# EDGAR Filing Document

**Accession Number:** 0001025836
**File Stem:** 0001193125-23-061361
**Filing Date:** 2023-3
**Character Count:** 628434
**Document Hash:** 496fdc4542e5573fb4db751cf0f402f6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-061361.hdr.sgml**: 20230306

**ACCESSION NUMBER**: 0001193125-23-061361

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 12

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230306

**DATE AS OF CHANGE**: 20230306

**EFFECTIVENESS DATE**: 20230306

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** QUANTITATIVE MASTER SERIES LLC
- **CENTRAL INDEX KEY:** 0001025836
- **IRS NUMBER:** 223483688
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07885
- **FILM NUMBER:** 23708882

**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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** QUANTITATIVE MASTER SERIES TRUST
- **DATE OF NAME CHANGE:** 19991216

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INDEX MASTER SERIES TRUST
- **DATE OF NAME CHANGE:** 19990730

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MERRILL LYNCH INDEX TRUST
- **DATE OF NAME CHANGE:** 19961024

## Series and Classes Contracts Data

### Master Small Cap Index Series (Series ID: S000002716)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000007401 | Master Small Cap Index Series |  |

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR** 

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES** 

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

Name of Fund: BlackRock Index Funds, Inc.

iShares MSCI EAFE International Index Fund

iShares Russell 2000 Small-Cap Index Fund

Quantitative Master Series LLC

Master Small Cap Index Series

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 12/31/2022

Date of reporting period: 12/31/2022

------

Item 1 – Report to Stockholders

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

------

---

| | |
|:---|:---|
| ![LOGO](g438114g42l24.jpg)  | **DECEMBER 31, 2022** |

---

**2022 Annual Report**

**BlackRock Funds<sup>SM</sup>** 

· iShares Municipal Bond Index Fund

· iShares Short-Term TIPS Bond Index Fund

**BlackRock Index Funds, Inc.** 

· iShares MSCI EAFE International Index Fund

· iShares Russell 2000 Small-Cap Index Fund

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

------

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](g438114sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g438114photo_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<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year 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 High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | 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

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**Table of Contents**

---

| | |
|:---|:---|
|  | **Page** |
|  [The Markets in Review](#tx438114_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx438114_2) | 4 |
|  [About Fund Performance](#tx438114_3) | 15 |
|  [Disclosure of Expenses](#tx438114_4) | 16 |
|  [Derivative Financial Instruments](#tx438114_5) | 16 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Schedules of Investments](#tx438114_6) | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Assets and Liabilities](#tx438114_7) | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Operations](#tx438114_8) | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx438114_9) | 40 |
|  [Fund Financial Highlights](#tx438114_10) | 42 |
|  [Fund Notes to Financial Statements](#tx438114_11) | 57 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx438114_12) | 71 |
|  [Important Tax Information](#tx438114_13) | 72 |
|  [Series Portfolio Information](#tx438114_14) | 73 |
|  Series Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Series Schedule of Investments](#tx438114_15) | 74 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Series Statement of Assets and Liabilities](#tx438114_16) | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Series Statement of Operations](#tx438114_17) | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Series Statements of Changes in Net Assets](#tx438114_18) | 101 |
|  [Series Financial Highlights](#tx438114_19) | 102 |
|  [Series Notes to Financial Statements](#tx438114_20) | 103 |
|  [Series Report of Independent Registered Public Accounting Firm](#tx438114_21) | 111 |
|  [Statement Regarding Liquidity Risk Management Program](#tx438114_22) | 112 |
|  [Director and Officer Information](#tx438114_23) | 113 |
|  [Additional Information](#tx438114_24) | 118 |
|  [Glossary of Terms Used in this Report](#tx438114_25) | 120 |

---

![LOGO](g438114sp3a33.jpg)

3.0 ------

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares Municipal Bond Index Fund** |

---

**Investment Objective** 

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

**Portfolio Management Commentary** 

**How did the Fund perform?** 

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

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

**Describe the market environment.** 

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

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

**Describe recent portfolio activity.** 

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

**Describe portfolio positioning at period end.** 

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

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

**GROWTH OF $10,000 INVESTMENT**![LOGO](g438114sp004.jpg)

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

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

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

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

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---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **iShares Municipal Bond Index Fund** |

---

**Performance** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | | | 1 Year | 1 Year |  | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Standardized*<br> *30-Day Yields* | *Unsubsidized*<br> *30-Day Yields* | *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 | 3.21% | 3.21% | (8.61)% | N/A |  | 1.18% | N/A | 1.79% | N/A |
|  Investor A | 2.97 | 2.96 | (8.85) | N/A |  | 0.97 | N/A | 1.68 | N/A |
|  Investor P | 2.87 | 2.87 | (8.84) | (12.49)% |  | 0.97 | 0.15% | 1.68 | 1.26% |
|  Class K | 3.26 | 3.19 | (8.58) | N/A |  | 1.21 | N/A | 1.80 | N/A |
|  **ICE BofA US Municipal Securities Index** |  |  | (9.04) | N/A |  | 1.20 | N/A | 2.18 | N/A |

---

<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. On November 19, 2018, the Fund acquired all of the assets and assumed certain stated liabilities of the State Farm Tax Advantaged Bond Fund (the "Predecessor Fund"), a series of State Farm Mutual Fund Trust, through a tax-free reorganization (the "Reorganization"). The Predecessor Fund is the performance and accounting survivor of the Reorganization; accordingly the Fund assumed the performance and financial history of the Predecessor Fund upon completion of the Reorganization. 

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

Past performance is not an indication of future results.

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

**Expense Example** 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Actual | Actual |  | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | | |  |
|  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>*<sup>(a)</sup>*  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>| *Annualized*<br> *Expense*<br> *Ratio* | <br>|
|  Institutional |  | $1000.00 |  | $1003.50 | $1.16 |  |  | $1000.00 |  | $1024.05 | $1.17 |  | 0.23 | % |
|  Investor A |  | 1000.00 |  | 1002.10 | 2.52 |  |  | 1000.00 |  | 1022.68 | 2.55 |  | 0.50 |  |
|  Investor P |  | 1000.00 |  | 1002.20 | 2.42 |  |  | 1000.00 |  | 1022.79 | 2.45 |  | 0.48 |  |
|  Class K |  | 1000.00 |  | 1003.60 | 1.01 |  |  | 1000.00 |  | 1024.20 | 1.02 |  | 0.20 |  |

---

<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) | **iShares Municipal Bond Index Fund** |

---

**Portfolio Information** 

---

| | |
|:---|:---|
| **SECTOR ALLOCATION** | **SECTOR ALLOCATION** |
| *Sector<sup>(a)(b)</sup>* | *Percent of*<br> *Total Investments* |
|  State | 31.3% |
|  Transportation | 26.4 |
|  County/City/Special District/School District | 15.4 |
|  Utilities | 15.0 |
|  Health | 6.1 |
|  Education | 4.9 |
|  Tobacco | 0.9 |

---

---

| | |
|:---|:---|
| **CALL/MATURITY SCHEDULE** | **CALL/MATURITY SCHEDULE** |
| *Calendar Year Ended December 31,<sup>(a)(c)</sup>* | *Percentage* |
| 2023 | 7.5% |
| 2024 | 7.8 |
| 2025 | 11.5 |
| 2026 | 13.6 |
| 2027 | 1 |

---

---

| | |
|:---|:---|
| **CREDIT QUALITY ALLOCATION** | **CREDIT QUALITY ALLOCATION** |
| *Credit Rating<sup>(a)(d)</sup>* | *Percent of*<br> *Total Investments* |
|  AAA/Aaa | 22.2% |
|  AA/Aa | 60.0 |
|  A | 14.6 |
|  BBB/Baa | 2.6 |
|  N/R<sup>(e)</sup> | 0.6 |

---

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

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

<sup>(c)</sup> Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

<sup>(d)</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. 

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

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

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares Short-Term TIPS Bond Index Fund** |

---

**Investment Objective** 

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

**Portfolio Management Commentary** 

**How did the Fund perform?** 

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

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

**What factors influenced performance?** 

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

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

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

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

**Describe recent portfolio activity.** 

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

**Describe portfolio positioning at period end.** 

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

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

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

------

---

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

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g438114sp008.jpg)

The Fund commenced operations on February 16, 2016.

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

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

<sup>(c)</sup> An index that measures the performance of the inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of less than five years.

**Performance** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |  |
|  | *1 Year* | *5 Years* | | *Since*<br> *Inception* | <br> *<sup>(b)</sup>*  |
|  Institutional | (2.81) | 2.45 | % | 2.27 | % |
|  Investor A | (3.15) | 2.15 |  | 1.99 |  |
|  Class K | (2.86) | 2.46 |  | 2.28 |  |
|  **Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L)** | (2.74 | 2.57 |  | 2.38 |  |

---

<sup>(a)</sup> Average annual total returns reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related fees. 

<sup>(b)</sup> The Fund commenced operations on February 16, 2016.

Past performance is not an indication of future results.

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

**Expense Example** 

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return |  | | |  |
|  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>*<sup>(a)</sup>*  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>*<sup>(a)</sup>*  | <br>| *Annualized*<br> *Expense*<br> *Ratio* | <br>|
|  Institutional |  | $1000.00 |  | $985.80 | $0.50 |  |  | $1000.00 |  | $1024.70 | $0.51 |  |  | 0.10 | % |
|  Investor A |  | 1000.00 |  | 983.60 | 1.80 |  |  | 1000.00 |  | 1023.39 | 1.84 |  |  | 0.36 |  |
|  Class K |  | 1000.00 |  | 985.10 | 0.30 |  |  | 1000.00 |  | 1024.90 | 0.31 |  |  | 0.06 |  |

---

<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

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---

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

---

**Portfolio Information** 

**ALLOCATION BY MATURITY** 

---

| | | |
|:---|:---|:---|
| *Period* | <br>| *Percent of*<br> *Total Investments* |
|  1-2 Years |  | 23.0% |
|  2-3 Years |  | 28.2 |
|  3-4 Years |  | 22.6 |
|  4-5 Years |  | 26.2 |

---

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

**FIVE LARGEST FUND HOLDINGS** 

---

| | |
|:---|:---|
| *Holding* | *Percent of*<br> *Total Investments* |
|  U.S. Treasury Inflation-Indexed Notes, 0.63%, 01/15/24 | 5.2% |
|  U.S. Treasury Inflation-Indexed Notes, 0.38%, 07/15/25 | 5.1 |
|  U.S. Treasury Inflation-Indexed Notes, 0.13%, 07/15/24 | 4.7 |
|  U.S. Treasury Inflation-Indexed Notes, 1.63%, 10/15/27 | 4.7 |
|  U.S. Treasury Inflation-Indexed Notes, 0.13%, 10/15/25 | 4.6 |

---

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

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---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares MSCI EAFE International Index Fund** |

---

**Investment Objective** 

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

**Portfolio Management Commentary** 

**How did the Fund perform?** 

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

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

**Describe the market environment.** 

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

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

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

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

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

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

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

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

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

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

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

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

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

**Describe recent portfolio activity.** 

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

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

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---

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

---

**Describe portfolio positioning at period end.** 

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

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

**GROWTH OF $10,000 INVESTMENT**![LOGO](g438114sp0011.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including administration fees, if any.

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

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

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *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 | (14.18)% | N/A | 1.71% | N/A | 4.52% | N/A |
|  Investor A | (14.36) | N/A | 1.46 | N/A | 4.25 | N/A |
|  Investor P | (14.36) | (18.85)% | 1.47 | 0.38% | 4.27 | 3.71% |
|  Class K | (14.07) | N/A | 1.79 | N/A | 4.58 | N/A |
|  **MSCI EAFE Index** | (14.45) | N/A | 1.54 | N/A | 4.67 | N/A |

---

<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. 

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 | Actual | Actual |  | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | | |  |
|  | <br> **<br>| *Beginning*<br> *Account Value<br>(07/01/22)* | *Ending*<br> *Account Value*<br> *(12/31/22)* | <br>| *Expenses*<br> *Paid During*<br> *the Period* | <br>*<sup>(a)</sup>*  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>| *Annualized*<br> *Expense*<br> *Ratio* | <br>|
|  Institutional |  | $1000.00 | $1059.60 |  | $0.47 |  |  | $1000.00 |  | $1024.75 | $0.46 |  | 0.09 | % |
|  Investor A |  | 1000.00 | 1059.10 |  | 1.76 |  |  | 1000.00 |  | 1023.49 | 1.73 |  | 0.34 |  |
|  Investor P |  | 1000.00 | 1059.20 |  | 1.76 |  |  | 1000.00 |  | 1023.49 | 1.73 |  | 0.34 |  |
|  Class K |  | 1000.00 | 1060.80 |  | 0.16 |  |  | 1000.00 |  | 1025.05 | 0.15 |  | 0.03 |  |

---

<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 11

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---

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

---

**Portfolio Information** 

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Nestle SA, Registered Shares | 2.2% |
|  Novo Nordisk A/S, Class B | 1.6 |
|  ASML Holding NV | 1.5 |
|  Roche Holding AG | 1.5 |
|  AstraZeneca PLC | 1.5 |
|  Shell PLC | 1.4 |
|  LVMH Moet Hennessy Louis Vuitton SE | 1.4 |
|  Novartis AG, Registered Shares | 1.4 |
|  BHP Group Ltd., Class DI | 1.1 |
|  TotalEnergies SE | 1.1 |

---

---

| | |
|:---|:---|
| **GEOGRAPHIC ALLOCATION** | **GEOGRAPHIC ALLOCATION** |
| *Country/Geographic Region* | *Percent of*<br> *Net Assets* |
|  Japan | 21.7% |
|  United Kingdom | 13.6 |
|  France | 11.4 |
|  Switzerland | 10.2 |
|  Australia | 8.8 |
|  Germany | 8 |
|  Netherlands | 4.6 |
|  Sweden | 3 |
|  Denmark | 2.9 |
|  Hong Kong | 2.8 |
|  Spain | 2.5 |
|  Italy | 1.9 |
|  Singapore | 1.5 |
|  Finland | 1.3 |
|  United States | 1.1 |
|  Ireland | 1 |
|  Other | 3.9 |
|  Liabilities in Excess of Other Assets | (0.2) |

---

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

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

---

**Investment Objective** 

**iShares Russell 2000 Small-Cap Index Fund's (the "Fund")** investment objective is to match the performance of the Russell 2000<sup>®</sup> Index (the "Underlying Index") as closely as possible before the deduction of Fund expenses.

**Portfolio Management Commentary** 

**How did the Fund perform?** 

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

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

**Describe the market environment.** 

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

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

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

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

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

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

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

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

**Describe recent portfolio activity.** 

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

**Describe portfolio positioning at period end.** 

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

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

F U N D S U M M A R Y 13

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---

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

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g438114sp014.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including administration fees, if any.

<sup>(b)</sup> The Fund invests all of its assets in the Series. The Series may invest in a statistically selected sample of the stocks included in the Underlying Index and in derivative instruments linked to the Underlying Index.

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

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *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 | (20.39)% | N/A | 4.14% | N/A | 9.02% | N/A |
|  Investor A | (20.57) | N/A | 3.87 | N/A | 8.75 | N/A |
|  Investor P | (20.57) | (24.74)% | 3.88 | 2.76% | 8.75 | 8.17% |
|  Class K | (20.32) | N/A | 4.19 | N/A | 9.08 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | 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. 

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 | Actual | Actual |  | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | | |  |
|  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>*<sup>(a)</sup>*  | <br>| *Beginning*<br> *Account Value*<br> *(07/01/22)* | <br>| *Ending*<br> *Account Value*<br> *(12/31/22)* | *Expenses*<br> *Paid During*<br> *the Period* | <br>| *Annualized*<br> *Expense*<br> *Ratio* | <br>|
|  Institutional |  | $1000.00 |  | $1039.40 | $0.62 |  |  | $1000.00 |  | $1024.60 | $0.61 |  | 0.12 | % |
|  Investor A |  | 1000.00 |  | 1037.80 | 1.90 |  |  | 1000.00 |  | 1023.34 | 1.89 |  | 0.37 |  |
|  Investor P |  | 1000.00 |  | 1038.30 | 1.90 |  |  | 1000.00 |  | 1023.34 | 1.89 |  | 0.37 |  |
|  Class K |  | 1000.00 |  | 1039.80 | 0.36 |  |  | 1000.00 |  | 1024.85 | 0.36 |  | 0.07 |  |

---

<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). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests. 

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

14 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

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About Fund Performance

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

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

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

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

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

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

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund's investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to **blackrock.com** to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table(s) assume reinvestment of all distributions, if any, at net asset value ("NAV") on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Fund Advisors, the investment adviser of iShares Municipal Bond Index Fund and BlackRock Advisors, LLC, the investment adviser of iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund (the "Manager"), each has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund's expenses. Without such waiver(s) and/or reimbursement(s), each Fund's performance would have been lower. With respect to each Fund's voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund's contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

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

A B O U T F U N D P E R F O R M A N C E 15

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Disclosure of Expenses

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

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

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

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

Derivative Financial Instruments

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

16 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

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| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

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| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** |
|  **Alabama — 0.1%** |  |  |  |  |
| **State — 0.1%** |  |  |  |  |
|  Alabama Public School and College Authority, Refunding RB, Series A, 4.00%, 11/01/38 | $| 395 | $| 393650 |
|  **Arizona — 0.2%** |  |  |  |  |
| **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** |
|  City of Phoenix Arizona, Refunding GO, 5.00%, 07/01/24. |  | 650 |  | 672138 |
| **California — 21.0%** |  |  |  |  |
| **County/City/Special District/School District — 4.2%** | **County/City/Special District/School District — 4.2%** | **County/City/Special District/School District — 4.2%** | **County/City/Special District/School District — 4.2%** | **County/City/Special District/School District — 4.2%** |
|  Contra Costa Community College District, GO, Series A, 4.00%, 08/01/39 |  | 1000 |  | 1000034 |
|  El Camino Community College District Foundation, GO, CAB, Series C, 0.00%, 08/01/38<sup>(a)</sup> |  | 680 |  | 365327 |
|  Fremont Union High School District, Refunding GO, Series A, 5.00%, 08/01/44 |  | 1350 |  | 1440336 |
|  Los Angeles Community College District, Refunding GO, Series A, 5.00%, 08/01/24<sup>(b)</sup> |  | 1000 |  | 1037536 |
|  Los Angeles County Facilities, Inc., RB, Series A, 4.00%, 12/01/48 |  | 1000 |  | 956039 |
|  Los Angeles Unified School District, GO, Series B-1, 5.00%, 07/01/33 |  | 1500 |  | 1654655 |
|  Poway Unified School District, Refunding GO, Series B, 0.00%, 08/01/46<sup>(a)</sup> |  | 995 |  | 310862 |
|  Sacramento City Financing Authority, Refunding RB, Series E, (AMBAC), 5.25%, 12/01/30 |  | 250 |  | 287190 |
|  San Diego Community College District, Refunding GO, 4.00%, 08/01/26<sup>(b)</sup> |  | 500 |  | 525077 |
|  San Diego Unified School District, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I, 5.00%, 07/01/41 |  | 1000 |  | 1060493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series L, 4.00%, 07/01/49 |  | 1000 |  | 944671 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I, Election 2012, 5.00%, 07/01/47 |  | 2075 |  | 2183565 |
|  San Massachusettsrcos Unified School District, GO, CAB, Series B, 0.00%, 08/01/51<sup>(a)</sup> |  | 350 |  | 91578 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11857363 |
| **Education — 2.4%** |  |  |  |  |
|  California Educational Facilities Authority, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series U-6, 5.00%, 05/01/45 |  | 1260 |  | 1446986 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series U-7, 5.00%, 06/01/46 |  | 495 |  | 566505 |
|  California State University, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 11/01/35 |  | 500 |  | 510100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 11/01/38 |  | 500 |  | 501706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 11/01/43 |  | 540 |  | 560432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 11/01/48 |  | 1030 |  | 1091101 |
|  Lodi Unified School District, GO, Series 2022, 3.00%, 08/01/43 |  | 975 |  | 774209 |
|  University of California, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AR, 5.00%, 05/15/41 |  | 605 |  | 633897 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AY, 5.00%, 05/15/32 |  | 500 |  | 549120 |
|  |  |  |  | 6634056 |
| **Health — 0.4%** |  |  |  |  |
|  California Health Facilities Financing Authority, Refunding RB, Class A, 5.00%, 08/15/51 |  | 1000 |  | 1062667 |
| **State — 5.2%** |  |  |  |  |
|  California State Public Works Board, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/01/38 |  | 1000 |  | 1002703 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 08/01/30 |  | 1000 |  | 1167247 |

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| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **State (continued)** |  |  |
|  California State Public Works Board, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 10/01/26 | $250 | $272047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 11/01/34 | 685 | 739579 |
|  State of California, GO, 5.00%, 03/01/45 | 1000 | 1032363 |
|  State of California, Refunding GO |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/01/23<sup>(b)</sup> | 500 | 506457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/24 | 475 | 493740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/25 | 1000 | 1065859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/01/26 | 540 | 573266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/01/27 | 1000 | 1084263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/01/31 | 1000 | 1079548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/31 | 565 | 610868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/32 | 250 | 258726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | 1000 | 1154621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/35 | 1000 | 1021797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/01/37 | 825 | 725077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | 1000 | 1001533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/01/52 | 1000 | 743927 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14533621 |
| **Tobacco — 0.9%** |  |  |
|  Golden State Tobacco Securitization Corp., Refunding RB, Series A, (SAP), 5.00%, 06/01/25<sup>(b)</sup> | 2400 | 2539766 |
| **Transportation — 3.0%** |  |  |
|  Bay Area Toll Authority, RB, Series F-1, 4.00%, 04/01/56 | 1000 | 947410 |
|  Bay Area Toll Authority, Refunding RB, 4.00%, 04/01/38 | 500 | 502264 |
|  City of Long Beach California Harbor Revenue, Refunding ARB, Series C, 5.00%, 05/15/47 | 500 | 526689 |
|  City of Los Angeles Department of Airports, ARB, Sub-Series B, 5.00%, 05/15/42 | 1500 | 1571020 |
|  City of Los Angeles Department of Airports, Refunding ARB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; AMT, 3.00%, 05/15/31 | 1210 | 966488 |
| &nbsp;&nbsp;&nbsp;&nbsp; AMT, 3.00%, 11/15/31<sup>(b)</sup> | 55 | 55632 |
|  Foothill-Eastern Transportation Corridor Agency, RB, Series A, Senior Lien, 4.00%, 01/15/46 | 1000 | 923373 |
|  Foothill-Eastern Transportation Corridor Agency, Refunding RB, CAB<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, (AGM), 0.00%, 01/15/36 | 500 | 296103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, (AGM), 0.00%, 01/15/37 | 1000 | 556484 |
|  Riverside County Transportation Commission, Refunding RB, Series B-1, Senior Lien, 4.00%, 06/01/37 | 1154 | 1136396 |
|  San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB, Series A, AMT, 4.00%, 05/01/49 | 1000 | 868068 |
|  |  | 8349927 |
| **Utilities — 4.9%** |  |  |
|  City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, 5.00%, 11/01/35 | 1305 | 1396654 |
|  East Bay Municipal Utility District Water System Revenue, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 06/01/33 | 1435 | 1579460 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B-2, 5.00%, 06/01/34 | 1000 | 1220169 |
|  Los Angeles Department of Water & Power, RB, Series D, 5.00%, 07/01/44 | 1500 | 1532730 |
|  Los Angeles Department of Water & Power, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 07/01/30 | 1500 | 1573412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 07/01/37 | 1000 | 1080449 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

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| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **Utilities (continued)** |  |  |  |  |
|  Sacramento Municipal Utility District, RB, Series A, 5.00%, 08/15/41 | $| 575 | $| 581072 |
|  San Diego County Water Authority, RB, Series A, 5.00%, 05/01/47 |  | 1550 |  | 1712228 |
|  San Diego Public Facilities Financing Authority, Refunding RB, Series A, Subordinate, 5.00%, 08/01/43 |  | 500 |  | 538778 |
|  San Francisco City & County Public Utilities Commission Wastewater Revenue, Refunding RB, Series B, 4.00%, 10/01/42 |  | 1500 |  | 1479375 |
|  State of California Department of Water Resources, Refunding RB, Series AW, 5.00%, 12/01/26<sup>(b)</sup> |  | 1000 |  | 1089572 |
|  |  |  |  | 13783899 |
|  **Total Municipal Bonds in California** |  |  |  | 58761299 |
|  **Colorado — 3.2%** |  |  |  |  |
| **County/City/Special District/School District — 0.5%** | **County/City/Special District/School District — 0.5%** | **County/City/Special District/School District — 0.5%** | **County/City/Special District/School District — 0.5%** | **County/City/Special District/School District — 0.5%** |
|  City & County of Denver Colorado Dedicated Excise Tax Revenue, Refunding RB, Series A, 4.00%, 08/01/46 |  | 1500 |  | 1437606 |
| **Health — 0.4%** |  |  |  |  |
|  Colorado Health Facilities Authority, Refunding RB, Series A, 5.00%, 08/01/44 |  | 1000 |  | 1001772 |
| **State — 0.2%** |  |  |  |  |
|  State of Colorado, COP, Series N, 4.00%, 03/15/43 |  | 500 |  | 477558 |
| **Transportation — 1.7%** |  |  |  |  |
|  City & County of Denver Colorado Airport System Revenue, Refunding ARB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, AMT, 5.00%, 12/01/35 |  | 1000 |  | 1048415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, AMT, 5.50%, 11/15/29 |  | 3000 |  | 3356773 |
|  E-470 Public Highway Authority, Refunding RB, Series A, 5.00%, 09/01/40 |  | 400 |  | 401753 |
|  |  |  |  | 4806941 |
| **Utilities — 0.4%** |  |  |  |  |
|  Board of Water Commissioners City & County of Denver, RB, Series A, 4.00%, 12/15/26 |  | 1230 |  | 1231242 |
|  **Total Municipal Bonds in Colorado** |  |  |  | 8955119 |
| **Connecticut — 2.5%** |  |  |  |  |
| **Health — 0.4%** |  |  |  |  |
|  Connecticut State Health & Educational Facilities Authority, Refunding RB, 5.00%, 12/01/45 |  | 1000 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1014670 |
| **State — 2.1%** |  |  |  |  |
|  State of Connecticut Special Tax Revenue, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 09/01/24 |  | 400 |  | 414820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/01/29 |  | 725 |  | 736532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 05/01/36 |  | 1000 |  | 1017906 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 09/01/36 |  | 430 |  | 433627 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 05/01/39 |  | 500 |  | 491238 |
|  State of Connecticut, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/15/23 |  | 850 |  | 863765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/15/27 |  | 400 |  | 407257 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 06/15/28 |  | 400 |  | 421891 |

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| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **State (continued)** |  |  |  |  |
|  State of Connecticut, GO (continued) Series B, 4.00%, 06/15/33 | $| 850 | $| 865101 |
|  State of Connecticut, Refunding GO, Series B, 5.00%, 05/15/25 |  | 250 |  | 263276 |
|  |  |  |  | 5915413 |
|  **Total Municipal Bonds in Connecticut** |  |  |  | 6930083 |
| **District of Columbia — 2.1%** | **District of Columbia — 2.1%** | **District of Columbia — 2.1%** | **District of Columbia — 2.1%** | **District of Columbia — 2.1%** |
| **State — 0.5%** |  |  |  |  |
|  District of Columbia, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 06/01/26 |  | 500 |  | 539521 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.00%, 06/01/34 |  | 1000 |  | 1033479 |
|  |  |  |  | 1573000 |
| **Transportation — 1.0%** |  |  |  |  |
|  Metropolitan Washington Airports Authority Aviation Revenue, Refunding ARB, Series A, AMT, 4.00%, 10/01/51 |  | 1500 |  | 1291381 |
|  Washington Metropolitan Area Transit Authority Dedicated Revenue, RB, Series A, 4.00%, 07/15/45 |  | 1500 |  | 1414890 |
|  |  |  |  | 2706271 |
| **Utilities — 0.6%** |  |  |  |  |
|  District of Columbia Water & Sewer Authority, Refunding RB, Sub-Series A, 5.00%, 10/01/45 |  | 1510 |  | 1580800 |
|  **Total Municipal Bonds in District of Columbia** |  |  |  | 5860071 |
| **Florida — 2.8%** |  |  |  |  |
| **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** |
|  County of Miami-Dade Florida Transit System, RB, Series A, 4.00%, 07/01/50 |  | 1500 |  | 1358578 |
|  School Board of Miami-Dade County, Refunding COP, Series D, 5.00%, 02/01/27 |  | 500 |  | 531110 |
|  |  |  |  | 1889688 |
| **Health — 0.3%** |  |  |  |  |
|  City of Tampa Florida, RB, 5.00%, 07/01/50 |  | 1000 |  | 1009267 |
| **State — 0.4%** |  |  |  |  |
|  State of Florida, Refunding GO, Series A, 5.00%, 07/01/25 |  | 1000 |  | 1057379 |
| **Transportation — 1.4%** |  |  |  |  |
|  Central Florida Expressway Authority, Refunding RB, Series B, Senior Lien, 5.00%, 07/01/33 |  | 1000 |  | 1060611 |
|  Greater Orlando Aviation Authority, ARB, Series A, AMT, 5.00%, 10/01/54 |  | 850 |  | 861867 |
|  Miami-Dade County Expressway Authority, Refunding RB, Series B, 5.00%, 07/01/25 |  | 1000 |  | 1026515 |
|  State of Florida Department of Transportation Turnpike System Revenue, RB, Series A, 4.00%, 07/01/48 |  | 1000 |  | 949694 |
|  |  |  |  | 3898687 |
|  **Total Municipal Bonds in Florida** |  |  |  | 7855021 |
| **Georgia — 2.7%** |  |  |  |  |
| **County/City/Special District/School District — 0.9%** | **County/City/Special District/School District — 0.9%** | **County/City/Special District/School District — 0.9%** | **County/City/Special District/School District — 0.9%** | **County/City/Special District/School District — 0.9%** |
|  Gwinnett County School District, GO, 5.00%, 02/01/40 |  | 1400 |  | 1527948 |
|  Metropolitan Atlanta Rapid Transit Authority, Refunding RB, Series B, 5.00%, 07/01/35 |  | 1000 |  | 1062994 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2590942 |

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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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **State — 0.9%** |  |  |  |  |
|  State of Georgia, GO, Series A, 5.00%, 02/01/29 | $| 650 | $| 697067 |
|  State of Georgia, Refunding GO, Series C, 5.00%, 07/01/28 |  | 1710 |  | 1886413 |
|  |  |  |  | 2583480 |
| **Transportation — 0.7%** |  |  |  |  |
|  City of Atlanta Georgia Department of Aviation, Refunding RB, Series A, 5.00%, 07/01/29 |  | 1000 |  | 1136122 |
|  Georgia Ports Authority, ARB, 5.25%, 07/01/52 |  | 750 |  | 832554 |
|  |  |  |  | 1968676 |
| **Utilities — 0.2%** |  |  |  |  |
|  City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 05/01/25<sup>(b)</sup> |  | 500 |  | 525860 |
|  **Total Municipal Bonds in Georgia** |  |  |  | 7668958 |
| **Illinois — 4.5%** |  |  |  |  |
| **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** |
|  City of Chicago Illinois, Refunding GO, Series A, 5.50%, 01/01/39 |  | 150 |  | 157505 |
| **Health — 0.3%** |  |  |  |  |
|  Illinois Finance Authority, Refunding RB, 5.00%, 12/01/40 |  | 1000 |  | 988809 |
| **State — 1.9%** |  |  |  |  |
|  Metropolitan Pier & Exposition Authority, Refunding RB, Class B, (AGM), 0.00%, 06/15/46<sup>(a)</sup> |  | 1105 |  | 347132 |
|  State of Illinois, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/39 |  | 1500 |  | 1488329 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 11/01/29 |  | 1000 |  | 1024457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 11/01/24 |  | 1000 |  | 1018965 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 11/01/26 |  | 500 |  | 515396 |
|  State of Illinois, Refunding GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/01/25 |  | 500 |  | 512309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/01/28 |  | 500 |  | 516836 |
|  |  |  |  | 5423424 |
| **Transportation — 1.8%** |  |  |  |  |
|  Chicago O'Hare International Airport, ARB, Series E, Senior Lien, 5.00%, 01/01/24 |  | 410 |  | 418198 |
|  Chicago O'Hare International Airport, Refunding ARB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, Senior Lien, 4.00%, 01/01/44 |  | 1000 |  | 938058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, Senior Lien, 5.00%, 01/01/48 |  | 1000 |  | 1021141 |
|  Chicago Transit Authority Capital Grant Receipts Revenue, Refunding RB, 5.00%, 06/01/28 |  | 190 |  | 204276 |
|  Illinois State Toll Highway Authority, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 01/01/46 |  | 1000 |  | 935078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 01/01/41 |  | 1000 |  | 1026000 |
|  Illinois State Toll Highway Authority, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 01/01/25 |  | 100 |  | 104286 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 01/01/30 |  | 250 |  | 279941 |
|  |  |  |  | 4926978 |
| **Utilities — 0.4%** |  |  |  |  |
|  Illinois Finance Authority, RB, 5.00%, 07/01/36 |  | 1085 |  | 1218058 |
|  **Total Municipal Bonds in Illinois** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12714774 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* | *Value* |
|  **Indiana — 0.0%** |  |  |  |  |
| **State — 0.0%** |  |  |  |  |
|  Indiana Finance Authority, Refunding RB, Series C, 5.00%, 12/01/24 | $| 100 | $| 104368 |
| **Kansas — 0.8%** |  |  |  |  |
| **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** | **County/City/Special District/School District — 0.1%** |
|  University of Kansas Hospital Authority, Refunding RB, Series A, 5.00%, 03/01/27<sup>(b)</sup> |  | 155 |  | 169266 |
| **Health — 0.1%** |  |  |  |  |
|  University of Kansas Hospital Authority, Refunding RB, Series A, 5.00%, 03/01/47 |  | 425 |  | 432402 |
| **Transportation — 0.6%** |  |  |  |  |
|  State of Kansas Department of Transportation, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/27 |  | 1000 |  | 1060318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/34 |  | 500 |  | 525161 |
|  |  |  |  | 1585479 |
|  **Total Municipal Bonds in Kansas** |  |  |  | 2187147 |
|  **Maryland — 2.2%** |  |  |  |  |
| **State — 1.8%** |  |  |  |  |
|  State of Maryland, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 |  | 1500 |  | 1784997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/28 |  | 450 |  | 503022 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/30 |  | 1000 |  | 1158350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/31 |  | 400 |  | 438132 |
|  State of Maryland, Refunding GO, Series B, 5.00%, 08/01/25 |  | 1000 |  | 1059887 |
|  |  |  |  | 4944388 |
| **Transportation — 0.4%** |  |  |  |  |
|  State of Maryland Department of Transportation, ARB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/28 |  | 405 |  | 409902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/01/29 |  | 695 |  | 710682 |
|  |  |  |  | 1120584 |
|  **Total Municipal Bonds in Maryland** |  |  |  | 6064972 |
| **Massachusetts — 3.2%** |  |  |  |  |
| **Education — 0.8%** |  |  |  |  |
|  Massachusetts Development Finance Agency, RB, Series P, 5.00%, 07/01/50 |  | 500 |  | 571008 |
|  Massachusetts Development Finance Agency, Refunding RB, Series A, 5.00%, 07/15/40 |  | 1000 |  | 1151764 |
|  University of Massachusetts Building Authority, Refunding RB, Series 1, 5.00%, 11/01/24<sup>(b)</sup> |  | 400 |  | 416330 |
|  |  |  |  | 2139102 |
| **Health — 0.4%** |  |  |  |  |
|  Massachusetts Development Finance Agency, Refunding RB, 5.00%, 07/01/34 |  | 1000 |  | 1079115 |
| **State — 2.0%** |  |  |  |  |
|  Commonwealth of Massachusetts, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/31 |  | 1000 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1182751 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/01/26 |  | 725 |  | 778522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.00%, 02/01/48 |  | 1000 |  | 748009 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 4.00%, 04/01/46 |  | 530 |  | 504521 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **State (continued)** |  |  |
|  Commonwealth of Massachusetts, GO (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 5.00%, 11/01/42 | $&nbsp;&nbsp;&nbsp;&nbsp;1000 | $1055064 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G, 4.00%, 09/01/32 | 1325 | 1374532 |
|  |  | 5643399 |
|  **Total Municipal Bonds in Massachusetts** |  | 8861616 |
|  **Michigan — 1.3%** |  |  |
| **Education — 0.2%** |  |  |
|  University of Michigan, Refunding RB, 5.00%, 04/01/26<sup>(b)</sup> | 585 | 628512 |
| **Health — 0.4%** |  |  |
|  Michigan Finance Authority, Refunding RB, Series A, 5.00%, 12/01/41 | 1000 | 1043745 |
| **State — 0.7%** |  |  |
|  Michigan State Building Authority, Refunding RB, Series I, 3.00%, 10/15/51 | 1000 | 750667 |
|  State of Michiganchigan Trunk Line Revenue, RB, BAB, Series B, 5.00%, 11/15/45 | 1000 | 1103795 |
|  |  | 1854462 |
|  **Total Municipal Bonds in Michigan** |  | 3526719 |
|  **Minnesota — 0.4%** |  |  |
| **Health — 0.4%** |  |  |
|  City of Rochester Minnesota, Refunding RB, 5.00%, 11/15/57 | 1000 | 1071173 |
| **Missouri — 0.4%** |  |  |
| **Utilities — 0.4%** |  |  |
|  Metropolitan St Louis Sewer District, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 05/01/25<sup>(b)</sup> | 330 | 346305 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 05/01/45 | 705 | 734172 |
|  **Total Municipal Bonds in Missouri** |  | 1080477 |
|  **New Jersey — 5.6%** |  |  |
| **Health — 0.3%** |  |  |
|  New Jersey Health Care Facilities Financing Authority, RB, 4.00%, 07/01/51 | 1000 | 897376 |
| **State — 2.5%** |  |  |
|  New Jersey Economic Development Authority, RB, Series EEE, 5.00%, 06/15/48 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1010610 |
|  New Jersey Economic Development Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series NN, 5.00%, 03/01/23<sup>(b)</sup> | 1000 | 1002896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series NN, 5.00%, 03/01/25 | 500 | 501382 |
|  New Jersey Transportation Trust Fund Authority, RB, Series S, 5.00%, 06/15/46 | 500 | 506661 |
|  New Jersey Transportation Trust Fund Authority, RB, CAB, Series A, 0.00%, 12/15/38<sup>(a)</sup> | 530 | 243804 |
|  New Jersey Transportation Trust Fund Authority, Refunding RB, Series A, 5.00%, 12/15/36 | 1000 | 1047614 |
|  State of New Jersey, GO |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 06/01/29 | 1000 | 1130143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 06/01/31 | 1500 | 1592458 |
|  |  | 7035568 |
| **Transportation — 2.8%** |  |  |
|  New Jersey Transportation Trust Fund Authority, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 0.00%, 12/15/25<sup>(a)</sup> | 100 | 90036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AA, 5.00%, 06/15/25 | 150 | 153766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AA, 4.75%, 06/15/38 | 280 | 281218 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **Transportation (continued)** |  |  |  |  |
|  New Jersey Transportation Trust Fund Authority, RB (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AA, 3.00%, 06/15/50 | $| &nbsp;&nbsp;&nbsp;&nbsp;1000 | $| 702495 |
|  New Jersey Transportation Trust Fund Authority, RB, CAB<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 0.00%, 12/15/32 |  | 250 |  | 164448 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 0.00%, 12/15/35 |  | 3075 |  | 1703638 |
|  New Jersey Transportation Trust Fund Authority, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 12/15/31 |  | 1000 |  | 1016557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 12/15/24 |  | 250 |  | 258808 |
|  New Jersey Turnpike Authority, RB, Series A, 5.00%, 01/01/34 |  | 1000 |  | 1028803 |
|  New Jersey Turnpike Authority, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.00%, 01/01/29 |  | 1000 |  | 1103986 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.00%, 01/01/32 |  | 1100 |  | 1210455 |
|  |  |  |  | 7714210 |
|  **Total Municipal Bonds in New Jersey** |  |  |  | 15647154 |
|  **New York — 24.1%** |  |  |  |  |
| **County/City/Special District/School District — 5.8%** | **County/City/Special District/School District — 5.8%** | **County/City/Special District/School District — 5.8%** | **County/City/Special District/School District — 5.8%** | **County/City/Special District/School District — 5.8%** |
|  City of New York, GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B-1, 5.00%, 12/01/41 |  | 1390 |  | 1455379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 12/01/35 |  | 500 |  | 543621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.00%, 12/01/41 |  | 1000 |  | 961112 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F-1, 5.00%, 03/01/43 |  | 1000 |  | 1061252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F-1, 5.00%, 03/01/50 |  | 1000 |  | 1053245 |
|  City of New York, Refunding GO, Series I, 5.00%, 08/01/26 |  | 165 |  | 165258 |
|  Hudson Yards Infrastructure Corp., Refunding RB, Series A, 5.00%, 02/15/42 |  | 910 |  | 959314 |
|  Nassau County Interim Finance Authority, Refunding RB, Series A, 4.00%, 11/15/34 |  | 310 |  | 336519 |
|  New York City Industrial Development Agency, Refunding RB, (AGM), 4.00%, 03/01/45 |  | 300 |  | 279188 |
|  New York City Transitional Finance Authority Future Tax Secured Revenue, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/37 |  | 1000 |  | 1053974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 5.00%, 08/01/36 |  | 500 |  | 541844 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 5.00%, 08/01/42 |  | 1000 |  | 1058675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C-1, 5.00%, 02/01/32 |  | 2285 |  | 2690963 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sub-Series I, 5.00%, 05/01/42 |  | 1620 |  | 1624116 |
|  New York City Transitional Finance Authority Future Tax Secured Revenue, Refunding RB, Series B-1, 5.00%, 11/01/30 |  | 1400 |  | 1629096 |
|  New York State Thruway Authority, Refunding RB, Series A-3, 4.00%, 03/15/56 |  | 1000 |  | 911912 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16325468 |
| **Education — 1.4%** |  |  |  |  |
|  New York State Dormitory Authority, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/45 |  | 1500 |  | 1712978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 07/01/41 |  | 1000 |  | 965508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/01/48 |  | 1000 |  | 1140099 |
|  |  |  |  | 3818585 |
| **State — 7.3%** |  |  |  |  |
|  New York City Transitional Finance Authority Building Aid Revenue, RB, Series S-1, Subordinate, (SAW), 5.00%, 07/15/31 |  | 1000 |  | 1039504 |

---

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 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **State (continued)** |  |  |
|  New York City Transitional Finance Authority Building Aid Revenue, Refunding RB, Series -2A, Subordinate, (SAW), 4.00%, 07/15/36 | $&nbsp;&nbsp;&nbsp;&nbsp;1455 | $1460830 |
|  New York State Dormitory Authority, RB, Series A, 5.00%, 03/15/35 | 740 | 805100 |
|  New York State Dormitory Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/24<sup>(c)</sup> | 600 | 615401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/27 | 1000 | 1093670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/28 | 250 | 278555 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 03/15/43 | 500 | 476097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.00%, 03/15/51 | 2000 | 1493936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.00%, 02/15/47 | 1000 | 934649 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.00%, 03/15/27<sup>(c)</sup> | 500 | 547674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.00%, 09/15/28<sup>(b)</sup> | 5 | 5616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.00%, 03/15/29 | 995 | 1121358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 4.00%, 03/15/39 | 1000 | 974775 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.00%, 03/15/41 | 1500 | 1229763 |
|  New York State Thruway Authority, Refunding RB, Series A-1, 4.00%, 03/15/44 | 2460 | 2325985 |
|  New York State Urban Development Corp., RB, Series A, 4.00%, 03/15/49 | 1000 | 915303 |
|  New York State Urban Development Corp., Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/24 | 1000 | 1025748 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/27<sup>(c)</sup> | 600 | 655959 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 03/15/39 | 1000 | 1079760 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.00%, 03/15/47 | 715 | 551863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.00%, 03/15/50 | 1130 | 852155 |
|  Sales Tax Asset Receivable Corp., Refunding RB, Series A, 5.00%, 10/15/24<sup>(b)</sup> | 1000 | 1038719 |
|  |  | 20522420 |
| **Transportation — 5.2%** |  |  |
|  Metropolitan Transportation Authority, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 11/15/48 | 500 | 411732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D1, 5.00%, 11/15/44 | 300 | 290395 |
|  Metropolitan Transportation Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 11/15/37 | 1075 | 1091704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B-1, 5.00%, 11/15/47 | 1000 | 1038380 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 5.00%, 11/15/25 | 1235 | 1235509 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D-1, 5.00%, 11/15/34<sup>(d)</sup> | 1000 | 1024822 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sub-Series C-1, 5.00%, 11/15/34 | 1000 | 1020572 |
|  New York State Thruway Authority, Refunding RB, Series B, Subordinate, 4.00%, 01/01/50 | 1000 | 907969 |
|  Port Authority of New York & New Jersey, Refunding ARB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 179th Series, 5.00%, 12/01/32 | 1000 | 1018472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 194th Series, 5.00%, 10/15/34 | 1395 | 1465206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 194th Series, 5.00%, 10/15/41 | 835 | 868198 |
|  Triborough Bridge & Tunnel Authority, RB, Series A, 4.00%, 11/15/42 | 1000 | 945964 |
|  Triborough Bridge & Tunnel Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 11/15/31 | 1000 | 1068719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 11/15/40 | 600 | 619043 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 11/15/38 | 1000 | 1061880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Senior Lien, 5.00%, 11/15/28 | 415 | 467500 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14536065 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
|  **Utilities — 4.4%** |  |  |
|  New York City Municipal Water Finance Authority, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series CC-1, 5.00%, 06/15/48 | $&nbsp;&nbsp;&nbsp;&nbsp;1000 | $1037367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DD-1, 4.00%, 06/15/49 | 1000 | 927979 |
|  New York City Municipal Water Finance Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DD, 5.00%, 06/15/35 | 2500 | 2556941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DD, 5.00%, 06/15/39 | 420 | 428432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series EE, 5.00%, 06/15/36 | 1000 | 1054456 |
|  New York Power Authority, RB, (AGM), 4.00%, 11/15/52 | 1000 | 934397 |
|  New York Power Authority, Refunding RB, Series A, 4.00%, 11/15/50 | 1000 | 919373 |
|  New York State Environmental Facilities Corp., Refunding RB, Series A, Subordinate, 4.00%, 06/15/46 | 1475 | 1442057 |
|  Utility Debt Securitization Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series TE, Restructured, 5.00%, 12/15/34 | 1000 | 1017672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series TE, Restructured, 5.00%, 12/15/41 | 2000 | 2030279 |
|  |  | 12348953 |
|  **Total Municipal Bonds in New York** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67551491 |
|  **North Carolina<sup>(a)</sup> — 0.2%** |  |  |
| **Transportation — 0.2%** |  |  |
|  North Carolina Turnpike Authority, RB, Series B, (AGC), 0.00%, 01/01/34 | 500 | 318660 |
|  North Carolina Turnpike Authority, RB, CAB, 0.00%, 01/01/49 | 1000 | 293186 |
|  **Total Municipal Bonds in North Carolina** |  | 611846 |
|  **Ohio — 1.8%** |  |  |
| **State — 0.2%** |  |  |
|  State of Ohio, Refunding GO, Series B, 5.00%, 09/15/25 . | 510 | 541648 |
| **Transportation — 0.4%** |  |  |
|  Ohio Turnpike & Infrastructure Commission, RB, Series A, 5.00%, 02/15/46 | 1000 | 1075856 |
| **Utilities — 1.2%** |  |  |
|  American Municipal Power, Inc., Refunding RB, 5.00%, 02/15/33 | 1000 | 1126276 |
|  Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series A, 5.00%, 12/01/28 | 2000 | 2204028 |
|  |  | 3330304 |
|  **Total Municipal Bonds in Ohio** |  | 4947808 |
|  **Oregon — 0.3%** |  |  |
| **State — 0.3%** |  |  |
|  State of Oregon Department of Transportation, Refunding RB, Series A, Subordinate, 4.00%, 11/15/42 | 1000 | 985285 |
|  **Pennsylvania — 3.7%** |  |  |
| **Health — 0.7%** |  |  |
|  Geisinger Authority, Refunding RB, 5.00%, 04/01/50 | 1000 | 1024891 |
|  Pennsylvania Higher Educational Facilities Authority, RB, 5.00%, 08/15/49 | 1000 | 1037740 |
|  |  | 2062631 |
| **State — 1.8%** |  |  |
|  Commonwealth of Pennsylvania, GO 5.00%, 10/01/31 | 1000 | 1154493 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* | *Value* |
|  **State (continued)** |  |  |  |  |
|  Commonwealth of Pennsylvania, GO (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1st Series, 5.00%, 03/15/29 | $| &nbsp;&nbsp;&nbsp;&nbsp;1000 | $| 1046353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2nd Series, 5.00%, 10/15/26 |  | 685 |  | 696413 |
|  Commonwealth of Pennsylvania, Refunding GO, 1st Series, 5.00%, 01/01/28 |  | 1105 |  | 1197833 |
|  Pennsylvania Economic Development Financing Authority, RB, AMT, 5.00%, 12/31/38 |  | 1000 |  | 1000657 |
|  |  |  |  | 5095749 |
| **Transportation — 1.2%** |  |  |  |  |
|  Delaware River Port Authority, ARB, Series A, 5.00%, 01/01/39 |  | 125 |  | 133966 |
|  Delaware River Port Authority, Refunding RB, Series B, 5.00%, 01/01/26 |  | 250 |  | 266566 |
|  Pennsylvania Turnpike Commission, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 5.00%, 12/01/47 |  | 1000 |  | 1033583 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 12/01/23<sup>(b)</sup> |  | 760 |  | 773215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 12/01/43 |  | 240 |  | 241881 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, Subordinate, 4.00%, 12/01/46 |  | 425 |  | 391221 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, Subordinate, 4.00%, 12/01/50 |  | 480 |  | 428541 |
|  |  |  |  | 3268973 |
|  **Total Municipal Bonds in Pennsylvania** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10427353 |
|  **South Carolina — 0.4%** |  |  |  |  |
| **Utilities — 0.4%** |  |  |  |  |
|  South Carolina Public Service Authority, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 12/01/40 |  | 750 |  | 697264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 12/01/51 |  | 305 |  | 307003 |
|  **Total Municipal Bonds in South Carolina** |  |  |  | 1004267 |
|  **Tennessee — 0.3%** |  |  |  |  |
| **Transportation — 0.3%** |  |  |  |  |
|  Metropolitan Nashville Airport Authority, ARB, Series A, 5.00%, 07/01/45 |  | 900 |  | 911141 |
|  **Texas — 9.0%** |  |  |  |  |
| **County/City/Special District/School District — 1.8%** | **County/City/Special District/School District — 1.8%** | **County/City/Special District/School District — 1.8%** | **County/City/Special District/School District — 1.8%** | **County/City/Special District/School District — 1.8%** |
|  Carrollton-Farmers Branch Independent School District, GO, Series A, (PSF), 4.00%, 02/15/23<sup>(b)</sup> |  | 445 |  | 445471 |
|  County of Williamson Texax, GO, 4.00%, 02/15/26 |  | 1000 |  | 1039436 |
|  Cypress-Fairbanks Independent School District, Refunding GO, Series C, (PSF), 5.00%, 02/15/44 |  | 500 |  | 509380 |
|  Dallas Area Rapid Transit, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 12/01/23 |  | 800 |  | 814200 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, Senior Lien, 4.00%, 12/01/51 |  | 1780 |  | 1670346 |
|  Lewisville Independent School District, Refunding GO, Series B, 5.00%, 08/15/28 |  | 570 |  | 602007 |
|  |  |  |  | 5080840 |
| **Education — 0.2%** |  |  |  |  |
|  Board of Regents of the University of Texas System, RB, Series E, 5.00%, 08/15/27 |  | 400 |  | 442206 |
| **Health — 0.4%** |  |  |  |  |
|  Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Series A, 5.00%, 11/15/45 |  | 1000 |  | 1025772 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **State — 0.7%** |  |  |  |  |
|  State of Texas, Refunding GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/24<sup>(b)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;1000 | $| 1026776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 10/01/36 |  | 1000 |  | 1044855 |
|  |  |  |  | 2071631 |
| **Transportation — 4.2%** |  |  |  |  |
|  Central Texas Regional Mobility Authority, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 01/01/27 |  | 1000 |  | 1049912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, Senior Lien, 5.00%, 07/01/25<sup>(b)</sup> |  | 1000 |  | 1056883 |
|  Central Texas Turnpike System, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, (AMBAC), 0.00%, 08/15/30<sup>(a)</sup> |  | 270 |  | 206429 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.00%, 08/15/37 |  | 1000 |  | 1002689 |
|  Dallas Fort Worth International Airport, Refunding RB, Series A, 4.00%, 11/01/34 |  | 1250 |  | 1281354 |
|  Grand Parkway Transportation Corp., RB, Series A, 5.00%, 10/01/35 |  | 695 |  | 751385 |
|  Grand Parkway Transportation Corp., Refunding RB, 4.00%, 10/01/49 |  | 500 |  | 443025 |
|  Harris County Toll Road Authority, Refunding RB, Series A, Senior Lien, 5.00%, 08/15/31 |  | 1000 |  | 1105422 |
|  North Texas Tollway Authority, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 01/01/38 |  | 1000 |  | 1055068 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 01/01/43 |  | 1815 |  | 1886563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 01/01/34 |  | 1000 |  | 1036996 |
|  State of Texas, Refunding GO, Series A, 5.00%, 10/01/24<sup>(b)</sup> |  | 1000 |  | 1038758 |
|  |  |  |  | 11914484 |
| **Utilities — 1.7%** |  |  |  |  |
|  City of Austin Texas Electric Utility Revenue, Refunding RB, Series A, 5.00%, 11/15/45 |  | 1000 |  | 1033069 |
|  City of Garland Texas Electric Utility System Revenue, Refunding RB, 4.00%, 03/01/49 |  | 1000 |  | 902186 |
|  City of San Antonio Texas Electric & Gas Systems Revenue, Refunding RB, Series A, 5.00%, 02/01/26 |  | 500 |  | 533696 |
|  Texas Water Development Board, RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 10/15/37 |  | 1180 |  | 1192754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 04/15/49 |  | 1000 |  | 1054437 |
|  |  |  |  | 4716142 |
|  **Total Municipal Bonds in Texas** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25251075 |
|  **Utah — 0.2%** |  |  |  |  |
| **State — 0.2%** |  |  |  |  |
|  State of Utah, GO, 5.00%, 07/01/25 |  | 450 |  | 476379 |
| **Virginia — 2.1%** |  |  |  |  |
| **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** | **County/City/Special District/School District — 0.7%** |
|  City of Alexandria Virginia, GO, Series A, (SAW), 3.00%, 07/15/46 |  | 1000 |  | 800690 |
|  County of Fairfax Virginia, Refunding GO, Series A, (SAW), 4.00%, 10/01/27 |  | 1000 |  | 1044778 |
|  |  |  |  | 1845468 |
| **Health — 0.3%** |  |  |  |  |
|  Fairfax County Industrial Development Authority, Refunding RB, 4.00%, 05/15/42 |  | 1000 |  | 956885 |
| **State — 0.4%** |  |  |  |  |
|  Virginia College Building Authority, Refunding RB, Series E, 5.00%, 02/01/30 |  | 1000 |  | 1107162 |

---

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 | **iShares Municipal Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* | *Value* |
|  **Transportation — 0.5%** |  |  |  |  |
|  Virginia Commonwealth Transportation Board, Refunding RB |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/15/23 | $| 10 | $| 10146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 |  | 285 |  | 312171 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.00%, 05/15/31 |  | 1000 |  | 1105869 |
|  |  |  |  | 1428186 |
| **Utilities — 0.2%** |  |  |  |  |
|  City of Richmond Virginia Public Utility Revenue, Refunding RB, 5.00%, 01/15/26 |  | 500 |  | 535347 |
|  **Total Municipal Bonds in Virginia** |  |  |  | 5873048 |
|  **Washington — 2.4%** |  |  |  |  |
| **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** | **County/City/Special District/School District — 0.2%** |
|  Central Puget Sound Regional Transit Authority, Refunding RB, Series S-1, 5.00%, 11/01/25<sup>(b)</sup> |  | 485 |  | 516460 |
| **Health — 0.7%** |  |  |  |  |
|  Washington Health Care Facilities Authority, Refunding RB, 5.00%, 10/01/38 |  | 2000 |  | 2095195 |
| **State — 0.8%** |  |  |  |  |
|  State of Washington, Refunding GO |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.00%, 07/01/30 |  | 1000 |  | 1060935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series R, 5.00%, 07/01/31 |  | 1000 |  | 1040294 |
|  |  |  |  | 2101229 |
| **Transportation — 0.7%** |  |  |  |  |
|  Central Puget Sound Regional Transit Authority, RB, Series S-1, 5.00%, 11/01/46 |  | 1000 |  | 1152675 |
|  Port of Seattle Washington, Refunding ARB, AMT, Intermediate Lien, 4.00%, 08/01/47 |  | 1000 |  | 870217 |
|  |  |  |  | 2022892 |
|  **Total Municipal Bonds in Washington** |  |  |  | 6735776 |
|  **Wisconsin — 1.0%** |  |  |  |  |
| **Health — 0.3%** |  |  |  |  |
|  Wisconsin Health & Educational Facilities Authority, Refunding RB, Series A, 5.00%, 11/15/39 |  | 1000 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020522 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **State — 0.7%** |  |  |
|  State of Wisconsin, Refunding GO 5.00%, 11/01/27 | $770 | $843736 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2, 5.00%, 11/01/26 | 980 | 1066751 |
|  |  | 1910487 |
|  **Total Municipal Bonds in Wisconsin** |  | 2931009 |
|  **Total Long-Term Investments — 98.5%<br>(Cost: $287,747,030)** |  | 276061217 |
|  | *Shares* |  |
|  **Short-Term Securities** |  |  |
|  **Money Market Funds — 0.9%** |  |  |
|  BlackRock Liquidity Funds, MuniCash, Institutional Class, 3.09%<sup>(e)(f)</sup> | 2517331 | 2517079 |
|  **Total Short-Term Securities — 0.9%<br>(Cost: $2,517,106)** |  | 2517079 |
|  **Total Investments — 99.4%<br>(Cost: $290,264,136)** |  | 278578296 |
|  **Other Assets Less Liabilities — 0.6%** |  | 1677861 |
|  **Net Assets — 100.0%** |  | $280256157 |

---

<sup>(a)</sup> Zero-coupon bond.

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

<sup>(c)</sup> Security is collateralized by municipal bonds or U.S. Treasury obligations.

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

<sup>(f)</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> *12/31/21* | *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 Liquidity Funds, MuniCash, Institutional Class | $725084 | $1792500 <sup>(a)</sup> | $– $| (478) | $(27) | $2517079 | 2517331 | $29806 | $— |

---

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares Municipal Bond Index Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &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; Municipal Bonds | $— | $276061217 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $276061217 |
| &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 | 2517079 |  |  | 2517079 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;2517079 | $276061217 | $— | $278578296 |

---

*See notes to financial statements.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **iShares Short-Term TIPS Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **U.S. Treasury Obligations** |  |  |
|  U.S. Treasury Inflation-Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 01/15/25 - 01/15/27 | $8237 | $8308212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/15/26 | 2703 | 2699185 |
|  U.S. Treasury Inflation-Indexed Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 01/15/24 - 01/15/26 | 13003 | 12626502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 04/15/24 | 4130 | 4015748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 07/15/24 - 04/15/27 | 51225 | 48593359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 01/15/25 | 6681 | 6408422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 07/15/25 - 07/15/27 | 20372 | 19340923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 10/15/27<sup>(a)</sup> | 6740 | 6732126 |
|  **Total Long-Term Investments — 80.1%<br>(Cost: $115,808,146)** |  | &nbsp;&nbsp;&nbsp;&nbsp;108724477 |
|  | *Shares* |  |
|  **Short-Term Securities** |  |  |
|  **Money Market Funds — 5.2%** |  |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(b)(c)</sup> | 7055575 | 7055575 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par (000)* | *Value* |
| **U.S. Treasury Obligations — 17.5%** |  |  |
|  U.S. Treasury Inflation-Indexed Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 01/15/23 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8711 | $8699744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 04/15/23 | 7250 | 7176505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 07/15/23 | 8047 | 7951294 |
|  |  | 23827543 |
|  **Total Short-Term Securities — 22.7%<br>(Cost: $31,137,672)** |  | 30883118 |
|  **Total Investments — 102.8%<br>(Cost: $146,945,818)** |  | 139607595 |
|  **Liabilities in Excess of Other Assets — (2.8)%** |  | (3847438) |
|  **Net Assets — 100.0%** |  | $135760157 |

---

<sup>(a)</sup> All or a portion of this security is on loan.

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

<sup>(c)</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>12/31/21* | *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 Cash Funds: Treasury, SL Agency Shares | $2879900 | $4175675 <sup>(a)</sup> | $– $– $– $| 7055575 | 7055575 | $37445 <sup>(b)</sup> | $— |

---

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

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &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; U.S. Treasury Obligations | $— | $108724477 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $108724477 |
| &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 | 7055575 |  |  | 7055575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 23827543 |  | 23827543 |
|  | $7055575 | $132552020 | $— | $139607595 |

---

*See notes to financial statements.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** |  |  |
|  **Australia — 8.8%** |  |  |
|  Ampol Ltd. | 130389 | $2506395 |
|  ANZ Group Holdings Ltd. | 1603927 | 25837523 |
|  APA Group | 645774 | 4720224 |
|  Aristocrat Leisure Ltd. | 323158 | 6658932 |
|  ASX Ltd. | 104856 | 4829269 |
|  Aurizon Holdings Ltd. | 1002325 | 2539328 |
|  BHP Group Ltd., Class DI | 2724352 | 84392091 |
|  BlueScope Steel Ltd. | 255182 | 2908367 |
|  Brambles Ltd. | 778175 | 6381505 |
|  Cochlear Ltd. | 35673 | 4926704 |
|  Coles Group Ltd. | 719106 | 8151517 |
|  Commonwealth Bank of Australia | 918316 | 63781466 |
|  Computershare Ltd. | 291896 | 5142048 |
|  CSL Ltd. | 259236 | 50549501 |
|  Dexus | 585584 | 3074353 |
|  Endeavour Group Ltd. | 717791 | 3123770 |
|  Fortescue Metals Group Ltd. | 914799 | 12786285 |
|  Glencore PLC | 5305890 | 35383090 |
|  Goodman Group | 907403 | 10671380 |
|  GPT Group | 1031149 | 2940847 |
|  IDP Education Ltd. | 109773 | 2023032 |
|  IGO Ltd. | 367071 | 3357728 |
|  Insurance Australia Group Ltd. | 1316858 | 4233263 |
|  Lendlease Corp. Ltd. | 372045 | 1974846 |
|  Lottery Corp. Ltd.<sup>(a)</sup> | 1209911 | 3687908 |
|  Macquarie Group Ltd. | 196141 | 22142054 |
|  Medibank Pvt Ltd. | 1502340 | 2997226 |
|  Mineral Resources Ltd. | 91753 | 4813037 |
|  Mirvac Group | 2104615 | 3044792 |
|  National Australia Bank Ltd. | 1727437 | 35073200 |
|  Newcrest Mining Ltd. | 477783 | 6699620 |
|  Northern Star Resources Ltd. | 626407 | 4687602 |
|  Orica Ltd. | 246184 | 2517086 |
|  Origin Energy Ltd. | 940654 | 4923311 |
|  Pilbara Minerals Ltd.<sup>(a)</sup> | 1366416 | 3460106 |
|  Qantas Airways Ltd.<sup>(a)</sup> | 501114 | 2028363 |
|  QBE Insurance Group Ltd. | 791755 | 7182557 |
|  Ramsay Health Care Ltd. | 97608 | 4286074 |
|  REA Group Ltd. | 28716 | 2159631 |
|  Reece Ltd. | 123343 | 1179001 |
|  Rio Tinto Ltd. | 199455 | 15742104 |
|  Rio Tinto PLC | 605085 | 42588301 |
|  Santos Ltd. | 1724800 | 8482903 |
|  Scentre Group | 2778732 | 5408967 |
|  SEEK Ltd. | 180897 | 2571763 |
|  Sonic Healthcare Ltd. | 244048 | 4966627 |
|  South32 Ltd. | 2502264 | 6860278 |
|  Stockland | 1276685 | 3144293 |
|  Suncorp Group Ltd. | 683289 | 5567991 |
|  Telstra Corp. Ltd. | 2167050 | 5860657 |
|  Transurban Group | 1651772 | 14532045 |
|  Treasury Wine Estates Ltd. | 385450 | 3560946 |
|  Vicinity Ltd. | 2117115 | 2858735 |
|  Washington H Soul Pattinson & Co. Ltd. | 114268 | 2143818 |
|  Wesfarmers Ltd. | 610354 | 19035282 |
|  Westpac Banking Corp. | 1884175 | 29829333 |
|  WiseTech Global Ltd. | 79996 | 2751257 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Australia (continued)** |  |  |
|  Woodside Energy Group Ltd. | 1021836 | $24747025 |
|  Woolworths Group Ltd. | 652770 | 14906274 |
|  |  | 679333631 |
| **Austria — 0.2%** |  |  |
|  Erste Group Bank AG | 185042 | 5920457 |
|  OMV AG | 79767 | 4103290 |
|  Verbund AG | 36881 | 3100208 |
|  voestalpine AG | 62425 | 1653582 |
|  |  | 14777537 |
| **Belgium — 0.9%** |  |  |
|  Ageas SA/NV | 87607 | 3887284 |
|  Anheuser-Busch InBev SA | 467444 | 28154591 |
|  D'ieteren Group | 13447 | 2580651 |
|  Elia Group SA | 17721 | 2519265 |
|  Groupe Bruxelles Lambert NV | 53865 | 4304763 |
|  KBC Group NV | 133633 | 8603998 |
|  Sofina SA | 8209 | 1812574 |
|  Solvay SA | 39419 | 3985496 |
|  UCB SA | 68782 | 5419571 |
|  Umicore SA | 112688 | 4144640 |
|  Warehouses De Pauw CVA | 87478 | 2505962 |
|  |  | 67918795 |
| **Chile — 0.0%** |  |  |
|  Antofagasta PLC | 210715 | 3933542 |
|  **China — 0.2%** |  |  |
|  BOC Hong Kong Holdings Ltd. | 1983534 | 6733693 |
|  Budweiser Brewing Co. APAC Ltd.<sup>(b)</sup> | 931200 | 2910927 |
|  Futu Holdings Ltd., ADR<sup>(a)</sup> | 32839 | 1334906 |
|  Wilmar International Ltd. | 1047983 | 3264858 |
|  |  | 14244384 |
| **Denmark — 2.9%** |  |  |
|  AP Moller - Maersk A/S, Class A | 1686 | 3715706 |
|  AP Moller - Maersk A/S, Class B | 2699 | 6041991 |
|  Carlsberg A/S, Class B | 52291 | 6936241 |
|  Chr Hansen Holding A/S | 55923 | 4022696 |
|  Coloplast A/S, Class B | 63405 | 7428063 |
|  Danske Bank A/S | 368028 | 7258656 |
|  Demant A/S<sup>(a)</sup> | 50272 | 1401870 |
|  DSV A/S | 100681 | 15921406 |
|  Genmab A/S<sup>(a)</sup> | 35360 | 14950024 |
|  Novo Nordisk A/S, Class B | 890893 | 120997134 |
|  Novozymes A/S, B Shares | 110779 | 5620225 |
|  Orsted A/S<sup>(b)</sup> | 101805 | 9203746 |
|  Pandora A/S | 49494 | 3498309 |
|  ROCKWOOL A/S, B Shares | 4684 | 1096538 |
|  Tryg A/S | 195257 | 4640390 |
|  Vestas Wind Systems A/S | 545328 | 15907569 |
|  |  | 228640564 |
|  **Finland — 1.3%** |  |  |
|  Elisa OYJ | 76858 | 4073867 |
|  Fortum OYJ | 240327 | 4002421 |
|  Kesko OYJ, B Shares | 147935 | 3268798 |
|  Kone OYJ, Class B | 183941 | 9522944 |
|  Neste OYJ | 226996 | 10468365 |
|  Nokia OYJ | 2910095 | 13519420 |
|  Nordea Bank Abp | 1835437 | 19661112 |
|  Orion OYJ, Class B | 58048 | 3182366 |
|  Sampo OYJ, A Shares | 257214 | 13434146 |

---

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 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Finland (continued)** |  |  |
|  Stora Enso OYJ, R Shares | 297870 | $4199817 |
|  UPM-Kymmene OYJ | 286835 | 10733752 |
|  Wartsila OYJ Abp | 256984 | 2166902 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98233910 |
| **France — 11.4%** |  |  |
|  Accor SA<sup>(a)</sup> | 93467 | 2331773 |
|  Aeroports de Paris<sup>(a)(c)</sup> | 15985 | 2141534 |
|  Air Liquide SA | 281425 | 39944138 |
|  Airbus SE | 318109 | 37823919 |
|  Alstom SA | 173039 | 4233675 |
|  Amundi SA<sup>(b)</sup> | 31911 | 1809638 |
|  Arkema SA | 31530 | 2835960 |
|  AXA SA | 1005842 | 28018234 |
|  BioMerieux | 22757 | 2390930 |
|  BNP Paribas SA | 597844 | 34040719 |
|  Bollore SE | 484142 | 2705579 |
|  Bouygues SA | 121636 | 3648077 |
|  Bureau Veritas SA | 158988 | 4189967 |
|  Capgemini SE | 88081 | 14725028 |
|  Carrefour SA | 322427 | 5392895 |
|  Cie de Saint-Gobain | 268885 | 13154069 |
|  Cie Generale des Etablissements Michelin SCA | 365484 | 10181386 |
|  Covivio | 25449 | 1510615 |
|  Credit Agricole SA | 648535 | 6822158 |
|  Danone SA | 345499 | 18209752 |
|  Dassault Aviation SA | 13537 | 2295781 |
|  Dassault Systemes SE | 358058 | 12875641 |
|  Edenred | 134183 | 7302959 |
|  Eiffage SA | 44689 | 4395790 |
|  Electricite de France SA | 305795 | 3925901 |
|  Engie SA | 981841 | 14046285 |
|  EssilorLuxottica SA | 154808 | 28009869 |
|  Eurazeo SE | 23899 | 1487893 |
|  Gecina SA | 24288 | 2474460 |
|  Getlink SE | 240250 | 3847159 |
|  Hermes International | 17044 | 26381578 |
|  Ipsen SA | 19808 | 2130558 |
|  Kering SA | 40263 | 20490947 |
|  Klepierre SA | 117064 | 2701909 |
|  La Francaise des Jeux SAEM<sup>(b)</sup> | 56850 | 2287560 |
|  Legrand SA | 143500 | 11506073 |
|  L'Oreal SA | 129873 | 46507203 |
|  LVMH Moet Hennessy Louis Vuitton SE | 149403 | 108719420 |
|  Orange SA | 1070753 | 10624135 |
|  Pernod Ricard SA | 112746 | 22179668 |
|  Publicis Groupe SA | 123652 | 7899172 |
|  Remy Cointreau SA | 12566 | 2118796 |
|  Renault SA<sup>(a)</sup> | 101937 | 3401498 |
|  Safran SA | 183941 | 23039314 |
|  Sanofi | 612812 | 59091335 |
|  Sartorius Stedim Biotech | 14792 | 4806926 |
|  Schneider Electric SE | 291974 | 41003246 |
|  SEB SA | 12745 | 1069325 |
|  Societe Generale SA | 426497 | 10698095 |
|  Sodexo SA | 47503 | 4545009 |
|  Teleperformance | 31596 | 7553503 |
|  Thales SA | 57865 | 7393338 |
|  TotalEnergies SE | 1334258 | 83755558 |
|  Ubisoft Entertainment SA<sup>(a)</sup> | 50784 | 1434689 |
|  Unibail-Rodamco-Westfield<sup>(a)(c)</sup> | 63475 | 3318229 |
|  Valeo | 107906 | 1928045 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **France (continued)** |  |  |
|  Veolia Environnement SA | 357727 | $9191584 |
|  Vinci SA | 287160 | 28626083 |
|  Vivendi SE | 393094 | 3755200 |
|  Wendel SE | 14316 | 1337242 |
|  Worldline SA<sup>(a)(b)</sup> | 127977 | 5011893 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;881278915 |
| **Germany — 7.5%** |  |  |
|  Adidas AG | 92878 | 12587412 |
|  Allianz SE, Registered Shares | 219817 | 46943592 |
|  BASF SE | 494291 | 24338192 |
|  Bayer AG, Registered Shares | 528704 | 27212420 |
|  Bayerische Motoren Werke AG | 178096 | 15767722 |
|  Bechtle AG | 45325 | 1602155 |
|  Beiersdorf AG | 54442 | 6221181 |
|  Brenntag SE | 83161 | 5303580 |
|  Carl Zeiss Meditec AG | 21220 | 2667224 |
|  Commerzbank AG<sup>(a)</sup> | 574766 | 5373840 |
|  Continental AG, Class A | 59855 | 3568226 |
|  Covestro AG<sup>(b)</sup> | 102689 | 4000355 |
|  Daimler Truck Holding AG<sup>(a)</sup> | 242852 | 7465686 |
|  Delivery Hero SE<sup>(a)(b)(c)</sup> | 89352 | 4287976 |
|  Deutsche Bank AG, Registered Shares | 1112260 | 12503536 |
|  Deutsche Boerse AG | 102251 | 17606604 |
|  Deutsche Lufthansa AG, Registered Shares<sup>(a)</sup> | 315292 | 2598970 |
|  Deutsche Post AG, Registered Shares | 533452 | 19965308 |
|  Deutsche Telekom AG, Registered Shares | 1744291 | 34705410 |
|  E.ON SE | 1211606 | 12045783 |
|  Evonik Industries AG | 114987 | 2193241 |
|  Fresenius Medical Care AG & Co. KGaA | 109961 | 3591603 |
|  Fresenius SE & Co. KGaA | 226958 | 6339364 |
|  GEA Group AG | 79884 | 3248685 |
|  Hannover Rueck SE | 32667 | 6445450 |
|  HeidelbergCement AG | 78253 | 4434206 |
|  HelloFresh SE<sup>(a)</sup> | 88140 | 1923642 |
|  Henkel AG & Co. KGaA | 55830 | 3587896 |
|  Infineon Technologies AG | 702798 | 21359356 |
|  Knorr-Bremse AG | 39938 | 2172721 |
|  LEG Immobilien SE | 39902 | 2602356 |
|  Mercedes-Benz Group AG, Registered Shares | 431810 | 28238158 |
|  Merck KGaA | 69391 | 13388315 |
|  MTU Aero Engines AG | 28564 | 6145121 |
|  Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 75396 | 24388369 |
|  Nemetschek SE | 31191 | 1594681 |
|  Puma SE | 56062 | 3388571 |
|  Rational AG | 2780 | 1650838 |
|  Rheinmetall AG | 23293 | 4637079 |
|  RWE AG | 345352 | 15267213 |
|  SAP SE | 561965 | 58017647 |
|  Scout24 SE<sup>(b)</sup> | 43874 | 2208336 |
|  Siemens AG, Registered Shares | 411694 | 56752513 |
|  Siemens Energy AG<sup>(a)</sup> | 233089 | 4376512 |
|  Siemens Healthineers AG<sup>(b)</sup> | 152605 | 7612180 |
|  Symrise AG | 71890 | 7807613 |
|  Telefonica Deutschland Holding AG | 566180 | 1390545 |
|  United Internet AG, Registered Shares<sup>(d)</sup> | 51161 | 1031641 |
|  Volkswagen AG | 15983 | 2507343 |
|  Vonovia SE | 384885 | 9066514 |
|  Zalando SE<sup>(a)(b)</sup> | 119686 | 4213522 |
|  |  | 578346403 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Hong Kong — 2.8%** |  |  |
|  AIA Group Ltd. | 6482083 | $71584115 |
|  CK Asset Holdings Ltd. | 1076089 | 6599839 |
|  CK Hutchison Holdings Ltd. | 1443617 | 8648490 |
|  CK Infrastructure Holdings Ltd. | 338844 | 1768100 |
|  CLP Holdings Ltd. | 889261 | 6478772 |
|  ESR Group Ltd.<sup>(b)</sup> | 1080000 | 2257788 |
|  Galaxy Entertainment Group Ltd. | 1171058 | 7699298 |
|  Hang Lung Properties Ltd. | 1070565 | 2085471 |
|  Hang Seng Bank Ltd. | 408648 | 6778014 |
|  Henderson Land Development Co. Ltd. | 794774 | 2766768 |
|  HK Electric Investments & HK Electric Investments Ltd., Class SS | 1402616 | 927407 |
|  HKT Trust & HKT Ltd., Class SS | 2068417 | 2531997 |
|  Hong Kong & China Gas Co. Ltd. | 6058383 | 5745816 |
|  Hong Kong Exchanges & Clearing Ltd. | 648243 | 27855156 |
|  Hongkong Land Holdings Ltd. | 599693 | 2759076 |
|  Jardine Matheson Holdings Ltd. | 85286 | 4338570 |
|  Link REIT | 1133743 | 8295977 |
|  MTR Corp. Ltd. | 836033 | 4421653 |
|  New World Development Co. Ltd. | 802824 | 2252062 |
|  Power Assets Holdings Ltd. | 762118 | 4165332 |
|  Sino Land Co. Ltd. | 1861975 | 2322413 |
|  SITC International Holdings Co. Ltd. | 724000 | 1604701 |
|  Sun Hung Kai Properties Ltd. | 779588 | 10648676 |
|  Swire Pacific Ltd., Class A | 269700 | 2364157 |
|  Swire Properties Ltd. | 612136 | 1550476 |
|  Techtronic Industries Co., Ltd. | 740131 | 8220514 |
|  WH Group Ltd.<sup>(b)</sup> | 4419607 | 2577683 |
|  Wharf Real Estate Investment Co. Ltd. | 904245 | 5266446 |
|  Xinyi Glass Holdings Ltd. | 996000 | 1840184 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216354951 |
| **Ireland — 1.0%** |  |  |
|  AerCap Holdings NV<sup>(a)</sup> | 72496 | 4227967 |
|  AIB Group PLC | 575953 | 2210741 |
|  Bank of Ireland Group PLC | 576467 | 5493336 |
|  CRH PLC | 410636 | 16331051 |
|  Experian PLC | 495489 | 16781387 |
|  Flutter Entertainment PLC<sup>(a)</sup> | 90206 | 12361038 |
|  James Hardie Industries PLC | 239140 | 4304108 |
|  Kerry Group PLC, Class A | 85517 | 7724769 |
|  Kingspan Group PLC | 82349 | 4458694 |
|  Smurfit Kappa Group PLC | 131997 | 4891852 |
|  |  | 78784943 |
| **Isle of Man — 0.1%** |  |  |
|  Entain PLC | 320024 | 5096400 |
|  **Israel — 0.7%** |  |  |
|  Azrieli Group Ltd. | 22913 | 1528027 |
|  Bank Hapoalim BM | 684060 | 6159221 |
|  Bank Leumi Le-Israel BM | 832789 | 6936138 |
|  Bezeq The Israeli Telecommunication Corp. Ltd. | 1136095 | 1948981 |
|  Check Point Software Technologies Ltd.<sup>(a)</sup> | 54997 | 6938421 |
|  CyberArk Software Ltd.<sup>(a)(c)</sup> | 21866 | 2834927 |
|  Elbit Systems Ltd. | 14341 | 2332301 |
|  ICL Group Ltd. | 377522 | 2727770 |
|  Isracard Ltd. | 1 | 4 |
|  Israel Discount Bank Ltd., Class A | 659245 | 3460984 |
|  Mizrahi Tefahot Bank Ltd. | 82721 | 2669839 |
|  Nice Ltd.<sup>(a)</sup> | 33912 | 6523924 |
|  Teva Pharmaceutical Industries Ltd., ADR<sup>(a)</sup> | 602279 | 5492784 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Israel (continued)** |  |  |
|  Tower Semiconductor Ltd.<sup>(a)</sup> | 59659 | $2604133 |
|  Wix.com Ltd.<sup>(a)(c)</sup> | 31066 | 2386801 |
|  ZIM Integrated Shipping Services Ltd.<sup>(c)</sup> | 44224 | 760211 |
|  |  | 55304466 |
| **Italy — 1.9%** |  |  |
|  Amplifon SpA | 67692 | 2021268 |
|  Assicurazioni Generali SpA | 593406 | 10552239 |
|  Davide Campari-Milano NV | 284052 | 2883780 |
|  DiaSorin SpA | 13521 | 1891933 |
|  Enel SpA | 4377060 | 23540449 |
|  Eni SpA | 1358277 | 19313966 |
|  Ferrari NV | 67773 | 14533131 |
|  FinecoBank Banca Fineco SpA | 325247 | 5401084 |
|  Infrastrutture Wireless Italiane SpA<sup>(b)</sup> | 183357 | 1849743 |
|  Intesa Sanpaolo SpA | 8888232 | 19691066 |
|  Mediobanca Banca di Credito Finanziario SpA | 325753 | 3130180 |
|  Moncler SpA | 110625 | 5878262 |
|  Nexi SpA<sup>(a)(b)</sup> | 279444 | 2205913 |
|  Poste Italiane SpA<sup>(b)</sup> | 285755 | 2787959 |
|  Prysmian SpA | 137589 | 5112188 |
|  Recordati Industria Chimica e Farmaceutica SpA | 56310 | 2340681 |
|  Snam SpA | 1092879 | 5299192 |
|  Telecom Italia SpA<sup>(a)</sup> | 5304271 | 1229271 |
|  Terna - Rete Elettrica Nazionale | 761489 | 5623743 |
|  UniCredit SpA | 1034689 | 14681766 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149967814 |
| **Japan — 21.7%** |  |  |
|  Advantest Corp. | 101300 | 6488118 |
|  Aeon Co. Ltd. | 352246 | 7437840 |
|  AGC, Inc. | 104648 | 3472821 |
|  Aisin Corp. | 80846 | 2143629 |
|  Ajinomoto Co., Inc. | 245354 | 7498835 |
|  ANA Holdings, Inc.<sup>(a)</sup> | 86711 | 1836360 |
|  Asahi Group Holdings Ltd. | 247102 | 7691694 |
|  Asahi Intecc Co. Ltd. | 116200 | 1895485 |
|  Asahi Kasei Corp. | 669068 | 4762815 |
|  Astellas Pharma, Inc. | 987143 | 15010129 |
|  Azbil Corp. | 61600 | 1546606 |
|  Bandai Namco Holdings, Inc. | 107104 | 6713216 |
|  Bridgestone Corp. | 308441 | 10920994 |
|  Brother Industries Ltd. | 127663 | 1929457 |
|  Canon, Inc. | 537148 | 11626061 |
|  Capcom Co. Ltd. | 93700 | 2990950 |
|  Central Japan Railway Co. | 77740 | 9544882 |
|  Chiba Bank Ltd. | 292770 | 2136092 |
|  Chubu Electric Power Co., Inc. | 349011 | 3608941 |
|  Chugai Pharmaceutical Co. Ltd. | 362530 | 9246962 |
|  Concordia Financial Group Ltd. | 592670 | 2474648 |
|  CyberAgent, Inc. | 231716 | 2062916 |
|  Dai Nippon Printing Co. Ltd. | 117568 | 2361889 |
|  Daifuku Co. Ltd. | 55176 | 2571981 |
|  Dai-ichi Life Holdings, Inc. | 527300 | 11908211 |
|  Daiichi Sankyo Co. Ltd. | 943062 | 30354045 |
|  Daikin Industries Ltd. | 134068 | 20339923 |
|  Daito Trust Construction Co. Ltd. | 33170 | 3396037 |
|  Daiwa House Industry Co. Ltd. | 323076 | 7442456 |
|  Daiwa House REIT Investment Corp. | 1164 | 2595323 |
|  Daiwa Securities Group, Inc. | 727752 | 3215792 |
|  Denso Corp. | 232890 | 11420884 |
|  Dentsu Group, Inc. | 114682 | 3597652 |

---

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 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Japan (continued)** |  |  |
|  Disco Corp. | 15459 | $4406137 |
|  East Japan Railway Co. | 162144 | 9235386 |
|  Eisai Co. Ltd. | 136015 | 8970466 |
|  ENEOS Holdings, Inc. | 1663063 | 5663419 |
|  FANUC Corp. | 103151 | 15436185 |
|  Fast Retailing Co. Ltd. | 31441 | 19132902 |
|  Fuji Electric Co. Ltd. | 67094 | 2532078 |
|  FUJIFILM Holdings Corp. | 192908 | 9645677 |
|  Fujitsu Ltd. | 105604 | 14078864 |
|  GLP J-REIT | 2256 | 2598184 |
|  GMO Payment Gateway, Inc. | 23300 | 1926885 |
|  Hakuhodo DY Holdings, Inc. | 129792 | 1302600 |
|  Hamamatsu Photonics KK | 75487 | 3602821 |
|  Hankyu Hanshin Holdings, Inc. | 124563 | 3690503 |
|  Hikari Tsushin, Inc. | 11206 | 1577292 |
|  Hirose Electric Co. Ltd. | 16192 | 2030822 |
|  Hitachi Construction Machinery Co. Ltd. | 57505 | 1281581 |
|  Hitachi Ltd. | 521113 | 26220467 |
|  Honda Motor Co. Ltd. | 877335 | 20011141 |
|  Hoshizaki Corp. | 57030 | 2005290 |
|  Hoya Corp. | 196878 | 18856681 |
|  Hulic Co. Ltd. | 208767 | 1639354 |
|  Ibiden Co. Ltd. | 61100 | 2203417 |
|  Idemitsu Kosan Co. Ltd. | 112000 | 2622097 |
|  Iida Group Holdings Co. Ltd. | 77222 | 1172465 |
|  Inpex Corp. | 560000 | 6017431 |
|  Isuzu Motors Ltd. | 312382 | 3621404 |
|  Ito En Ltd. | 29800 | 1084541 |
|  ITOCHU Corp. | 639673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20068300 |
|  Itochu Techno-Solutions Corp. | 52300 | 1213138 |
|  Japan Airlines Co. Ltd.<sup>(a)</sup> | 75162 | 1530874 |
|  Japan Exchange Group, Inc. | 273936 | 3948181 |
|  Japan Metropolitan Fund Invest | 3726 | 2964083 |
|  Japan Post Bank Co. Ltd. | 227200 | 1947773 |
|  Japan Post Holdings Co. Ltd. | 1279529 | 10765901 |
|  Japan Post Insurance Co. Ltd. | 108300 | 1904686 |
|  Japan Real Estate Investment Corp. | 681 | 2991151 |
|  Japan Tobacco, Inc. | 644941 | 13002151 |
|  JFE Holdings, Inc. | 268512 | 3115678 |
|  JSR Corp. | 98728 | 1933219 |
|  Kajima Corp. | 230677 | 2684459 |
|  Kakaku.com, Inc. | 74416 | 1194053 |
|  Kansai Electric Power Co., Inc. | 377151 | 3662460 |
|  Kao Corp. | 254707 | 10111979 |
|  KDDI Corp. | 867975 | 26322979 |
|  Keio Corp. | 54429 | 1993716 |
|  Keisei Electric Railway Co. Ltd. | 67587 | 1920231 |
|  Keyence Corp. | 104680 | 40641435 |
|  Kikkoman Corp. | 77364 | 4072178 |
|  Kintetsu Group Holdings Co. Ltd. | 92998 | 3070447 |
|  Kirin Holdings Co. Ltd. | 440655 | 6716213 |
|  Kobayashi Pharmaceutical Co. Ltd. | 29065 | 1992189 |
|  Kobe Bussan Co. Ltd. | 81100 | 2337398 |
|  Koei Tecmo Holdings Co. Ltd. | 62400 | 1128598 |
|  Koito Manufacturing Co. Ltd. | 114494 | 1706895 |
|  Komatsu Ltd. | 498954 | 10784448 |
|  Konami Group Corp. | 49799 | 2259020 |
|  Kose Corp. | 18259 | 1983899 |
|  Kubota Corp. | 546189 | 7461725 |
|  Kurita Water Industries Ltd. | 55629 | 2297740 |
|  Kyocera Corp. | 174000 | 8636776 |
|  Kyowa Kirin Co. Ltd. | 146897 | 3364525 |
|  Lasertec Corp. | 40400 | 6596132 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Japan (continued)** |  |  |
|  Lixil Corp. | 160027 | $2412582 |
|  M3, Inc. | 236313 | 6419041 |
|  Makita Corp. | 117739 | 2742755 |
|  Marubeni Corp. | 832564 | 9537809 |
|  Mazda Motor Corp. | 300698 | 2254047 |
|  McDonald's Holdings Co. Japan Ltd. | 45294 | 1721461 |
|  MEIJI Holdings Co. Ltd. | 60734 | 3113116 |
|  MINEBEA MITSUMI, Inc. | 198408 | 2939629 |
|  MISUMI Group, Inc. | 154356 | 3354820 |
|  Mitsubishi Chemical Group Corp. | 695509 | 3600663 |
|  Mitsubishi Corp. | 679597 | 22062963 |
|  Mitsubishi Electric Corp. | 1035521 | 10260914 |
|  Mitsubishi Estate Co. Ltd. | 636582 | 8246014 |
|  Mitsubishi HC Capital, Inc. | 350773 | 1725294 |
|  Mitsubishi Heavy Industries Ltd. | 171205 | 6765429 |
|  Mitsubishi UFJ Financial Group, Inc. | 6433070 | 43187857 |
|  Mitsui & Co. Ltd. | 751300 | 21882141 |
|  Mitsui Chemicals, Inc. | 96551 | 2168612 |
|  Mitsui Fudosan Co. Ltd. | 489120 | 8939631 |
|  Mitsui OSK Lines Ltd. | 185800 | 4642739 |
|  Mizuho Financial Group, Inc. | 1297951 | 18285910 |
|  MonotaRO Co. Ltd. | 133100 | 1874830 |
|  MS&AD Insurance Group Holdings, Inc. | 239824 | 7667132 |
|  Murata Manufacturing Co. Ltd. | 309125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15244554 |
|  NEC Corp. | 132474 | 4645761 |
|  Nexon Co. Ltd. | 267948 | 6015618 |
|  NGK Insulators Ltd. | 125968 | 1596971 |
|  Nidec Corp.<sup>(c)</sup> | 240420 | 12371809 |
|  Nihon M&A Center Holdings, Inc. | 166000 | 2042588 |
|  Nintendo Co. Ltd. | 594120 | 24980709 |
|  Nippon Building Fund, Inc. | 830 | 3711603 |
|  Nippon Express Holdings, Inc. | 41270 | 2356908 |
|  Nippon Paint Holdings Co. Ltd. | 443080 | 3479991 |
|  Nippon Prologis REIT, Inc. | 1170 | 2743152 |
|  Nippon Sanso Holdings Corp. | 93793 | 1358630 |
|  Nippon Shinyaku Co. Ltd. | 26200 | 1486840 |
|  Nippon Steel Corp. | 434156 | 7533095 |
|  Nippon Telegraph & Telephone Corp. | 643232 | 18344015 |
|  Nippon Yusen KK | 259166 | 6111301 |
|  Nissan Chemical Corp. | 69311 | 3022459 |
|  Nissan Motor Co. Ltd. | 1249915 | 3911513 |
|  Nisshin Seifun Group, Inc. | 107573 | 1351976 |
|  Nissin Foods Holdings Co. Ltd. | 33141 | 2624581 |
|  Nitori Holdings Co. Ltd. | 43623 | 5699888 |
|  Nitto Denko Corp. | 76726 | 4419011 |
|  Nomura Holdings, Inc. | 1557418 | 5770973 |
|  Nomura Real Estate Holdings, Inc. | 64058 | 1369738 |
|  Nomura Real Estate Master Fund, Inc. | 2258 | 2797418 |
|  Nomura Research Institute Ltd. | 213963 | 5086740 |
|  NTT Data Corp. | 342617 | 4992866 |
|  Obayashi Corp. | 353734 | 2671962 |
|  Obic Co. Ltd. | 37594 | 5519140 |
|  Odakyu Electric Railway Co. Ltd. | 161185 | 2087414 |
|  Oji Holdings Corp. | 423626 | 1711020 |
|  Olympus Corp. | 663712 | 11706274 |
|  Omron Corp. | 99628 | 4814801 |
|  Ono Pharmaceutical Co. Ltd. | 193231 | 4516499 |
|  Open House Group Co. Ltd. | 44100 | 1605676 |
|  Oracle Corp. Japan | 20235 | 1315710 |
|  Oriental Land Co. Ltd. | 107504 | 15644430 |
|  ORIX Corp. | 640600 | 10253862 |
|  Osaka Gas Co. Ltd. | 203208 | 3274311 |
|  Otsuka Corp. | 61182 | 1928478 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Japan (continued)** |  |  |
|  Otsuka Holdings Co. Ltd. | 208855 | $6811333 |
|  Pan Pacific International Holdings Corp. | 206136 | 3828793 |
|  Panasonic Holdings Corp. | 1188557 | 9947056 |
|  Persol Holdings Co. Ltd. | 94175 | 2003077 |
|  Rakuten Group, Inc.<sup>(a)</sup> | 469200 | 2114718 |
|  Recruit Holdings Co. Ltd. | 775794 | 24283884 |
|  Renesas Electronics Corp.<sup>(a)</sup> | 626708 | 5539007 |
|  Resona Holdings, Inc. | 1162899 | 6387122 |
|  Ricoh Co. Ltd. | 312981 | 2382144 |
|  Rohm Co. Ltd. | 47700 | 3419582 |
|  SBI Holdings, Inc. | 129597 | 2469180 |
|  SCSK Corp. | 80500 | 1218507 |
|  Secom Co. Ltd. | 113257 | 6462197 |
|  Seiko Epson Corp. | 147203 | 2141661 |
|  Sekisui Chemical Co. Ltd. | 202278 | 2819411 |
|  Sekisui House Ltd. | 333799 | 5917940 |
|  Seven & i Holdings Co. Ltd. | 405459 | 17376490 |
|  SG Holdings Co. Ltd. | 157204 | 2179740 |
|  Sharp Corp. | 130269 | 935729 |
|  Shimadzu Corp. | 127863 | 3619786 |
|  Shimano, Inc. | 39470 | 6237004 |
|  Shimizu Corp. | 288506 | 1539447 |
|  Shin-Etsu Chemical Co. Ltd. | 201826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24645410 |
|  Shionogi & Co. Ltd. | 141821 | 7075891 |
|  Shiseido Co. Ltd. | 215378 | 10556469 |
|  Shizuoka Financial Group, Inc. | 243901 | 1954498 |
|  SMC Corp. | 30741 | 12836010 |
|  SoftBank Corp. | 1545800 | 17488662 |
|  SoftBank Group Corp. | 649100 | 27452341 |
|  Sompo Holdings, Inc. | 168742 | 7465667 |
|  Sony Group Corp. | 678668 | 51729144 |
|  Square Enix Holdings Co. Ltd. | 46000 | 2135571 |
|  Subaru Corp. | 332846 | 5039311 |
|  SUMCO Corp. | 192215 | 2546577 |
|  Sumitomo Chemical Co. Ltd. | 803160 | 2879829 |
|  Sumitomo Corp. | 606140 | 10075918 |
|  Sumitomo Electric Industries Ltd. | 380480 | 4298833 |
|  Sumitomo Metal Mining Co. Ltd. | 132915 | 4670480 |
|  Sumitomo Mitsui Financial Group, Inc. | 702627 | 28268377 |
|  Sumitomo Mitsui Trust Holdings, Inc. | 181326 | 6327469 |
|  Sumitomo Realty & Development Co. Ltd. | 167049 | 3936998 |
|  Suntory Beverage & Food Ltd. | 75340 | 2565491 |
|  Suzuki Motor Corp. | 198319 | 6351627 |
|  Sysmex Corp. | 89322 | 5392421 |
|  T&D Holdings, Inc. | 288906 | 4135614 |
|  Taisei Corp. | 98610 | 3179700 |
|  Takeda Pharmaceutical Co. Ltd. | 808908 | 25275681 |
|  TDK Corp. | 208274 | 6775898 |
|  Terumo Corp. | 348806 | 9888851 |
|  TIS, Inc. | 119700 | 3145928 |
|  Tobu Railway Co. Ltd. | 99398 | 2318455 |
|  Toho Co. Ltd. | 59082 | 2277367 |
|  Tokio Marine Holdings, Inc. | 988061 | 21107337 |
|  Tokyo Electric Power Co. Holdings, Inc.<sup>(a)</sup> | 838212 | 3018754 |
|  Tokyo Electron Ltd. | 80393 | 23621770 |
|  Tokyo Gas Co. Ltd. | 213355 | 4177448 |
|  Tokyu Corp. | 285765 | 3598915 |
|  Toppan, Inc. | 142200 | 2099936 |
|  Toray Industries, Inc. | 739014 | 4109930 |
|  Toshiba Corp. | 211170 | 7338006 |
|  Tosoh Corp. | 143974 | 1712087 |
|  TOTO Ltd. | 76087 | 2580829 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Japan (continued)** |  |  |
|  Toyota Industries Corp. | 79400 | $4313457 |
|  Toyota Motor Corp. | 5707045 | 77858605 |
|  Toyota Tsusho Corp. | 114581 | 4214786 |
|  Trend Micro, Inc.<sup>(a)</sup> | 71634 | 3350132 |
|  Unicharm Corp. | 217602 | 8331159 |
|  USS Co. Ltd. | 117663 | 1866967 |
|  Welcia Holdings Co. Ltd. | 52200 | 1216798 |
|  West Japan Railway Co. | 118440 | 5142583 |
|  Yakult Honsha Co. Ltd. | 69582 | 4529618 |
|  Yamaha Corp. | 76564 | 2841122 |
|  Yamaha Motor Co. Ltd. | 162127 | 3664275 |
|  Yamato Holdings Co. Ltd. | 155462 | 2463490 |
|  Yaskawa Electric Corp. | 127945 | 4082138 |
|  Yokogawa Electric Corp. | 122363 | 1942019 |
|  Z Holdings Corp. | 1417527 | 3540296 |
|  ZOZO, Inc. | 65951 | 1628709 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1677735500 |
| **Jordan — 0.0%** |  |  |
|  Hikma Pharmaceuticals PLC | 88757 | 1654067 |
|  **Luxembourg — 0.2%** |  |  |
|  ArcelorMittal SA | 283443 | 7477832 |
|  Aroundtown SA<sup>(c)</sup> | 522175 | 1216364 |
|  Eurofins Scientific SE | 72890 | 5233365 |
|  Tenaris SA | 255127 | 4474341 |
|  |  | 18401902 |
| **Macau — 0.1%** |  |  |
|  Sands China Ltd.<sup>(a)</sup> | 1290860 | 4234314 |
|  **Netherlands — 4.6%** |  |  |
|  ABN AMRO Bank NV<sup>(b)</sup> | 223273 | 3091875 |
|  Adyen NV<sup>(a)(b)</sup> | 11663 | 16191147 |
|  Aegon NV | 953446 | 4830798 |
|  Akzo Nobel NV | 97652 | 6552696 |
|  Argenx SE<sup>(a)</sup> | 29749 | 11167943 |
|  ASM International NV | 25194 | 6392585 |
|  ASML Holding NV<sup>(c)</sup> | 218749 | 119273250 |
|  Euronext NV<sup>(b)</sup> | 46744 | 3460513 |
|  EXOR NV<sup>(a)</sup> | 58364 | 4273078 |
|  Heineken Holding NV | 54047 | 4174071 |
|  Heineken NV | 139196 | 13111173 |
|  IMCD NV | 31054 | 4442010 |
|  ING Groep NV, Series N<sup>(a)</sup> | 2028998 | 24715525 |
|  JDE Peet's NV | 55298 | 1599485 |
|  Just Eat Takeaway.com NV<sup>(a)(b)</sup> | 96310 | 2049911 |
|  Koninklijke Ahold Delhaize NV | 562770 | 16180348 |
|  Koninklijke DSM NV | 94465 | 11599788 |
|  Koninklijke KPN NV | 1768814 | 5474929 |
|  Koninklijke Philips NV | 473028 | 7117751 |
|  NN Group NV | 149621 | 6118329 |
|  OCI NV | 56965 | 2036639 |
|  Prosus NV | 446383 | 30819793 |
|  QIAGEN NV<sup>(a)</sup> | 122714 | 6168894 |
|  Randstad NV | 65299 | 3989924 |
|  Stellantis NV | 1184342 | 16829919 |
|  Universal Music Group NV | 392054 | 9480908 |
|  Wolters Kluwer NV | 141158 | 14770097 |
|  |  | 355913379 |
| **New Zealand — 0.2%** |  |  |
|  Auckland International Airport Ltd.<sup>(a)</sup> | 665635 | 3301277 |
|  Fisher & Paykel Healthcare Corp. Ltd. | 313723 | 4488777 |
|  Mercury NZ Ltd. | 390836 | 1380721 |

---

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 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **New Zealand (continued)** |  |  |
|  Meridian Energy Ltd. | 697683 | $2320625 |
|  Spark New Zealand Ltd. | 997546 | 3415368 |
|  Xero Ltd.<sup>(a)</sup> | 72899 | 3476103 |
|  |  | 18382871 |
| **Norway — 0.8%** |  |  |
|  Adevinta ASA<sup>(a)</sup> | 151091 | 1000482 |
|  Aker BP ASA | 170060 | 5285953 |
|  DNB Bank ASA | 502714 | 9928656 |
|  Equinor ASA | 516213 | 18552821 |
|  Gjensidige Forsikring ASA | 107778 | 2113958 |
|  Kongsberg Gruppen ASA | 48483 | 2063618 |
|  Mowi ASA | 224039 | 3817690 |
|  Norsk Hydro ASA | 732925 | 5476682 |
|  Orkla ASA | 407149 | 2938529 |
|  Salmar ASA | 31789 | 1246650 |
|  Telenor ASA | 378311 | 3534549 |
|  Yara International ASA | 89995 | 3952306 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59911894 |
| **Portugal — 0.2%** |  |  |
|  EDP - Energias de Portugal SA | 1493926 | 7446930 |
|  Galp Energia SGPS SA | 265813 | 3585982 |
|  Jeronimo Martins SGPS SA | 155331 | 3360660 |
|  |  | 14393572 |
| **Singapore — 1.5%** |  |  |
|  CapitaLand Ascendas REIT | 1842075 | 3772696 |
|  CapitaLand Integrated Commercial Trust | 2836601 | 4326416 |
|  Capitaland Investment Ltd. | 1416230 | 3914024 |
|  City Developments Ltd. | 215978 | 1327686 |
|  DBS Group Holdings Ltd. | 974809 | 24673978 |
|  Genting Singapore Ltd. | 3308525 | 2361154 |
|  Grab Holdings Ltd., Class A<sup>(a)(c)</sup> | 711123 | 2289816 |
|  Jardine Cycle & Carriage Ltd. | 53200 | 1135912 |
|  Keppel Corp. Ltd. | 781142 | 4236272 |
|  Mapletree Logistics Trust | 1728141 | 2054946 |
|  Mapletree Pan Asia Commercial Trust | 1303700 | 1628895 |
|  Oversea-Chinese Banking Corp. Ltd. | 1822387 | 16576493 |
|  Sea Ltd., ADR<sup>(a)</sup> | 195715 | 10183051 |
|  Singapore Airlines Ltd. | 726599 | 3000030 |
|  Singapore Exchange Ltd. | 419326 | 2803983 |
|  Singapore Technologies Engineering Ltd. | 859079 | 2149686 |
|  Singapore Telecommunications Ltd. | 4446846 | 8525903 |
|  United Overseas Bank Ltd. | 635205 | 14549901 |
|  UOL Group Ltd. | 251599 | 1264985 |
|  Venture Corp. Ltd. | 149027 | 1899525 |
|  |  | 112675352 |
| **South Africa — 0.3%** |  |  |
|  Anglo American PLC | 683842 | 26779165 |
|  **Spain — 2.5%** |  |  |
|  Acciona SA | 13240 | 2436578 |
|  ACS Actividades de Construccion y Servicios SA | 125981 | 3604764 |
|  Aena SME SA<sup>(a)(b)</sup> | 40306 | 5052692 |
|  Amadeus IT Group SA<sup>(a)</sup> | 244396 | 12678705 |
|  Banco Bilbao Vizcaya Argentaria SA | 3267805 | 19682856 |
|  Banco Santander SA | 9192196 | 27485698 |
|  CaixaBank SA | 2401216 | 9414661 |
|  Cellnex Telecom SA<sup>(b)</sup> | 294353 | 9764046 |
|  Corp. ACCIONA Energias Renovables SA | 35466 | 1370427 |
|  EDP Renovaveis SA | 157610 | 3473020 |
|  Enagas SA | 102462 | 1703789 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Spain (continued)** |  |  |
|  Endesa SA | 172034 | $3242244 |
|  Ferrovial SA | 265902 | 6962036 |
|  Grifols SA <sup>(a)</sup> | 161562 | 1865784 |
|  Iberdrola SA | 3225239 | 37649790 |
|  Industria de Diseno Textil SA | 591435 | 15709125 |
|  Naturgy Energy Group SA | 79344 | 2062072 |
|  Red Electrica Corp. SA | 180542 | 3139292 |
|  Repsol SA | 780888 | 12429406 |
|  Telefonica SA | 2819718 | 10207675 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189934660 |
| **Sweden — 3.0%** |  |  |
|  Alfa Laval AB | 156916 | 4539162 |
|  Assa Abloy AB, Class B | 536438 | 11538380 |
|  Atlas Copco AB, A Shares | 1445537 | 17127293 |
|  Atlas Copco AB, B Shares | 837542 | 8936280 |
|  Boliden AB | 146627 | 5507631 |
|  Electrolux AB, Class B | 119474 | 1614203 |
|  Embracer Group AB<sup>(a)(c)</sup> | 353249 | 1603731 |
|  Epiroc AB, Class A | 357153 | 6503437 |
|  Epiroc AB, Class B | 209144 | 3364540 |
|  EQT AB | 161631 | 3433896 |
|  Essity AB, Class B | 326305 | 8545007 |
|  Evolution AB<sup>(b)</sup> | 98464 | 9590826 |
|  Fastighets AB Balder, B Shares<sup>(a)</sup> | 347918 | 1623830 |
|  Getinge AB, B Shares | 123691 | 2571609 |
|  H & M Hennes & Mauritz AB, B Shares | 389344 | 4195735 |
|  Hexagon AB, B Shares | 1047490 | 10983020 |
|  Holmen AB, B Shares | 50621 | 2011930 |
|  Husqvarna AB, B Shares | 226578 | 1591354 |
|  Industrivarden AB, A Shares | 68159 | 1657836 |
|  Industrivarden AB, C Shares | 84949 | 2061071 |
|  Indutrade AB | 146476 | 2970458 |
|  Investment AB Latour, B Shares | 81794 | 1546880 |
|  Investor AB, A Shares | 268320 | 4992009 |
|  Investor AB, B Shares | 980497 | 17747931 |
|  Kinnevik AB, Class B<sup>(a)</sup> | 133698 | 1840242 |
|  L E Lundbergforetagen AB, B Shares | 40695 | 1734963 |
|  Lifco AB, B Shares | 124388 | 2082042 |
|  Nibe Industrier AB, B Shares | 814434 | 7601744 |
|  Sagax AB, Class B | 102761 | 2334759 |
|  Sandvik AB | 574279 | 10378131 |
|  Securitas AB, B Shares | 262025 | 2186456 |
|  Skandinaviska Enskilda Banken AB, Class A | 875867 | 10083744 |
|  Skanska AB, B Shares | 180843 | 2866810 |
|  SKF AB, B Shares, B Shares | 203601 | 3109705 |
|  Svenska Cellulosa AB SCA, Class B | 324414 | 4108594 |
|  Svenska Handelsbanken AB, A Shares | 785217 | 7905556 |
|  Swedbank AB, A Shares | 487301 | 8288535 |
|  Swedish Orphan Biovitrum AB<sup>(a)</sup> | 91255 | 1888701 |
|  Tele2 AB, B Shares | 302910 | 2471090 |
|  Telefonaktiebolaget LM Ericsson, B Shares | 1570723 | 9203512 |
|  Telia Co. AB | 1422258 | 3634250 |
|  Volvo AB, A Shares | 108306 | 2056328 |
|  Volvo AB, B Shares | 811512 | 14658826 |
|  Volvo Car AB, Class B<sup>(a)(c)</sup> | 320854 | 1460981 |
|  |  | 236153018 |
| **Switzerland — 10.2%** |  |  |
|  ABB Ltd., Registered Shares | 846554 | 25800851 |
|  Adecco Group AG, Registered Shares | 86874 | 2857708 |
|  Alcon, Inc. | 268918 | 18452872 |
|  Bachem Holding AG | 17301 | 1501214 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Switzerland (continued)** |  |  |
|  Baloise Holding AG, Registered Shares | 24472 | $3773747 |
|  Banque Cantonale Vaudoise, Registered Shares | 16223 | 1555411 |
|  Barry Callebaut AG, Registered Shares | 1936 | 3823117 |
|  BKW AG | 11375 | 1556362 |
|  Chocoladefabriken Lindt & Spruengli AG | 582 | 5930603 |
|  Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 58 | 5967241 |
|  Cie Financiere Richemont SA, Registered Shares, Class A | 280921 | 36424195 |
|  Clariant AG, Registered Shares | 113243 | 1798461 |
|  Coca-Cola HBC AG, Class DI | 107165 | 2533251 |
|  Credit Suisse Group AG, Registered Shares | 1848864 | 5519688 |
|  EMS-Chemie Holding AG, Registered Shares | 3789 | 2566292 |
|  Geberit AG, Registered Shares | 19414 | 9164967 |
|  Givaudan SA, Registered Shares | 4966 | 15210392 |
|  Holcim AG, Registered Shares | 298140 | 15432701 |
|  Julius Baer Group Ltd. | 119748 | 6969462 |
|  Kuehne & Nagel International AG, Registered Shares | 29157 | 6778494 |
|  Logitech International SA, Registered Shares | 93168 | 5777295 |
|  Lonza Group AG, Registered Shares | 40076 | 19672323 |
|  Nestle SA, Registered Shares | 1481122 | 171083443 |
|  Novartis AG, Registered Shares | 1164233 | 105360081 |
|  Partners Group Holding AG | 12214 | 10815291 |
|  Roche Holding AG | 392444 | 124371893 |
|  Schindler Holding AG | 21905 | 4119942 |
|  Schindler Holding AG, Registered Shares | 12731 | 2296057 |
|  SGS SA, Registered Shares | 3427 | 7982642 |
|  SIG Group AG | 165638 | 3619384 |
|  Sika AG, Registered Shares | 78598 | 18895212 |
|  Sonova Holding AG, Registered Shares | 29112 | 6914059 |
|  STMicroelectronics NV | 367064 | 13043995 |
|  Straumann Holding AG, Registered Shares | 59848 | 6862836 |
|  Swatch Group AG | 15672 | 4454305 |
|  Swatch Group AG, Registered Shares | 27652 | 1437820 |
|  Swiss Life Holding AG, Registered Shares | 17019 | 8772590 |
|  Swiss Prime Site AG, Registered Shares | 40825 | 3538416 |
|  Swiss Re AG | 162037 | 15150682 |
|  Swisscom AG, Registered Shares | 13911 | 7620602 |
|  Temenos AG, Registered Shares | 34125 | 1877328 |
|  UBS Group AG, Registered Shares | 1803417 | 33518703 |
|  VAT Group AG<sup>(b)</sup> | 14767 | 4053797 |
|  Zurich Insurance Group AG | 80972 | 38710867 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;793566592 |
| **United Arab Emirates — 0.0%** |  |  |
|  NMC Health PLC<sup>(a)(e)</sup> | 45379 | 1 |
|  **United Kingdom — 13.6%** |  |  |
|  3i Group PLC | 523784 | 8447243 |
|  Abrdn PLC | 1150097 | 2613476 |
|  Admiral Group PLC | 98162 | 2519907 |
|  Ashtead Group PLC | 238334 | 13538503 |
|  Associated British Foods PLC | 190225 | 3606430 |
|  AstraZeneca PLC | 833863 | 112837800 |
|  Auto Trader Group PLC<sup>(b)</sup> | 514017 | 3200963 |
|  AVEVA Group PLC | 64084 | 2480501 |
|  Aviva PLC | 1512294 | 8022182 |
|  BAE Systems PLC | 1698330 | 17541034 |
|  Barclays PLC | 8657697 | 16473964 |
|  Barratt Developments PLC | 558777 | 2668883 |
|  Berkeley Group Holdings PLC | 58770 | 2679288 |
|  BP PLC | 10134017 | 58472687 |
|  British American Tobacco PLC | 1159170 | 45854628 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **United Kingdom (continued)** |  |  |
|  British Land Co. PLC | 461531 | $2191238 |
|  BT Group PLC | 3743003 | 5054079 |
|  Bunzl PLC | 181207 | 6028783 |
|  Burberry Group PLC | 211604 | 5144548 |
|  CNH Industrial NV | 552825 | 8868414 |
|  Coca-Cola Europacific Partners PLC | 110198 | 6096153 |
|  Compass Group PLC | 960037 | 22169194 |
|  Croda International PLC | 74961 | 5965288 |
|  DCC PLC | 53429 | 2627206 |
|  Diageo PLC | 1230863 | 53877157 |
|  GSK PLC | 2188803 | 37829595 |
|  Haleon PLC<sup>(a)</sup> | 2733335 | 10814756 |
|  Halma PLC | 204395 | 4867655 |
|  Hargreaves Lansdown PLC | 191083 | 1967763 |
|  HSBC Holdings PLC | 10754585 | 66651906 |
|  Imperial Brands PLC | 483956 | 12055885 |
|  Informa PLC | 782825 | 5839689 |
|  InterContinental Hotels Group PLC | 99446 | 5706092 |
|  Intertek Group PLC | 85913 | 4179856 |
|  J Sainsbury PLC | 950052 | 2491813 |
|  JD Sports Fashion PLC | 1379623 | 2096511 |
|  Johnson Matthey PLC | 100704 | 2573710 |
|  Kingfisher PLC<sup>(c)</sup> | 1074022 | 3051537 |
|  Land Securities Group PLC | 379850 | 2837919 |
|  Legal & General Group PLC | 3225059 | 9669153 |
|  Lloyds Banking Group PLC | 36732766 | 20045541 |
|  London Stock Exchange Group PLC | 177359 | 15238897 |
|  M&G PLC | 1379425 | 3119236 |
|  Melrose Industries PLC | 2371133 | 3820141 |
|  Mondi PLC | 264052 | 4465357 |
|  National Grid PLC | 1962463 | 23509036 |
|  NatWest Group PLC | 2871287 | 9157194 |
|  Next PLC | 69904 | 4898222 |
|  Ocado Group PLC<sup>(a)</sup> | 312917 | 2322788 |
|  Pearson PLC | 359207 | 4056100 |
|  Persimmon PLC | 174614 | 2560298 |
|  Phoenix Group Holdings PLC | 406533 | 2978049 |
|  Prudential PLC | 1479502 | 20173435 |
|  Reckitt Benckiser Group PLC | 384820 | 26674306 |
|  RELX PLC | 1035974 | 28642636 |
|  Rentokil Initial PLC | 1353361 | 8314728 |
|  Rolls-Royce Holdings PLC<sup>(a)</sup> | 4451265 | 4971949 |
|  Sage Group PLC | 551326 | 4964526 |
|  Schroders PLC | 394970 | 2075367 |
|  Segro PLC | 655554 | 6039133 |
|  Severn Trent PLC | 136291 | 4354241 |
|  Shell PLC | 3912511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110296882 |
|  Smith & Nephew PLC | 468056 | 6250803 |
|  Smiths Group PLC | 204120 | 3917486 |
|  Spirax-Sarco Engineering PLC | 39853 | 5090443 |
|  SSE PLC | 574581 | 11817371 |
|  St. James's Place PLC | 295722 | 3895653 |
|  Standard Chartered PLC | 1357595 | 10125643 |
|  Taylor Wimpey PLC | 1876605 | 2298274 |
|  Tesco PLC | 4062582 | 10948118 |
|  Unilever PLC | 1373325 | 69336177 |
|  United Utilities Group PLC | 369634 | 4416508 |
|  Vodafone Group PLC | 14377581 | 14560420 |

---

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 | **iShares MSCI EAFE International Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **United Kingdom (continued)** |  |  |
|  Whitbread PLC | 106879 | $3304544 |
|  WPP PLC | 589597 | 5825208 |
|  |  | 1056078099 |
|  **Total Common Stocks — 98.6%<br>(Cost: $6,541,361,489)** |  | 7638030641 |
|  **Preferred Securities** |  |  |
|  **Preferred Stocks — 0.5%** |  |  |
| **Germany — 0.5%** |  |  |
|  Bayerische Motoren Werke AG, Preference Shares | 32538 | 2745921 |
|  Dr Ing hc F Porsche AG<sup>(a)</sup> | 60893 | 6144926 |
|  Henkel AG & Co. KGaA, Preference Shares | 95770 | 6638076 |
|  Porsche Automobil Holding SE, Preference Shares | 82055 | 4474941 |
|  Sartorius AG, Preference Shares | 13149 | 5192219 |
|  Volkswagen AG, Preference Shares | 99783 | 12378040 |
|  |  | 37574123 |
|  **Total Preferred Securities — 0.5%<br>(Cost: $38,940,894)** |  | 37574123 |
|  **Total Long-Term Investments — 99.1%<br>(Cost: $6,580,302,383)** | **Total Long-Term Investments — 99.1%<br>(Cost: $6,580,302,383)** | 7675604764 |
|  **Short-Term Securities** |  |  |
|  **Money Market Funds — 1.1%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(f)(g)</sup> | 66105152 | 66124984 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(f)(g)</sup> | 16740802 | 16740802 |
|  **Total Short-Term Securities — 1.1%<br>(Cost: $82,855,724)** |  | 82865786 |
|  **Total Investments — 100.2%<br>(Cost: $6,663,158,107)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7758470550 |
|  **Liabilities in Excess of Other Assets — (0.2)%** | **Liabilities in Excess of Other Assets — (0.2)%** | (13597954) |
|  **Net Assets — 100.0%** |  | $7744872596 |

---

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

<sup>(b)</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>(c)</sup> All or a portion of this security is on loan.

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

<sup>(e)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

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

<sup>(g)</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> *12/31/21* | *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 Cash Funds: Institutional, SL Agency Shares | $17811186 | $48304921 <sup>(a)</sup> | $— | $(2788) | $11665 | $66124984 | 66105152 | $293612 <sup>(b)</sup> | $— |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 25217563 |  | (8476761)<sup>(a)</sup> |  |  | 16740802 | 16740802 | 208030 |  |
|  |  |  |  | $(2788) | $11665 | $82865786 |  | $501642 | $— |

---

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

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **iShares MSCI EAFE International Index Fund** |

---

**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; Nikkei 225 Index | 189 | 03/09/23 | $18569 | $(1037899) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPI 200 Index | 86 | 03/16/23 | 10199 | (207669) |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Stoxx 50 Index | 762 | 03/17/23 | 30860 | (816559) |
| &nbsp;&nbsp;&nbsp;&nbsp; FTSE 100 Index | 216 | 03/17/23 | 19447 | (15536) |
|  |  |  |  | $(2077663) |

---

**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* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $2077663 | $— | $— | $— | $2077663 |

---

<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 | $— | $— | $3717854 | $— | $— | $— | $3717854 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(3246125) | $— | $— | $— | $(3246125) |

---

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

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $96561088 |

---

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

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &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; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia | $&nbsp;&nbsp;&nbsp;&nbsp;25837523 | $&nbsp;&nbsp;&nbsp;&nbsp;653496108 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;679333631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 14777537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 14777537 |

---

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 | **iShares MSCI EAFE International Index 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Belgium | $— | $67918795 | $— | $67918795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chile |  | 3933542 |  | 3933542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China | 1334906 | 12909478 |  | 14244384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 228640564 |  | 228640564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 98233910 |  | 98233910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France |  | 881278915 |  | 881278915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 578346403 |  | 578346403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 216354951 |  | 216354951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ireland | 4227967 | 74556976 |  | 78784943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Isle of Man |  | 5096400 |  | 5096400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel | 18413144 | 36891322 |  | 55304466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 149967814 |  | 149967814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 1677735500 |  | 1677735500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jordan |  | 1654067 |  | 1654067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Luxembourg |  | 18401902 |  | 18401902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macau |  | 4234314 |  | 4234314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 355913379 |  | 355913379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 18382871 |  | 18382871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 59911894 |  | 59911894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 14393572 |  | 14393572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Singapore | 12472867 | 100202485 |  | 112675352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 26779165 |  | 26779165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 189934660 |  | 189934660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 236153018 |  | 236153018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 793566592 |  | 793566592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  |  | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 6096153 | 1049981946 |  | 1056078099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  | 37574123 |  | 37574123 |
| &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 | 82865786 |  |  | 82865786 |
|  | $151248346 | $7607222203 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | $7758470550 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $— | $(2077663) | $— | $(2077663) |

---

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

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

------

Statements of Assets and Liabilities

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares<br>Municipal Bond<br>Index Fund | iShares<br>Short-Term<br>TIPS Bond<br>Index Fund | iShares MSCI<br>EAFE International<br>Index Fund | iShares Russell<br>2000 Small-Cap<br>Index Fund |
|  **ASSETS** |  |  |  |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup> | $276061217 | $132552020 | $7675604764 | $— |
|  Investments, at value — Master Small Cap Index Series |  |  |  | 2604123946 |
|  Investments, at value — affiliated<sup>(c)</sup> | 2517079 | 7055575 | 82865786 |  |
|  Cash pledged for futures contracts |  |  | 6295577 |  |
|  Foreign currency, at value<sup>(d)</sup> |  |  | 50042167 |  |
|  Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold |  | 2058468 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated |  | 1030 | 29675 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 715739 | 878619 | 38051085 | 14759800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated |  |  | 21751440 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 7138 | 4589 | 48471 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 3338380 | 270440 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager |  | 15100 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts |  |  | 7612 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Withdrawals from the Master Portfolio |  |  |  | 41503 |
|  Prepaid expenses | 53826 | 21168 | 10174 | 64741 |
|  Total assets | 282693379 | 142857009 | 7874706751 | 2618989990 |
|  **LIABILITIES** |  |  |  |  |
|  Bank overdraft | 12500 |  |  |  |
|  Collateral on securities loaned |  | 4223000 | 66141556 |  |
|  Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 158817 | 2626044 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 6011 | 6008 |  | 3297 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees |  |  | 266119 | 74953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 2013993 | 161718 | 62064932 | 14801303 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian fees | 2859 | 1585 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 46180 | 20804 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 23914 |  | 65728 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors' and Officer's fees | 1970 | 1676 | 15392 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Recoupment of past waived fees | 913 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 26781 | 17855 | 103341 | 19947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 59967 | 35309 | 159876 | 35877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service fees | 53073 | 529 | 101712 | 98928 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 30244 | 2324 | 17984 | 168301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts |  |  | 897515 |  |
|  Total liabilities | 2437222 | 7096852 | 129834155 | 15202606 |
|  NET ASSETS | $280256157 | $135760157 | $7744872596 | $2603787384 |
|  **NET ASSETS CONSIST OF** |  |  |  |  |
|  Paid-in capital | $292420925 | $147929338 | $7989614728 | $2471125482 |
|  Accumulated earnings (loss) | (12164768) | (12169181) | (244742132) | 132661902 |
|  NET ASSETS | $280256157 | $135760157 | $7744872596 | $2603787384 |
|  <sup>(a) </sup>Investments, at cost — unaffiliated | $287747030 | $139890243 | $6580302383 | $— |
|  <sup>(b) </sup>Securities loaned, at value | $— | $4095193 | $62104333 | $— |
|  <sup>(c)</sup> Investments, at cost — affiliated | $2517106 | $7055575 | $82855724 | $— |
|  <sup>(d) </sup>Foreign currency, at cost | $— | $— | $49538596 | $— |

---

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

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares<br> Municipal Bond<br> Index Fund | iShares<br> Short-Term<br> TIPS Bond<br> Index Fund | iShares MSCI<br> EAFE International<br> Index Fund | iShares Russell<br> 2000 Small-Cap<br> Index Fund |
|  **NET ASSET VALUE** |  |  |  |  |
| **Institutional** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $37235294 | $23581214 | $1036641301 | $390669812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 3443032 | 2478146 | 78211243 | 19368383 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $10.81 | $9.52 | $13.25 | $20.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | 1.208 billion | 208 million |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 | $0.0001 | $0.0001 |
| **Investor A** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $20059638 | $2513941 | $348314420 | $194548916 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 1855006 | 263724 | 26465380 | 9630087 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $10.81 | $9.53 | $13.16 | $20.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | 208 million | 208 million |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 | $0.0001 | $0.0001 |
| **Investor P** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $&nbsp;&nbsp;&nbsp;&nbsp;222858863 | N/A | $123462644 | $266391436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 20609042 | N/A | 9413463 | 13234432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $10.81 | N/A | $13.12 | $20.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | N/A | 2 billion | 2 billion |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | N/A | $0.0001 | $0.0001 |
| **Class K** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $102362 | $&nbsp;&nbsp;&nbsp;&nbsp;109665002 | $&nbsp;&nbsp;&nbsp;&nbsp;6236454231 | $&nbsp;&nbsp;&nbsp;&nbsp;1752177220 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 9467 | 11506265 | 470054551 | 86580481 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $10.81 | $9.53 | $13.27 | $20.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | 1.208 billion | 1.208 billion |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 | $0.0001 | $0.0001 |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 37

------

Statements of Operations

Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares<br>Municipal Bond<br> Index Fund | iShares<br> Short-Term<br> TIPS Bond<br> Index Fund | iShares MSCI<br>EAFE International<br>Index Fund | iShares Russell<br>2000 Small-Cap<br>Index Fund |
|  **INVESTMENT INCOME** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $— | $— | $259836686 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 29806 | 33805 | 208156 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 8742159 | 8661587 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net |  | 3640 | 293486 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-cash dividends — unaffiliated |  |  | 13243358 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld |  |  | (22722253) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the Master Small Cap Index Series: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated |  |  |  | 34916193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated |  |  |  | 645502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated |  |  |  | 7668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net |  |  |  | 3704030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld |  |  |  | (88770) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  | (511975) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived |  |  |  | 18847 |
|  Total investment income | 8771965 | 8699032 | 250859433 | 38691495 |
|  EXPENSES |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Service — class specific | 672763 | 5570 | 1194426 | 1247706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 297677 | 14218 | 780641 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent — class specific | 161802 | 27521 |  | 733452 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 100563 | 93758 | 108429 | 81196 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 78979 | 71058 |  | 106961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 43693 | 28692 |  | 12335 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 9031 | 9007 |  | 4952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors and Officer | 7221 | 6203 | 56578 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Recoupment of past waived and/or reimbursed fees — class specific | 4659 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 4327 | 2413 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration |  |  |  | 1139271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific |  |  | 3080152 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 21222 | 13418 | 910 | 19018 |
|  Total expenses | 1401937 | 271858 | 5221136 | 3344891 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator |  |  |  | (15006) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (9176) | (153257) | (178039) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees waived and/or reimbursed by the Manager — class specific | (7967) | (15644) |  | (159175) |
|  Total expenses after fees waived and/or reimbursed | 1384794 | 102957 | 5043097 | 3170710 |
|  Net investment income | 7387171 | 8596075 | 245816336 | 35520785 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (728747) | (4717963) | (110762232) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (478) |  | (2788) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions |  |  | (9968017) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | 3717854 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss allocated from the Master Small Cap Index Series from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated |  |  |  | (43449591) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated |  |  |  | (1032115) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  |  | (770921) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps |  |  |  | (601147) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(729225) | &nbsp;&nbsp;&nbsp;&nbsp;(4717963) | &nbsp;&nbsp;&nbsp;&nbsp;(117015183) | &nbsp;&nbsp;&nbsp;&nbsp;(45853774) |

---

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

------

Statements of Operations (continued)

Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares<br>Municipal Bond<br> Index Fund | iShares<br> Short-Term<br> TIPS Bond<br> Index Fund | iShares MSCI<br>EAFE International<br>Index Fund | iShares Russell<br>2000 Small-Cap<br>Index Fund |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | $(35793797) | $(8963607) | $(1403014673) | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (27) |  | 11665 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations |  |  | 81738 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | (3246125) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) allocated from Master Small Cap Index Series on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated |  |  |  | (672518573) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated |  |  |  | (615358) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  |  | (391075) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps |  |  |  | (83603) |
|  | (35793824) | (8963607) | (1406167395) | (673608609) |
|  Net realized and unrealized loss | (36523049) | (13681570) | (1523182578) | (719462383) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(29135878) | $(5085495) | $(1277366242) | $(683941598) |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 39

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares Municipal Bond Index Fund | iShares Municipal Bond Index Fund | iShares Short-Term TIPS Bond<br> Index Fund | iShares Short-Term TIPS Bond<br> Index 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* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $7387171 | $7321596 | $8596075 | $3705514 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (729225) | 495970 | (4717963) | 6506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (35793824) | (3402224) | (8963607) | 266540 |
|  Net increase (decrease) in net assets resulting from operations | (29135878) | 4415342 | (5085495) | 3978560 |
|  **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (796740) | (232970) | (2804472) | (734030) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (511155) | (552520) | (121688) | (58170) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P | (6184204) | (7117939) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (2763) | (2799) | (5656150) | (2932006) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  | (9161) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  | (468) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  | (20245) |  |
|  Decrease in net assets resulting from distributions to shareholders | (7494862) | (7906228) | (8612184) | (3724206) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (11343682) | (14587213) | 44739190 | 44904403 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (47974422) | (18078099) | 31041511 | 45158757 |
|  Beginning of year | 328230579 | 346308678 | 104718646 | 59559889 |
|  End of year | $280256157 | $328230579 | $135760157 | $104718646 |

---

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

*See notes to financial statements.* 

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

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares MSCI EAFE International Index Fund | iShares MSCI EAFE International Index Fund | iShares Russell 2000 Small-Cap Index Fund | iShares Russell 2000 Small-Cap Index 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* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $245816336 | $197850703 | $35520785 | $29892953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (117015183) | (13451057) | (45853774) | 226459525 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (1406167395) | 597266857 | (673608609) | 150185274 |
|  Net increase (decrease) in net assets resulting from operations | (1277366242) | 781666503 | (683941598) | 406537752 |
|  **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (28819074) | (31413447) | (6608956) | (34044604) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (8746128) | (10423294) | (2784133) | (16774863) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P | (3057353) | (4183302) | (3814743) | (24685571) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (169428266) | (203630682) | (30551485) | (162398277) |
|  Decrease in net assets resulting from distributions to shareholders | (210050821) | (249650725) | (43759317) | (237903315) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | 704872365 | 1348384504 | (34710452) | 443268536 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (782544698) | 1880400282 | (762411367) | 611902973 |
|  Beginning of year | 8527417294 | 6647017012 | 3366198751 | 2754295778 |
|  End of year | $7744872596 | $8527417294 | $2603787384 | $3366198751 |

---

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

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 41

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Municipal Bond Index Fund | iShares Municipal Bond Index Fund | iShares Municipal Bond Index Fund | iShares Municipal Bond Index Fund | iShares Municipal Bond Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| |<br>Year Ended<br>12/31/22 |<br>Year Ended<br>12/31/21 |<br>Year Ended<br>12/31/20 |<br>Year Ended<br>12/31/19 | Period from<br>11/19/18<sup>(a)</sup><br>to 12/31/18 |
|  **Net asset value, beginning of period** | $12.16 | $12.29 | $12.02 | $11.59 | $11.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.30 | 0.29 | 0.30 | 0.30 | 0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.35) | (0.11) | 0.29 | 0.56 | 0.14 |
|  Net increase (decrease) from investment operations | (1.05) | 0.18 | 0.59 | 0.86 | 0.18 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.30) | (0.29) | (0.30) | (0.30) | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.00)<sup>(d)</sup> | (0.02) | (0.02) | (0.13) | (0.03) |
|  Total distributions | (0.30) | (0.31) | (0.32) | (0.43) | (0.07) |
|  **Net asset value, end of period** | $10.81 | $12.16 | $12.29 | $12.02 | $11.59 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (8.61)% | 1.54% | 4.97% | 7.52% | 1.56 %<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.24% | 0.25% | 0.23% | 0.30 %<sup>(h)</sup> | 0.32 %<sup>(i)(j)(k)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.24% | 0.24% | 0.22% | 0.23 %<sup>(h)</sup> | 0.17 %<sup>(i)(j)(k)</sup> |
|  Net investment income | 2.75% | 2.40% | 2.46% | 2.49% | 2.74 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $37235 | $11794 | $6115 | $477 | $101 |
|  Portfolio turnover rate | 21% | 7% | 8% | 24% | 3% |

---

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

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

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

<sup>(k)</sup> Includes reorganization and offering costs associated with the Fund's reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.26% and 0.16%, respectively. 

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index 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<sup>(a)</sup> |
|  **Net asset value, beginning of year** | $12.16 | $12.29 | $12.02 | $11.59 | $11.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.27 | 0.26 | 0.27 | 0.27 | 0.39 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.35) | (0.11) | 0.29 | 0.56 | (0.25) |
|  Net increase (decrease) from investment operations | (1.08) | 0.15 | 0.56 | 0.83 | 0.14 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.27) | (0.26) | (0.27) | (0.27) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.00)<sup>(d)</sup> | (0.02) | (0.02) | (0.13) | (0.05) |
|  Total distributions | (0.27) | (0.28) | (0.29) | (0.40) | (0.36) |
|  **Net asset value, end of year** | $10.81 | $12.16 | $12.29 | $12.02 | $11.59 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (8.85)% | 1.28% | 4.70% | 7.24% | 1.24% |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.51% | 0.53% | 0.50% | 0.62 %<sup>(g)</sup> | 0.77 %<sup>(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.50% | 0.50% | 0.48% | 0.50 %<sup>(g)</sup> | 0.41 %<sup>(h)</sup> |
|  Net investment income | 2.45% | 2.15% | 2.22% | 2.25% | 3.36% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $20060 | $23348 | $23315 | $23805 | $25418 |
|  Portfolio turnover rate | 21% | 7% | 8% | 24% | 3% |

---

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

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

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

<sup>(h)</sup> Includes reorganization and offering costs associated with the Fund's reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively. 

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 43

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) |
|  | Investor P | Investor P | Investor P | Investor P | Investor P |
| | 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<sup>(a)</sup> |
|  **Net asset value, beginning of year** | $12.16 | $12.29 | $12.02 | $11.59 | $11.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.27 | 0.26 | 0.27 | 0.27 | 0.39 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.35) | (0.11) | 0.29 | 0.56 | (0.25) |
|  Net increase (decrease) from investment operations | (1.08) | 0.15 | 0.56 | 0.83 | 0.14 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.27) | (0.26) | (0.27) | (0.27) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.00)<sup>(d)</sup> | (0.02) | (0.02) | (0.13) | (0.05) |
|  Total distributions | (0.27) | (0.28) | (0.29) | (0.40) | (0.36) |
|  **Net asset value, end of year** | $10.81 | $12.16 | $12.29 | $12.02 | $11.59 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (8.84)% | 1.29% | 4.69% | 7.25% | 1.24% |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.49% | 0.49% | 0.50% | 0.53 %<sup>(g)</sup> | 0.77 %<sup>(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.49% | 0.49% | 0.49% | 0.50 %<sup>(g)</sup> | 0.41 %<sup>(h)</sup> |
|  Net investment income | 2.45% | 2.16% | 2.21% | 2.26% | 3.35% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $222859 | $292983 | $316772 | $333565 | $352137 |
|  Portfolio turnover rate | 21% | 7% | 8% | 24% | 3% |

---

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

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

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

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

<sup>(h)</sup> Includes reorganization and offering costs associated with the Fund's reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.70% and 0.41%, respectively. 

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) | iShares Municipal Bond Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | <br>Year Ended<br>12/31/22 | <br>Year Ended<br>12/31/21 | <br>Year Ended<br>12/31/20 |<br>Year Ended<br>12/31/19 | Period from<br>11/19/18<sup>(a)</sup><br>to 12/31/18 |
|  **Net asset value, beginning of period** | $12.16 | $12.29 | $12.02 | $11.59 | $11.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.31 | 0.30 | 0.30 | 0.30 | 0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.35) | (0.11) | 0.29 | 0.56 | 0.14 |
|  Net increase (decrease) from investment operations | (1.04) | 0.19 | 0.59 | 0.86 | 0.18 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.31) | (0.30) | (0.30) | (0.30) | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.00)<sup>(d)</sup> | (0.02) | (0.02) | (0.13) | (0.03) |
|  Total distributions | (0.31) | (0.32) | (0.32) | (0.43) | (0.07) |
|  **Net asset value, end of period** | $10.81 | $12.16 | $12.29 | $12.02 | $11.59 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (8.58)% | 1.58% | 5.00% | 7.57% | 1.57 %<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.32% | 0.25% | 0.24% | 0.27 %<sup>(h)</sup> | 0.33 %<sup>(i)(j)(k)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.20% | 0.20% | 0.20% | 0.20 %<sup>(h)</sup> | 0.16 %<sup>(i)(j)(k)</sup> |
|  Net investment income | 2.75% | 2.45% | 2.50% | 2.55% | 2.74 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $102 | $106 | $107 | $105 | $101 |
|  Portfolio turnover rate | 21% | 7% | 8% | 24% | 3% |

---

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

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

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

<sup>(k)</sup> Includes reorganization and offering costs associated with the Fund's reorganization. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and paid indirectly would have been 0.27% and 0.15%, respectively. 

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 45

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Short-Term TIPS Bond Index Fund | iShares Short-Term TIPS Bond Index Fund | iShares Short-Term TIPS Bond Index Fund | iShares Short-Term TIPS Bond Index Fund | iShares Short-Term TIPS Bond Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | <br> 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** | $10.37 | $10.30 | $9.98 | $9.74 | $9.95 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.63 | 0.46 | 0.25 | 0.15 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.91) | 0.07 | 0.23 | 0.30 | (0.16) |
|  Net increase (decrease) from investment operations | (0.28) | 0.53 | 0.48 | 0.45 | 0.06 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.57) | (0.46) | (0.16) | (0.21) | (0.26) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.00)<sup>(c)</sup> |  | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (0.57) | (0.46) | (0.16) | (0.21) | (0.27) |
|  **Net asset value, end of year** | $9.52 | $10.37 | $10.30 | $9.98 | $9.74 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (2.81)% | 5.18% | 4.89% | 4.66% | 0.56% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.19% | 0.29% | 0.55% | 3.24% | 4.96% |
|  Total expenses after fees waived and/or reimbursed | 0.08% | 0.07% | 0.07% | 0.11% | 0.09% |
|  Net investment income | 6.44% | 4.41% | 2.51% | 1.47% | 2.19% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $23581 | $18004 | $16549 | $721 | $976 |
|  Portfolio turnover rate | 58% | 10% | 22% | 45% | 80% |

---

<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.

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | <br> 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** | $10.41 | $10.34 | $9.97 | $9.74 | $9.95 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.54 | 0.40 | 0.07 | 0.19 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.85) | 0.10 | 0.39 | 0.23 | (0.18) |
|  Net increase (decrease) from investment operations | (0.31) | 0.50 | 0.46 | 0.42 | 0.02 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.57) | (0.43) | (0.09) | (0.19) | (0.22) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.00)<sup>(c)</sup> |  | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (0.57) | (0.43) | (0.09) | (0.19) | (0.23) |
|  **Net asset value, end of year** | $9.53 | $10.41 | $10.34 | $9.97 | $9.74 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (3.15)% | 4.89% | 4.64% | 4.39% | 0.22% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.58% | 0.71% | 1.18% | 3.36% | 6.40% |
|  Total expenses after fees waived and/or reimbursed | 0.36% | 0.36% | 0.36% | 0.36% | 0.36% |
|  Net investment income | 5.46% | 3.79% | 0.71% | 1.94% | 2.00% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2514 | $1908 | $1475 | $737 | $526 |
|  Portfolio turnover rate | 58% | 10% | 22% | 45% | 80% |

---

<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.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 47

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) | iShares Short-Term TIPS Bond Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | <br> 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** | $10.41 | $10.34 | $9.98 | $9.76 | $9.95 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.58 | 0.49 | 0.12 | 0.25 | 0.31 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.86) | 0.04 | 0.36 | 0.21 | (0.25) |
|  Net increase (decrease) from investment operations | (0.28) | 0.53 | 0.48 | 0.46 | 0.06 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.60) | (0.46) | (0.12) | (0.24) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.00)<sup>(c)</sup> |  | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (0.60) | (0.46) | (0.12) | (0.24) | (0.25) |
|  **Net asset value, end of year** | $9.53 | $10.41 | $10.34 | $9.98 | $9.76 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (2.86)% | 5.19% | 4.87% | 4.72% | 0.60% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.18% | 0.28% | 0.71% | 2.14% | 5.80% |
|  Total expenses after fees waived and/or reimbursed | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
|  Net investment income | 5.88% | 4.69% | 1.17% | 2.55% | 3.13% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $109665 | $84806 | $41536 | $16112 | $1788 |
|  Portfolio turnover rate | 58% | 10% | 22% | 45% | 80% |

---

<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.

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI EAFE International Index Fund | iShares MSCI EAFE International Index Fund | iShares MSCI EAFE International Index Fund | iShares MSCI EAFE International Index Fund | iShares MSCI EAFE International Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | <br> 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** | $15.85 | $14.68 | $13.86 | $11.76 | $14.18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.41 | 0.41 | 0.30 | 0.42 | 0.42 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss)<sup>(b)</sup> | (2.64) | 1.24 | 0.81 | 2.14 | (2.31) |
|  Net increase (decrease) from investment operations | (2.23) | 1.65 | 1.11 | 2.56 | (1.89) |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.37) | (0.48) | (0.29) | (0.46) | (0.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.00)<sup>(d)</sup> |
|  Total distributions | (0.37) | (0.48) | (0.29) | (0.46) | (0.53) |
|  **Net asset value, end of year** | $13.25 | $15.85 | $14.68 | $13.86 | $11.76 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (14.18)% | 11.28% | 8.03% | 21.80% | (13.37)% |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.09% | 0.09% | 0.09% | 0.08% | 0.11 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.09% | 0.09% | 0.09% | 0.08% | 0.10 %<sup>(g)</sup> |
|  Net investment income | 3.06% | 2.57% | 2.35% | 3.23% | 3.02% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1036641 | $1058978 | $1004855 | $876551 | $753659 |
|  Portfolio turnover rate | 4% | 3% | 8% | 4% | 43% |

---

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

<sup>(b)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.09% respectively. 

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 49

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | <br> Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $15.74 | $14.58 | $13.78 | $11.69 | $14.09 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.38 | 0.36 | 0.27 | 0.39 | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss)<sup>(b)</sup> | (2.63) | 1.24 | 0.78 | 2.12 | (2.28) |
|  Net increase (decrease) from investment operations | (2.25) | 1.60 | 1.05 | 2.51 | (1.90) |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.33) | (0.44) | (0.25) | (0.42) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.00)<sup>(d)</sup> |
|  Total distributions | (0.33) | (0.44) | (0.25) | (0.42) | (0.50) |
|  **Net asset value, end of year** | $13.16 | $15.74 | $14.58 | $13.78 | $11.69 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (14.36)% | 11.01% | 7.68% | 21.53% | (13.57)% |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.34% | 0.34% | 0.35% | 0.35% | 0.36 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.34% | 0.34% | 0.35% | 0.35% | 0.36 %<sup>(g)</sup> |
|  Net investment income | 2.85% | 2.31% | 2.11% | 3.00% | 2.74% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $348314 | $385287 | $351999 | $340750 | $305043 |
|  Portfolio turnover rate | 4% | 3% | 8% | 4% | 43% |

---

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

<sup>(b)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.36% and 0.35% respectively. 

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) |
|  | Investor P | Investor P | Investor P | Investor P | Investor P |
| | <br>Year Ended<br>12/31/22 | <br>Year Ended<br>12/31/21 | <br>Year Ended<br>12/31/20 |<br>Year Ended<br>12/31/19 | Period from<br>08/06/18<sup>(a)</sup><br>to 12/31/18 |
|  **Net asset value, beginning of period** | $15.69 | $14.53 | $13.73 | $11.65 | $13.87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.39 | 0.36 | 0.26 | 0.39 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss)<sup>(c)</sup> | (2.63) | 1.24 | 0.79 | 2.11 | (1.70) |
|  Net increase (decrease) from investment operations | (2.24) | 1.60 | 1.05 | 2.50 | (1.69) |
|  **Distributions<sup>(d)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.33) | (0.44) | (0.25) | (0.42) | (0.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.00)<sup>(e)</sup> |
|  Total distributions | (0.33) | (0.44) | (0.25) | (0.42) | (0.53) |
|  **Net asset value, end of period** | $13.12 | $15.69 | $14.53 | $13.73 | $11.65 |
|  **Total Return<sup>(f)</sup>** |  |  |  |  |  |
|  Based on net asset value | (14.36)% | 11.05% | 7.68% | 21.51% | (12.25)%<sup>(g)</sup> |
|  **Ratios to Average Net Assets<sup>(h)</sup>** |  |  |  |  |  |
|  Total expenses | 0.34% | 0.34% | 0.37% | 0.39% | 0.33 %<sup>(i)(j)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.34% | 0.34% | 0.37% | 0.36% | 0.32 %<sup>(i)(j)</sup> |
|  Net investment income | 2.87% | 2.30% | 2.08% | 2.97% | 0.23 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $123463 | $153682 | $146759 | $149612 | $137266 |
|  Portfolio turnover rate | 4% | 3% | 8% | 4% | 43% |

---

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

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

<sup>(c)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

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

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

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

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

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

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

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

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 51

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index Fund (continued) | iShares MSCI EAFE International Index 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** | $15.86 | $14.69 | $13.87 | $11.76 | $14.18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.43 | 0.41 | 0.31 | 0.43 | 0.43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss)<sup>(b)</sup> | (2.65) | 1.24 | 0.80 | 2.14 | (2.31) |
|  Net increase (decrease) from investment operations | (2.22) | 1.65 | 1.11 | 2.57 | (1.88) |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.37) | (0.48) | (0.29) | (0.46) | (0.54) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.00)<sup>(d)</sup> |
|  Total distributions | (0.37) | (0.48) | (0.29) | (0.46) | (0.54) |
|  **Net asset value, end of year** | $13.27 | $15.86 | $14.69 | $13.87 | $11.76 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (14.07)% | 11.33% | 8.07% | 21.94% | (13.33)% |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.04% | 0.04% | 0.04% | 0.03% | 0.06 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.04% | 0.04% | 0.04% | 0.03% | 0.05 %<sup>(g)</sup> |
|  Net investment income | 3.19% | 2.60% | 2.39% | 3.28% | 3.12% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $6236454 | $6929470 | $5143404 | $6870922 | $6420732 |
|  Portfolio turnover rate | 4% | 3% | 8% | 4% | 43% |

---

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

<sup>(b)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.05% and 0.04% respectively. 

*See notes to financial statements.* 

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

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Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 2000 Small-Cap Index Fund | iShares Russell 2000 Small-Cap Index Fund | iShares Russell 2000 Small-Cap Index Fund | iShares Russell 2000 Small-Cap Index Fund | iShares Russell 2000 Small-Cap Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | <br> 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** | $25.76 | $24.19 | $20.46 | $16.87 | $19.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.27 | 0.25 | 0.23 | 0.27 | 0.28 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (5.52) | 3.28 | 3.84 | 4.02 | (2.40) |
|  Net increase (decrease) from investment operations | (5.25) | 3.53 | 4.07 | 4.29 | (2.12) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.28) | (0.29) | (0.25) | (0.28) | (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.67) | (0.09) | (0.42) | (0.53) |
|  Total distributions | (0.34) | (1.96) | (0.34) | (0.70) | (0.73) |
|  **Net asset value, end of year** | $20.17 | $25.76 | $24.19 | $20.46 | $16.87 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (20.39)% | 14.73% | 19.97% | 25.50% | (10.94)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.13% | 0.12% | 0.16% | 0.16% | 0.18 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.12% | 0.12% | 0.12% | 0.12% | 0.12 %<sup>(g)</sup> |
|  Net investment income | 1.26% | 0.93% | 1.22% | 1.38% | 1.38% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $390670 | $479451 | $331429 | $227381 | $200990 |
|  Portfolio turnover rate of the Series | 38% | 31% | 27% | 20% | 28% |

---

<sup>(a)</sup> Based on average Common 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> Includes the Fund's share of the Series' allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Series' allocated fees waived of less than 0.01%. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.16% and 0.10% respectively. 

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 53

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | <br> Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | <br> Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
|  **Net asset value, beginning of year** | $25.79 | $24.22 | $20.49 | $16.89 | $19.74 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.22 | 0.18 | 0.17 | 0.22 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (5.52) | 3.28 | 3.85 | 4.03 | (2.40) |
|  Net increase (decrease) from investment operations | (5.30) | 3.46 | 4.02 | 4.25 | (2.18) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.23) | (0.22) | (0.20) | (0.23) | (0.14) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.67) | (0.09) | (0.42) | (0.53) |
|  Total distributions | (0.29) | (1.89) | (0.29) | (0.65) | (0.67) |
|  **Net asset value, end of year** | $20.20 | $25.79 | $24.22 | $20.49 | $16.89 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (20.57)% | 14.38% | 19.66% | 25.20% | (11.19)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.40% | 0.40% | 0.41% | 0.42% | 0.43 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.37% | 0.37% | 0.37% | 0.37% | 0.37 %<sup>(g)</sup> |
|  Net investment income | 1.01% | 0.66% | 0.93% | 1.14% | 1.08% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $194549 | $243110 | $257905 | $273413 | $254591 |
|  Portfolio turnover rate of the Series | 38% | 31% | 27% | 20% | 28% |

---

<sup>(a)</sup> Based on average Common 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> Includes the Fund's share of the Series' allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Series' allocated fees waived of less than 0.01%. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.41% and 0.35% respectively. 

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) |
|  | Investor P | Investor P | Investor P | Investor P | Investor P |
| | <br>Year Ended<br>12/31/22 | <br>Year Ended<br>12/31/21 | <br>Year Ended<br>12/31/20 |<br>Year Ended<br>12/31/19 | Period from<br>08/06/18<sup>(a)</sup><br>to 12/31/18 |
|  **Net asset value, beginning of period** | $25.70 | $24.14 | $20.43 | $16.84 | $21.76 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.22 | 0.18 | 0.18 | 0.22 | 0.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (5.50) | 3.27 | 3.82 | 4.02 | (4.38) |
|  Net increase (decrease) from investment operations | (5.28) | 3.45 | 4.00 | 4.24 | (4.21) |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.23) | (0.22) | (0.20) | (0.23) | (0.19) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.67) | (0.09) | (0.42) | (0.52) |
|  Total distributions | (0.29) | (1.89) | (0.29) | (0.65) | (0.71) |
|  **Net asset value, end of period** | $20.13 | $25.70 | $24.14 | $20.43 | $16.84 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (20.57)% | 14.42% | 19.65% | 25.25% | (19.49)%<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)(g)(h)</sup>** |  |  |  |  |  |
|  Total expenses | 0.39% | 0.38% | 0.41% | 0.40% | 0.39 %<sup>(i)(j)(k)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.37% | 0.37% | 0.37% | 0.36% | 0.35 %<sup>(i)(j)(k)</sup> |
|  Net investment income | 1.01% | 0.67% | 0.95% | 1.14% | 2.12 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $266391 | $354746 | $329486 | $301163 | $265393 |
|  Portfolio turnover rate of the Series | 38% | 31% | 27% | 20% | 28% |

---

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

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

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

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

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

<sup>(f)</sup> Includes the Fund's share of the Series' allocated net expenses and/or net investment income.

<sup>(g)</sup> Includes the Fund's share of the Series' allocated fees waived of less than 0.01%. 

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

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

<sup>(j)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.38% and 0.35% respectively. 

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

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 55

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) | iShares Russell 2000 Small-Cap Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | <br> Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $25.84 | $24.26 | $20.52 | $16.91 | $19.77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.28 | 0.27 | 0.24 | 0.28 | 0.30 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (5.53) | 3.29 | 3.85 | 4.04 | (2.43) |
|  Net increase (decrease) from investment operations | (5.25) | 3.56 | 4.09 | 4.32 | (2.13) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.29) | (0.31) | (0.26) | (0.29) | (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.67) | (0.09) | (0.42) | (0.53) |
|  Total distributions | (0.35) | (1.98) | (0.35) | (0.71) | (0.73) |
|  **Net asset value, end of year** | $20.24 | $25.84 | $24.26 | $20.52 | $16.91 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (20.32)% | 14.78% | 20.00% | 25.62% | (10.93)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.07% | 0.07% | 0.08% | 0.08% | 0.11 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.07% | 0.07% | 0.07% | 0.07% | 0.07 %<sup>(g)</sup> |
|  Net investment income | 1.31% | 0.99% | 1.26% | 1.44% | 1.44% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1752177 | $2288892 | $1835475 | $1502229 | $945929 |
|  Portfolio turnover rate of the Series | 38% | 31% | 27% | 20% | 28% |

---

<sup>(a)</sup> Based on average Common 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> Includes the Fund's share of the Series' allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Series' allocated fees waived of less than 0.01%. 

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

<sup>(g)</sup> Includes reorganization costs, offering and board reorganization and consolidation expenses associated with the Fund's reorganization. Without these expenses, total expenses and total expenses after fees waived and/or reimbursed would have been 0.10% and 0.05% respectively. 

*See notes to financial statements.* 

56 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

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Notes to Financial Statements

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Registrant Name* | *Fund Name* | *Herein Referred To As* | *Diversification*<br> *Classification* |
|  BlackRock Funds<sup>SM</sup> | iShares Municipal Bond Index Fund | Municipal Bond Index | Diversified |
|  | iShares Short-Term TIPS Bond Index Fund | Short-Term TIPS Bond Index | Diversified |
|  BlackRock Index Funds, Inc. | iShares MSCI EAFE International Index Fund | International Index | Diversified |
|  | iShares Russell 2000 Small-Cap Index Fund | Small Cap Index | Diversified |

---

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *CDSC* | *Conversion Privilege* |
|  Institutional, Investor A and Class K Shares | No | No |  |
|  Investor P Shares | Yes | No <sup>(a)</sup> |  |

---

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

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

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

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

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

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

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

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

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

------

Notes to Financial Statements (continued)

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

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

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

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

**Distributions:** Distributions paid by International Index and Small Cap Index are recorded on the ex-dividend dates. Distributions from net investment income for Municipal Bond Index and Short-Term TIPS Bond Index are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

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

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

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

**Investment Valuation Policies:** Each Fund's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Fund's Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. Small Cap Index's policy is to value its financial instruments at fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees. Small Cap Index records its investment in the Series at fair value based on Small Cap Index's proportionate interest in the net assets of the Series. Valuation of securities held by the Series is discussed in Note 3 of the Series' Notes to Financial Statements, which are included elsewhere in this report.

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

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

&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.

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

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Notes to Financial Statements (continued)

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

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

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

---

| | | |
|:---|:---|:---|
| | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* |
|  Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
|  | (ii) | recapitalizations and other transactions across the capital structure; and |
| | (iii) | market multiples of comparable issuers. |
|  Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
|  | (ii) | quoted prices for similar investments or assets in active markets; and |
| | (iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
|  Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
|  | (ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
|  | (iii) | relevant news and other public sources; and |
| | (iv) | known secondary market transactions in the Private Company's interests and merger or acquisition activity in companies comparable to the Private Company. |

---

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

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

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

&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 Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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

------

Notes to Financial Statements (continued)

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

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

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

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

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

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

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

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  *Fund Name/Counterparty* | *Securities*<br> *Loaned at Value* | <br>| *Cash Collateral*<br> *Received* | *Non-Cash Collateral*<br> *Received, at Fair Value* | <br> *<sup>(a)</sup>*  | *Net*<br> *Amount* |
|  Short-Term TIPS Bond Index |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; J.P. Morgan Securities LLC | $4095193 |  | $(4095193) | $— |  | $— |
|  International Index |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Citigroup Global Markets, Inc. | $1216364 |  | $(1216364) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs & Co. LLC | 1400734 |  | (1400734) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 51056153 |  | (51056153) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; J.P. Morgan Securities LLC | 4787244 |  | (4787244) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley | 3052247 |  | (3052247) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. | 591591 |  | (591591) |  |  |  |
|  | $62104333 |  | $(62104333) | $— |  | $— |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund's Statements of Assets and Liabilities. 

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

------

Notes to Financial Statements (continued)

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

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

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

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

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

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

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

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

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

---

| | | | |
|:---|:---|:---|:---|
|  | *Municipal Bond Index* | *Short-Term TIPS Bond Index* | *International Index* |
|  Investment advisory fees | 0.10% | 0.01% | 0.01% |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Municipal Bond Index | Municipal Bond Index | Short-Term TIPS Bond Index | Short-Term TIPS Bond Index | International Index | International Index | Small Cap Index | Small Cap Index |
| *Share Class* | *Service Fees* | *Distribution Fees* | *Service Fees* | *Distribution Fees* | *Service Fees* | *Distribution Fees* | *Service Fees* | *Distribution Fees* |
|  Investor A | 0.25% | N/A | 0.25% | N/A | 0.25% | N/A | 0.25% | N/A |
|  Investor P | 0.25 | N/A | N/A | N/A | 0.25 | N/A | 0.25 | N/A |

---

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor P* | *Total* |
|  Municipal Bond Index | $51450 | $621313 | $672763 |
|  Short-Term TIPS Bond Index | 5570 |  | 5570 |
|  International Index | 874204 | 320222 | 1194426 |
|  Small Cap Index | 517401 | 730305 | 1247706 |

---

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

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

------

Notes to Financial Statements (continued)

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* | *Class K* | *Total* |
|  International Index | $798953 | $279745 | $102471 | $1898983 | $3080152 |

---

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* | *Class K* | *Total* |
|  Municipal Bond Index | $55 | $2091 | $667 | $16 | $2829 |
|  Short-Term TIPS Bond Index | 41 | 458 |  | 184 | 683 |
|  Small Cap Index | 2945 | 11807 | 2384 | 5935 | 23071 |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* | *Class K* | *Total* |
|  Municipal Bond Index | $16045 | $14762 | $130865 | $130 | $161802 |
|  Short-Term TIPS Bond Index | 10834 | 3539 |  | 13148 | 27521 |
|  Small Cap Index | 249204 | 176819 | 206243 | 101186 | 733452 |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *Investor P* |
|  Municipal Bond Index | $5287 |
|  International Index | 7391 |
|  Small Cap Index | 17222 |

---

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor P* |
|  Municipal Bond Index | $— | $112 |
|  Short-Term TIPS Bond Index | 87 |  |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed* <br> *by the Manager*  |
|  Municipal Bond Index | $2611 |
|  Short-Term TIPS Bond Index | 1924 |
|  International Index | 13032 |

---

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

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

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Notes to Financial Statements (continued)

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* | *Class K* |
|  Municipal Bond Index | 0.25% | 0.50% | 0.50% | 0.20% |
|  Short-Term TIPS Bond Index | 0.11 | 0.36 |  | 0.06 |
|  Small Cap Index | 0.12 | 0.37 | 0.37 | 0.07 |

---

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023 with respect to Municipal Bond Index, Short-Term TIPS Bond Index and Small-Cap Index, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended December 31, 2022, the Funds waived the following amounts:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed*<br> *by the Manager* | *Fees Waived and/or Reimbursed*<br> *by the Administrator* |
|  Municipal Bond Index | $6565 | $— |
|  Short-Term TIPS Bond Index | 151333 |  |
|  Small Cap Index |  | 15006 |

---

With respect to International Index, the fees and expenses of the Fund's Independent Trustees, counsel to the Independent Trustees and the Fund's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Fund. The manager has contractually agreed to reimburse the Fund or provide an offsetting credit for such independent expenses through June 30, 2032. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived and/or reimbursed was $165,007.

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Transfer Agent Fees Waived and/or<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 | Transfer Agent Fees Waived and/or<br> Reimbursed by the Manager - Class Specific |
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* | *Class K* | *Total* |
|  Municipal Bond Index | $372 | $2466 | $5013 | $116 | $7967 |
|  Short-Term TIPS Bond Index | 73 | 2424 |  | 13147 | 15644 |
|  Small Cap Index | 29514 | 62400 | 44647 | 22614 | 159175 |

---

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:

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

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

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective February 16, 2023 for Short-Term TIPS Bond Index and November 16, 2025 for Municipal Bond Index, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund's contractual caps on net expenses will be terminated.

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

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor P* |
|  Municipal Bond Index | $190 | $407 | $4062 |

---

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* | *12/31/24* |
|  Municipal Bond Index |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $1981 | $6565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  | 371 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 5974 | 2466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  | 5013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 52 | 116 |

---

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

------

Notes to Financial Statements (continued)

---

| | |
|:---|:---|
|  | *Expiring* |
| *Fund Name/Fund Level/Share Class* | *02/16/23* |
|  Short-Term TIPS Bond Index |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $317148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 73 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 4406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 25310 |

---

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

---

| | |
|:---|:---|
| *Fund Name/Fund Level/Share Class* | *Expired*<br> *12/31/22* |
|  Municipal Bond Index |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | $16665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 2952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 35 |
|  Short-Term TIPS Bond Index |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund Level | 202508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 8574 |

---

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the year ended December 31, 2022, each Fund paid BTC the following amounts for securities lending agent services:

---

| | |
|:---|:---|
| *Fund Name* | *Amounts* |
|  Short-Term TIPS Bond Index | $918 |
|  International Index | 73650 |

---

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

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

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

64 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

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Notes to Financial Statements (continued)

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Purchases* | *Sales* | *Net Realized*<br> *Gain (Loss)* |
|  International Index | $240106243 | $28133816 | $(4635540) |

---

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

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | U.S. Government Securities | U.S. Government Securities | Other Securities | Other Securities |
| *Fund Name* | *Purchases* | *Sales* | *Purchases* | *Sales* |
|  Municipal Bond Index | $— | $— | $62159236 | $69754082 |
|  Short-Term TIPS Bond Index | 111871875 | 78233649 |  |  |
|  International Index |  |  | 1079360768 | 330519121 |

---

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

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

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

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

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended*<br> *12/31/22* | *Year Ended*<br> *12/31/21* |
|  Municipal Bond Index |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt income | $7389247 | $7302123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | 44 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 105571 | 604105 |
|  | $7494862 | $7906228 |
|  Short-Term TIPS Bond Index |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $8582310 | $3724206 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 29874 |  |
|  | $8612184 | $3724206 |
|  International Index |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $210050821 | $249650725 |
|  Small Cap Index |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $35602037 | $75850658 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 8157280 | 162052657 |
|  | $43759317 | $237903315 |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed*<br> *Tax-Exempt Income* | *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* |
|  Municipal Bond Index | $251849 | $— | $(728724) | $(11687893) | $— | $(12164768) |
|  Short-Term TIPS Bond Index |  |  | (3700418) | (8468763) |  | (12169181) |
|  International Index |  | 14976775 | (1082744410) | 823025503 |  | (244742132) |

---

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

------

Notes to Financial Statements (continued)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed*<br> *Tax-Exempt Income* | *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* |
|  Small Cap Index | $— | $205500 | $— | $143696550 | $(11240148) | $132661902 |

---

<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) was attributable primarily to the timing of income recognition on partnership interests, the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains / (losses) on certain futures, the classification of investments, the characterization of corporate actions and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. 

<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)* |
|  Municipal Bond Index | $290266189 | $1151280 | $(12839173) | $(11687893) |
|  Short-Term TIPS Bond Index | 148076358 |  | (8468763) | (8468763) |
|  International Index | 6934343835 | 1517181602 | (694300550) | 822881052 |

---

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

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

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

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

Short-Term TIPS Bond Index and International Index may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

The Manager uses a "passive" or index approach to try to achieve each Fund's investment objective following the securities included in its underlying index during upturns as well as downturns. The Manager does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by the Manager.

**Market Risk:** Municipal Bond Index and Short-Term TIPS Bond Index may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Municipal Bond Index and Short-Term TIPS Bond Indexmay also be exposed to reinvestment risk, which is the risk that income from each Fund's portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio's current earnings rate.

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer's ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.

66 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

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Notes to Financial Statements (continued)

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

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

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund's valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund's results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund's ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

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

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

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

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

Certain Funds invest a significant portion of their assets in securities within a single or limited number of market sectors. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Fund and could affect the income from, or the value or liquidity of, the Fund's portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.

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

Certain Funds invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Funds' investments.

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

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

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Notes to Financial Statements (continued)

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

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

**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* |
|  Municipal Bond Index |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 6716407 | $73545161 | 650586 | $7957426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 72389 | 789735 | 18813 | 229880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (4315388) | (46776153) | (197401) | (2412656) |
|  | 2473408 | $27558743 | 471998 | $5774650 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 514295 | $5646294 | 245063 | $3009149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 39382 | 434735 | 39449 | 482182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (617974) | (6755505) | (262213) | (3206037) |
|  | (64297) | $(674476) | 22299 | $285294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 521140 | $5825075 | 1203054 | $14753952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 560086 | 6186252 | 584095 | 7139511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (4557453) | (50247487) | (3476299) | (42540620) |
|  | (3476227) | $&nbsp;&nbsp;&nbsp;&nbsp;(38236160) | (1689150) | $&nbsp;&nbsp;&nbsp;&nbsp;(20647157) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 753 | $8141 |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 7 | 70 |  |  |
|  | 760 | $8211 |  | $— |
|  | (1066356) | $(11343682) | (1194853) | $(14587213) |
|  | 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* |
|  Short-Term TIPS Bond Index |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 7590679 | $76299333 | 305714 | $3176102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 283528 | 2813945 | 69714 | 725448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (7132696) | (68621455) | (245716) | (2546137) |
|  | 741511 | $10491823 | 129712 | $1355413 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 235325 | $2363513 | 171246 | $1784237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 11509 | 115009 | 5235 | 54679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (166487) | (1677893) | (135842) | (1420598) |
|  | 80347 | $800629 | 40639 | $418318 |

---

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

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Notes to Financial Statements (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
|  | 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 (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  Short-Term TIPS Bond Index (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 6403479 | $63780360 | 5666442 | $59144353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 565093 | 5642604 | 273883 | 2860402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (3612033) | (35976226) | (1808850) | (18874083) |
|  | 3356539 | $33446738 | 4131475 | $43130672 |
|  | 4178397 | $44739190 | 4301826 | $44904403 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | 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* |
|  International Index |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 44830303 | $599799146 | 23127179 | $364411891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1990031 | 27339792 | 1891131 | 29454601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (35425519) | (467004260) | (26665328) | (423071784) |
|  | 11394815 | $160134678 | (1647018) | $(29205292) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 9154580 | $124407393 | 8903542 | $138961412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 615903 | 8412911 | 655384 | 10142811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (7780497) | (105168005) | (9224259) | (144389967) |
|  | 1989986 | $27652299 | 334667 | $4714256 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 444880 | $5951609 | 605499 | $9492012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 223905 | 3052600 | 270934 | 4177007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1052740) | (14165561) | (1179110) | (18358506) |
|  | (383955) | $(5161352) | (302677) | $(4689487) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 145986650 | $2008193642 | 136820358 | $2164004055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 12034067 | 165580695 | 12681596 | 197623368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (124798602) | (1651527597) | (62785698) | (984062396) |
|  | 33222115 | $522246740 | 86716256 | $1377565027 |
|  | 46222961 | $704872365 | 85101228 | $1348384504 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | 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* |
|  Small Cap Index |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 7797928 | $169143081 | 8680716 | $240094727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 315848 | 6543993 | 1322710 | 33755049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (7360277) | (159895204) | (5088628) | (138990726) |
|  | 753499 | $15791870 | 4914798 | $134859050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 2622705 | $58016949 | 3401943 | $94188064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 131542 | 2720059 | 640818 | 16377948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2548942) | (55990710) | (5267709) | (146988976) |
|  | 205305 | $4746298 | (1224948) | $(36422964) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 828931 | $18359829 | 1120863 | $30459520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 185136 | 3812087 | 968853 | 24668150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1583069) | (34375275) | (1935582) | (52802385) |
|  | (569002) | $(12203359) | 154134 | $2325285 |

---

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 69

------

Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<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 (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  Small Cap Index (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 31164847 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;677677385 | 27344333 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;747541231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1469932 | 30510791 | 6339905 | 162274538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (34633557) | (751233437) | (20752569) | (567308604) |
|  | (1998778) | $(43045261) | 12931669 | $342507165 |
|  | (1608976) | $(34710452) | 16775653 | $443268536 |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Institutional* | *Investor A* | *Investor A* | *Investor P* | *Investor P* | *Class K* | *Class K* |
|  Municipal Bond Index |  | 8707 |  | 871 |  | 871 |  | 8707 |
|  International Index |  |  |  |  |  | 14420 |  |  |
|  Small Cap Index |  |  |  |  |  | 9191 |  |  |

---

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

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

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

------

Report of Independent Registered Public Accounting Firm

To the Shareholders of iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund, and iShares Russell 2000 Small-Cap Index Fund and the Board of Directors/Trustees of BlackRock FundsSM and BlackRock Index Funds, Inc.:

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

We have audited the accompanying statements of assets and liabilities of iShares Municipal Bond Index Fund and iShares Short-Term TIPS Bond Index Fund of BlackRock FundsSM and iShares MSCI EAFE International Index Fund and iShares Russell 2000 Small-Cap Index Fund of BlackRock Index Funds, Inc. (collectively, the "Funds"), including the schedules of investments of iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, and iShares MSCI EAFE International Index Fund, as of December 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

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

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

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

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

F U N D R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 71

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Important Tax Information (unaudited)

The following amounts, or maximum amounts allowable by law, are hereby designated as tax-exempt interest dividends for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Exempt-Interest*<br> *Dividends* |
|  Municipal Bond Index | $7387127 |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend*<br> *Income* |
|  International Index | $255942959 |
|  Small Cap Index | 26022623 |

---

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified business income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | &nbsp;&nbsp;&nbsp;&nbsp;*Qualified Business*<br> *Income* |
|  Small Cap Index | $4613647 |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *20% Rate Long-Term*<br> *Capital Gain Dividends* |
|  Municipal Bond Index | $105571 |
|  Small Cap Index | 8157280 |

---

The Funds intend to pass through to their shareholders the following amounts, or maximum amounts allowable by law, of foreign source income earned and foreign taxes paid for the fiscal year ended December 31, 2022:

---

| | | |
|:---|:---|:---|
| *Fund Name* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Foreign Source*<br> *Income Earned* | *Foreign*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Taxes Paid* |
|  International Index | $225486596 | $21992973 |

---

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* | &nbsp;&nbsp;&nbsp;&nbsp;*Federal Obligation*<br> *Interest* |
|  Short-Term TIPS Bond Index | $8562350 |

---

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*  |
|  Small Cap Index | 71.23% |

---

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

---

| | |
|:---|:---|
| *Fund Name* | *Interest*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Dividends* |
|  Short-Term TIPS Bond Index | $8562350 |

---

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> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Dividends* |
|  Short-Term TIPS Bond Index | $8562350 |

---

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

------

---

| | |
|:---|:---|
| Series Portfolio Information as of December 31, 2022 | **Master Small Cap Index Series**<br>|

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of*<br> *Net Assets* |
|  iShares Russell 2000 ETF | 0.9% |
|  Halozyme Therapeutics, Inc. | 0.3 |
|  Shockwave Medical, Inc. | 0.3 |
|  Inspire Medical Systems, Inc. | 0.3 |
|  EMCOR Group, Inc. | 0.3 |
|  Crocs, Inc. | 0.3 |
|  Matador Resources Co. | 0.3 |
|  Iridium Communications, Inc. | 0.3 |
|  Murphy Oil Corp. | 0.3 |
|  Texas Roadhouse, Inc. | 0.3 |

---

**SECTOR ALLOCATION** 

---

| | |
|:---|:---|
| *Sector* | *Percent of*<br> *Net Assets* |
|  Financials | 16.7% |
|  Health Care | 16.6 |
|  Industrials | 15.3 |
|  Information Technology | 12.5 |
|  Consumer Discretionary | 10.3 |
|  Energy | 6.7 |
|  Real Estate | 6.3 |
|  Materials | 4.2 |
|  Consumer Staples | 3.6 |
|  Utilities | 3.4 |
|  Communication Services | 2.6 |
|  Investment Companies | 0.9 |
|  Short-Term Securities | 9.8 |
|  Liabilities in Excess of Other Assets | (8.9) |

---

S E R I E S P O R T F O L I O I N F O R M A T I O N 73

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Advertising Agencies — 0.2%** | **Advertising Agencies — 0.2%** | **Advertising Agencies — 0.2%** |
|  Advantage Solutions, Inc.<sup>(a)(b)</sup> | 129718 | $269813 |
|  Audacy, Inc.<sup>(a)</sup> | 245324 | 55222 |
|  Boston Omaha Corp., Class A<sup>(a)(b)</sup> | 34538 | 915257 |
|  Cardlytics, Inc.<sup>(a)</sup> | 52309 | 302346 |
|  Chimera Investment Corp. | 366925 | 2018088 |
|  Clear Channel Outdoor Holdings, Inc.<sup>(a)</sup> | 595261 | 625024 |
|  QuinStreet, Inc.<sup>(a)(b)</sup> | 81282 | 1166397 |
|  Thryv Holdings, Inc.<sup>(a)</sup> | 41095 | 780805 |
|  Viad Corp.<sup>(a)</sup> | 31725 | 773773 |
|  |  | 6906725 |
| **Aerospace — 0.8%** |  |  |
|  AAR Corp.<sup>(a)</sup> | 53253 | 2391060 |
|  Aerojet Rocketdyne Holdings, Inc.<sup>(a)</sup> | 125242 | 7004785 |
|  AeroVironment, Inc.<sup>(a)</sup> | 38919 | 3333801 |
|  AerSale Corp.<sup>(a)</sup> | 30321 | 491807 |
|  Archer Aviation, Inc., Class A<sup>(a)</sup> | 219130 | 409773 |
|  Astronics Corp.<sup>(a)</sup> | 39911 | 411083 |
|  Cadre Holdings, Inc.<sup>(b)</sup> | 29880 | 601783 |
|  Ducommun, Inc.<sup>(a)</sup> | 17405 | 869554 |
|  Kaman Corp. | 43670 | 973841 |
|  Kratos Defense & Security Solutions, Inc.<sup>(a)(b)</sup> | 194996 | 2012359 |
|  Macerich Co. | 339885 | 3827105 |
|  Moog, Inc., Class A | 45176 | 3964646 |
|  Triumph Group, Inc.<sup>(a)</sup> | 102650 | 1079878 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27371475 |
| **Aerospace & Defense<sup>(a)</sup> — 0.1%** | **Aerospace & Defense<sup>(a)</sup> — 0.1%** | **Aerospace & Defense<sup>(a)</sup> — 0.1%** |
|  Astra Space, Inc.<sup>(b)</sup> | 222300 | 96434 |
|  Momentus, Inc. | 84216 | 65680 |
|  Redwire Corp. | 29894 | 59190 |
|  Rocket Lab USA, Inc. | 337905 | 1273902 |
|  Terran Orbital Corp.<sup>(b)</sup> | 36999 | 58458 |
|  Virgin Galactic Holdings, Inc.<sup>(b)</sup> | 373613 | 1300173 |
|  |  | 2853837 |
| **Agriculture, Fishing & Ranching — 0.2%** | **Agriculture, Fishing & Ranching — 0.2%** | **Agriculture, Fishing & Ranching — 0.2%** |
|  Alico, Inc. | 9684 | 231157 |
|  Andersons, Inc. | 50484 | 1766435 |
|  Calavo Growers, Inc. | 27224 | 800386 |
|  Cal-Maine Foods, Inc. | 59826 | 3257526 |
|  Fresh Del Monte Produce, Inc. | 48413 | 1267937 |
|  Fresh Market, Inc.<sup>(c)</sup> | 14020 |  |
|  GrowGeneration Corp.<sup>(a)(b)</sup> | 90570 | 355034 |
|  |  | 7678475 |
| **Air Transport<sup>(a)</sup> — 0.4%** |  |  |
|  Air Transport Services Group, Inc. | 89377 | 2322015 |
|  Allegiant Travel Co. | 24457 | 1662831 |
|  Atlas Air Worldwide Holdings, Inc.<sup>(b)</sup> | 44196 | 4454957 |
|  Frontier Group Holdings, Inc. | 57842 | 594037 |
|  Hawaiian Holdings, Inc.<sup>(b)</sup> | 79002 | 810561 |
|  SkyWest, Inc. | 78757 | 1300278 |
|  Spirit Airlines, Inc.<sup>(b)</sup> | 172034 | 3351222 |
|  Sun Country Airlines Holdings, Inc.<sup>(b)</sup> | 52729 | 836282 |
|  |  | 15332183 |
| **Airlines<sup>(a)</sup> — 0.0%** |  |  |
|  Blade Air Mobility, Inc.<sup>(b)</sup> | 86708 | 310415 |
|  Diversey Holdings Ltd. | 126263 | 537880 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Airlines (continued)** |  |  |  |
|  Wheels Up Experience, Inc.<sup>(b)</sup> | 245907 | $| 253284 |
|  WM Technology, Inc. | 110879 |  | 111988 |
|  |  |  | 1213567 |
| **Alternative Energy — 0.5%** |  |  |  |
|  Aemetis, Inc.<sup>(a)(b)</sup> | 48385 |  | 191605 |
|  Alto Ingredients, Inc.<sup>(a)</sup> | 117185 |  | 337493 |
|  Ameresco, Inc., Class A<sup>(a)(b)</sup> | 50182 |  | 2867399 |
|  Battalion Oil Corp.<sup>(a)</sup> | 4417 |  | 42889 |
|  Centrus Energy Corp., Class A<sup>(a)(b)</sup> | 15863 |  | 515230 |
|  Green Brick Partners, Inc.<sup>(a)</sup> | 43583 |  | 1056016 |
|  Green Plains, Inc.<sup>(a)(b)</sup> | 51340 |  | 1565870 |
|  Permian Resources Corp. | 324594 |  | 3051184 |
|  REX American Resources Corp.<sup>(a)</sup> | 25459 |  | 811124 |
|  Sitio Royalties Corp., Class A<sup>(b)</sup> | 112339 |  | 3240966 |
|  Sunnova Energy International, Inc.<sup>(a)(b)</sup> | 156662 |  | 2821483 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16501259 |
| **Aluminum — 0.2%** |  |  |  |
|  Arconic Corp.<sup>(a)(b)</sup> | 157586 |  | 3334520 |
|  Century Aluminum Co.<sup>(a)</sup> | 84532 |  | 691472 |
|  Kaiser Aluminum Corp. | 24989 |  | 1898164 |
|  |  |  | 5924156 |
| **Asset Management & Custodian — 0.9%** | **Asset Management & Custodian — 0.9%** | **Asset Management & Custodian — 0.9%** | **Asset Management & Custodian — 0.9%** |
|  Artisan Partners Asset Management, Inc., Class A | 94829 |  | 2816421 |
|  AssetMark Financial Holdings, Inc.<sup>(a)</sup> | 33462 |  | 769626 |
| B. Riley Financial, Inc. | 32429 |  | 1109072 |
|  Brightsphere Investment Group, Inc. | 50782 |  | 1045094 |
|  Cohen & Steers, Inc. | 40081 |  | 2587629 |
|  Cowen, Inc., Class A<sup>(b)</sup> | 41932 |  | 1619414 |
|  Diamond Hill Investment Group, Inc. | 4658 |  | 861823 |
|  Federated Hermes, Inc. | 134709 |  | 4891284 |
|  Focus Financial Partners, Inc., Class A<sup>(a)(b)</sup> | 91539 |  | 3411659 |
|  GCM Grosvenor, Inc., Class A | 66624 |  | 507009 |
|  Hamilton Lane, Inc., Class A | 55706 |  | 3558499 |
|  Open Lending Corp., Class A<sup>(a)</sup> | 165970 |  | 1120298 |
|  Oppenheimer Holdings, Inc., Class A | 13284 |  | 562312 |
|  PJT Partners, Inc., Class A | 37257 |  | 2745468 |
|  Sculptor Capital Management, Inc. | 40728 |  | 352704 |
|  Silvercrest Asset Management Group, Inc., Class A | 15320 |  | 287556 |
|  StepStone Group, Inc., Class A | 84068 |  | 2116832 |
|  Virtus Investment Partners, Inc. | 11061 |  | 2117518 |
|  WisdomTree, Inc. | 213451 |  | 1163308 |
|  |  |  | 33643526 |
| **Auto Components<sup>(a)(b)</sup> — 0.1%** | **Auto Components<sup>(a)(b)</sup> — 0.1%** | **Auto Components<sup>(a)(b)</sup> — 0.1%** | **Auto Components<sup>(a)(b)</sup> — 0.1%** |
|  Holley, Inc. | 82686 |  | 175294 |
|  Luminar Technologies, Inc. | 389030 |  | 1925699 |
|  Solid Power, Inc. | 209517 |  | 532173 |
|  |  |  | 2633166 |
| **Auto Parts — 1.0%** |  |  |  |
|  Adient PLC<sup>(a)</sup> | 149799 |  | 5196527 |
|  American Axle & Manufacturing Holdings, Inc.<sup>(a)</sup> | 180412 |  | 1410822 |
|  Canoo, Inc.<sup>(a)(b)</sup> | 236697 |  | 291137 |
|  CarParts.com, Inc.<sup>(a)</sup> | 80635 |  | 504775 |
|  Dana, Inc. | 203709 |  | 3082117 |
|  Dorman Products, Inc.<sup>(a)</sup> | 41582 |  | 3362736 |
|  Fisker, Inc.<sup>(a)(b)</sup> | 273174 |  | 1985975 |
|  Fox Factory Holding Corp.<sup>(a)</sup> | 66937 |  | 6106663 |
|  Gentherm, Inc.<sup>(a)</sup> | 52269 |  | 3412643 |
|  Lordstown Motors Corp., Class A<sup>(a)(b)</sup> | 268032 |  | 305556 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Auto Parts (continued)** | **Auto Parts (continued)** | **Auto Parts (continued)** | **Auto Parts (continued)** |
|  Mullen Automotive, Inc.<sup>(a)(b)</sup> | 476197 | $| 136192 |
|  Standard Motor Products, Inc. | 31821 |  | 1107371 |
|  Stoneridge, Inc.<sup>(a)</sup> | 41244 |  | 889221 |
|  Visteon Corp.<sup>(a)</sup> | 43897 |  | 5743045 |
|  Workhorse Group, Inc.<sup>(a)(b)</sup> | 240450 |  | 365484 |
|  XPEL, Inc.<sup>(a)</sup> | 33978 |  | 2040719 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35940983 |
| **Auto Services — 0.1%** | **Auto Services — 0.1%** | **Auto Services — 0.1%** | **Auto Services — 0.1%** |
|  Goodyear Tire & Rubber Co.<sup>(a)(b)</sup> | 442774 |  | 4494156 |
| **Automobiles<sup>(a)</sup> — 0.0%** | **Automobiles<sup>(a)</sup> — 0.0%** | **Automobiles<sup>(a)</sup> — 0.0%** | **Automobiles<sup>(a)</sup> — 0.0%** |
|  Cenntro Electric Group Ltd. | 284366 |  | 125121 |
|  Faraday Future Intelligent Electric, Inc.<sup>(b)</sup> | 300590 |  | 87261 |
|  |  |  | 212382 |
| **Back Office Support, HR & Consulting — 1.7%** | **Back Office Support, HR & Consulting — 1.7%** | **Back Office Support, HR & Consulting — 1.7%** | **Back Office Support, HR & Consulting — 1.7%** |
|  ASGN, Inc.<sup>(a)</sup> | 77422 |  | 6308345 |
|  Atlas Technical Consultants, Inc.<sup>(a)</sup> | 29194 |  | 150349 |
|  Barrett Business Services, Inc. | 11136 |  | 1038766 |
|  CBIZ, Inc.<sup>(a)</sup> | 74412 |  | 3486202 |
|  Conduent, Inc.<sup>(a)</sup> | 267871 |  | 1084878 |
|  CRA International, Inc.<sup>(b)</sup> | 10959 |  | 1341710 |
|  DHI Group, Inc.<sup>(a)</sup> | 66059 |  | 349452 |
|  ExlService Holdings, Inc.<sup>(a)(b)</sup> | 50672 |  | 8585357 |
|  Forrester Research, Inc.<sup>(a)</sup> | 18008 |  | 643966 |
|  Hackett Group, Inc. | 42527 |  | 866275 |
|  Heidrick & Struggles International, Inc. | 31397 |  | 878174 |
|  Huron Consulting Group, Inc.<sup>(a)</sup> | 30444 |  | 2210234 |
|  ICF International, Inc. | 29118 |  | 2884138 |
|  Insperity, Inc. | 56542 |  | 6423171 |
|  Kelly Services, Inc., Class A | 52866 |  | 893435 |
|  Kforce, Inc. | 30272 |  | 1659814 |
|  Korn Ferry | 82382 |  | 4170177 |
|  Liquidity Services, Inc.<sup>(a)</sup> | 38307 |  | 538596 |
|  Maximus, Inc. | 94430 |  | 6924552 |
|  NV5 Global, Inc.<sup>(a)(b)</sup> | 21339 |  | 2823577 |
|  PFSweb, Inc. | 25521 |  | 156954 |
|  Resources Connection, Inc. | 51424 |  | 945173 |
|  Target Hospitality Corp.<sup>(a)</sup> | 47647 |  | 721376 |
|  TriNet Group, Inc.<sup>(a)(b)</sup> | 59086 |  | 4006031 |
|  TrueBlue, Inc.<sup>(a)</sup> | 49981 |  | 978628 |
|  TTEC Holdings, Inc. | 29999 |  | 1323856 |
|  |  |  | 61393186 |
| **Banks — 0.0%** |  |  |  |
|  John Marshall Bancorp, Inc. | 17653 |  | 508053 |
|  USCB Financial Holdings, Inc.<sup>(a)</sup> | 16653 |  | 203167 |
|  |  |  | 711220 |
| **Banks: Diversified — 9.0%** | **Banks: Diversified — 9.0%** | **Banks: Diversified — 9.0%** | **Banks: Diversified — 9.0%** |
|  1st Source Corp. | 25125 |  | 1333886 |
|  ACNB Corp. | 13052 |  | 519600 |
|  Ambac Financial Group, Inc.<sup>(a)</sup> | 68912 |  | 1201825 |
|  Amerant Bancorp, Inc. | 44106 |  | 1183805 |
|  American National Bankshares, Inc. | 16235 |  | 599559 |
|  Ameris Bancorp | 102221 |  | 4818698 |
|  Arrow Financial Corp. | 22132 |  | 750275 |
|  Associated Banc-Corp.<sup>(b)</sup> | 228696 |  | 5280591 |
|  Atlantic Union Bankshares Corp. | 118179 |  | 4152810 |
|  BancFirst Corp. | 31021 |  | 2735432 |
|  Banco Latinoamericano de Comercio Exterior SA, Class E | 43124 |  | 698609 |
|  Bancorp, Inc.<sup>(a)</sup> | 79613 |  | 2259417 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** |
|  Bank First Corp. | 10039 | $931820 |
|  Bank of Marin Bancorp | 24854 | 817200 |
|  Bank of NT Butterfield & Son Ltd. | 78446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2338475 |
|  Bankwell Financial Group, Inc. | 8704 | 256159 |
|  Banner Corp. | 52372 | 3309910 |
|  Bar Harbor Bankshares | 23625 | 756945 |
|  BayCom Corp. | 19853 | 376810 |
|  BCB Bancorp, Inc. | 22202 | 399414 |
|  Blue Ridge Bankshares, Inc. | 27394 | 342151 |
|  Bridgewater Bancshares, Inc.<sup>(a)</sup> | 32096 | 569383 |
|  Business First Bancshares, Inc. | 32681 | 723557 |
|  Byline Bancorp, Inc. | 38786 | 890914 |
|  Cadence Bank | 237821 | 5864666 |
|  Cambridge Bancorp | 10923 | 907264 |
|  Camden National Corp. | 23098 | 962956 |
|  Capital Bancorp, Inc. | 13728 | 323157 |
|  Capital City Bank Group, Inc. | 21636 | 703170 |
|  Capitol Federal Financial, Inc. | 206654 | 1787557 |
|  Capstar Financial Holdings, Inc. | 31550 | 557173 |
|  Carter Bankshares, Inc.<sup>(a)</sup> | 38332 | 635928 |
|  Cathay General Bancorp | 110915 | 4524223 |
|  Central Pacific Financial Corp. | 36134 | 732798 |
|  Citizens & Northern Corp. | 24118 | 551337 |
|  City Holding Co. | 22134 | 2060454 |
|  Civista Bancshares, Inc. | 24583 | 541072 |
|  CNB Financial Corp. | 25754 | 612688 |
|  Coastal Financial Corp.<sup>(a)(b)</sup> | 16198 | 769729 |
|  Colony Bankcorp, Inc. | 25286 | 320879 |
|  Columbia Banking System, Inc. | 111572 | 3361664 |
|  Columbia Financial, Inc.<sup>(a)(b)</sup> | 54374 | 1175566 |
|  Community Bank System, Inc. | 80268 | 5052871 |
|  Community Trust Bancorp, Inc. | 25076 | 1151741 |
|  ConnectOne Bancorp, Inc. | 58568 | 1417931 |
|  CrossFirst Bankshares, Inc.<sup>(a)(b)</sup> | 70858 | 879348 |
|  Customers Bancorp, Inc.<sup>(a)</sup> | 49120 | 1392061 |
|  CVB Financial Corp. | 207979 | 5355459 |
|  Eagle Bancorp, Inc. | 47681 | 2101302 |
|  Eastern Bankshares, Inc. | 246092 | 4245087 |
|  Enterprise Bancorp, Inc. | 15063 | 531724 |
|  Enterprise Financial Services Corp. | 55663 | 2725260 |
|  Equity Bancshares, Inc., Class A<sup>(b)</sup> | 23763 | 776337 |
|  Esquire Financial Holdings, Inc. | 10697 | 462752 |
|  Farmers & Merchants Bancorp, Inc. | 18592 | 505331 |
|  Farmers National Banc Corp. | 50578 | 714161 |
|  FB Financial Corp. | 56457 | 2040356 |
|  Financial Institutions, Inc. | 23585 | 574531 |
|  First Bancorp, Inc. | 15345 | 459429 |
|  First BanCorp/Puerto Rico | 284836 | 3623114 |
|  First Bancorp/Southern Pines NC | 51199 | 2193365 |
|  First Bancshares, Inc. | 31038 | 993526 |
|  First Bank | 24595 | 338427 |
|  First Busey Corp. | 81445 | 2013320 |
|  First Business Financial Services, Inc. | 12390 | 452855 |
|  First Commonwealth Financial Corp. | 139403 | 1947460 |
|  First Community Bankshares, Inc. | 25204 | 854416 |
|  First Financial Bancorp | 141314 | 3424038 |
|  First Financial Bankshares, Inc. | 203005 | 6983372 |
|  First Financial Corp. | 17342 | 799119 |
|  First Foundation, Inc. | 81782 | 1171936 |
|  First Guaranty Bancshares, Inc. | 9370 | 219727 |
|  First Internet Bancorp | 14564 | 353614 |
|  First Interstate BancSystem, Inc., Class A | 140494 | 5430093 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 75

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** |
|  First Merchants Corp. | 90327 | $3713343 |
|  First Mid Bancshares, Inc. | 29863 | 958005 |
|  First of Long Island Corp. | 35860 | 645480 |
|  First Western Financial, Inc.<sup>(a)(b)</sup> | 12197 | 343346 |
|  Five Star Bancorp | 20095 | 547388 |
|  Fulton Financial Corp. | 249053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4191562 |
|  FVCBankcorp, Inc.<sup>(a)</sup> | 18457 | 351975 |
|  German American Bancorp, Inc. | 43307 | 1615351 |
|  Glacier Bancorp, Inc. | 174006 | 8599377 |
|  Guaranty Bancshares, Inc. | 13008 | 450597 |
|  Hancock Whitney Corp. | 134201 | 6493986 |
|  Hanmi Financial Corp. | 35695 | 883451 |
|  HarborOne Bancorp, Inc. | 70469 | 979519 |
|  HBT Financial, Inc. | 16051 | 314118 |
|  Heartland Financial USA, Inc. | 64821 | 3021955 |
|  Heritage Commerce Corp. | 91994 | 1195922 |
|  Hippo Holdings, Inc.<sup>(a)(b)</sup> | 25613 | 348337 |
|  Home BancShares, Inc. | 293696 | 6693332 |
|  Hope Bancorp, Inc. | 162875 | 2086429 |
|  Horizon Bancorp, Inc. | 63593 | 958982 |
|  Independent Bank Corp. | 98708 | 6408004 |
|  Independent Bank Group, Inc. | 56474 | 3392958 |
|  International Bancshares Corp. | 84576 | 3870198 |
|  Lakeland Bancorp, Inc. | 97469 | 1716429 |
|  Lakeland Financial Corp. | 38212 | 2788330 |
|  Live Oak Bancshares, Inc. | 51623 | 1559015 |
|  Luther Burbank Corp. | 24183 | 268673 |
|  Macatawa Bank Corp. | 41442 | 457105 |
|  Mercantile Bank Corp. | 24735 | 828128 |
|  Merchants Bancorp<sup>(b)</sup> | 24586 | 597932 |
|  Metrocity Bankshares, Inc. | 29924 | 647256 |
|  Metropolitan Bank Holding Corp.<sup>(a)(b)</sup> | 16268 | 954444 |
|  Mid Penn Bancorp, Inc. | 22916 | 686793 |
|  Midland States Bancorp, Inc. | 33402 | 889161 |
|  MVB Financial Corp. | 16156 | 355755 |
|  National Bank Holdings Corp., Class A | 46113 | 1939974 |
|  NBT Bancorp, Inc. | 64164 | 2786001 |
|  Nicolet Bankshares, Inc.<sup>(a)</sup> | 19392 | 1547288 |
|  Northeast Bank | 10382 | 437082 |
|  OFG Bancorp | 71865 | 1980599 |
|  Old National Bancorp | 458552 | 8244765 |
|  Old Second Bancorp, Inc. | 67733 | 1086437 |
|  Origin Bancorp, Inc. | 35335 | 1296794 |
|  Orrstown Financial Services, Inc. | 16163 | 374335 |
|  Pacific Premier Bancorp, Inc. | 132968 | 4196470 |
|  Park National Corp. | 22642 | 3186861 |
|  Parke Bancorp, Inc. | 15614 | 323834 |
|  PCB Bancorp | 17977 | 318013 |
|  PCSB Financial Corp. | 19932 | 379505 |
|  Peapack-Gladstone Financial Corp. | 27658 | 1029431 |
|  Peoples Bancorp, Inc. | 44482 | 1256617 |
|  Peoples Financial Services Corp. | 10766 | 558109 |
|  Pioneer Bancorp, Inc.<sup>(a)</sup> | 20117 | 229334 |
|  Preferred Bank/Los Angeles CA | 12747 | 951181 |
|  Primis Financial Corp. | 35322 | 418566 |
|  Professional Holding Corp., Class A<sup>(a)</sup> | 19999 | 554772 |
|  Provident Financial Services, Inc. | 110654 | 2363569 |
|  QCR Holdings, Inc. | 25245 | 1253162 |
|  RBB Bancorp | 22814 | 475672 |
|  Red River Bancshares, Inc. | 7783 | 397400 |
|  Renasant Corp. | 83410 | 3135382 |
|  Republic Bancorp, Inc., Class A | 13729 | 561791 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** |
|  Republic First Bancorp, Inc.<sup>(a)(b)</sup> | 69664 | $| 149778 |
|  Root, Inc./OH, Class A<sup>(a)(b)</sup> | 11987 |  | 53822 |
|  S&T Bancorp, Inc. | 52403 |  | 1791135 |
|  Sandy Spring Bancorp, Inc. | 68943 |  | 2428862 |
|  Seacoast Banking Corp. of Florida | 84458 |  | 2634245 |
|  ServisFirst Bancshares, Inc.<sup>(b)</sup> | 79165 |  | 5455260 |
|  Shore Bancshares, Inc. | 27333 |  | 476414 |
|  Sierra Bancorp | 21281 |  | 452008 |
|  Silvergate Capital Corp., Class A<sup>(a)(b)</sup> | 49459 |  | 860587 |
|  Simmons First National Corp., Class A | 184109 |  | 3973072 |
|  SmartFinancial, Inc. | 24098 |  | 662695 |
|  South Plains Financial, Inc. | 15746 |  | 433487 |
|  Southern First Bancshares, Inc.<sup>(a)(b)</sup> | 11833 |  | 541360 |
|  Southside Bancshares, Inc. | 48411 |  | 1742312 |
|  SouthState Corp. | 117355 |  | 8961228 |
|  Stellar Bancorp, Inc. | 71536 |  | 2107451 |
|  Stock Yards Bancorp, Inc. | 45176 |  | 2935536 |
|  Summit Financial Group, Inc. | 17559 |  | 437044 |
|  Texas Capital Bancshares, Inc.<sup>(a)</sup> | 78913 |  | 4759243 |
|  Third Coast Bancshares, Inc.<sup>(a)</sup> | 19738 |  | 363771 |
|  Tompkins Financial Corp. | 21899 |  | 1698924 |
|  Towne Bank | 106267 |  | 3277274 |
|  TriCo Bancshares | 49221 |  | 2509779 |
|  Triumph Financial, Inc.<sup>(a)(b)</sup> | 36842 |  | 1800469 |
|  TrustCo Bank Corp./New York | 29053 |  | 1092102 |
|  Trustmark Corp. | 95350 |  | 3328668 |
|  UMB Financial Corp. | 69479 |  | 5802886 |
|  United Bankshares, Inc. | 203494 |  | 8239472 |
|  United Community Banks, Inc. | 162050 |  | 5477290 |
|  Unity Bancorp, Inc. | 10876 |  | 297241 |
|  Univest Financial Corp. | 45685 |  | 1193749 |
|  Valley National Bancorp | 679810 |  | 7688651 |
|  Veritex Holdings, Inc. | 73782 |  | 2071799 |
|  Washington Trust Bancorp, Inc. | 26713 |  | 1260319 |
|  WesBanco, Inc. | 88028 |  | 3255275 |
|  West BanCorp., Inc. | 25156 |  | 642736 |
|  Westamerica BanCorp | 39538 |  | 2333137 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329108250 |
| **Banks: Savings, Thrift & Mortgage Lending — 1.0%** | **Banks: Savings, Thrift & Mortgage Lending — 1.0%** | **Banks: Savings, Thrift & Mortgage Lending — 1.0%** | **Banks: Savings, Thrift & Mortgage Lending — 1.0%** |
|  Amalgamated Financial Corp. | 22374 |  | 515497 |
|  Axos Financial, Inc.<sup>(a)</sup> | 90438 |  | 3456540 |
|  Banc of California, Inc. | 83135 |  | 1324341 |
|  BankUnited, Inc. | 119002 |  | 4042498 |
|  Berkshire Hills Bancorp, Inc. | 62941 |  | 1881936 |
|  Brookline Bancorp, Inc. | 112560 |  | 1592724 |
|  Finance of America Cos., Inc., Class A<sup>(a)</sup> | 53250 |  | 67627 |
|  Flushing Financial Corp. | 44859 |  | 869367 |
|  Great Southern Bancorp, Inc. | 14717 |  | 875514 |
|  Greene County Bancorp, Inc. | 5231 |  | 300364 |
|  Heritage Financial Corp. | 53775 |  | 1647666 |
|  Hingham Institution for Savings | 2351 |  | 648782 |
|  Home Bancorp, Inc. | 11335 |  | 453740 |
|  Home Point Capital, Inc. | 7506 |  | 10283 |
|  HomeStreet, Inc. | 25459 |  | 702159 |
|  Kearny Financial Corp. | 95358 |  | 967884 |
|  Ladder Capital Corp. | 179266 |  | 1799831 |
|  Northfield Bancorp, Inc. | 68278 |  | 1074013 |
|  Northwest Bancshares, Inc. | 184801 |  | 2583518 |
|  OceanFirst Financial Corp. | 91596 |  | 1946415 |
|  Premier Financial Corp. | 55835 |  | 1505870 |
|  Provident Bancorp, Inc. | 22753 |  | 165642 |
|  Southern Missouri Bancorp, Inc. | 12153 |  | 556972 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Banks: Savings, Thrift & Mortgage Lending (continued)** | **Banks: Savings, Thrift & Mortgage Lending (continued)** | **Banks: Savings, Thrift & Mortgage Lending (continued)** | **Banks: Savings, Thrift & Mortgage Lending (continued)** |
|  Sterling Bancorp, Inc.<sup>(a)</sup> | 26451 | $| 161087 |
|  Washington Federal, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102259 |  | 3430789 |
|  Waterstone Financial, Inc. | 30424 |  | 524510 |
|  WSFS Financial Corp. | 94352 |  | 4277920 |
|  |  |  | 37383489 |
| **Beverage: Soft Drinks — 0.5%** | **Beverage: Soft Drinks — 0.5%** | **Beverage: Soft Drinks — 0.5%** | **Beverage: Soft Drinks — 0.5%** |
|  Celsius Holdings, Inc.<sup>(a)</sup> | 87009 |  | 9052416 |
|  Coca-Cola Consolidated, Inc. | 7412 |  | 3797612 |
|  Duckhorn Portfolio, Inc.<sup>(a)</sup> | 63778 |  | 1056802 |
|  National Beverage Corp.<sup>(a)</sup> | 37260 |  | 1733708 |
|  Primo Water Corp. | 248642 |  | 3863897 |
|  Vintage Wine Estates, Inc.<sup>(a)(b)</sup> | 50032 |  | 163104 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19667539 |
| **Biotechnology — 7.1%** | **Biotechnology — 7.1%** | **Biotechnology — 7.1%** | **Biotechnology — 7.1%** |
|  2seventy bio, Inc.<sup>(a)</sup> | 60134 |  | 563456 |
|  4D Molecular Therapeutics, Inc.<sup>(a)</sup> | 47481 |  | 1054553 |
|  Aadi Bioscience, Inc.<sup>(a)</sup> | 22370 |  | 287007 |
|  Adicet Bio, Inc.<sup>(a)</sup> | 44011 |  | 393458 |
|  ADMA Biologics, Inc.<sup>(a)(b)</sup> | 289347 |  | 1122666 |
|  Aduro Biotech, Inc.<sup>(c)</sup> | 21953 |  | 55738 |
|  Aerovate Therapeutics, Inc.<sup>(a)(b)</sup> | 14296 |  | 418873 |
|  Affimed NV<sup>(a)</sup> | 217574 |  | 269792 |
|  Agenus, Inc.<sup>(a)</sup> | 472050 |  | 1132920 |
|  Agios Pharmaceuticals, Inc.<sup>(a)</sup> | 86103 |  | 2417772 |
|  Akero Therapeutics, Inc.<sup>(a)(b)</sup> | 54487 |  | 2985888 |
|  Albireo Pharma, Inc.<sup>(a)</sup> | 27550 |  | 595355 |
|  Alector, Inc.<sup>(a)</sup> | 99288 |  | 916428 |
|  Allogene Therapeutics, Inc.<sup>(a)(b)</sup> | 125735 |  | 790873 |
|  Allovir, Inc.<sup>(a)</sup> | 48407 |  | 248328 |
|  Alpine Immune Sciences, Inc.<sup>(a)</sup> | 23938 |  | 175944 |
|  ALX Oncology Holdings, Inc.<sup>(a)(b)</sup> | 32739 |  | 368969 |
|  Amicus Therapeutics, Inc.<sup>(a)</sup> | 435108 |  | 5312669 |
|  Amylyx Pharmaceuticals, Inc.<sup>(a)</sup> | 78907 |  | 2915614 |
|  AN2 Therapeutics, Inc.<sup>(a)</sup> | 15732 |  | 149926 |
|  AnaptysBio, Inc.<sup>(a)(b)</sup> | 31437 |  | 974233 |
|  Anavex Life Sciences Corp.<sup>(a)(b)</sup> | 110559 |  | 1023776 |
|  ANI Pharmaceuticals, Inc.<sup>(a)</sup> | 19754 |  | 794703 |
|  Apellis Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 147957 |  | 7650856 |
|  Arbutus Biopharma Corp.<sup>(a)(b)</sup> | 174248 |  | 405998 |
|  Arcellx, Inc.<sup>(a)</sup> | 47497 |  | 1471457 |
|  Arcturus Therapeutics Holdings, Inc.<sup>(a)</sup> | 36368 |  | 616801 |
|  Arcus Biosciences, Inc.<sup>(a)</sup> | 81031 |  | 1675721 |
|  Arcutis Biotherapeutics, Inc.<sup>(a)(b)</sup> | 64089 |  | 948517 |
|  Arvinas, Inc.<sup>(a)(b)</sup> | 76746 |  | 2625481 |
|  Atara Biotherapeutics, Inc.<sup>(a)</sup> | 143092 |  | 469342 |
|  Aura Biosciences, Inc.<sup>(a)</sup> | 28310 |  | 297255 |
|  Aurinia Pharmaceuticals, Inc.<sup>(a)</sup> | 215124 |  | 929336 |
|  Avid Bioservices, Inc.<sup>(a)</sup> | 95218 |  | 1311152 |
|  Avidity Biosciences, Inc.<sup>(a)(b)</sup> | 79404 |  | 1761975 |
|  Beam Therapeutics, Inc.<sup>(a)(b)</sup> | 100274 |  | 3921716 |
|  BioCryst Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 292644 |  | 3359553 |
|  Biohaven Ltd.<sup>(a)</sup> | 95362 |  | 1323625 |
|  Bioventus, Inc., Class A<sup>(a)</sup> | 48861 |  | 127527 |
|  Bioxcel Therapeutics, Inc.<sup>(a)(b)</sup> | 29533 |  | 634369 |
|  Bluebird Bio, Inc.<sup>(a)(b)</sup> | 128771 |  | 891095 |
|  Blueprint Medicines Corp.<sup>(a)</sup> | 94277 |  | 4130275 |
|  Bridgebio Pharma, Inc.<sup>(a)</sup> | 165051 |  | 1257689 |
|  C4 Therapeutics, Inc.<sup>(a)(b)</sup> | 65317 |  | 385370 |
|  Caribou Biosciences, Inc.<sup>(a)</sup> | 90199 |  | 566450 |
|  Castle Biosciences, Inc.<sup>(a)</sup> | 39518 |  | 930254 |
|  Catalyst Pharmaceuticals, Inc.<sup>(a)</sup> | 150867 |  | 2806126 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Celldex Therapeutics, Inc.<sup>(a)(b)</sup> | 72303 | $3222545 |
|  Celularity, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108491 | 139953 |
|  Century Therapeutics, Inc.<sup>(a)</sup> | 33469 | 171696 |
|  Cerevel Therapeutics Holdings, Inc.<sup>(a)(b)</sup> | 89631 | 2826962 |
|  Chinook Therapeutics, Inc.<sup>(a)</sup> | 78151 | 2047556 |
|  CinCor Pharma, Inc.<sup>(a)(b)</sup> | 38285 | 470523 |
|  Codexis, Inc.<sup>(a)</sup> | 95897 | 446880 |
|  Cogent Biosciences, Inc.<sup>(a)(b)</sup> | 100663 | 1163664 |
|  Coherus Biosciences, Inc.<sup>(a)</sup> | 118395 | 937688 |
|  Collegium Pharmaceutical, Inc.<sup>(a)</sup> | 53511 | 1241455 |
|  Crinetics Pharmaceuticals, Inc.<sup>(a)</sup> | 83026 | 1519376 |
|  CTI BioPharma Corp.<sup>(a)</sup> | 161357 | 969756 |
|  Cullinan Oncology, Inc.<sup>(a)</sup> | 48934 | 516254 |
|  Cytokinetics, Inc.<sup>(a)</sup> | 129537 | 5935385 |
|  Day One Biopharmaceuticals, Inc.<sup>(a)</sup> | 43549 | 937174 |
|  Deciphera Pharmaceuticals, Inc.<sup>(a)</sup> | 72364 | 1186046 |
|  Denali Therapeutics, Inc.<sup>(a)(b)</sup> | 170069 | 4729619 |
|  Design Therapeutics, Inc.<sup>(a)(b)</sup> | 54618 | 560381 |
|  Douglas Elliman, Inc | 119264 | 485404 |
|  Dynavax Technologies Corp.<sup>(a)</sup> | 186716 | 1986658 |
|  Dyne Therapeutics, Inc.<sup>(a)</sup> | 49127 | 569382 |
|  Editas Medicine, Inc.<sup>(a)(b)</sup> | 108122 | 959042 |
|  Eiger BioPharmaceuticals, Inc.<sup>(a)</sup> | 63298 | 74692 |
|  Emergent BioSolutions, Inc.<sup>(a)</sup> | 79999 | 944788 |
|  Enochian Biosciences, Inc.<sup>(a)</sup> | 30528 | 31444 |
|  EQRx, Inc.<sup>(a)</sup> | 322000 | 792120 |
|  Erasca, Inc.<sup>(a)</sup> | 100902 | 434888 |
|  EyePoint Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 42891 | 150119 |
|  Fate Therapeutics, Inc.<sup>(a)</sup> | 131147 | 1323273 |
|  FibroGen, Inc.<sup>(a)</sup> | 137827 | 2207989 |
|  Foghorn Therapeutics, Inc.<sup>(a)(b)</sup> | 32469 | 207152 |
|  Fulcrum Therapeutics, Inc.<sup>(a)(b)</sup> | 65670 | 478078 |
|  Generation Bio Co.<sup>(a)</sup> | 79184 | 311193 |
|  Geron Corp.<sup>(a)(b)</sup> | 574826 | 1391079 |
|  Gossamer Bio, Inc.<sup>(a)(b)</sup> | 99288 | 215455 |
|  GreenLight Biosciences Holdings PBC<sup>(a)(b)</sup> | 115845 | 136697 |
|  Gtx, Inc.<sup>(b)(c)</sup> | 944 | 968 |
|  Halozyme Therapeutics, Inc.<sup>(a)</sup> | 209027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11893636 |
|  Heron Therapeutics, Inc.<sup>(a)(b)</sup> | 160149 | 400373 |
|  HilleVax, Inc.<sup>(a)(b)</sup> | 25874 | 432872 |
|  Humacyte, Inc.<sup>(a)</sup> | 76600 | 161626 |
|  Icosavax, Inc.<sup>(a)</sup> | 38731 | 307524 |
|  Ideaya Biosciences, Inc.<sup>(a)</sup> | 68514 | 1244899 |
|  IGM Biosciences, Inc.<sup>(a)(b)</sup> | 17415 | 296229 |
|  Imago Biosciences, Inc.<sup>(a)</sup> | 40767 | 1465574 |
|  ImmunityBio, Inc.<sup>(a)(b)</sup> | 127460 | 646222 |
|  ImmunoGen, Inc.<sup>(a)</sup> | 338742 | 1680160 |
|  Immunovant, Inc.<sup>(a)(b)</sup> | 69503 | 1233678 |
|  Inhibrx, Inc.<sup>(a)</sup> | 50560 | 1245798 |
|  Inovio Pharmaceuticals, Inc.<sup>(a)</sup> | 389992 | 608388 |
|  Insmed, Inc.<sup>(a)(b)</sup> | 210857 | 4212923 |
|  Instil Bio, Inc.<sup>(a)</sup> | 107503 | 67727 |
|  Intellia Therapeutics, Inc.<sup>(a)</sup> | 133261 | 4649476 |
|  Intercept Pharmaceuticals, Inc.<sup>(a)</sup> | 38914 | 481366 |
|  Invitae Corp.<sup>(a)(b)</sup> | 368229 | 684906 |
|  Invivyd, Inc.<sup>(a)</sup> | 80990 | 121485 |
|  Iovance Biotherapeutics, Inc.<sup>(a)</sup> | 241038 | 1540233 |
|  iTeos Therapeutics, Inc.<sup>(a)</sup> | 37833 | 738878 |
|  IVERIC bio, Inc.<sup>(a)</sup> | 211440 | 4526930 |
|  Janux Therapeutics, Inc.<sup>(a)</sup> | 26245 | 345647 |
|  Jounce Therapeutics, Inc.<sup>(a)</sup> | 63561 | 70553 |
|  KalVista Pharmaceuticals, Inc.<sup>(a)</sup> | 37687 | 254764 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 77

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Karuna Therapeutics, Inc.<sup>(a)</sup> | 47466 | $9327069 |
|  Karyopharm Therapeutics, Inc.<sup>(a)</sup> | 121430 | 412862 |
|  Keros Therapeutics, Inc.<sup>(a)</sup> | 29968 | 1439063 |
|  Kezar Life Sciences, Inc.<sup>(a)</sup> | 81326 | 572535 |
|  Kiniksa Pharmaceuticals Ltd., Class A<sup>(a)</sup> | 50378 | 754662 |
|  Kinnate Biopharma, Inc.<sup>(a)</sup> | 46139 | 281448 |
|  Kodiak Sciences, Inc.<sup>(a)</sup> | 52484 | 375785 |
|  Kronos Bio, Inc.<sup>(a)</sup> | 65413 | 105969 |
|  Krystal Biotech, Inc.<sup>(a)(b)</sup> | 33618 | 2663218 |
|  Kura Oncology, Inc.<sup>(a)(b)</sup> | 100104 | 1242291 |
|  Kymera Therapeutics, Inc.<sup>(a)(b)</sup> | 59148 | 1476334 |
|  Lexicon Pharmaceuticals, Inc.<sup>(a)</sup> | 125521 | 239745 |
|  Ligand Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 23810 | 1590508 |
|  Lyell Immunopharma, Inc.<sup>(a)(b)</sup> | 271148 | 940884 |
|  MacroGenics, Inc.<sup>(a)</sup> | 93313 | 626130 |
|  Madrigal Pharmaceuticals, Inc.<sup>(a)</sup> | 19849 | 5761172 |
|  MannKind Corp.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;392682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2069434 |
|  MaxCyte, Inc.<sup>(a)</sup> | 135315 | 738820 |
|  MeiraGTx Holdings PLC<sup>(a)</sup> | 49912 | 325426 |
|  Mersana Therapeutics, Inc.<sup>(a)(b)</sup> | 140069 | 820804 |
|  MiMedx Group, Inc.<sup>(a)(b)</sup> | 174375 | 484763 |
|  Mirum Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 28522 | 556179 |
|  Monte Rosa Therapeutics, Inc.<sup>(a)</sup> | 44992 | 342389 |
|  Morphic Holding, Inc.<sup>(a)(b)</sup> | 41269 | 1103946 |
|  Myriad Genetics, Inc.<sup>(a)(b)</sup> | 125471 | 1820584 |
|  Nautilus Biotechnology, Inc.<sup>(a)</sup> | 73637 | 132547 |
|  NGM Biopharmaceuticals, Inc.<sup>(a)</sup> | 60572 | 304071 |
|  Nkarta, Inc.<sup>(a)</sup> | 50082 | 299991 |
|  Nurix Therapeutics, Inc.<sup>(a)(b)</sup> | 74184 | 814540 |
|  Nuvalent, Inc., Class A<sup>(a)(b)</sup> | 31189 | 928808 |
|  Ocugen, Inc.<sup>(a)(b)</sup> | 350209 | 455272 |
|  OPKO Health, Inc.<sup>(a)</sup> | 645490 | 806862 |
|  Outlook Therapeutics, Inc.<sup>(a)(b)</sup> | 186570 | 201496 |
|  Pacific Biosciences of California, Inc.<sup>(a)(b)</sup> | 356389 | 2915262 |
|  Pardes Biosciences, Inc.<sup>(a)</sup> | 43775 | 73980 |
|  PepGen, Inc.<sup>(a)</sup> | 21643 | 289367 |
|  Phathom Pharmaceuticals, Inc.<sup>(a)</sup> | 36555 | 410147 |
|  PMV Pharmaceuticals, Inc.<sup>(a)</sup> | 59370 | 516519 |
|  Point Biopharma Global, Inc.<sup>(a)</sup> | 132404 | 965225 |
|  Praxis Precision Medicines, Inc.<sup>(a)</sup> | 52779 | 125614 |
|  Precigen, Inc.<sup>(a)</sup> | 166443 | 252993 |
|  Prime Medicine, Inc.<sup>(b)</sup> | 15067 | 279945 |
|  Prometheus Biosciences, Inc.<sup>(a)</sup> | 54500 | 5995000 |
|  Protagonist Therapeutics, Inc.<sup>(a)</sup> | 73546 | 802387 |
|  Prothena Corp. PLC<sup>(a)</sup> | 57485 | 3463471 |
|  Provention Bio, Inc.<sup>(a)(b)</sup> | 94830 | 1002353 |
|  PTC Therapeutics, Inc.<sup>(a)</sup> | 110835 | 4230572 |
|  Quantum-Si, Inc.<sup>(a)(b)</sup> | 141106 | 258224 |
|  RadNet, Inc.<sup>(a)</sup> | 79813 | 1502879 |
|  Rallybio Corp.<sup>(a)</sup> | 23944 | 157312 |
|  RAPT Therapeutics, Inc.<sup>(a)</sup> | 41866 | 828947 |
|  Recursion Pharmaceuticals, Inc., Class A<sup>(a)(b)</sup> | 215610 | 1662353 |
|  REGENXBIO, Inc.<sup>(a)</sup> | 62985 | 1428500 |
|  Relay Therapeutics, Inc.<sup>(a)</sup> | 132967 | 1986527 |
|  Relmada Therapeutics, Inc.<sup>(a)</sup> | 43965 | 153438 |
|  Replimune Group, Inc.<sup>(a)</sup> | 64936 | 1766259 |
|  Revolution Medicines, Inc.<sup>(a)(b)</sup> | 117216 | 2792085 |
|  Rigel Pharmaceuticals, Inc.<sup>(a)</sup> | 256348 | 384522 |
|  Rocket Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 83146 | 1627167 |
|  Sage Therapeutics, Inc.<sup>(a)(b)</sup> | 82186 | 3134574 |
|  Sana Biotechnology, Inc.<sup>(a)(b)</sup> | 140950 | 556752 |
|  Sangamo Therapeutics, Inc.<sup>(a)(b)</sup> | 201376 | 632321 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Science 37 Holdings, Inc.<sup>(a)</sup> | 96182 | $| 39935 |
|  Seres Therapeutics, Inc.<sup>(a)</sup> | 111300 |  | 623280 |
|  Singular Genomics Systems, Inc.<sup>(a)(b)</sup> | 83527 |  | 167889 |
|  SomaLogic, Inc.<sup>(a)</sup> | 231949 |  | 582192 |
|  Sorrento Therapeutics, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;704011 |  | 623754 |
|  SpringWorks Therapeutics, Inc.<sup>(a)(b)</sup> | 54775 |  | 1424698 |
|  Stoke Therapeutics, Inc.<sup>(a)</sup> | 34529 |  | 318703 |
|  Sutro Biopharma, Inc.<sup>(a)</sup> | 78219 |  | 632010 |
|  Talaris Therapeutics, Inc.<sup>(a)</sup> | 32454 |  | 33103 |
|  Tango Therapeutics, Inc.<sup>(a)</sup> | 72190 |  | 523377 |
|  Tenaya Therapeutics, Inc.<sup>(a)(b)</sup> | 47185 |  | 94842 |
|  Travere Therapeutics, Inc.<sup>(a)</sup> | 96084 |  | 2020647 |
|  Tricida, Inc.<sup>(a)(b)</sup> | 51440 |  | 7865 |
|  Twist Bioscience Corp.<sup>(a)</sup> | 88559 |  | 2108590 |
|  Tyra Biosciences, Inc.<sup>(a)</sup> | 19668 |  | 149477 |
|  Vanda Pharmaceuticals, Inc.<sup>(a)</sup> | 87581 |  | 647224 |
|  Vaxart, Inc.<sup>(a)(b)</sup> | 196290 |  | 188615 |
|  Vaxcyte, Inc.<sup>(a)</sup> | 112549 |  | 5396725 |
|  VBI Vaccines, Inc.<sup>(a)(b)</sup> | 310101 |  | 121281 |
|  Vera Therapeutics, Inc.<sup>(a)(b)</sup> | 23254 |  | 449965 |
|  Veracyte, Inc.<sup>(a)</sup> | 113053 |  | 2682748 |
|  Vericel Corp.<sup>(a)(b)</sup> | 75322 |  | 1983981 |
|  Verve Therapeutics, Inc.<sup>(a)(b)</sup> | 71516 |  | 1383835 |
|  Vir Biotechnology, Inc.<sup>(a)</sup> | 114410 |  | 2895717 |
|  Viridian Therapeutics, Inc.<sup>(a)</sup> | 58442 |  | 1707091 |
|  VistaGen Therapeutics, Inc.<sup>(a)(b)</sup> | 304040 |  | 31316 |
|  Xencor, Inc.<sup>(a)</sup> | 90572 |  | 2358495 |
|  Y-mAbs Therapeutics, Inc.<sup>(a)</sup> | 57171 |  | 278994 |
|  Zentalis Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 73671 |  | 1483734 |
|  Zogenix, Inc.<sup>(b)(c)</sup> | 87311 |  | 59371 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257731838 |
| **Building Materials — 0.7%** | **Building Materials — 0.7%** | **Building Materials — 0.7%** | **Building Materials — 0.7%** |
|  Aspen Aerogels, Inc.<sup>(a)(b)</sup> | 50038 |  | 589948 |
|  BlueLinx Holdings, Inc.<sup>(a)</sup> | 13276 |  | 944056 |
|  Caesarstone Ltd. | 34219 |  | 195390 |
|  Gibraltar Industries, Inc.<sup>(a)</sup> | 47479 |  | 2178337 |
|  Griffon Corp.<sup>(b)</sup> | 72681 |  | 2601253 |
|  Masonite International Corp.<sup>(a)</sup> | 35117 |  | 2830781 |
|  Patrick Industries, Inc. | 34645 |  | 2099487 |
|  PGT Innovations, Inc.<sup>(a)</sup> | 92233 |  | 1656505 |
|  Quanex Building Products Corp. | 51787 |  | 1226316 |
|  Simpson Manufacturing Co., Inc. | 66494 |  | 5895358 |
|  Summit Materials, Inc., Class A<sup>(a)(b)</sup> | 190314 |  | 5403022 |
|  |  |  | 25620453 |
| **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** |
|  Janus International Group, Inc.<sup>(a)</sup> | 130032 |  | 1237905 |
| **Building: Climate Control — 0.3%** | **Building: Climate Control — 0.3%** | **Building: Climate Control — 0.3%** | **Building: Climate Control — 0.3%** |
|  AAON, Inc. | 69205 |  | 5212521 |
|  Comfort Systems USA, Inc. | 55206 |  | 6353106 |
|  View, Inc.<sup>(a)</sup> | 170099 |  | 164129 |
|  |  |  | 11729756 |
| **Building: Roofing, Wallboard & Plumbing<sup>(a)</sup> — 0.2%** | **Building: Roofing, Wallboard & Plumbing<sup>(a)</sup> — 0.2%** | **Building: Roofing, Wallboard & Plumbing<sup>(a)</sup> — 0.2%** | **Building: Roofing, Wallboard & Plumbing<sup>(a)</sup> — 0.2%** |
|  Beacon Roofing Supply, Inc. | 81063 |  | 4279316 |
|  JELD-WEN Holding, Inc. | 131619 |  | 1270123 |
|  |  |  | 5549439 |
| **Cable Television Services<sup>(a)</sup> — 0.1%** | **Cable Television Services<sup>(a)</sup> — 0.1%** | **Cable Television Services<sup>(a)</sup> — 0.1%** | **Cable Television Services<sup>(a)</sup> — 0.1%** |
|  AMC Networks, Inc., Class A | 47702 |  | 747490 |
|  Liberty Latin America Ltd., Class A | 59788 |  | 450204 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Cable Television Services (continued)** | **Cable Television Services (continued)** | **Cable Television Services (continued)** | **Cable Television Services (continued)** |
|  Liberty Latin America Ltd., Class C | 235279 | $| 1788120 |
|  WideOpenWest, Inc. | 84378 |  | 768684 |
|  |  |  | 3754498 |
| **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** |
|  Bakkt Holdings, Inc.<sup>(a)(b)</sup> | 106356 |  | 126564 |
|  Perella Weinberg Partners | 64719 |  | 634246 |
|  Victory Capital Holdings, Inc., Class A | 25605 |  | 686982 |
|  |  |  | 1447792 |
| **Casinos & Gambling — 0.4%** | **Casinos & Gambling — 0.4%** | **Casinos & Gambling — 0.4%** | **Casinos & Gambling — 0.4%** |
|  Accel Entertainment, Inc.<sup>(a)</sup> | 90391 |  | 696011 |
|  Century Casinos, Inc.<sup>(a)</sup> | 41548 |  | 292082 |
|  Full House Resorts, Inc.<sup>(a)</sup> | 52068 |  | 391551 |
|  Inspired Entertainment, Inc.<sup>(a)</sup> | 34213 |  | 433479 |
|  International Game Technology PLC | 155005 |  | 3515513 |
|  Light & Wonder, Inc., Class A<sup>(a)(b)</sup> | 147581 |  | 8648247 |
|  Monarch Casino & Resort, Inc.<sup>(a)</sup> | 20995 |  | 1614306 |
|  |  |  | 15591189 |
| **Cement — 0.0%** | **Cement — 0.0%** | **Cement — 0.0%** | **Cement — 0.0%** |
|  Concrete Pumping Holdings, Inc.<sup>(a)</sup> | 40542 |  | 237171 |
| **Chemicals — 0.0%** |  |  |  |
|  Perimeter Solutions SA<sup>(a)</sup> | 183790 |  | 1679841 |
| **Chemicals: Diversified — 0.9%** | **Chemicals: Diversified — 0.9%** | **Chemicals: Diversified — 0.9%** | **Chemicals: Diversified — 0.9%** |
|  AdvanSix, Inc. | 42642 |  | 1621249 |
|  American Vanguard Corp. | 42960 |  | 932661 |
|  Avient Corp. | 143643 |  | 4849388 |
|  Cabot Corp. | 86733 |  | 5797234 |
|  CSW Industrials, Inc. | 23070 |  | 2674505 |
|  Danimer Scientific, Inc.<sup>(a)(b)</sup> | 144177 |  | 258077 |
|  Ecovyst, Inc.<sup>(a)</sup> | 108029 |  | 957137 |
|  Hawkins, Inc. | 30533 |  | 1178574 |
|  Ingevity Corp.<sup>(a)(b)</sup> | 58191 |  | 4098974 |
|  Landec Corp.<sup>(a)</sup> | 42588 |  | 275970 |
|  LSB Industries, Inc.<sup>(a)(b)</sup> | 113686 |  | 1512024 |
|  Origin Materials, Inc.<sup>(a)(b)</sup> | 164339 |  | 757603 |
|  PureCycle Technologies, Inc.<sup>(a)(b)</sup> | 169172 |  | 1143603 |
|  Rayonier Advanced Materials, Inc.<sup>(a)</sup> | 98884 |  | 949286 |
|  Sensient Technologies Corp. | 66197 |  | 4827085 |
|  Valhi, Inc. | 3801 |  | 83622 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31916992 |
| **Chemicals: Specialty — 0.8%** | **Chemicals: Specialty — 0.8%** | **Chemicals: Specialty — 0.8%** | **Chemicals: Specialty — 0.8%** |
|  Amyris, Inc.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318831 |  | 487811 |
|  Balchem Corp. | 50275 |  | 6139080 |
|  FutureFuel Corp. | 39115 |  | 318005 |
|  Innospec, Inc. | 39069 |  | 4018637 |
|  Livent Corp.<sup>(a)</sup> | 255740 |  | 5081554 |
|  Orion Engineered Carbons SA | 94692 |  | 1686465 |
|  Park Aerospace Corp. | 31735 |  | 425566 |
|  Quaker Chemical Corp. | 21376 |  | 3567654 |
|  Stepan Co. | 32409 |  | 3450262 |
|  Trinseo PLC | 55198 |  | 1253547 |
|  Tronox Holdings PLC, Class A | 184598 |  | 2530839 |
|  |  |  | 28959420 |
| **Coal — 0.4%** | **Coal — 0.4%** | **Coal — 0.4%** | **Coal — 0.4%** |
|  Arch Resources, Inc. | 23143 |  | 3304589 |
|  CONSOL Energy, Inc. | 54161 |  | 3520465 |
|  Peabody Energy Corp.<sup>(a)</sup> | 185773 |  | 4908123 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Coal (continued)** | **Coal (continued)** | **Coal (continued)** | **Coal (continued)** |
|  Ramaco Resources, Inc. | 33989 | $| 298763 |
|  Warrior Met Coal, Inc. | 81254 |  | 2814638 |
|  |  |  | 14846578 |
| **Commercial Banks — 0.1%** | **Commercial Banks — 0.1%** | **Commercial Banks — 0.1%** | **Commercial Banks — 0.1%** |
|  Dime Community Bancshares, Inc. | 51346 |  | 1634343 |
|  HomeTrust Bancshares, Inc. | 22705 |  | 548780 |
|  |  |  | 2183123 |
| **Commercial Finance & Mortgage Companies — 0.3%** | **Commercial Finance & Mortgage Companies — 0.3%** | **Commercial Finance & Mortgage Companies — 0.3%** | **Commercial Finance & Mortgage Companies — 0.3%** |
|  Federal Agricultural Mortgage Corp., Class C | 14559 |  | 1640945 |
|  Pathward Financial, Inc. | 43148 |  | 1857521 |
|  PennyMac Financial Services, Inc. | 41666 |  | 2360796 |
|  RE/MAX Holdings, Inc., Class A | 29696 |  | 553534 |
|  Velocity Financial, Inc.<sup>(a)</sup> | 17616 |  | 169994 |
|  Walker & Dunlop, Inc. | 48432 |  | 3800943 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10383733 |
| **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** |
|  ACV Auctions, Inc., Class A<sup>(a)(b)</sup> | 184458 |  | 1514400 |
|  Aris Water Solution, Inc., Class A | 34177 |  | 492490 |
|  Information Services Group, Inc. | 54901 |  | 252545 |
|  Li-Cycle Holdings Corp.<sup>(a)(b)</sup> | 213197 |  | 1014818 |
|  National Research Corp. | 22029 |  | 821682 |
|  |  |  | 4095935 |
| **Commercial Services: Rental & Leasing — 0.8%** | **Commercial Services: Rental & Leasing — 0.8%** | **Commercial Services: Rental & Leasing — 0.8%** | **Commercial Services: Rental & Leasing — 0.8%** |
|  GATX Corp. | 54732 |  | 5820201 |
|  GMS, Inc.<sup>(a)</sup> | 64867 |  | 3230377 |
|  H&E Equipment Services, Inc.<sup>(b)</sup> | 50095 |  | 2274313 |
|  Herc Holdings, Inc. | 39188 |  | 5155965 |
|  McGrath RentCorp | 38231 |  | 3774929 |
|  NOW, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;174040 |  | 2210308 |
|  Rush Enterprises, Inc., Class B | 10219 |  | 575023 |
|  Triton International Ltd. | 90354 |  | 6214548 |
|  |  |  | 29255664 |
| **Commercial Vehicles & Parts — 0.3%** | **Commercial Vehicles & Parts — 0.3%** | **Commercial Vehicles & Parts — 0.3%** | **Commercial Vehicles & Parts — 0.3%** |
|  Blue Bird Corp.<sup>(a)(b)</sup> | 27405 |  | 293507 |
|  Miller Industries, Inc. | 17488 |  | 466230 |
|  Modine Manufacturing Co.<sup>(a)</sup> | 78515 |  | 1559308 |
|  Motorcar Parts of America, Inc.<sup>(a)</sup> | 29868 |  | 354234 |
|  REV Group, Inc. | 53240 |  | 671889 |
|  Rush Enterprises, Inc., Class A | 65013 |  | 3398880 |
|  Shyft Group, Inc. | 54259 |  | 1348879 |
|  Wabash National Corp. | 73031 |  | 1650501 |
|  |  |  | 9743428 |
| **Communications Equipment<sup>(a)(b)</sup> — 0.1%** | **Communications Equipment<sup>(a)(b)</sup> — 0.1%** | **Communications Equipment<sup>(a)(b)</sup> — 0.1%** | **Communications Equipment<sup>(a)(b)</sup> — 0.1%** |
|  CommScope Holding Co., Inc. | 323623 |  | 2378629 |
|  Ondas Holdings, Inc. | 60819 |  | 96702 |
|  |  |  | 2475331 |
| **Communications Technology — 0.9%** | **Communications Technology — 0.9%** | **Communications Technology — 0.9%** | **Communications Technology — 0.9%** |
|  908 Devices, Inc.<sup>(a)(b)</sup> | 35127 |  | 267668 |
|  AdTheorent Holding Co., Inc.<sup>(a)</sup> | 58110 |  | 96463 |
|  ADTRAN Holdings, Inc. | 118802 |  | 2232290 |
|  Anterix, Inc.<sup>(a)</sup> | 29042 |  | 934281 |
|  Avaya Holdings Corp.<sup>(a)(b)</sup> | 128969 |  | 25278 |
|  Aviat Networks, Inc.<sup>(a)(b)</sup> | 10089 |  | 314676 |
|  Bandwidth, Inc., Class A<sup>(a)(b)</sup> | 35910 |  | 824134 |
|  Calix, Inc.<sup>(a)(b)</sup> | 89574 |  | 6129549 |
|  Casa Systems, Inc.<sup>(a)</sup> | 55675 |  | 151993 |
|  Comtech Telecommunications Corp. | 41372 |  | 502256 |
|  Digi International, Inc.<sup>(a)</sup> | 53918 |  | 1970703 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 79

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Communications Technology (continued)** | **Communications Technology (continued)** | **Communications Technology (continued)** | **Communications Technology (continued)** |
|  DZS, Inc.<sup>(a)</sup> | 27899 | $| 353759 |
|  EchoStar Corp., Class A<sup>(a)</sup> | 54126 |  | 902822 |
|  Extreme Networks, Inc.<sup>(a)</sup> | 199259 |  | 3648432 |
|  Harmonic, Inc.<sup>(a)</sup> | 145028 |  | 1899867 |
|  Infinera Corp.<sup>(a)(b)</sup> | 298676 |  | 2013076 |
|  Inseego Corp.<sup>(a)(b)</sup> | 146601 |  | 123511 |
|  InterDigital, Inc. | 46856 |  | 2318435 |
|  Maxar Technologies, Inc.<sup>(b)</sup> | 116055 |  | 6004686 |
|  NETGEAR, Inc.<sup>(a)</sup> | 45468 |  | 823425 |
|  Ooma, Inc.<sup>(a)</sup> | 36146 |  | 492308 |
|  Ribbon Communications, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110086 |  | 307140 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32336752 |
| **Computer Services Software & Systems — 4.8%** | **Computer Services Software & Systems — 4.8%** | **Computer Services Software & Systems — 4.8%** | **Computer Services Software & Systems — 4.8%** |
|  A10 Networks, Inc. | 98630 |  | 1640217 |
|  ACI Worldwide, Inc.<sup>(a)</sup> | 173652 |  | 3993996 |
|  Adeia, Inc. | 166633 |  | 1579681 |
|  Alarm.com Holdings, Inc.<sup>(a)</sup> | 75890 |  | 3755037 |
|  Alkami Technology, Inc.<sup>(a)(b)</sup> | 58228 |  | 849546 |
|  Altair Engineering, Inc., Class A<sup>(a)(b)</sup> | 82008 |  | 3728904 |
|  American Software, Inc., Class A | 49361 |  | 724619 |
|  Appfolio, Inc., Class A<sup>(a)</sup> | 30059 |  | 3167617 |
|  Appian Corp., Class A<sup>(a)</sup> | 63168 |  | 2056750 |
|  Applied Digital Corp.<sup>(a)</sup> | 78303 |  | 144077 |
|  Asana, Inc., Class A<sup>(a)(b)</sup> | 116201 |  | 1600088 |
|  Aterian, Inc.<sup>(a)</sup> | 94084 |  | 72473 |
|  Avid Technology, Inc.<sup>(a)</sup> | 53751 |  | 1429239 |
|  Benefitfocus, Inc.<sup>(a)(b)</sup> | 39344 |  | 411538 |
|  BigCommerce Holdings, Inc., Series-1<sup>(a)(b)</sup> | 100875 |  | 881647 |
|  Blackbaud, Inc.<sup>(a)</sup> | 73289 |  | 4313791 |
|  Blackline, Inc.<sup>(a)(b)</sup> | 87155 |  | 5862917 |
|  Blucora, Inc.<sup>(a)</sup> | 75131 |  | 1918094 |
|  Box, Inc., Class A<sup>(a)</sup> | 220637 |  | 6868430 |
|  Brightcove, Inc.<sup>(a)</sup> | 64907 |  | 339464 |
|  Cargurus, Inc.<sup>(a)(b)</sup> | 161035 |  | 2256100 |
|  Cerence, Inc.<sup>(a)</sup> | 62394 |  | 1156161 |
|  Cleanspark, Inc.<sup>(a)(b)</sup> | 76971 |  | 157021 |
|  CommVault Systems, Inc.<sup>(a)</sup> | 70251 |  | 4414573 |
|  CSG Systems International, Inc. | 47966 |  | 2743655 |
|  Digimarc Corp.<sup>(a)(b)</sup> | 21894 |  | 404820 |
|  Digital Turbine, Inc.<sup>(a)</sup> | 148158 |  | 2257928 |
|  DigitalOcean Holdings, Inc.<sup>(a)(b)</sup> | 110051 |  | 2802999 |
|  Domo, Inc., Class B<sup>(a)</sup> | 48416 |  | 689444 |
|  E2open Parent Holdings, Inc.<sup>(a)(b)</sup> | 313292 |  | 1839024 |
|  Ebix, Inc. | 41582 |  | 829977 |
|  Edgio, Inc.<sup>(a)</sup> | 215777 |  | 243828 |
|  Envestnet, Inc.<sup>(a)</sup> | 83050 |  | 5124185 |
|  ePlus, Inc.<sup>(a)</sup> | 41671 |  | 1845192 |
|  Eventbrite, Inc., Class A<sup>(a)</sup> | 119924 |  | 702755 |
|  Everbridge, Inc.<sup>(a)</sup> | 62459 |  | 1847537 |
|  EverQuote, Inc., Class A<sup>(a)(b)</sup> | 31499 |  | 464295 |
|  Evolent Health, Inc., Class A<sup>(a)</sup> | 129345 |  | 3632008 |
|  fuboTV, Inc.<sup>(a)(b)</sup> | 286544 |  | 498587 |
|  Grid Dynamics Holdings, Inc.<sup>(a)</sup> | 83773 |  | 939933 |
|  Groupon, Inc.<sup>(a)(b)</sup> | 36579 |  | 313848 |
|  LivePerson, Inc.<sup>(a)</sup> | 110909 |  | 1124617 |
|  LiveRamp Holdings, Inc.<sup>(a)</sup> | 104234 |  | 2443245 |
|  Magnite, Inc.<sup>(a)(b)</sup> | 206506 |  | 2186899 |
|  Marathon Digital Holdings, Inc.<sup>(a)(b)</sup> | 173343 |  | 592833 |
|  MicroStrategy, Inc., Class A<sup>(a)(b)</sup> | 14846 |  | 2101748 |
|  Mitek Systems, Inc.<sup>(a)</sup> | 66630 |  | 645645 |
|  Momentive Global, Inc.<sup>(a)(b)</sup> | 204407 |  | 1430849 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Computer Services Software & Systems (continued)** | **Computer Services Software & Systems (continued)** | **Computer Services Software & Systems (continued)** | **Computer Services Software & Systems (continued)** |
|  Multiplan Corp.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;601228 | $| 691412 |
|  NetScout Systems, Inc.<sup>(a)</sup> | 107819 |  | 3505196 |
|  ON24, Inc.<sup>(a)</sup> | 63216 |  | 545554 |
|  OneSpan, Inc.<sup>(a)</sup> | 62235 |  | 696410 |
|  Ouster, Inc.<sup>(a)(b)</sup> | 220786 |  | 190538 |
|  PagerDuty, Inc.<sup>(a)(b)</sup> | 134251 |  | 3565707 |
|  PAR Technology Corp.<sup>(a)(b)</sup> | 42057 |  | 1096426 |
|  Parsons Corp.<sup>(a)</sup> | 53086 |  | 2455227 |
|  Paya Holdings, Inc.<sup>(a)</sup> | 138061 |  | 1086540 |
|  PDF Solutions, Inc.<sup>(a)</sup> | 46905 |  | 1337731 |
|  Perficient, Inc.<sup>(a)</sup> | 53914 |  | 3764815 |
|  Progress Software Corp. | 66718 |  | 3365923 |
|  PROS Holdings, Inc.<sup>(a)</sup> | 65507 |  | 1589200 |
|  Q2 Holdings, Inc.<sup>(a)</sup> | 88150 |  | 2368590 |
|  Rackspace Technology, Inc.<sup>(a)(b)</sup> | 89351 |  | 263585 |
|  Rapid7, Inc.<sup>(a)(b)</sup> | 91653 |  | 3114369 |
|  Red Violet, Inc.<sup>(a)</sup> | 14638 |  | 336967 |
|  Rimini Street, Inc.<sup>(a)</sup> | 75101 |  | 286135 |
|  Riot Blockchain, Inc.<sup>(a)(b)</sup> | 242650 |  | 822583 |
|  Sapiens International Corp. NV | 48968 |  | 904929 |
|  Schrodinger, Inc.<sup>(a)(b)</sup> | 86286 |  | 1612685 |
|  SecureWorks Corp., Class A<sup>(a)</sup> | 13813 |  | 88265 |
|  ShotSpotter, Inc.<sup>(a)</sup> | 14683 |  | 496726 |
|  Shutterstock, Inc. | 38264 |  | 2017278 |
|  Simulations Plus, Inc. | 25013 |  | 914725 |
|  Sprout Social, Inc., Class A<sup>(a)</sup> | 73652 |  | 4158392 |
|  SPS Commerce, Inc.<sup>(a)</sup> | 57225 |  | 7349407 |
|  Sumo Logic, Inc.<sup>(a)</sup> | 181306 |  | 1468579 |
|  TechTarget, Inc.<sup>(a)(b)</sup> | 43026 |  | 1895726 |
|  Telos Corp.<sup>(a)</sup> | 87285 |  | 444281 |
|  Tenable Holdings, Inc.<sup>(a)</sup> | 175293 |  | 6687428 |
|  Tucows, Inc., Class A<sup>(a)(b)</sup> | 15374 |  | 521486 |
|  Unisys Corp.<sup>(a)</sup> | 105434 |  | 538768 |
|  Upland Software, Inc.<sup>(a)</sup> | 45169 |  | 322055 |
|  Upwork, Inc.<sup>(a)(b)</sup> | 189177 |  | 1975008 |
|  Varonis Systems, Inc.<sup>(a)</sup> | 171907 |  | 4115454 |
|  Verint Systems, Inc.<sup>(a)</sup> | 100398 |  | 3642439 |
|  Veritone, Inc.<sup>(a)(b)</sup> | 48924 |  | 259297 |
|  Verra Mobility Corp.<sup>(a)(b)</sup> | 217987 |  | 3014760 |
|  Viant Technology, Inc., Class A<sup>(a)(b)</sup> | 18892 |  | 75946 |
|  Workiva, Inc.<sup>(a)</sup> | 75230 |  | 6317063 |
|  Yelp, Inc.<sup>(a)</sup> | 104828 |  | 2865997 |
|  Yext, Inc.<sup>(a)(b)</sup> | 179672 |  | 1173258 |
|  Zuora, Inc., Class A<sup>(a)(b)</sup> | 191900 |  | 1220484 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176191175 |
| **Computer Technology — 0.7%** |  |  |  |
|  3D Systems Corp.<sup>(a)</sup> | 199924 |  | 1479437 |
|  Cantaloupe, Inc.<sup>(a)</sup> | 91146 |  | 396485 |
|  Corsair Gaming, Inc.<sup>(a)</sup> | 59893 |  | 812748 |
|  Diebold Nixdorf, Inc.<sup>(a)(b)</sup> | 112326 |  | 159503 |
|  Identiv, Inc.<sup>(a)</sup> | 33764 |  | 244451 |
|  Impinj, Inc.<sup>(a)(b)</sup> | 33798 |  | 3690066 |
|  Insight Enterprises, Inc.<sup>(a)</sup> | 49552 |  | 4968579 |
|  PC Connection, Inc. | 17574 |  | 824221 |
|  Super Micro Computer, Inc.<sup>(a)</sup> | 72477 |  | 5950362 |
|  Synaptics, Inc.<sup>(a)</sup> | 62597 |  | 5956730 |
|  |  |  | 24482582 |
| **Construction — 0.5%** | **Construction — 0.5%** | **Construction — 0.5%** | **Construction — 0.5%** |
|  Construction Partners, Inc., Class A<sup>(a)</sup> | 62592 |  | 1670580 |
|  EMCOR Group, Inc. | 73547 |  | 10893046 |
|  Granite Construction, Inc. | 69811 |  | 2448272 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Construction (continued)** | **Construction (continued)** | **Construction (continued)** | **Construction (continued)** |
|  Great Lakes Dredge & Dock Corp.<sup>(a)</sup> | 102455 | $| 609607 |
|  Primoris Services Corp. | 83699 |  | 1836356 |
|  Sterling Infrastructure, Inc.<sup>(a)(b)</sup> | 46826 |  | 1535893 |
|  Tutor Perini Corp.<sup>(a)</sup> | 66361 |  | 501026 |
|  |  |  | 19494780 |
| **Consumer Electronics<sup>(a)</sup> — 0.1%** | **Consumer Electronics<sup>(a)</sup> — 0.1%** | **Consumer Electronics<sup>(a)</sup> — 0.1%** | **Consumer Electronics<sup>(a)</sup> — 0.1%** |
|  Sonos, Inc. | 201377 |  | 3403271 |
|  Universal Electronics, Inc. | 18452 |  | 383986 |
|  Vuzix Corp.<sup>(b)</sup> | 93896 |  | 341782 |
|  |  |  | 4129039 |
| **Consumer Finance<sup>(a)</sup> — 0.0%** | **Consumer Finance<sup>(a)</sup> — 0.0%** | **Consumer Finance<sup>(a)</sup> — 0.0%** | **Consumer Finance<sup>(a)</sup> — 0.0%** |
|  Consumer Portfolio Services, Inc. | 17579 |  | 155574 |
|  Moneylion, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;223276 |  | 138431 |
|  NerdWallet, Inc., Class A | 39578 |  | 379949 |
|  OppFi, Inc.<sup>(b)</sup> | 20875 |  | 42794 |
|  Sunlight Financial Holdings, Inc. | 37549 |  | 48438 |
|  |  |  | 765186 |
| **Consumer Lending — 0.5%** | **Consumer Lending — 0.5%** | **Consumer Lending — 0.5%** | **Consumer Lending — 0.5%** |
|  Curo Group Holdings Corp. | 32093 |  | 113930 |
|  Encore Capital Group, Inc.<sup>(a)</sup> | 35432 |  | 1698610 |
|  Enova International, Inc.<sup>(a)(b)</sup> | 46722 |  | 1792723 |
|  Ezcorp, Inc., Class A<sup>(a)(b)</sup> | 77749 |  | 633654 |
|  LendingTree, Inc.<sup>(a)</sup> | 16206 |  | 345674 |
|  Marcus & Millichap, Inc. | 39824 |  | 1371937 |
|  MoneyGram International, Inc.<sup>(a)</sup> | 147405 |  | 1605240 |
|  Navient Corp. | 164817 |  | 2711240 |
|  Nelnet, Inc., Class A | 22944 |  | 2082168 |
|  Oportun Financial Corp.<sup>(a)</sup> | 42970 |  | 236765 |
|  PRA Group, Inc.<sup>(a)</sup> | 60463 |  | 2042440 |
|  PROG Holdings, Inc.<sup>(a)</sup> | 79947 |  | 1350305 |
|  Regional Management Corp. | 11998 |  | 336904 |
|  World Acceptance Corp.<sup>(a)</sup> | 6330 |  | 417400 |
|  |  |  | 16738990 |
| **Consumer Services: Miscellaneous — 0.3%** | **Consumer Services: Miscellaneous — 0.3%** | **Consumer Services: Miscellaneous — 0.3%** | **Consumer Services: Miscellaneous — 0.3%** |
|  Cars.com, Inc.<sup>(a)(b)</sup> | 106354 |  | 1464495 |
|  Chuy's Holdings, Inc.<sup>(a)</sup> | 29747 |  | 841840 |
|  FirstCash Holdings, Inc. | 59105 |  | 5136816 |
|  Franchise Group, Inc. | 39159 |  | 932767 |
|  KAR Auction Services, Inc.<sup>(a)</sup> | 168068 |  | 2193287 |
|  Udemy, Inc.<sup>(a)</sup> | 113853 |  | 1201149 |
|  WW International, Inc.<sup>(a)</sup> | 87231 |  | 336712 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12107066 |
| **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** |
|  Cryptyde, Inc.<sup>(a)</sup> | 28356 |  | 5436 |
|  Greif, Inc., Class A | 38345 |  | 2571416 |
|  Greif, Inc., Class B | 8371 |  | 654863 |
|  Myers Industries, Inc. | 57255 |  | 1272779 |
|  O-I Glass, Inc.<sup>(a)</sup> | 245597 |  | 4069542 |
|  Pactiv Evergreen, Inc. | 67071 |  | 761926 |
|  Ranpak Holdings Corp.<sup>(a)(b)</sup> | 68534 |  | 395441 |
|  UFP Technologies, Inc.<sup>(a)</sup> | 10865 |  | 1280875 |
|  Veritiv Corp. | 20224 |  | 2461463 |
|  |  |  | 13473741 |
| **Cosmetics — 0.2%** | **Cosmetics — 0.2%** | **Cosmetics — 0.2%** | **Cosmetics — 0.2%** |
|  elf Beauty, Inc.<sup>(a)</sup> | 76391 |  | 4224422 |
|  Inter Parfums, Inc. | 28326 |  | 2734026 |
|  |  |  | 6958448 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Diversified Consumer Services<sup>(a)</sup> — 0.2%** | **Diversified Consumer Services<sup>(a)</sup> — 0.2%** | **Diversified Consumer Services<sup>(a)</sup> — 0.2%** |
|  Beachbody Co., Inc. | 161696 | $85052 |
|  Duolingo, Inc. | 37146 | 2642195 |
|  Frontdoor, Inc. | 130617 | 2716834 |
|  Nerdy, Inc.<sup>(b)</sup> | 83730 | 188392 |
|  Rover Group, Inc. | 143981 | 528410 |
|  |  | 6160883 |
| **Diversified Financial Services — 0.8%** | **Diversified Financial Services — 0.8%** | **Diversified Financial Services — 0.8%** |
|  Alerus Financial Corp. | 24233 | 565841 |
|  Associated Capital Group, Inc., Class A | 3113 | 130715 |
|  Cannae Holdings, Inc.<sup>(a)</sup> | 107514 | 2220164 |
|  Compass Diversified Holdings | 97146 | 1770972 |
|  European Wax Center, Inc., Class A | 38668 | 481417 |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 136727 | 3962348 |
|  Houlihan Lokey, Inc. | 78124 | 6809288 |
|  Jackson Financial, Inc., Class A | 116716 | 4060550 |
|  MBIA, Inc.<sup>(a)</sup> | 74515 | 957518 |
|  MidWestOne Financial Group, Inc. | 22466 | 713295 |
|  Moelis & Co., Class A | 100573 | 3858986 |
|  Piper Sandler Cos., | 26818 | 3491435 |
|  SWK Holdings Corp.<sup>(a)</sup> | 5499 | 97002 |
|  Tiptree, Inc.<sup>(b)</sup> | 40535 | 561004 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29680535 |
| **Diversified Manufacturing Operations — 0.5%** | **Diversified Manufacturing Operations — 0.5%** | **Diversified Manufacturing Operations — 0.5%** |
|  Barnes Group, Inc. | 77256 | 3155907 |
|  Custom Truck One Source, Inc.<sup>(a)</sup> | 92336 | 583563 |
|  Enerpac Tool Group Corp. | 88233 | 2245530 |
|  Federal Signal Corp. | 94261 | 4380309 |
|  Harsco Corp.<sup>(a)</sup> | 125601 | 790030 |
|  Luxfer Holdings PLC | 43897 | 602267 |
|  OSI Systems, Inc.<sup>(a)</sup> | 25555 | 2032134 |
|  PowerSchool Holdings, Inc., Class A<sup>(a)</sup> | 72609 | 1675816 |
|  Standex International Corp. | 18748 | 1919983 |
|  TriMas Corp. | 66087 | 1833253 |
|  |  | 19218792 |
| **Diversified Materials & Processing — 0.4%** | **Diversified Materials & Processing — 0.4%** | **Diversified Materials & Processing — 0.4%** |
|  Belden, Inc. | 65878 | 4736628 |
|  Encore Wire Corp. | 27625 | 3800095 |
|  Insteel Industries, Inc. | 29882 | 822353 |
|  Koppers Holdings, Inc. | 32047 | 903725 |
|  NL Industries, Inc. | 14377 | 97907 |
|  Tredegar Corp. | 43945 | 449118 |
|  Uranium Energy Corp.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;548063 | 2126485 |
|  |  | 12936311 |
| **Diversified Media — 0.0%** | **Diversified Media — 0.0%** | **Diversified Media — 0.0%** |
|  EW Scripps Co., Class A<sup>(a)</sup> | 92275 | 1217107 |
| **Diversified Retail — 0.3%** | **Diversified Retail — 0.3%** | **Diversified Retail — 0.3%** |
|  Big Lots, Inc. | 45365 | 666866 |
|  Dillard's, Inc., Class A | 6204 | 2005133 |
|  Duluth Holdings, Inc., Class B<sup>(a)(b)</sup> | 21183 | 130911 |
|  Global Industrial Co. | 20148 | 474082 |
|  Overstock.com, Inc.<sup>(a)(b)</sup> | 66903 | 1295242 |
|  Porch Group, Inc.<sup>(a)(b)</sup> | 129953 | 244312 |
|  PriceSmart, Inc. | 38825 | 2359783 |
|  Revolve Group, Inc.<sup>(a)(b)</sup> | 64387 | 1433255 |
|  Stitch Fix, Inc., Class A<sup>(a)</sup> | 126949 | 394811 |
|  Winmark Corp. | 4404 | 1038595 |
|  |  | 10042990 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 81

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** |
|  Charge Enterprises, Inc.<sup>(a)(b)</sup> | 207979 | $257894 |
| **Drug & Grocery Store Chains — 0.3%** | **Drug & Grocery Store Chains — 0.3%** | **Drug & Grocery Store Chains — 0.3%** |
|  Ingles Markets, Inc., Class A | 22415 | 2162151 |
|  PetMed Express, Inc. | 31341 | 554736 |
|  Rite Aid Corp.<sup>(a)</sup> | 86181 | 287845 |
|  Sprouts Farmers Market, Inc.<sup>(a)</sup> | 165785 | 5366460 |
|  Village Super Market, Inc., Class A | 13818 | 321821 |
|  Weis Markets, Inc.<sup>(b)</sup> | 25880 | 2129665 |
|  |  | 10822678 |
| **Education Services — 0.7%** | **Education Services — 0.7%** | **Education Services — 0.7%** |
|  2U, Inc.<sup>(a)(b)</sup> | 118610 | 743685 |
|  Adtalem Global Education, Inc.<sup>(a)</sup> | 70801 | 2513435 |
|  American Public Education, Inc.<sup>(a)</sup> | 30013 | 368860 |
|  Chegg, Inc.<sup>(a)</sup> | 196273 | 4959819 |
|  Coursera, Inc.<sup>(a)</sup> | 180047 | 2129956 |
|  Franklin Covey Co.<sup>(a)</sup> | 18892 | 883579 |
|  Graham Holdings Co., Class B | 5661 | 3420433 |
|  HealthStream, Inc.<sup>(a)</sup> | 38135 | 947273 |
|  Laureate Education, Inc., Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214325 | 2061807 |
|  Perdoceo Education Corp.<sup>(a)</sup> | 105296 | 1463614 |
|  Strategic Education, Inc. | 35827 | 2805971 |
|  Stride, Inc.<sup>(a)(b)</sup> | 64051 | 2003515 |
|  Universal Technical Institute, Inc.<sup>(a)(b)</sup> | 50302 | 338029 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24639976 |
| **Electrical Equipment<sup>(a)</sup> — 0.3%** | **Electrical Equipment<sup>(a)</sup> — 0.3%** | **Electrical Equipment<sup>(a)</sup> — 0.3%** |
|  Energy Vault Holdings, Inc.<sup>(b)</sup> | 128266 | 400190 |
|  Enovix Corp. | 171646 | 2135276 |
|  ESS Tech, Inc.<sup>(b)</sup> | 124621 | 302829 |
|  Fluence Energy, Inc.<sup>(b)</sup> | 56654 | 971616 |
|  Heliogen, Inc. | 148599 | 103752 |
|  NuScale Power Corp. | 48577 | 498400 |
|  Shoals Technologies Group, Inc., Class A | 217813 | 5373447 |
|  |  | 9785510 |
| **Electronic Components — 0.8%** | **Electronic Components — 0.8%** | **Electronic Components — 0.8%** |
|  AEye, Inc.<sup>(a)(b)</sup> | 128643 | 61826 |
|  Array Technologies, Inc.<sup>(a)</sup> | 237900 | 4598607 |
|  Methode Electronics, Inc. | 57207 | 2538275 |
|  MicroVision, Inc.<sup>(a)(b)</sup> | 263286 | 618722 |
|  Novanta, Inc.<sup>(a)</sup> | 56054 | 7616057 |
|  Rogers Corp.<sup>(a)</sup> | 29335 | 3500839 |
|  Sanmina Corp.<sup>(a)</sup> | 88640 | 5078186 |
|  ScanSource, Inc.<sup>(a)(b)</sup> | 40025 | 1169531 |
|  Stem, Inc.<sup>(a)(b)</sup> | 227396 | 2032920 |
|  TTM Technologies, Inc.<sup>(a)</sup> | 159906 | 2411382 |
|  Velodyne Lidar, Inc.<sup>(a)(b)</sup> | 298311 | 220362 |
|  |  | 29846707 |
| **Electronic Entertainment — 0.0%** | **Electronic Entertainment — 0.0%** | **Electronic Entertainment — 0.0%** |
|  Turtle Beach Corp.<sup>(a)(b)</sup> | 23215 | 166451 |
|  Via Renewables, Inc. | 18805 | 96094 |
|  |  | 262545 |
| **Electronic Equipment, Instruments & Components<sup>(a)</sup> — 0.1%** | **Electronic Equipment, Instruments & Components<sup>(a)</sup> — 0.1%** | **Electronic Equipment, Instruments & Components<sup>(a)</sup> — 0.1%** |
|  Evolv Technologies Holdings, Inc. | 129862 | 336343 |
|  Focus Universal, Inc. | 27347 | 175294 |
|  Lightwave Logic, Inc.<sup>(b)</sup> | 178209 | 768081 |
|  Mirion Technologies, Inc.<sup>(b)</sup> | 217708 | 1439050 |
|  SmartRent, Inc. | 198503 | 482362 |
|  |  | 3201130 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Electronics<sup>(a)</sup> — 0.2%** | **Electronics<sup>(a)</sup> — 0.2%** | **Electronics<sup>(a)</sup> — 0.2%** |
|  Agilysys, Inc. | 31189 | $2468297 |
|  Integer Holdings Corp. | 51988 | 3559099 |
|  iRobot Corp. | 42346 | 2038113 |
|  nLight, Inc. | 70476 | 714627 |
|  |  | 8780136 |
| **Energy Equipment — 0.9%** | **Energy Equipment — 0.9%** | **Energy Equipment — 0.9%** |
|  API Group Corp.<sup>(a)</sup> | 326480 | 6141089 |
|  Arcosa, Inc. | 76439 | 4153695 |
|  Bloom Energy Corp., Class A<sup>(a)</sup> | 281765 | 5387347 |
|  Diamond Offshore Drilling, Inc.<sup>(a)(b)</sup> | 159661 | 1660474 |
|  Expro Group Holdings NV<sup>(a)</sup> | 122321 | 2217680 |
|  FuelCell Energy, Inc.<sup>(a)(b)</sup> | 633961 | 1762412 |
|  Matador Resources Co. | 177624 | 10167198 |
|  SunPower Corp.<sup>(a)(b)</sup> | 129114 | 2327925 |
|  TPI Composites, Inc.<sup>(a)</sup> | 57057 | 578558 |
|  |  | 34396378 |
| **Energy Equipment & Services<sup>(a)</sup> — 0.4%** | **Energy Equipment & Services<sup>(a)</sup> — 0.4%** | **Energy Equipment & Services<sup>(a)</sup> — 0.4%** |
|  Borr Drilling Ltd. | 306527 | 1523439 |
|  Valaris Ltd. | 96128 | 6500175 |
|  Weatherford International PLC | 111529 | 5679057 |
|  |  | 13702671 |
| **Engineering & Contracting Services — 0.7%** | **Engineering & Contracting Services — 0.7%** | **Engineering & Contracting Services — 0.7%** |
|  Argan, Inc. | 21646 | 798304 |
|  Dycom Industries, Inc.<sup>(a)</sup> | 45567 | 4265071 |
|  Exponent, Inc. | 79427 | 7870421 |
|  Fluor Corp.<sup>(a)(b)</sup> | 222480 | 7711157 |
|  IES Holdings, Inc.<sup>(a)</sup> | 13540 | 481618 |
|  MYR Group, Inc.<sup>(a)</sup> | 25868 | 2381667 |
|  NETSTREIT Corp. | 81600 | 1495728 |
|  VSE Corp.<sup>(b)</sup> | 16729 | 784256 |
|  Willdan Group, Inc.<sup>(a)</sup> | 17989 | 321104 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26109326 |
| **Entertainment<sup>(a)</sup> — 0.2%** | **Entertainment<sup>(a)</sup> — 0.2%** | **Entertainment<sup>(a)</sup> — 0.2%** |
|  Cinemark Holdings, Inc.<sup>(b)</sup> | 171308 | 1483527 |
|  Golden Entertainment, Inc. | 31644 | 1183486 |
|  IMAX Corp.<sup>(b)</sup> | 73742 | 1081058 |
|  Lions Gate Entertainment Corp., Class A<sup>(b)</sup> | 94339 | 538676 |
|  Lions Gate Entertainment Corp., Class B | 182201 | 989351 |
|  Playstudios, Inc.<sup>(b)</sup> | 122426 | 475013 |
|  Reservoir Media, Inc. | 31600 | 188652 |
|  Skillz, Inc.<sup>(b)</sup> | 502465 | 254498 |
|  |  | 6194261 |
| **Environmental, Maintenance, & Security Service — 0.5%** | **Environmental, Maintenance, & Security Service — 0.5%** | **Environmental, Maintenance, & Security Service — 0.5%** |
|  ABM Industries, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102909 | 4571218 |
|  BrightView Holdings, Inc.<sup>(a)</sup> | 68501 | 471972 |
|  Brink's Co. | 70368 | 3779465 |
|  Healthcare Services Group, Inc. | 115841 | 1390092 |
|  IBEX Holdings Ltd.<sup>(a)</sup> | 11848 | 294423 |
|  Montrose Environmental Group, Inc.<sup>(a)(b)</sup> | 43275 | 1920977 |
|  SP Plus Corp.<sup>(a)</sup> | 30048 | 1043267 |
|  UniFirst Corp. | 23624 | 4559196 |
|  Vivint Smart Home, Inc.<sup>(a)(b)</sup> | 149768 | 1782239 |
|  |  | 19812849 |
| **Financial Data & Systems — 0.4%** | **Financial Data & Systems — 0.4%** | **Financial Data & Systems — 0.4%** |
|  Atlanticus Holdings Corp.<sup>(a)(b)</sup> | 7396 | 193775 |
|  Cass Information Systems, Inc. | 21214 | 972026 |
|  Donnelley Financial Solutions, Inc.<sup>(a)(b)</sup> | 40358 | 1559837 |
|  Everi Holdings, Inc.<sup>(a)</sup> | 136141 | 1953623 |
|  EVERTEC, Inc. | 94501 | 3059942 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Financial Data & Systems (continued)** | **Financial Data & Systems (continued)** | **Financial Data & Systems (continued)** | **Financial Data & Systems (continued)** |
|  Evo Payments, Inc., Class A<sup>(a)</sup> | 74619 | $| 2525107 |
|  Green Dot Corp., Class A<sup>(a)</sup> | 71709 |  | 1134436 |
|  I3 Verticals, Inc., Class A<sup>(a)(b)</sup> | 34942 |  | 850488 |
|  International Money Express, Inc.<sup>(a)</sup> | 50513 |  | 1231002 |
|  LendingClub Corp.<sup>(a)</sup> | 161975 |  | 1425380 |
|  Priority Technology Holdings, Inc.<sup>(a)</sup> | 27679 |  | 145592 |
|  Repay Holdings Corp.<sup>(a)(b)</sup> | 138026 |  | 1111109 |
|  Value Line, Inc.<sup>(b)</sup> | 1578 |  | 80289 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16242606 |
| **Food & Staples Retailing — 0.0%** | **Food & Staples Retailing — 0.0%** | **Food & Staples Retailing — 0.0%** | **Food & Staples Retailing — 0.0%** |
|  Natural Grocers by Vitamin Cottage, Inc. | 14822 |  | 135473 |
| **Food Products<sup>(a)</sup> — 0.2%** | **Food Products<sup>(a)</sup> — 0.2%** |  |  |
|  Benson Hill, Inc. | 265305 |  | 676528 |
|  Beyond Meat, Inc.<sup>(b)</sup> | 98027 |  | 1206712 |
|  BRC, Inc.<sup>(b)</sup> | 39661 |  | 242329 |
|  Hain Celestial Group, Inc. | 134667 |  | 2178912 |
|  Local Bounti Corp. | 69287 |  | 96309 |
|  SunOpta, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154093 |  | 1300545 |
|  |  |  | 5701335 |
| **Foods — 1.2%** | **Foods — 1.2%** |  |  |
|  AppHarvest, Inc.<sup>(a)(b)</sup> | 106733 |  | 60560 |
|  B&G Foods, Inc. | 111655 |  | 1244953 |
|  Chefs' Warehouse, Inc.<sup>(a)(b)</sup> | 53805 |  | 1790630 |
|  HF Foods Group, Inc.<sup>(a)</sup> | 54160 |  | 219890 |
|  Hostess Brands, Inc.<sup>(a)</sup> | 209333 |  | 4697433 |
|  J & J Snack Foods Corp. | 23988 |  | 3591244 |
|  John B Sanfilippo & Son, Inc. | 14081 |  | 1145067 |
|  Lancaster Colony Corp. | 30681 |  | 6053361 |
|  Medifast, Inc. | 17073 |  | 1969371 |
|  Mission Produce, Inc.<sup>(a)</sup> | 62419 |  | 725309 |
|  Nature's Sunshine Products, Inc.<sup>(a)</sup> | 19301 |  | 160584 |
|  Seneca Foods Corp., Class A<sup>(a)</sup> | 8506 |  | 518441 |
|  Simply Good Foods Co.<sup>(a)</sup> | 139182 |  | 5293091 |
|  Sovos Brands, Inc.<sup>(a)</sup> | 61819 |  | 888339 |
|  SpartanNash Co. | 53204 |  | 1608889 |
|  Tattooed Chef, Inc.<sup>(a)(b)</sup> | 78079 |  | 96037 |
|  Tootsie Roll Industries, Inc. | 24880 |  | 1059142 |
|  TreeHouse Foods, Inc.<sup>(a)</sup> | 80254 |  | 3962943 |
|  United Natural Foods, Inc.<sup>(a)(b)</sup> | 91703 |  | 3549823 |
|  Utz Brands, Inc. | 103693 |  | 1644571 |
|  Vita Coco Co., Inc.<sup>(a)(b)</sup> | 43072 |  | 595255 |
|  Vital Farms, Inc.<sup>(a)</sup> | 46307 |  | 690900 |
|  Whole Earth Brands, Inc.<sup>(a)</sup> | 61190 |  | 249043 |
|  |  |  | 41814876 |
| **Forest Products — 0.3%** | **Forest Products — 0.3%** | **Forest Products — 0.3%** | **Forest Products — 0.3%** |
|  Boise Cascade Co. | 61165 |  | 4200201 |
|  UFP Industries, Inc. | 93208 |  | 7386734 |
|  |  |  | 11586935 |
| **Forms & Bulk Printing Services — 0.1%** | **Forms & Bulk Printing Services — 0.1%** | **Forms & Bulk Printing Services — 0.1%** | **Forms & Bulk Printing Services — 0.1%** |
|  Deluxe Corp. | 67704 |  | 1149614 |
|  Ennis, Inc. | 39690 |  | 879531 |
|  Quad/Graphics, Inc.<sup>(a)</sup> | 53805 |  | 219524 |
|  |  |  | 2248669 |
| **Fruit & Grain Processing — 0.1%** | **Fruit & Grain Processing — 0.1%** | **Fruit & Grain Processing — 0.1%** | **Fruit & Grain Processing — 0.1%** |
|  MGP Ingredients, Inc. | 22149 |  | 2356211 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Funeral Parlors & Cemeteries — 0.2%** | **Funeral Parlors & Cemeteries — 0.2%** | **Funeral Parlors & Cemeteries — 0.2%** |
|  Carriage Services, Inc. | 20795 | $572694 |
|  Hillenbrand, Inc. | 107332 | 4579857 |
|  Matthews International Corp., Class A | 47144 | 1435063 |
|  |  | 6587614 |
| **Gas Pipeline — 0.2%** | **Gas Pipeline — 0.2%** | **Gas Pipeline — 0.2%** |
|  Equitrans Midstream Corp. | 648750 | 4346625 |
|  Kinetik Holdings, Inc., Class A | 25969 | 859055 |
|  NextDecade Corp.<sup>(a)</sup> | 53066 | 262146 |
|  |  | 5467826 |
| **Glass — 0.0%** | **Glass — 0.0%** | **Glass — 0.0%** |
|  Apogee Enterprises, Inc. | 35060 | 1558768 |
| **Gold<sup>(a)</sup> — 0.1%** | **Gold<sup>(a)</sup> — 0.1%** | **Gold<sup>(a)</sup> — 0.1%** |
|  Coeur Mining, Inc.<sup>(b)</sup> | 439586 | 1477009 |
|  Novagold Resources, Inc. | 377361 | 2256619 |
|  |  | 3733628 |
| **Health Care Equipment & Services<sup>(b)</sup> — 0.1%** | **Health Care Equipment & Services<sup>(b)</sup> — 0.1%** | **Health Care Equipment & Services<sup>(b)</sup> — 0.1%** |
|  Embecta Corp. | 91838 | 2322583 |
|  Figs, Inc., Class A<sup>(a)</sup> | 203573 | 1370046 |
|  |  | 3692629 |
| **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** |
|  AbCellera Biologics, Inc.<sup>(a)(b)</sup> | 326736 | 3309836 |
|  Adaptive Biotechnologies Corp.<sup>(a)</sup> | 175900 | 1343876 |
|  Inogen, Inc.<sup>(a)</sup> | 37251 | 734217 |
|  Nano-X Imaging Ltd.<sup>(a)</sup> | 71188 | 525367 |
|  OmniAb, Inc.<sup>(a)(b)</sup> | 116347 | 418849 |
|  OmniAb, Inc.<sup>(c)</sup> | 18006 |  |
|  Paragon 28, Inc.<sup>(a)</sup> | 73287 | 1400515 |
|  PROCEPT BioRobotics Corp.<sup>(a)</sup> | 40392 | 1677884 |
|  Vicarious Surgical, Inc.<sup>(a)</sup> | 84278 | 170242 |
|  Zimvie, Inc.<sup>(a)</sup> | 34331 | 320651 |
|  |  | 9901437 |
| **Health Care Facilities — 0.5%** | **Health Care Facilities — 0.5%** | **Health Care Facilities — 0.5%** |
|  Apollo Medical Holdings, Inc.<sup>(a)(b)</sup> | 61420 | 1817418 |
|  Brookdale Senior Living, Inc.<sup>(a)(b)</sup> | 297695 | 812707 |
|  Ensign Group, Inc. | 85001 | 8041945 |
|  Joint Corp.<sup>(a)</sup> | 23183 | 324098 |
|  LifeStance Health Group, Inc.<sup>(a)(b)</sup> | 116143 | 573746 |
|  National HealthCare Corp. | 20131 | 1197794 |
|  RxSight, Inc.<sup>(a)</sup> | 33786 | 428069 |
|  Select Medical Holdings Corp. | 164292 | 4079370 |
|  Sight Sciences, Inc.<sup>(a)(b)</sup> | 33974 | 414823 |
|  U.S. Physical Therapy, Inc. | 20254 | 1641182 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19331152 |
| **Health Care Management Services<sup>(a)</sup> — 0.5%** | **Health Care Management Services<sup>(a)</sup> — 0.5%** | **Health Care Management Services<sup>(a)</sup> — 0.5%** |
|  1Life Healthcare, Inc.<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284518 | 4754296 |
|  Computer Programs & Systems, Inc. | 22359 | 608612 |
|  Hims & Hers Health, Inc.<sup>(b)</sup> | 194087 | 1244098 |
|  Option Care Health, Inc. | 246629 | 7421066 |
|  Progyny, Inc. | 118042 | 3677008 |
|  |  | 17705080 |
| **Health Care Providers & Services<sup>(a)</sup> —0.2%** | **Health Care Providers & Services<sup>(a)</sup> —0.2%** | **Health Care Providers & Services<sup>(a)</sup> —0.2%** |
|  23andMe Holding Co., Class A<sup>(b)</sup> | 402684 | 869797 |
|  Cano Health, Inc.<sup>(b)</sup> | 257690 | 353035 |
|  CareMax, Inc. | 92130 | 336275 |
|  Clover Health Investments Corp.<sup>(b)</sup> | 603370 | 560832 |
|  DocGo, Inc. | 129455 | 915247 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 83

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Oncology Institute, Inc.<sup>(b)</sup> | 54829 | $| 90468 |
|  P3 Health Partners, Inc.<sup>(b)</sup> | 39295 |  | 72303 |
|  R1 RCM, Inc.<sup>(b)</sup> | 237108 |  | 2596333 |
|  Sema4 Holdings Corp.<sup>(b)</sup> | 244243 |  | 64431 |
|  |  |  | 5858721 |
| **Health Care Services — 1.9%** | **Health Care Services — 1.9%** | **Health Care Services — 1.9%** | **Health Care Services — 1.9%** |
|  Accolade, Inc.<sup>(a)(b)</sup> | 105277 |  | 820108 |
|  Addus HomeCare Corp.<sup>(a)</sup> | 24384 |  | 2425964 |
|  Agiliti, Inc.<sup>(a)(b)</sup> | 43558 |  | 710431 |
|  AirSculpt Technologies, Inc.<sup>(b)</sup> | 18378 |  | 67999 |
|  Alignment Healthcare, Inc.<sup>(a)(b)</sup> | 152380 |  | 1791989 |
|  Allscripts Healthcare Solutions, Inc.<sup>(a)(b)</sup> | 167135 |  | 2948261 |
|  American Well Corp., Class A<sup>(a)(b)</sup> | 361919 |  | 1024231 |
|  AMN Healthcare Services, Inc.<sup>(a)</sup> | 67520 |  | 6942406 |
|  ATI Physical Therapy, Inc.<sup>(a)</sup> | 115575 |  | 35250 |
|  Aveanna Healthcare Holdings, Inc.<sup>(a)</sup> | 74403 |  | 58034 |
|  Babylon Holdings Ltd./Jersey, Class A | 6729 |  | 45421 |
|  Butterfly Network, Inc.<sup>(a)</sup> | 208423 |  | 512721 |
|  Cara Therapeutics, Inc.<sup>(a)</sup> | 69849 |  | 750178 |
|  CorVel Corp.<sup>(a)</sup> | 13982 |  | 2032004 |
|  Cross Country Healthcare, Inc.<sup>(a)(b)</sup> | 55125 |  | 1464671 |
|  Cue Health, Inc.<sup>(a)</sup> | 177312 |  | 367036 |
|  Health Catalyst, Inc.<sup>(a)</sup> | 84946 |  | 902976 |
|  HealthEquity, Inc.<sup>(a)</sup> | 129743 |  | 7997358 |
|  Inari Medical, Inc.<sup>(a)</sup> | 76122 |  | 4838314 |
|  LHC Group, Inc.<sup>(a)(b)</sup> | 46440 |  | 7508884 |
|  ModivCare, Inc.<sup>(a)</sup> | 19881 |  | 1783922 |
|  NeoGenomics, Inc.<sup>(a)</sup> | 198221 |  | 1831562 |
|  NextGen Healthcare, Inc.<sup>(a)</sup> | 88644 |  | 1664734 |
|  Omnicell, Inc.<sup>(a)(b)</sup> | 69290 |  | 3493602 |
|  OptimizeRx Corp.<sup>(a)</sup> | 28157 |  | 473038 |
|  Pear Therapeutics, Inc.<sup>(a)</sup> | 109561 |  | 129282 |
|  Pediatrix Medical Group, Inc.<sup>(a)</sup> | 124360 |  | 1847990 |
|  Pennant Group, Inc.<sup>(a)</sup> | 41990 |  | 461050 |
|  Phibro Animal Health Corp., Class A | 31916 |  | 427994 |
|  Phreesia, Inc.<sup>(a)</sup> | 77139 |  | 2496218 |
|  Privia Health Group, Inc.<sup>(a)(b)</sup> | 71337 |  | 1620063 |
|  Ryman Hospitality Properties, Inc. | 84918 |  | 6944594 |
|  Sharecare, Inc.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454348 |  | 726957 |
|  Surgery Partners, Inc.<sup>(a)</sup> | 78950 |  | 2199547 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69344789 |
| **Health Care Technology — 0.0%** | **Health Care Technology — 0.0%** | **Health Care Technology — 0.0%** | **Health Care Technology — 0.0%** |
|  Nutex Health, Inc.<sup>(a)(b)</sup> | 360876 |  | 685664 |
| **Health Care: Miscellaneous<sup>(a)</sup> — 0.2%** | **Health Care: Miscellaneous<sup>(a)</sup> — 0.2%** | **Health Care: Miscellaneous<sup>(a)</sup> — 0.2%** | **Health Care: Miscellaneous<sup>(a)</sup> — 0.2%** |
|  Absci Corp. | 86413 |  | 181467 |
|  Berkeley Lights, Inc. | 86672 |  | 232281 |
|  Medpace Holdings, Inc. | 39698 |  | 8432252 |
|  |  |  | 8846000 |
| **Home Building — 0.9%** | **Home Building — 0.9%** | **Home Building — 0.9%** | **Home Building — 0.9%** |
|  Beazer Homes USA, Inc.<sup>(a)</sup> | 45900 |  | 585684 |
|  Century Communities, Inc. | 45095 |  | 2255201 |
|  Hovnanian Enterprises, Inc., Class A<sup>(a)</sup> | 8030 |  | 337902 |
|  Installed Building Products, Inc. | 37554 |  | 3214622 |
|  KB Home | 117797 |  | 3751835 |
|  Legacy Housing Corp.<sup>(a)</sup> | 14089 |  | 267127 |
|  LGI Homes, Inc.<sup>(a)(b)</sup> | 32378 |  | 2998203 |
|  M/I Homes, Inc.<sup>(a)</sup> | 42538 |  | 1964405 |
|  MDC Holdings, Inc. | 90252 |  | 2851963 |
|  Meritage Homes Corp.<sup>(a)(b)</sup> | 55909 |  | 5154810 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Home Building (continued)** | **Home Building (continued)** | **Home Building (continued)** |
|  Taylor Morrison Home Corp.<sup>(a)</sup> | 162908 | 4944258 |
|  Tile Shop Holdings, Inc.<sup>(a)</sup> | 56219 | 246239 |
|  Tri Pointe Homes, Inc.<sup>(a)</sup> | 159190 | 2959342 |
|  |  | 31531591 |
| **Hotel/Motel — 0.2%** | **Hotel/Motel — 0.2%** | **Hotel/Motel — 0.2%** |
|  Bally's Corp.<sup>(a)(b)</sup> | 58112 | 1126211 |
|  F45 Training Holdings, Inc.<sup>(a)(b)</sup> | 55523 | 158240 |
|  First Watch Restaurant Group, Inc.<sup>(a)(b)</sup> | 21398 | 289515 |
|  Krispy Kreme, Inc. | 113328 | 1169545 |
|  Marcus Corp. | 37198 | 535279 |
|  NEOGAMES SA<sup>(a)</sup> | 20310 | 247579 |
|  Red Rock Resorts, Inc., Class A | 80036 | 3202240 |
|  Xponential Fitness, Inc., Class A<sup>(a)</sup> | 27191 | 623490 |
|  |  | 7352099 |
| **Hotels, Restaurants & Leisure<sup>(a)</sup> — 0.0%** | **Hotels, Restaurants & Leisure<sup>(a)</sup> — 0.0%** | **Hotels, Restaurants & Leisure<sup>(a)</sup> — 0.0%** |
|  Bowlero Corp. | 46279 | 623841 |
|  Inspirato, Inc. | 45205 | 53794 |
|  Sonder Holdings, Inc.<sup>(b)</sup> | 302780 | 375447 |
|  Vacasa, Inc., Class A<sup>(b)</sup> | 178786 | 225270 |
|  |  | 1278352 |
| **Household Appliances — 0.0%** | **Household Appliances — 0.0%** | **Household Appliances — 0.0%** |
|  Landsea Homes Corp.<sup>(a)</sup> | 13542 | 70554 |
|  National Presto Industries, Inc. | 8088 | 553705 |
|  Snap One Holdings Corp.<sup>(a)(b)</sup> | 28334 | 209955 |
|  Traeger, Inc.<sup>(a)(b)</sup> | 49720 | 140210 |
|  |  | 974424 |
| **Household Durables<sup>(a)</sup> — 0.0%** | **Household Durables<sup>(a)</sup> — 0.0%** | **Household Durables<sup>(a)</sup> — 0.0%** |
|  Dream Finders Homes, Inc., Class A<sup>(b)</sup> | 32374 | 280359 |
|  Vizio Holding Corp., Class A | 105473 | 781555 |
|  |  | 1061914 |
| **Household Equipment & Products — 0.4%** | **Household Equipment & Products — 0.4%** | **Household Equipment & Products — 0.4%** |
|  Central Garden & Pet Co.<sup>(a)</sup> | 15218 | 569914 |
|  Central Garden & Pet Co., Class A<sup>(a)</sup> | 63243 | 2264099 |
|  Energizer Holdings, Inc. | 105218 | 3530064 |
|  Helen of Troy Ltd.<sup>(a)</sup> | 37510 | 4160234 |
|  Tupperware Brands Corp.<sup>(a)</sup> | 71031 | 294068 |
|  Weber, Inc., Class A<sup>(b)</sup> | 41921 | 337464 |
|  Zurn Elkay Water Solutions Corp.<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195963 | 4144618 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15300461 |
| **Household Furnishings — 0.2%** | **Household Furnishings — 0.2%** | **Household Furnishings — 0.2%** |
|  American Woodmark Corp.<sup>(a)(b)</sup> | 25884 | 1264692 |
|  Ethan Allen Interiors, Inc. | 36050 | 952441 |
|  La-Z-Boy, Inc. | 67425 | 1538639 |
|  Lifetime Brands, Inc. | 19521 | 148164 |
|  Lovesac Co.<sup>(a)</sup> | 22223 | 489128 |
|  Purple Innovation, Inc.<sup>(a)(b)</sup> | 87727 | 420212 |
|  Sleep Number Corp.<sup>(a)</sup> | 33471 | 869577 |
|  |  | 5682853 |
| **Independent Power Producers & Energy Traders<sup>(a)</sup> — 0.0%** | **Independent Power Producers & Energy Traders<sup>(a)</sup> — 0.0%** | **Independent Power Producers & Energy Traders<sup>(a)</sup> — 0.0%** |
|  Altus Power, Inc. | 67257 | 438516 |
|  Montauk Renewables, Inc.<sup>(b)</sup> | 103034 | 1136465 |
|  |  | 1574981 |
| **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** |
|  Brookfield Business Corp., Class A | 41713 | 783787 |
| **Insurance — 0.2%** | **Insurance — 0.2%** | **Insurance — 0.2%** |
|  Lemonade, Inc.<sup>(a)(b)</sup> | 72596 | 993113 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
|  Marqeta, Inc., Class A<sup>(a)(b)</sup> | 685033 | $| 4185552 |
|  Mercury General Corp. | 42223 |  | 1444027 |
|  Oscar Health, Inc., Class A<sup>(a)</sup> | 189900 |  | 467154 |
|  |  |  | 7089846 |
| **Insurance: Life — 0.4%** | **Insurance: Life — 0.4%** | **Insurance: Life — 0.4%** | **Insurance: Life — 0.4%** |
|  American Equity Investment Life Holding Co. | 110753 |  | 5052552 |
|  Bright Health Group, Inc.<sup>(a)(b)</sup> | 298230 |  | 193820 |
|  CNO Financial Group, Inc. | 174416 |  | 3985405 |
|  National Western Life Group, Inc., Class A | 3510 |  | 986310 |
|  Selectquote, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209364 |  | 140672 |
|  Trean Insurance Group, Inc.<sup>(a)</sup> | 38584 |  | 231504 |
|  Trupanion, Inc.<sup>(a)</sup> | 61533 |  | 2924663 |
|  |  |  | 13514926 |
| **Insurance: Multi-Line — 0.3%** | **Insurance: Multi-Line — 0.3%** | **Insurance: Multi-Line — 0.3%** | **Insurance: Multi-Line — 0.3%** |
|  BRP Group, Inc., Class A<sup>(a)(b)</sup> | 93919 |  | 2361124 |
|  Crawford & Co., Class A | 27856 |  | 154879 |
|  eHealth, Inc.<sup>(a)</sup> | 39271 |  | 190071 |
|  Goosehead Insurance, Inc., Class A<sup>(a)</sup> | 30023 |  | 1030990 |
|  Horace Mann Educators Corp. | 63440 |  | 2370753 |
|  James River Group Holdings Ltd. | 48689 |  | 1018087 |
|  Mr. Cooper Group, Inc.<sup>(a)</sup> | 108459 |  | 4352460 |
|  SiriusPoint Ltd.<sup>(a)</sup> | 144727 |  | 853889 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12332253 |
| **Insurance: Property-Casualty — 1.8%** | **Insurance: Property-Casualty — 1.8%** | **Insurance: Property-Casualty — 1.8%** | **Insurance: Property-Casualty — 1.8%** |
|  AMERISAFE, Inc. | 29883 |  | 1553019 |
|  Argo Group International Holdings Ltd. | 50554 |  | 1306821 |
|  Donegal Group, Inc., Class A | 24551 |  | 348624 |
|  Employers Holdings, Inc. | 42660 |  | 1839926 |
|  Enstar Group Ltd.<sup>(a)</sup> | 17733 |  | 4097032 |
|  Essent Group Ltd. | 163045 |  | 6339190 |
|  Genworth Financial, Inc., Class A<sup>(a)</sup> | 761926 |  | 4030589 |
|  Greenlight Capital Re Ltd., Class A<sup>(a)</sup> | 40788 |  | 332422 |
|  HCI Group, Inc. | 10305 |  | 407975 |
|  Hilltop Holdings, Inc. | 78682 |  | 2361247 |
|  Investors Title Co. | 2120 |  | 312806 |
|  Kinsale Capital Group, Inc. | 34153 |  | 8931693 |
|  NI Holdings, Inc.<sup>(a)</sup> | 17790 |  | 236073 |
|  NMI Holdings, Inc., Class A<sup>(a)(b)</sup> | 131306 |  | 2744295 |
|  Palomar Holdings, Inc.<sup>(a)</sup> | 38250 |  | 1727370 |
|  ProAssurance Corp. | 79587 |  | 1390385 |
|  Radian Group, Inc. | 244327 |  | 4659316 |
|  RLI Corp. | 61037 |  | 8012327 |
|  Safety Insurance Group, Inc. | 21629 |  | 1822460 |
|  Selective Insurance Group, Inc. | 93333 |  | 8270237 |
|  Stewart Information Services Corp. | 40510 |  | 1730992 |
|  United Fire Group, Inc. | 33291 |  | 910842 |
|  Universal Insurance Holdings, Inc. | 42660 |  | 451769 |
|  |  |  | 63817410 |
| **International Trade & Diversified Logistic<sup>(a)</sup> — 0.1%** | **International Trade & Diversified Logistic<sup>(a)</sup> — 0.1%** | **International Trade & Diversified Logistic<sup>(a)</sup> — 0.1%** | **International Trade & Diversified Logistic<sup>(a)</sup> — 0.1%** |
|  CryoPort, Inc.<sup>(b)</sup> | 69008 |  | 1197289 |
|  Radiant Logistics, Inc. | 57970 |  | 295067 |
|  V2X, Inc. | 19227 |  | 793883 |
|  |  |  | 2286239 |
| **Internet & Catalog Retail<sup>(a)</sup> — 0.1%** | **Internet & Catalog Retail<sup>(a)</sup> — 0.1%** | **Internet & Catalog Retail<sup>(a)</sup> — 0.1%** | **Internet & Catalog Retail<sup>(a)</sup> — 0.1%** |
|  BARK, Inc. | 193194 |  | 287859 |
|  ContextLogic, Inc., Class A | 899747 |  | 438807 |
|  Poshmark, Inc., Class A | 72398 |  | 1294476 |
|  Qurate Retail, Inc., Series A | 555660 |  | 905726 |
|  RumbleON, Inc., Class B<sup>(b)</sup> | 15994 |  | 103481 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Internet & Catalog Retail (continued)** | **Internet & Catalog Retail (continued)** | **Internet & Catalog Retail (continued)** | **Internet & Catalog Retail (continued)** |
|  ThredUp, Inc., Class A<sup>(b)</sup> | 90694 | $| 118809 |
|  Vivid Seats, Inc., Class A | 42989 |  | 313820 |
|  |  |  | 3462978 |
| **Internet Software & Services<sup>(a)</sup> — 0.3%** | **Internet Software & Services<sup>(a)</sup> — 0.3%** | **Internet Software & Services<sup>(a)</sup> — 0.3%** | **Internet Software & Services<sup>(a)</sup> — 0.3%** |
|  1stdibs.com, Inc.<sup>(b)</sup> | 36989 |  | 187904 |
|  aka Brands Holding Corp. | 13206 |  | 16772 |
|  Boxed, Inc. | 41535 |  | 8095 |
|  eGain Corp. | 34204 |  | 308862 |
|  Flywire Corp.<sup>(b)</sup> | 89335 |  | 2186028 |
|  Gogo, Inc.<sup>(b)</sup> | 79983 |  | 1180549 |
|  Lulu's Fashion Lounge Holdings, Inc. | 26618 |  | 66811 |
|  MediaAlpha, Inc., Class A | 39495 |  | 392975 |
|  Outbrain, Inc. | 61698 |  | 223347 |
|  Quotient Technology, Inc. | 131056 |  | 449522 |
|  Remitly Global, Inc. | 157965 |  | 1808699 |
|  Rent the Runway, Inc., Class A<sup>(b)</sup> | 72180 |  | 220149 |
|  TrueCar, Inc. | 137126 |  | 344186 |
|  Xometry, Inc., Class A<sup>(b)</sup> | 53151 |  | 1713057 |
|  |  |  | 9106956 |
| **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** |
|  Bread Financial Holdings, Inc. | 45593 |  | 1717033 |
|  Cerberus Cyber Sentinel Corp.<sup>(a)(b)</sup> | 70569 |  | 179951 |
|  Cyxtera Technologies, Inc.<sup>(a)(b)</sup> | 60210 |  | 115603 |
|  Fastly, Inc., Class A<sup>(a)(b)</sup> | 175723 |  | 1439171 |
|  Joby Aviation, Inc.<sup>(a)</sup> | 395125 |  | 1323669 |
|  Markforged Holding Corp.<sup>(a)(b)</sup> | 170127 |  | 197347 |
|  Payoneer Global, Inc.<sup>(a)</sup> | 341030 |  | 1865434 |
|  Paysafe Ltd.<sup>(a)</sup> | 45182 |  | 627578 |
|  Sabre Corp.<sup>(a)(b)</sup> | 514577 |  | 3180086 |
|  SolarWinds Corp.<sup>(a)</sup> | 74666 |  | 698874 |
|  Squarespace, Inc., Class A<sup>(a)</sup> | 49984 |  | 1108145 |
|  StoneCo Ltd., Class A<sup>(a)</sup> | 437327 |  | 4128367 |
|  |  |  | 16581258 |
| **Leisure Time — 0.7%** | **Leisure Time — 0.7%** | **Leisure Time — 0.7%** | **Leisure Time — 0.7%** |
|  Acushnet Holdings Corp.<sup>(b)</sup> | 51668 |  | 2193823 |
|  AMMO, Inc.<sup>(a)(b)</sup> | 135985 |  | 235254 |
|  Clarus Corp. | 45706 |  | 358335 |
|  Hilton Grand Vacations, Inc.<sup>(a)(b)</sup> | 132810 |  | 5118498 |
|  Johnson Outdoors, Inc., Class A | 8574 |  | 566913 |
|  Latham Group, Inc.<sup>(a)</sup> | 68765 |  | 221423 |
|  Life Time Group Holdings, Inc.<sup>(a)(b)</sup> | 65278 |  | 780725 |
|  Lindblad Expeditions Holdings, Inc.<sup>(a)</sup> | 53512 |  | 412042 |
|  Madison Square Garden Entertainment Corp.<sup>(a)</sup> | 40625 |  | 1826906 |
|  OneSpaWorld Holdings Ltd.<sup>(a)</sup> | 102899 |  | 960048 |
|  Portillo's, Inc., Class A<sup>(a)</sup> | 41673 |  | 680103 |
|  RCI Hospitality Holdings, Inc. | 13678 |  | 1274653 |
|  SeaWorld Entertainment, Inc.<sup>(a)(b)</sup> | 61621 |  | 3297340 |
|  Smith & Wesson Brands, Inc. | 71791 |  | 623146 |
|  Sturm Ruger & Co., Inc. | 27205 |  | 1377117 |
|  Topgolf Callaway Brands Corp.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220759 |  | 4359990 |
|  Vista Outdoor, Inc.<sup>(a)</sup> | 87916 |  | 2142513 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26428829 |
| **Luxury Items — 0.2%** | **Luxury Items — 0.2%** | **Luxury Items — 0.2%** | **Luxury Items — 0.2%** |
|  Movado Group, Inc. | 24262 |  | 782450 |
|  Signet Jewelers Ltd. | 72255 |  | 4913340 |
|  Stagwell, Inc.<sup>(a)</sup> | 125682 |  | 780485 |
|  |  |  | 6476275 |
| **Machinery<sup>(a)</sup> — 0.1%** | **Machinery<sup>(a)</sup> — 0.1%** | **Machinery<sup>(a)</sup> — 0.1%** | **Machinery<sup>(a)</sup> — 0.1%** |
|  Berkshire Grey, Inc. | 75406 |  | 45538 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 85

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** |
|  Fathom Digital Manufacturing C<sup>(b)</sup> | 15661 | $| 20672 |
|  Hillman Solutions Corp. | 212153 |  | 1529623 |
|  Hyzon Motors, Inc. | 146569 |  | 227182 |
|  Lightning eMotors, Inc. | 60481 |  | 22166 |
|  Matterport, Inc.<sup>(b)</sup> | 347210 |  | 972188 |
|  Microvast Holdings, Inc.<sup>(b)</sup> | 263449 |  | 403077 |
|  Proterra, Inc.<sup>(b)</sup> | 348862 |  | 1315210 |
|  Sarcos Technology & Robotics Corp. | 177959 |  | 99888 |
|  Velo3D, Inc.<sup>(b)</sup> | 87101 |  | 155911 |
|  Xos, Inc. | 84540 |  | 37443 |
|  |  |  | 4828898 |
| **Machinery: Agricultural — 0.3%** | **Machinery: Agricultural — 0.3%** | **Machinery: Agricultural — 0.3%** | **Machinery: Agricultural — 0.3%** |
|  Alamo Group, Inc. | 15876 |  | 2248042 |
|  Integral Ad Science Holding Corp.<sup>(a)</sup> | 59020 |  | 518786 |
|  Lindsay Corp. | 17367 |  | 2828216 |
|  SPX Technologies, Inc.<sup>(a)</sup> | 67827 |  | 4452842 |
|  Titan International, Inc.<sup>(a)</sup> | 79894 |  | 1223976 |
|  Titan Machinery, Inc.<sup>(a)</sup> | 31516 |  | 1252131 |
|  |  |  | 12523993 |
| **Machinery: Construction & Handling — 0.2%** | **Machinery: Construction & Handling — 0.2%** | **Machinery: Construction & Handling — 0.2%** | **Machinery: Construction & Handling — 0.2%** |
|  Astec Industries, Inc. | 36026 |  | 1464817 |
|  Douglas Dynamics, Inc. | 35116 |  | 1269795 |
|  Manitowoc Co., Inc.<sup>(a)</sup> | 53602 |  | 490994 |
|  NACCO Industries, Inc., Class A | 6262 |  | 237956 |
|  Terex Corp. | 105221 |  | 4495041 |
|  |  |  | 7958603 |
| **Machinery: Industrial — 1.2%** | **Machinery: Industrial — 1.2%** | **Machinery: Industrial — 1.2%** | **Machinery: Industrial — 1.2%** |
|  Altra Industrial Motion Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102579 |  | 6129095 |
|  Applied Industrial Technologies, Inc. | 59803 |  | 7536972 |
|  Chart Industries, Inc.<sup>(a)(b)</sup> | 66879 |  | 7706467 |
|  Columbus McKinnon Corp. | 44799 |  | 1454624 |
|  Desktop Metal, Inc., Class A<sup>(a)(b)</sup> | 423566 |  | 576050 |
|  DXP Enterprises, Inc.<sup>(a)</sup> | 24668 |  | 679603 |
|  EnPro Industries, Inc. | 32844 |  | 3569814 |
|  Hydrofarm Holdings Group, Inc.<sup>(a)</sup> | 71262 |  | 110456 |
|  Hyliion Holdings Corp.<sup>(a)(b)</sup> | 206534 |  | 483290 |
|  Hyster-Yale Materials Handling, Inc. | 17032 |  | 431080 |
|  John Bean Technologies Corp. | 49912 |  | 4558463 |
|  Kadant, Inc. | 18312 |  | 3252761 |
|  Kennametal, Inc. | 128401 |  | 3089328 |
|  Nikola Corp.<sup>(a)(b)</sup> | 502314 |  | 1084998 |
|  Omega Flex, Inc. | 5277 |  | 492450 |
|  Proto Labs, Inc.<sup>(a)</sup> | 44093 |  | 1125694 |
|  Tennant Co. | 29130 |  | 1793534 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44074679 |
| **Machinery: Specialty — 0.1%** | **Machinery: Specialty — 0.1%** | **Machinery: Specialty — 0.1%** | **Machinery: Specialty — 0.1%** |
|  Albany International Corp., Class A | 49202 |  | 4850825 |
| **Manufactured Housing<sup>(a)</sup> — 0.2%** | **Manufactured Housing<sup>(a)</sup> — 0.2%** | **Manufactured Housing<sup>(a)</sup> — 0.2%** | **Manufactured Housing<sup>(a)</sup> — 0.2%** |
|  Cavco Industries, Inc. | 14058 |  | 3180623 |
|  Skyline Champion Corp. | 84167 |  | 4335442 |
|  |  |  | 7516065 |
| **Marine — 0.1%** | **Marine — 0.1%** | **Marine — 0.1%** | **Marine — 0.1%** |
|  Golden Ocean Group Ltd. | 196293 |  | 1705786 |
| **Media<sup>(a)</sup> — 0.2%** | **Media<sup>(a)</sup> — 0.2%** | **Media<sup>(a)</sup> — 0.2%** | **Media<sup>(a)</sup> — 0.2%** |
|  Arena Group Holdings, Inc. | 17516 |  | 185845 |
|  Bumble, Inc., Class A | 136120 |  | 2865326 |
|  Gambling.com Group Ltd. | 13401 |  | 122619 |
|  Innovid Corp.<sup>(b)</sup> | 122274 |  | 209089 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Media (continued)** | **Media (continued)** | **Media (continued)** | **Media (continued)** |
|  Leafly Holdings, Inc. | 48776 | $| 31797 |
|  Loyalty Ventures, Inc. | 30988 |  | 74681 |
|  PubMatic, Inc., Class A<sup>(b)</sup> | 66431 |  | 850981 |
|  Urban One, Inc. | 31333 |  | 127916 |
|  Vimeo, Inc. | 227211 |  | 779334 |
|  Vinco Ventures, Inc.<sup>(b)</sup> | 369042 |  | 171235 |
|  Wejo Group Ltd. | 29266 |  | 14077 |
|  ZipRecruiter, Inc., Class A<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113528 |  | 1864130 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7297030 |
| **Medical & Dental Instruments & Supplies — 1.8%** | **Medical & Dental Instruments & Supplies — 1.8%** | **Medical & Dental Instruments & Supplies — 1.8%** | **Medical & Dental Instruments & Supplies — 1.8%** |
|  Akoya Biosciences, Inc.<sup>(a)(b)</sup> | 25409 |  | 243164 |
|  Alphatec Holdings, Inc.<sup>(a)</sup> | 115885 |  | 1431180 |
|  AngioDynamics, Inc.<sup>(a)</sup> | 57436 |  | 790894 |
|  Anika Therapeutics, Inc.<sup>(a)</sup> | 23607 |  | 698767 |
|  Artivion, Inc.<sup>(a)(b)</sup> | 60635 |  | 734896 |
|  AtriCure, Inc.<sup>(a)</sup> | 71927 |  | 3192120 |
|  Atrion Corp. | 2170 |  | 1214006 |
|  Avanos Medical, Inc.<sup>(a)</sup> | 73044 |  | 1976571 |
|  Axogen, Inc.<sup>(a)</sup> | 63920 |  | 637922 |
|  BioLife Solutions, Inc.<sup>(a)</sup> | 52535 |  | 956137 |
|  Cardiovascular Systems, Inc.<sup>(a)</sup> | 63496 |  | 864816 |
|  Cerus Corp.<sup>(a)</sup> | 272276 |  | 993807 |
|  Community Health Systems, Inc.<sup>(a)</sup> | 194545 |  | 840434 |
|  CONMED Corp. | 45932 |  | 4071412 |
|  Cutera, Inc.<sup>(a)(b)</sup> | 26589 |  | 1175766 |
|  LeMaitre Vascular, Inc. | 31152 |  | 1433615 |
|  LivaNova PLC<sup>(a)</sup> | 84708 |  | 4704682 |
|  Meridian Bioscience, Inc.<sup>(a)</sup> | 67560 |  | 2243668 |
|  Merit Medical Systems, Inc.<sup>(a)</sup> | 88193 |  | 6228190 |
|  NanoString Technologies, Inc.<sup>(a)</sup> | 73503 |  | 585819 |
|  Neogen Corp.<sup>(a)</sup> | 335883 |  | 5115498 |
|  NuVasive, Inc.<sup>(a)</sup> | 82614 |  | 3407001 |
|  Ocular Therapeutix, Inc.<sup>(a)</sup> | 125127 |  | 351607 |
|  OraSure Technologies, Inc.<sup>(a)</sup> | 110625 |  | 533213 |
|  Organogenesis Holdings, Inc.<sup>(a)</sup> | 116971 |  | 314652 |
|  Orthofix Medical, Inc.<sup>(a)</sup> | 29924 |  | 614340 |
|  OrthoPediatrics Corp.<sup>(a)</sup> | 23171 |  | 920584 |
|  Outset Medical, Inc.<sup>(a)</sup> | 75634 |  | 1952870 |
|  Owens & Minor, Inc. | 116440 |  | 2274073 |
|  Owlet, Inc.<sup>(a)(b)</sup> | 20593 |  | 11514 |
|  Patterson Cos., Inc. | 132381 |  | 3710639 |
|  Pulmonx Corp.<sup>(a)</sup> | 55555 |  | 468329 |
|  SeaSpine Holdings Corp.<sup>(a)</sup> | 57298 |  | 478438 |
|  Senseonics Holdings, Inc.<sup>(a)(b)</sup> | 717876 |  | 739412 |
|  STAAR Surgical Co.<sup>(a)</sup> | 75662 |  | 3672633 |
|  Surmodics, Inc.<sup>(a)</sup> | 21902 |  | 747296 |
|  TransMedics Group, Inc.<sup>(a)</sup> | 48137 |  | 2971016 |
|  Treace Medical Concepts, Inc.<sup>(a)(b)</sup> | 52352 |  | 1203572 |
|  Utah Medical Products, Inc. | 5607 |  | 563672 |
|  ViewRay, Inc.<sup>(a)</sup> | 235072 |  | 1053123 |
|  |  |  | 66121348 |
| **Medical Equipment — 1.6%** | **Medical Equipment — 1.6%** | **Medical Equipment — 1.6%** | **Medical Equipment — 1.6%** |
|  AdaptHealth Corp.<sup>(a)(b)</sup> | 113955 |  | 2190215 |
|  Alpha Teknova, Inc.<sup>(a)</sup> | 9420 |  | 53129 |
|  Bionano Genomics, Inc.<sup>(a)(b)</sup> | 456898 |  | 667071 |
|  CareDx, Inc.<sup>(a)</sup> | 80333 |  | 916600 |
|  Cytek Biosciences, Inc.<sup>(a)(b)</sup> | 180154 |  | 1839372 |
|  Glaukos Corp.<sup>(a)</sup> | 72185 |  | 3153041 |
|  Haemonetics Corp.<sup>(a)</sup> | 80131 |  | 6302303 |
|  Inspire Medical Systems, Inc.<sup>(a)(b)</sup> | 44540 |  | 11218735 |
|  iRadimed Corp. | 11053 |  | 312689 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Medical Equipment (continued)** |  |  |
|  iRhythm Technologies, Inc.<sup>(a)(b)</sup> | 47087 | $4410639 |
|  Lantheus Holdings, Inc.<sup>(a)</sup> | 107814 | 5494202 |
|  Nevro Corp.<sup>(a)(b)</sup> | 55065 | 2180574 |
|  Quanterix Corp.<sup>(a)</sup> | 52353 | 725089 |
|  Seer, Inc., Class A<sup>(a)(b)</sup> | 83784 | 485947 |
|  Shockwave Medical, Inc.<sup>(a)</sup> | 55839 | 11481057 |
|  SI-BONE, Inc.<sup>(a)(b)</sup> | 54450 | 740520 |
|  Silk Road Medical, Inc.<sup>(a)(b)</sup> | 58074 | 3069211 |
|  Tactile Systems Technology, Inc.<sup>(a)</sup> | 29471 | 338327 |
|  Varex Imaging Corp.<sup>(a)</sup> | 60410 | 1226323 |
|  Zynex, Inc. | 36047 | 501414 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57306458 |
| **Medical Services<sup>(a)</sup> — 0.0%** |  |  |
|  Fulgent Genetics, Inc. | 34010 | 1012818 |
|  Innovage Holding Corp.<sup>(b)</sup> | 30150 | 216477 |
|  Inotiv, Inc.<sup>(b)</sup> | 26659 | 131695 |
|  |  | 1360990 |
| **Metal Fabricating — 0.7%** |  |  |
|  CompX International, Inc. | 2464 | 45535 |
|  Distribution Solutions Group, Inc.<sup>(a)</sup> | 7401 | 272801 |
|  DMC Global, Inc.<sup>(a)</sup> | 29500 | 573480 |
|  GrafTech International Ltd.<sup>(b)</sup> | 302940 | 1441994 |
|  Haynes International, Inc. | 18971 | 866785 |
|  MRC Global, Inc.<sup>(a)</sup> | 131001 | 1516992 |
|  Mueller Industries, Inc. | 86861 | 5124799 |
|  Mueller Water Products, Inc., Class A | 246060 | 2647606 |
|  Northwest Pipe Co.<sup>(a)</sup> | 15577 | 524945 |
|  RBC Bearings, Inc.<sup>(a)(b)</sup> | 44675 | 9352711 |
|  Worthington Industries, Inc. | 49592 | 2465218 |
|  |  | 24832866 |
| **Metals & Minerals: Diversified — 0.9%** |  |  |
|  Alpha Metallurgical Resources, Inc. | 23798 | 3483789 |
|  Commercial Metals Co. | 181512 | 8767030 |
|  Compass Minerals International, Inc. | 54113 | 2218633 |
|  Constellium SE<sup>(a)</sup> | 198995 | 2354111 |
|  Energy Fuels, Inc.<sup>(a)(b)</sup> | 246187 | 1528821 |
|  Hecla Mining Co. | 873009 | 4853930 |
|  Hycroft Mining Holding Corp.<sup>(a)(b)</sup> | 233212 | 124092 |
|  Intrepid Potash, Inc.<sup>(a)(b)</sup> | 18113 | 522922 |
|  Materion Corp. | 32219 | 2819485 |
|  Minerals Technologies, Inc.<sup>(b)</sup> | 51146 | 3105585 |
|  PolyMet Mining Corp.<sup>(a)</sup> | 49605 | 131453 |
|  Ring Energy, Inc.<sup>(a)</sup> | 133562 | 328563 |
|  SunCoke Energy, Inc. | 130151 | 1123203 |
|  U.S. Lime & Minerals, Inc. | 3248 | 457189 |
|  U.S. Silica Holdings, Inc.<sup>(a)</sup> | 116470 | 1455875 |
|  |  | 33274681 |
| **Mining<sup>(a)</sup> — 0.1%** |  |  |
|  5E Advanced Materials, Inc.<sup>(b)</sup> | 52482 | 413558 |
|  Dakota Gold Corp. | 78472 | 239340 |
|  Piedmont Lithium, Inc.<sup>(b)</sup> | 27171 | 1196067 |
|  |  | 1848965 |
| **Office Supplies & Equipment — 0.2%** |  |  |
|  ACCO Brands Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145161 | 811450 |
|  Eastman Kodak Co.<sup>(a)</sup> | 88304 | 269327 |
|  HNI Corp. | 64991 | 1847694 |
|  Kimball International, Inc., Class B | 54917 | 356961 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Office Supplies & Equipment (continued)** |  |  |
|  MillerKnoll, Inc. | 119935 | $2519834 |
|  Pitney Bowes, Inc. | 200937 | 763561 |
|  Steelcase, Inc., Class A | 139162 | 983875 |
|  |  | 7552702 |
| **Oil & Gas Producers — 0.3%** |  |  |
|  Civitas Resources, Inc. | 116365 | 6741025 |
|  Crescent Energy Co., Class A<sup>(b)</sup> | 50566 | 606286 |
|  HighPeak Energy, Inc.<sup>(b)</sup> | 10746 | 245761 |
|  Kosmos Energy Ltd.<sup>(a)</sup> | 712451 | 4531188 |
|  |  | 12124260 |
| **Oil Well Equipment & Services — 1.4%** |  |  |
|  Bristow Group, Inc.<sup>(a)</sup> | 36249 | 983435 |
|  Cactus, Inc., Class A | 93015 | 4674934 |
|  ChampionX Corp. | 312537 | 9060448 |
|  Dril-Quip, Inc.<sup>(a)</sup> | 54525 | 1481444 |
|  Helix Energy Solutions Group, Inc.<sup>(a)</sup> | 225659 | 1665363 |
|  Helmerich & Payne, Inc. | 162219 | 8041196 |
|  Liberty Energy, Inc., Class A | 215183 | 3445080 |
|  Nabors Industries Ltd.<sup>(a)</sup> | 14300 | 2214641 |
|  National Energy Services Reunited Corp.<sup>(a)</sup> | 61329 | 425623 |
|  Newpark Resources, Inc.<sup>(a)</sup> | 136096 | 564798 |
|  NexTier Oilfield Solutions, Inc.<sup>(a)</sup> | 277136 | 2560737 |
|  Oceaneering International, Inc.<sup>(a)</sup> | 157814 | 2760167 |
|  Oil States International, Inc.<sup>(a)</sup> | 100643 | 750797 |
|  Patterson-UTI Energy, Inc. | 338504 | 5700407 |
|  ProPetro Holding Corp.<sup>(a)</sup> | 139170 | 1443193 |
|  RPC, Inc. | 115950 | 1030796 |
|  Select Energy Services, Inc., Class A | 114350 | 1056594 |
|  Solaris Oilfield Infrastructure, Inc., Class A | 49237 | 488923 |
|  TETRA Technologies, Inc.<sup>(a)</sup> | 201513 | 697235 |
|  |  | 49045811 |
| **Oil, Gas & Consumable Fuels — 0.5%** |  |  |
|  Archrock, Inc. | 213604 | 1918164 |
|  Ardmore Shipping Corp.<sup>(a)</sup> | 61458 | 885610 |
|  DHT Holdings, Inc. | 216050 | 1918524 |
|  Dorian LPG Ltd. | 48458 | 918279 |
|  Empire Petroleum Corp.<sup>(a)(b)</sup> | 16161 | 198780 |
|  Excelerate Energy, Inc., Class A<sup>(b)</sup> | 28672 | 718234 |
|  FLEX LNG Ltd.<sup>(a)</sup> | 44613 | 1458399 |
|  Frontline Ltd. | 196765 | 2388727 |
|  Gulfport Energy Corp.<sup>(a)(b)</sup> | 17904 | 1318451 |
|  Noble Corp. PLC<sup>(a)</sup> | 130735 | 4930017 |
|  ProFrac Holding Corp., Class A<sup>(a)</sup> | 34317 | 864788 |
|  VAALCO Energy, Inc. | 166338 | 758501 |
|  Vertex Energy, Inc.<sup>(a)(b)</sup> | 86840 | 538408 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18814882 |
| **Oil: Crude Producers — 2.1%** |  |  |
|  Amplify Energy Corp.<sup>(a)</sup> | 55108 | 484399 |
|  Berry Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123333 | 986664 |
|  California Resources Corp.<sup>(b)</sup> | 115384 | 5020358 |
|  Callon Petroleum Co.<sup>(a)</sup> | 77657 | 2880298 |
|  Chord Energy Corp. | 65558 | 8968990 |
|  CNX Resources Corp.<sup>(a)</sup> | 276215 | 4651461 |
|  Comstock Resources, Inc. | 144648 | 1983124 |
|  CVR Energy, Inc. | 46660 | 1462324 |
|  Denbury, Inc.<sup>(a)</sup> | 79083 | 6881803 |
|  Earthstone Energy, Inc., Class A<sup>(a)(b)</sup> | 72046 | 1025215 |
|  Gevo, Inc.<sup>(a)(b)</sup> | 317524 | 603296 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 87

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Oil: Crude Producers (continued)** |  |  |
|  Laredo Petroleum, Inc.<sup>(a)(b)</sup> | 26619 | $1368749 |
|  Magnolia Oil & Gas Corp., Class A | 267349 | 6269334 |
|  Murphy Oil Corp. | 232578 | 10003180 |
|  Northern Oil and Gas, Inc. | 105618 | 3255147 |
|  ONE Gas, Inc. | 83897 | 6352681 |
|  Ranger Oil Corp., Class A | 31415 | 1270108 |
|  Riley Exploration Permian, Inc. | 17112 | 503606 |
|  SandRidge Energy, Inc.<sup>(a)</sup> | 33568 | 571663 |
|  SilverBow Resources, Inc.<sup>(a)(b)</sup> | 18204 | 514809 |
|  SM Energy Co. | 191124 | 6656849 |
|  Talos Energy, Inc.<sup>(a)</sup> | 104374 | 1970581 |
|  Tellurian, Inc.<sup>(a)(b)</sup> | 805075 | 1352526 |
|  Ur-Energy, Inc.<sup>(a)(b)</sup> | 323414 | 371926 |
|  W&T Offshore, Inc.<sup>(a)(b)</sup> | 149173 | 832385 |
|  |  | 76241476 |
| **Oil: Refining & Marketing — 0.4%** |  |  |
|  Clean Energy Fuels Corp.<sup>(a)(b)</sup> | 267480 | 1390896 |
|  Delek U.S. Holdings, Inc. | 107748 | 2909196 |
|  Par Pacific Holdings, Inc.<sup>(a)</sup> | 77156 | 1793877 |
|  PBF Energy, Inc., Class A | 152755 | 6229349 |
|  World Fuel Services Corp. | 96758 | 2644396 |
|  |  | 14967714 |
| **Paints & Coatings — 0.2%** |  |  |
|  Chase Corp. | 11786 | 1016660 |
|  HB Fuller Co. | 81947 | 5869044 |
|  Kronos Worldwide, Inc. | 34905 | 328107 |
|  |  | 7213811 |
| **Paper — 0.1%** |  |  |
|  Clearwater Paper Corp.<sup>(a)</sup> | 26203 | 990735 |
|  Glatfelter Corp. | 68669 | 190900 |
|  Mativ Holdings, Inc. | 85492 | 1786783 |
|  Resolute Forest Products, Inc.<sup>(a)</sup> | 72505 | 1565383 |
|  |  | 4533801 |
| **Paper & Forest Products — 0.1%** |  |  |
|  Sylvamo Corp. | 56024 | 2722206 |
| **Personal Care — 0.5%** |  |  |
|  Beauty Health Co.<sup>(a)(b)</sup> | 147795 | 1344934 |
|  BellRing Brands, Inc.<sup>(a)</sup> | 208092 | 5335479 |
|  Edgewell Personal Care Co. | 81310 | 3133687 |
|  Honest Co., Inc.<sup>(a)(b)</sup> | 101668 | 306021 |
|  Nu Skin Enterprises, Inc., Class A | 75423 | 3179834 |
|  Sterling Check Corp.<sup>(a)(b)</sup> | 38742 | 599339 |
|  Thorne HealthTech, Inc.<sup>(a)(b)</sup> | 21325 | 77410 |
|  USANA Health Sciences, Inc.<sup>(a)</sup> | 17723 | 942863 |
|  Veru, Inc.<sup>(a)(b)</sup> | 103445 | 546190 |
|  WD-40 Co. | 21554 | 3474720 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18940477 |
| **Personal Products — 0.1%** |  |  |
|  Herbalife Nutrition Ltd.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154548 | 2299674 |
| **Pharmaceuticals — 2.2%** |  |  |
|  ACADIA Pharmaceuticals, Inc.<sup>(a)</sup> | 189684 | 3019769 |
|  Aclaris Therapeutics, Inc.<sup>(a)</sup> | 103204 | 1625463 |
|  Alkermes PLC<sup>(a)</sup> | 257256 | 6722099 |
|  Amneal Pharmaceuticals, Inc.<sup>(a)</sup> | 158228 | 314874 |
|  Amphastar Pharmaceuticals, Inc.<sup>(a)</sup> | 60422 | 1693024 |
|  Arrowhead Pharmaceuticals, Inc.<sup>(a)</sup> | 162400 | 6586944 |
|  Atea Pharmaceuticals, Inc.<sup>(a)</sup> | 122464 | 589052 |
|  Athira Pharma, Inc.<sup>(a)(b)</sup> | 48613 | 154103 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Pharmaceuticals (continued)** |  |  |  |
|  Axonics, Inc.<sup>(a)</sup> | 77339 | $| 4836008 |
|  Axsome Therapeutics, Inc.<sup>(a)(b)</sup> | 50246 |  | 3875474 |
|  Cassava Sciences, Inc.<sup>(a)(b)</sup> | 60177 |  | 1777629 |
|  Chimerix, Inc.<sup>(a)(b)</sup> | 128913 |  | 239778 |
|  Corcept Therapeutics, Inc.<sup>(a)</sup> | 134532 |  | 2732345 |
|  DICE Therapeutics, Inc.<sup>(a)</sup> | 55018 |  | 1716562 |
|  Eagle Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 16363 |  | 478290 |
|  Edgewise Therapeutics, Inc.<sup>(a)</sup> | 58010 |  | 518609 |
|  Enanta Pharmaceuticals, Inc.<sup>(a)</sup> | 31265 |  | 1454448 |
|  Esperion Therapeutics, Inc.<sup>(a)</sup> | 119831 |  | 746547 |
|  Evolus, Inc.<sup>(a)(b)</sup> | 55919 |  | 419952 |
|  Harmony Biosciences Holdings, Inc.<sup>(a)(b)</sup> | 41284 |  | 2274748 |
|  Heska Corp.<sup>(a)(b)</sup> | 15229 |  | 946635 |
|  Innoviva, Inc.<sup>(a)</sup> | 99832 |  | 1322774 |
|  Intra-Cellular Therapies, Inc.<sup>(a)</sup> | 144546 |  | 7649374 |
|  Ironwood Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 215648 |  | 2671879 |
|  Liquidia Corp.<sup>(a)</sup> | 73726 |  | 469635 |
|  Nektar Therapeutics<sup>(a)</sup> | 291165 |  | 658033 |
|  Nuvation Bio, Inc.<sup>(a)</sup> | 179816 |  | 345247 |
|  Pacira BioSciences, Inc.<sup>(a)(b)</sup> | 70884 |  | 2736831 |
|  PetIQ, Inc.<sup>(a)</sup> | 43737 |  | 403255 |
|  Prestige Consumer Healthcare, Inc.<sup>(a)</sup> | 78585 |  | 4919421 |
|  Reata Pharmaceuticals, Inc., Class A<sup>(a)(b)</sup> | 43344 |  | 1646639 |
|  Revance Therapeutics, Inc.<sup>(a)(b)</sup> | 126244 |  | 2330464 |
|  SIGA Technologies, Inc. | 74223 |  | 546281 |
|  Supernus Pharmaceuticals, Inc.<sup>(a)</sup> | 77322 |  | 2758076 |
|  Syndax Pharmaceuticals, Inc.<sup>(a)</sup> | 83407 |  | 2122708 |
|  Tarsus Pharmaceuticals, Inc.<sup>(a)</sup> | 30297 |  | 444154 |
|  TG Therapeutics, Inc.<sup>(a)(b)</sup> | 208753 |  | 2469548 |
|  Theravance Biopharma, Inc.<sup>(a)</sup> | 101325 |  | 1136866 |
|  Theseus Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 24213 |  | 120581 |
|  Third Harmonic Bio, Inc.<sup>(a)</sup> | 17626 |  | 75792 |
|  Ventyx Biosciences, Inc.<sup>(a)</sup> | 38889 |  | 1275170 |
|  Xeris Biopharma Holdings, Inc.<sup>(a)</sup> | 204537 |  | 272034 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79097115 |
| **Photography — 0.0%** |  |  |  |
|  GoPro, Inc., Class A<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200936 |  | 1000661 |
| **Power Transmission Equipment — 0.2%** |  |  |  |
|  Advanced Energy Industries, Inc. | 59291 |  | 5085982 |
|  Babcock & Wilcox Enterprises, Inc.<sup>(a)(b)</sup> | 98961 |  | 571005 |
|  Cepton, Inc.<sup>(a)</sup> | 78507 |  | 99704 |
|  Powell Industries, Inc. | 15240 |  | 536143 |
|  Vicor Corp.<sup>(a)</sup> | 34598 |  | 1859643 |
|  |  |  | 8152477 |
| **Printing & Copying Services<sup>(a)</sup> — 0.2%** |  |  |  |
|  Casella Waste Systems, Inc., Class A | 78785 |  | 6248439 |
|  Cimpress PLC | 28502 |  | 786940 |
|  |  |  | 7035379 |
| **Producer Durables: Miscellaneous<sup>(a)</sup> —0.0%** | **Producer Durables: Miscellaneous<sup>(a)</sup> —0.0%** | **Producer Durables: Miscellaneous<sup>(a)</sup> —0.0%** | **Producer Durables: Miscellaneous<sup>(a)</sup> —0.0%** |
|  First Advantage Corp. | 92641 |  | 1204333 |
|  Solo Brands, Inc., Class A<sup>(b)</sup> | 32776 |  | 121927 |
|  |  |  | 1326260 |
| **Production Technology Equipment<sup>(a)</sup> — 0.5%** | **Production Technology Equipment<sup>(a)</sup> — 0.5%** | **Production Technology Equipment<sup>(a)</sup> — 0.5%** | **Production Technology Equipment<sup>(a)</sup> — 0.5%** |
|  ACM Research, Inc., Class A | 76354 |  | 588689 |
|  Axcelis Technologies, Inc. | 51560 |  | 4091802 |
|  Cohu, Inc. | 72349 |  | 2318785 |
|  HireRight Holdings Corp.<sup>(b)</sup> | 32758 |  | 388510 |
|  Ichor Holdings Ltd. | 43956 |  | 1178900 |
|  Onto Innovation, Inc. | 78230 |  | 5326681 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Production Technology Equipment (continued)** | **Production Technology Equipment (continued)** | **Production Technology Equipment (continued)** | **Production Technology Equipment (continued)** |
|  Photronics, Inc. | 94566 | $| 1591546 |
|  Ultra Clean Holdings, Inc. | 71096 |  | 2356832 |
|  Veeco Instruments, Inc.<sup>(b)</sup> | 79722 |  | 1481235 |
|  |  |  | 19322980 |
| **Professional Services<sup>(a)(b)</sup> — 0.2%** |  |  |  |
|  Alight, Inc., Class A | 535729 |  | 4478694 |
|  Legalzoom.com, Inc. | 150613 |  | 1165745 |
|  Planet Labs PBC | 247903 |  | 1078378 |
|  Skillsoft Corp. | 125407 |  | 163029 |
|  Spire Global, Inc. | 193228 |  | 185499 |
|  |  |  | 7071345 |
| **Publishing — 0.2%** |  |  |  |
|  Daily Journal Corp.<sup>(a)</sup> | 1917 |  | 480228 |
|  Gannett Co., Inc.<sup>(a)</sup> | 236046 |  | 479173 |
|  John Wiley & Sons, Inc., Class A | 67775 |  | 2715066 |
|  Scholastic Corp. | 46967 |  | 1853318 |
|  |  |  | 5527785 |
| **Radio & TV Broadcasters — 0.4%** |  |  |  |
|  Cumulus Media, Inc., Class A<sup>(a)</sup> | 28553 |  | 177314 |
|  Entravision Communications Corp., Class A | 95129 |  | 456619 |
|  Gray Television, Inc. | 130997 |  | 1465856 |
|  iHeartMedia, Inc., Class A<sup>(a)</sup> | 189588 |  | 1162175 |
|  Liberty Media Corp.-Liberty Braves,<br>Class A<sup>(a)(b)</sup> | 15906 |  | 519649 |
|  Liberty Media Corp.-Liberty Braves, Class C<sup>(a)</sup> | 59099 |  | 1904761 |
|  Sinclair Broadcast Group, Inc., Class A | 62766 |  | 973501 |
|  TEGNA, Inc. | 344073 |  | 7290907 |
|  |  |  | 13950782 |
| **Railroad Equipment — 0.2%** |  |  |  |
|  Greenbrier Cos., Inc. | 49890 |  | 1672812 |
|  Trinity Industries, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129639 |  | 3833425 |
|  |  |  | 5506237 |
| **Real Estate — 0.4%** |  |  |  |
|  Anywhere Real Estate, Inc.<sup>(a)</sup> | 162084 |  | 1035717 |
|  Cushman & Wakefield PLC<sup>(a)</sup> | 250850 |  | 3125591 |
|  eXp World Holdings, Inc. | 108543 |  | 1202656 |
|  Kennedy-Wilson Holdings, Inc. | 186352 |  | 2931317 |
|  Newmark Group, Inc., Class A<sup>(b)</sup> | 204467 |  | 1629602 |
|  Redfin Corp.<sup>(a)(b)</sup> | 169122 |  | 717077 |
|  RMR Group, Inc., Class A | 24351 |  | 687916 |
|  St. Joe Co.<sup>(b)</sup> | 54373 |  | 2101516 |
|  Stratus Properties, Inc. | 9109 |  | 175713 |
|  Tejon Ranch Co.<sup>(a)</sup> | 32564 |  | 613506 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14220611 |
| **Real Estate Investment & Services — 0.0%** |  |  |  |
|  Chicago Atlantic Real Estate Finance, Inc. | 8586 |  | 129391 |
| **Real Estate Investment Trusts (REITs) — 6.3%** | **Real Estate Investment Trusts (REITs) — 6.3%** | **Real Estate Investment Trusts (REITs) — 6.3%** | **Real Estate Investment Trusts (REITs) — 6.3%** |
|  Acadia Realty Trust | 141868 |  | 2035806 |
|  AFC Gamma, Inc. | 25101 |  | 394839 |
|  Agree Realty Corp. | 134371 |  | 9530935 |
|  Alexander & Baldwin, Inc. | 115301 |  | 2159588 |
|  Alexander's, Inc. | 3368 |  | 741162 |
|  American Assets Trust, Inc. | 77785 |  | 2061303 |
|  Angel Oak Mortgage, Inc. | 18499 |  | 87500 |
|  Apartment Investment & Management Co., Class A | 236326 |  | 1682641 |
|  Apollo Commercial Real Estate Finance, Inc. | 222021 |  | 2388946 |
|  Apple Hospitality REIT, Inc. | 339492 |  | 5357184 |
|  Arbor Realty Trust, Inc. | 260597 |  | 3437274 |
|  Ares Commercial Real Estate Corp. | 82078 |  | 844583 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Real Estate Investment Trusts (REITs) (continued)** | **Real Estate Investment Trusts (REITs) (continued)** | **Real Estate Investment Trusts (REITs) (continued)** |
|  Armada Hoffler Properties, Inc. | 104968 | $1207132 |
|  ARMOUR Residential REIT, Inc. | 182480 | 1027362 |
|  Ashford Hospitality Trust, Inc.<sup>(a)</sup> | 53148 | 237572 |
|  Blackstone Mortgage Trust, Inc., Class A | 265177 | 5613797 |
|  Bluerock Homes Trust, Inc. | 5708 | 121637 |
|  Braemar Hotels & Resorts, Inc. | 106168 | 436350 |
|  Brandywine Realty Trust | 270049 | 1660801 |
|  BrightSpire Capital, Inc. | 146433 | 912278 |
|  Broadmark Realty Capital, Inc. | 208728 | 743072 |
|  Broadstone Net Lease, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263247 | 4267234 |
|  BRT Apartments Corp. | 19693 | 386771 |
|  CareTrust REIT, Inc. | 152378 | 2831183 |
|  CBL & Associates Properties, Inc.<sup>(b)</sup> | 41858 | 966083 |
|  Centerspace | 24312 | 1426385 |
|  Chatham Lodging Trust | 75637 | 928066 |
|  City Office REIT, Inc. | 65402 | 548069 |
|  Claros Mortgage Trust, Inc. | 145148 | 2135127 |
|  Clipper Realty, Inc. | 23302 | 149133 |
|  Community Healthcare Trust, Inc. | 36847 | 1319123 |
|  CoreCivic, Inc.<sup>(a)</sup> | 176745 | 2043172 |
|  Corporate Office Properties Trust | 177780 | 4611613 |
|  CTO Realty Growth, Inc.<sup>(b)</sup> | 27368 | 500287 |
|  DiamondRock Hospitality Co. | 330984 | 2710759 |
|  Diversified Healthcare Trust | 375306 | 242748 |
|  Dynex Capital, Inc. | 69406 | 882844 |
|  Easterly Government Properties, Inc. | 143866 | 2052968 |
|  Ellington Financial, Inc. | 90622 | 1120994 |
|  Elme Communities | 137948 | 2455474 |
|  Empire State Realty Trust, Inc., Class A<sup>(b)</sup> | 212805 | 1434306 |
|  Equity Commonwealth | 161850 | 4041394 |
|  Essential Properties Realty Trust, Inc. | 221814 | 5205975 |
|  Farmland Partners, Inc. | 77573 | 966560 |
|  Four Corners Property Trust, Inc. | 128209 | 3324459 |
|  Franklin BSP Realty Trust, Inc. | 133392 | 1720757 |
|  Franklin Street Properties Corp. | 158095 | 431599 |
|  GEO Group, Inc.<sup>(a)</sup> | 181328 | 1985542 |
|  Getty Realty Corp. | 63224 | 2140132 |
|  Gladstone Commercial Corp. | 62634 | 1158729 |
|  Gladstone Land Corp. | 50752 | 931299 |
|  Global Medical REIT, Inc. | 98085 | 929846 |
|  Global Net Lease, Inc. | 164432 | 2066910 |
|  Granite Point Mortgage Trust, Inc. | 84377 | 452261 |
|  Hersha Hospitality Trust, Class A | 48635 | 414370 |
|  Independence Realty Trust, Inc. | 349797 | 5897577 |
|  Indus Realty Trust, Inc. | 8253 | 523983 |
|  Industrial Logistics Properties Trust | 99885 | 326624 |
|  Innovative Industrial Properties, Inc. | 43822 | 4441360 |
|  InvenTrust Properties Corp. | 106924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2530891 |
|  Invesco Mortgage Capital, Inc. | 52085 | 663042 |
|  iStar, Inc. | 109189 | 833112 |
|  Kite Realty Group Trust | 343808 | 7237158 |
|  KKR Real Estate Finance Trust, Inc. | 91319 | 1274813 |
|  LTC Properties, Inc. | 63003 | 2238497 |
|  LXP Industrial Trust | 419998 | 4208380 |
|  MFA Financial, Inc. | 161928 | 1594991 |
|  National Health Investors, Inc. | 64453 | 3365736 |
|  Necessity Retail REIT, Inc. | 210869 | 1250453 |
|  New York Mortgage Trust, Inc. | 563315 | 1442086 |
|  Nexpoint Real Estate Finance, Inc. | 12113 | 192476 |
|  NexPoint Residential Trust, Inc. | 35714 | 1554273 |
|  Office Properties Income Trust | 74499 | 994562 |
|  One Liberty Properties, Inc. | 25572 | 568210 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 89

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Real Estate Investment Trusts (REITs) (continued)** | **Real Estate Investment Trusts (REITs) (continued)** | **Real Estate Investment Trusts (REITs) (continued)** | **Real Estate Investment Trusts (REITs) (continued)** |
|  Orchid Island Capital, Inc.<sup>(b)</sup> | 55012 | $| 577626 |
|  Orion Office REIT, Inc. | 92198 |  | 787371 |
|  Outfront Media, Inc. | 231438 |  | 3837242 |
|  Paramount Group, Inc. | 300959 |  | 1787696 |
|  Pebblebrook Hotel Trust | 204966 |  | 2744495 |
|  PennyMac Mortgage Investment Trust | 142433 |  | 1764745 |
|  Phillips Edison & Co., Inc. | 184871 |  | 5886293 |
|  Physicians Realty Trust | 355028 |  | 5137255 |
|  Piedmont Office Realty Trust, Inc., Class A | 192850 |  | 1768435 |
|  Plymouth Industrial REIT, Inc. | 60351 |  | 1157532 |
|  Postal Realty Trust, Inc., Class A | 27919 |  | 405663 |
|  PotlatchDeltic Corp. | 125566 |  | 5523648 |
|  Ready Capital Corp. | 103781 |  | 1156120 |
|  Redwood Trust, Inc. | 184115 |  | 1244617 |
|  Retail Opportunity Investments Corp. | 190297 |  | 2860164 |
|  RLJ Lodging Trust | 253096 |  | 2680287 |
|  RPT Realty | 133870 |  | 1344055 |
|  Sabra Health Care REIT, Inc. | 364224 |  | 4527304 |
|  Safehold, Inc. | 42618 |  | 1219727 |
|  Saul Centers, Inc. | 18784 |  | 764133 |
|  Service Properties Trust | 260521 |  | 1899198 |
|  STAG Industrial, Inc. | 284694 |  | 9198463 |
|  Summit Hotel Properties, Inc. | 164140 |  | 1185091 |
|  Sunstone Hotel Investors, Inc. | 334735 |  | 3233540 |
|  Tanger Factory Outlet Centers, Inc. | 160011 |  | 2870597 |
|  Terreno Realty Corp. | 117293 |  | 6670453 |
|  TPG RE Finance Trust, Inc. | 106899 |  | 725844 |
|  Two Harbors Investment Corp. | 136289 |  | 2149278 |
|  UMH Properties, Inc. | 78691 |  | 1266925 |
|  Uniti Group, Inc. | 374357 |  | 2070194 |
|  Universal Health Realty Income Trust | 20518 |  | 979324 |
|  Urban Edge Properties | 180550 |  | 2543950 |
|  Urstadt Biddle Properties, Inc., Class A | 46553 |  | 882179 |
|  Veris Residential, Inc.<sup>(a)</sup> | 135921 |  | 2165222 |
|  Whitestone REIT | 73796 |  | 711393 |
|  Xenia Hotels & Resorts, Inc. | 180146 |  | 2374324 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230702541 |
| **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** |
|  American Realty Investors, Inc.<sup>(a)</sup> | 2389 |  | 61278 |
|  Bluegreen Vacations Holding Corp. | 10868 |  | 271265 |
|  Compass, Inc., Class A<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427652 |  | 996429 |
|  DigitalBridge Group, Inc. | 242404 |  | 2651900 |
|  Doma Holdings, Inc.<sup>(a)</sup> | 211562 |  | 95816 |
|  Forestar Group, Inc.<sup>(a)</sup> | 28202 |  | 434593 |
|  Offerpad Solutions, Inc.<sup>(a)(b)</sup> | 105470 |  | 48569 |
|  Transcontinental Realty Investors, Inc.<sup>(a)</sup> | 1939 |  | 85665 |
|  |  |  | 4645515 |
| **Recreational Vehicles & Boats — 0.3%** |  |  |  |
|  Camping World Holdings, Inc., Class A | 60729 |  | 1355471 |
|  LCI Industries | 39204 |  | 3624410 |
|  Malibu Boats, Inc., Class A<sup>(a)</sup> | 32067 |  | 1709171 |
|  Marine Products Corp. | 12431 |  | 146313 |
|  MasterCraft Boat Holdings, Inc.<sup>(a)</sup> | 28135 |  | 727852 |
|  Winnebago Industries, Inc. | 45927 |  | 2420353 |
|  |  |  | 9983570 |
| **Rental & Leasing Services: Consumer — 0.1%** | **Rental & Leasing Services: Consumer — 0.1%** | **Rental & Leasing Services: Consumer — 0.1%** | **Rental & Leasing Services: Consumer — 0.1%** |
|  Rent-A-Center, Inc., Class A | 77482 |  | 1747219 |
| **Restaurants — 1.2%** |  |  |  |
|  Biglari Holdings, Inc., Class B<sup>(a)</sup> | 1350 |  | 187380 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Restaurants (continued)** |  |  |  |
|  BJ's Restaurants, Inc.<sup>(a)</sup> | 35365 | $| 932929 |
|  Bloomin' Brands, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134102 |  | 2698132 |
|  Brinker International, Inc.<sup>(a)</sup> | 68547 |  | 2187335 |
|  Cheesecake Factory, Inc.<sup>(b)</sup> | 74718 |  | 2369308 |
|  Cracker Barrel Old Country Store, Inc. | 34504 |  | 3268909 |
|  Dave & Buster's Entertainment, Inc.<sup>(a)</sup> | 67712 |  | 2399713 |
|  Denny's Corp.<sup>(a)(b)</sup> | 88946 |  | 819193 |
|  Dine Brands Global, Inc. | 23321 |  | 1506537 |
|  El Pollo Loco Holdings, Inc. | 31184 |  | 310593 |
|  Jack in the Box, Inc. | 33414 |  | 2279837 |
|  Kura Sushi USA, Inc., Class A<sup>(a)(b)</sup> | 7587 |  | 361748 |
|  Noodles & Co.<sup>(a)</sup> | 67772 |  | 372068 |
|  ONE Group Hospitality, Inc.<sup>(a)(b)</sup> | 33654 |  | 212020 |
|  Papa John's International, Inc.<sup>(b)</sup> | 51468 |  | 4236331 |
|  Rush Street Interactive, Inc.<sup>(a)</sup> | 94256 |  | 338379 |
|  Ruth's Hospitality Group, Inc. | 51537 |  | 797793 |
|  Shake Shack, Inc., Class A<sup>(a)(b)</sup> | 59169 |  | 2457288 |
|  Sweetgreen, Inc., Class A<sup>(a)</sup> | 138272 |  | 1184991 |
|  Texas Roadhouse, Inc. | 104918 |  | 9542292 |
|  Wingstop, Inc.<sup>(b)</sup> | 47301 |  | 6509564 |
|  |  |  | 44972340 |
| **Road & Rail<sup>(a)(b)</sup> — 0.0%** |  |  |  |
|  Bird Global, Inc., Class A | 264846 |  | 47725 |
|  TuSimple Holdings, Inc., Class A | 220774 |  | 362070 |
|  |  |  | 409795 |
| **Scientific Instruments: Control & Filter — 0.7%** | **Scientific Instruments: Control & Filter — 0.7%** | **Scientific Instruments: Control & Filter — 0.7%** | **Scientific Instruments: Control & Filter — 0.7%** |
|  Arlo Technologies, Inc.<sup>(a)</sup> | 135275 |  | 474815 |
|  Brady Corp., Class A | 72004 |  | 3391388 |
|  CIRCOR International, Inc.<sup>(a)</sup> | 29639 |  | 710151 |
|  Energy Recovery, Inc.<sup>(a)(b)</sup> | 86329 |  | 1768881 |
|  ESCO Technologies, Inc. | 40663 |  | 3559639 |
|  Gorman-Rupp Co. | 35263 |  | 903438 |
|  Helios Technologies, Inc. | 51342 |  | 2795059 |
|  Napco Security Technologies, Inc.<sup>(a)</sup> | 47050 |  | 1292934 |
|  Resideo Technologies, Inc.<sup>(a)</sup> | 228198 |  | 3753857 |
|  Thermon Group Holdings, Inc.<sup>(a)</sup> | 52262 |  | 1049421 |
|  Watts Water Technologies, Inc., Class A | 42440 |  | 6206001 |
|  |  |  | 25905584 |
| **Scientific Instruments: Electrical — 0.6%** | **Scientific Instruments: Electrical — 0.6%** | **Scientific Instruments: Electrical — 0.6%** | **Scientific Instruments: Electrical — 0.6%** |
|  Allied Motion Technologies, Inc. | 21363 |  | 743646 |
|  Atkore, Inc.<sup>(a)</sup> | 64445 |  | 7309352 |
|  AZZ, Inc. | 38462 |  | 1546173 |
|  EnerSys | 64376 |  | 4753524 |
|  Franklin Electric Co., Inc. | 72743 |  | 5801254 |
|  FTC Solar, Inc.<sup>(a)</sup> | 67315 |  | 180404 |
|  Preformed Line Products Co. | 4083 |  | 340073 |
|  |  |  | 20674426 |
| **Scientific Instruments: Gauges & Meters — 0.3%** | **Scientific Instruments: Gauges & Meters — 0.3%** | **Scientific Instruments: Gauges & Meters — 0.3%** | **Scientific Instruments: Gauges & Meters — 0.3%** |
|  Badger Meter, Inc. | 46173 |  | 5034242 |
|  FARO Technologies, Inc.<sup>(a)</sup> | 28471 |  | 837332 |
|  Itron, Inc.<sup>(a)</sup> | 71191 |  | 3605824 |
|  Mesa Laboratories, Inc.<sup>(b)</sup> | 7945 |  | 1320539 |
|  Transcat, Inc.<sup>(a)(b)</sup> | 11162 |  | 791051 |
|  Vishay Precision Group, Inc.<sup>(a)</sup> | 19811 |  | 765695 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12354683 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Scientific Instruments: Pollution Control<sup>(a)</sup> — 0.2%** | **Scientific Instruments: Pollution Control<sup>(a)</sup> — 0.2%** | **Scientific Instruments: Pollution Control<sup>(a)</sup> — 0.2%** |
|  Evoqua Water Technologies Corp.<sup>(b)</sup> | 185626 | $7350790 |
|  Heritage-Crystal Clean, Inc. | 25071 | 814306 |
|  |  | 8165096 |
| **Securities Brokerage & Services — 0.1%** | **Securities Brokerage & Services — 0.1%** | **Securities Brokerage & Services — 0.1%** |
|  BGC Partners, Inc., Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501547 | 1890832 |
|  StoneX Group, Inc.<sup>(a)</sup> | 27149 | 2587300 |
|  |  | 4478132 |
| **Semiconductors & Components — 1.6%** |  |  |
|  Alpha & Omega Semiconductor Ltd.<sup>(a)</sup> | 34747 | 992722 |
|  Amkor Technology, Inc. | 160138 | 3840109 |
|  Atomera, Inc.<sup>(a)</sup> | 32540 | 202399 |
|  AXT, Inc.<sup>(a)</sup> | 60702 | 265875 |
|  CEVA, Inc.<sup>(a)</sup> | 36533 | 934514 |
|  Diodes, Inc.<sup>(a)(b)</sup> | 70244 | 5348378 |
|  FormFactor, Inc.<sup>(a)</sup> | 121659 | 2704480 |
|  Kulicke & Soffa Industries, Inc. | 90069 | 3986454 |
|  MACOM Technology Solutions Holdings, Inc., Class H<sup>(a)</sup> | 78190 | 4924406 |
|  MaxLinear, Inc.<sup>(a)</sup> | 114773 | 3896543 |
|  Power Integrations, Inc. | 88373 | 6338111 |
|  Rambus, Inc.<sup>(a)</sup> | 167521 | 6000602 |
|  Semtech Corp.<sup>(a)</sup> | 99872 | 2865328 |
|  Silicon Laboratories, Inc.<sup>(a)(b)</sup> | 51613 | 7002336 |
|  SiTime Corp.<sup>(a)(b)</sup> | 25571 | 2598525 |
|  SkyWater Technology, Inc.<sup>(a)(b)</sup> | 17469 | 124205 |
|  SMART Global Holdings, Inc.<sup>(a)</sup> | 72922 | 1085079 |
|  Vishay Intertechnology, Inc. | 199790 | 4309470 |
|  |  | 57419536 |
| **Semiconductors & Semiconductor Equipment<sup>(a)</sup> — 0.2%** | **Semiconductors & Semiconductor Equipment<sup>(a)</sup> — 0.2%** | **Semiconductors & Semiconductor Equipment<sup>(a)</sup> — 0.2%** |
|  Ambarella, Inc. | 57479 | 4726498 |
|  Credo Technology Group Holding Ltd. | 152109 | 2024571 |
|  indie Semiconductor, Inc., Class A<sup>(b)</sup> | 163028 | 950453 |
|  Rigetti Computing, Inc.<sup>(b)</sup> | 49521 | 36111 |
|  Rockley Photonics Holdings Ltd. | 157479 | 22063 |
|  Transphorm, Inc. | 33131 | 180232 |
|  |  | 7939928 |
| **Shipping — 0.8%** |  |  |
|  A-Mark Precious Metals, Inc. | 28876 | 1002863 |
|  Eagle Bulk Shipping, Inc. | 21469 | 1072162 |
|  Eneti, Inc. | 35609 | 357870 |
|  Genco Shipping & Trading Ltd. | 57601 | 884751 |
|  Golar LNG Ltd.<sup>(a)</sup> | 158779 | 3618573 |
|  International Seaways, Inc. | 77748 | 2878231 |
|  Matson, Inc. | 58302 | 3644458 |
|  Nordic American Tankers Ltd. | 309229 | 946241 |
|  Safe Bulkers, Inc. | 113192 | 329389 |
|  Scorpio Tankers, Inc. | 73566 | 3955644 |
|  SFL Corp. Ltd. | 181298 | 1671568 |
|  SITE Centers Corp. | 307346 | 4198346 |
|  Teekay Corp.<sup>(a)</sup> | 107763 | 489244 |
|  Teekay Tankers Ltd., Class A<sup>(a)</sup> | 36070 | 1111317 |
|  Tidewater, Inc.<sup>(a)</sup> | 71082 | 2619372 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28780029 |
| **Software — 0.9%** |  |  |
|  Amplitude, Inc., Class A<sup>(a)(b)</sup> | 88227 | 1065782 |
|  Arteris, Inc.<sup>(a)</sup> | 26145 | 112424 |
|  AvePoint, Inc.<sup>(a)(b)</sup> | 206992 | 850737 |
|  AvidXchange Holdings, Inc.<sup>(a)</sup> | 231302 | 2299142 |
|  Blend Labs, Inc., Class A<sup>(a)</sup> | 298721 | 430158 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Software (continued)** |  |  |
|  C3.ai, Inc., Class A<sup>(a)(b)</sup> | 90302 | $1010479 |
|  Cipher Mining, Inc.<sup>(a)(b)</sup> | 60361 | 33802 |
|  Clear Secure, Inc., Class A | 98171 | 2692831 |
|  Consensus Cloud Solutions, Inc.<sup>(a)</sup> | 28022 | 1506463 |
|  Couchbase, Inc.<sup>(a)</sup> | 42120 | 558511 |
|  CS Disco, Inc.<sup>(a)</sup> | 36009 | 227577 |
|  Cvent Holding Corp.<sup>(a)</sup> | 69124 | 373270 |
|  Duck Creek Technologies, Inc.<sup>(a)</sup> | 121567 | 1464882 |
|  Enfusion, Inc., Class A<sup>(a)(b)</sup> | 42489 | 410869 |
|  EngageSmart, Inc.<sup>(a)</sup> | 56064 | 986726 |
|  EverCommerce, Inc.<sup>(a)</sup> | 39680 | 295219 |
|  ForgeRock, Inc., Class A<sup>(a)(b)</sup> | 59319 | 1350694 |
|  Greenidge Generation Holdings, Inc.<sup>(a)(b)</sup> | 14396 | 4162 |
|  Instructure Holdings, Inc.<sup>(a)(b)</sup> | 26762 | 627301 |
|  Intapp, Inc.<sup>(a)(b)</sup> | 23364 | 582698 |
|  IronNet, Inc.<sup>(a)(b)</sup> | 100143 | 23033 |
|  Kaleyra, Inc.<sup>(a)</sup> | 45549 | 34394 |
|  KnowBe4, Inc., Class A<sup>(a)</sup> | 114925 | 2847842 |
|  Latch, Inc.<sup>(a)(b)</sup> | 169067 | 120021 |
|  MarketWise, Inc.<sup>(a)</sup> | 26299 | 44182 |
|  MeridianLink, Inc.<sup>(a)(b)</sup> | 35842 | 492111 |
|  Model N, Inc.<sup>(a)</sup> | 57640 | 2337878 |
|  N-able, Inc.<sup>(a)(b)</sup> | 106155 | 1091273 |
|  NextNav, Inc.<sup>(a)(b)</sup> | 107065 | 313701 |
|  Olo, Inc., Class A<sup>(a)(b)</sup> | 141885 | 886781 |
|  Qualys, Inc.<sup>(a)</sup> | 60855 | 6829757 |
|  Terawulf, Inc.<sup>(a)</sup> | 33175 | 22081 |
|  UserTesting, Inc.<sup>(a)(b)</sup> | 73236 | 550002 |
|  Weave Communications, Inc.<sup>(a)</sup> | 46166 | 211440 |
|  Zeta Global Holdings Corp., Class A<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170313 | 1391457 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34079680 |
| **Specialty Retail — 2.2%** |  |  |
|  1-800-Flowers.com, Inc., Class A<sup>(a)</sup> | 40715 | 389235 |
|  Aaron's Co., Inc. | 48408 | 578476 |
|  Abercrombie & Fitch Co., Class A<sup>(a)</sup> | 75077 | 1720014 |
|  Academy Sports & Outdoors, Inc.<sup>(b)</sup> | 121641 | 6391018 |
|  Alta Equipment Group, Inc. | 33149 | 437235 |
|  American Eagle Outfitters, Inc. | 243281 | 3396203 |
|  America's Car-Mart, Inc.<sup>(a)</sup> | 9390 | 678521 |
|  Arko Corp. | 133381 | 1155079 |
|  Asbury Automotive Group, Inc.<sup>(a)(b)</sup> | 34953 | 6265325 |
|  Bed Bath & Beyond, Inc.<sup>(a)(b)</sup> | 128500 | 322535 |
|  Big 5 Sporting Goods Corp.<sup>(b)</sup> | 34568 | 305235 |
|  Blink Charging Co.<sup>(a)(b)</sup> | 55491 | 608736 |
|  Boot Barn Holdings, Inc.<sup>(a)</sup> | 46573 | 2911744 |
|  Buckle, Inc. | 47656 | 2161200 |
|  Build-A-Bear Workshop, Inc.<sup>(a)</sup> | 21911 | 522358 |
|  Caleres, Inc. | 56159 | 1251223 |
|  Cato Corp., Class A | 28029 | 261511 |
|  Chico's FAS, Inc.<sup>(a)</sup> | 196057 | 964600 |
|  Children's Place, Inc.<sup>(a)(b)</sup> | 20305 | 739508 |
|  Citi Trends, Inc.<sup>(a)(b)</sup> | 12362 | 327346 |
|  Conn's, Inc.<sup>(a)</sup> | 22927 | 157738 |
|  Container Store Group, Inc.<sup>(a)</sup> | 51861 | 223521 |
|  Designer Brands, Inc., Class A<sup>(b)</sup> | 78004 | 762879 |
|  Destination XL Group, Inc.<sup>(a)</sup> | 92328 | 623214 |
|  EVgo, Inc.<sup>(a)(b)</sup> | 109452 | 489250 |
|  Express, Inc.<sup>(a)(b)</sup> | 99247 | 101232 |
|  Foot Locker, Inc. | 126307 | 4773142 |
|  Genesco, Inc.<sup>(a)</sup> | 20412 | 939360 |
|  Group 1 Automotive, Inc.<sup>(b)</sup> | 22076 | 3981848 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 91

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Specialty Retail (continued)** |  |  |  |
|  Guess?, Inc. | 46468 | $| 961423 |
|  Haverty Furniture Cos., Inc. | 23263 |  | 695564 |
|  Hibbett, Inc. | 19450 |  | 1326879 |
|  JOANN, Inc. | 17579 |  | 50100 |
|  Lands' End, Inc.<sup>(a)</sup> | 22749 |  | 172665 |
|  LL Flooring Holdings, Inc.<sup>(a)(b)</sup> | 43286 |  | 243267 |
|  MarineMax, Inc.<sup>(a)(b)</sup> | 32948 |  | 1028637 |
|  Monro, Inc. | 48532 |  | 2193646 |
|  Murphy USA, Inc. | 32855 |  | 9184287 |
|  National Vision Holdings, Inc.<sup>(a)(b)</sup> | 123797 |  | 4798372 |
|  ODP Corp.<sup>(a)</sup> | 62283 |  | 2836368 |
|  OneWater Marine, Inc., Class A<sup>(a)</sup> | 17370 |  | 496782 |
|  Party City Holdco, Inc.<sup>(a)</sup> | 175980 |  | 64321 |
|  RealReal, Inc.<sup>(a)(b)</sup> | 137039 |  | 171299 |
|  Sally Beauty Holdings, Inc.<sup>(a)</sup> | 168346 |  | 2107692 |
|  Shoe Carnival, Inc. | 27348 |  | 653891 |
|  Sonic Automotive, Inc., Class A | 27785 |  | 1368967 |
|  Sportsman's Warehouse Holdings, Inc.<sup>(a)</sup> | 58450 |  | 550014 |
|  Tilly's, Inc., Class A<sup>(a)</sup> | 36062 |  | 326361 |
|  Torrid Holdings, Inc.<sup>(a)(b)</sup> | 19872 |  | 58821 |
|  TravelCenters of America, Inc.<sup>(a)</sup> | 19693 |  | 881853 |
|  Urban Outfitters, Inc.<sup>(a)</sup> | 100770 |  | 2403364 |
|  Volta, Inc.<sup>(a)</sup> | 188784 |  | 67094 |
|  Warby Parker, Inc., Class A<sup>(a)(b)</sup> | 131696 |  | 1776579 |
|  Zumiez, Inc.<sup>(a)</sup> | 24244 |  | 527065 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78384597 |
| **Steel — 0.4%** |  |  |  |
|  ATI, Inc.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195858 |  | 5848320 |
|  Carpenter Technology Corp. | 75403 |  | 2785387 |
|  Ivanhoe Electric, Inc.<sup>(a)(b)</sup> | 23194 |  | 281807 |
|  Olympic Steel, Inc. | 14995 |  | 503532 |
|  Ryerson Holding Corp. | 30989 |  | 937727 |
|  Schnitzer Steel Industries, Inc., Class A | 40422 |  | 1238934 |
|  TimkenSteel Corp.<sup>(a)</sup> | 67997 |  | 1235506 |
|  |  |  | 12831213 |
| **Technology Hardware & Equipment — 0.1%** | **Technology Hardware & Equipment — 0.1%** | **Technology Hardware & Equipment — 0.1%** | **Technology Hardware & Equipment — 0.1%** |
|  CompoSecure, Inc.<sup>(a)(b)</sup> | 12055 |  | 59190 |
|  IonQ, Inc.<sup>(a)(b)</sup> | 191568 |  | 660910 |
|  Xerox Holdings Corp. | 180427 |  | 2634234 |
|  |  |  | 3354334 |
| **Technology: Miscellaneous — 0.5%** |  |  |  |
|  Aeva Technologies, Inc.<sup>(a)(b)</sup> | 147733 |  | 200917 |
|  Benchmark Electronics, Inc. | 55844 |  | 1490476 |
|  CTS Corp. | 50030 |  | 1972183 |
|  Fabrinet<sup>(a)</sup> | 57627 |  | 7388934 |
|  Kimball Electronics, Inc.<sup>(a)(b)</sup> | 37823 |  | 854422 |
|  Plexus Corp.<sup>(a)</sup> | 43326 |  | 4459545 |
|  |  |  | 16366477 |
| **Telecommunications Equipment<sup>(a)</sup> — 0.2%** | **Telecommunications Equipment<sup>(a)</sup> — 0.2%** | **Telecommunications Equipment<sup>(a)</sup> — 0.2%** | **Telecommunications Equipment<sup>(a)</sup> — 0.2%** |
|  Akoustis Technologies, Inc.<sup>(b)</sup> | 85653 |  | 241541 |
|  Cambium Networks Corp. | 18365 |  | 397970 |
|  Clearfield, Inc. | 18459 |  | 1737730 |
|  Knowles Corp. | 141371 |  | 2321312 |
|  Viavi Solutions, Inc. | 359124 |  | 3774393 |
|  |  |  | 8472946 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Textile Products — 0.0%** |  |  |  |
|  Interface, Inc. | 92851 | $| 916439 |
|  Unifi, Inc.<sup>(a)</sup> | 21341 |  | 183746 |
|  |  |  | 1100185 |
| **Textiles Apparel & Shoes — 0.6%** | **Textiles Apparel & Shoes — 0.6%** | **Textiles Apparel & Shoes — 0.6%** | **Textiles Apparel & Shoes — 0.6%** |
|  Crocs, Inc.<sup>(a)(b)</sup> | 94960 |  | 10296513 |
|  Fossil Group, Inc.<sup>(a)</sup> | 75434 |  | 325120 |
|  G-III Apparel Group Ltd.<sup>(a)</sup> | 68846 |  | 943879 |
|  Kontoor Brands, Inc. | 87665 |  | 3505723 |
|  Oxford Industries, Inc. | 23856 |  | 2222902 |
|  PLBY Group, Inc.<sup>(a)(b)</sup> | 51541 |  | 141738 |
|  Rocky Brands, Inc. | 11548 |  | 272764 |
|  Steven Madden Ltd. | 118736 |  | 3794802 |
|  Superior Group of Cos., Inc. | 17077 |  | 171794 |
|  Weyco Group, Inc. | 9117 |  | 192916 |
|  Wolverine World Wide, Inc. | 123505 |  | 1349910 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23218061 |
| **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** |
|  Allbirds, Inc., Class A<sup>(a)(b)</sup> | 152870 |  | 369945 |
|  Ermenegildo Zegna NV | 88399 |  | 925538 |
|  |  |  | 1295483 |
| **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** |
|  22nd Century Group, Inc.<sup>(a)(b)</sup> | 252696 |  | 232607 |
|  Blue Foundry Bancorp<sup>(a)(b)</sup> | 41952 |  | 539083 |
|  Enact Holdings, Inc. | 47948 |  | 1156506 |
|  Karat Packaging, Inc. | 8762 |  | 125910 |
|  Turning Point Brands, Inc. | 24568 |  | 531406 |
|  Universal Corp. | 38103 |  | 2012219 |
|  Vector Group Ltd. | 226767 |  | 2689456 |
|  |  |  | 7287187 |
| **Toys — 0.0%** |  |  |  |
|  Funko, Inc., Class A<sup>(a)(b)</sup> | 50748 |  | 553661 |
| **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** |
|  Hudson Technologies, Inc.<sup>(a)</sup> | 66670 |  | 674700 |
| **Transportation Miscellaneous — 0.2%** | **Transportation Miscellaneous — 0.2%** | **Transportation Miscellaneous — 0.2%** | **Transportation Miscellaneous — 0.2%** |
|  Costamare, Inc. | 84457 |  | 783761 |
|  Hub Group, Inc., Class A<sup>(a)</sup> | 50303 |  | 3998585 |
|  Textainer Group Holdings Ltd. | 65068 |  | 2017759 |
|  |  |  | 6800105 |
| **Truckers — 0.7%** |  |  |  |
|  ArcBest Corp. | 38585 |  | 2702493 |
|  Covenant Logistics Group, Inc. | 13934 |  | 481698 |
|  Daseke, Inc.<sup>(a)</sup> | 67766 |  | 385589 |
|  Forward Air Corp. | 42419 |  | 4449329 |
|  FRP Holdings, Inc.<sup>(a)(b)</sup> | 10729 |  | 577864 |
|  Heartland Express, Inc. | 73712 |  | 1130742 |
|  Marten Transport Ltd. | 92016 |  | 1820077 |
|  PAM Transportation Services, Inc.<sup>(a)</sup> | 10329 |  | 267521 |
|  Saia, Inc.<sup>(a)(b)</sup> | 41598 |  | 8722269 |
|  Universal Logistics Holdings, Inc. | 11496 |  | 384426 |
|  Werner Enterprises, Inc. | 98181 |  | 3952767 |
|  |  |  | 24874775 |
| **Utilities: Electrical — 1.4%** |  |  |  |
|  ALLETE, Inc. | 90449 |  | 5834865 |
|  Avista Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110092 |  | 4881479 |
|  Black Hills Corp. | 100430 |  | 7064246 |
|  Clearway Energy, Inc., Class A | 54947 |  | 1644014 |
|  Clearway Energy, Inc., Class C | 129432 |  | 4124998 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Utilities: Electrical (continued)** |  |  |  |
|  MGE Energy, Inc. | 57444 | $| 4044058 |
|  NorthWestern Corp. | 88966 |  | 5279243 |
|  Otter Tail Corp. | 64902 |  | 3810396 |
|  PNM Resources, Inc. | 132890 |  | 6483703 |
|  Portland General Electric Co. | 138799 |  | 6801151 |
|  Unitil Corp. | 25177 |  | 1293091 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51261244 |
| **Utilities: Gas Distributors — 0.9%** | **Utilities: Gas Distributors — 0.9%** | **Utilities: Gas Distributors — 0.9%** | **Utilities: Gas Distributors — 0.9%** |
|  Chesapeake Utilities Corp. | 26238 |  | 3100807 |
|  New Jersey Resources Corp. | 149999 |  | 7442950 |
|  Northwest Natural Holding Co. | 54649 |  | 2600746 |
|  South Jersey Industries, Inc. | 193806 |  | 6885927 |
|  Southwest Gas Holdings, Inc. | 104672 |  | 6477103 |
|  Spire, Inc. | 80459 |  | 5540407 |
|  |  |  | 32047940 |
| **Utilities: Miscellaneous — 0.4%** | **Utilities: Miscellaneous — 0.4%** | **Utilities: Miscellaneous — 0.4%** | **Utilities: Miscellaneous — 0.4%** |
|  Brookfield Infrastructure Corp., Class A | 154537 |  | 6011489 |
|  Ormat Technologies, Inc. | 77539 |  | 6705573 |
|  |  |  | 12717062 |
| **Utilities: Telecommunications — 0.8%** | **Utilities: Telecommunications — 0.8%** | **Utilities: Telecommunications — 0.8%** | **Utilities: Telecommunications — 0.8%** |
|  8x8, Inc.<sup>(a)</sup> | 185794 |  | 802630 |
|  ATN International, Inc. | 17193 |  | 779015 |
|  Cogent Communications Holdings, Inc. | 67872 |  | 3874134 |
|  Consolidated Communications Holdings, Inc.<sup>(a)</sup> | 116797 |  | 418133 |
|  Globalstar, Inc.<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1076161 |  | 1431294 |
|  IDT Corp., Class B<sup>(a)</sup> | 23937 |  | 674305 |
|  Iridium Communications, Inc.<sup>(a)</sup> | 195740 |  | 10061036 |
|  LiveVox Holdings, Inc.<sup>(a)</sup> | 36149 |  | 107363 |
|  Radius Global Infrastructure, Inc., Class A<sup>(a)</sup> | 119987 |  | 1418246 |
|  Shenandoah Telecommunications Co.<sup>(b)</sup> | 76417 |  | 1213502 |
|  Telephone & Data Systems, Inc. | 158226 |  | 1659791 |
|  U.S. Cellular Corp.<sup>(a)(b)</sup> | 23362 |  | 487098 |
|  Xperi, Inc. | 65156 |  | 560993 |
|  Ziff Davis, Inc.<sup>(a)</sup> | 72089 |  | 5702240 |
|  |  |  | 29189780 |
| **Utilities: Water — 0.5%** | **Utilities: Water — 0.5%** | **Utilities: Water — 0.5%** | **Utilities: Water — 0.5%** |
|  American States Water Co. | 58249 |  | 5390945 |
|  Artesian Resources Corp., Class A | 13005 |  | 761833 |
|  California Water Service Group | 85634 |  | 5192846 |
|  Global Water Resources, Inc. | 22439 |  | 297990 |
|  Middlesex Water Co. | 26037 |  | 2048331 |
|  Pure Cycle Corp.<sup>(a)</sup> | 31022 |  | 325110 |
|  SJW Group | 42626 |  | 3460805 |
|  York Water Co. | 22682 |  | 1020236 |
|  |  |  | 18498096 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Wireless Telecommunication Services — 0.0%** | **Wireless Telecommunication Services — 0.0%** | **Wireless Telecommunication Services — 0.0%** |
|  KORE Group Holdings, Inc.<sup>(a)</sup> | 54213 | $68308 |
|  **Total Common Stocks — 98.2%<br>(Cost: $3,223,081,094)** | **Total Common Stocks — 98.2%<br>(Cost: $3,223,081,094)** | 3574146195 |
|  **Investment Companies** |  |  |
| **Equity Funds — 0.9%** |  |  |
|  iShares Russell 2000 ETF<sup>(b)(d)(e)</sup> | 196753 | 34305853 |
|  **Total Investment Companies — 0.9%<br>(Cost: $33,509,545)** | **Total Investment Companies — 0.9%<br>(Cost: $33,509,545)** | 34305853 |
|  **Rights** |  |  |
| **Diversified Consumer Services — 0.0%** | **Diversified Consumer Services — 0.0%** | **Diversified Consumer Services — 0.0%** |
|  PLBY Group, Inc., (Expires 01/19/23, Strike Price USD<sup>(b)</sup> | 51541 | 1 |
|  **Total Rights — 0.0%<br>(Cost: $—)** | **Total Rights — 0.0%<br>(Cost: $—)** | 1 |
|  **Total Long-Term Investments —99.1%<br>(Cost: $3,256,590,639)** | **Total Long-Term Investments —99.1%<br>(Cost: $3,256,590,639)** | 3608452049 |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 9.8%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(d)(e)(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;319239283 | 319335055 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(d)(e)</sup> | 34903521 | 34903521 |
|  **Total Short-Term Securities —9.8%<br>(Cost: $354,073,281)** | **Total Short-Term Securities —9.8%<br>(Cost: $354,073,281)** | 354238576 |
|  **Total Investments — 108.9%<br>(Cost: $3,610,663,920)** | **Total Investments — 108.9%<br>(Cost: $3,610,663,920)** | 3962690625 |
|  **Liabilities in Excess of Other Assets — (8.9)%** | **Liabilities in Excess of Other Assets — (8.9)%** | (322328041) |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $3640362584 |

---

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

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(d)</sup> Affiliate of the Series.

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

<sup>(f)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

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

S E R I E S S C H E D U L E O F I N V E S T M E N T S 93

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br>|

---

**Affiliates** 

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<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 Cash Funds: Institutional, SL Agency Shares | $262643563 | $56651397 <sup>(a)</sup> | $— | $(54402) | $94497 | $319335055 | 319239283 | $5133169 <sup>(b)</sup> | $– |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 32243211 | 2660310 <sup>(a)</sup> |  |  |  | 34903521 | 34903521 | 502100 | – |
|  iShares Russell 2000 ETF | 23512520 | 608561835 | (595425369) | (1388414) | (954719) | 34305853 | 196753 | 401794 | – |
|  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;(1442816) | $(860222) | $388544429 |  | $6037063 | $– |

---

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

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Notional*<br> *Amount (000)* | *Value/*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 291 | 03/17/23 | $25767 | $(363330) |

---

**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> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Percentage* |
|  Equity Securities Long | Monthly | Goldman Sachs Bank USA<sup>(b)</sup> | 02/27/23 | $3165061 | $66361 <sup>(c)</sup> | $3227493 | 0.1% |
|  | Monthly | HSBC Bank USA N.A.<sup>(d)</sup> | 02/10/23 | 3601568 | 4060 <sup>(e)</sup> | 3597688 | 0.1 |
|  | Monthly | JPMorgan Chase Bank<br>N.A.<sup>(f)</sup> | 02/08/23 | 4408122 | (80987)<sup>(g)</sup> | 4295879 | 0.1 |
|  |  |  |  |  | $(10566) | $11121060 |  |

---

<sup>(a)</sup> The Series receives the total return on a portfolio of long positions underlying the total return swap. The Series pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Series pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. 

<sup>(c)</sup> Amount includes $3,929 of net dividends and financing fees. 

<sup>(e)</sup> Amount includes $7,940 of net dividends and financing fees. 

<sup>(g)</sup> Amount includes $31,256 of net dividends and financing fees. 

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | (b) | (d) | (d) | (f) |
|  Range: | 65 basis points |  | 65 basis points | 65 basis points |
|  Benchmarks: | USD - 1D Overnight Fed Funds Effective Rate |  | USD - 1D Overnight Bank Funding Rate<br>(OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |
|  | (FEDL01) |  |  |  |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br>|

---

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Reference Entity — Long** |  |  |  |
| **Common Stocks** |  |  |  |
| **Banks: Diversified** |  |  |  |
|  Ameris Bancorp | 37 | $1744 | 0.1% |
|  Berkshire Hills Bancorp, Inc. | 4898 | 146450 | 4.5 |
|  Cadence Bank | 48172 | 1187922 | 36.8 |
|  Central Pacific Financial Corp. | 277 | 5618 | 0.2 |
|  Columbia Banking System, Inc. | 12750 | 384157 | 11.9 |
|  Community Bank System, Inc. | 2302 | 144911 | 4.5 |
|  First Financial Bancorp | 2563 | 62101 | 1.9 |
|  Hanmi Financial Corp. | 3913 | 96847 | 3.0 |
|  Hope Bancorp, Inc. | 10766 | 137912 | 4.3 |
|  Independent Bank Corp. | 657 | 55471 | 1.7 |
|  NBT Bancorp, Inc. | 445 | 19322 | 0.6 |
|  Northwest Bancshares, Inc. | 6929 | 96867 | 3.0 |
|  OFG Bancorp | 1347 | 37123 | 1.1 |
|  Pacific Premier Bancorp, Inc. | 1697 | 53557 | 1.7 |
|  Simmons First National Corp., Class A | 3425 | 73912 | 2.3 |
|  Trustmark Corp. | 1313 | 45837 | 1.4 |
|  United Community Banks, Inc. | 5705 | 192829 | 6.0 |
|  |  | 2742580 |  |
| **Banks: Savings, Thrift & Mortgage Lending** | **Banks: Savings, Thrift & Mortgage Lending** | **Banks: Savings, Thrift & Mortgage Lending** | **Banks: Savings, Thrift & Mortgage Lending** |
|  Homestreet, Inc. | 2872 | 79210 | 2.4 |
|  **Gas Utilities** |  |  |  |
|  Chesapeake Utilities Corp. | 822 | 97144 | 3.0 |
|  **Insurance: Property-Casualty** |  |  |  |
|  Genworth Financial, Inc., Class A | 4713 | 24932 | 0.8 |
|  Stewart Information Services Corp. | 170 | 7264 | 0.2 |
|  |  | 32196 |  |
|  **Real Estate Investment Trusts (REITs)** |  |  |  |
|  Getty Realty Corp. | 1221 | 41331 | 1.3 |
|  **Thrifts & Mortgage Finance** |  |  |  |
|  WSFS Financial Corp. | 1835 | 83199 | 2.6 |
|  **Water Utilities** |  |  |  |
|  Middlesex Water Co. | 1930 | 151833 | 4.7 |
|  **Net Value of Reference Entity — Goldman Sachs Bank USA** | **Net Value of Reference Entity — Goldman Sachs Bank USA** | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3227493 |  |

---

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Reference Entity — Long** |  |  |  |
| **Common Stocks** |  |  |  |
| **Alternative Energy** |  |  |  |
|  Green Plains, Inc. | 23522 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;717421 | 19.9% |
| **Banks: Diversified** |  |  |  |
|  Ameris Bancorp | 2174 | 102482 | 2.9 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Banks: Diversified (continued)** |  |  |  |
|  Bancorp, Inc. | 123 | $3491 | 0.1% |
|  Banner Corp. | 1440 | 91008 | 2.5 |
|  First Bancorp/Southern Pines NC | 1465 | 62760 | 1.7 |
|  First Commonwealth Financial Corp. | 7310 | 102121 | 2.8 |
|  First Financial Bancorp | 3191 | 77318 | 2.2 |
|  Hope Bancorp, Inc. | 9241 | 118377 | 3.3 |
|  Independent Bank Corp. | 2364 | 199592 | 5.5 |
|  NBT Bancorp, Inc. | 1373 | 59616 | 1.7 |
|  Preferred Bank/Los Angeles CA | 8864 | 661432 | 18.4 |
|  Renasant Corp. | 1798 | 67587 | 1.9 |
|  Seacoast Banking Corp. of Florida | 1988 | 62006 | 1.7 |
|  Simmons First National Corp., Class A | 358 | 7726 | 0.2 |
|  Southside Bancshares, Inc. | 1005 | 36170 | 1 |
|  Veritex Holdings, Inc. | 1725 | 48438 | 1.3 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1700124 |  |
|  **Banks: Savings, Thrift & Mortgage Lending** | **Banks: Savings, Thrift & Mortgage Lending** | **Banks: Savings, Thrift & Mortgage Lending** |  |
|  Berkshire Hills Bancorp, Inc. | 1653 | 49425 | 1.4 |
|  **Commercial Finance & Mortgage Companies** | **Commercial Finance & Mortgage Companies** | **Commercial Finance & Mortgage Companies** |  |
|  Pathward Financial, Inc. | 888 | 38228 | 1.1 |
|  **Commercial Services** |  |  |  |
|  GEO Group, Inc. | 5512 | 60356 | 1.7 |
|  **Computer Services Software & Systems** | **Computer Services Software & Systems** | **Computer Services Software & Systems** |  |
|  Envestnet, Inc. | 2719 | 167762 | 4.7 |
|  **Insurance: Property-Casualty** |  |  |  |
|  Genworth Financial, Inc., Class A | 4124 | 21816 | 0.6 |
|  James River Group Holdings Ltd. | 9323 | 194944 | 5.4 |
|  Safety Insurance Group, Inc. | 370 | 31176 | 0.9 |
|  |  | 247936 |  |
|  **Office Supplies & Equipment** |  |  |  |
|  Pitney Bowes, Inc. | 74700 | 283860 | 7.9 |
|  **Real Estate Investment Trusts (REITs)** |  |  |  |
|  Acadia Realty Trust | 5122 | 73501 | 2 |
|  Getty Realty Corp. | 2118 | 71694 | 2 |
|  |  | 145195 |  |
|  **Utilities: Electrical** |  |  |  |
|  Avista Corp. | 4226 | 187381 | 5.2 |
|  **Net Value of Reference Entity — HSBC Bank PLC** | **Net Value of Reference Entity — HSBC Bank PLC** | $3597688 |  |

---

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination date February 8, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Reference Entity — Long** |  |  |  |
| **Common Stocks** |  |  |  |
| **Banks: Diversified** |  |  |  |
|  Bancorp, Inc. | 7277 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;206521 | 4.8% |
|  Banner Corp. | 131 | 8279 | 0.2 |
|  Brookline Bancorp, Inc. | 5231 | 74019 | 1.7 |
|  Cadence Bank | 219 | 5400 | 0.1 |
|  Central Pacific Financial Corp. | 6136 | 124438 | 2.9 |
|  Eagle Bancorp, Inc. | 3094 | 136353 | 3.2 |
|  First Bancorp/Southern Pines NC | 3919 | 167890 | 3.9 |

---

S E R I E S S C H E D U L E O F I N V E S T M E N T S 95

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br>|

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
| **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** | **Banks: Diversified (continued)** |
|  Hanmi Financial Corp. | 7620 | $188595 | 4.4% |
|  Heritage Financial Corp. | 900 | 27576 | 0.7 |
|  Independent Bank Corp. | 2402 | 202801 | 4.7 |
|  Renasant Corp. | 1165 | 43792 | 1 |
|  S&T Bancorp, Inc. | 10053 | 343611 | 8 |
|  Seacoast Banking Corp. of Florida | 9035 | 281802 | 6.6 |
|  Veritex Holdings, Inc. | 7370 | 206950 | 4.8 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2018027 |  |
| **Commercial Finance & Mortgage Companies** | **Commercial Finance & Mortgage Companies** | **Commercial Finance & Mortgage Companies** |  |
|  Pathward Financial, Inc. | 1579 | 67976 | 1.6 |
| **Insurance** |  |  |  |
|  Employers Holdings, Inc. | 853 | 36790 | 0.8 |
| **Insurance: Multi-Line** |  |  |  |
|  Horace Mann Educators Corp. | 1037 | 38753 | 0.9 |
|  Safety Insurance Group, Inc. | 797 | 67155 | 1.6 |
|  |  | 105908 |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
| **Insurance: Property-Casualty** |  |  |  |
|  Pacific Premier Bancorp, Inc. | 13284 | $419243 | 9.7% |
|  ProAssurance Corp. | 4880 | 85253 | 2.0 |
|  |  | 504496 |  |
| **IT Services** |  |  |  |
|  Bread Financial Holdings, Inc. | 33429 | 1258936 | 29.3 |
| **Oil, Gas & Consumable Fuels** |  |  |  |
|  Golar LNG Ltd. | 506 | 11532 | 0.3 |
|  Green Plains, Inc. | 8336 | 254248 | 5.9 |
|  |  | 265780 |  |
| **Thrifts & Mortgage Finance** |  |  |  |
|  TrustCo Bank Corp./New York | 1010 | 37966 | 0.9 |
| **Net Value of Reference Entity —<br>JPMorgan Chase Bank N.A** |  | $4295879 |  |

---

**Balances Reported in the Statement of Assets and Liabilities for OTC Swaps** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Swap*<br> *Premiums*<br> *Paid* | *Swap*<br> *Premiums*<br> *Received* | *Unrealized*<br> *Appreciation* | *Unrealized*<br> *Depreciation* |
|  OTC Swaps | $— | $— | $70421 | $(80987) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Foreign*<br> *Currency<br> Exchange*<br> *Contracts* | *Interest<br>Rate<br> Contracts* | *Other<br> Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid | $— | $— | $70421 | $— | $— | $— | $70421 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $363330 | $— | $— | $— | $363330 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  |  | 80987 |  |  |  | 80987 |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444317 | $— | $— | $— | $444317 |

---

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

96 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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br>|

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement 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 | $— | $— | $(1070016) | $— | $— | $— | $(1070016) |
|  Swaps |  |  | (842217) |  |  |  | (842217) |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;(1912233) | $— | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;(1912233) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(546692) | $— | $— | $— | $(546692) |
|  Swaps |  |  | (159994) |  |  |  | (159994) |
|  | $— | $— | $(706686) | $— | $— | $— | $(706686) |

---

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

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $25100901 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | $11460553 |

---

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

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

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

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $90005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 70421 | 80987 |
|  Total derivative assets and liabilities in the Statement of Assets and Liabilities | 70421 | 170992 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (90005) |
|  Total derivative assets and liabilities subject to an MNA | $70421 | $80987 |

---

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Assets*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| <br>| *Net Amount*<br> *of Derivative*<br> *Assets* | <br>*<sup>(a)</sup>*  |
|  Goldman Sachs Bank USA | $66361 |  | $– | $66361 |  |
|  HSBC Bank USA N.A | 4060 |  | – | 4060 |  |
|  | $70421 |  | $– | $70421 |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Liabilities*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| <br>| *Cash*<br> *Collateral*<br> *Pledged* | <br>|
|  JPMorgan Chase Bank N.A | $80987 |  | $– | $(80987) | $– |

---

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

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

S E R I E S S C H E D U L E O F I N V E S T M E N T S 97

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Master Small Cap Index Series**<br>|

---

**Fair Value Hierarchy as of Period End** 

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &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; Common Stocks | $3574030118 | $— | $116077 | $3574146195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 34305853 |  |  | 34305853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights |  | 1 |  | 1 |
| &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 | 354238576 |  |  | 354238576 |
|  | $3962574547 | $1 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116077 | $3962690625 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70421 | $— | $70421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (363330) | (80987) |  | (444317) |
|  | $(363330) | $(10566) | $— | $(373896) |

---

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

*See notes to financial statements.* 

98 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

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | Master Small Cap<br> Index Series |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup> | $3574146196 |
|  Investments, at value — affiliated<sup>(c)</sup> | 388544429 |
|  Cash pledged: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 720000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 1705000 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 445512 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 281720 |
| &nbsp;&nbsp;&nbsp;&nbsp; Contributions from investors | 6866042 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 4328877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 81549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps | 70421 |
|  Prepaid expenses | 12686 |
|  Other assets | 4174 |
|  Total assets | 3977206606 |
|  **LIABILITIES** |  |
|  Bank overdraft | 2359560 |
|  Collateral on securities loaned | 319286652 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 13977348 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 848077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 6024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian fees | 100592 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 29896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors' fees | 9107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 8479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 47295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 90005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps | 80987 |
|  Total liabilities | 336844022 |
|  NET ASSETS | $3640362584 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $3288709775 |
|  Net unrealized appreciation (depreciation) | 351652809 |
|  NET ASSETS | $3640362584 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $3223081095 |
|  <sup>(b)</sup> Securities loaned, at value | $306115955 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $387582825 |

---

*See notes to financial statements.* 

S E R I E S F I N A N C I A L S T A T E M E N T S 99

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | Master Small Cap<br> Index Series |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $48386539 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 902361 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 10624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 5134702 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (122893) |
|  Total investment income | 54311333 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 393683 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 151233 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 68108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Directors | 35602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 15214 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 11529 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 32740 |
|  Total expenses | 708109 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (26057) |
|  Total expenses after fees waived and/or reimbursed | 682052 |
|  Net investment income | 53629281 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (32931360) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (1442816) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (1070016) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (842217) |
|  | (36286409) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (942382625) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (860222) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (546692) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (159994) |
|  | (943949533) |
|  Net realized and unrealized loss | (980235942) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(926606661) |

---

*See notes to financial statements.* 

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

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Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | Master Small Cap Index Series | Master Small Cap Index Series |
|  | Year Ended<br> 12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $53629281 | $46599564 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (36286409) | 325220722 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (943949533) | 204608412 |
|  Net increase (decrease) in net assets resulting from operations | (926606661) | 576428698 |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 1206262904 | 1298147027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (1208228644) | (1200858901) |
|  Net increase (decrease) in net assets derived from capital transactions | (1965740) | 97288126 |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (928572401) | 673716824 |
|  Beginning of year | 4568934985 | 3895218161 |
|  End of year | $3640362584 | $4568934985 |

---

*See notes to financial statements.* 

S E R I E S F I N A N C I A L S T A T E M E N T S 101

------

Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Master Small Cap Index Series | Master Small Cap Index Series | Master Small Cap Index Series | Master Small Cap Index Series | Master Small Cap Index Series |
| | 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 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (20.29)% | 14.84% | 20.08% | 25.70% | (10.96)% |
|  **Ratios to Average Net Assets**<sup>(a)</sup> |  |  |  |  |  |
|  Total expenses | 0.02% | 0.02% | 0.03% | 0.02% | 0.03% |
|  Total expenses after fees waived and/or reimbursed | 0.02% | 0.01% | 0.02% | 0.02% | 0.03% |
|  Net investment income | 1.36% | 1.03% | 1.29% | 1.49% | 1.49% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3640363 | $4568935 | $3895218 | $3325684 | $2309730 |
|  Portfolio turnover rate | 38% | 31% | 27% | 20% | 28% |

---

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

*See notes to financial statements.* 

102 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

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Notes to Financial Statements

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

Quantitative Master Series LLC (the "Master LLC") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Master LLC is organized as a Delaware statutory trust. Master Small Cap Index Series ("the "Series") is a series of the Master LLC. The Series is classified as diversified. The Series' Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the "Board") to issue non-transferable interests, subject to certain limitations.

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

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

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

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Series is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

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

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

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

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

**Other:** Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

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

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

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

&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;• 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.

S E R I E S N O T E S T O F I N A N C I A L S T A T E M E N T S 103

------

Notes to Financial Statements (continued)

&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.

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

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

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

---

| | | |
|:---|:---|:---|
| | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* |
|  Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
|  | (ii) | recapitalizations and other transactions across the capital structure; and |
| | (iii) | market multiples of comparable issuers. |
|  Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
|  | (ii) | quoted prices for similar investments or assets in active markets; and |
| | (iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
|  Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
|  | (ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
|  | (iii) | relevant news and other public sources; and |
| | (iv) | known secondary market transactions in the Private Company's interests and merger or acquisition activity in companies comparable to the Private Company. |

---

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Series 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 Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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Notes to Financial Statements (continued)

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

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

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

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

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

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Securities*<br> *Loaned at Value* | <br>| *Cash Collateral*<br> *Received* | <br>| *Net*<br> *Amount* | <br> *<sup>(b)</sup>*  |
|  Barclays Capital, Inc. | $7281307 |  | $(7281307) | $– | $— |  |
|  BMO Capital Markets Corp. | 1866136 |  | (1866136) | – |  |  |
|  BNP Paribas SA | 36162645 |  | (36162645) | – |  |  |
|  BofA Securities, Inc. | 39678593 |  | (39678593) | – |  |  |
|  Citadel Clearing LLC | 2936418 |  | (2936418) | – |  |  |
|  Citigroup Global Markets, Inc. | 23272804 |  | (23272804) | – |  |  |
|  Credit Suisse Securities (USA) LLC | 399474 |  | (399474) | – |  |  |
|  HSBC Bank PLC | 5386816 |  | (5386816) | – |  |  |
|  ING Financial Markets LLC | 80593 |  | (80593) | – |  |  |
|  J.P. Morgan Securities LLC | 124294437 |  | (124294437) | – |  |  |
|  Jefferies LLC | 4832877 |  | (4832877) | – |  |  |
|  Mizuho Securities USA LLC | 66085 |  | (64580) | – | 1505 |  |
|  Nomura Securities International, Inc. | 190260 |  | (190260) | – |  |  |
|  Pershing LLC | 47957 |  | (47957) | – |  |  |
|  Scotia Capital (USA), Inc. | 10466347 |  | (10466347) | – |  |  |
|  State Street Bank & Trust Co. | 4714147 |  | (4714147) | – |  |  |
|  Toronto-Dominion Bank | 16748568 |  | (16748568) | – |  |  |
|  UBS AG | 3749735 |  | (3749735) | – |  |  |
|  UBS Securities LLC | 13032638 |  | (13032638) | – |  |  |
|  Virtu Americas LLC | 147009 |  | (147009) | – |  |  |
|  Wells Fargo Bank N.A. | 4005247 |  | (4005247) | – |  |  |
|  Wells Fargo Securities LLC | 6755862 |  | (6755862) | – |  |  |
|  | $306115955 |  | $(306114450) | $– | $1505 |  |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Series is disclosed in the Series's Statement of Assets and Liabilities. 

<sup>(b)</sup> The market value of the loaned securities is determined as of December 31, 2022. Additional collateral is delivered to the Series on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty. 

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

S E R I E S N O T E S T O F I N A N C I A L S T A T E M E N T S 105

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Notes to Financial Statements (continued)

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

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

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

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

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

**Swaps:** Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Series and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract ("OTC swaps") or centrally cleared ("centrally cleared swaps").

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Series' basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and the CCP becomes the Series' counterparty on the swap. The Series is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Series is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statement of Operations, including those at termination.

&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 Series receives payment from or makes a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Series has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap's market value. The market value also includes interest charges and credits ("financing fees") related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Series and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Series and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

106 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

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Notes to Financial Statements (continued)

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

**Master Netting Arrangements:** In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Series and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

**Collateral Requirements:** For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Series and the counterparty.

Cash collateral that has been pledged to cover obligations of the Series and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Series, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Series. Any additional required collateral is delivered to/pledged by the Series on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Series generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Series from the counterparties are not fully collateralized, the Series bears the risk of loss from counterparty non-performance. Likewise, to the extent the Series has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, the Series bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

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

**Investment Advisory:** The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series' investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of the Series's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Series.

For such services, the Series pays the Manager a monthly fee at an annual rate equal to 0.01% of the average daily value of the Series' net assets.

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

**Expense Limitations, Waivers and Reimbursements:** The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the directors who are not "interested persons" of the Series, as defined in the 1940 Act ("Independent Directors"), or by a vote of a majority of the outstanding voting securities of the Series. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $23,039.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Series' assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $3,018 in investment advisory fees pursuant to this arrangement.

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series' business ("expense limitation"). The expense limitation as a percentage of average daily net assets is 0.07%.

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Series. For the year ended December 31, 2022, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as

S E R I E S N O T E S T O F I N A N C I A L S T A T E M E N T S 107

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Notes to Financial Statements (continued)

securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Series is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Series bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Series retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Series retains 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Series, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Series is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Series paid BTC $1,325,318 for securities lending agent services.

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

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

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

**Directors and Officers:** Certain directors and/or officers of Master LLC are directors and/or officers of BlackRock or its affiliates.

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

---

| | | | |
|:---|:---|:---|:---|
| *Series Name* | *Purchases* | *Sales* | *Net Realized*<br> *Gain (Loss)* |
|  Master Small Cap Index Series | $73268598 | $140788518 | $21621919 |

---

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

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $1,534,317,962 and $1,504,108,955, respectively.

***8. INCOME TAX INFORMATION***

The Series is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no U.S. federal income tax provision is required. It is intended that the Series' assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

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

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

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Notes to Financial Statements (continued)

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

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| | | | | |
|:---|:---|:---|:---|:---|
| *Series Name* | *Tax Cost* | *Gross Unrealized*<br> *Appreciation* | *Gross Unrealized*<br> *Depreciation* | *Net Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  Master Small Cap Index Series | $3743436195 | $987487079 | $(768275518) | $219211561 |

---

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

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

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

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

The Series may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

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

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

The price the Series could receive upon the sale of any particular portfolio investment may differ from the Series' valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Series' results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Series, and the Series could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Series' ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

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

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

S E R I E S N O T E S T O F I N A N C I A L S T A T E M E N T S 109

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Notes to Financial Statements (continued)

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

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

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

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

***11.***  ***SUBSEQUENT EVENTS*** 

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

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Report of Independent Registered Public Accounting Firm

To the Investors of Master Small Cap Index Series and the Board of Directors of Quantitative Master Series LLC:

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

We have audited the accompanying statement of assets and liabilities of Master Small Cap Index Series of Quantitative Master Series LLC (the "Fund"), including the schedule of investments, as of December 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

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

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

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

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

S E R I E S 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 111

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds<sup>SM</sup> (the "Trust"), BlackRock Index Funds, Inc. and Quantitative Master Series LLC (the "Corporations") have adopted and implemented a liquidity risk management program (the "Program") for iShares Municipal Bond Index Fund, iShares Short-Term TIPS Bond Index Fund, iShares MSCI EAFE International Index Fund, iShares Russell 2000 Small-Cap Index Fund and Master Small Cap Index Series (the "Funds"), each a series of the Trust or the respective Corporation, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Directors (the "Board") of the Corporations, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

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

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

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

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

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

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

112 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

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Director and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Directors<sup>(a)</sup>** | **Independent Directors<sup>(a)</sup>** | **Independent Directors<sup>(a)</sup>** | **Independent Directors<sup>(a)</sup>** | **Independent Directors<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** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br>(Since 2019) and<br>Director<br>(Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Director<br>(Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Director<br>(Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Director<br>(Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Director<br>(Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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D I R E C T O R A N D O F F I C E R I N F O R M A T I O N 113

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Director and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<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** |
| **Henry R. Keizer**<br> 1956 | Director<br>(Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Director<br>(Since 2007) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Director<br>(Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Director<br>(Since 2007) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Director<br>(Since 2007) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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Director and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<sup>(a)</sup>** (continued) | **Independent Directors<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** |
| **Claire A. Walton**<br> 1957 | Director<br>(Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |

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D I R E C T O R A N D O F F I C E R I N F O R M A T I O N 115

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Director and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Interested Directors<sup>(a)(d)</sup>** | **Interested Directors<sup>(a)(d)</sup>** | **Interested Directors<sup>(a)(d)</sup>** | **Interested Directors<sup>(a)(d)</sup>** | **Interested Directors<sup>(a)(d)</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**<br> **Held During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Director<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>(e)</sup>**<br> 1964 | Director<br>(Since 2015)<br>President and Chief<br>Executive Officer<br>(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 |  |

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

<sup>(b)</sup> Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

<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. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Director joined the Board, certain Independent Directors first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. 

<sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/Corporations based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

<sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Directors<sup>(a)</sup>** | **Officers Who Are Not Directors<sup>(a)</sup>** | **Officers Who Are Not Directors<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** |
| **Roland Villacorta**<br> 1971 | Vice President<br>(Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<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<br>(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<br>(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. |

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Director and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Directors<sup>(a)</sup>** (continued) | **Officers Who Are Not Directors<sup>(a)</sup>** (continued) | **Officers Who Are Not Directors<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering<br>Compliance Officer<br>(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. |

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

<sup>(b)</sup> Officers of the Trust/Corporation serve at the pleasure of the Board.

Further information about the Trust's/Corporations' Directors and Officers is available in the Trust's/Corporations' Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

<u> Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/Corporations and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/Corporations. Effective December 31, 2022, Joseph P. Platt retired as a Director of the Trust/Corporations. </u>

D I R E C T O R A N D O F F I C E R I N F O R M A T I O N 117

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Additional Information

**Dividend Policy** 

Each Fund's dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly/quarterly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by a Fund for any particular month/quarter may be more or less than the amount of net investment income earned by a Fund during such month/quarter. The portion of distributions that exceeds a Fund current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. The Funds' current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings (loss) in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

**General Information** 

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

**Householding** 

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

**Availability of Quarterly Schedule of Investments** 

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

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

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

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

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

**Automatic Investment Plans** 

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

**Systematic Withdrawal Plans** 

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

**Retirement Plans** 

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

118 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

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Additional Information (continued)

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

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

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

**Fund and Service Providers** 

**Investment Adviser and Administrator<sup>(a)</sup>** 

BlackRock Advisors, LLC

Wilmington, DE 19809

**Investment Adviser<sup>(b)</sup>** 

BlackRock Fund Advisors

San Francisco, CA 94105

**Sub-Adviser** 

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

**Accounting Agent and Custodian** 

State Street Bank and Trust Company

Boston, MA 02111

**Transfer Agent** 

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

**Distributor** 

BlackRock Investments, LLC

New York, NY 10022

**Independent Registered Public Accounting Firm** 

Deloitte & Touche LLP

Boston, MA 02116

**Legal Counsel** 

Sidley Austin LLP

New York, NY 10019

**Address of the Funds/Corporation/Master LLC** 

100 Bellevue Parkway

Wilmington, DE 19809

<sup>(a)</sup> Administrator to iShares short term TIPS Bond Index Fund, iShares MSCI EAFE

International Index Fund and iShares Russell 2000 Small-Cap Index Fund.

<sup>(b)</sup> For iShares Municipal Bond Index Fund.

A D D I T I O N A L I N F O R M A T I O N 119

------

Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ADR | American Depositary Receipt |
| AGC | Assured Guaranty Corp. |
| AGM | Assured Guaranty Municipal Corp. |
| AMBAC | AMBAC Assurance Corp. |
| AMT | Alternative Minimum Tax |
| ARB | Airport Revenue Bonds |
| BAB | Build America Bond |
| CAB | Capital Appreciation Bonds |
| COP | Certificates of Participation |
| CVA | Certificaten Van Aandelen (Dutch Certificate) |
| ETF | Exchange-Traded Fund |
| FTSE | Financial Times Stock Exchange |
| GO | General Obligation Bonds |
| PSF | Permanent School Fund |
| RB | Revenue Bond |
| REIT | Real Estate Investment Trust |
| SAP | Subject to Appropriations |
| SAW | State Aid Withholding |
| SCA | Societe en Commandite par Actions |

---

120 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

------

**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

iSIndex-12/22-AR

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| | |
|:---|:---|
| ![LOGO](g438114g42l24.jpg)  | ![LOGO](g438114leaf.jpg) |

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

---

| | |
|:---|:---|
| Item 2 – | Code of Ethics – Each registrant (or each, a "Fund") has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrants' principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrants undertake to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.  |

---

Item 3 – Audit Committee Financial Expert – Each registrant's board of directors (the "board of directors"), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Neil A. Cotty

Henry R. Keizer

Kenneth L. Urish

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

Item 4 – Principal Accountant Fees and Services

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **(a) Audit Fees** | **(a) Audit Fees** | **(b) Audit-Related**<br> **Fees<sup>1</sup>** | **(b) Audit-Related**<br> **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</u><br> <u>Year End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Previous</u> <br><u>Fiscal</u>**<br> **<u>Year End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Current</u>** <br> **<u>Fiscal</u><br> <u>Year</u>**<br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Previous</u> <br><u>Fiscal</u>**<br> **<u>Year</u>**<br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Current</u>** <br> **<u>Fiscal</u>**<br> **<u>Year</u>**<br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Previous</u>** <br> **<u>Fiscal</u>**<br> **<u>Year</u>**<br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Current</u> <br><u>Fiscal</u>**<br> **<u>Year</u>**<br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;**<u>Previous</u>** <br> **<u>Fiscal</u>**<br> **<u>Year</u>**<br> **<u>End</u>** |
| &nbsp;&nbsp;&nbsp;iShares MSCI EAFE International Index Fund | $32946 | $32623 | $44 | $207 | $15700 | $16400 | $431 | $0 |
| &nbsp;&nbsp;&nbsp;iShares Russell 2000 Small-Cap Index Fund | $7956 | $7878 | $44 | $207 | $22800 | $23500 | $431 | $0 |
| &nbsp;&nbsp;&nbsp;Master Small Cap Index Series | $28764 | $28482 | $44 | $207 | $16800 | $16800 | $431 | $0 |

---

**2** 

------

The following table presents fees billed by D&T that were required to be approved by each registrant's audit committee (each a "Committee") for services that relate directly to the operations or financial reporting of each Fund and that are rendered on behalf of BlackRock Advisors, LLC (the "Investment Adviser" or "BlackRock") and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to each Fund ("Affiliated Service Providers"):

---

| | | |
|:---|:---|:---|
|  | **Current Fiscal Year End** | **Previous Fiscal Year End** |
| &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 each Fund's principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of each Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

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

Each Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC's auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis ("general pre-approval"). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrants which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the registrant's Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

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

**3** 

------

&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:

---

| | | |
|:---|:---|:---|
| **<u>Entity Name</u>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>Current Fiscal Year</u>** <br> **<u>End</u>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>Previous Fiscal Year</u>** <br> **<u>End</u>** |
|  iShares MSCI EAFE International Index Fund | $16175 | $16607 |
|  iShares Russell 2000 Small-Cap Index Fund | $23275 | $23707 |
|  Master Small Cap Index Series | $17275 | $17007 |

---

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

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Current Fiscal Year<br>End | &nbsp;&nbsp;&nbsp;&nbsp;Previous Fiscal <br>Year End |
| &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 Registrants – Not Applicable

Item 6 – Investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrants' Schedules of Investments are 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.  |

---

**4** 

------

Item 11 – Controls and Procedures

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrants' principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants' disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the registrants' internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants' internal control over financial reporting.

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

[(a)(1) Code of Ethics – See Item 2](#item2)

(a)(2) [Section 302 Certifications are attached](d438114dex99cert.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](d438114dex99906cert.htm)

**5** 

------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Index Funds, Inc. and Quantitative Master Series LLC

---

| | |
|:---|:---|
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |

---

Date: February 23, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |

---

Date: February 23, 2023

---

| | |
|:---|:---|
| By: | /s/ Trent Walker  |
|  | Trent Walker |
|  | Chief Financial Officer (principal financial officer) of |
|  | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |

---

Date: February 23, 2023

**6**

## 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 Index Funds, Inc. and Quantitative Master Series LLC, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Index Funds, Inc. and Quantitative Master Series LLC;

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 registrants as of, and for, the periods presented in this report;

4. The registrants' 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 registrants 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 registrants, including their 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 registrants' 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 registrants' 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 registrants' internal control over financial reporting; and

5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards 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 registrants' 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 registrants' 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 Index Funds, Inc. and Quantitative Master Series LLC

------

**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 Index Funds, Inc. and Quantitative Master Series LLC, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Index Funds, Inc. and Quantitative Master Series LLC;

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 registrants as of, and for, the periods presented in this report;

4. The registrants' 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 registrants 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 registrants, including their 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 registrants' 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 registrants' 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 registrants' internal control over financial reporting; and

5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards 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 registrants' 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 registrants' internal control over financial reporting.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Index Funds, Inc. and Quantitative Master Series LLC

## 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 Index Funds, Inc. and Quantitative Master Series LLC (the "registrants"), hereby certifies, to the best of his knowledge, that the registrants' 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 registrants.

Date: February 23, 2023

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

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Index Funds, Inc. and Quantitative Master Series LLC

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Index Funds, Inc. and Quantitative Master Series LLC (the "registrants"), hereby certifies, to the best of his knowledge, that the registrants' 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 registrants.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Index Funds, Inc. and Quantitative Master Series LLC

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**.**