) |
| **Health Care Providers & Services** |  |  |  |
|  Universal Health Services, Inc. | (287567) | (40515315) | (338.7) |
| **Household Durables** |  |  |  |
|  Dr. Horton, Inc. | (123401) | (10999965) | (92.0) |
| **Household Products** |  |  |  |
|  Procter & Gamble Co. | (95332) | (14448518) | (120.8) |
| **Insurance** |  |  |  |
|  MetLife, Inc. | (106831) | (7731359) | (64.6) |

---

S C H E D U L E O F I N V E S T M E N T S 47

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Cleveland-Cliffs, Inc. | (98076) | $(1580004) | (13.2)% |
| **Multiline Retail** | **Multiline Retail** | **Multiline Retail** | **Multiline Retail** |
|  Target Corp. | (4211) | (627607) | (5.2) |
| **Multi-Utilities** | **Multi-Utilities** | **Multi-Utilities** | **Multi-Utilities** |
|  Sempra Energy | (172499) | (26657995) | (222.8) |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Devon Energy Corp. | (64360) | (3958784) | (33.1) |
|  Hess Corp. | (34673) | (4917325) | (41.1) |
|  TC Energy Corp. | (213868) | (8524778) | (71.3) |
|  |  | (17400887) |  |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (143500722) |  |
|  **Net Value of Reference Entity — Goldman Sachs Bank USA** | **Net Value of Reference Entity — Goldman Sachs Bank USA** | $11962489 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Goldman Sachs Bank USA as of period end, termination date February 27, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Biotechnology** | **Biotechnology** | **Biotechnology** | **Biotechnology** |
|  Amgen, Inc. | 2289 | $601183 | (1.4)% |
| **Building Products** | **Building Products** | **Building Products** | **Building Products** |
|  Owens Corning | 35523 | 3030112 | (7.1) |
| **Capital Markets** | **Capital Markets** | **Capital Markets** | **Capital Markets** |
|  CME Group, Inc. | 29368 | 4938523 | (11.5) |
|  FactSet Research Systems, Inc. | 18239 | 7317669 | (17.1) |
|  |  | 12256192 |  |
| **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** |
|  Westrock Co. | 199353 | 7009251 | (16.4) |
| **Diversified Financial Services** | **Diversified Financial Services** | **Diversified Financial Services** | **Diversified Financial Services** |
|  Voya Financial, Inc. | 37153 | 2284538 | (5.3) |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Trimble, Inc. | 31635 | 1599466 | (3.7) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  Camden Property Trust | 24963 | 2792860 | (6.5) |
|  Healthpeak Properties, Inc. | 80412 | 2015929 | (4.7) |
|  Mid-America Apartment Communities, Inc. | 2043 | 320731 | (0.8) |
|  |  | 5129520 |  |
| **Food Products** | **Food Products** | **Food Products** | **Food Products** |
|  Kraft Heinz Co. | 500255 | 20365381 | (47.5) |
|  Tyson Foods, Inc., Class A | 47231 | 2940130 | (6.9) |
|  |  | 23305511 |  |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |
|  Laboratory Corp. of America Holdings | 47324 | 11143856 | (26.0) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Royal Caribbean Cruises Ltd. | 26460 | $1307918 | (3.1)% |
| **Household Products** | **Household Products** | **Household Products** | **Household Products** |
|  Clorox Co. | 7416 | 1040687 | (2.4) |
|  Kimberly Clark Corp. | 72697 | 9868618 | (23.1) |
|  |  | 10909305 |  |
| **Leisure Products** | **Leisure Products** | **Leisure Products** | **Leisure Products** |
|  Hasbro, Inc. | 325223 | 19841855 | (46.3) |
| **Life Sciences Tools & Services** | **Life Sciences Tools & Services** | **Life Sciences Tools & Services** | **Life Sciences Tools & Services** |
|  Charles River Laboratories International, Inc. | 1113 | 242523 | (0.6) |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Nucor Corp. | 61499 | 8106183 | (18.9) |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Coterra Energy, Inc. | 97443 | 2394175 | (5.6) |
|  Marathon Petroleum Corp. | 67373 | 7841543 | (18.3) |
|  |  | 10235718 |  |
| **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** |
|  Elanco Animal Health, Inc. | 660233 | 8068047 | (18.8) |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  QUALCOMM, Inc. | 80614 | 8862703 | (20.7) |
|  Skyworks Solutions, Inc. | 4044 | 368530 | (0.9) |
|  |  | 9231233 |  |
| **Specialty Retail** |  |  |  |
|  Bath & Body Works, Inc. | 773610 | 32599925 | (76.1) |
|  **Total Reference Entity — Long** |  | 166902336 |  |
|  **Reference Entity — Short** |  |  |  |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** |
|  Huntington Ingalls Industries, Inc. | (3794) | (875200) | 2.0 |
| **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** |
|  Ball Corp. | (153913) | (7871111) | 18.4 |
|  Crown Holdings, Inc. | (69577) | (5719925) | 13.3 |
|  |  | (13591036) |  |
| **Electric Utilities** | **Electric Utilities** | **Electric Utilities** | **Electric Utilities** |
|  FirstEnergy Corp. | (179684) | (7535947) | 17.6 |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |
|  Tenet Healthcare Corp. | (113622) | (5543617) | 13.0 |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Yum! Brands, Inc. | (200867) | (25727045) | 60.1 |
| **Household Durables** | **Household Durables** | **Household Durables** | **Household Durables** |
|  Dr. Horton, Inc. | (49062) | (4373387) | 10.2 |
|  PulteGroup, Inc. | (93087) | (4238251) | 9.9 |
|  |  | (8611638) |  |
| **Household Products** | **Household Products** | **Household Products** | **Household Products** |
|  Church & Dwight Co., Inc. | (7462) | (601512) | 1.4 |
| **Insurance** | **Insurance** | **Insurance** | **Insurance** |
|  Allstate Corp. | (52211) | (7079812) | 16.5 |
|  Brown & Brown, Inc. | (40923) | (2331383) | 5.5 |
|  |  | (9411195) |  |

---

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **IT Services** | **IT Services** | **IT Services** | **IT Services** |
|  Fidelity National Information Services, Inc. | (20389) | $(1383394) | 3.2% |
|  Global Payments, Inc. | (54202) | (5383342) | 12.6 |
|  |  | (6766736) |  |
| **Media** | **Media** | **Media** | **Media** |
|  Comcast Corp. | (786549) | (27505618) | 64.2 |
|  Interpublic Group of Cos., Inc. | (7160) | (238500) | 0.6 |
|  |  | (27744118) |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Canadian Natural Resources Ltd. | (253732) | (14089738) | 32.9 |
|  Diamondback Energy, Inc. | (204937) | (28031283) | 65.5 |
|  Hess Corp. | (7707) | (1093007) | 2.5 |
|  Marathon Oil Corp. | (105444) | (2854369) | 6.7 |
|  |  | (46068397) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  Broadcom, Inc. | (47200) | (26390936) | 61.6 |
| **Textiles, Apparel & Luxury Goods** | **Textiles, Apparel & Luxury Goods** | **Textiles, Apparel & Luxury Goods** | **Textiles, Apparel & Luxury Goods** |
|  Ralph Lauren Corp., Class A | (144882) | (15309681) | 35.7 |
|  Tapestry, Inc. | (102188) | (3891319) | 9.1 |
|  VF Corp. | (144304) | (3984234) | 9.3 |
|  |  | (23185234) |  |
| **Trading Companies & Distributors** | **Trading Companies & Distributors** | **Trading Companies & Distributors** | **Trading Companies & Distributors** |
|  United Rentals, Inc. | (21596) | (7675650) | 17.9 |
|  **Total Reference Entity — Short** |  | (209728261) |  |
|  Net Value of Reference Entity — Goldman Sachs Bank USA | Net Value of Reference Entity — Goldman Sachs Bank USA | $(42825925) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with HSBC Bank PLC as of period end, termination date February 10, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |
| **Common Stocks** |  |  |  |
| **Capital Markets** |  |  |  |
|  CME Group, Inc. | 45703 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7685416 | (72.8)% |
| **Diversified Consumer Services** | **Diversified Consumer Services** | **Diversified Consumer Services** | **Diversified Consumer Services** |
|  H&R Block, Inc. | 236675 | 8641004 | (81.9) |
| **Diversified Financial Services** | **Diversified Financial Services** | **Diversified Financial Services** | **Diversified Financial Services** |
|  Equitable Holdings, Inc. | 111741 | 3206967 | (30.4) |
| **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** |
|  AT&T, Inc. | 265553 | 4888831 | (46.3) |
| **Electric Utilities** | **Electric Utilities** | **Electric Utilities** | **Electric Utilities** |
|  Eversource Energy | 23962 | 2008974 | (19.0) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  Boston Properties, Inc. | 65327 | 4414798 | (41.8) |
|  Healthpeak Properties, Inc. | 106426 | 2668100 | (25.3) |
|  |  | 7082898 |  |
| **Food & Staples Retailing** | **Food & Staples Retailing** | **Food & Staples Retailing** | **Food & Staples Retailing** |
|  Kroger Co. | 27275 | 1215920 | (11.5) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Food Products** | **Food Products** | **Food Products** | **Food Products** |
|  Tyson Foods, Inc., Class A | 45010 | $2801872 | (26.6)% |
| **Gas Utilities** | **Gas Utilities** | **Gas Utilities** | **Gas Utilities** |
|  Atmos Energy Corp. | 44812 | 5022081 | (47.6) |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |
|  CVS Health Corp. | 20588 | 1918596 | (18.2) |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Caesars Entertainment, Inc. | 50127 | 2085283 | (19.8) |
| **Insurance** | **Insurance** | **Insurance** | **Insurance** |
|  American International Group, Inc. | 63551 | 4018965 | (38.1) |
|  Hartford Financial Services Group, Inc. | 173238 | 13136638 | (124.4) |
|  |  | 17155603 |  |
| **Life Sciences Tools & Services** | **Life Sciences Tools & Services** | **Life Sciences Tools & Services** | **Life Sciences Tools & Services** |
|  Avantor, Inc. | 210778 | 4445308 | (42.1) |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Newmont Corp. | 103874 | 4902853 | (46.5) |
|  Nucor Corp. | 25891 | 3412693 | (32.3) |
|  |  | 8315546 |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Coterra Energy, Inc. | 96886 | 2380489 | (22.5) |
|  SM Energy Co. | 87946 | 3063159 | (29.0) |
|  Valero Energy Corp. | 46981 | 5960010 | (56.5) |
|  |  | 11403658 |  |
| **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** |
|  Elanco Animal Health, Inc. | 277414 | 3389999 | (32.1) |
| **Software** | **Software** | **Software** | **Software** |
|  PTC, Inc. | 62304 | 7478972 | (70.9) |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | 98746928 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |
| **Common Stocks** |  |  |  |
| **Building Products** | **Building Products** | **Building Products** | **Building Products** |
|  Fortune Brands Home & Security, Inc. | (119911) | (6848117) | 64.9 |
| **Chemicals** | **Chemicals** | **Chemicals** | **Chemicals** |
|  Ecolab, Inc. | (47992) | (6985715) | 66.2 |
|  PPG Industries, Inc. | (117397) | (14761499) | 139.8 |
|  |  | (21747214) |  |
| **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** |
|  Amcor PLC | (456336) | (5434962) | 51.5 |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Teledyne Technologies, Inc. | (7190) | (2875353) | 27.2 |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |
|  Dentsply Sirona, Inc. | (92932) | (2958955) | 28.0 |
| **Household Durables** | **Household Durables** | **Household Durables** | **Household Durables** |
|  Dr. Horton, Inc. | (146555) | (13063913) | 123.8 |
|  Lennar Corp. | (18855) | (1706377) | 16.1 |
|  |  | (14770290) |  |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |
|  AES Corp. | (58424) | (1680274) | 15.9 |
| **Insurance** |  |  |  |
|  Brown & Brown, Inc. | (54262) | (3091306) | 29.3 |

---

S C H E D U L E O F I N V E S T M E N T S 49

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Freeport-McMoRan, Inc. | (302063) | $(11478394) | 108.8% |
| **Multiline Retail** | **Multiline Retail** | **Multiline Retail** | **Multiline Retail** |
|  Kohl's Corp. | (359677) | (9081844) | 86.1 |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Hess Corp. | (14461) | (2050859) | 19.4 |
|  Kinder Morgan, Inc. | (49452) | (894092) | 8.5 |
|  ONEOK, Inc. | (113249) | (7440460) | 70.5 |
|  Ovintiv, Inc. | (48568) | (2462883) | 23.3 |
|  |  | (12848294) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  Marvell Technology, Inc. | (160936) | (5961070) | 56.5 |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |
|  Ross Stores, Inc. | (39871) | (4627827) | 43.9 |
| **Tobacco** | **Tobacco** | **Tobacco** | **Tobacco** |
|  Philip Morris International, Inc. | (58273) | (5897810) | 55.9 |
|  **Total Reference Entity — Short** |  | (109301710) |  |
|  **Net Value of Reference Entity — HSBC Bank PLC** |  | $(10554782) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with HSBC Bank PLC as of period end, termination date February 10, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |
| **Common Stocks** |  |  |  |
| **Airlines** | **Airlines** | **Airlines** | **Airlines** |
|  Southwest Airlines Co. | 164613 | $5542520 | (11.2)% |
| **Auto Components** | **Auto Components** | **Auto Components** | **Auto Components** |
|  Goodyear Tire & Rubber Co. | 184483 | 1872502 | (3.8) |
| **Biotechnology** | **Biotechnology** | **Biotechnology** | **Biotechnology** |
|  Amgen, Inc. | 40699 | 10689185 | (21.5) |
| **Diversified Consumer Services** | **Diversified Consumer Services** | **Diversified Consumer Services** | **Diversified Consumer Services** |
|  H&R Block, Inc. | 172454 | 6296296 | (12.7) |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Arrow Electronics, Inc. | 8926 | 933392 | (1.9) |
| **Food Products** | **Food Products** | **Food Products** | **Food Products** |
|  Campbell Soup Co. | 120352 | 6829976 | (13.7) |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |
|  Baxter International, Inc. | 56335 | 2871395 | (5.8) |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Aramark | 652968 | 26993697 | (54.3) |
|  Boyd Gaming Corp. | 132060 | 7201232 | (14.5) |
|  |  | 34194929 |  |
| **Insurance** | **Insurance** | **Insurance** | **Insurance** |
|  Allstate Corp. | 95809 | 12991700 | (26.2) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
|  American International Group, Inc. | 152448 | $9640812 | (19.4)% |
|  Loews Corp. | 83513 | 4871313 | (9.8) |
|  |  | 27503825 |  |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Newmont Corp. | 93939 | 4433921 | (8.9) |
| **Pharmaceuticals** |  |  |  |
|  Johnson & Johnson | 95500 | 16870075 | (34.0) |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | 118038016 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |
| **Common Stocks** |  |  |  |
| **Air Freight & Logistics** | **Air Freight & Logistics** | **Air Freight & Logistics** | **Air Freight & Logistics** |
|  United Parcel Service, Inc., Class B | (76310) | (13265730) | 26.7 |
| **Airlines** | **Airlines** | **Airlines** | **Airlines** |
|  United Airlines Holdings, Inc. | (458645) | (17290917) | 34.8 |
| **Chemicals** | **Chemicals** | **Chemicals** | **Chemicals** |
|  Eastman Chemical Co. | (110168) | (8972082) | 18.1 |
|  Sherwin-Williams Co. | (10454) | (2481048) | 5.0 |
|  |  | (11453130) |  |
| **Consumer Finance** | **Consumer Finance** | **Consumer Finance** | **Consumer Finance** |
|  OneMain Holdings, Inc. | (265680) | (8849801) | 17.8 |
| **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** |
|  Ball Corp. | (161463) | (8257218) | 16.6 |
| **Electric Utilities** | **Electric Utilities** | **Electric Utilities** | **Electric Utilities** |
|  NRG Energy, Inc. | (260524) | (8289873) | 16.7 |
|  Southern Co. | (15831) | (1130492) | 2.3 |
|  |  | (9420365) |  |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  Simon Property Group, Inc. | (112256) | (13187835) | 26.6 |
| **Food & Staples Retailing** | **Food & Staples Retailing** | **Food & Staples Retailing** | **Food & Staples Retailing** |
|  Walmart, Inc. | (117658) | (16682728) | 33.6 |
| **Food Products** | **Food Products** | **Food Products** | **Food Products** |
|  Conagra Brands, Inc. | (92058) | (3562645) | 7.2 |
|  Mondelez International, Inc. | (137610) | (9171706) | 18.4 |
|  |  | (12734351) |  |
| **Household Durables** | **Household Durables** | **Household Durables** | **Household Durables** |
|  Lennar Corp. | (156318) | (14146779) | 28.5 |
|  Whirlpool Corp. | (49859) | (7053054) | 14.2 |
|  |  | (21199833) |  |
| **Household Products** | **Household Products** | **Household Products** | **Household Products** |
|  Procter & Gamble Co. | (16541) | (2506954) | 5.0 |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |
|  Vistra Corp. | (268909) | (6238689) | 12.6 |
| **Machinery** | **Machinery** | **Machinery** | **Machinery** |
|  Deere & Co. | (36332) | (15577708) | 31.4 |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Devon Energy Corp. | (77524) | (4768501) | 9.6 |
| **Software** | **Software** | **Software** | **Software** |
|  Oracle Corp. | (39386) | (3219412) | 6.5 |

---

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Trading Companies & Distributors** | **Trading Companies & Distributors** | **Trading Companies & Distributors** | **Trading Companies & Distributors** |
|  United Rentals, Inc. | (8574) | $(3047371) | 6.1% |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (167700543) |  |
|  **Net Value of Reference Entity — HSBC Bank PLC** | **Net Value of Reference Entity — HSBC Bank PLC** | $(49662527) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Bank of America N.A. as of period end, termination date February 15, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** |
|  Northrop Grumman Corp. | 29779 | $16247720 | (29.9)% |
| **Biotechnology** | **Biotechnology** | **Biotechnology** | **Biotechnology** |
|  Biogen, Inc. | 33106 | 9167713 | (16.9) |
|  Gilead Sciences, Inc. | 370254 | 31786306 | (58.6) |
|  |  | 40954019 |  |
| **Building Products** | **Building Products** | **Building Products** | **Building Products** |
|  Masco Corp. | 54246 | 2531661 | (4.6) |
|  Owens Corning | 39261 | 3348963 | (6.2) |
|  |  | 5880624 |  |
| **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** | **Containers & Packaging** |
|  Packaging Corp. of America | 94301 | 12062041 | (22.2) |
|  Westrock Co. | 18578 | 653202 | (1.2) |
|  |  | 12715243 |  |
| **Electric Utilities** | **Electric Utilities** | **Electric Utilities** | **Electric Utilities** |
|  Eversource Energy | 139431 | 11689895 | (21.5) |
|  Exelon Corp. | 26821 | 1159472 | (2.2) |
|  |  | 12849367 |  |
| **Energy Equipment & Services** | **Energy Equipment & Services** | **Energy Equipment & Services** | **Energy Equipment & Services** |
|  Transocean Ltd. | 1850275 | 8437254 | (15.5) |
| **Entertainment** | **Entertainment** | **Entertainment** | **Entertainment** |
|  Take-Two Interactive Software, Inc. | 166761 | 17364823 | (32.0) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  AvalonBay Communities, Inc. | 32962 | 5324022 | (9.8) |
|  Boston Properties, Inc. | 52757 | 3565318 | (6.6) |
|  Crown Castle, Inc. | 167211 | 22680500 | (41.8) |
|  UDR, Inc. | 161754 | 6264733 | (11.5) |
|  Weyerhaeuser Co. | 68643 | 2127933 | (3.9) |
|  |  | 39962506 |  |
| **Food Products** | **Food Products** | **Food Products** | **Food Products** |
|  Darling Ingredients, Inc. | 523554 | 32769245 | (60.4) |
|  Kellogg Co. | 65302 | 4652115 | (8.6) |
|  Tyson Foods, Inc., Class A | 101717 | 6331883 | (11.6) |
|  |  | 43753243 |  |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |
|  Baxter International, Inc. | 3281 | 167233 | (0.3) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Caesars Entertainment, Inc. | 437915 | $18217264 | (33.6)% |
|  Penn Entertainment, Inc. | 522648 | 15522646 | (28.6) |
|  |  | 33739910 |  |
| **Insurance** | **Insurance** | **Insurance** | **Insurance** |
|  Hartford Financial Services Group, Inc. | 28855 | 2188074 | (4.0) |
|  Lincoln National Corp. | 26426 | 811807 | (1.5) |
|  |  | 2999881 |  |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Newmont Corp. | 78702 | 3714734 | (6.9) |
| **Multiline Retail** | **Multiline Retail** | **Multiline Retail** | **Multiline Retail** |
|  Macy's, Inc. | 1559804 | 32209953 | (59.3) |
| **Multi-Utilities** | **Multi-Utilities** | **Multi-Utilities** | **Multi-Utilities** |
|  Dominion Energy, Inc. | 63382 | 3886584 | (7.2) |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  APA Corp. | 61854 | 2887345 | (5.3) |
|  Coterra Energy, Inc. | 269868 | 6630657 | (12.2) |
|  SM Energy Co. | 103161 | 3593097 | (6.7) |
|  |  | 13111099 |  |
| **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** | **Pharmaceuticals** |
|  Elanco Animal Health, Inc. | 1400371 | 17112534 | (31.5) |
|  Zoetis, Inc. | 16700 | 2447385 | (4.5) |
|  |  | 19559919 |  |
| **Road & Rail** | **Road & Rail** | **Road & Rail** | **Road & Rail** |
|  Norfolk Southern Corp. | 8416 | 2073871 | (3.8) |
|  Uber Technologies, Inc. | 1286288 | 31809902 | (58.6) |
|  |  | 33883773 |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  NXP Semiconductors NV | 61218 | 9674280 | (17.8) |
| **Software** | **Software** | **Software** | **Software** |
|  PTC, Inc. | 11880 | 1426075 | (2.6) |
|  Salesforce, Inc. | 244650 | 32438144 | (59.8) |
|  |  | 33864219 |  |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |
|  Best Buy Co., Inc. | 66414 | 5327067 | (9.8) |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |
|  NetApp, Inc. | 194687 | 11692901 | (21.5) |
|  Seagate Technology Holdings PLC | 624721 | 32866572 | (60.6) |
|  |  | 44559473 |  |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | 434862924 |  |
| **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |
| **Common Stocks** |  |  |  |
| **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** | **Aerospace & Defense** |
|  Lockheed Martin Corp. | (54964) | (26739436) | 49.3 |
| **Capital Markets** | **Capital Markets** | **Capital Markets** | **Capital Markets** |
|  Raymond James Financial, Inc. | (100693) | (10759047) | 19.8 |
| **Chemicals** | **Chemicals** | **Chemicals** | **Chemicals** |
|  Celanese Corp., Class A | (221738) | (22670493) | 41.8 |
|  Ecolab, Inc. | (48696) | (7088190) | 13.0 |
|  |  | (29758683) |  |
| **Communications Equipment** | **Communications Equipment** | **Communications Equipment** | **Communications Equipment** |
|  Juniper Networks, Inc. | (225761) | (7215322) | 13.3 |

---

S C H E D U L E O F I N V E S T M E N T S 51

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Consumer Finance** | **Consumer Finance** | **Consumer Finance** | **Consumer Finance** |
|  Ally Financial, Inc. | (131529) | $(3215884) | 5.9% |
|  Discover Financial Services | (41023) | (4013280) | 7.4 |
|  |  | (7229164) |  |
| **Distributors** | **Distributors** | **Distributors** | **Distributors** |
|  Genuine Parts Co. | (167390) | (29043839) | 53.5 |
| **Electric Utilities** | **Electric Utilities** | **Electric Utilities** | **Electric Utilities** |
|  NRG Energy, Inc. | (841615) | (26780189) | 49.3 |
| **Electrical Equipment** | **Electrical Equipment** | **Electrical Equipment** | **Electrical Equipment** |
|  Emerson Electric Co. | (329442) | (31646198) | 58.3 |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Flex Ltd. | (598099) | (12835205) | 23.6 |
|  Teledyne Technologies, Inc. | (8507) | (3402034) | 6.3 |
|  |  | (16237239) |  |
| **Entertainment** | **Entertainment** | **Entertainment** | **Entertainment** |
|  Warner Bros Discovery, Inc. | (3457666) | (32778674) | 60.4 |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |
|  Iron Mountain, Inc. | (396739) | (19777439) | 36.4 |
|  Realty Income Corp. | (2210) | (140180) | 0.3 |
|  |  | (19917619) |  |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |
|  Boston Scientific Corp. | (15896) | (735508) | 1.4 |
|  Teleflex, Inc. | (37447) | (9347895) | 17.2 |
|  |  | (10083403) |  |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |
|  Molina Healthcare, Inc. | (77241) | (25506523) | 47.0 |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |
|  Hyatt Hotels Corp., Class A | (157019) | (14202369) | 26.2 |
| **Household Durables** | **Household Durables** | **Household Durables** | **Household Durables** |
|  Dr. Horton, Inc. | (45432) | (4049808) | 7.5 |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |
|  AES Corp. | (311264) | (8951953) | 16.5 |
| **Insurance** | **Insurance** | **Insurance** | **Insurance** |
|  Brown & Brown, Inc. | (161438) | (9197123) | 16.9 |
|  Travelers Cos., Inc. | (11873) | (2226069) | 4.1 |
|  |  | (11423192) |  |
| **Interactive Media & Services** | **Interactive Media & Services** | **Interactive Media & Services** | **Interactive Media & Services** |
|  ZoomInfo Technologies, Inc., Class A | (94544) | (2846720) | 5.2 |
| **IT Services** | **IT Services** | **IT Services** | **IT Services** |
|  Block, Inc. | (378572) | (23789464) | 43.8 |
|  GoDaddy, Inc., Class A | (22886) | (1712331) | 3.2 |
|  Twilio, Inc., Class A | (652437) | (31943316) | 58.8 |
|  Western Union Co. | (89334) | (1230129) | 2.3 |
|  |  | (58675240) |  |
| **Machinery** | **Machinery** | **Machinery** | **Machinery** |
|  Cummins, Inc. | (119666) | (28993875) | 53.4 |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |
|  Freeport-McMoRan, Inc. | (193639) | (7358282) | 13.5 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Multiline Retail** | **Multiline Retail** | **Multiline Retail** | **Multiline Retail** |
|  Dollar Tree, Inc. | (33632) | $(4756910) | 8.8% |
|  Nordstrom, Inc. | (998812) | (16120826) | 29.7 |
|  Target Corp. | (143565) | (21396927) | 39.4 |
|  |  | (42274663) |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |
|  Antero Resources Corp. | (22188) | (687606) | 1.3 |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |
|  Micron Technology, Inc. | (619718) | (30973506) | 57.1 |
| **Specialty Retail** | **Specialty Retail** | **Specialty Retail** | **Specialty Retail** |
|  Ross Stores, Inc. | (43193) | (5013411) | 9.2 |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (489145961) |  |
| **Net Value of Reference Entity — Merrill Lynch International** | **Net Value of Reference Entity — Merrill Lynch International** |  |  |
|  |  | $(54283037) |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Bank of America N.A. as of period end, termination date February 15, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Airlines** |  |  |  |
|  Delta Air Lines, Inc. | 1090705 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35840566 | 67.6% |
| **Auto Components** |  |  |  |
|  Goodyear Tire & Rubber Co. | 2370177 | 24057297 | 45.4 |
| **Chemicals** |  |  |  |
|  Olin Corp. | 744791 | 39429236 | 74.4 |
| **Containers & Packaging** |  |  |  |
|  International Paper Co. | 1114754 | 38603931 | 72.8 |
| **Diversified Consumer Services** |  |  |  |
|  H&R Block, Inc. | 540614 | 19737817 | 37.2 |
| **Electric Utilities** |  |  |  |
|  Duke Energy Corp. | 402242 | 41426904 | 78.2 |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |  |  |
|  Arrow Electronics, Inc. | 51926 | 5429902 | 10.3 |
| **Energy Equipment & Services** |  |  |  |
|  Halliburton Co. | 79610 | 3132654 | 5.9 |
| **Food Products** |  |  |  |
|  Campbell Soup Co. | 283251 | 16074494 | 30.3 |
| **Health Care Providers & Services** |  |  |  |
|  Cardinal Health, Inc. | 26248 | 2017684 | 3.8 |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  Aramark | 307103 | 12695638 | 24.0 |
|  Boyd Gaming Corp. | 66009 | 3599471 | 6.8 |

---

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |  |
|  Marriott International, Inc. | 74644 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11113745 | 21.0% |
|  MGM Resorts International | 677361 | 22711914 | 42.8 |
|  |  | 50120768 |  |
| **Household Durables** |  |  |  |
|  Toll Brothers, Inc. | 107992 | 5390961 | 10.2 |
| **Insurance** |  |  |  |
|  Loews Corp. | 304050 | 17735236 | 33.4 |
|  Marsh & McLennan Cos., Inc. | 53400 | 8836632 | 16.7 |
|  |  | 26571868 |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |  |
|  APA Corp. | 134507 | 6278787 | 11.8 |
|  Murphy Oil Corp. | 615671 | 26480010 | 50.0 |
|  Williams Cos., Inc. | 602423 | 19819716 | 37.4 |
|  |  | 52578513 |  |
| **Pharmaceuticals** |  |  |  |
|  Johnson & Johnson | 12799 | 2260943 | 4.3 |
|  Pfizer, Inc. | 31417 | 1609807 | 3.0 |
|  |  | 3870750 |  |
| **Road & Rail** |  |  |  |
|  CSX Corp. | 212777 | 6591831 | 12.4 |
| **Specialty Retail** |  |  |  |
|  Bath & Body Works, Inc. | 754165 | 31780513 | 60.0 |
| **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** | **Technology Hardware, Storage & Peripherals** |  |
|  Xerox Holdings Corp. | 786117 | 11477308 | 21.7 |
| **Total Reference Entity — Long** | **Total Reference Entity — Long** | 414132997 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Automobiles** |  |  |  |
|  Ford Motor Co. | (1569609) | (18254553) | (34.5) |
| **Chemicals** |  |  |  |
|  Eastman Chemical Co. | (66694) | (5431559) | (10.3) |
| **Consumer Finance** |  |  |  |
|  Capital One Financial Corp. | (19955) | (1855017) | (3.5) |
|  OneMain Holdings, Inc. | (345825) | (11519431) | (21.7) |
|  |  | (13374448) |  |
| **Diversified Telecommunication Services** | **Diversified Telecommunication Services** | **Diversified Telecommunication Services** |  |
|  Verizon Communications, Inc. | (974958) | (38413345) | (72.5) |
| **Electric Utilities** |  |  |  |
|  FirstEnergy Corp. | (482912) | (20253329) | (38.2) |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Equity Residential | (651269) | (38424871) | (72.5) |
|  Iron Mountain, Inc. | (380064) | (18946191) | (35.7) |
|  Simon Property Group, Inc. | (71209) | (8365633) | (15.8) |
|  |  | (65736695) |  |
| **Food Products** |  |  |  |
|  Conagra Brands, Inc. | (34675) | (1341922) | (2.5) |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |  |
|  Carnival Corp. | (85301) | (687526) | (1.3) |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Household Durables** | **Household Durables** | **Household Durables** |  |
|  PulteGroup, Inc. | (115258) | $(5247697) | (9.9)% |
|  Whirlpool Corp. | (32280) | (4566329) | (8.6) |
|  |  | (9814026) |  |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |  |
|  AES Corp. | (429017) | (12338529) | (23.3) |
| **Machinery** | **Machinery** | **Machinery** |  |
|  Caterpillar, Inc. | (19304) | (4624466) | (8.7) |
| **Media** | **Media** | **Media** |  |
|  Altice USA, Inc. | (69901) | (321545) | (0.6) |
| **Metals & Mining** | **Metals & Mining** | **Metals & Mining** |  |
|  Cleveland-Cliffs, Inc. | (1587315) | (25571645) | (48.3) |
|  Freeport-McMoRan, Inc. | (414896) | (15766048) | (29.7) |
|  Teck Resources Ltd. | (255205) | (9651853) | (18.2) |
|  |  | (50989546) |  |
| **Multiline Retail** | **Multiline Retail** | **Multiline Retail** |  |
|  Macy's, Inc. | (371884) | (7679404) | (14.5) |
|  Target Corp. | (263047) | (39204525) | (74.0) |
|  |  | (46883929) |  |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |
|  Canadian Natural Resources Ltd. | (4924) | (273430) | (0.5) |
|  Devon Energy Corp. | (127083) | (7816875) | (14.8) |
|  Enbridge, Inc. | (458213) | (17916128) | (33.8) |
|  Pioneer Natural Resources Co. | (140962) | (32194311) | (60.7) |
|  |  | (58200744) |  |
| **Software** | **Software** | **Software** |  |
|  Oracle Corp. | (169144) | (13825831) | (26.1) |
| **Thrifts & Mortgage Finance** | **Thrifts & Mortgage Finance** | **Thrifts & Mortgage Finance** |  |
|  Radian Group, Inc. | (33612) | (640981) | (1.2) |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (361132974) |  |
|  **Net Value of Reference Entity — Merrill Lynch International** | **Net Value of Reference Entity — Merrill Lynch International** | $53000023 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Morgan Stanley & Co. International PLC as of period end, termination date October 3, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
|  **Reference Entity — Long** | **Reference Entity — Long** | **Reference Entity — Long** |  |
| **Common Stocks** |  |  |  |
| **Auto Components** |  |  |  |
|  BorgWarner, Inc. | 505388 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20341867 | 496.5% |
| **Containers & Packaging** |  |  |  |
|  Westrock Co. | 120983 | 4253762 | 103.8 |
| **Electric Utilities** |  |  |  |
|  American Electric Power Co., Inc. | 202591 | 19236015 | 469.5 |
|  Exelon Corp. | 312355 | 13503107 | 329.5 |
|  |  | 32739122 |  |
| **Energy Equipment & Services** | **Energy Equipment & Services** |  |  |
|  Halliburton Co. | 357957 | 14085608 | 343.8 |

---

S C H E D U L E O F I N V E S T M E N T S 53

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Food & Staples Retailing** |  |  |  |  |
|  Kroger Co. |  | 329243 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14677653 | 358.2% |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |  |  |
|  Baxter International, Inc. |  | 134321 | 6846341 | 167.1 |
| **Health Care Providers & Services** | **Health Care Providers & Services** | **Health Care Providers & Services** |  |  |
|  Cardinal Health, Inc. |  | 210835 | 16206887 | 395.5 |
|  CVS Health Corp. |  | 130575 | 12168284 | 297.0 |
|  McKesson Corp. |  | 37300 | 13991976 | 341.5 |
|  Quest Diagnostics, Inc. |  | 35679 | 5581623 | 136.2 |
|  |  |  | 47948770 |  |
| **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** | **Hotels, Restaurants & Leisure** |  |  |
|  Boyd Gaming Corp. |  | 172588 | 9411223 | 229.7 |
|  Darden Restaurants, Inc. |  | 179599 | 24843930 | 606.3 |
|  McDonald's Corp. |  | 61456 | 16195500 | 395.3 |
|  |  |  | 50450653 |  |
| **Household Durables** |  |  |  |  |
|  Toll Brothers, Inc. |  | 152870 | 7631271 | 186.3 |
| **Insurance** |  |  |  |  |
|  Hartford Financial Services Group, Inc. |  | 182315 | 13824947 | 337.4 |
|  Marsh & McLennan Cos., Inc. |  | 35132 | 5813643 | 141.9 |
|  |  |  | 19638590 |  |
| **IT Services** |  |  |  |  |
|  DXC Technology Co. |  | 188120 | 4985180 | 121.7 |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |  |
|  Marathon Petroleum Corp. |  | 158498 | 18447582 | 450.2 |
|  Ovintiv, Inc. |  | 42300 | 2145033 | 52.4 |
|  |  |  | 20592615 |  |
| **Pharmaceuticals** |  |  |  |  |
|  Bristol-Myers Squibb Co. |  | 245611 | 17671711 | 431.3 |
|  Pfizer, Inc. |  | 368670 | 18890651 | 461.0 |
|  |  |  | 36562362 |  |
| **Road & Rail** |  |  |  |  |
|  CSX Corp. |  | 290083 | 8986771 | 219.3 |
| **Specialty Retail** |  |  |  |  |
|  AutoZone, Inc. |  | 4345 | 10715552 | 261.5 |
|  **Total Reference Entity — Long** | **Total Reference Entity — Long** | **Total Reference Entity — Long** | 300456117 |  |
| **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |
| **Common Stocks** |  |  |  |  |
| **Aerospace & Defense** |  |  |  |  |
|  Howmet Aerospace, Inc. |  | (366626) | (14448731) | (352.6) |
|  Northrop Grumman Corp. |  | (2359) | (1287094) | (31.4) |
|  TransDigm Group, Inc. |  | (5300) | (3337145) | (81.5) |
|  |  |  | (19072970) |  |
| **Automobiles** |  |  |  |  |
|  Tesla, Inc. |  | (28630) | (3526643) | (86.1) |
| **Chemicals** |  |  |  |  |
|  Corteva, Inc. |  | (284808) | (16741014) | (408.6) |
| **Consumer Finance** |  |  |  |  |
|  Ally Financial, Inc. |  | (518607) | (12679941) | (309.5) |
|  Capital One Financial Corp. |  | (229444) | (21329114) | (520.5) |
|  |  |  | (34009055) |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Containers & Packaging** |  |  |  |  |
|  Ball Corp. |  | (50117) | $(2562983) | (62.6)% |
| **Electric Utilities** |  |  |  |  |
|  NextEra Energy, Inc. |  | (90255) | (7545318) | (184.2) |
|  Southern Co. |  | (310836) | (22196799) | (541.7) |
|  |  |  | (29742117) |  |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  Host Hotels & Resorts, Inc. |  | (910910) | (14620106) | (356.8) |
|  Iron Mountain, Inc. |  | (39039) | (1946094) | (47.5) |
|  |  |  | (16566200) |  |
| **Food Products** |  |  |  |  |
|  Conagra Brands, Inc. |  | (269285) | (10421329) | (254.3) |
|  Kraft Heinz Co. |  | (966229) | (39335183) | (960.0) |
|  Lamb Weston Holdings, Inc. |  | (88948) | (7948393) | (194.0) |
|  Mondelez International, Inc. |  | (350051) | (23330899) | (569.4) |
|  |  |  | (81035804) |  |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |  |
|  Boston Scientific Corp. |  | (233226) | (10791367) | (263.4) |
| **Household Durables** |  |  |  |  |
|  PulteGroup, Inc. |  | (105645) | (4810017) | (117.4) |
| **Independent Power and Renewable Electricity** | **Independent Power and Renewable Electricity** | **Independent Power and Renewable Electricity** | **Independent Power and Renewable Electricity** |  |
|  Producers |  |  |  |  |
|  AES Corp. |  | (332056) | (9549931) | (233.1) |
| **Insurance** |  |  |  |  |
|  Prudential Financial, Inc. |  | (33070) | (3289142) | (80.3) |
| **Metals & Mining** |  |  |  |  |
|  Teck Resources Ltd. |  | (394731) | (14928726) | (364.3) |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |
|  Enbridge, Inc. |  | (147912) | (5783359) | (141.1) |
| **Thrifts & Mortgage Finance** |  |  |  |  |
|  MGIC Investment Corp. |  | (416281) | (5411653) | (132.1) |
|  Radian Group, Inc. |  | (623996) | (11899604) | (290.4) |
|  |  |  | (17311257) |  |
| **Trading Companies & Distributors** | **Trading Companies & Distributors** | **Trading Companies & Distributors** |  |  |
|  United Rentals, Inc. |  | (47668) | (16942161) | (413.5) |
| **Wireless Telecommunication Services** | **Wireless Telecommunication Services** | **Wireless Telecommunication Services** |  |  |
|  T-Mobile U.S., Inc. |  | (69257) | (9695980) | (236.6) |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | **Total Reference Entity — Short** | (296358726) |  |
|  **Net Value of Reference Entity — Morgan Stanley & Co. International PLC** | **Net Value of Reference Entity — Morgan Stanley & Co. International PLC** | **Net Value of Reference Entity — Morgan Stanley & Co. International PLC** | $4097391 |  |

---

The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Morgan Stanley & Co. International PLC as of period end, termination date October 3, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Reference Entity — Long** | **Reference Entity — Long** |  |  |
|  **Common Stocks** |  |  |  |
| **Airlines** |  |  |  |
|  Delta Air Lines, Inc. | 236907 | $7784764 | <u>3.3</u>% |

---

54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Auto Components** |  |  |  |
|  BorgWarner, Inc. | 353367 | $14223022 | 6.1% |
| **Capital Markets** |  |  |  |
|  Nasdaq, Inc. | 321399 | 19717829 | 8.4 |
| **Chemicals** |  |  |  |
|  CF Industries Holdings, Inc. | 367077 | 31274960 | 13.3 |
| **Commercial Services & Supplies** | **Commercial Services & Supplies** |  |  |
|  Republic Services, Inc., Class A | 242061 | 31223448 | 13.3 |
|  Waste Management, Inc. | 60876 | 9550227 | 4.1 |
|  |  | 40773675 |  |
| **Construction Materials** |  |  |  |
|  Vulcan Materials Co. | 39409 | 6900910 | 2.9 |
| **Diversified Financial Services** |  |  |  |
|  Equitable Holdings, Inc. | 137964 | 3959567 | 1.7 |
|  Voya Financial, Inc. | 271256 | 16679531 | 7.1 |
|  |  | 20639098 |  |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  American Tower Corp. | 57506 | 12183221 | 5.2 |
|  Camden Property Trust | 92066 | 10300344 | 4.4 |
|  Crown Castle, Inc. | 68381 | 9275199 | 4.0 |
|  Healthpeak Properties, Inc. | 144321 | 3618128 | 1.5 |
|  Weyerhaeuser Co. | 691484 | 21436004 | 9.1 |
|  |  | 56812896 |  |
| **Food & Staples Retailing** |  |  |  |
|  Kroger Co. | 240649 | 10728132 | 4.6 |
| **Food Products** |  |  |  |
|  Kellogg Co. | 142398 | 10144434 | 4.3 |
| **Hotels, Restaurants & Leisure** |  |  |  |
|  MGM Resorts International | 198735 | 6663584 | 2.8 |
|  Penn Entertainment, Inc. | 540957 | 16066423 | 6.9 |
|  |  | 22730007 |  |
| **Household Durables** |  |  |  |
|  Whirlpool Corp. | 18148 | 2567216 | 1.1 |
| **Insurance** |  |  |  |
|  American International Group, Inc. | 256247 | 16205060 | 6.9 |
|  Aon PLC | 18513 | 5556492 | 2.4 |
|  |  | 21761552 |  |
| **Internet & Direct Marketing** |  |  |  |
|  Retail eBay, Inc. | 395626 | 16406610 | 7.0 |
| **Metals & Mining** |  |  |  |
|  Steel Dynamics, Inc. | 64925 | 6343172 | 2.7 |
| **Multi-Utilities** |  |  |  |
|  DTE Energy Co. | 117628 | 13824819 | 5.9 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Chevron Corp. | 18899 | 3392182 | 1.5 |
|  EQT Corp. | 684928 | 23171114 | 9.9 |
|  Range Resources Corp. | 594822 | 14882446 | 6.3 |
|  |  | 41445742 |  |
| **Professional Services** |  |  |  |
|  Clarivate PLC | 3898540 | 32513824 | 13.8 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Software** |  |  |  |
|  Elastic NV | 635204 | $32713006 | 13.9% |
| **Specialty Retail** |  |  |  |
|  Murphy USA, Inc. | 112451 | 31434553 | 13.4 |
| **Common Stocks** |  |  |  |
| **Household Products** |  |  |  |
|  Colgate-Palmolive Co. | 200963 | 15833875 | 6.7 |
| **Total Reference Entity — Long** |  | 456574096 |  |
|  **Reference Entity — Short** | **Reference Entity — Short** | **Reference Entity — Short** |  |
| **Common Stocks** |  |  |  |
| **Capital Markets** |  |  |  |
|  Brookfield Corp., Class A | (118996) | (3743614) | (1.6) |
|  Raymond James Financial, Inc. | (197769) | (21131618) | (9.0) |
|  |  | (24875232) |  |
| **Chemicals** |  |  |  |
|  Celanese Corp., Class A | (88427) | (9040776) | (3.9) |
|  FMC Corp. | (81801) | (10208765) | (4.3) |
|  |  | (19249541) |  |
| **Communications Equipment** |  |  |  |
|  Juniper Networks, Inc. | (781151) | (24965586) | (10.6) |
| **Containers & Packaging** |  |  |  |
|  Crown Holdings, Inc. | (1458) | (119862) | (0.0) |
| **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** | **Electronic Equipment, Instruments & Components** |
|  Teledyne Technologies, Inc. | (3412) | (1364493) | (0.6) |
| **Energy Equipment & Services** |  |  |  |
|  Baker Hughes Co., Class A | (514158) | (15183086) | (6.5) |
|  Halliburton Co. | (459542) | (18082978) | (7.7) |
|  |  | (33266064) |  |
| **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** | **Equity Real Estate Investment Trusts (REITs)** |  |
|  VICI Properties, Inc. | (812898) | (26337895) | (11.2) |
| **Health Care Equipment & Supplies** | **Health Care Equipment & Supplies** |  |  |
|  Zimmer Biomet Holdings, Inc. | (30594) | (3900735) | (1.7) |
| **Health Care Providers & Services** | **Health Care Providers & Services** |  |  |
|  Tenet Healthcare Corp. | (489457) | (23880607) | (10.2) |
| **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** | **Independent Power and Renewable Electricity Producers** |  |
|  AES Corp. | (64230) | (1847255) | (0.8) |
| **Insurance** |  |  |  |
|  Allstate Corp. | (2966) | (402189) | (0.1) |
|  Willis Towers Watson PLC | (23772) | (5814156) | (2.5) |
|  |  | (6216345) |  |
| **IT Services** |  |  |  |
|  Global Payments, Inc. | (117453) | (11665432) | (5.0) |
| **Machinery** |  |  |  |
|  Stanley Black & Decker, Inc. | (129095) | (9697616) | (4.1) |

---

S C H E D U L E O F I N V E S T M E N T S 55

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of<br>Basket<br>Value* |
| **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** | **Oil, Gas & Consumable Fuels** |  |
|  Canadian Natural Resources Ltd. | (293711) | $(16309772) | (7.0)% |
|  Cenovus Energy, Inc. | (302585) | (5873175) | (2.5) |
|  |  | (22182947) |  |
| **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** | **Semiconductors & Semiconductor Equipment** |  |
|  Intel Corp. | (465104) | (12292699) | (5.2) |
|  **Total Reference Entity — Short** | **Total Reference Entity — Short** | (221862309) |  |
|  **Net Value of Reference Entity — Morgan Stanley & Co. International PLC** | **Net Value of Reference Entity — Morgan Stanley & Co. International PLC** | $234711787 |  |

---

**Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Swap<br>Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $2699925 | $(59553) | $11205419 | $(11563741) |
|  OTC Swaps |  |  | 15089131 | (27047402) |

---

<sup>(a)</sup> Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. 

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** | **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $60946314 | $— | $60946314 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 236251 |  |  | 236251 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  | 2245207 |  |  | 6058995 | 2901217 | 11205419 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | 15089131 |  |  |  | 15089131 |
|  | $— | $2245207 | $15089131 | $236251 | $67005309 | $2901217 | $87477115 |
| **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $10698871 | $— | $10698871 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 96662 |  |  | 96662 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  | 4188767 |  |  | 7374974 |  | 11563741 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  |  | 27047402 |  |  |  | 27047402 |
|  | $— | $4188767 | $27047402 | $96662 | $18073845 | $— | $49406676 |

---

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

56 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest*<br> *Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $74742159 | $(1740009) | $73002150 |
|  Forward foreign currency exchange contracts |  |  |  | (207722) |  |  | (207722) |
|  Swaps |  | (3049890) | 305906190 |  | (43488002) | (3229523) | 256138775 |
|  | $— | $(3049890) | $305906190 | $(207722) | $31254157 | $(4969532) | $328933203 |
| **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |
|  Futures contracts | $— | $— | $(5842704) | $— | $67599625 | $— | $61756921 |
|  Forward foreign currency exchange contracts |  |  |  | 474859 |  |  | 474859 |
|  Swaps |  | (1943560) | (40851670) |  | (11006550) | 2901217 | (50900563) |
|  | $— | $(1943560) | $(46694374) | $474859 | $56593075 | $2901217 | $11331217 |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments**

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $782601833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $3018179750 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $70089924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $33519323 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | $75225000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | $163500000 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | $903693080 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | $1085435174 |
|  Inflation swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | $70635438 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | $393350574 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $12755588 | $675098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 236251 | 96662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared | 3632385 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 15089131 | 27047402 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 31713355 | 27819162 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (16387973) | (675098) |
|  Total derivative assets and liabilities subject to an MNA | $15325382 | $27144064 |

---

<sup>(a)</sup> Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

S C H E D U L E O F I N V E S T M E N T S 57

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

The following table presents the Fund's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-Cash<br>Collateral<br>Received* | *Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Net Amount<br>of Derivative<br>Assets<sup>(c)(d)</sup>* |
|  BNP Paribas SA | $8173377 | $(1435464) | $– $| (6737913) | $— |
|  Citibank N.A | 2676775 | (816738) | – |  | 1860037 |
|  Deutsche Bank AG | 104063 | (5972) | – |  | 98091 |
|  Goldman Sachs Bank USA | 607050 | (607050) | – |  |  |
|  HSBC Bank PLC | 3641093 | (562526) | – | (1200000) | 1878567 |
|  Societe Generale | 23793 | (23793) | – |  |  |
|  State Street Bank and Trust Co. | 99231 |  | – |  | 99231 |
|  | $15325382 | $(3451543) | $– $| (7937913) | $3935926 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-Cash<br>Collateral<br>Pledged* | *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Net Amount<br>of Derivative<br>Liabilities<sup>(c)(e)</sup>* |
|  Bank of America N.A | $8245858 | $— | $– $| (8245858) | $— |
|  Barclays Bank PLC | 1380850 |  | – | (1380850) |  |
|  BNP Paribas SA | 1435464 | (1435464) | – |  |  |
|  Citibank N.A | 816738 | (816738) | – |  |  |
|  Deutsche Bank AG | 5972 | (5972) | – |  |  |
|  Goldman Sachs Bank USA | 3205275 | (607050) | – |  | 2598225 |
|  HSBC Bank PLC | 562526 | (562526) | – |  |  |
|  Morgan Stanley & Co. International PLC | 11438777 |  | – | (11438777) |  |
|  Royal Bank of Canada | 2518 |  | – |  | 2518 |
|  Societe Generale | 50086 | (23793) | – |  | 26293 |
|  | $27144064 | $(3451543) | $– $| (21065485) | $2627036 |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(d)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(e)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets | Assets | Assets | Assets | Assets |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $144336017 | $— | $144336017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 204993137 |  |  | 204993137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 4167543785 |  | 4167543785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 1407286526 |  | 1407286526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities<br>Capital Trust |  | 201086 |  | 201086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 3767760149 |  | 3767760149 |

---

58 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Systematic Multi-Strategy Fund** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | $376612442 | $— | $— | $376612442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 1167663321 |  | 1167663321 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (546049816) |  | (546049816) |
|  | $581605579 | $10108741068 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $10690346647 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $2245207 | $— | $2245207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts |  | 15089131 |  | 15089131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 236251 |  | 236251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 60946314 | 6058995 |  | 67005309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts |  | 2901217 |  | 2901217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts |  | (4188767) |  | (4188767) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts |  | (27047402) |  | (27047402) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (96662) |  | (96662) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (10698871) | (7374974) |  | (18073845) |
|  | $50247443 | $(12177004) | $— | $38070439 |

---

<sup>(</sup><sup>a)</sup> Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 59

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
|  **Corporate Bonds** |  |  |
| **Chile — 1.0%** |  |  |
|  Corp. Nacional del Cobre de Chile,<br>3.00%, 09/30/29<sup>(a)</sup> | USD 200 | $174350 |
| **Georgia — 1.0%** |  |  |
|  Georgian Railway JSC,<br>4.00%, 06/17/28<sup>(a)</sup> | 200 | 173850 |
| **Ukraine — 0.2%** |  |  |
|  NPC Ukrenergo,<br>6.88%, 11/09/28<sup>(a)(b)(c)</sup> | 200 | 33475 |
| **United Arab Emirates<sup>(a)</sup> — 2.1%** |  |  |
|  DP World Crescent Ltd.,<br>3.75%, 01/30/30 | 200 | 183912 |
|  MDGH GMTN RSC Ltd.,<br>3.00%, 04/19/24 | 200 | 193975 |
|  |  | 377887 |
| **Total Corporate Bonds — 4.3%**<br> **(Cost: $993,859)** | **Total Corporate Bonds — 4.3%**<br> **(Cost: $993,859)** | 759562 |
|  **Foreign Agency Obligations** | **Foreign Agency Obligations** |  |
| **Argentina — 3.1%** |  |  |
|  Argentine Republic Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 07/09/29 | 44 | 11793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 07/09/30<sup>(d)</sup> | 312 | 84461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 07/09/35<sup>(d)</sup> | 770 | 194043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/09/38<sup>(d)</sup> | 539 | 169650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 07/09/46<sup>(d)</sup> | 350 | 88963 |
|  |  | 548910 |
| **Bahrain<sup>(a)</sup> — 2.0%** |  |  |
|  Bahrain Government International Bond 5.63%, 09/30/31 | 200 | 181850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 09/16/32 | 200 | 175850 |
|  |  | 357700 |
| **Benin — 0.6%** |  |  |
|  Benin Government International Bond, 4.95%, 01/22/35<sup>(a)</sup>  | EUR 140 | 108538 |
| **Brazil — 3.3%** |  |  |
|  Brazilian Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 06/12/30 | USD 310 | 268305 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/12/31 | 200 | 168000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/27/45 | 200 | 147975 |
|  |  | 584280 |
| **Cayman Islands — 1.5%** |  |  |
|  Sharjah Sukuk Program Ltd., 3.23%, 10/23/29<sup>(a)</sup> | 300 | 263681 |
| **Chile — 3.6%** |  |  |
|  Chile Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 01/27/32 | 400 | 327075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 07/27/33 | 200 | 156350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/25/50 | 200 | 144038 |
|  |  | 627463 |
| **Colombia — 4.4%** |  |  |
|  Colombia Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/22/32 | 200 | 145100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 01/18/41 | 250 | 198875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/26/44 | 400 | 293200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/15/45 | 200 | 137225 |
|  |  | 774400 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Costa Rica — 1.1%** |  |  |
|  Costa Rica Government International Bond, 6.13%, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 02/19/31<sup>(a)</sup> | USD 200 | $193538 |
| **Dominican Republic<sup>(a)</sup> — 3.5%** |  |  |
|  Dominican Republic International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/30/30 | 300 | 254494 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/23/32 | 180 | 148815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.85%, 01/27/45 | 250 | 216062 |
|  |  | 619371 |
| **Ecuador<sup>(d)</sup> — 2.3%** |  |  |
|  Ecuador Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/31/30<sup>(a)</sup> | 114 | 72350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/31/30<sup>(e)</sup> | 65 | 41380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/31/35<sup>(a)</sup> | 292 | 133339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/31/35<sup>(e)</sup> | 262 | 119807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/31/40<sup>(e)</sup> | 115 | 46702 |
|  |  | 413578 |
| **Egypt<sup>(a)</sup> — 3.7%** |  |  |
|  Egypt Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 10/06/25 | 200 | 179000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 05/29/32 | 200 | 147287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.90%, 02/21/48 | 200 | 124500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 05/29/50 | 300 | 199875 |
|  |  | 650662 |
| **El Salvador<sup>(a)</sup> — 0.5%** |  |  |
|  El Salvador Government International Bond | El Salvador Government International Bond | El Salvador Government International Bond |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 01/18/27 | 85 | 36805 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 02/28/29 | 68 | 29402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.65%, 06/15/35 | 60 | 23561 |
|  |  | 89768 |
| **Gabon — 1.1%** |  |  |
|  Gabon Government International Bond, 6.95%, 06/16/25<sup>(a)</sup> | 200 | 188000 |
| **Ghana<sup>(a)(b)(c)</sup> — 2.1%** |  |  |
|  Ghana Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/11/27 | 200 | 75000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 05/16/29 | 205 | 73800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 03/26/32 | 200 | 70750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 04/07/34 | 235 | 83396 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 06/16/49 | 200 | 68500 |
|  |  | 371446 |
| **Guatemala — 1.1%** |  |  |
|  Guatemala Government Bond, 4.38%, 06/05/27<sup>(a)</sup> | 200 | 188538 |
| **Hungary — 2.2%** |  |  |
|  Hungary Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/16/29<sup>(e)</sup> | 200 | 190162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/22/31<sup>(a)</sup> | 200 | 146975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/29/41 | 40 | 43608 |
|  |  | 380745 |
| **Indonesia — 3.9%** |  |  |
|  Indonesia Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/14/30 | 200 | 178350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 03/23/34 | EUR 180 | 138465 |

---

<br> 60 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
|  **Indonesia (continued)** |  |  |
|  Indonesia Government International Bond (continued) 4.75%, 07/18/47<sup>(a)</sup> | USD 200 | $181272 |
|  Perusahaan Penerbit SBSN Indonesia III, 4.40%, 06/06/27<sup>(e)</sup> | 200 | 197772 |
|  |  | 695859 |
| **Ivory Coast<sup>(a)</sup> — 1.9%** | **Ivory Coast<sup>(a)</sup> — 1.9%** |  |
|  Ivory Coast Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/30/32 | EUR 100 | 84251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/31/32<sup>(d)</sup> | USD 66 | 64839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/33 | 200 | 178000 |
|  |  | 327090 |
| **Jamaica — 1.2%** |  |  |
|  Jamaica Government International Bond, 6.75%, 04/28/28 | 200 | 211100 |
| **Jordan — 1.3%** |  |  |
|  Jordan Government International Bond, 5.85%, 07/07/30<sup>(a)</sup> | 250 | 222234 |
| **Kenya — 1.0%** |  |  |
|  Republic of Kenya Government International Bond, 7.25%, 02/28/28<sup>(a)</sup> | 200 | 176000 |
| **Mexico — 4.7%** |  |  |
|  Mexico Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/22/29 | 200 | 191000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/27/32 | 200 | 187037 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/12/36 | EUR 140 | 106243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 01/23/46 | USD 200 | 155288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/27/51 | 240 | 194745 |
|  |  | 834313 |
| **Morocco — 0.9%** |  |  |
|  Morocco Government International Bond, 3.00%, 12/15/32<sup>(a)</sup> | 200 | 157975 |
| **Oman<sup>(a)</sup> — 4.6%** |  |  |
|  Oman Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/17/28 | 400 | 393575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/08/47 | 200 | 181500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 01/17/48 | 250 | 232703 |
|  |  | 807778 |
| **Panama — 3.5%** |  |  |
|  Panama Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.16%, 01/23/30 | 200 | 171725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/47 | 200 | 153350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/16/50 | 200 | 150850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/56 | 200 | 146663 |
|  |  | 622588 |
| **Paraguay — 1.1%** |  |  |
|  Paraguay Government International Bond, 4.95%, 04/28/31<sup>(a)</sup> | 200 | 193038 |
| **Peru — 2.8%** |  |  |
|  Peruvian Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/25/27 | 100 | 95831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 01/23/31 | 278 | 229837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.86%, 12/01/32 | 70 | 51091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/34 | 155 | 122043 |
|  |  | 498802 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Philippines — 1.9%** | **Philippines — 1.9%** |  |
|  Philippine Government International Bond, 3.00%, 02/01/28 | USD 363 | $337630 |
| **Poland — 1.1%** | **Poland — 1.1%** |  |
|  Republic of Poland Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/16/27 | 130 | 132916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/16/32 | 60 | 63587 |
|  |  | 196503 |
| **Qatar<sup>(a)</sup> — 2.5%** | **Qatar<sup>(a)</sup> — 2.5%** |  |
|  Qatar Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/16/30 | 250 | 241219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.82%, 03/14/49 | 200 | 193475 |
|  |  | 434694 |
|  **Romania — 2.9%** |  |  |
|  Romanian Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/27/27<sup>(a)</sup> | 110 | 97130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/25/27<sup>(e)</sup> | 40 | 38270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/14/31<sup>(a)</sup> | 196 | 153591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/27/32<sup>(a)</sup> | 50 | 39650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/14/33<sup>(a)</sup> | EUR 210 | 143559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/15/48<sup>(a)</sup> | USD 60 | 47580 |
|  |  | 519780 |
| **Saudi Arabia<sup>(a)</sup> — 3.9%** | **Saudi Arabia<sup>(a)</sup> — 3.9%** |  |
|  Saudi Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/22/30 | 200 | 181725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/03/32 | 400 | 347450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/21/55 | 200 | 156662 |
|  |  | 685837 |
| **Senegal — 0.8%** |  |  |
|  Senegal Government International Bond, 6.75%, 03/13/48<sup>(a)</sup> | 200 | 140475 |
| **Serbia — 0.5%** |  |  |
|  Serbia International Bond,<br>1.00%, 09/23/28<sup>(a)</sup> | EUR 120 | 92029 |
| **South Africa — 3.7%** | **South Africa — 3.7%** |  |
|  Republic of South Africa Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 09/30/29 | USD 200 | 177475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/22/30 | 200 | 185475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 09/27/47 | 400 | 294000 |
|  |  | 656950 |
| **Sri Lanka<sup>(a)(b)(c)</sup> — 0.7%** |  |  |
|  Sri Lanka Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 06/28/24 | 200 | 58475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/03/25 | 200 | 61600 |
|  |  | 120075 |
| **Supranational — 0.5%** |  |  |
|  Banque Ouest Africaine de Developpement, 2.75%, 01/22/33<sup>(a)</sup> | EUR 100 | 80369 |
| **Ukraine<sup>(a)(b)(c)</sup> — 1.5%** |  |  |
|  Ukraine Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/01/26 | USD 300 | 63056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/01/27 | 230 | 47696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/01/29 | 130 | 27609 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/15/35 | 200 | 37288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 08/01/41<sup>(f)</sup> | 304 | 86602 |
|  |  | 262251 |

---

S C H E D U L E O F I N V E S T M E N T S 61

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **United Arab Emirates<sup>(a)</sup> — 1.9%** | **United Arab Emirates<sup>(a)</sup> — 1.9%** |  |
|  Abu Dhabi Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 03/02/31 | USD 200 | $164600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/16/50 | 200 | 168538 |
|  |  | 333138 |
| **Uruguay — 3.3%** |  |  |
|  Uruguay Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/23/31 | 350 | 348425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/20/45 | 66 | 61270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 06/18/50 | 160 | 157760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 04/20/55 | 21 | 19984 |
|  |  | 587439 |
| **Total Foreign Agency Obligations — 88.2%**<br> **(Cost: $19,426,762)** | **Total Foreign Agency Obligations — 88.2%**<br> **(Cost: $19,426,762)** | 15554565 |
| **Total Long-Term Investments — 92.5%**<br> **(Cost: $20,420,621)** | **Total Long-Term Investments — 92.5%**<br> **(Cost: $20,420,621)** | 16314127 |
|  | *Shares* |  |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 6.2%** | **Money Market Funds — 6.2%** | **Money Market Funds — 6.2%** |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03%<sup>(g)(h)</sup> | 1089816 | 1089816 |
| **Total Short-Term Securities — 6.2%**<br> **(Cost: $1,089,816)** | **Total Short-Term Securities — 6.2%**<br> **(Cost: $1,089,816)** | 1089816 |
| **Total Investments — 98.7%**<br> **(Cost: $21,510,437)** | **Total Investments — 98.7%**<br> **(Cost: $21,510,437)** | 17403943 |
| **Other Assets Less Liabilities — 1.3%** | **Other Assets Less Liabilities — 1.3%** | 238162 |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $17642105 |

---

<sup>(a)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

<sup>(b)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(c)</sup> Non-income producing security.

<sup>(d)</sup> Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

<sup>(e)</sup> 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.

<sup>(f)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(g)</sup> Affiliate of the Fund.

<sup>(h)</sup> Annualized 7-day yield as of period end.

**Affiliates** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/22* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class | $1070329 | $19487 <sup>(a)</sup> | $– $– $– $| 1089816 | 1089816 | $12998 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 30-Year Euro Buxl Bond | 1 | 03/08/23 | $145 | $29137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 5 | 03/22/23 | 561 | 5635 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 3 | 03/22/23 | 401 | 35700 |
|  |  |  |  | $70472 |

---

62 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CLP | 47538100 | USD | 51263 | Barclays Bank PLC | 01/12/23 | $4736 |
| CLP | 159260000 | USD | 177152 | Barclays Bank PLC | 01/12/23 | 10453 |
| EUR | 20000 | USD | 21303 | Bank of America N.A. | 01/12/23 | 118 |
| EUR | 60000 | USD | 62437 | Morgan Stanley & Co. International PLC | 01/12/23 | 1826 |
| JPY | 4046500 | USD | 30144 | Bank of America N.A. | 01/12/23 | 718 |
| JPY | 12232400 | USD | 83923 | Bank of America N.A. | 01/12/23 | 9372 |
| JPY | 9627300 | USD | 70830 | Morgan Stanley & Co. International PLC | 01/12/23 | 2596 |
| JPY | 7397000 | USD | 50424 | UBS AG | 01/12/23 | 5992 |
| MXN | 1831400 | USD | 92325 | Bank of America N.A. | 01/12/23 | 1524 |
| MXN | 1060000 | USD | 53919 | Deutsche Bank AG | 01/12/23 | 401 |
| MXN | 507312 | USD | 25715 | Morgan Stanley & Co. International PLC | 01/12/23 | 282 |
| MXN | 900000 | USD | 45798 | Morgan Stanley & Co. International PLC | 01/12/23 | 322 |
| MXN | 1200000 | USD | 61163 | Morgan Stanley & Co. International PLC | 01/12/23 | 331 |
| MXN | 2148700 | USD | 109168 | Morgan Stanley & Co. International PLC | 01/12/23 | 942 |
| MXN | 2729700 | USD | 137603 | Natwest Markets PLC | 01/12/23 | 2280 |
| MXN | 714222 | USD | 35923 | UBS AG | 01/12/23 | 677 |
| USD | 82923 | COP | 402150000 | BNP Paribas SA | 01/12/23 | 92 |
| USD | 38087 | JPY | 4981300 | Bank of America N.A. | 01/12/23 | 95 |
| USD | 137282 | MXN | 2660000 | Deutsche Bank AG | 01/12/23 | 971 |
| USD | 25522 | MXN | 490647 | Morgan Stanley & Co. International PLC | 01/12/23 | 379 |
| ZAR | 1539088 | USD | 84630 | Morgan Stanley & Co. International PLC | 01/12/23 | 5891 |
| ZAR | 1860000 | USD | 103750 | Morgan Stanley & Co. International PLC | 01/12/23 | 5646 |
| ZAR | 3460000 | USD | 199958 | Morgan Stanley & Co. International PLC | 01/12/23 | 3541 |
| BRL | 719416 | USD | 132119 | Bank of America N.A. | 02/02/23 | 3398 |
| BRL | 500000 | USD | 93345 | Barclays Bank PLC | 02/02/23 | 841 |
|  |  |  |  |  |  | 63424 |
| COP | 34247289 | USD | 7076 | BNP Paribas SA | 01/12/23 | (22) |
| COP | 411692711 | USD | 85038 | Goldman Sachs International | 01/12/23 | (242) |
| COP | 428560000 | USD | 89098 | Morgan Stanley & Co. International PLC | 01/12/23 | (827) |
| MXN | 1750000 | USD | 90323 | Deutsche Bank AG | 01/12/23 | (645) |
| MXN | 3410000 | USD | 174882 | Morgan Stanley & Co. International PLC | 01/12/23 | (137) |
| USD | 79023 | CLP | 73550000 | Morgan Stanley & Co. International PLC | 01/12/23 | (7618) |
| USD | 98788 | CLP | 85600000 | Morgan Stanley & Co. International PLC | 01/12/23 | (2047) |
| USD | 1090 | COP | 5560077 | BNP Paribas SA | 01/12/23 | (55) |
| USD | 81724 | COP | 413530000 | BNP Paribas SA | 01/12/23 | (3451) |
| USD | 40342 | COP | 203887280 | Goldman Sachs International | 01/12/23 | (1653) |
| USD | 92239 | COP | 470862323 | Goldman Sachs International | 01/12/23 | (4745) |
| USD | 10598 | EUR | 10000 | Bank of America N.A. | 01/12/23 | (113) |
| USD | 50691 | EUR | 48000 | BNP Paribas SA | 01/12/23 | (719) |
| USD | 84500 | EUR | 80000 | BNP Paribas SA | 01/12/23 | (1184) |
| USD | 9995 | EUR | 10000 | Morgan Stanley & Co. International PLC | 01/12/23 | (715) |
| USD | 10429 | EUR | 10000 | Morgan Stanley & Co. International PLC | 01/12/23 | (281) |
| USD | 136281 | EUR | 130000 | Morgan Stanley & Co. International PLC | 01/12/23 | (2955) |
| USD | 408070 | EUR | 407884 | Morgan Stanley & Co. International PLC | 01/12/23 | (28794) |
| USD | 9965 | EUR | 10000 | UBS AG | 01/12/23 | (746) |
| USD | 10361 | EUR | 10000 | UBS AG | 01/12/23 | (350) |
| USD | 94239 | EUR | 90000 | UBS AG | 01/12/23 | (2156) |
| USD | 88598 | HUF | 36963200 | Bank of America N.A. | 01/12/23 | (10234) |
| USD | 33568 | JPY | 4516000 | UBS AG | 01/12/23 | (875) |
| USD | 127833 | MXN | 2532866 | Bank of America N.A. | 01/12/23 | (1963) |
| USD | 167577 | MXN | 3341400 | Bank of America N.A. | 01/12/23 | (3652) |
| USD | 144215 | MXN | 2876913 | Deutsche Bank AG | 01/12/23 | (3212) |
| USD | 18611 | MXN | 370348 | Morgan Stanley & Co. International PLC | 01/12/23 | (367) |
| USD | 89406 | MXN | 1780000 | Morgan Stanley & Co. International PLC | 01/12/23 | (1810) |
| USD | 4372 | PLN | 20000 | Goldman Sachs International | 01/12/23 | (190) |
| USD | 104613 | PLN | 501600 | UBS AG | 01/12/23 | (9810) |
| USD | 36263 | ZAR | 636461 | Morgan Stanley & Co. International PLC | 01/12/23 | (1171) |
| USD | 91616 | ZAR | 1590000 | UBS AG | 01/12/23 | (1900) |

---

S C H E D U L E O F I N V E S T M E N T S 63

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Forward Foreign Currency Exchange Contracts (continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| USD | 103494 | BRL | 550000 | Morgan Stanley & Co. International PLC | 02/02/23 | $(110) |
| USD | 290674 | TRY | 5848322 | Barclays Bank PLC | 02/03/23 | (14342) |
|  |  |  |  |  |  | (109091) |
|  |  |  |  |  |  | $(45667) |

---

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate Paid<br>by the Fund* | *Payment<br>Frequency* | *Termination<br>Date* | *Notional<br>Amount (000)* | *Notional<br>Amount (000)* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
|  iTraxx.EUR.38.V1 | 1.00% | Quarterly | 12/20/27 | EUR | 70 | $(351) | $(303) | $(48) |

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate Received<br>by the Fund* | *Payment<br>Frequency* | *Termination<br>Date* | *Credit<br>Rating<sup>(a)</sup>* | *Notional*<br> *Amount (000)<sup>(b)</sup>* | *Notional*<br> *Amount (000)<sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.NA.IG.39.V1 | 1.00% | Quarterly | 12/20/27 | BBB+ | USD | 120 | $1003 | $1063 | $(60) |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. 

**OTC Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligations/Index* | *Financing<br>Rate Paid<br>by the Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.EM.38.V1 | 1.00% | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | USD | 40 | $2323 | $2376 | $(53) |
|  Kingdom of Saudi Arabia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | USD | 219 | (3836) | (4678) | 842 |
|  Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | USD | 309 | 22394 | 23173 | (779) |
|  Republic of Turkey | 1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 123 | 19573 | 27415 | (7842) |
|  Republic of Turkey | 1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 531 | 84499 | 118356 | (33857) |
|  |  |  |  |  |  |  | $124953 | $166642 | $(41689) |

---

**Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Swap<br>Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $1063 | $(303) | $— | $(108) |
|  OTC Swaps | 171320 | (4678) | 842 | (42531) |

---

<sup>(a)</sup> Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. 

64 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** | **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $70472 | $— | $70472 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 63424 |  |  | 63424 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid |  | 172162 |  |  |  |  | 172162 |
|  | $— | $172162 | $— | $63424 | $70472 | $— | $306058 |
|  **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts | $— | $— | $— | $109091 | $— | $— | $109091 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  | 108 |  |  |  |  | 108 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  | 47209 |  |  |  |  | 47209 |
|  | $— | $47317 | $— | $109091 | $— | $— | $156408 |

---

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

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $526357 | $— | $526357 |
|  Forward foreign currency exchange contracts |  |  |  | 292812 |  |  | 292812 |
|  Options purchased<sup>(a)</sup> |  |  |  | (8244) |  |  | (8244) |
|  Swaps |  | 13781 |  |  | (20187) |  | (6406) |
|  | $— | $13781 | $— | $284568 | $506170 | $— | $804519 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $48663 | $— | $48663 |
|  Forward foreign currency exchange contracts |  |  |  | (144675) |  |  | (144675) |
|  Swaps |  | (77752) |  |  |  |  | (77752) |
|  | $— | $(77752) | $— | $(144675) | $48663 | $— | $(173764) |

---

<sup>(a)</sup> Options purchased are included in net realized gain (loss) from investments — unaffiliated.

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $241664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $1210505 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $2121579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $1347527 |
|  Options: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average value of option contracts purchased | $— <sup>(a)</sup> |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | $1195358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | $30000 |

---

S C H E D U L E O F I N V E S T M E N T S 65

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)** 

---

| | |
|:---|:---|
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | $<sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | $<sup>(a)</sup> |

---

<sup>(a)</sup> Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $9246 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 63424 | 109091 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared |  | 174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 172162 | 47209 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 244832 | 156474 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (9246) | (174) |
|  Total derivative assets and liabilities subject to an MNA | $235586 | $156300 |

---

<sup>(a)</sup> Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

The following table presents the Fund's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-Cash<br>Collateral<br>Received* | *Net Amount<br>of Derivative<br>Assets<sup>(b)(c)</sup>* |
|  Bank of America N.A. | $15225 | $(15225) | $– $| $— |
|  Barclays Bank PLC | 16030 | (14342) | – | 1688 |
|  BNP Paribas SA | 92 | (92) | – |  |
|  Deutsche Bank AG | 1372 | (1372) | – |  |
|  Goldman Sachs International | 145771 | (48529) | – | 97242 |
|  Morgan Stanley & Co. International PLC | 48147 | (48147) | – |  |
|  Natwest Markets PLC | 2280 |  | – | 2280 |
|  UBS AG | 6669 | (6669) | – |  |
|  | $235586 | $(134376) | $– $| $101210 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-Cash<br>Collateral<br>Pledged* | *Net Amount<br>of Derivative<br>Liabilities<sup>(b)(d)</sup>* |
|  Bank of America N.A. | $15962 | $(15225) | $– $| $737 |
|  Barclays Bank PLC | 14342 | (14342) | – |  |
|  BNP Paribas SA | 5431 | (92) | – | 5339 |
|  Deutsche Bank AG | 3857 | (1372) | – | 2485 |
|  Goldman Sachs International | 48529 | (48529) | – |  |
|  Morgan Stanley & Co. International PLC | 52342 | (48147) | – | 4195 |
|  UBS AG | 15837 | (6669) | – | 9168 |
|  | $156300 | $(134376) | $– $| $21924 |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

66 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Sustainable Emerging Markets Bond Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets | Assets | Assets | Assets | Assets |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp;&nbsp; Investments |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $— | $759562 | $— | $759562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 15554565 |  | 15554565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 1089816 |  |  | 1089816 |
|  | $1089816 | $16314127 | $— | $17403943 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $842 | $— | $842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 63424 |  | 63424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 70472 |  |  | 70472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts |  | (42639) |  | (42639) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (109091) |  | (109091) |
|  | $70472 | $(87464) | $— | $(16992) |

---

<sup>(a)</sup> Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 67

------

Statements of Assets and Liabilities

December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock Systematic<br> Multi-Strategy Fund | BlackRock<br>Sustainable<br>Emerging Markets<br> Bond Fund |
|  **ASSETS** | **ASSETS** | **ASSETS** |
|  Investments, at value — unaffiliated<sup>(a)</sup> | $10859784021 | $16314127 |
|  Investments, at value — affiliated<sup>(b)</sup> | 376612442 | 1089816 |
|  Cash pledged: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 77497000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 87504000 | 48000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Centrally cleared swaps | 30892000 | 3000 |
|  Foreign currency, at value<sup>(c)</sup> | 49139565 | 38154 |
|  Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 1886799 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 426374696 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TBA sale commitments | 560058466 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 54618257 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 205478 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 1190007 | 3529 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 51435592 | 255404 |
| &nbsp;&nbsp;&nbsp;&nbsp; From affiliate | 19223 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker | 3920000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Principal paydowns | 10264 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 12755588 | 9246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps | 3632385 |  |
|  Swap premiums paid |  | 171320 |
|  Unrealized appreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 236251 | 63424 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 15089131 | 842 |
|  Prepaid expenses | 402173 | 25306 |
|  Total assets | 12613263338 | 18022168 |
|  **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
|  Bank overdraft | 1347009 |  |
|  Cash received: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 34890000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — TBA commitments | 7838997 |  |
|  TBA sale commitments, at value<sup>(d)</sup> | 546049816 |  |
|  Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 2033435630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 415601750 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 305404 | 5624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 447907 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 49914313 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian fees | 103005 | 3758 |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions |  | 76116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 5940214 | 51312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 9755 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 25815 | 3036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing fees | 25456 | 21755 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 100218 | 60591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees | 123557 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 3394504 | 1363 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 675098 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps |  | 174 |
|  Swap premiums received |  | 4678 |
|  Unrealized depreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 96662 | 109091 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 27047402 | 42531 |
|  Total liabilities | 3127372512 | 380063 |
|  NET ASSETS | $9485890826 | $17642105 |

---

68 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock Systematic<br>Multi-Strategy Fund | BlackRock<br>Sustainable<br>Emerging Markets<br>Bond Fund |
|  **NET ASSETS CONSIST OF** |  |  |
|  Paid-in capital | $10094437752 | $25273464 |
|  Accumulated loss | (608546926) | (7631359) |
|  NET ASSETS | $9485890826 | $17642105 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $11378701899 | $20420621 |
|  <sup>(b)</sup> Investments, at cost — affiliated | $376612442 | $1089816 |
|  <sup>(c)</sup> Foreign currency, at cost | $48006179 | $37964 |
|  <sup>(d)</sup> Proceeds from TBA sale commitments | $560058466 | $— |

---

F I N A N C I A L S T A T E M E N T S 69

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock Systematic<br> Multi-Strategy Fund | BlackRock<br>Sustainable<br>Emerging Markets<br>Bond Fund |
|  **NET ASSET VALUE** |  |  |
| **Institutional** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $8887596150 | $150132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 920503896 | 21414 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.66 | $7.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 |
| **Investor A** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $453649788 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 47065218 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.64 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | N/A |
| **Investor C** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $21457118 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 2244067 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.56 | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | N/A |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | N/A |
| **Class K** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $123187770 | $17491973 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 12764971 | 2495364 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.65 | $7.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 |

---

*See notes to financial statements.* 

70 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Operations

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock Systematic<br>Multi-Strategy Fund | BlackRock<br>Sustainable<br>Emerging Markets<br>Bond Fund |
|  **INVESTMENT INCOME** | **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $14938265 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 3004894 | 12998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 267991074 | 1064166 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (4199) | (1054) |
|  Total investment income | 285930034 | 1076110 |
|  EXPENSES | EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 69019054 | 104584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent — class specific | 10581918 | 1988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration | 3280674 | 8081 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 1903492 | 3803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution — class specific | 1422688 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 917254 | 16871 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 871066 | 59200 |
| &nbsp;&nbsp;&nbsp;&nbsp; Recoupment of past waived and/or reimbursed fees — class specific | 678632 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 354696 | 11423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 148065 | 106971 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 133449 | 1587 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 79278 | 85874 |
| &nbsp;&nbsp;&nbsp;&nbsp; Recoupment of past waived and/or reimbursed fees | 8566 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 147645 | 10959 |
|  Total expenses | 89546477 | 411341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: | &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administration fees waived |  | (8081) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administration fees waived by the Manager — class specific | (108121) | (3803) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (232653) | (285196) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees waived and/or reimbursed by the Manager — class specific | (6800) | (1832) |
|  Total expenses after fees waived and/or reimbursed | 89198903 | 112429 |
|  Net investment income | 196731131 | 963681 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** | **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (245469757) | (1531076) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (130872) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (207722) | 292812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (6373969) | 6545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 73002150 | 526357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | 256138775 | (6406) |
|  | 76958605 | (711768) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (561342033) | (4043352) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 104924 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 474859 | (144675) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 983336 | 1309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 61756921 | 48663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (50900563) | (77752) |
|  | (548922556) | (4215807) |
|  Net realized and unrealized loss | (471963951) | (4927575) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(275232820) | $(3963894) |

---

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 71

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock Systematic<br>Multi-Strategy Fund | BlackRock Systematic<br>Multi-Strategy Fund | BlackRock Sustainable<br>Emerging Markets Bond Fund | BlackRock Sustainable<br>Emerging Markets Bond Fund |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* |
|  **OPERATIONS** | **OPERATIONS** | **OPERATIONS** | **OPERATIONS** | **OPERATIONS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $196731131 | $61369450 | $963681 | $1208001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 76958605 | 255696487 | (711768) | (854109) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (548922556) | 20436088 | (4215807) | (809962) |
|  Net increase (decrease) in net assets resulting from operations | (275232820) | 337502025 | (3963894) | (456070) |
|  **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> | **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> | **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (432706870) | (190205103) | (11188) | (139228) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (20627146) | (8791602) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (847519) | (368271) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (6166018) | (966895) | (1263349) | (1193553) |
|  Decrease in net assets resulting from distributions to shareholders | (460347553) | (200331871) | (1274537) | (1332781) |
|  **CAPITAL SHARE TRANSACTIONS** | **CAPITAL SHARE TRANSACTIONS** | **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | 2346077043 | 4462373158 | (19007) | 255612 |
|  *NET ASSETS* | *NET ASSETS* | *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | 1610496670 | 4599543312 | (5257438) | (1533239) |
|  Beginning of year | 7875394156 | 3275850844 | 22899543 | 24432782 |
|  End of year | $9485890826 | $7875394156 | $17642105 | $22899543 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

72 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Systematic Multi-Strategy Fund | BlackRock Systematic Multi-Strategy Fund | BlackRock Systematic Multi-Strategy Fund | BlackRock Systematic Multi-Strategy Fund | BlackRock Systematic Multi-Strategy Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.45 | $10.10 | $9.88 | $9.47 | $10.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.21 | 0.11 | 0.14 | 0.23 | 0.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.52) | 0.51 | 0.21 | 0.56 | (0.12) |
|  Net increase (decrease) from investment operations | (0.31) | 0.62 | 0.35 | 0.79 | 0.17 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.47) | (0.18) | (0.13) | (0.18) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.01) | (0.09) | (0.00)<sup>(c)</sup> | (0.20) | (0.56) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  | (0.00)<sup>(c)</sup> |  |  |
|  Total distributions | (0.48) | (0.27) | (0.13) | (0.38) | (0.85) |
|  **Net asset value, end of year** | $9.66 | $10.45 | $10.10 | $9.88 | $9.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (2.95)% | 6.19% | 3.57% | 8.43% | 1.74% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.93 %<sup>(f)</sup> | 0.96 %<sup>(f)</sup> | 0.99% | 1.29% | 2.33% |
|  Total expenses after fees waived and/or reimbursed | 0.92% | 0.95% | 0.95% | 0.95% | 0.95% |
|  Total expenses after fees waived and/or reimbursed and excluding excise tax | 0.92% | 0.95% | 0.95% | 0.95% | 0.95% |
|  Net investment income | 2.08% | 1.09% | 1.38% | 2.27% | 2.93% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $8887596 | $7451022 | $3091298 | $277782 | $32961 |
|  Portfolio turnover rate<sup>(g)(h)</sup> | 847% | 936% | 503% | 442% | 426% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

<sup>(g)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  Portfolio turnover rate (excluding MDRs) | 399% | 417% | 258% | 267% | 220% |

---

<sup>(h)</sup> Excludes underlying investments in total return swaps. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 73

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.43 | $10.09 | $9.87 | $9.46 | $10.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.19 | 0.08 | 0.14 | 0.20 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.53) | 0.51 | 0.19 | 0.58 | (0.09) |
|  Net increase (decrease) from investment operations | (0.34) | 0.59 | 0.33 | 0.78 | 0.13 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.44) | (0.16) | (0.11) | (0.17) | (0.26) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.01) | (0.09) | (0.00)<sup>(c)</sup> | (0.20) | (0.56) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  | (0.00)<sup>(c)</sup> |  |  |
|  Total distributions | (0.45) | (0.25) | (0.11) | (0.37) | (0.82) |
|  **Net asset value, end of year** | $9.64 | $10.43 | $10.09 | $9.87 | $9.46 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (3.23)% | 5.85% | 3.34% | 8.25% | 1.41% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 1.19 %<sup>(f)</sup> | 1.23% | 1.31% | 1.60% | 2.73% |
|  Total expenses after fees waived and/or reimbursed | 1.19% | 1.20% | 1.20% | 1.20% | 1.20% |
|  Total expenses after fees waived and/or reimbursed and excluding excise tax | 1.19% | 1.20% | 1.20% | 1.20% | 1.20% |
|  Net investment income | 1.86% | 0.81% | 1.34% | 1.95% | 2.21% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $453650 | $369323 | $179389 | $74536 | $2725 |
|  Portfolio turnover rate<sup>(g)(h)</sup> | 847% | 936% | 503% | 442% | 426% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

<sup>(g)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  Portfolio turnover rate (excluding MDRs) | 399% | 417% | 258% | 267% | 220% |

---

<sup>(h)</sup> Excludes underlying investments in total return swaps. 

*See notes to financial statements.* 

74 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.35 | $10.05 | $9.87 | $9.47 | $10.16 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.11 | 0.02 | 0.01 | 0.08 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.52) | 0.50 | 0.24 | 0.62 | (0.14) |
|  Net increase (decrease) from investment operations | (0.41) | 0.52 | 0.25 | 0.70 | 0.06 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.37) | (0.13) | (0.07) | (0.10) | (0.19) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.01) | (0.09) | (0.00)<sup>(c)</sup> | (0.20) | (0.56) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  | (0.00)<sup>(c)</sup> |  |  |
|  Total distributions | (0.38) | (0.22) | (0.07) | (0.30) | (0.75) |
|  **Net asset value, end of year** | $9.56 | $10.35 | $10.05 | $9.87 | $9.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (3.96)% | 5.18% | 2.55% | 7.43% | 0.65% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 1.90 %<sup>(f)</sup> | 1.95 %<sup>(f)</sup> | 2.07% | 2.51% | 3.48% |
|  Total expenses after fees waived and/or reimbursed | 1.89% | 1.94% | 1.95% | 1.95% | 1.95% |
|  Total expenses after fees waived and/or reimbursed and excluding excise tax | 1.89% | 1.94% | 1.95% | 1.95% | 1.95% |
|  Net investment income | 1.09% | 0.15% | 0.10% | 0.76% | 2.01% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $21457 | $17977 | $4868 | $305 | $75 |
|  Portfolio turnover rate<sup>(g)(h)</sup> | 847% | 936% | 503% | 442% | 426% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

<sup>(g)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  Portfolio turnover rate (excluding MDRs) | 399% | 417% | 258% | 267% | 220% |

---

<sup>(h)</sup> Excludes underlying investments in total return swaps. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 75

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | |
|:---|:---|:---|:---|
|  | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) | BlackRock Systematic Multi-Strategy Fund (continued) |
|  | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Period from<br> 09/29/20to 12/31/20<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $10.45 | $10.10 | $10.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.23 | 0.17 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.54) | 0.46 | (0.06) |
|  Net increase (decrease) from investment operations | (0.31) | 0.63 | (0.05) |
|  **Distributions<sup>(c)</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.48) | (0.19) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.01) | (0.09) | (0.00)<sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  | (0.00)<sup>(d)</sup> |
|  Total distributions | (0.49) | (0.28) | (0.07) |
|  **Net asset value, end of period** | $9.65 | $10.45 | $10.10 |
|  **Total Return<sup>(e)</sup>** |  |  |  |
|  Based on net asset value | (2.93)% | 6.28% | (0.53)%<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)</sup>** |  |  |  |
|  Total expenses | 0.81 %<sup>(h)</sup> | 0.84 %<sup>(h)</sup> | 0.99 %<sup>(i)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.81% | 0.83% | 0.90 %<sup>(i)</sup> |
|  Total expenses after fees waived and/or reimbursed and excluding excise tax | 0.81% | 0.83% | 0.90 %<sup>(i)</sup> |
|  Net investment income | 2.32% | 1.58% | 0.35 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |
|  Net assets, end of period (000) | $123188 | $37071 | $296 |
|  Portfolio turnover rate<sup>(j)(k)</sup> | 847% | 936% | 503% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.005) per share. 

<sup>(e)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(f)</sup> Not annualized.

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(h)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

<sup>(i)</sup> Annualized.

<sup>(j)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | |
|:---|:---|:---|:---|
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Period from<br> 09/29/20to 12/31/20<br><sup>(a)</sup>  |
|  Portfolio turnover rate (excluding MDRs) | 399% | 417% | 258% |

---

<sup>(k)</sup> Excludes underlying investments in total return swaps. 

*See notes to financial statements.* 

76 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Sustainable Emerging Markets Bond Fund | BlackRock Sustainable Emerging Markets Bond Fund | BlackRock Sustainable Emerging Markets Bond Fund | BlackRock Sustainable Emerging Markets Bond Fund | BlackRock Sustainable Emerging Markets Bond Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $9.09 | $9.74 | $9.59 | $8.83 | $9.93 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.37 | 0.42 | 0.41 | 0.46 | 0.37 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.95) | (0.60) | 0.24 | 0.77 | (0.95) |
|  Net increase (decrease) from investment operations | (1.58) | (0.18) | 0.65 | 1.23 | (0.58) |
|  Distributions from net investment income<sup>(b)</sup> | (0.50) | (0.47) | (0.50) | (0.47) | (0.52) |
|  **Net asset value, end of year** | $7.01 | $9.09 | $9.74 | $9.59 | $8.83 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (17.47)% | (1.86)% | 7.20% | 14.07% | (5.95)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 2.81% | 1.63% | 1.72% | 1.58% | 1.86% |
|  Total expenses after fees waived and/or reimbursed | 0.68% | 0.68% | 0.68% | 0.68% | 0.67% |
|  Net investment income | 4.97% | 4.49% | 4.43% | 4.81% | 3.95% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $150 | $220 | $146 | $48 | $44 |
|  Portfolio turnover rate | 41% | 55% | 80% | 68% | 59% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 77

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Sustainable Emerging Markets Bond Fund (continued) | BlackRock Sustainable Emerging Markets Bond Fund (continued) | BlackRock Sustainable Emerging Markets Bond Fund (continued) | BlackRock Sustainable Emerging Markets Bond Fund (continued) | BlackRock Sustainable Emerging Markets Bond Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $9.09 | $9.73 | $9.59 | $8.83 | $9.93 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.38 | 0.43 | 0.41 | 0.46 | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.96) | (0.59) | 0.23 | 0.77 | (0.96) |
|  Net increase (decrease) from investment operations | (1.58) | (0.16) | 0.64 | 1.23 | (0.58) |
|  Distributions from net investment income<sup>(b)</sup> | (0.50) | (0.48) | (0.50) | (0.47) | (0.52) |
|  **Net asset value, end of year** | $7.01 | $9.09 | $9.73 | $9.59 | $8.83 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (17.39)% | (1.67)% | 7.18% | 14.17% | (5.87)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 2.16% | 1.67% | 1.59% | 1.45% | 1.70% |
|  Total expenses after fees waived and/or reimbursed | 0.59% | 0.59% | 0.59% | 0.59% | 0.59% |
|  Net investment income | 5.07% | 4.54% | 4.52% | 4.90% | 4.03% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $17492 | $22679 | $24287 | $23938 | $22042 |
|  Portfolio turnover rate | 41% | 55% | 80% | 68% | 59% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

78 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

BlackRock Funds IV and BlackRock Funds V (each, a "Trust" or collectively, the "Trusts") are each registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies. Each Trust is organized as a Massachusetts business trust. The following, each of which is a series of the Trusts, are referred to herein collectively as the "Funds" or individually as a "Fund":

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Herein Referred To As* | *Diversification<br>Classification* |
|  BlackRock Systematic Multi-Strategy Fund | Systematic Multi-Strategy Fund | Diversified |
|  BlackRock Sustainable Emerging Markets Bond Fund | Sustainable Emerging Markets Bond Fund | Diversified |

---

Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Shares distribution and service plan).

---

| | | | |
|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *CDSC* | *Conversion Privilege* |
|  Institutional and Class K Shares | No | No |  |
|  Investor A Shares | Yes | No <sup>(a)</sup> |  |
|  Investor C Shares | No | Yes <sup>(b)</sup> | To Investor A Shares after approximately 8 years |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase. 

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the "Manager") or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

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

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

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

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

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

N O T E S T O F I N A N C I A L S T A T E M E N T S 79

------

Notes to Financial Statements (continued)

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

**Distributions:** Distributions from net investment income are declared daily and paid monthly for Sustainable Emerging Markets Bond Fund and declared and paid at least annually for Systematic Multi-Strategy Fund. 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.

**Deferred Compensation Plan:** Under the Deferred Compensation Plan (the "Plan") approved by each Board of Trustees of the Trust (the "Board"), the trustees who are not "interested persons" of the Funds, as defined in the 1940 Act ("Independent Trustees"), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees' and Officer's fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants' deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** Each Fund's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Fund's Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

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

&nbsp;&nbsp;&nbsp;&nbsp;• 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Fixed-income investments for which market quotations are readily available are generally valued using the last available
bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or
transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values,
including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage
related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique
attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published net
asset value ("NAV").

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

&nbsp;&nbsp;&nbsp;&nbsp;• 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.

&nbsp;&nbsp;&nbsp;&nbsp;• 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.

80 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

**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:

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

&nbsp;&nbsp;&nbsp;&nbsp;• 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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Asset-Backed and Mortgage-Backed Securities:** Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the "Mortgage Assets") there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower's ability to repay its loans.

**Collateralized Debt Obligations:** Collateralized debt obligations ("CDOs"), including collateralized bond obligations ("CBOs") and collateralized loan obligations ("CLOs"), are types of asset-backed securities. ACDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called "tranches," which will vary in risk profile and yield. The riskiest segment is the subordinated or "equity" tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a "senior" tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

N O T E S T O F I N A N C I A L S T A T E M E N T S 81

------

Notes to Financial Statements (continued)

**Multiple Class Pass-Through Securities:** Multiple class pass-through securities, including collateralized mortgage obligations ("CMOs") and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only ("IOs"), principal only ("POs"), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund's initial investment in the IOs may not fully recoup.

**Capital Securities and Trust Preferred Securities:** Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company's senior debt securities and are freely callable at the issuer's option.

**TBA Commitments:** TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an "MSFTA"). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

**Mortgage Dollar Roll Transactions:** The Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

***5. DERIVATIVE FINANCIAL INSTRUMENTS***

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

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

82 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

**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 Funds 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 Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements 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 Statements 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 Funds may purchase and write call and put options to increase or decrease their 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 Statements 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 Statements 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 Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically "covered," meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write 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 Statements of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;• Foreign currency options — The Funds may purchase and write foreign currency options, foreign currency futures and
options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before
the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they 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 Funds 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 Statements 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 Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds' 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 Funds' counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each 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 Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each 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 Statements 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 Statements of Operations, including those at termination.

&nbsp;&nbsp;&nbsp;&nbsp;• 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 Funds 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 Funds 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

N O T E S T O F I N A N C I A L S T A T E M E N T S 83

------

Notes to Financial Statements (continued)

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 Funds 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning
such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest
rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make 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 Funds and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements 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 Funds 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage
duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party's stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

&nbsp;&nbsp;&nbsp;&nbsp;• Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an
inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party's variable payments based on an inflation index, such as the Consumer Price Index.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements 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, a 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 Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules 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 Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A 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 Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each 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 Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

84 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** The Trusts, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds' investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide investment advisory services. The Manager is responsible for the management of each Fund's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

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

---

| | |
|:---|:---|
|  | *Investment Advisory Fees* |
| *Average Daily Net Assets* | *Systematic Multi-Strategy Fund* |
|  First $1 billion | 0.80% |
|  $1 billion — $3 billion | 0.75 |
|  $3 billion — $5 billion | 0.72 |
|  $5 billion — $10 billion | 0.70 |
|  Greater than $10 billion | 0.68 |
|  | *Investment Advisory Fees* |
| *Average Daily Net Assets* | *Sustainable Emerging Markets Bond Fund* |
|  First $1 billion | 0.55% |
|  $1 billion — $2 billion | 0.51 |
|  $2 billion — $3 billion | 0.48 |
|  Greater than $3 billion | 0.46 |

---

With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock International Limited ("BIL"), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of each Fund for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

**Service and Distribution Fees:** The Trusts, on behalf of the Systematic Multi-Strategy 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:

---

| | | |
|:---|:---|:---|
|  | *Systematic Multi-Strategy Fund* | *Systematic Multi-Strategy Fund* |
| *Share Class* | *Service Fees* | *Distribution Fees* |
|  Investor A | 0.25% | N/A |
|  Investor C | 0.25 | 0.75% |

---

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor C* | *Total* |
|  Systematic Multi-Strategy Fund | $1196946 | $225742 | $1422688 |

---

**Administration:** The Trusts, on behalf of each 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 each Fund. The administration fee, which is shown as administration in the Statements of Operations, is paid at the annual rates below.

---

| | |
|:---|:---|
| *Average Daily Net Assets* | *Administration Fees* |
|  First $500 million | 0.0425% |
|  $500 million - $1 billion | 0.0400 |
|  $1 billion - $2 billion | 0.0375 |
|  $2 billion - $4 billion | 0.0350 |
|  $4 billion - $13 billion | 0.0325 |
|  Greater than $13 billion | 0.0300 |

---

In addition, the Manager charges each of the share classes an administration fee, which is shown as administration – class specific in the Statements of Operations, at an annual rate of 0.02% of the average daily net assets of each respective class.

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor C* | *Class K* | *Total* |
|  Systematic Multi-Strategy Fund | $1781624 | $95756 | $4515 | $21597 | $1903492 |
|  Sustainable Emerging Markets Bond Fund | 34 |  |  | 3769 | 3803 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 85

------

Notes to Financial Statements (continued)

**Transfer Agent:** Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended December 31, 2022, the Funds paid the following amounts to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statements of Operations:

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Total* |
|  Systematic Multi-Strategy Fund | $2503 | $42 | $2545 |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor C* | *Class K* | *Total* |
|  Systematic Multi-Strategy Fund | $13570 | $1756 | $165 | $61 | $15552 |
|  Sustainable Emerging Markets Bond Fund | 46 |  |  | 37 | 83 |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor C* | *Class K* | *Total* |
|  Systematic Multi-Strategy Fund | $9908891 | $652854 | $18475 | $1698 | $10581918 |
|  Sustainable Emerging Markets Bond Fund | 990 |  |  | 998 | 1988 |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *Investor A* |
|  Systematic Multi-Strategy Fund | $7173 |

---

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor C* |
|  Systematic Multi-Strategy Fund | $22932 | $8242 |

---

**Expense Limitations, Waivers, Reimbursements, and Recoupments:** With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed<br>by the Manager* |
|  Systematic Multi-Strategy Fund | $232653 |
|  Sustainable Emerging Markets Bond Fund | 580 |

---

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

With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund's business ("expense limitation"). The expense limitations as a percentage of average daily net assets are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor C* | *Class K* |
|  Systematic Multi-Strategy Fund | 0.95% | 1.20% | 1.95% | 0.90% |
|  Sustainable Emerging Markets Bond Fund | 0.68 |  |  | 0.59 |

---

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended December 31, 2022, amounts included in the Statements of Operations were as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed<br>by the Manager* |
|  Sustainable Emerging Markets Bond Fund | $284616 |

---

86 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

---

| | |
|:---|:---|
| *Fund Name* | *Administration<br>Fees Waived* |
|  Sustainable Emerging Markets Bond Fund | $8081 |

---

In addition, these amounts waived and/or reimbursed by the Manager are included in administration fees waived by the Manager — class specific and transfer agent fees waived and/or reimbursed by the Manager — class specific, respectively, in the Statements of Operations. For the year ended December 31, 2022, class specific expense waivers and/or reimbursements are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Administration Fees Waived by the Manager -<br>Class Specific | Administration Fees Waived by the Manager -<br>Class Specific | Administration Fees Waived by the Manager -<br>Class Specific | Administration Fees Waived by the Manager -<br>Class Specific |
| *Fund Name* | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Systematic Multi-Strategy Fund | $101580 | $6541 | $— | $108121 |
|  Sustainable Emerging Markets Bond Fund | 34 |  | 3769 | 3803 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Transfer Agent Fees Waived and/or<br>Reimbursed by the Manager - Class Specific | Transfer Agent Fees Waived and/or<br>Reimbursed by the Manager - Class Specific | Transfer Agent Fees Waived and/or<br>Reimbursed by the Manager - Class Specific | Transfer Agent Fees Waived and/or<br>Reimbursed by the Manager - Class Specific |
| *Fund Name* | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Systematic Multi-Strategy Fund | $— | $6800 | $— | $6800 |
|  Sustainable Emerging Markets Bond Fund | 835 |  | 997 | 1832 |

---

With respect to the contractual expense limitation, if during a Fund's fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:

(1) each Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and

(2) the Manager or an affiliate continues to serve as a Fund's investment adviser or administrator.

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective May 19, 2022, for Systematic Multi-Strategy Fund, and effective July 27, 2024, for Sustainable Emerging Markets Bond Fund, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund's contractual caps on net expenses will be terminated.

For the year ended December 31, 2022, the Manager recouped the following fund level and class specific waivers and/or reimbursements previously recorded by the Funds:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Fund Level* | *Institutional* | *Investor A* | *Investor C* | *Class K* |
|  Systematic Multi-Strategy Fund | $8566 | $670504 | $6557 | $1569 | $2 |

---

As of December 31, 2022, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

---

| | | |
|:---|:---|:---|
|  | Expiring | Expiring |
| *Fund Name/Fund Level/Share Class* | *12/31/23* | *07/27/24* |
|  Sustainable Emerging Markets Bond Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $275874 | $292697 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 994 | 869 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 6573 | 4766 |

---

The following fund level and class specific waivers and/or reimbursements previously recorded by the Funds, which were subject to recoupment by the Manager, expired on December 31, 2022:

---

| | |
|:---|:---|
|  | *Expired* |
| *Fund Name/Fund Level/Share Class* | *05/19/22* |
|  Systematic Multi-Strategy Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 202017 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 87

------

Notes to Financial Statements (continued)

---

| | |
|:---|:---|
|  | *Expired* |
| *Fund Name/Fund Level/Share Class* | *12/31/22* |
|  Sustainable Emerging Markets Bond Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $223272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 4661 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund's investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Funds did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds' Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

**Other Transactions:** The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  Systematic Multi-Strategy Fund | $60530267 | $1070946 | $(11185) |

---

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls, excluding short-term securities, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | U.S. Government Securities | U.S. Government Securities | Other Securities | Other Securities |
| *Fund Name* | *Purchases* | *Sales* | *Purchases* | *Sales* |
|  Systematic Multi-Strategy Fund | $— | $18704404 | $79979500230 | $77615029828 |
|  Sustainable Emerging Markets Bond Fund |  |  | 7649305 | 7167299 |

---

For the year ended December 31, 2022, purchases and sales related to mortgage dollar rolls were as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Purchases* | *Sales* |
|  Systematic Multi-Strategy Fund | $41065466779 | $41096267362 |

---

***8.***  ***INCOME TAX INFORMATION*** 

It is each Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds' financial statements.

88 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended<br>12/31/22* | *Year Ended<br>12/31/21* |
|  Systematic Multi-Strategy Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $451301193 | $173216359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 9046360 | 27115512 |
|  | $460347553 | $200331871 |
|  Sustainable Emerging Markets Bond Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1274537 | $1332781 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed<br>Ordinary Income* | *Non-Expiring<br>Capital Loss<br>Carryforwards<sup>(a)</sup>* | *Net Unrealized<br>Gains (Losses)<sup>(b)</sup>* | *Qualified<br>Late-Year Losses<sup>(c)</sup>* | *Total* |
|  Systematic Multi-Strategy Fund | $13489520 | $(91226955) | $(530809491) | $— | $(608546926) |
|  Sustainable Emerging Markets Bond Fund |  | (3079735) | (4374401) | (177223) | (7631359) |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, the classification of investments, the accrual of income on securities in default, the realization for tax purposes of unrealized gains on constructive sales and amortization methods for premiums on fixed income securities. 

<sup>(c)</sup> The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  Systematic Multi-Strategy Fund | $11771980707 | $189623732 | $(721287946) | $(531664214) |
|  Sustainable Emerging Markets Bond Fund | 21712426 | 15630 | (4389342) | (4373712) |

---

***9.***  ***BANK BORROWINGS*** 

The Trusts, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Funds did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund's prospectus provides details of the risks to which each Fund is subject.

**Market Risk:** Investments in the securities of issuers domiciled in countries with emerging capital markets involve certain additional risks that do not generally apply to investments in securities of issuers in more developed capital markets, such as (i) low or nonexistent trading volume, resulting in a lack of liquidity and increased volatility in prices for such securities; (ii) uncertain national policies and social, political and economic instability, increasing the potential for expropriation of assets, confiscatory taxation, high rates of inflation or unfavorable diplomatic developments; (iii) lack of publicly available or reliable information about issuers as a result of not being subject to the same degree of regulatory requirements and accounting, auditing and financial reporting standards; and (iv) possible fluctuations in exchange rates, differing legal systems and the existence or possible imposition of exchange controls, custodial restrictions or other foreign or U.S. governmental laws or restrictions applicable to such investments.

Each 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 each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from

N O T E S T O F I N A N C I A L S T A T E M E N T S 89

------

Notes to Financial Statements (continued)

each Fund's portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio's current earnings rate.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

**Counterparty Credit Risk:** The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds' exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

For OTC options purchased, each 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 Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each 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 Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker's customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker's customers, potentially resulting in losses to the Funds.

**Concentration Risk:** A diversified portfolio, where this is appropriate and consistent with a fund's objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund's portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as "junk bonds") or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds' performance.

Certain Funds invest a significant portion of their assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Funds' investments.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.

90 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

***11.***  ***CAPITAL SHARE TRANSACTIONS*** 

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/21 |
| *Fund Name/Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  Systematic Multi-Strategy Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 598206498 | $6061481318 | 488514597 | $5079938866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 42560393 | 413672584 | 17578211 | 183516524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (433197065) | (4349161510) | (99217185) | (1032036570) |
|  | 207569826 | $2125992392 | 406875623 | $4231418820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 50841950 | $509477463 | 28435742 | $293585920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2116364 | 20545258 | 831331 | 8670790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (41292351) | (409644260) | (11653480) | (121420721) |
|  | 11665963 | $120378461 | 17613593 | $180835989 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1382816 | $13928215 | 1374606 | $14251310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 86985 | 838064 | 35070 | 362626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (962594) | (9544526) | (156928) | (1616706) |
|  | 507207 | $5221753 | 1252748 | $12997230 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 14613678 | $148756521 | 3637726 | $38369029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 44645 | 435033 | 15313 | 159863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5442092) | (54707117) | (133653) | (1407773) |
|  | 9216231 | $94484437 | 3519386 | $37121119 |
|  | 228959227 | $2346077043 | 429261350 | $4462373158 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/21 |
| *Fund Name/Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  Sustainable Emerging Markets Bond Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 22278 | $183569 | 464091 | $4490976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1198 | 8702 | 14506 | 136867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (26277) | (211763) | (469346) | (4374827) |
|  | (2801) | $(19492) | 9251 | $253016 |
|  Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 303 | $2208 | 304 | $2809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 19 | 137 | 4 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (239) | (1860) | (27) | (252) |
|  | 83 | $485 | 281 | $2596 |
|  | (2718) | $(19007) | 9532 | $255612 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 91

------

Notes to Financial Statements (continued)

As of December 31, 2022, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Institutional* | *Class K* |
|  Systematic Multi-Strategy Fund |  | 29354 |
|  Sustainable Emerging Markets Bond Fund | 5000 | 2495000 |

---

***12.***  ***SUBSEQUENT EVENTS*** 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

92 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Report of Independent Registered Public Accounting Firm

To the Shareholders of BlackRock Systematic Multi-Strategy Fund and BlackRock Sustainable Emerging Markets Bond Fund and the Board of Trustees of BlackRock Funds IV and BlackRock Funds V:

**Opinion on the Financial Statements and Financial Highlights** 

We have audited the accompanying statements of assets and liabilities of BlackRock Systematic Multi-Strategy Fund of BlackRock Funds IV, and of BlackRock Sustainable Emerging Markets Bond Fund of BlackRock Funds V, (the "Funds"), including the schedules of investments, as of December 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

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

R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 93

------

Important Tax Information (unaudited)

The following amount, or maximum amount allowable by law, is hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend<br>Income* |
|  Systematic Multi-Strategy Fund | $11374655 |

---

The Fund hereby designates the following amount, or maximum amount allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *20% Rate Long-Term<br>Capital Gain Dividends* |
|  Systematic Multi-Strategy Fund | $9046360 |

---

The Fund intends to pass through to its shareholders the following amount, or maximum amount allowable by law, of foreign source income earned and foreign taxes paid for the fiscal year ended December 31, 2022:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Foreign Source<br>Income Earned* | *Foreign<br>Taxes Paid* |
|  Sustainable Emerging Markets Bond Fund | $963748 | $— |

---

The Fund hereby designates the following amount, or maximum amount allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Federal Obligation<br>Interest* |
|  Systematic Multi-Strategy Fund | $14400630 |

---

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2022 qualified for the dividends-received deduction for corporate shareholders:

---

| | |
|:---|:---|
| *Fund Name* | *Dividends-Received<br>Deduction* |
|  Systematic Multi-Strategy Fund | 3.02% |

---

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Interest Dividends* |
|  Systematic Multi-Strategy Fund | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177596500 |
|  Sustainable Emerging Markets Bond Fund | 1015589 |

---

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Interest<br>Related*<br> *Dividends* |
|  Systematic Multi-Strategy Fund | $165381815 |
|  Sustainable Emerging Markets Bond Fund | 11812 |

---

94 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds IV and BlackRock Funds V (the "Trusts") have adopted and implemented a liquidity risk management program (the "Program") for BlackRock Systematic Multi-Strategy Fund and BlackRock Sustainable Emerging Markets Bond Fund (the "Funds"), each a series of the respective Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trusts, on behalf of the Funds, met on November 10-11, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC, the investment adviser to each Fund, as the program administrator for each Fund's Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***a)***  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings
of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for
investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative exposure was also considered in such
calculation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***b)***  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications.
Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which, depending on product type and
distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***c)***  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the terms
of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M 95

------

Trustee and Officer Information (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other<br>Investment<br>Company<br>Directorships Held<br>During**<br> **Past 5 Years** |
| **R. Glenn Hubbard**<br> 1958 | Chair of the Board (Since 2022)<br> Trustee<br> Since 2019) | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | 70 RICs consisting of 102 Portfolios | ADP (data and information services) from 2004 to 2020; Metropolitan Life Insurance Company (insurance); TotalEnergies SE (multi-energy) |
| **W. Carl Kester<sup>(d)</sup>**<br> 1951 | Vice Chair of the Board<br> (Since 2022)<br> Trustee<br> (Since 2019) | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 72 RICs consisting of 104 Portfolios |  |
| **Cynthia L. Egan**<br> 1955 | Trustee<br> (Since 2019) | Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | 70 RICs consisting of 102 Portfolios | Unum (insurance); The Hanover Insurance Group (Board Chair); Huntsman Corporation (Lead Independent Director and non Executive Vice Chair of the Board) (chemical products) |
| **Frank J. Fabozzi<sup>(d)</sup>**<br> 1948 | Trustee<br> (Since 2019) | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) from 2011 to 2022; Professor of Practice, Johns Hopkins University since 2021; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale's Executive Programs; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year; Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester. | 72 RICs consisting of 104 Portfolios |  |
| **Lorenzo A. Flores**<br> 1964 | Trustee<br> (Since 2021) | Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016. | 70 RICs consisting of 102 Portfolios |  |
| **Stayce D. Harris**<br> 1959 | Trustee<br> (Since 2021) | Lieutenant General, Inspector General, Office of the Secretary of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020. | 70 RICs consisting of 102 Portfolios | The Boeing Company (airplane manufacturer) |
| **J. Phillip Holloman**<br> 1955 | Trustee<br> (Since 2021) | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | 70 RICs consisting of 102 Portfolios | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation) |

---

96 2 0 2 1 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Trustee and Officer Information (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees**<sup>(a)</sup> (continued) | **Independent Trustees**<sup>(a)</sup> (continued) | **Independent Trustees**<sup>(a)</sup> (continued) | **Independent Trustees**<sup>(a)</sup> (continued) | **Independent Trustees**<sup>(a)</sup> (continued) |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other<br>Investment<br>Company<br>Directorships Held<br>During**<br> **Past 5 Years** |
| **Catherine A. Lynch<sup>(d)</sup>**<br> 1961 | Trustee<br> (Since 2019) | Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | 72 RICs consisting of 104 Portfolios | PennyMac Mortgage Investment Trust |
| **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other<br>Investment<br>Company<br>Directorships Held<br>During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (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<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(d)</sup>**<br> 1964 | Trustee<br> (Since 2015) President and Chief Executive Officer (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |

---

<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust's by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are "interested persons," as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust's by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. 

<sup>(c)</sup> 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. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; and W. Carl Kester, 1995. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016. 

<sup>(d)</sup> Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

<sup>(e)</sup> 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 Multi-Asset Complex.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 97

------

Trustee and Officer Information (continued)

---

| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees**<sup>(a)</sup> | **Officers Who Are Not Trustees**<sup>(a)</sup> | **Officers Who Are Not Trustees**<sup>(a)</sup> |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (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**<br> 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**<br> 1970 | Treasurer<br> (Since 2007) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 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<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 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**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |

---

<sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> 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.

Effective May 31, 2022, Karen P. Robards retired as a Trustee of the Trusts.

98 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds' Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds' portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit **blackrock.com** for more information.

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**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.

A D D I T I O N A L I N F O R M A T I O N 99

------

Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and Service Providers** 

**Investment Adviser and Administrator** 

BlackRock Advisors, LLC

Wilmington, DE 19809

**Sub-Adviser** 

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

**Accounting Agent and Custodian** 

State Street Bank and Trust Company

Boston, MA 02111

**Transfer Agent** 

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

**Distributor** 

BlackRock Investments, LLC

New York, NY 10022

**Independent Registered Public Accounting Firm** 

Deloitte & Touche LLP

Boston, MA 02116

**Legal Counsel** 

Willkie Farr & Gallagher LLP

New York, NY 10019

**Address of the Funds** 

100 Bellevue Parkway

Wilmington, DE 19809

100 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TRY | Turkish Lira |
| USD | United States Dollar |
| ZAR | South African Rand |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| BBR | Bank Bill Rate |
| BBSW | Bank Bill Swap Rate |
| CMT | Constant Maturity Treasury |
| DAC | Designated Activity Company |
| EURIBOR | Euro Interbank Offered Rate |
| GMTN | Global Medium-Term Note |
| HIBOR | Hong Kong Interbank Offered Rate |
| JIBAR | Johannesburg Interbank Average Rate |
| JSC | Joint Stock Company |
| LIBOR | London Interbank Offered Rate |
| MXIBOR | Mexico Interbank Offered Rate |
| NIBOR | Norwegian Interbank Offered Rate |
| PIK | Payment-in-Kind |
| PRIBOR | Prague Interbank Offer Rate |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| S&P | Standard & Poor's |
| SAB | Special Assessment Bonds |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Interbank Average Rate |
| SORA | Singapore Overnight Rate Average |
| SSARON | Swiss Average Overnight Rate |
| STACR | Structured Agency Credit Risk |
| STIBOR | Stockholm Interbank Offered Rate |
| TBA | To-Be-Announced |
| THOR | Thai Overnight Repurchase Rate |
| WIBOR | Warsaw Interbank Offered Rate |

---

G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 101

------

**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds' 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.

FIXINC-12/22-AR

---

| | |
|:---|:---|
| ![LOGO](g447177g42l24.jpg)  | ![LOGO](g447177leaf.jpg) |

---

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

---

| | |
|:---|:---|
| 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:

Frank J. Fabozzi

Lorenzo A. Flores

Catherine A. Lynch

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP ("D&T") in each of the last two fiscal years for the services rendered to the Fund:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **(a) Audit Fees** | **(a) Audit Fees** | **(b) Audit-Related Fees<sup>1</sup>** | **(b) Audit-Related Fees<sup>1</sup>** | **(c) Tax Fees<sup>2</sup>** | **(c) Tax Fees<sup>2</sup>** | **(d) All Other Fees** | **(d) All Other Fees** |
| &nbsp;&nbsp;&nbsp;**<u>Entity Name</u>** | **<u>Current</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Previous</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Current</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Previous</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **Current<br> <u>Fiscal Year</u> <br><u>End</u>** | **Previous<br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Current</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Previous</u><br> <u>Fiscal Year</u> <br>End** |
| &nbsp;&nbsp;&nbsp;BlackRock Sustainable Emerging Markets Bond Fund | $39984 | $39592 | $44 | $4207 | $19000 | $18800 | $431 | $0 |

---

------

The following table presents fees billed by D&T 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** |
| &nbsp;&nbsp;&nbsp; **(b) Audit-Related Fees<sup>1</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(c) Tax Fees<sup>2</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(d) All Other Fees<sup>3</sup>** | $2098000 | $2032000 |

---

<sup>1</sup> 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.

<sup>2</sup> 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.

<sup>3</sup> Non-audit fees of $2,098,000 and $2,032,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund's principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**<u>Entity Name</u>** | **<u>Current Fiscal Year<br>End</u>** | **<u>Previous Fiscal Year</u>**<br> **<u>End</u>** |
| &nbsp;&nbsp;&nbsp;BlackRock Sustainable Emerging Markets Bond Fund | $19475 | $23007 |

---

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; **<u>Current Fiscal Year</u>**<br> **<u>End</u>** | **<u>Previous Fiscal Year</u>**<br> **<u>End</u>** |
| &nbsp;&nbsp;&nbsp;$2098000 | $2032000 |

---

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) – Not Applicable

Item 5 – Audit Committee of Listed Registrant – Not Applicable

Item 6 – Investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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](#item2)

[(a)(2) Section 302 Certifications are attached](d429265dex99cert.htm)

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant's independent public accountant – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Section 906 Certifications are attached](d429265dex99906cert.htm)

------

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 V | BlackRock Funds V |
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Funds V |

---

Date: February 23, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of 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 V |

---

Date: February 23, 2023

---

| | |
|:---|:---|
| By: | /s/ Trent Walker  |
|  | Trent Walker |
|  | Chief Financial Officer (principal financial officer) of |
|  | BlackRock Funds V |

---

Date: February 23, 2023

## Ex-99.Cert

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Funds V, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Funds V;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Funds V

------

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Funds V, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Funds V;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds V

## Exhibit 99.906

Exhibit 99.906CERT

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and** 

**Section 906 of the Sarbanes-Oxley Act of 2002** 

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Funds V (the "registrant"), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Funds V

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Funds V (the "registrant"), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds V

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission**.**