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: 811-23341
Name of Fund: BlackRock Funds IV
BlackRock Global Long/Short Credit Fund
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds IV, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 07/31/2020
Date of reporting period: 07/31/2020
Item 1 – Report to Stockholders
|
JULY 31, 2020 |
| 2020 Annual Report | ||
BlackRock Funds IV
| · |
BlackRock Global Long/Short Credit Fund |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first half of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus (or “COVID-19”) became more apparent throughout February and March 2020, countries around the world took economically disruptive countermeasures, causing a global recession and a sharp fall in equity prices. While markets have since recovered most of these losses as countries around the world adapt to life with the virus, lingering uncertainty about the depth and duration of the pandemic and an uptick in global infection rates tempered optimism late in the reporting period.
Returns for most securities were robust for the first half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. The subsequent rapid decline in equity prices was followed by a slow recovery, and some economic indicators began to improve. U.S. large-capitalization stocks, which are often considered more resilient than smaller companies during market turbulence, advanced significantly. International equities from developed economies ended the 12-month reporting period with negative performance, while emerging market stocks posted a positive return.
The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered solid returns, while high-yield corporate returns were more modest due to credit concerns.
The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the outbreak subsides. Several risks remain, however, including a potential resurgence of the coronavirus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.
Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for cyclical upside as re-openings continue.
In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| Total Returns as of July 31, 2020 | ||||
| 6-Month | 12-Month | |||
|
U.S. large cap equities
|
2.42% | 11.96% | ||
|
U.S. small cap equities
|
(7.61) | (4.59) | ||
|
International equities
|
(7.34) | (1.67) | ||
|
Emerging market equities
|
3.08 | 6.55 | ||
|
3-month Treasury bills
|
0.48 | 1.46 | ||
|
U.S. Treasury securities
|
9.92 | 15.55 | ||
|
U.S. investment grade bonds
|
5.69 | 10.12 | ||
|
Tax-exempt municipal bonds
|
1.75 | 4.89 | ||
|
U.S. high yield bonds
|
0.62 | 4.07 | ||
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | ||||
| 2 | THIS PAGE IS NOT PART OF YOUR FUND REPORT |
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Annual Report: |
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Financial Statements: |
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements |
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| 3 |
| Fund Summary as of July 31, 2020 | BlackRock Global Long/Short Credit Fund |
Investment Objective
BlackRock Global Long/Short Credit Fund’s (the “Fund”) investment objective is to seek absolute total returns over a complete market cycle.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended July 31, 2020, the Fund underperformed its benchmark, the ICE BofAML 3-Month U.S. Treasury Bill Index.
What factors influenced performance?
U.S. carry (income) strategies were the largest detractor from performance. In particular, positions in enhanced equipment trust certificates (“EETCs”) hurt results due to the negative impact of COVID-19 on the aviation industry. European carry strategies, which consisted primarily of floating rate loan interests (“bank loans”) and collateralized loan obligations (“CLOs”), also detracted. U.S. and European strategies used to manage risk, while helping performance throughout the broader financial market sell-off in the first quarter of 2020, detracted for the full period. Lastly, relative-value positions within U.S. energy hurt results.
The Fund’s U.S. absolute return strategies were the leading contributor to performance. Idiosyncratic long positions in technology boosted returns, as did event-related positions in technology and telecommunications. Positioning in U.S. investment grade bonds also aided performance. European absolute return strategies, particularly event-related positions in telecommunications and lease financing, further contributed. Relative-value positions in European high yield credit default swaps added value, as well.
As part of its investment strategy, the Fund uses derivatives to manage duration (sensitivity to interest rate movements) and currency risk. The Fund also has the flexibility to utilize derivatives in order to express a positive or negative view on a particular issuer or sector, or to manage overall credit risk. Derivatives may also serve as a more liquid way to express views. Depending on the market environment, the Fund may utilize various instruments, including but not limited to bonds, equities and derivatives.
The Fund’s derivative holdings had a net negative impact on performance in the 12-month period. While option positions designed to manage potential downside moves in the equity market and individual bond issuers was a slight contributor, the use of futures contracts and forward foreign currency transactions (which help manage non-dollar currency exposure back to U.S. dollars) more than offset these gains.
The Fund’s cash position was somewhat elevated during the period. This was partially a result of the fact that the Fund may express long and short positions via the credit default swap market, which does not require a cash outlay as it does with traditional cash bonds. Additionally, the cash weighting reflected the investment adviser’s effort to reduce portfolio risk in the first and second quarters of 2020. While the cash position did not have a material impact on the Fund’s performance, the decision to reduce risk helped protect against elevated market volatility.
Describe recent portfolio activity.
The Fund started the period with a net long position of 72% and ended the period with a net long position of 54%. The reduction in the net long position reflected an increase in the portfolio’s short positions, together with an overall reduction in long exposure. The Fund reduced positions in carry strategies in both the United States and Europe, most notably within bank loans and CLOs, and to a lesser extent in EETCs. Additionally, the Fund reduced short positions in European investment grade and high yield bonds. In the United States, the Fund trimmed the portfolio’s allocation to investment grade corporate bonds through most of the period. However, once the U.S. Fed introduced bond-buying facilities in the second quarter of 2020, the Fund opportunistically added back long positions in investment grade cash bonds.
More recently, given the increase in market dispersion created by the sell-off in the first quarter of 2020, the Fund focused on adding to absolute return strategies through both long and short positions, as well as through event-related positions. In both the United States and Europe, the Fund increased the portfolio’s short positions in investment grade credit default indexes. Lastly, the Fund opportunistically added long positions in U.S. high yield bonds and increased the use of equity options for risk-management purposes.
Overall, the Fund was positioned with a continued emphasis on absolute return strategies. The Fund sought individual issuers with a potential catalyst, as well as relative-value opportunities between asset classes.
Describe Fund positioning at period end.
The Fund maintained diversified exposure to credit risk, reflecting the investment adviser’s belief that the current market environment argues for an emphasis on diversification. The Fund held a larger allocation to absolute return strategies, which the investment adviser believes can benefit from elevated volatility and a wider dispersion of returns as markets react to factors such as geopolitical developments, central bank policies, commodity price movements and corporate earnings results. While directional risk remained an element of the portfolio, it was at a relatively low level by the Fund’s historical standards.
The Fund ended the period with a net short credit position in Europe of -3%, and net long positions 53% in the United States, 4% in Asia and the emerging markets, and 54% of net assets overall.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| 4 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| Fund Summary as of July 31, 2020 (continued) | BlackRock Global Long/Short Credit Fund |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) |
Commencement of operations. |
| (b) |
Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory fees and administration fees, if any. Institutional Shares do not have a sales charge. |
| (c) |
The Fund seeks to provide absolute total returns over a complete market cycle through diversified long and short exposure to the global fixed income markets. Under normal circumstances, the Fund invests at least 80% of its total assets in credit-related instruments. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock Global Long/ Short Credit Fund (the “Predecessor Fund”), a series of BlackRock FundsSM, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. |
| (d) |
An unmanaged index that tracks 3-Month U.S. Treasury securities. Effective January 1, 2020, the Fund’s benchmark was renamed from ICE BofAML 3-Month U.S. Treasury Bill Index to ICE BofA 3-Month U.S. Treasury Bill Index. |
Performance Summary for the Period Ended July 31, 2020
| Average Annual Total Returns (a)(b) | ||||||||||||||||||||||||||||||||||||||||||||
| 1 Year | 5 Years | Since Inception (c) | ||||||||||||||||||||||||||||||||||||||||||
|
Standardized
30-Day Yields |
Unsubsidized
30-Day Yields |
6-Month
Total Returns |
w/o sales
charge |
w/sales
charge |
w/o sales
charge |
w/sales
charge |
w/o sales
charge |
w/sales
charge |
||||||||||||||||||||||||||||||||||||
|
Institutional |
3.41 | % | 3.41 | % | (2.00 | )% | 0.96 | % | N/A | 1.72 | % | N/A | 2.48 | % | N/A | |||||||||||||||||||||||||||||
|
Investor A |
3.03 | 3.03 | (2.20 | ) | 0.69 | (3.34 | )% | 1.44 | 0.62 | % | 2.22 | 1.75 | % | |||||||||||||||||||||||||||||||
|
Investor C |
2.41 | 2.41 | (2.44 | ) | 0.03 | (0.94 | ) | 0.70 | 0.70 | 1.48 | 1.48 | |||||||||||||||||||||||||||||||||
|
Class K |
3.49 | 3.49 | (2.00 | ) | 1.04 | N/A | 1.81 | N/A | 2.53 | N/A | ||||||||||||||||||||||||||||||||||
|
ICE BofAML 3-Month U.S.
Treasury Bill
|
— | — | 0.48 | 1.46 | N/A | 1.20 | N/A | 0.70 | N/A | |||||||||||||||||||||||||||||||||||
| (a) |
Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” on page 7 for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. |
| (b) |
The Fund seeks to provide absolute total returns over a complete market cycle through diversified long and short exposure to the global fixed income markets. Under normal circumstances, the Fund invests at least 80% of its total assets in credit-related instruments. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock Global Long/Short Credit Fund (the “Predecessor Fund”), a series of BlackRock FundsSM, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. |
| (c) |
The Predecessor Fund commenced operations on September 30, 2011. |
|
N/A — Not Applicable as share class and index do not have a sales charge. |
|
Past performance is not indicative of future results. |
|
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
| FUND SUMMARY | 5 |
| Fund Summary as of July 31, 2020 (continued) | BlackRock Global Long/Short Credit Fund |
GEOGRAPHIC ALLOCATION
|
Percent of
Total Investments (a) |
||||||||||||
| Country/Geographic Region | Long | Short | Total | |||||||||
|
United States |
49 | % | 5 | % | 54 | % | ||||||
|
United Kingdom |
9 | 1 | 10 | |||||||||
|
Luxembourg |
5 | 1 | 6 | |||||||||
|
Spain |
4 | 1 | 5 | |||||||||
|
Netherlands |
2 | 1 | 3 | |||||||||
|
France |
3 | — | (b) | 3 | ||||||||
|
Canada |
3 | — | (b) | 3 | ||||||||
|
Italy |
3 | — | (b) | 3 | ||||||||
|
Germany |
3 | — | (b) | 3 | ||||||||
|
Ireland |
1 | 1 | 2 | |||||||||
|
Other(c) |
8 | — | 8 | |||||||||
|
Total |
90 | % | 10 | % | 100 | % | ||||||
| (a) |
Total investments include the gross market values of long and short positions and exclude Short-Term Securities, Options Purchased and Options Written. |
| (b) |
Represents less than 1% of the Fund’s total investments. |
| (c) |
Includes holdings within countries that are 1% or less of long-term investments. Please refer to the Schedule of Investments for such countries. |
CREDIT QUALITY ALLOCATION
|
Credit Rating (a) |
|
Percent of
Total Investments |
(b) |
|
|
AAA/Aaa (c) |
1 | % | ||
|
AA/Aa |
— | (d) | ||
|
A |
1 | |||
|
BBB/Baa |
17 | |||
|
BB/Ba |
37 | |||
|
B |
29 | |||
|
CCC/Caa |
5 | |||
|
CC/Ca |
— | (d) | ||
|
C |
— | (d) | ||
|
D |
— | (d) | ||
|
NR |
10 |
| (a) |
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 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 NR are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes short-term securities, options purchased, options written and borrowed bonds and investments sold short. |
| (c) |
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, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
| (d) |
Represents less than 1% of the Fund’s total investments. |
| 6 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
The Benefits and Risks of Leveraging
The Fund may utilize leverage to seek to enhance returns and net asset value (“NAV”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
The Fund may utilize leverage by entering into reverse repurchase agreements.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by the Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to the Fund’s shareholders, and the value of these portfolio holdings is reflected in the Fund’s per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.
Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence the Fund’s NAV positively or negatively in addition to the impact on the Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that the Fund’s leveraging strategy will be successful.
The use of leverage also generally causes greater changes in the Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of the Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs expenses in connection with the use of leverage, all of which are borne by the Fund’s shareholders and may reduce income.
Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Class K Shares performance shown prior to the Class K Shares inception date of March 28, 2016 is that of Institutional Shares. The performance of the Fund’s Class K Shares would be substantially similar to Institutional Shares because Class K Shares and Institutional Shares invest in the same portfolio of securities and performance would only differ to the extent that Class K Shares and Institutional Shares have different expenses. The actual returns of Class K Shares would have been higher than those of the Institutional Shares because Class K Shares have lower expenses than the Institutional Shares.
Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.
Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately ten years.
Performance information reflects past performance and does not guarantee future results. 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 tables on the previous page(s) assume reinvestment of all distributions, if any, at NAV on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. With respect to the Fund’s contractual waivers, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 6 of 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.
| THE BENEFITS AND RISKS OF LEVERAGING / ABOUT FUND PERFORMANCE | 7 |
Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on February 1, 2020 and held through July 31, 2020) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
| Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||||||||||
|
Including
Dividend Expense and Interest Expense |
Excluding
Dividend Expense and Interest Expense |
Including Dividend Expense
and Interest Expense |
Excluding Dividend Expense
and Interest Expense |
|||||||||||||||||||||||||||||||||||||
|
Beginning
Account Value (02/01/20) |
Ending
Account Value (07/31/20) |
Expenses
Paid During the Period (b) |
Expenses
Paid During the Period (c) |
Beginning
Account Value (02/01/20) |
Ending
Account Value (07/31/20) |
Expenses
Paid During the Period (b) |
Ending
Account Value (07/31/20) |
Expenses
Paid During the Period (c) |
||||||||||||||||||||||||||||||||
|
Institutional |
$ | 1,000.00 | $ | 980.00 | $ | 8.62 | $ | 5.51 | $ | 1,000.00 | $ | 1,016.16 | $ | 8.77 | $ | 1,019.29 | $ | 5.62 | ||||||||||||||||||||||
|
Investor A |
1,000.00 | 978.00 | 9.93 | 6.84 | 1,000.00 | 1,014.82 | 10.12 | 1,017.95 | 6.97 | |||||||||||||||||||||||||||||||
|
Investor C |
1,000.00 | 975.60 | 13.61 | 10.51 | 1,000.00 | 1,011.09 | 13.85 | 1,014.22 | 10.72 | |||||||||||||||||||||||||||||||
|
Class K |
1,000.00 | 980.00 | 8.22 | 5.12 | 1,000.00 | 1,016.56 | 8.37 | 1,019.69 | 5.22 | |||||||||||||||||||||||||||||||
| (a) |
Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) |
For each class of the Fund, expenses are equal to the annualized expense ratio for the class (1.75% for Institutional, 2.02% for Investor A, 2.77% for Investor C and 1.67% for Class K), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| (c) |
For each class of the Fund, expenses are equal to the annualized expense ratio for the class (1.12% for Institutional, 1.39% for Investor A, 2.14% for Investor C and 1.04% for Class K), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
Derivative Financial Instruments
The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| 8 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
|
Asset-Backed Securities — 2.5% |
|
|||||||||||
|
Cayman Islands — 0.7%(a)(b) |
||||||||||||
|
Battalion CLO X Ltd.,
|
USD | 2,000 | $ | 1,958,849 | ||||||||
|
Benefit Street Partners CLO II Ltd., Series 2013-IIA,
Class A2R,
|
1,800 | 1,777,870 | ||||||||||
|
CarVal CLO II Ltd.,
|
250 | 246,450 | ||||||||||
|
Dewolf Park CLO Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.15%), 2.43%, 10/15/30 |
1,000 | 963,910 | ||||||||||
|
Madison Park Funding XIX Ltd.,
|
2,000 | 1,938,037 | ||||||||||
|
Madison Park Funding XXV Ltd.,
|
1,000 | 986,831 | ||||||||||
|
Neuberger Berman CLO XXI Ltd.,
|
1,000 | 943,599 | ||||||||||
|
Octagon Investment Partners 32 Ltd.,
|
1,000 | 965,360 | ||||||||||
|
Octagon Investment Partners XIV Ltd.,
|
550 | 541,933 | ||||||||||
|
Palmer Square Loan Funding Ltd.,
|
1,500 | 1,476,571 | ||||||||||
|
Regatta Funding LP,
|
500 | 497,773 | ||||||||||
|
|
|
|||||||||||
| 12,297,183 | ||||||||||||
| Ireland — 1.2% | ||||||||||||
|
Anchorage Capital Europe CLO 2 DAC, Series 2X, Class E,
|
EUR | 1,300 | 1,431,916 | |||||||||
|
Aqueduct European CLO DAC,
|
919 | 923,607 | ||||||||||
|
Avoca CLO XV DAC:
|
1,765 | 1,756,677 | ||||||||||
|
Series 15X, Class FR, (EURIBOR 3 Month
|
3,425 | 3,113,740 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Ireland (continued) | ||||||||||||
|
Series 15X, Class M1,
|
EUR | 5,300 | $ | 3,998,166 | ||||||||
|
CVC Cordatus Loan Fund VI DAC,
|
4,445 | 1,928,755 | ||||||||||
|
Harvest CLO XXII DAC,
|
2,500 | 2,625,840 | ||||||||||
|
Harvest CLO XXIII DAC,
|
473 | 468,799 | ||||||||||
|
Invesco Euro CLO III DAC,
|
1,174 | 1,239,529 | ||||||||||
|
Madison Park Euro Funding X DAC,
|
1,100 | 657,655 | ||||||||||
|
OCP Euro CLO DAC,
|
1,000 | 935,599 | ||||||||||
|
Voya Euro CLO I DAC,
|
2,894 | 1,995,365 | ||||||||||
|
|
|
|||||||||||
| 21,075,648 | ||||||||||||
| Netherlands — 0.5% | ||||||||||||
|
Avoca CLO XIV DAC:
|
1,970 | 2,117,107 | ||||||||||
|
Series 14X, Class FR,
|
2,200 | 2,076,605 | ||||||||||
|
Series 14X, Class SUB,
|
1,500 | 881,448 | ||||||||||
|
OZLME III DAC:
|
1,600 | 1,638,146 | ||||||||||
|
Series 3X, Class SUB,
|
5,300 | 2,763,936 | ||||||||||
|
|
|
|||||||||||
| 9,477,242 | ||||||||||||
| United Kingdom — 0.1% | ||||||||||||
|
Greene King Finance plc,
|
GBP | 1,500 | 1,655,918 | |||||||||
|
|
|
|||||||||||
|
Total Asset-Backed Securities — 2.5%
|
|
44,505,991 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
|
Common Stocks — 0.4% |
||||||||||||
|
Brazil — 0.0% |
||||||||||||
|
Oi SA, ADR(d) |
67,264 | 110,986 | ||||||||||
|
|
|
|||||||||||
| Italy — 0.0% | ||||||||||||
|
Telecom Italia SpA |
164,091 | 65,962 | ||||||||||
|
|
|
|||||||||||
| Netherlands — 0.0% | ||||||||||||
|
Altice Europe NV(d) |
124,300 | 589,339 | ||||||||||
|
|
|
|||||||||||
| United Kingdom — 0.0% | ||||||||||||
|
Arrow Global Group plc |
22,576 | 22,341 | ||||||||||
|
New Look Secured Issuer plc(d)(e) |
21,796,216 | 285,313 | ||||||||||
|
|
|
|||||||||||
| 307,654 | ||||||||||||
| SCHEDULE OF INVESTMENTS | 9 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
|
Security |
Shares | Value | ||||||||||
| United States — 0.4% | ||||||||||||
|
Altice USA, Inc., Class A(d) |
7,063 | $ | 190,630 | |||||||||
|
Caesars Entertainment, Inc.(d) |
4,635 | 143,917 | ||||||||||
|
East Resources Acquisition Co.(d) |
12,575 | 125,624 | ||||||||||
|
Lions Gate Entertainment Corp.,
|
497,490 | 3,810,773 | ||||||||||
|
Taylor Morrison Home Corp.(d) |
33,384 | 782,855 | ||||||||||
|
Tribune Resources LLC, Class A(d) |
86,655 | 38,995 | ||||||||||
|
Western Digital Corp. |
20,000 | 862,000 | ||||||||||
|
|
|
|||||||||||
| 5,954,794 | ||||||||||||
|
|
|
|||||||||||
|
Total Common Stocks — 0.4%
|
7,028,735 | |||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| Corporate Bonds — 75.7% | ||||||||||||
| Australia — 0.2% | ||||||||||||
|
FMG Resources August 2006 Pty. Ltd.(a): |
||||||||||||
|
4.75%, 05/15/22 |
USD | 35 | 36,639 | |||||||||
|
5.13%, 03/15/23 |
24 | 25,320 | ||||||||||
|
5.13%, 05/15/24 |
36 | 38,430 | ||||||||||
|
Glencore Funding LLC, 0.00%,
|
2,600 | 2,252,432 | ||||||||||
|
Pacific National Finance Pty. Ltd.,
|
200 | 210,024 | ||||||||||
|
QBE Insurance Group Ltd., (USD Swap Rate 10 Year + 4.40%),
|
277 | 296,061 | ||||||||||
|
Santos Finance Ltd., 5.25%, 03/13/29 |
400 | 442,168 | ||||||||||
|
|
|
|||||||||||
| 3,301,074 | ||||||||||||
| Austria — 0.7% | ||||||||||||
|
ams AG: |
||||||||||||
|
0.88%, 09/28/22(f) |
2,600 | 2,288,000 | ||||||||||
|
0.00%, 03/05/25(f)(g) |
EUR | 600 | 480,604 | |||||||||
|
6.00%, 07/31/25 |
5,648 | 6,732,552 | ||||||||||
|
7.00%, 07/31/25(a) |
USD | 3,400 | 3,493,500 | |||||||||
|
|
|
|||||||||||
| 12,994,656 | ||||||||||||
| Brazil — 0.7% | ||||||||||||
|
Oi SA: |
||||||||||||
|
10.00%, (10.00% Cash or 4.00% PIK), 07/27/25(h) |
13,401 | 12,814,706 | ||||||||||
|
|
|
|||||||||||
| Canada — 2.5%(a) | ||||||||||||
|
1011778 BC ULC: |
||||||||||||
|
4.25%, 05/15/24 |
16,350 | 16,677,000 | ||||||||||
|
5.75%, 04/15/25 |
1,656 | 1,771,738 | ||||||||||
|
Air Canada Pass-Through Trust: |
||||||||||||
|
Series 2015-2, Class B,
|
11,533 | 9,573,020 | ||||||||||
|
Series 2017-1, Class B,
|
16,085 | 13,253,428 | ||||||||||
|
Bombardier, Inc., 8.75%, 12/01/21 |
1,500 | 1,500,000 | ||||||||||
|
Brookfield Residential Properties, Inc., 6.25%, 09/15/27 |
52 | 52,000 | ||||||||||
|
Mattamy Group Corp.: |
||||||||||||
|
5.25%, 12/15/27 |
52 | 53,950 | ||||||||||
|
4.63%, 03/01/30 |
379 | 384,685 | ||||||||||
|
|
|
|||||||||||
| 43,265,821 | ||||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| China — 1.0% | ||||||||||||
|
Agile Group Holdings Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%(b)(i) |
USD | 200 | $ | 197,500 | ||||||||
|
Bi Hai Co. Ltd., 6.25%, 03/05/22 |
200 | 204,187 | ||||||||||
|
China Aoyuan Group Ltd., 6.35%, 02/08/24 |
200 | 201,187 | ||||||||||
|
China Construction Bank Corp., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 2.45%, 06/24/30(b) |
300 | 304,449 | ||||||||||
|
China Evergrande Group, 4.25%, 02/14/23(f) |
HKD | 10,000 | 1,246,822 | |||||||||
|
China Huadian Overseas Development 2018 Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.07%), 3.38%(b)(i) |
USD | 225 | 227,813 | |||||||||
|
China Resources Land Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.14%), 3.75%(b)(i) |
245 | 248,522 | ||||||||||
|
China Shuifa Singyes Energy Holdings Ltd., 2.00%, (2.00% Cash or 6.00% PIK), 12/19/22(h) |
434 | 380,856 | ||||||||||
|
Coastal Emerald Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 7.45%), 4.30%(b)(i) |
290 | 295,075 | ||||||||||
|
Country Garden Holdings Co. Ltd., 5.40%, 05/27/25 |
200 | 209,562 | ||||||||||
|
European TopSoho SARL, Series SMCP, 4.00%, 09/21/21(f) |
EUR | 9,500 | 5,480,000 | |||||||||
|
Franshion Brilliant Ltd., 4.25%, 07/23/29 |
USD | 295 | 304,956 | |||||||||
|
Hilong Holding Ltd., 8.25%, 09/26/22(d)(j) |
200 | 81,250 | ||||||||||
|
Hopson Capital International Group Co. Ltd., 6.00%, 02/17/21 |
500 | 496,250 | ||||||||||
|
Huachen Energy Co. Ltd.,
|
446 | 142,999 | ||||||||||
|
Huarong Finance 2019 Co. Ltd.: |
||||||||||||
|
4.50%, 05/29/29 |
500 | 566,719 | ||||||||||
|
3.38%, 02/24/30 |
300 | 316,312 | ||||||||||
|
Huarong Finance Co. Ltd.: |
||||||||||||
|
3.25%, 11/13/24 |
400 | 415,117 | ||||||||||
|
3.88%, 11/13/29 |
300 | 326,344 | ||||||||||
|
Jingrui Holdings Ltd., 9.45%, 04/23/21 |
200 | 194,000 | ||||||||||
|
Kaisa Group Holdings Ltd.: |
||||||||||||
|
6.75%, 02/18/21 |
345 | 344,569 | ||||||||||
|
8.50%, 06/30/22 |
200 | 200,875 | ||||||||||
|
King Talent Management Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.52%), 5.60%(b)(i) |
400 | 344,375 | ||||||||||
|
Leader Goal International Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.92%), 4.25%(b)(i) |
200 | 203,250 | ||||||||||
|
Overseas Chinese Town Asia Holdings Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 7.71%), 4.30%(b)(i) |
275 | 275,344 | ||||||||||
|
Pearl Holding III Ltd., 9.50%, 12/11/22 |
400 | 105,814 | ||||||||||
|
Poseidon Finance 1 Ltd.,
|
860 | 843,291 | ||||||||||
|
Prime Bloom Holdings Ltd.,
|
1,003 | 333,811 | ||||||||||
|
Redsun Properties Group Ltd.,
|
500 | 512,969 | ||||||||||
| 10 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| China (continued) | ||||||||||||
|
Rock International Investment, Inc., 6.63%, 03/27/20(d)(j) |
USD | 743 | $ | 267,885 | ||||||||
|
Scenery Journey Ltd.,
|
265 | 256,636 | ||||||||||
|
Shanghai Port Group BVI Development 2 Co. Ltd.,
|
200 | 205,662 | ||||||||||
|
Sino-Ocean Land Treasure IV Ltd., 4.75%, 08/05/29 |
230 | 235,319 | ||||||||||
|
Sunny Express Enterprises Corp., 3.13%, 04/23/30 |
295 | 317,811 | ||||||||||
|
Tencent Holdings Ltd.,
|
250 | 277,440 | ||||||||||
|
Union Life Insurance Co. Ltd.,
|
386 | 354,276 | ||||||||||
|
Wanda Group Overseas Ltd.,
|
205 | 199,298 | ||||||||||
|
Weibo Corp., 1.25%, 11/15/22(f) |
8 | 7,570 | ||||||||||
|
Yango Justice International Ltd., 6.80%, 03/11/21 |
495 | 495,000 | ||||||||||
|
Yuzhou Group Holdings Co. Ltd., 6.00%, 10/25/23 |
230 | 227,412 | ||||||||||
|
|
|
|||||||||||
| 17,848,527 | ||||||||||||
| France — 2.3% | ||||||||||||
|
Accor SA, (EUR Swap Annual 5 Year + 4.56%), 4.37%(b)(i) |
EUR | 2,000 | 2,244,037 | |||||||||
|
Airbus SE, Series AMFP, 0.00%, 06/14/21(f)(g) |
3,200 | 3,738,983 | ||||||||||
|
Altice France SA, 5.88%, 02/01/27 |
5,974 | 7,503,561 | ||||||||||
|
BNP Paribas SA(i): |
||||||||||||
|
6.50% |
USD | 20 | 20,375 | |||||||||
|
(USD Swap Semi 5 Year + 4.15%), 6.63%(a)(b) |
2,400 | 2,487,000 | ||||||||||
|
(USD Swap Semi 5 Year + 5.15%), 7.38%(b) |
1,400 | 1,555,750 | ||||||||||
|
Capgemini SE, 1.13%, 06/23/30 |
EUR | 2,800 | 3,386,891 | |||||||||
|
Casino Guichard Perrachon SA: |
||||||||||||
|
(EUR Swap Annual 5 Year + 3.82%), 3.56%(b)(i) |
3,500 | 1,851,148 | ||||||||||
|
4.50%, 03/07/24(k) |
1,700 | 1,676,706 | ||||||||||
|
3.58%, 02/07/25(k) |
1,900 | 1,760,270 | ||||||||||
|
CMA CGM SA, 6.50%, 07/15/22 |
200 | 222,948 | ||||||||||
|
Credit Agricole SA(b)(i): |
||||||||||||
|
(USD Swap Semi 5 Year + 4.32%), 6.87%(a) |
USD | 800 | 844,000 | |||||||||
|
(GBP Swap 5 Year + 4.54%), 7.50% |
GBP | 1,400 | 2,002,115 | |||||||||
|
Faurecia SE: |
||||||||||||
|
2.63%, 06/15/25 |
EUR | 100 | 115,274 | |||||||||
|
3.75%, 06/15/28 |
100 | 117,795 | ||||||||||
|
Iliad SA, 2.38%, 06/17/26 |
100 | 118,643 | ||||||||||
|
JCDecaux SA, 2.63%, 04/24/28 |
1,800 | 2,259,165 | ||||||||||
|
Kapla Holding SAS: |
||||||||||||
|
(EURIBOR 3 Month + 3.25%), 3.25%, 12/15/26(b) |
100 | 109,248 | ||||||||||
|
3.38%, 12/15/26 |
200 | 217,921 | ||||||||||
|
Loxam SAS: |
||||||||||||
|
4.25%, 04/15/24 |
100 | 117,072 | ||||||||||
|
3.25%, 01/14/25 |
100 | 113,083 | ||||||||||
|
3.75%, 07/15/26 |
400 | 453,982 | ||||||||||
|
MMS USA Investments, Inc., 1.75%, 06/13/31 |
300 | 358,934 | ||||||||||
|
Picard Groupe SAS, (EURIBOR 3 Month + 3.00%), 3.00%, 11/30/23(b) |
200 | 228,211 | ||||||||||
|
Quatrim SASU, 5.88%, 01/15/24 |
100 | 117,501 | ||||||||||
|
RCI Banque SA, (EUR Swap Annual 5 Year + 2.85%), 2.63%, 02/18/30(b). |
300 | 328,917 | ||||||||||
|
Rubis Terminal Infra SAS, 5.63%, 05/15/25 |
153 | 185,614 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| France (continued) | ||||||||||||
|
Societe Generale SA(b)(i): |
||||||||||||
|
(USD Swap Semi 5 Year + 6.24%), 7.38% |
USD | 600 | $ | 613,128 | ||||||||
|
(USD Swap Semi 5 Year + 4.30%), 7.38%(a) |
1,604 | 1,652,441 | ||||||||||
|
(USD Swap Rate 5 Year + 5.87%), 8.00% |
500 | 561,250 | ||||||||||
|
SPIE SA, 2.63%, 06/18/26 |
EUR | 100 | 117,737 | |||||||||
|
Valeo SA, 0.00%, 06/16/21(f)(g) |
USD | 1,800 | 1,763,532 | |||||||||
|
Worldline SA, 0.00%, 07/30/25(f)(g) |
EUR | 1,418 | 2,087,660 | |||||||||
|
|
|
|||||||||||
| 40,930,892 | ||||||||||||
| Germany — 3.2% | ||||||||||||
|
ADLER Real Estate AG: |
||||||||||||
|
1.50%, 04/17/22 |
100 | 114,703 | ||||||||||
|
1.88%, 04/27/23 |
300 | 341,195 | ||||||||||
|
3.00%, 04/27/26 |
400 | 459,400 | ||||||||||
|
Aroundtown SA: |
||||||||||||
|
2.00%, 11/02/26 |
200 | 248,114 | ||||||||||
|
3.00%, 10/16/29 |
GBP | 1,105 | 1,479,221 | |||||||||
|
AT Securities BV, (USD Swap Semi 5 Year + 3.55%), 5.25%(b)(i) |
USD | 3,750 | 3,772,234 | |||||||||
|
Bayer AG, (EUR Swap Annual 5 Year + 2.55%), 3.75%, 07/01/74(b) |
EUR | 300 | 367,056 | |||||||||
|
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27 |
466 | 540,471 | ||||||||||
|
Commerzbank AG(b): |
||||||||||||
|
(EUR Swap Annual 5 Year + 6.36%), 6.12%(i) |
200 | 222,983 | ||||||||||
|
(EUR Swap Annual 5 Year + 4.35%),
|
100 | 119,003 | ||||||||||
|
Consus Real Estate AG,
|
591 | 751,862 | ||||||||||
|
Conti-Gummi Finance BV,
|
2,175 | 2,680,131 | ||||||||||
|
Continental AG, 2.50%, 08/27/26 |
2,300 | 2,920,582 | ||||||||||
|
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24 |
200 | 216,903 | ||||||||||
|
HT Troplast GmbH, 9.25%, 07/15/25 |
100 | 120,445 | ||||||||||
|
IHO Verwaltungs GmbH(h): |
||||||||||||
|
3.88%, (3.88% Cash or 4.63% PIK), 05/15/27(l) |
152 | 180,098 | ||||||||||
|
6.00%, (6.00% Cash or 6.75% PIK), 05/15/27(a) |
USD | 200 | 208,500 | |||||||||
|
Infineon Technologies AG: |
||||||||||||
|
(EUR Swap Annual 5 Year + 3.39%), 2.88%(b)(i) |
EUR | 300 | 352,572 | |||||||||
|
2.00%, 06/24/32 |
1,200 | 1,479,649 | ||||||||||
|
K+S AG, 3.00%, 06/20/22 |
1,400 | 1,554,305 | ||||||||||
|
LEG Immobilien AG, 0.40%, 06/30/28(f) |
2,700 | 3,197,878 | ||||||||||
|
Nidda Healthcare Holding GmbH: |
||||||||||||
|
3.50%, 09/30/24 |
763 | 880,437 | ||||||||||
|
Peach Property Finance GmbH, 3.50%, 02/15/23 |
100 | 116,001 | ||||||||||
|
Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25 |
100 | 118,538 | ||||||||||
|
RAG-Stiftung, 0.00%, 02/18/21(f)(g) |
2,500 | 2,927,059 | ||||||||||
|
Rebecca Bidco GmbH, 5.75%, 07/15/25 |
129 | 153,316 | ||||||||||
|
Schaeffler AG, 1.13%, 03/26/22 |
500 | 583,085 | ||||||||||
|
Summit Properties Ltd.,
|
302 | 323,261 | ||||||||||
|
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 |
400 | 487,299 | ||||||||||
|
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25 |
200 | 225,577 | ||||||||||
|
Tele Columbus AG, 3.88%, 05/02/25 |
10,200 | 11,367,717 | ||||||||||
|
SCHEDULE OF INVESTMENTS |
11 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Germany (continued) | ||||||||||||
|
thyssenkrupp AG: |
||||||||||||
|
1.88%, 03/06/23 |
EUR | 127 | $ | 144,566 | ||||||||
|
2.88%, 02/22/24 |
9,479 | 10,830,815 | ||||||||||
|
2.50%, 02/25/25 |
1 | 1,113 | ||||||||||
|
TLG Finance SARL, (EUR Swap Annual 5 Year + 3.98%), 3.38%(b)(i) |
200 | 228,496 | ||||||||||
|
Vertical Holdco GmbH,
|
1,700 | 2,010,025 | ||||||||||
|
Vertical Midco GmbH: |
||||||||||||
|
4.38%, 07/15/27 |
115 | 136,123 | ||||||||||
|
(EURIBOR 3 Month + 4.75%), 4.75%, 07/15/27(b) |
115 | 135,192 | ||||||||||
|
Vertical US Newco, Inc.,
|
USD | 440 | 466,400 | |||||||||
|
Volkswagen International Finance NV, (EUR Swap Annual 9 Year + 3.96%), 3.87%(b)(i) |
EUR | 2,300 | 2,673,595 | |||||||||
|
WEPA Hygieneprodukte GmbH, (EURIBOR 3 Month + 2.88%), 2.88%, 12/15/26(b) |
133 | 152,682 | ||||||||||
|
ZF Europe Finance BV,
|
300 | 334,832 | ||||||||||
|
|
|
|||||||||||
| 55,623,434 | ||||||||||||
| Ghana — 0.0% | ||||||||||||
|
Tullow Oil plc, 6.25%, 04/15/22 |
USD | 721 | 490,280 | |||||||||
|
|
|
|||||||||||
| Hong Kong — 0.3% | ||||||||||||
|
Bank of East Asia Ltd. (The), (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 4.00%, 05/29/30(b) |
250 | 259,453 | ||||||||||
|
Hongkong & Shanghai Banking Corp. Ltd. (The), Series 3H, (LIBOR USD 3 Month + 0.19%), 0.45%(b)(i) |
4,700 | 3,643,605 | ||||||||||
|
New Lion Bridge Co. Ltd., 9.75%, 10/10/20 |
230 | 225,975 | ||||||||||
|
NWD MTN Ltd., 4.13%, 07/18/29 |
400 | 402,750 | ||||||||||
|
|
|
|||||||||||
| 4,531,783 | ||||||||||||
| India — 0.1% | ||||||||||||
|
Adani Electricity Mumbai Ltd.,
|
275 | 271,476 | ||||||||||
|
Adani Ports & Special Economic Zone Ltd., 4.00%, 07/30/27 |
214 | 212,529 | ||||||||||
|
Adani Transmission Ltd.,
|
295 | 298,319 | ||||||||||
|
Vedanta Resources Ltd.,
|
300 | 202,219 | ||||||||||
|
|
|
|||||||||||
| 984,543 | ||||||||||||
| Indonesia — 0.0% | ||||||||||||
|
JGC Ventures Pte. Ltd.,
|
500 | 181,875 | ||||||||||
|
LLPL Capital Pte. Ltd.,
|
240 | 274,046 | ||||||||||
|
|
|
|||||||||||
| 455,921 | ||||||||||||
| Ireland — 0.2% | ||||||||||||
|
AIB Group plc, (EUR Swap Annual 5 Year + 6.63%), 6.25%(b)(i) |
EUR | 2,175 | 2,539,623 | |||||||||
|
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28 |
GBP | 100 | 132,595 | |||||||||
|
|
|
|||||||||||
| 2,672,218 | ||||||||||||
| Israel — 0.9% | ||||||||||||
|
Teva Pharmaceutical Finance Netherlands II BV: |
||||||||||||
|
1.88%, 03/31/27 |
EUR | 200 | 203,785 | |||||||||
|
1.63%, 10/15/28 |
200 | 196,497 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Israel (continued) | ||||||||||||
|
Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 01/31/25(a) |
USD | 13,245 | $ | 14,428,772 | ||||||||
|
|
|
|||||||||||
| 14,829,054 | ||||||||||||
| Italy — 3.2% | ||||||||||||
|
Autostrade per l’Italia SpA: |
||||||||||||
|
6.25%, 06/09/22 |
GBP | 100 | 138,826 | |||||||||
|
5.88%, 06/09/24 |
EUR | 400 | 538,452 | |||||||||
|
4.38%, 09/16/25 |
100 | 130,710 | ||||||||||
|
1.88%, 09/26/29 |
7,600 | 8,571,190 | ||||||||||
|
Banco BPM SpA, 2.50%, 06/21/24 |
195 | 231,766 | ||||||||||
|
Diocle Spa, (EURIBOR 3 Month + 3.88%), 3.87%, 06/30/26(b) |
557 | 646,548 | ||||||||||
|
Ferrari NV, 1.50%, 05/27/25 |
1,650 | 1,963,672 | ||||||||||
|
Gamma Bidco SpA, 6.25%, 07/15/25 |
149 | 174,856 | ||||||||||
|
Infrastrutture Wireless Italiane SpA, 1.88%, 07/08/26 |
4,150 | 4,970,375 | ||||||||||
|
Intesa Sanpaolo SpA: |
||||||||||||
|
(EUR Swap Annual 5 Year + 7.19%), 7.75%(b)(i) |
6,700 | 8,728,924 | ||||||||||
|
(EUR Swap Annual 5 Year + 4.27%), 4.12%(b)(i) |
750 | 722,672 | ||||||||||
|
5.15%, 06/10/30 |
GBP | 100 | 140,848 | |||||||||
|
Rossini SARL: |
||||||||||||
|
(EURIBOR 3 Month + 3.88%), 3.88%, 10/30/25(b) |
EUR | 100 | 115,310 | |||||||||
|
6.75%, 10/30/25 |
258 | 324,206 | ||||||||||
|
Sisal Group SpA, 7.00%, 07/31/23 |
550 | 656,413 | ||||||||||
|
Telecom Italia Capital SA,
|
USD | 6,520 | 9,052,824 | |||||||||
|
Telecom Italia Finance SA,
|
EUR | 2,483 | 4,197,043 | |||||||||
|
Telecom Italia SpA: |
||||||||||||
|
1.13%, 03/26/22(f) |
1,600 | 1,848,797 | ||||||||||
|
4.00%, 04/11/24 |
566 | 713,390 | ||||||||||
|
2.75%, 04/15/25 |
1,708 | 2,076,683 | ||||||||||
|
UniCredit SpA(b): |
||||||||||||
|
(EUR Swap Annual 5 Year + 9.30%), 9.25%(i) |
1,034 | 1,299,070 | ||||||||||
|
(EUR Swap Annual 5 Year + 6.39%), 6.62%(i) |
3,700 | 4,320,279 | ||||||||||
|
(EURIBOR Swap Rate 5 Year + 4.08%), 3.87%(i) |
4,800 | 4,177,011 | ||||||||||
|
(EURIBOR Swap Rate 5 Year + 4.74%), 4.87%, 02/20/29 |
400 | 497,411 | ||||||||||
|
Unione di Banche Italiane SpA, (EUR Swap Annual 5 Year + 5.75%), 5.87%, 03/04/29(b) |
200 | 258,834 | ||||||||||
|
|
|
|||||||||||
| 56,496,110 | ||||||||||||
| Japan — 1.2% | ||||||||||||
|
SoftBank Group Corp.: |
||||||||||||
|
5.38%, 07/30/22 |
USD | 2,000 | 2,088,730 | |||||||||
|
(USD Swap Rate 5 Year + 4.23%), 6.00%(b)(i) |
8,220 | 7,884,509 | ||||||||||
|
4.75%, 07/30/25 |
EUR | 200 | 248,729 | |||||||||
|
3.13%, 09/19/25 |
200 | 234,303 | ||||||||||
|
5.00%, 04/15/28 |
6,200 | 7,915,467 | ||||||||||
|
4.00%, 09/19/29 |
1,800 | 2,194,283 | ||||||||||
|
|
|
|||||||||||
| 20,566,021 | ||||||||||||
| Jersey — 0.0% | ||||||||||||
|
LHC3 plc, 4.13%, (4.13% Cash or 9.00% PIK), 08/15/24(h) |
503 | 592,494 | ||||||||||
|
|
|
|||||||||||
| 12 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Luxembourg — 3.0% | ||||||||||||
|
Altice Financing SA: |
||||||||||||
|
2.25%, 01/15/25 |
EUR | 8,969 | $ | 10,100,700 | ||||||||
|
7.50%, 05/15/26(a) |
USD | 600 | 645,150 | |||||||||
|
3.00%, 01/15/28 |
EUR | 195 | 215,891 | |||||||||
|
Altice Finco SA, 4.75%, 01/15/28 |
200 | 218,744 | ||||||||||
|
Altice France Holding SA: |
||||||||||||
|
8.00%, 05/15/27(a) |
200 | 253,198 | ||||||||||
|
8.00%, 05/15/27 |
8,527 | 10,795,056 | ||||||||||
|
ArcelorMittal SA: |
||||||||||||
|
1.75%, 11/19/25 |
200 | 226,398 | ||||||||||
|
4.25%, 07/16/29 |
USD | 172 | 182,389 | |||||||||
|
Garfunkelux Holdco 2 SA, 11.00%, 11/01/23 |
GBP | 350 | 394,441 | |||||||||
|
Garfunkelux Holdco 3 SA: |
||||||||||||
|
7.50%, 08/01/22 |
EUR | 200 | 220,036 | |||||||||
|
8.50%, 11/01/22 |
GBP | 100 | 121,304 | |||||||||
|
LHMC Finco 2 SARL: |
||||||||||||
|
7.25%, (7.25% Cash or 8.00% PIK), 10/02/25(h) |
EUR | 5,771 | 4,684,761 | |||||||||
|
Matterhorn Telecom SA: |
||||||||||||
|
2.63%, 09/15/24 |
100 | 115,439 | ||||||||||
|
4.00%, 11/15/27 |
400 | 472,358 | ||||||||||
|
Monitchem HoldCo 2 SA, 9.50%, 09/15/26 |
100 | 120,057 | ||||||||||
|
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |
422 | 509,184 | ||||||||||
|
SES SA(b)(i): |
||||||||||||
|
(EUR Swap Annual 5 Year + 4.66%), 4.62% |
1,400 | 1,677,990 | ||||||||||
|
(EUR Swap Annual 5 Year + 5.40%), 5.62% |
6,800 | 8,563,843 | ||||||||||
|
Summer BC Holdco A SARL, 9.25%, 10/31/27 |
3,793 | 3,963,285 | ||||||||||
|
Summer BC Holdco B SARL, 5.75%, 10/31/26 |
7,000 | 7,930,749 | ||||||||||
|
Vivion Investments Sarl, 3.00%, 08/08/24 |
1,100 | 1,160,599 | ||||||||||
|
|
|
|||||||||||
| 52,571,572 | ||||||||||||
| Macau — 0.0% | ||||||||||||
|
Sands China Ltd., 4.38%, 06/18/30 |
USD | 230 | 242,625 | |||||||||
|
|
|
|||||||||||
| Malaysia — 0.0% | ||||||||||||
|
Cindai Capital Ltd., 0.00%, 02/08/23(f)(g) |
567 | 583,076 | ||||||||||
|
|
|
|||||||||||
| Mexico — 0.0% | ||||||||||||
|
CEMEX Finance LLC, 4.63%, 06/15/24 |
EUR | 400 | 473,241 | |||||||||
|
Cemex SAB de CV, 3.13%, 03/19/26 |
200 | 220,571 | ||||||||||
|
|
|
|||||||||||
| 693,812 | ||||||||||||
| Netherlands — 0.7% | ||||||||||||
|
ABN AMRO Bank NV, (EUR Swap Annual 5 Year + 5.45%), 5.75%(b)(i) |
800 | 941,271 | ||||||||||
|
Hema Bondco II BV, 8.50%, 01/15/23 |
600 | 5,301 | ||||||||||
|
ING Groep NV(b)(i): |
||||||||||||
|
(USD Swap Rate 5 Year + 4.20%), 6.75% |
USD | 700 | 728,222 | |||||||||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75% |
1,400 | 1,434,412 | ||||||||||
|
Intertrust Group BV, 3.38%, 11/15/25 |
EUR | 367 | 440,902 | |||||||||
|
Koninklijke KPN NV, (EUR Swap Annual 5 Year + 2.34%), 2.03%(b)(i) |
100 | 115,155 | ||||||||||
|
NXP BV, 2.70%, 05/01/25(a) |
USD | 69 | 73,953 | |||||||||
|
OCI NV: |
||||||||||||
|
5.00%, 04/15/23 |
EUR | 476 | 571,918 | |||||||||
|
3.13%, 11/01/24 |
100 | 116,081 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Netherlands (continued) | ||||||||||||
|
Stichting AK Rabobank Certificaten, 0.00%(i)(k) |
EUR | 4,154 | $ | 5,354,181 | ||||||||
|
Summer BidCo BV(h): |
||||||||||||
|
9.00%, (9.00% Cash or 9.75% PIK), 11/15/25 |
1,049 | 1,213,354 | ||||||||||
|
9.00%, (9.00% Cash or 9.75% PIK), 11/15/25(l) |
151 | 174,632 | ||||||||||
|
Trivium Packaging Finance BV, 3.75%, 08/15/26(k) |
380 | 446,260 | ||||||||||
|
United Group BV: |
||||||||||||
|
4.88%, 07/01/24 |
160 | 192,373 | ||||||||||
|
3.63%, 02/15/28 |
166 | 187,353 | ||||||||||
|
UPCB Finance VII Ltd., 3.63%, 06/15/29 |
200 | 233,095 | ||||||||||
|
VZ Vendor Financing BV, 2.50%, 01/31/24 |
271 | 314,436 | ||||||||||
|
Ziggo BV: |
||||||||||||
|
4.25%, 01/15/27 |
126 | 153,988 | ||||||||||
|
2.88%, 01/15/30 |
106 | 122,365 | ||||||||||
|
|
|
|||||||||||
| 12,819,252 | ||||||||||||
| Portugal — 0.4% | ||||||||||||
|
Banco Espirito Santo SA(d)(j): |
||||||||||||
|
2.63%, 05/08/17 |
6,100 | 934,114 | ||||||||||
|
4.75%, 01/15/18 |
19,300 | 2,955,477 | ||||||||||
|
4.00%, 01/21/19 |
22,800 | 3,491,444 | ||||||||||
|
|
|
|||||||||||
| 7,381,035 | ||||||||||||
| South Korea — 0.0%(b)(i) | ||||||||||||
|
KDB Life Insurance Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.66%), 7.50% |
USD | 300 | 285,375 | |||||||||
|
Shinhan Financial Group Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.05%), 5.87% |
200 | 212,250 | ||||||||||
|
|
|
|||||||||||
| 497,625 | ||||||||||||
| Spain — 2.7% | ||||||||||||
|
Banco de Sabadell SA, (EUR Swap Annual 5 Year + 2.20%), 2.00%, 01/17/30(b) |
EUR | 300 | 298,610 | |||||||||
|
Banco Santander SA(b)(i): |
||||||||||||
|
(EUR Swap Annual 5 Year + 6.80%), 6.75% |
200 | 237,946 | ||||||||||
|
(EUR Swap Annual 5 Year + 4.53%), 4.37% |
200 | 205,552 | ||||||||||
|
Bankia SA, (EUR Swap Annual 5 Year + 6.22%), 6.37%(b)(i) |
3,600 | 4,044,491 | ||||||||||
|
CaixaBank SA, (EUR Swap Annual 5 Year + 6.50%), 6.75%(b)(i) |
200 | 236,768 | ||||||||||
|
Cirsa Finance International SARL: |
||||||||||||
|
6.25%, 12/20/23 |
3,356 | 3,637,458 | ||||||||||
|
7.88%, 12/20/23(a) |
USD | 2,300 | 2,127,500 | |||||||||
|
4.75%, 05/22/25 |
EUR | 4,247 | 4,396,440 | |||||||||
|
Codere Finance 2 Luxembourg SA(d)(j): |
||||||||||||
|
6.75%, 11/01/21 |
7,800 | 5,581,514 | ||||||||||
|
7.63%, 11/01/21(a) |
USD | 200 | 123,184 | |||||||||
|
Codere Finance 2 Luxembourg SA (Acquired 07/24/20, cost $2,047,140), 12.75%, 09/30/23(m) |
EUR | 2,013 | 2,371,330 | |||||||||
|
ContourGlobal Power Holdings SA: |
||||||||||||
|
3.38%, 08/01/23 |
200 | 237,887 | ||||||||||
|
4.13%, 08/01/25 |
491 | 590,010 | ||||||||||
|
Distribuidora Internacional de Alimentacion SA: |
||||||||||||
|
1.00%, 04/28/21 |
600 | 572,390 | ||||||||||
|
SCHEDULE OF INVESTMENTS |
13 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
| Spain (continued) | ||||||||||||
|
0.88%, 04/06/23 |
EUR | 2,900 | $ | 1,709,736 | ||||||||
|
Ferrovial Netherlands BV, (EUR Swap Annual 5 Year + 2.13%), 2.12%(b)(i) |
300 | 339,089 | ||||||||||
|
Gestamp Automocion SA, 3.25%, 04/30/26 |
200 | 223,624 | ||||||||||
|
Naturgy Finance BV, (EUR Swap Annual 8 Year + 3.35%), 4.13%(b)(i) |
100 | 122,055 | ||||||||||
|
Repsol International Finance BV, (EUR Swap Annual 5 Year + 4.00%), 3.75%(b)(i) |
100 | 117,954 | ||||||||||
|
Telefonica Europe BV(b)(i): |
||||||||||||
|
(EUR Swap Annual 10 Year + 4.30%), 5.87% |
4,400 | 5,669,589 | ||||||||||
|
(EUR Swap Annual 6 Year + 4.11%), 4.37% |
5,700 | 7,052,716 | ||||||||||
|
(EUR Swap Annual 8 Year + 2.97%), 3.88% |
4,600 | 5,499,849 | ||||||||||
|
Tendam Brands SAU: |
||||||||||||
|
5.00%, 09/15/24 |
1,690 | 1,712,232 | ||||||||||
|
(EURIBOR 3 Month + 5.25%), 5.25%, 09/15/24(b) |
485 | 487,221 | ||||||||||
|
|
|
|||||||||||
| 47,595,145 | ||||||||||||
| Sweden — 0.3% | ||||||||||||
|
Heimstaden Bostad AB, (EUR Swap Annual 5 Year + 3.67%), 3.25%(b)(i) |
100 | 115,639 | ||||||||||
|
Intrum AB, 3.50%, 07/15/26 |
101 | 110,129 | ||||||||||
|
Verisure Holding AB: |
||||||||||||
|
3.50%, 05/15/23 |
100 | 118,563 | ||||||||||
|
(EURIBOR 3 Month + 5.00%), 5.00%, 04/15/25(b) |
300 | 358,686 | ||||||||||
|
3.88%, 07/15/26 |
140 | 164,913 | ||||||||||
|
Verisure Midholding AB,
|
3,400 | 4,024,462 | ||||||||||
|
|
|
|||||||||||
| 4,892,392 | ||||||||||||
| Switzerland — 1.0% | ||||||||||||
|
Credit Suisse Group AG(b)(i): |
||||||||||||
|
(USD Swap Semi 5 Year + 4.60%),
|
USD | 400 | 421,816 | |||||||||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.33%), 7.25%(a) |
800 | 851,000 | ||||||||||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.33%), 7.25% |
1,400 | 1,489,250 | ||||||||||
|
Dufry One BV: |
||||||||||||
|
2.50%, 10/15/24 |
EUR | 5,283 | 4,762,297 | |||||||||
|
2.00%, 02/15/27 |
294 | 247,395 | ||||||||||
|
ELM BV for Swiss Re Ltd.,
|
USD | 4,800 | 4,981,872 | |||||||||
|
Syngenta Finance NV, 3.38%, 04/16/26 |
EUR | 1,144 | 1,446,851 | |||||||||
|
UBS Group AG(b)(i): |
||||||||||||
|
(USD Swap Semi 5 Year + 4.34%), 7.00%(a) |
USD | 2,100 | 2,228,331 | |||||||||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.86%), 5.13% |
1,250 | 1,275,000 | ||||||||||
|
|
|
|||||||||||
| 17,703,812 | ||||||||||||
| Thailand — 0.1% | ||||||||||||
|
Bangkok Bank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.73%, 09/25/34(b) |
400 | 400,250 | ||||||||||
|
Kasikornbank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.34%, 10/02/31(b) |
330 | 330,000 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Thailand (continued) | ||||||||||||
|
Thaioil Treasury Center Co. Ltd., 3.75%, 06/18/50 |
USD | 240 | $ | 248,321 | ||||||||
|
|
|
|||||||||||
| 978,571 | ||||||||||||
| Turkey — 0.5% | ||||||||||||
|
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(a) |
10,706 | 8,260,192 | ||||||||||
|
|
|
|||||||||||
| United Arab Emirates — 0.0% | ||||||||||||
|
Esic Sukuk Ltd., 3.94%, 07/30/24 |
425 | 419,422 | ||||||||||
|
|
|
|||||||||||
| United Kingdom — 8.4% | ||||||||||||
|
Arrow Global Finance plc, 5.13%, 09/15/24 |
GBP | 200 | 246,586 | |||||||||
|
B&M European Value Retail SA, 3.63%, 07/15/25 |
100 | 132,209 | ||||||||||
|
BP Capital Markets plc(b)(i): |
||||||||||||
|
(EUR Swap Annual 5 Year + 3.88%), 3.25% |
EUR | 200 | 240,602 | |||||||||
|
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.17%), 4.25% |
GBP | 100 | 135,292 | |||||||||
|
Cabot Financial Luxembourg SA, 7.50%, 10/01/23 |
400 | 526,878 | ||||||||||
|
Drax Finco plc, 4.25%, 05/01/22 |
100 | 131,934 | ||||||||||
|
DS Smith plc, 0.88%, 09/12/26 |
EUR | 300 | 349,185 | |||||||||
|
easyJet plc: |
||||||||||||
|
1.75%, 02/09/23 |
2,200 | 2,217,706 | ||||||||||
|
0.88%, 06/11/25 |
900 | 837,523 | ||||||||||
|
eG Global Finance plc: |
||||||||||||
|
4.38%, 02/07/25 |
100 | 111,303 | ||||||||||
|
6.25%, 10/30/25 |
11,892 | 13,933,350 | ||||||||||
|
EnQuest plc(h): |
||||||||||||
|
0.00%, (0.00% Cash or 7.00% PIK), 04/15/22 |
GBP | 1,656 | 1,175,000 | |||||||||
|
7.00%, (7.00% Cash or 7.00% PIK), 04/15/22(a)(l) |
USD | 5,581 | 2,911,458 | |||||||||
|
FCE Bank plc, 1.62%, 05/11/23 |
EUR | 400 | 455,212 | |||||||||
|
Fiat Chrysler Automobiles NV,
|
150 | 188,117 | ||||||||||
|
Galaxy Bidco Ltd., 6.50%, 07/31/26 |
GBP | 105 | 139,562 | |||||||||
|
Greene King Finance plc, Series B2, (LIBOR GBP 3 Month + 2.08%), 2.27%, 03/15/36(b) |
800 | 785,841 | ||||||||||
|
HBOS Capital Funding LP, 6.85%(i) |
USD | 8,063 | 8,166,787 | |||||||||
|
Heathrow Finance plc: |
||||||||||||
|
4.75%, 03/01/24 |
GBP | 100 | 132,451 | |||||||||
|
4.13%, 09/01/29 |
115 | 140,780 | ||||||||||
|
International Consolidated Airlines Group SA, 0.50%, 07/04/23 |
EUR | 1,400 | 1,335,607 | |||||||||
|
Intu Jersey 2 Ltd., 2.88%, 11/01/22(f) |
GBP | 8,200 | 1,771,077 | |||||||||
|
Intu Metrocentre Finance plc, 4.13%, 12/06/23 |
800 | 542,398 | ||||||||||
|
Ithaca Energy North Sea plc,
|
USD | 6,600 | 5,742,000 | |||||||||
|
Jaguar Land Rover Automotive plc: |
||||||||||||
|
4.50%, 01/15/26 |
EUR | 100 | 95,822 | |||||||||
|
4.50%, 10/01/27(a) |
USD | 12,500 | 9,968,750 | |||||||||
|
Legal & General Group plc, (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.38%), 5.62%(b)(i) |
GBP | 2,650 | 3,489,108 | |||||||||
|
Marks & Spencer plc(k): |
||||||||||||
|
3.00%, 12/08/23 |
1,600 | 2,107,121 | ||||||||||
|
6.00%, 06/12/25 |
1,262 | 1,771,302 | ||||||||||
|
4.50%, 07/10/27 |
300 | 387,499 | ||||||||||
|
Matalan Finance plc, 6.75%, 01/31/23 |
2,100 | 1,856,332 | ||||||||||
| 14 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
| United Kingdom (continued) | ||||||||||||
|
National Westminster Bank plc(b)(i): |
||||||||||||
|
Series C, (LIBOR USD 3 Month + 0.25%), 0.62% |
USD | 9,400 | $ | 8,199,620 | ||||||||
|
Series A, (LIMEAN USD 6 Month + 0.25%), 0.63% |
100 | 87,375 | ||||||||||
|
Series B, (LIBOR USD 6 Month + 0.25%), 1.87% |
1,300 | 1,135,872 | ||||||||||
|
Neptune Energy Bondco plc, 6.63%, 05/15/25(a) |
2,915 | 2,550,625 | ||||||||||
|
NEW Look Financing plc, 8.00%, (8.00% Cash or 12.00% PIK), 05/03/24(a)(h)(l) |
GBP | 2,353 | 254,109 | |||||||||
|
Paymentsense Ltd., 8.00%, 10/15/25 |
100 | 130,900 | ||||||||||
|
Pinewood Finance Co. Ltd., 3.25%, 09/30/25 |
100 | 131,182 | ||||||||||
|
Playtech plc, 4.25%, 03/07/26 |
EUR | 1,000 | 1,163,228 | |||||||||
|
Premier Foods Finance plc, 6.25%, 10/15/23 |
GBP | 500 | 675,941 | |||||||||
|
Rolls-Royce plc: |
||||||||||||
|
0.88%, 05/09/24 |
EUR | 100 | 105,623 | |||||||||
|
1.63%, 05/09/28 |
800 | 804,749 | ||||||||||
|
Santander UK Group Holdings plc, (GBP Swap 5 Year + 5.79%), 6.75%(b)(i) |
GBP | 200 | 269,950 | |||||||||
|
Stonegate Pub Co. Financing plc: |
||||||||||||
|
8.00%, 07/13/25 |
6,955 | 8,495,850 | ||||||||||
|
(EURIBOR 3 Month + 5.75%), 5.29%, 07/31/25(b) |
EUR | 3,300 | 3,521,019 | |||||||||
|
8.25%, 07/31/25 |
GBP | 7,500 | 9,424,800 | |||||||||
|
Synlab Bondco plc, (EURIBOR 3 Month + 4.75%), 4.75 %, 07/01/25(b) |
EUR | 306 | 363,073 | |||||||||
|
Synthomer plc, 3.88%, 07/01/25 |
100 | 120,979 | ||||||||||
|
Tesco plc, 5.13%, 04/10/47 |
300 | 503,277 | ||||||||||
|
Top Gun Realisations 74 plc, 6.50%, 07/01/22(d)(j) |
GBP | 1,425 | 354,878 | |||||||||
|
Tullow Oil Jersey Ltd.: |
||||||||||||
|
6.63%, 07/12/21(f) |
USD | 5,400 | 4,426,748 | |||||||||
|
Unique Pub Finance Co. plc (The), Series N, 6.46%, 03/30/32(k) |
GBP | 8,576 | 11,677,679 | |||||||||
|
Very Group Funding plc (The), 7.75%, 11/15/22 |
1,700 | 2,043,689 | ||||||||||
|
Virgin Media Finance plc: |
||||||||||||
|
3.75%, 07/15/30 |
EUR | 8,871 | 10,227,541 | |||||||||
|
Virgin Media Secured Finance plc: |
||||||||||||
|
5.00%, 04/15/27 |
GBP | 100 | 136,392 | |||||||||
|
5.25%, 05/15/29 |
200 | 275,398 | ||||||||||
|
5.50%, 05/15/29(a) |
USD | 2,200 | 2,398,000 | |||||||||
|
4.25%, 01/15/30 |
GBP | 1,600 | 2,093,981 | |||||||||
|
4.50%, 08/15/30(a) |
USD | 1,725 | 1,845,577 | |||||||||
|
Vodafone Group plc(b): |
||||||||||||
|
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/03/78 |
EUR | 200 | 259,738 | |||||||||
|
(GBP Swap 5 Year + 3.27%), 4.87%, 10/03/78 |
GBP | 700 | 974,009 | |||||||||
|
(USD Swap Semi 5 Year + 3.05%), 6.25%, 10/03/78 |
USD | 6,933 | 7,566,607 | |||||||||
|
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 01/03/79 |
EUR | 200 | 238,796 | |||||||||
|
Wagamama Finance plc, 4.13%, 07/01/22 |
GBP | 1,700 | 2,019,015 | |||||||||
|
|
|
|||||||||||
| 146,501,012 | ||||||||||||
| United States — 42.1% | ||||||||||||
|
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(a) |
USD | 332 | 349,845 | |||||||||
|
Advanced Micro Devices, Inc., 7.50%, 08/15/22(n)(o) |
40,819 | 45,513,185 | ||||||||||
| Security |
Par (000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Albertsons Cos., Inc.: |
||||||||||||
|
3.50%, 02/15/23(a) |
USD | 2,227 | $ | 2,277,108 | ||||||||
|
6.63%, 06/15/24 |
59 | 61,395 | ||||||||||
|
5.75%, 03/15/25 |
59 | 61,065 | ||||||||||
|
7.50%, 03/15/26(a) |
31 | 34,875 | ||||||||||
|
AMC Entertainment Holdings, Inc., 10.50%, 04/15/25(a) |
3,350 | 2,659,062 | ||||||||||
|
AMC Networks, Inc.: |
||||||||||||
|
5.00%, 04/01/24 |
46 | 46,747 | ||||||||||
|
4.75%, 08/01/25 |
37 | 37,925 | ||||||||||
|
American Airlines Group, Inc., Series
2017-1C,
|
11,036 | 9,905,192 | ||||||||||
|
American Airlines Pass-Through Trust: |
||||||||||||
|
Series 2001-01, 6.98%, 05/23/21 |
1,623 | 1,533,709 | ||||||||||
|
Series 2019-1C, Class A,
|
40,000 | 34,152,000 | ||||||||||
|
Series 2011-1, Class B, 4.87%, 04/22/25(e) |
6,280 | 5,251,698 | ||||||||||
|
Series 2017-2, Class A, 4.00%, 12/15/25(e) |
8,734 | 7,598,362 | ||||||||||
|
American Airlines, Inc., Series 2017-2C, 5.18%, 10/15/23(e) |
10,756 | 8,833,521 | ||||||||||
|
Aramark Services, Inc.: |
||||||||||||
|
6.38%, 05/01/25(a) |
4,000 | 4,220,000 | ||||||||||
|
4.75%, 06/01/26 |
23 | 22,885 | ||||||||||
|
5.00%, 02/01/28(a) |
55 | 55,344 | ||||||||||
|
Ardagh Packaging Finance plc, 4.75%, 07/15/27 |
GBP | 100 | 128,937 | |||||||||
|
Avaya Holdings Corp., 2.25%, 06/15/23(f) |
USD | 1,000 | 854,500 | |||||||||
|
Avis Budget Finance plc, 4.75%, 01/30/26 |
EUR | 3,700 | 3,749,893 | |||||||||
|
Axalta Coating Systems LLC, 4.25%, 08/15/24 |
500 | 591,072 | ||||||||||
|
Bausch Health Cos., Inc.: |
||||||||||||
|
4.50%, 05/15/23 |
500 | 586,831 | ||||||||||
|
5.50%, 11/01/25(a) |
USD | 9,185 | 9,531,367 | |||||||||
|
5.75%, 08/15/27(a) |
19 | 20,622 | ||||||||||
|
Beacon Roofing Supply, Inc., 4.50%, 11/15/26(a) |
1,440 | 1,476,000 | ||||||||||
|
Belden, Inc.: |
||||||||||||
|
4.13%, 10/15/26 |
EUR | 210 | 248,544 | |||||||||
|
3.88%, 03/15/28 |
100 | 116,502 | ||||||||||
|
Boeing Co. (The)(p): |
||||||||||||
|
4.51%, 05/01/23 |
USD | 7,000 | 7,323,881 | |||||||||
|
4.88%, 05/01/25 |
5,380 | 5,821,998 | ||||||||||
|
Boxer Parent Co., Inc.: |
||||||||||||
|
6.50%, 10/02/25 |
EUR | 373 | 461,388 | |||||||||
|
7.13%, 10/02/25(a) |
USD | 1,186 | 1,307,565 | |||||||||
|
Boyd Gaming Corp., 4.75%, 12/01/27(a) |
34 | 32,682 | ||||||||||
|
Broadcom, Inc.(a): |
||||||||||||
|
4.70%, 04/15/25(p) |
11,395 | 13,031,955 | ||||||||||
|
3.15%, 11/15/25 |
4,025 | 4,340,696 | ||||||||||
|
Buckeye Partners LP: |
||||||||||||
|
4.15%, 07/01/23 |
202 | 203,010 | ||||||||||
|
4.35%, 10/15/24 |
275 | 275,687 | ||||||||||
|
4.13%, 03/01/25(a) |
125 | 125,625 | ||||||||||
|
BY Crown Parent LLC, 4.25%, 01/31/26(a) |
82 | 84,997 | ||||||||||
|
Calpine Corp., 5.13%, 03/15/28(a) |
31 | 32,245 | ||||||||||
|
Carnival Corp.: |
||||||||||||
|
11.50%, 04/01/23(a) |
5,225 | 5,682,188 | ||||||||||
|
10.13%, 02/01/26 |
EUR | 3,159 | 3,737,703 | |||||||||
|
Catalent Pharma Solutions, Inc.: |
||||||||||||
|
2.38%, 03/01/28 |
594 | 669,965 | ||||||||||
|
CCO Holdings LLC, 5.00%, 02/01/28(a) |
USD | 266 | 281,960 | |||||||||
|
SCHEDULE OF INVESTMENTS |
15 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Cedar Fair LP: |
||||||||||||
|
5.50%, 05/01/25(a) |
USD | 397 | $ | 405,436 | ||||||||
|
5.38%, 04/15/27 |
24 | 23,160 | ||||||||||
|
5.25%, 07/15/29 |
24 | 22,673 | ||||||||||
|
Centene Corp.: |
||||||||||||
|
5.25%, 04/01/25(a) |
2,600 | 2,711,072 | ||||||||||
|
5.38%, 06/01/26(a) |
86 | 91,969 | ||||||||||
|
5.38%, 08/15/26(a) |
35 | 37,450 | ||||||||||
|
4.25%, 12/15/27 |
166 | 176,375 | ||||||||||
|
Charles River Laboratories International, Inc.(a): |
||||||||||||
|
5.50%, 04/01/26 |
24 | 25,350 | ||||||||||
|
4.25%, 05/01/28 |
1,340 | 1,417,050 | ||||||||||
|
Cheniere Energy Partners LP: |
||||||||||||
|
5.25%, 10/01/25 |
70 | 71,750 | ||||||||||
|
5.63%, 10/01/26 |
52 | 54,925 | ||||||||||
|
4.50%, 10/01/29 |
19 | 20,098 | ||||||||||
|
Churchill Downs, Inc., 5.50%, 04/01/27(a) |
29 | 30,341 | ||||||||||
|
Clarios Global LP: |
||||||||||||
|
4.38%, 05/15/26 |
EUR | 4,801 | 5,655,338 | |||||||||
|
6.25%, 05/15/26(a) |
USD | 750 | 802,590 | |||||||||
|
Clean Harbors, Inc., 4.88%, 07/15/27(a) |
25 | 26,503 | ||||||||||
|
Colfax Corp., 6.00%, 02/15/24(a) |
29 | 30,522 | ||||||||||
|
Colt Merger Sub, Inc.(a): |
||||||||||||
|
5.75%, 07/01/25 |
1,357 | 1,411,280 | ||||||||||
|
6.25%, 07/01/25 |
5,423 | 5,656,867 | ||||||||||
|
8.13%, 07/01/27 |
374 | 381,012 | ||||||||||
|
Commercial Metals Co.: |
||||||||||||
|
4.88%, 05/15/23 |
47 | 49,115 | ||||||||||
|
5.75%, 04/15/26 |
22 | 22,935 | ||||||||||
|
5.38%, 07/15/27 |
172 | 179,322 | ||||||||||
|
CommScope, Inc.(a): |
||||||||||||
|
6.00%, 03/01/26 |
11,635 | 12,413,033 | ||||||||||
|
8.25%, 03/01/27 |
11,126 | 11,998,278 | ||||||||||
|
7.13%, 07/01/28 |
4,257 | 4,506,673 | ||||||||||
|
Coty, Inc.: |
||||||||||||
|
4.00%, 04/15/23 |
EUR | 2,855 | 2,763,584 | |||||||||
|
4.75%, 04/15/26 |
100 | 94,248 | ||||||||||
|
Crown European Holdings SA: |
||||||||||||
|
2.25%, 02/01/23(a) |
500 | 596,669 | ||||||||||
|
0.75%, 02/15/23 |
100 | 115,310 | ||||||||||
|
CrownRock LP, 5.63%, 10/15/25(a) |
USD | 226 | 221,480 | |||||||||
|
CSC Holdings LLC(a): |
||||||||||||
|
5.50%, 05/15/26 |
3,000 | 3,146,250 | ||||||||||
|
5.75%, 01/15/30 |
3,100 | 3,436,505 | ||||||||||
|
Darling Ingredients, Inc., 5.25%, 04/15/27(a) |
24 | 25,620 | ||||||||||
|
DaVita, Inc.: |
||||||||||||
|
5.00%, 05/01/25 |
69 | 70,897 | ||||||||||
|
4.63%, 06/01/30(a) |
593 | 631,545 | ||||||||||
|
Delta Air Lines Pass-Through Trust, Series 2015-1, Class B, 4.25%, 07/30/23 |
12,658 | 11,576,426 | ||||||||||
|
Diamondback Energy, Inc., 5.38%, 05/31/25 |
27 | 28,039 | ||||||||||
|
DISH DBS Corp., 6.75%, 06/01/21 |
8,000 | 8,280,000 | ||||||||||
|
Dun & Bradstreet Corp. (The)(a): |
||||||||||||
|
6.88%, 08/15/26 |
6,525 | 7,128,563 | ||||||||||
|
10.25%, 02/15/27 |
11,140 | 12,648,690 | ||||||||||
|
Elanco Animal Health, Inc.(k): |
||||||||||||
|
4.66%, 08/27/21 |
12,653 | 13,175,189 | ||||||||||
|
5.02%, 08/28/23 |
5,786 | 6,379,065 | ||||||||||
|
EQM Midstream Partners LP, 6.50%, 07/01/27(a) |
1,587 | 1,749,826 | ||||||||||
|
ESH Hospitality, Inc., 5.25%, 05/01/25(a) |
6,000 | 6,129,120 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Expedia Group, Inc., 6.25%, 05/01/25(a) |
USD | 2,165 | $ | 2,366,156 | ||||||||
|
Ford Motor Co., 8.50%, 04/21/23 |
6,500 | 7,215,000 | ||||||||||
|
Ford Motor Credit Co. LLC, 2.33 %, 11/25/25 |
EUR | 300 | 333,684 | |||||||||
|
Forestar Group, Inc., 5.00%, 03/01/28(a) |
USD | 1,399 | 1,399,000 | |||||||||
|
Freeport-McMoRan, Inc., 5.00 %, 09/01/27 |
3,000 | 3,194,370 | ||||||||||
|
General Motors Co., 5.40%, 10/02/23 |
4,500 | 4,962,615 | ||||||||||
|
GLP Capital LP, 4.00%, 01/15/31 |
530 | 550,008 | ||||||||||
|
Goodyear Tire & Rubber Co. (The), 9.50%, 05/31/25 |
3,156 | 3,560,347 | ||||||||||
|
Gray Television, Inc.(a): |
||||||||||||
|
5.88%, 07/15/26 |
1,000 | 1,034,620 | ||||||||||
|
7.00%, 05/15/27 |
1,000 | 1,092,500 | ||||||||||
|
H&E Equipment Services, Inc., 5.63%, 09/01/25 |
45 | 46,856 | ||||||||||
|
Hanesbrands, Inc.(a): |
||||||||||||
|
4.63%, 05/15/24 |
42 | 44,423 | ||||||||||
|
5.38%, 05/15/25 |
4,818 | 5,179,350 | ||||||||||
|
HD Supply, Inc., 5.38%, 10/15/26(a) |
36 | 37,726 | ||||||||||
|
Hilton Domestic Operating Co., Inc., 5.13%, 05/01/26 |
71 | 73,485 | ||||||||||
|
Hilton Worldwide Finance LLC: |
||||||||||||
|
4.63%, 04/01/25 |
42 | 42,682 | ||||||||||
|
4.88%, 04/01/27 |
28 | 29,085 | ||||||||||
|
Howard Hughes Corp. (The), 5.38 %, 03/15/25(a) |
47 | 47,473 | ||||||||||
|
Huntington Ingalls Industries, Inc., 3.84%, 05/01/25(a) |
7,490 | 8,321,628 | ||||||||||
|
Hyatt Hotels Corp., 5.38%, 04/23/25 |
197 | 211,671 | ||||||||||
|
iHeartCommunications, Inc.: |
||||||||||||
|
6.38%, 05/01/26 |
40 | 42,574 | ||||||||||
|
5.25%, 08/15/27(a) |
36 | 36,360 | ||||||||||
|
Illuminate Buyer LLC, 9.00 %, 07/01/28(a) |
67 | 71,857 | ||||||||||
|
International Game Technology plc: |
||||||||||||
|
3.50%, 07/15/24 |
EUR | 200 | 229,673 | |||||||||
|
6.25%, 01/15/27(a) |
USD | 900 | 958,500 | |||||||||
|
IQVIA, Inc.: |
||||||||||||
|
5.00%, 10/15/26(a) |
3,000 | 3,164,940 | ||||||||||
|
2.88%, 06/15/28 |
EUR | 207 | 248,770 | |||||||||
|
IRB Holding Corp., 7.00%, 06/15/25(a) |
USD | 157 | 171,102 | |||||||||
|
Iron Mountain UK plc, 3.88%, 11/15/25 |
GBP | 758 | 984,618 | |||||||||
|
Iron Mountain, Inc.: |
||||||||||||
|
3.00%, 01/15/25 |
EUR | 200 | 235,007 | |||||||||
|
5.00%, 07/15/28(a) |
USD | 7,525 | 7,788,375 | |||||||||
|
5.25%, 07/15/30(a) |
4,579 | 4,802,226 | ||||||||||
|
Jaguar Holding Co. II/PPD |
||||||||||||
|
Development LP(a): |
||||||||||||
|
4.63%, 06/15/25 |
1,720 | 1,797,400 | ||||||||||
|
5.00%, 06/15/28 |
910 | 968,877 | ||||||||||
|
JBS USA LUX SA(a): |
||||||||||||
|
5.75%, 06/15/25 |
49 | 50,593 | ||||||||||
|
6.75%, 02/15/28 |
46 | 51,405 | ||||||||||
|
6.50%, 04/15/29 |
71 | 80,407 | ||||||||||
|
KFC Holding Co.(a): |
||||||||||||
|
5.00%, 06/01/24 |
4,250 | 4,353,275 | ||||||||||
|
5.25%, 06/01/26 |
3,545 | 3,721,187 | ||||||||||
|
Kraft Heinz Foods Co., 3.88 %, 05/15/27(a)(p) |
15,479 | 16,671,202 | ||||||||||
|
Lamar Media Corp., 5.75%, 02/01/26 |
31 | 32,559 | ||||||||||
|
Lamb Weston Holdings, Inc.(a): |
||||||||||||
|
4.63%, 11/01/24 |
1,039 | 1,088,352 | ||||||||||
|
4.88%, 11/01/26 |
40 | 42,000 | ||||||||||
|
Lennar Corp.: |
||||||||||||
|
4.75%, 04/01/21 |
23 | 23,287 | ||||||||||
| 16 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
4.75%, 11/15/22(k) |
USD | 148 | $ | 156,140 | ||||||||
|
Level 3 Financing, Inc.: |
||||||||||||
|
5.13%, 05/01/23 |
32 | 32,135 | ||||||||||
|
5.38%, 01/15/24 |
399 | 405,831 | ||||||||||
|
5.25%, 03/15/26 |
36 | 37,601 | ||||||||||
|
4.25%, 07/01/28(a) |
760 | 792,300 | ||||||||||
|
Levi Strauss & Co., 5.00%, 05/01/25 |
1,000 | 1,022,600 | ||||||||||
|
Macy’s Retail Holdings LLC, 3.45 %, 01/15/21 |
8,005 | 7,884,925 | ||||||||||
|
Macy’s, Inc., 8.38%, 06/15/25(a) |
9,047 | 9,448,868 | ||||||||||
|
Marriott International, Inc.: |
||||||||||||
|
Series N, 3.13%, 10/15/21 |
6,200 | 6,293,921 | ||||||||||
|
4.63%, 06/15/30 |
155 | 166,125 | ||||||||||
|
Marriott Ownership Resorts, Inc.: |
||||||||||||
|
6.13%, 09/15/25(a) |
351 | 374,447 | ||||||||||
|
6.50%, 09/15/26 |
37 | 37,925 | ||||||||||
|
Masonite International Corp., 5.38 %, 02/01/28(a) |
24 | 25,560 | ||||||||||
|
MGM Growth Properties Operating Partnership LP: |
||||||||||||
|
4.63%, 06/15/25(a) |
70 | 73,587 | ||||||||||
|
5.75%, 02/01/27 |
101 | 109,332 | ||||||||||
|
Microchip Technology, Inc.: |
||||||||||||
|
4.33%, 06/01/23 |
2,590 | 2,791,684 | ||||||||||
|
2.67%, 09/01/23(a) |
9,695 | 10,036,711 | ||||||||||
|
4.25%, 09/01/25(a)(p) |
21,086 | 22,165,898 | ||||||||||
|
Molina Healthcare, Inc., 5.38%, 11/15/22(k) |
34 | 35,700 | ||||||||||
|
MPT Operating Partnership LP, 5.00%, 10/15/27 |
67 | 71,858 | ||||||||||
|
NCR Corp.: |
||||||||||||
|
5.00%, 07/15/22 |
26 | 26,065 | ||||||||||
|
8.13%, 04/15/25(a) |
5,000 | 5,548,500 | ||||||||||
|
6.13%, 09/01/29(a) |
1,000 | 1,095,450 | ||||||||||
|
Netflix, Inc.: |
||||||||||||
|
3.00%, 06/15/25 |
EUR | 187 | 230,731 | |||||||||
|
3.63%, 06/15/25(a) |
USD | 1,250 | 1,325,000 | |||||||||
|
3.88%, 11/15/29 |
EUR | 349 | 456,088 | |||||||||
|
3.63%, 06/15/30 |
2,940 | 3,773,577 | ||||||||||
|
Nexstar Broadcasting, Inc.(a): |
||||||||||||
|
5.63%, 08/01/24 |
USD | 1,000 | 1,027,500 | |||||||||
|
5.63%, 07/15/27 |
1,337 | 1,430,991 | ||||||||||
|
Nordstrom, Inc., 8.75%, 05/15/25(a) |
5,395 | 5,908,619 | ||||||||||
|
NRG Energy, Inc.: |
||||||||||||
|
7.25%, 05/15/26 |
49 | 52,847 | ||||||||||
|
6.63%, 01/15/27 |
59 | 62,835 | ||||||||||
|
5.75%, 01/15/28 |
40 | 43,965 | ||||||||||
|
5.25%, 06/15/29(a) |
35 | 38,698 | ||||||||||
|
Occidental Petroleum Corp.: |
||||||||||||
|
2.60%, 08/13/21 |
12,573 | 12,415,837 | ||||||||||
|
8.00%, 07/15/25 |
5,000 | 5,462,500 | ||||||||||
|
OI European Group BV: |
||||||||||||
|
3.13%, 11/15/24 |
EUR | 300 | 359,127 | |||||||||
|
2.88%, 02/15/25 |
200 | 234,974 | ||||||||||
|
Outfront Media Capital LLC,
|
USD | 31 | 30,353 | |||||||||
|
PBF Holding Co. LLC, 9.25%, 05/15/25(a) |
445 | 497,279 | ||||||||||
|
PG&E Corp., 5.00%, 07/01/28 |
551 | 566,951 | ||||||||||
|
Pilgrim’s Pride Corp., 5.88%, 09/30/27(a) |
41 | 43,358 | ||||||||||
|
PulteGroup, Inc., 5.50%, 03/01/26 |
58 | 67,007 | ||||||||||
|
Qorvo, Inc.: |
||||||||||||
|
5.50%, 07/15/26 |
14,318 | 15,367,366 | ||||||||||
|
4.38%, 10/15/29(a) |
4,112 | 4,430,680 | ||||||||||
|
Quicken Loans, Inc.(a): |
||||||||||||
|
5.75%, 05/01/25 |
58 | 59,794 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
5.25%, 01/15/28 |
USD | 47 | $ | 50,764 | ||||||||
|
Refinitiv US Holdings, Inc.: |
||||||||||||
|
4.50%, 05/15/26 |
EUR | 288 | 355,332 | |||||||||
|
6.25%, 05/15/26(a) |
USD | 25,295 | 27,350,219 | |||||||||
|
Sabre GLBL, Inc.(a): |
||||||||||||
|
5.38%, 04/15/23 |
5,500 | 5,396,875 | ||||||||||
|
9.25%, 04/15/25 |
4,507 | 4,963,334 | ||||||||||
|
SeaWorld Parks & Entertainment, Inc.(a): |
||||||||||||
|
8.75%, 05/01/25 |
399 | 417,952 | ||||||||||
|
9.50%, 08/01/25 |
117 | 118,609 | ||||||||||
|
Select Medical Corp., 6.25%, 08/15/26(a) |
1,275 | 1,373,813 | ||||||||||
|
Service Properties Trust: |
||||||||||||
|
5.00%, 08/15/22 |
380 | 375,186 | ||||||||||
|
4.50%, 06/15/23 |
745 | 707,750 | ||||||||||
|
7.50%, 09/15/25 |
129 | 136,793 | ||||||||||
|
Silgan Holdings, Inc.: |
||||||||||||
|
3.25%, 03/15/25 |
EUR | 200 | 238,488 | |||||||||
|
2.25%, 06/01/28 |
232 | 268,502 | ||||||||||
|
Sirius XM Radio, Inc.(a): |
||||||||||||
|
4.63%, 07/15/24 |
USD | 1,096 | 1,154,088 | |||||||||
|
5.38%, 07/15/26 |
47 | 49,523 | ||||||||||
|
5.00%, 08/01/27 |
72 | 76,739 | ||||||||||
|
5.50%, 07/01/29 |
84 | 93,555 | ||||||||||
|
4.13%, 07/01/30 |
1,145 | 1,208,319 | ||||||||||
|
SM Energy Co.: |
||||||||||||
|
1.50%, 07/01/21(f) |
405 | 372,819 | ||||||||||
|
6.13%, 11/15/22 |
303 | 224,220 | ||||||||||
|
10.00%, 01/15/25(a) |
2,519 | 2,487,512 | ||||||||||
|
Solera LLC, 10.50%, 03/01/24(a) |
250 | 264,500 | ||||||||||
|
Sprint Communications, Inc., 6.00%, 11/15/22 |
5,500 | 5,946,105 | ||||||||||
|
Sprint Corp.: |
||||||||||||
|
7.25%, 09/15/21 |
15,490 | 16,361,312 | ||||||||||
|
7.88%, 09/15/23 |
15,018 | 17,420,880 | ||||||||||
|
7.13%, 06/15/24 |
14,020 | 16,355,031 | ||||||||||
|
7.63%, 02/15/25 |
6,045 | 7,342,076 | ||||||||||
|
Standard Industries, Inc.: |
||||||||||||
|
2.25%, 11/21/26 |
EUR | 109 | 124,049 | |||||||||
|
5.00%, 02/15/27(a) |
USD | 24 | 25,500 | |||||||||
|
Staples, Inc., 7.50%, 04/15/26(a) |
9,509 | 8,342,246 | ||||||||||
|
Steel Dynamics, Inc., 2.40%, 06/15/25 |
52 | 54,599 | ||||||||||
|
Summit Materials LLC, 6.13%, 07/15/23 |
29 | 29,017 | ||||||||||
|
SUN Country Marine, Inc., Series 2019-1C, 7.00 %, 12/15/23(e) |
19,212 | 15,706,132 | ||||||||||
|
Sunoco LP: |
||||||||||||
|
4.88%, 01/15/23 |
46 | 46,748 | ||||||||||
|
5.50%, 02/15/26 |
37 | 37,925 | ||||||||||
|
6.00%, 04/15/27 |
28 | 29,540 | ||||||||||
|
Talen Energy Supply LLC: |
||||||||||||
|
6.50%, 06/01/25 |
103 | 69,010 | ||||||||||
|
7.25%, 05/15/27(a) |
92 | 95,680 | ||||||||||
|
Targa Resources Partners LP: |
||||||||||||
|
6.75%, 03/15/24 |
27 | 27,640 | ||||||||||
|
5.13%, 02/01/25 |
24 | 24,360 | ||||||||||
|
5.38%, 02/01/27 |
24 | 24,796 | ||||||||||
|
6.50%, 07/15/27 |
39 | 41,730 | ||||||||||
|
6.88%, 01/15/29 |
39 | 43,997 | ||||||||||
|
Taylor Morrison Communities, Inc., 5.88 %, 06/15/27(a) |
45 | 49,725 | ||||||||||
|
TEGNA, Inc., 4.63%, 03/15/28(a) |
11 | 10,857 | ||||||||||
|
Teleflex, Inc., 4.63%, 11/15/27 |
24 | 25,950 | ||||||||||
|
Tempur Sealy International, Inc., 5.50 %, 06/15/26 |
28 | 29,330 | ||||||||||
|
SCHEDULE OF INVESTMENTS |
17 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Tenet Healthcare Corp.: |
||||||||||||
|
4.63%, 07/15/24 |
USD | 1,086 | $ | 1,105,005 | ||||||||
|
4.63%, 09/01/24(a) |
28 | 28,630 | ||||||||||
|
5.13%, 05/01/25 |
65 | 66,867 | ||||||||||
|
4.88%, 01/01/26(a) |
97 | 101,458 | ||||||||||
|
6.25%, 02/01/27(a) |
72 | 76,479 | ||||||||||
|
4.63%, 06/15/28(a) |
45 | 47,327 | ||||||||||
|
Terex Corp., 5.63%, 02/01/25(a) |
28 | 28,389 | ||||||||||
|
T-Mobile USA, Inc., 1.50%, 02/15/26(a) |
2,020 | 2,048,462 | ||||||||||
|
Toll Brothers Finance Corp.,
|
38 | 41,800 | ||||||||||
|
TRI Pointe Group, Inc.: |
||||||||||||
|
5.25%, 06/01/27 |
10 | 10,500 | ||||||||||
|
5.70%, 06/15/28 |
29 | 31,900 | ||||||||||
|
UGI International LLC, 3.25%, 11/01/25 |
EUR | 200 | 234,118 | |||||||||
|
United Airlines Pass-Through Trust: |
||||||||||||
|
Series 2014-2, Class B,
|
USD | 2,693 | 2,416,960 | |||||||||
|
Series 2018-1, Class B, 4.60 %, 03/01/26 |
2,683 | 1,993,015 | ||||||||||
|
Series 2019-2, Class B, 3.50 %, 05/01/28 |
3,090 | 2,178,800 | ||||||||||
|
United Rentals North America, Inc.: |
||||||||||||
|
4.63%, 10/15/25 |
35 | 36,006 | ||||||||||
|
5.88%, 09/15/26 |
49 | 52,308 | ||||||||||
|
6.50%, 12/15/26 |
54 | 59,940 | ||||||||||
|
5.50%, 05/15/27 |
49 | 52,736 | ||||||||||
|
4.88%, 01/15/28 |
78 | 83,753 | ||||||||||
|
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/21 |
2,871 | 2,362,328 | ||||||||||
|
US Concrete, Inc., 6.38%, 06/01/24 |
28 | 28,560 | ||||||||||
|
VICI Properties LP(a): |
||||||||||||
|
3.50%, 02/15/25 |
36 | 36,450 | ||||||||||
|
4.63%, 12/01/29 |
35 | 36,673 | ||||||||||
|
Vistra Operations Co. LLC(a): |
||||||||||||
|
3.55%, 07/15/24 |
788 | 828,980 | ||||||||||
|
5.50%, 09/01/26 |
48 | 50,580 | ||||||||||
|
5.63%, 02/15/27 |
62 | 66,523 | ||||||||||
|
Weekley Homes LLC, 6.63%, 08/15/25 |
52 | 54,535 | ||||||||||
|
WESCO Distribution, Inc.(a): |
||||||||||||
|
7.13%, 06/15/25 |
4,227 | 4,638,668 | ||||||||||
|
7.25%, 06/15/28 |
3,490 | 3,812,825 | ||||||||||
|
Western Digital Corp.: |
||||||||||||
|
1.50%, 02/01/24(f)(k) |
17,000 | 16,422,896 | ||||||||||
|
4.75%, 02/15/26 |
7,925 | 8,609,482 | ||||||||||
|
William Carter Co. (The)(a): |
||||||||||||
|
5.50%, 05/15/25 |
5,500 | 5,852,385 | ||||||||||
|
5.63%, 03/15/27 |
24 | 25,560 | ||||||||||
|
WPX Energy, Inc., 5.88%, 06/15/28 |
50 | 51,219 | ||||||||||
|
Wyndham Destinations, Inc.,
|
85 | 88,152 | ||||||||||
|
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a) |
24 | 24,480 | ||||||||||
|
Wynn Resorts Finance LLC,
|
517 | 495,028 | ||||||||||
|
Xerox Corp.: |
||||||||||||
|
4.50%, 05/15/21 |
21,785 | 22,220,700 | ||||||||||
|
4.07%, 03/17/22 |
3,000 | 3,075,000 | ||||||||||
|
XPO Logistics, Inc.(a): |
||||||||||||
|
6.13%, 09/01/23 |
25 | 25,492 | ||||||||||
|
6.75%, 08/15/24 |
50 | 53,773 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Yum! Brands, Inc., 7.75%, 04/01/25(a) |
USD | 2,472 | $ | 2,774,820 | ||||||||
|
|
|
|||||||||||
| 737,905,028 | ||||||||||||
|
|
|
|||||||||||
|
Total Corporate Bonds — 75.7%
|
1,327,442,105 | |||||||||||
|
|
|
|||||||||||
|
Floating Rate Loan Interests — 14.4% |
|
|||||||||||
| Canada — 0.2%(l) | ||||||||||||
|
Titan Acquisition Ltd., Term Loan,
|
1,403 | 1,290,760 | ||||||||||
|
Xplornet Communications, Inc., Term
|
2,912 | 2,832,823 | ||||||||||
|
|
|
|||||||||||
| 4,123,583 | ||||||||||||
| European Union — 0.2% | ||||||||||||
|
Nidda Healthcare Holding GmbH, Term
|
EUR | 2,500 | 2,817,892 | |||||||||
|
|
|
|||||||||||
| France — 0.4%(l) | ||||||||||||
|
Altice France SA, Term Loan, 07/31/25(q) |
474 | 533,385 | ||||||||||
|
Altice France SA, Term Loan B,
|
2,985 | 3,357,564 | ||||||||||
|
Banijay Entertainment SAS, Term Loan, 03/01/25(q) |
2,000 | 2,269,509 | ||||||||||
|
|
|
|||||||||||
| 6,160,458 | ||||||||||||
| Germany — 0.3%(l) | ||||||||||||
|
CTC AcquiCo GmbH, Term Loan B,
|
2,000 | 2,211,601 | ||||||||||
|
Rain Carbon GmbH, Term Loan,
|
3,000 | 3,277,646 | ||||||||||
|
|
|
|||||||||||
| 5,489,247 | ||||||||||||
| Luxembourg — 1.9%(l) | ||||||||||||
|
Altice Financing SA, 1st Lien Term
|
4,769 | 5,378,764 | ||||||||||
|
Altice Financing SA, Term Loan,
|
USD | 1,751 | 1,680,958 | |||||||||
|
Altice Financing SA, Term Loan B,
|
1,985 | 1,906,806 | ||||||||||
|
Concrete Investment II SCA, Term
|
EUR | 76 | 4,179 | |||||||||
|
Gol LuxCo SA, Term Loan, 6.50%, 08/31/20(e) |
USD | 19,925 | 19,128,000 | |||||||||
|
Summer (BC) Bidco B LLC, Term Loan,
|
EUR | 2,000 | 2,202,766 | |||||||||
|
Sunshine Luxembourg VII SARL,
|
USD | 2,162 | 2,149,527 | |||||||||
|
Travelport Finance (Luxembourg) SA,
|
638 | 382,321 | ||||||||||
|
|
|
|||||||||||
| 32,833,321 | ||||||||||||
| 18 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
| Netherlands — 0.3%(l) | ||||||||||||
|
Diamond (BC) BV, Term Loan, (LIBOR USD 1 Month + 3.00%),
|
USD | 379 | $ | 356,926 | ||||||||
|
Peer Holdings III BV, Term Loan B, (EURIBOR 6 Month + 3.25%),
|
EUR | 4,000 | 4,476,823 | |||||||||
|
Ziggo BV, Term Loan, 01/31/29(q) |
1,000 | 1,139,549 | ||||||||||
|
|
|
|||||||||||
| 5,973,298 | ||||||||||||
| Norway — 0.1% | ||||||||||||
|
Silk Bidco AS, 1st Lien Term Loan B, 02/24/25(l)(q) |
2,500 | 2,392,711 | ||||||||||
|
|
|
|||||||||||
| Spain — 1.2%(l) | ||||||||||||
|
Invictus Media SLU, Term Loan, (EURIBOR 6 Month + 7.50%),
|
3,500 | 3,298,260 | ||||||||||
|
Pax Midco Spain SLU, Term Loan, (EURIBOR 6 Month + 4.75%),
|
1,781 | 1,569,649 | ||||||||||
|
Piolin BidCo SAU, Term Loan, (EURIBOR 6 Month + 3.75%), 3.75%, 09/16/26 |
4,000 | 3,885,774 | ||||||||||
|
Promotora de Informaciones SA, 1st Lien Term Loan, 11/30/22(q) |
6,318 | 6,409,217 | ||||||||||
|
Promotora De Informaciones SA, Term Loan, (EURIBOR 6 Month + 4.50%), 4.50%, 12/31/22 |
5,163 | 5,139,070 | ||||||||||
|
|
|
|||||||||||
| 20,301,970 | ||||||||||||
| Switzerland — 0.3% | ||||||||||||
|
Swissport International AG, Term Loan, (EURIBOR 6 Month + 4.50%),
|
5,000 | 4,720,399 | ||||||||||
|
|
|
|||||||||||
| United Kingdom — 0.6%(l) | ||||||||||||
|
Connect Finco SARL, Term Loan B, (LIBOR USD 1 Month + 4.50%),
|
USD | 897 | 872,507 | |||||||||
|
Froneri International Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%),
|
970 | 929,391 | ||||||||||
|
Misys Ltd., 1st Lien Term Loan B, (EURIBOR 3 Month + 3.00%),
|
EUR | 3,000 | 3,251,142 | |||||||||
|
Sigma Holdco BV, Term Loan, (EURIBOR 1 Month + 3.50%), 3.50%, 07/02/25 |
2,000 | 2,256,010 | ||||||||||
|
Vue International Bidco plc, Term Loan, 07/03/26(q) |
3,349 | 3,051,447 | ||||||||||
|
|
|
|||||||||||
| 10,360,497 | ||||||||||||
| United States — 8.9% | ||||||||||||
|
Acadia Healthcare Co., Term Loan B2, (LIBOR USD 1 Month + 2.50%),
|
USD | 763 | 749,645 | |||||||||
|
Airbnb, Inc., Term Loan, (LIBOR USD 6 Month + 7.50%), 8.50%, 04/17/25(l) |
409 | 428,427 | ||||||||||
|
Allegiant Travel Co., Term Loan, 02/05/24(l)(q) |
4,306 | 3,832,129 | ||||||||||
|
AVSC Holding Corp., 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%),
|
987 | 703,191 | ||||||||||
|
Ball Metalpack Finco LLC, Term Loan, (LIBOR USD 3 Month + 4.50%),
|
737 | 688,826 | ||||||||||
| Security |
Par (000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Brand Energy & Infrastructure Services, Inc., Term Loan, (LIBOR USD 3 Month + 4.25%), 5.25%, 06/21/24(l) |
USD | 350 | $ | 318,647 | ||||||||
|
Caesars Resort Collection LLC, Term Loan, 07/21/25(l)(q) |
2,020 | 1,943,624 | ||||||||||
|
Capri Acquisitions Bidco Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%),
|
461 | 459,416 | ||||||||||
|
Chobani LLC, Term Loan, 10/10/23(l)(q) |
597 | 590,819 | ||||||||||
|
Clear Channel Outdoor Holdings, Inc., Term Loan, 08/21/26(l)(q) |
1,500 | 1,331,250 | ||||||||||
|
Coty, Inc., Term Loan(l): |
||||||||||||
|
(EURIBOR 1 Month + 1.75%),
|
EUR | 6,855 | 7,146,026 | |||||||||
|
(EURIBOR 1 Month + 2.50%),
|
995 | 1,025,474 | ||||||||||
|
CPG Merger Sub LLC, Term Loan, (LIBOR USD 3 Month + 3.75%),
|
USD | 226 | 224,162 | |||||||||
|
Deerfield Dakota Holding, LLC, Term Loan, (LIBOR USD 1 Month + 3.75%),
|
499 | 491,335 | ||||||||||
|
Diamond BC BV, Term Loan, 09/06/24(l)(q) |
EUR | 2,989 | 3,273,698 | |||||||||
|
Douglas Dynamics LLC, Term Loan, (LIBOR USD 1 Month + 3.75%),
|
USD | 129 | 128,185 | |||||||||
|
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.92%, 02/06/26(l) |
10,215 | 10,153,696 | ||||||||||
|
Epicor Software Corp. Term Loan,
|
788 | 787,039 | ||||||||||
|
Epicor Software Corp., 2nd Lien Term Loan,
|
561 | 572,220 | ||||||||||
|
Equinox Holdings, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%),
|
1,980 | 1,475,344 | ||||||||||
|
Euro Garages Ltd., Term Loan B, (LIBOR USD 6 Month + 4.00%),
|
— | (r) | 1 | |||||||||
|
Everi Payments, Inc., Term Loan, (LIBOR USD 3 Month + 10.50%),
|
80 | 80,400 | ||||||||||
|
Forterra Finance LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%),
|
687 | 670,609 | ||||||||||
|
Gentiva Health Services, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%),
|
20,500 | 20,141,440 | ||||||||||
|
Golden Nugget, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%),
|
249 | 207,974 | ||||||||||
|
Greeneden US Holdings I LLC, Term Loan B, 12/01/23(l)(q) |
2,000 | 1,966,660 | ||||||||||
|
GTT Communications, Inc., Term Loan, 04/27/25(l)(q) |
EUR | 7,480 | 7,944,920 | |||||||||
|
GVC Holdings plc, Term Loan, (LIBOR USD 3 Month + 2.25%),
|
USD | 1,268 | 1,230,144 | |||||||||
|
HD Supply, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%),
|
975 | 959,367 | ||||||||||
|
HUB International Ltd., Term Loan B, (LIBOR USD 3 Month + 3.00%),
|
283 | 274,748 | ||||||||||
| SCHEDULE OF INVESTMENTS | 19 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Illuminate Buyer LLC, Term Loan, (LIBOR USD 3 Month + 4.00%),
|
USD | 787 | $ | 777,556 | ||||||||
|
Informatica LLC, Term Loan: |
||||||||||||
|
7.13%, 02/25/25(s) |
11,176 | 11,269,096 | ||||||||||
|
02/25/27(l)(q) |
10,336 | 10,071,607 | ||||||||||
|
Learfield Communications LLC, Term Loan, (LIBOR USD 1 Month + 3.25%),
|
483 | 344,451 | ||||||||||
|
Lineage Logistics LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 02/27/25(l) |
1,994 | 1,956,500 | ||||||||||
|
Live Nation Entertainment, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.94%, 10/19/26(l) |
250 | 231,446 | ||||||||||
|
McAfee LLC, Term Loan, (LIBOR USD 1 Month + 8.50%), 9.50%, 09/29/25(l) |
37,564 | 38,033,189 | ||||||||||
|
MH SUB I LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 09/13/24(l) |
619 | 613,324 | ||||||||||
|
Midas Intermediate Holdco II LLC, Term Loan B, (LIBOR USD 3 Month + 2.75%), 3.75%, 08/18/21(l) |
1,226 | 1,070,586 | ||||||||||
|
Mitchell International, Inc., Term Loan, 11/29/24(l)(q) |
432 | 420,120 | ||||||||||
|
Neiman Marcus Group Ltd. Inc., Term Loan, 05/08/25(e)(l)(q) |
33 | 33,378 | ||||||||||
|
PetSmart, Inc., Term Loan, (LIBOR USD 3 Month + 4.00%), 5.00%, 03/11/22(l) |
1,067 | 1,061,467 | ||||||||||
|
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25(l) |
2,146 | 2,119,840 | ||||||||||
|
Refinitiv US Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%),
|
997 | 989,279 | ||||||||||
|
RP Crown Parent LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 2.75%),
|
98 | 97,978 | ||||||||||
|
Ryan Specialty Group, Term Loan, 06/29/27(l)(q) |
653 | 648,102 | ||||||||||
|
Sedgwick Claims Management Services, Term Loan, (LIBOR USD 1 Month + 4.25%), 5.25%, 09/03/26(l) |
946 | 933,390 | ||||||||||
|
Sotheby’s, Inc., Term Loan B, (LIBOR USD 1 Month + 5.50%),
|
750 | 712,891 | ||||||||||
|
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 2.75%),
|
995 | 968,010 | ||||||||||
|
Terrier Media Buyer, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%),
|
499 | 485,475 | ||||||||||
|
TIBCO Software, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%),
|
632 | 602,686 | ||||||||||
|
Trans Union LLC, Term Loan B, (LIBOR USD 1 Month + 1.75%),
|
381 | 370,474 | ||||||||||
|
TransDigm, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 12/09/25(l) |
995 | 930,146 | ||||||||||
|
Ultimate Software Group, Inc. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 05/04/26(l) |
2,184 | 2,160,734 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| United States (continued) | ||||||||||||
|
Ultimate Software Group, Inc., (The), Term Loan(l): |
||||||||||||
|
(LIBOR USD 3 Month + 4.00%),
|
USD | 3,104 | $ | 3,102,852 | ||||||||
|
(LIBOR USD 3 Month + 6.75%),
|
1,433 | 1,456,888 | ||||||||||
|
Vertiv Group Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/02/27(l) |
998 | 973,809 | ||||||||||
|
Virgin Media Bristol LLC, Term Loan, (LIBOR USD 1 Month + 2.50%),
|
1,500 | 1,453,722 | ||||||||||
|
VS Buyer LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.42%, 02/28/27(l) |
684 | 669,925 | ||||||||||
|
Wilsonart LLC, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%),
|
499 | 486,561 | ||||||||||
|
Zayo Group LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/09/27(l) |
1,496 | 1,451,362 | ||||||||||
|
|
|
|||||||||||
| 156,296,260 | ||||||||||||
|
|
|
|||||||||||
|
Total Floating Rate Loan Interests — 14.4%
|
|
251,469,636 | ||||||||||
|
|
|
|||||||||||
|
Foreign Agency Obligations — 1.1% |
|
|||||||||||
|
China — 0.0% |
||||||||||||
|
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21 |
200 | 196,500 | ||||||||||
|
|
|
|||||||||||
| France — 0.6% | ||||||||||||
|
Electricite de France SA(b)(i): |
||||||||||||
|
(EUR Swap Annual 12 Year + 3.04%), 5.00% |
EUR | 4,500 | 5,826,697 | |||||||||
|
(GBP Swap 13 Year + 3.96%), 6.00% |
GBP | 3,500 | 4,958,667 | |||||||||
|
|
|
|||||||||||
| 10,785,364 | ||||||||||||
| India — 0.0% | ||||||||||||
|
Oil India Ltd., 5.13%, 02/04/29 |
USD | 240 | 259,248 | |||||||||
|
Power Finance Corp. Ltd., 3.75%, 12/06/27 |
200 | 198,750 | ||||||||||
|
|
|
|||||||||||
| 457,998 | ||||||||||||
| Indonesia — 0.1% | ||||||||||||
|
Pertamina Persero PT, 4.18%, 01/21/50 |
550 | 587,469 | ||||||||||
|
|
|
|||||||||||
| Italy — 0.1% | ||||||||||||
|
Banca Monte dei Paschi di Siena SpA: |
||||||||||||
|
3.63%, 09/24/24 |
EUR | 571 | 685,774 | |||||||||
|
2.63%, 04/28/25 |
1,154 | 1,335,076 | ||||||||||
|
|
|
|||||||||||
| 2,020,850 | ||||||||||||
| Mexico — 0.3% | ||||||||||||
|
Petroleos Mexicanos, 6.88%, 08/04/26 |
USD | 5,000 | 4,971,250 | |||||||||
|
|
|
|||||||||||
|
Total Foreign Agency Obligations — 1.1%
(Cost: $17,412,269) |
19,019,431 | |||||||||||
|
|
|
|||||||||||
|
Foreign Government Obligations — 0.1% |
|
|||||||||||
| Maldives — 0.1% | ||||||||||||
|
Republic of Maldives, 7.00%, 06/07/22 |
1,000 | 723,125 | ||||||||||
|
|
|
|||||||||||
| 20 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
| Sri Lanka — 0.0% | ||||||||||||
|
Democratic Socialist Republic of Sri Lanka: |
||||||||||||
|
7.85%, 03/14/29 |
USD | 225 | $ | 167,836 | ||||||||
|
7.55%, 03/28/30 |
200 | 146,875 | ||||||||||
|
|
|
|||||||||||
| 314,711 | ||||||||||||
|
|
|
|||||||||||
|
Total Foreign Government Obligations — 0.1%
|
|
1,037,836 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Investment Companies — 0.2% | ||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF* |
33,282 | 2,841,950 | ||||||||||
|
|
|
|||||||||||
|
Total Investment Companies — 0.2%
|
|
2,841,950 | ||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| Non-Agency Mortgage-Backed Securities — 0.2% | ||||||||||||
| Collateralized Mortgage Obligations — 0.2% | ||||||||||||
| United Kingdom — 0.2% | ||||||||||||
|
Paragon Mortgages No. 13 plc, Series 13X, Class A2C, 0.46%, 01/15/39(c) |
4,208 | 4,009,402 | ||||||||||
|
|
|
|||||||||||
|
Total Non-Agency Mortgage-Backed Securities —
0.2%
|
|
4,009,402 | ||||||||||
|
|
|
|||||||||||
|
Preferred Securities — 0.6% |
||||||||||||
| Capital Trusts — 0.5% | ||||||||||||
| Luxembourg — 0.2% | ||||||||||||
|
ArcelorMittal SA, 5.50%, 05/18/23(d)(f) |
120 | 3,447,318 | ||||||||||
|
|
|
|||||||||||
| United Kingdom — 0.3% | ||||||||||||
|
Lloyds Banking Group plc(i)(l): |
||||||||||||
|
6.41%(a) |
1,252 | 1,399,110 | ||||||||||
|
6.66% |
701 | 799,140 | ||||||||||
|
6.66%(a) |
2,694 | 3,071,160 | ||||||||||
|
|
|
|||||||||||
| 5,269,410 | ||||||||||||
|
Total Capital Trusts — 0.5%
|
|
8,716,728 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Preferred Stocks — 0.1% | ||||||||||||
| Luxembourg — 0.0% | ||||||||||||
|
Novartex Holding Luxembourg SCA(e) |
94 | — | ||||||||||
|
|
|
|||||||||||
| Spain — 0.1% | ||||||||||||
|
Banco Santander SA, Series 6, 4.00%(i) (l) |
109,000 | 2,507,000 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Stocks — 0.1%
|
|
2,507,000 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Securities — 0.6%
|
|
11,223,728 | ||||||||||
|
|
|
|||||||||||
| Security |
Shares |
Value | ||||||||||
|
Warrants — 0.0% |
||||||||||||
| United States — 0.0%(d) | ||||||||||||
|
SM Energy Co. (Issued/exercisable 06/17/20, 1 share for 1 warrant, Expires 06/30/23, Strike Price USD 4.26) |
67,242 | $ | 197,691 | |||||||||
|
Tribune Resources LLC (Issued/ exercisable 04/06/18, 1 share for 1 warrant, Expires 12/31/49, Strike Price USD 0.00)(e) |
440,830 | 22,042 | ||||||||||
|
Tribune Resources LLC (Issued/ exercisable 04/06/18, 1 share for 1 warrant, Expires 12/31/49, Strike Price USD 0.00) |
566,782 | 56,678 | ||||||||||
|
|
|
|||||||||||
| Total Warrants — 0.0% | 276,411 | |||||||||||
|
|
|
|||||||||||
|
Total Long-Term Investments — 95.2%
|
|
1,668,855,225 | ||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| Short-Term Securities — 10.8% | ||||||||||||
| Borrowed Bond Agreements — 9.7%(t)(u) | ||||||||||||
|
Barclays Bank plc, (2.25)%, Open (Purchased on 10/18/19 to be repurchased at EUR 2,474,248, collateralized by eircom Finance DAC, 1.75%, due at 11/01/24, par and fair value of EUR 2,500,000 and $2,859,792, respectively) |
EUR | 2,497 | 2,941,223 | |||||||||
|
Barclays Bank plc, (1.05)%, Open (Purchased on 03/27/20 to be repurchased at EUR 3,631,983, collateralized by Banco Bilbao Vizcaya Argentaria SA, 3.50%, due at 02/10/27, par and fair value of EUR 3,700,000 and $4,814,816, respectively) |
3,645 | 4,293,823 | ||||||||||
|
Barclays Bank plc, (0.85)%, Open (Purchased on 07/13/20 to be repurchased at EUR 2,382,956, collateralized by Banco Bilbao Vizcaya Argentaria SA, 6.00%, par and fair value of EUR 2,400,000 and $2,753,576, respectively) |
2,382 | 2,805,877 | ||||||||||
|
Barclays Bank plc, (0.85)%, Open (Purchased on 04/03/20 to be repurchased at EUR 3,225,350, collateralized by ARD Finance SA, 5.00%, due at 06/30/27, par and fair value of EUR 4,100,000 and $4,704,267, respectively) |
3,234 | 3,809,826 | ||||||||||
|
Barclays Bank plc, (0.85)%, Open (Purchased on 07/13/20 to be repurchased at EUR 2,400,612, collateralized by Cooperatieve Rabobank UA, 4.37%, par and fair value of EUR 2,400,000 and $2,830,614, respectively)(i) |
2,400 | 2,826,599 | ||||||||||
| SCHEDULE OF INVESTMENTS | 21 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Barclays Bank plc, (0.75)%, Open (Purchased on 03/20/20 to be repurchased at USD 887,945, collateralized by Sprint Capital Corp., 6.88%, due at 11/15/28, par and fair value of USD 850,000 and $1,102,195, respectively) |
USD | 890 | $ | 890,375 | ||||||||
|
Barclays Bank plc, (0.50)%, Open (Purchased on 03/20/20 to be repurchased at USD 960,275, collateralized by Teva Pharmaceutical Finance Netherlands III BV, 2.80%, due at 07/21/23, par and fair value of USD 1,270,000 and $1,231,900, respectively) |
962 | 962,025 | ||||||||||
|
Barclays Bank plc, (0.40)%, Open (Purchased on 05/19/20 to be repurchased at USD 1,827,267, collateralized by Air Canada, 7.75%, due at 04/15/21, par and fair value of USD 1,900,000 and $1,919,000, respectively) |
1,829 | 1,828,750 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 03/23/20 to be repurchased at USD 2,627,226, collateralized by Refinitiv US Holdings, Inc., 8.25%, due at 11/15/26, par and fair value of USD 2,700,000 and $2,980,125, respectively) |
2,629 | 2,629,125 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 03/25/20 to be repurchased at USD 767,641, collateralized by Mattel, Inc., 6.75%, due at 12/31/25, par and fair value of USD 850,000 and $910,410, respectively) |
768 | 768,188 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 04/03/20 to be repurchased at USD 1,592,277, collateralized by Beacon Roofing Supply, Inc., 4.88%, due at 11/01/25, par and fair value of USD 1,850,000 and $1,810,910, respectively) |
1,593 | 1,593,313 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 06/26/20 to be repurchased at USD 4,036,510, collateralized by Tenet Healthcare Corp., 6.75%, due at 06/15/23, par and fair value of USD 3,845,000 and $4,056,475, respectively) |
4,037 | 4,037,250 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 04/07/20 to be repurchased at USD 926,907, collateralized by Herc Holdings, Inc., 5.50%, due at 07/15/27, par and fair value of USD 1,000,000 and $1,057,500, respectively) |
928 | 927,500 | ||||||||||
|
Barclays Bank plc, (0.20)%, Open (Purchased on 05/05/20 to be repurchased at USD 2,563,760, collateralized by Zayo Group Holdings, Inc., 6.13%, due at 03/01/28, par and fair value of USD 2,700,000 and $2,787,750, respectively) |
2,565 | 2,565,000 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Barclays Capital, Inc., (0.75)%, Open (Purchased on 07/29/20 to be repurchased at USD 802,467, collateralized by Rackspace Hosting, Inc., 8.63%, due at 11/15/24, par and fair value of USD 750,000 and $783,750, respectively) |
USD | 803 | $ | 802,500 | ||||||||
|
BNP Paribas SA, (1.40)%, Open (Purchased on 06/16/20 to be repurchased at EUR 2,604,454, collateralized by INEOS Finance plc, 2.88%, due at 05/01/26, par and fair value of EUR 2,688,000 and $3,071,340, respectively) |
EUR | 2,607 | 3,071,371 | |||||||||
|
BNP Paribas SA, (1.15)%, Open (Purchased on 04/28/20 to be repurchased at EUR 2,489,839, collateralized by Gestamp Funding Luxembourg SA, 3.50%, due at 05/15/23, par and fair value of EUR 2,700,000 and $3,051,974, respectively) |
2,497 | 2,941,739 | ||||||||||
|
BNP Paribas SA, (1.00)%, Open (Purchased on 06/10/20 to be repurchased at EUR 4,713,629, collateralized by Telenet Finance Luxembourg Notes SARL, 3.50%, due at 03/01/28, par and fair value of EUR 4,500,000 and $5,479,676, respectively) |
4,720 | 5,560,142 | ||||||||||
|
BNP Paribas SA, (0.75)%, Open (Purchased on 03/23/20 to be repurchased at EUR 1,417,754, collateralized by eircom Finance DAC, 2.63%, due at 02/15/27, par and fair value of EUR 1,800,000 and $2,062,002, respectively) |
1,422 | 1,674,578 | ||||||||||
|
BNP Paribas SA, (0.25)%, Open (Purchased on 05/12/20 to be repurchased at USD 952,458, collateralized by Icahn Enterprises LP, 5.25%, due at 05/15/27, par and fair value of USD 985,000 and $1,014,550, respectively) |
USD | 953 | 952,988 | |||||||||
|
BNP Paribas SA, (0.20)%, Open (Purchased on 12/06/19 to be repurchased at USD 1,416,659, collateralized by Lions Gate Capital Holdings LLC, 5.88%, due at 11/01/24, par and fair value of USD 1,450,000 and $1,446,375, respectively) |
1,405 | 1,404,688 | ||||||||||
|
BNP Paribas SA, 0.09%, Open (Purchased on 06/17/20 to be repurchased at USD 4,906,225, collateralized by U.S. Treasury Notes, 0.25%, due at 05/31/25, par and fair value of USD 4,925,000 and $4,935,966, respectively) |
4,907 | 4,906,531 | ||||||||||
|
Citigroup Global Markets Ltd., (1.50)%, Open (Purchased on 06/04/20 to be repurchased at EUR 2,028,951, collateralized by Maxeda DIY Holding BV, 6.13%, due at 07/15/22, par and fair value of EUR 2,200,000 and $2,483,166, respectively) |
EUR | 2,034 | 2,395,392 | |||||||||
| 22 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Citigroup Global Markets Ltd., (0.85)%, Open (Purchased on 07/27/20 to be repurchased at EUR 2,075,253, collateralized by Ryanair DAC, 1.13%, due at 08/15/23, par and fair value of EUR 2,200,000 and $2,371,214, respectively) |
EUR | 2,075 | $ | 2,444,371 | ||||||||
|
Citigroup Global Markets Ltd., (0.80)%, Open (Purchased on 06/15/20 to be repurchased at EUR 2,889,644, collateralized by Refinitiv US Holdings, Inc., 6.88%, due at 11/15/26, par and fair value of EUR 2,700,000 and $3,403,517, respectively) |
2,893 | 3,407,264 | ||||||||||
|
Citigroup Global Markets Ltd., (0.80)%, Open (Purchased on 05/05/20 to be repurchased at EUR 3,109,981, collateralized by FCE Bank plc, 1.88%, due at 06/24/21, par and fair value of EUR 3,200,000 and $3,721,259, respectively) |
3,116 | 3,670,417 | ||||||||||
|
Citigroup Global Markets, Inc., (0.25)%, Open (Purchased on 05/26/20 to be repurchased at USD 922,077, collateralized by Delta Air Lines, Inc., 3.63%, due at 03/15/22, par and fair value of USD 1,000,000 and $982,153, respectively) |
USD | 923 | 922,500 | |||||||||
|
Citigroup Global Markets, Inc., (0.20)%, Open (Purchased on 03/23/20 to be repurchased at USD 717,731, collateralized by Kraft Heinz Foods Co., 4.88%, due at 10/01/49, par and fair value of USD 850,000 and $939,140, respectively) |
718 | 718,250 | ||||||||||
|
Citigroup Global Markets, Inc., (0.20)%, Open (Purchased on 04/14/20 to be repurchased at USD 1,566,559, collateralized by Ardagh Packaging Finance plc, 5.25%, due at 04/30/25, par and fair value of USD 1,500,000 and $1,590,000, respectively) |
1,568 | 1,567,500 | ||||||||||
|
Citigroup Global Markets, Inc., (0.20)%, Open (Purchased on 06/04/20 to be repurchased at USD 1,474,783, collateralized by CenturyLink, Inc., 5.13%, due at 12/15/26, par and fair value of USD 1,400,000 and $1,465,646, respectively) |
1,475 | 1,475,250 | ||||||||||
|
Citigroup Global Markets, Inc., (0.20)%, Open (Purchased on 04/09/20 to be repurchased at USD 3,166,814, collateralized by Ally Financial, Inc., 3.88%, due at 05/21/24, par and fair value of USD 3,250,000 and $3,472,344, respectively) |
3,169 | 3,168,750 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Citigroup Global Markets, Inc., (0.15)%, Open (Purchased on 07/30/20 to be repurchased at USD 2,537,989, collateralized by Southwest Airlines Co., 5.13%, due at 06/15/27, par and fair value of USD 2,400,000 and $2,522,755, respectively) |
USD | 2,538 | $ | 2,538,000 | ||||||||
|
Citigroup Global Markets, Inc., (0.15)%, Open (Purchased on 03/26/20 to be repurchased at USD 5,576,712, collateralized by Altice France Holding SA, 6.00%, due at 02/15/28, par and fair value of USD 6,250,000 and $6,242,437, respectively) |
5,580 | 5,579,688 | ||||||||||
|
Citigroup Global Markets, Inc., (0.15)%, Open (Purchased on 04/03/20 to be repurchased at USD 1,865,278, collateralized by SS&C Technologies, Inc., 5.50%, due at 09/30/27, par and fair value of USD 1,850,000 and $1,986,438, respectively) |
1,866 | 1,866,188 | ||||||||||
|
Citigroup Global Markets, Inc., (0.15)%, Open (Purchased on 04/09/20 to be repurchased at USD 1,646,120, collateralized by Bausch Health Cos., Inc., 5.00%, due at 01/30/28, par and fair value of USD 1,700,000 and $1,708,466, respectively) |
1,647 | 1,646,875 | ||||||||||
|
Citigroup Global Markets, Inc., (0.15)%, Open (Purchased on 05/15/20 to be repurchased at USD 2,057,169, collateralized by Elanco Animal Health, Inc., 5.65%, due at 08/28/28, par and fair value of USD 1,875,000 and $2,175,000, respectively) |
2,058 | 2,057,812 | ||||||||||
|
Credit Suisse Securities USA LLC, (0.20)%, Open (Purchased on 04/06/20 to be repurchased at USD 1,788,433, collateralized by Uber Technologies, Inc., 8.00%, due at 11/01/26, par and fair value of USD 1,850,000 and $1,941,667, respectively) |
1,790 | 1,789,875 | ||||||||||
|
Credit Suisse Securities USA LLC, (0.15)%, Open (Purchased on 03/19/20 to be repurchased at USD 1,362,364, collateralized by Kraft Heinz Foods Co., 3.75%, due at 04/01/30, par and fair value of USD 1,500,000 and $1,625,624, respectively) |
1,363 | 1,363,125 | ||||||||||
|
Credit Suisse Securities USA LLC, (0.15)%, Open (Purchased on 03/17/20 to be repurchased at USD 1,757,753, collateralized by Netflix, Inc., 4.88%, due at 04/15/28, par and fair value of USD 1,750,000 and $2,034,235, respectively) |
1,759 | 1,758,750 | ||||||||||
|
SCHEDULE OF INVESTMENTS |
23 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Credit Suisse Securities USA LLC, (0.15)%, Open (Purchased on 11/27/19 to be repurchased at USD 1,439,186, collateralized by Lions Gate Capital Holdings LLC, 6.38%, due at 02/01/24, par and fair value of USD 1,435,000 and $1,448,503, respectively) |
USD | 1,426 | $ | 1,426,031 | ||||||||
|
Goldman Sachs International, (2.00)%, Open (Purchased on 10/24/19 to be repurchased at EUR 2,167,614, collateralized by eircom Finance DAC, 1.75%, due at 11/01/24, par and fair value of EUR 2,200,000 and $2,516,616, respectively) |
EUR | 2,186 | 2,575,216 | |||||||||
|
Goldman Sachs International, (0.90)%, Open (Purchased on 04/08/20 to be repurchased at EUR 2,529,314, collateralized by eircom Finance DAC, 3.50%, due at 05/15/26, par and fair value of EUR 2,500,000 and $2,981,892, respectively) |
2,536 | 2,987,546 | ||||||||||
|
JPMorgan Securities plc, (1.85)%, Open (Purchased on 03/20/20 to be repurchased at EUR 581,963, collateralized by eircom Finance DAC, 2.63%, due at 02/15/27, par and fair value of EUR 750,000 and $859,167, respectively) |
586 | 690,170 | ||||||||||
|
JPMorgan Securities plc, (1.65)%, Open (Purchased on 10/25/19 to be repurchased at EUR 1,308,386, collateralized by Gestamp Funding Luxembourg SA, 3.50%, due at 05/15/23, par and fair value of EUR 1,300,000 and $1,469,469, respectively) |
1,325 | 1,561,104 | ||||||||||
|
JPMorgan Securities plc, (1.65)%, Open (Purchased on 10/25/19 to be repurchased at EUR 1,308,386, collateralized by Gestamp Funding Luxembourg SA, 3.50%, due at 05/15/23, par and fair value of EUR 1,300,000 and $1,469,469, respectively) |
1,325 | 1,561,104 | ||||||||||
|
JPMorgan Securities plc, (0.85)%, Open (Purchased on 12/02/19 to be repurchased at EUR 1,292,531, collateralized by ARD Finance SA, 5.00%, due at 06/30/27, par and fair value of EUR 1,300,000 and $1,491,597, respectively) |
1,300 | 1,531,250 | ||||||||||
|
JPMorgan Securities plc, (0.85)%, Open (Purchased on 05/29/20 to be repurchased at EUR 4,173,709, collateralized by Ardagh Packaging Finance plc, 2.13%, due at 08/15/26, par and fair value of EUR 4,300,000 and $4,944,887, respectively) |
4,180 | 4,923,512 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
JPMorgan Securities plc, (0.85)%, Open (Purchased on 01/07/20 to be repurchased at EUR 2,574,192, collateralized by National Bank of Greece SA, 8.25%, due at 07/18/29, par and fair value of EUR 2,250,000 and $2,736,016, respectively) |
EUR | 2,587 | $ | 3,047,018 | ||||||||
|
JPMorgan Securities plc, (0.85)%, Open (Purchased on 11/06/19 to be repurchased at EUR 3,302,069, collateralized by INEOS Finance plc, 2.88%, due at 05/01/26, par and fair value of EUR 3,300,000 and $3,770,618, respectively) |
3,323 | 3,914,442 | ||||||||||
|
JPMorgan Securities plc, (0.75)%, Open (Purchased on 07/17/20 to be repurchased at EUR 564,004, collateralized by Mulhacen Pte. Ltd., 6.50%, due at 08/01/23, par and fair value of EUR 1,250,000 and $588,975, respectively) |
564 | 664,217 | ||||||||||
|
JPMorgan Securities plc, (0.75)%, Open (Purchased on 05/19/20 to be repurchased at EUR 941,761, collateralized by Lincoln Financing SARL, 3.63%, due at 04/01/24, par and fair value of EUR 1,150,000 and $1,330,259, respectively) |
943 | 1,111,037 | ||||||||||
|
JPMorgan Securities plc, (0.45)%, Open (Purchased on 06/26/20 to be repurchased at GBP 2,146,188, collateralized by TalkTalk Telecom Group plc, 3.88%, due at 02/20/25, par and fair value of GBP 2,214,000 and $2,840,163, respectively) |
GBP | 2,145 | 2,808,255 | |||||||||
|
JPMorgan Securities plc, (0.35)%, Open (Purchased on 06/17/20 to be repurchased at GBP 1,396,490, collateralized by TalkTalk Telecom Group plc, 3.88%, due at 02/20/25, par and fair value of GBP 1,400,000 and $1,795,948, respectively) |
1,397 | 1,828,770 | ||||||||||
|
JPMorgan Securities plc, (0.35)%, Open (Purchased on 06/18/20 to be repurchased at GBP 875,718, collateralized by TalkTalk Telecom Group plc, 3.88%, due at 02/20/25, par and fair value of GBP 886,000 and $1,136,579, respectively) |
876 | 1,146,761 | ||||||||||
|
JPMorgan Securities plc, (0.20)%, Open (Purchased on 03/03/20 to be repurchased at GBP 598,575, collateralized by TalkTalk Telecom Group plc, 3.88%, due at 02/20/25, par and fair value of GBP 600,000 and $769,692, respectively) |
598 | 782,557 | ||||||||||
| 24 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
Merrill Lynch International, (1.45)%, Open (Purchased on 11/12/19 to be repurchased at EUR 2,366,985, collateralized by Nouryon Holding BV, 6.50%, par and fair value of EUR 2,300,000 and $2,770,585, respectively)(i) |
EUR | 2,392 | $ | 2,817,928 | ||||||||
|
Merrill Lynch International, (1.45)%, Open (Purchased on 05/13/20 to be repurchased at EUR 1,336,853, collateralized by Nouryon Holding BV, 6.50%, due at 10/01/26, par and fair value of EUR 1,397,000 and $1,682,829, respectively) |
1,341 | 1,579,772 | ||||||||||
|
RBC Capital Markets LLC, (3.50)%, Open (Purchased on 01/08/20 to be repurchased at USD 1,865,000, collateralized by Washington Prime Group LP, 6.45%, due at 08/15/24, par and fair value of USD 2,000,000 and $780,000, respectively) |
USD | 1,865 | 1,865,000 | |||||||||
|
RBC Capital Markets LLC, (0.20)%, Open (Purchased on 03/17/20 to be repurchased at USD 3,512,219, collateralized by Beacon Roofing Supply, Inc., 4.88%, due at 11/01/25, par and fair value of USD 3,900,000 and $3,817,593, respectively) |
3,515 | 3,514,875 | ||||||||||
|
RBC Capital Markets LLC, (0.20)%, Open (Purchased on 07/17/20 to be repurchased at USD 2,531,081, collateralized by MGM Resorts International, 5.75%, due at 06/15/25, par and fair value of USD 2,500,000 and $2,581,250, respectively) |
2,531 | 2,531,250 | ||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 05/22/20 to be repurchased at USD 4,277,805, collateralized by Clarios Global LP, 8.50%, due at 05/15/27, par and fair value of USD 4,400,000 and $4,624,400, respectively) |
4,279 | 4,279,000 | ||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 05/20/20 to be repurchased at USD 4,101,832, collateralized by Tenet Healthcare Corp., 6.75%, due at 06/15/23, par and fair value of USD 3,950,000 and $4,167,250, respectively) |
4,103 | 4,103,062 | ||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 06/03/20 to be repurchased at USD 4,299,305, collateralized by Terrier Media Buyer, Inc., 8.88%, due at 12/15/27, par and fair value of USD 4,130,000 and $4,233,250, respectively) |
4,300 | 4,300,362 | ||||||||||
| Security |
Par (000) |
Value | ||||||||||
|
Borrowed Bond Agreements (continued) |
|
|||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 03/19/20 to be repurchased at USD 1,735,062, collateralized by Netflix, Inc., 4.88%, due at 04/15/28, par and fair value of USD 1,825,000 and $2,121,417, respectively) |
USD | 1,736 | $ | 1,736,031 | ||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 03/18/20 to be repurchased at USD 4,359,115, collateralized by Uber Technologies, Inc., 7.50%, due at 09/15/27, par and fair value of USD 5,035,000 and $5,267,869, respectively) |
4,362 | 4,361,569 | ||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 03/17/20 to be repurchased at USD 5,452,221, collateralized by Mattel, Inc., 6.75%, due at 12/31/25, par and fair value of USD 5,750,000 and $6,158,652, respectively) |
5,455 | 5,455,313 | ||||||||||
|
RBC Capital Markets LLC, (0.15)%, Open (Purchased on 02/18/20 to be repurchased at USD 3,576,549, collateralized by Kraft Heinz Foods Co., 4.63%, due at 01/30/29, par and fair value of USD 3,250,000 and $3,702,829, respectively) |
3,555 | 3,554,688 | ||||||||||
|
RBC Capital Markets LLC, 0.00%, Open (Purchased on 07/31/20 to be repurchased at USD 1,706,250, collateralized by Kraft Heinz Foods Co., 4.63%, due at 01/30/29, par and fair value of USD 1,500,000 and $1,708,998, respectively) |
1,706 | 1,706,250 | ||||||||||
|
RBC Europe Ltd., (2.00)%, Open (Purchased on 10/28/19 to be repurchased at EUR 1,972,807, collateralized by Gestamp Funding Luxembourg SA, 3.50%, due at 05/15/23, par and fair value of EUR 1,950,000 and $2,204,204, respectively) |
EUR | 2,004 | 2,360,055 | |||||||||
|
RBC Europe Ltd., (0.30)%, Open (Purchased on 03/23/20 to be repurchased at GBP 634,085, collateralized by TalkTalk Telecom Group plc, 3.88%, due at 02/20/25, par and fair value of GBP 790,000 and $1,013,428, respectively) |
GBP | 635 | 830,918 | |||||||||
|
|
|
|||||||||||
|
Total Borrowed Bond Agreements — 9.7%
|
170,118,481 | |||||||||||
|
|
|
|||||||||||
|
SCHEDULE OF INVESTMENTS |
25 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| Security |
Par (000) |
Value | ||||||||||
| Spain — (0.9)% | ||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA: |
||||||||||||
|
3.50%, 02/10/27 |
EUR | 3,700 | $ | (4,814,816 | ) | |||||||
|
(EUR Swap Annual 5 Year + 6.46%), 6.00%(b)(i) |
2,400 | (2,753,576 | ) | |||||||||
|
Gestamp Funding Luxembourg SA, 3.50%, 05/15/23 |
7,250 | (8,195,116 | ) | |||||||||
|
|
|
|||||||||||
| (15,763,508 | ) | |||||||||||
| United Kingdom — (0.6)% | ||||||||||||
|
FCE Bank plc, 1.88%, 06/24/21 |
3,200 | (3,721,259 | ) | |||||||||
|
TalkTalk Telecom Group plc, 3.88%, 02/20/25 |
GBP | 5,890 | (7,555,810 | ) | ||||||||
|
|
|
|||||||||||
| (11,277,069 | ) | |||||||||||
| United States — (5.0)% | ||||||||||||
|
Ally Financial, Inc., 3.88%, 05/21/24 |
USD | 3,250 | (3,472,344 | ) | ||||||||
|
Ardagh Packaging Finance plc: |
||||||||||||
|
2.13%, 08/15/26 |
EUR | 4,300 | (4,944,887 | ) | ||||||||
|
5.25%, 04/30/25(a) |
USD | 1,500 | (1,590,000 | ) | ||||||||
|
Bausch Health Cos., Inc.,
|
1,700 | (1,708,466 | ) | |||||||||
|
Beacon Roofing Supply, Inc., 4.88%, 11/01/25(a) |
5,750 | (5,628,503 | ) | |||||||||
|
CenturyLink, Inc., 5.13%, 12/15/26(a) |
1,400 | (1,465,646 | ) | |||||||||
|
Clarios Global LP, 8.50%, 05/15/27(a) |
4,400 | (4,624,400 | ) | |||||||||
|
Delta Air Lines, Inc., 3.63%, 03/15/22 |
1,000 | (982,153 | ) | |||||||||
|
Elanco Animal Health, Inc.,
|
1,875 | (2,175,000 | ) | |||||||||
|
Herc Holdings, Inc., 5.50%, 07/15/27(a) |
1,000 | (1,057,500 | ) | |||||||||
|
Icahn Enterprises LP, 5.25%, 05/15/27 |
985 | (1,014,550 | ) | |||||||||
|
Kraft Heinz Foods Co.: |
||||||||||||
|
3.75%, 04/01/30(a) |
1,500 | (1,625,624 | ) | |||||||||
|
4.63%, 01/30/29(d) |
3,250 | (3,702,829 | ) | |||||||||
|
4.88%, 10/01/49(a) |
850 | (939,140 | ) | |||||||||
|
Lions Gate Capital Holdings LLC(a): |
||||||||||||
|
5.88%, 11/01/24 |
1,450 | (1,446,375 | ) | |||||||||
|
6.38%, 02/01/24 |
1,435 | (1,448,503 | ) | |||||||||
|
Mattel, Inc., 6.75%, 12/31/25(a) |
6,600 | (7,069,062 | ) | |||||||||
|
MGM Resorts International, 5.75%, 06/15/25 |
2,500 | (2,581,250 | ) | |||||||||
|
Netflix, Inc., 4.88%, 04/15/28 |
3,575 | (4,155,652 | ) | |||||||||
|
Rackspace Hosting, Inc., 8.63%, 11/15/24(a) |
750 | (783,750 | ) | |||||||||
|
Refinitiv US Holdings, Inc.: |
||||||||||||
|
6.88%, 11/15/26 |
EUR | 2,700 | (3,403,517 | ) | ||||||||
|
8.25%, 11/15/26(a) |
USD | 2,700 | (2,980,125 | ) | ||||||||
|
Southwest Airlines Co., 5.13%, 06/15/27 |
2,400 | (2,522,755 | ) | |||||||||
|
Sprint Capital Corp., 6.88%, 11/15/28 |
850 | (1,102,195 | ) | |||||||||
|
SS&C Technologies, Inc., 5.50%, 09/30/27(a) |
1,850 | (1,986,438 | ) | |||||||||
|
Tenet Healthcare Corp., 6.75%, 06/15/23 |
7,795 | (8,223,725 | ) | |||||||||
|
Terrier Media Buyer, Inc., 8.88%, 12/15/27(a) |
4,130 | (4,233,250 | ) | |||||||||
|
Uber Technologies, Inc.(a): |
||||||||||||
|
7.50%, 09/15/27 |
5,035 | (5,267,869 | ) | |||||||||
|
8.00%, 11/01/26 |
1,850 | (1,941,667 | ) | |||||||||
|
Washington Prime Group LP, 6.45%, 08/15/24(k) |
2,000 | (780,000 | ) | |||||||||
|
Zayo Group Holdings, Inc.,
|
2,700 | (2,787,750 | ) | |||||||||
|
|
|
|||||||||||
| (87,644,925 | ) | |||||||||||
|
|
|
|||||||||||
|
Total Corporate Bonds — (9.7)%
|
(170,669,464 | ) | ||||||||||
|
|
|
|||||||||||
| 26 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| (a) |
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. |
| (b) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (c) |
Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (d) |
Non-income producing security. |
| (e) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (f) |
Convertible security. |
| (g) |
Zero-coupon bond. |
| (h) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (i) |
Perpetual security with no stated maturity date. |
| (j) |
Issuer filed for bankruptcy and/or is in default. |
| (k) |
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
| (l) |
Variable rate security. Rate shown is the rate in effect as of period end. |
| (m) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $2,371,330, representing 0.14% of its net assets as of period end, and an original cost of $2,047,140. |
| (n) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (o) |
All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
| (p) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (q) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (r) |
Amount is less than 500. |
| (s) |
Fixed rate. |
| (t) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
| (u) |
The amount to be repurchased assumes the maturity will be the day after the period end. |
| (v) |
Annualized 7-day yield as of period end. |
|
SCHEDULE OF INVESTMENTS |
27 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund (Percentages shown are based on Net Assets) |
| * |
Investments in issuers considered to be an affiliate/affiliates of the Fund during the year ended July 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
Affiliated Issuer |
|
Shares
Held at 07/31/19 |
|
|
Shares
Purchased |
|
|
Shares
Sold |
|
|
Shares
Held at 07/31/20 |
|
|
Value at
07/31/20 |
|
Income |
|
Net
Realized
|
|
|
Change in
Unrealized Appreciation (Depreciation) |
|
||||||||||
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) |
352,769,761 | — | (333,293,672 | ) | 19,476,089 | $ | 19,476,089 | $ | 607,907 | $ | 30 | $ | — | |||||||||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF |
— | 391,756 | (358,474 | ) | 33,282 | 2,841,950 | 45,911 | 203,939 | 39,678 | |||||||||||||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF(c) |
— | (200,000 | ) | 200,000 | — | — | — | 113,840 | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 22,318,039 | $ | 653,818 | $ | 317,809 | $ | 39,678 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| (a) |
Includes net capital gain distributions, if applicable. |
| (b) |
Represents net shares purchased (sold). |
| (c) |
As of period end, the entity is no longer held by the Fund. |
Reverse Repurchase Agreements
| Counterparty |
Interest
Rate |
Trade
Date |
Maturity
Date |
Face Value |
Face Value
Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual
Maturity of the Agreements |
|||||||||||||||||
|
Barclays Bank plc |
0.55 | % | 07/20/20 | Open | (a) | $ | 10,350,000 | $ | 10,351,897 | Corporate Bonds | Open/Demand (a) | |||||||||||||
|
BNP Paribas SA |
0.45 | 07/27/20 | Open | (a) | 5,601,925 | 5,602,275 | Corporate Bonds | Open/Demand (a) | ||||||||||||||||
|
BNP Paribas SA |
0.45 | 07/27/20 | Open | (a) | 7,070,000 | 7,070,442 | Corporate Bonds | Open/Demand (a) | ||||||||||||||||
|
BNP Paribas SA |
0.75 | 07/28/20 | Open | (a) | 14,550,000 | 14,551,213 | Corporate Bonds | Open/Demand (a) | ||||||||||||||||
|
Barclays Bank plc |
0.85 | 07/31/20 | 08/03/20 | 12,656,250 | 12,656,549 | Corporate Bonds | Overnight | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $ | 50,228,175 | $ | 50,232,376 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (a) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
| 28 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount (000) |
Value/
Unrealized Appreciation (Depreciation) |
||||||||||||
|
Short Contracts |
||||||||||||||||
|
Euro-Bobl |
64 | 09/08/20 | $ | 10,196 | $ | (74,966 | ) | |||||||||
|
Euro-BTP |
90 | 09/08/20 | 15,583 | (646,035 | ) | |||||||||||
|
Euro-Bund |
142 | 09/08/20 | 29,694 | (215,418 | ) | |||||||||||
|
Russell 2000 E-Mini Index |
100 | 09/18/20 | 7,389 | (131,679 | ) | |||||||||||
|
U.S. Treasury 10 Year Note |
107 | 09/21/20 | 14,988 | (123,555 | ) | |||||||||||
|
U.S. Treasury 10 Year Ultra Note |
25 | 09/21/20 | 3,981 | (56,196 | ) | |||||||||||
|
U.S. Treasury Long Bond |
11 | 09/21/20 | 2,005 | (53,695 | ) | |||||||||||
|
U.S. Treasury Ultra Bond |
5 | 09/21/20 | 1,138 | (50,571 | ) | |||||||||||
|
Long Gilt |
12 | 09/28/20 | 2,176 | (34,107 | ) | |||||||||||
|
U.S. Treasury 2 Year Note |
52 | 09/30/20 | 11,491 | (10,629 | ) | |||||||||||
|
U.S. Treasury 5 Year Note |
590 | 09/30/20 | 74,414 | (331,886 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | (1,728,737 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||
| USD | 1,967,233 | JPY | 208,000,000 | Deutsche Bank AG | 08/03/20 | $ | 2,281 | |||||||||||||
| EUR | 310,774,580 | USD | 365,937,068 | Citibank NA | 08/05/20 | 147,399 | ||||||||||||||
| GBP | 25,952,123 | USD | 33,885,687 | Citibank NA | 08/05/20 | 85,827 | ||||||||||||||
| USD | 97,720,048 | EUR | 82,589,000 | UBS AG | 09/03/20 | 370,742 | ||||||||||||||
| USD | 24,548,834 | GBP | 18,670,000 | State Street Bank and Trust Co. | 09/03/20 | 105,696 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 711,945 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| EUR | 45,383,000 | USD | 53,625,220 | Banco Santander SA | 08/05/20 | (165,212) | ||||||||||||||
| EUR | 82,589,000 | USD | 97,660,584 | UBS AG | 08/05/20 | (372,865) | ||||||||||||||
| GBP | 18,670,000 | USD | 24,544,988 | State Street Bank and Trust Co. | 08/05/20 | (105,825) | ||||||||||||||
| USD | 5,955,701 | EUR | 5,294,000 | BNP Paribas SA | 08/05/20 | (280,495) | ||||||||||||||
| USD | 364,507,768 | EUR | 323,770,580 | Citibank NA | 08/05/20 | (16,885,653) | ||||||||||||||
| USD | 381,048 | EUR | 333,000 | Deutsche Bank AG | 08/05/20 | (11,218) | ||||||||||||||
| USD | 90,376,181 | EUR | 80,569,000 | Goldman Sachs International | 08/05/20 | (4,532,030) | ||||||||||||||
| USD | 8,077,661 | EUR | 7,137,000 | HSBC Bank plc | 08/05/20 | (329,542) | ||||||||||||||
| USD | 675,485 | EUR | 598,000 | JPMorgan Chase Bank NA | 08/05/20 | (28,943) | ||||||||||||||
| USD | 5,942,856 | EUR | 5,122,763 | Royal Bank of Canada | 08/05/20 | (91,627) | ||||||||||||||
| USD | 2,253,886 | EUR | 1,996,000 | Standard Chartered Bank | 08/05/20 | (97,350) | ||||||||||||||
| USD | 94,683 | EUR | 83,000 | State Street Bank and Trust Co. | 08/05/20 | (3,089) | ||||||||||||||
| USD | 3,881,720 | EUR | 3,439,000 | UBS AG | 08/05/20 | (169,334) | ||||||||||||||
| USD | 11,763,176 | EUR | 10,413,000 | Westpac Banking Corp. | 08/05/20 | (503,070) | ||||||||||||||
| USD | 38,432,819 | GBP | 31,208,123 | Citibank NA | 08/05/20 | (2,418,838) | ||||||||||||||
| USD | 16,253,504 | GBP | 13,213,000 | HSBC Bank plc | 08/05/20 | (1,042,407) | ||||||||||||||
| USD | 170,657 | GBP | 137,000 | JPMorgan Chase Bank NA | 08/05/20 | (8,677) | ||||||||||||||
| USD | 80,855 | GBP | 64,000 | Royal Bank of Canada | 08/05/20 | (2,921) | ||||||||||||||
| USD | 366,154,921 | EUR | 310,774,580 | Citibank NA | 09/03/20 | (161,293) | ||||||||||||||
| USD | 42,818,862 | GBP | 32,808,123 | Citibank NA | 09/03/20 | (134,189) | ||||||||||||||
| USD | 633,315 | HKD | 4,915,000 | Bank of America NA | 09/15/20 | (858) | ||||||||||||||
| USD | 633,530 | HKD | 4,916,574 | Morgan Stanley & Co. International plc | 09/15/20 | (846) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (27,346,282) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| SCHEDULE OF INVESTMENTS | 29 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund
|
|
Exchange-Traded Options Purchased |
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||
| Call | ||||||||||||||||||||||||
|
Xilinx, Inc. |
850 | 08/07/20 | USD | 110.00 | USD | 9,125 | $ | 55,250 | ||||||||||||||||
|
Gray Television, Inc. |
400 | 08/21/20 | USD | 20.00 | USD | 574 | 3,000 | |||||||||||||||||
|
Microsoft Corp. |
1,000 | 08/21/20 | USD | 240.00 | USD | 20,501 | 28,000 | |||||||||||||||||
|
STOXX Europe 600 Banks Index |
2,036 | 08/21/20 | EUR | 105.00 | EUR | 9,065 | 32,977 | |||||||||||||||||
|
STOXX Europe 600 Banks Index |
2,254 | 08/21/20 | EUR | 102.50 | EUR | 10,036 | 49,783 | |||||||||||||||||
|
VanEck Vectors Gold Miners ETF |
1,000 | 08/21/20 | USD | 45.00 | USD | 4,294 | 103,000 | |||||||||||||||||
|
Walmart, Inc. |
500 | 08/21/20 | USD | 140.00 | USD | 6,470 | 29,500 | |||||||||||||||||
|
Western Digital Corp. |
750 | 08/21/20 | USD | 47.50 | USD | 3,233 | 64,875 | |||||||||||||||||
|
Caesars Entertainment, Inc. |
288 | 09/18/20 | USD | 10.00 | USD | 894 | 84,960 | |||||||||||||||||
|
EURO STOXX 50 Index |
629 | 09/18/20 | EUR | 3,400.00 | EUR | 19,966 | 146,704 | |||||||||||||||||
|
Intel Corp. |
500 | 09/18/20 | USD | 75.00 | USD | 2,387 | 3,250 | |||||||||||||||||
|
iShares MSCI EAFE ETF |
850 | 09/18/20 | USD | 66.00 | USD | 5,274 | 22,100 | |||||||||||||||||
|
iShares MSCI EAFE ETF |
1,750 | 09/18/20 | USD | 68.00 | USD | 10,859 | 14,000 | |||||||||||||||||
|
NXP Semiconductors NV |
1,500 | 09/18/20 | USD | 150.00 | USD | 17,630 | 18,750 | |||||||||||||||||
|
S&P 500 Index |
72 | 09/18/20 | USD | 3,200.00 | USD | 23,552 | 1,020,960 | |||||||||||||||||
|
S&P 500 Index |
163 | 09/18/20 | USD | 3,150.00 | USD | 53,319 | 2,917,700 | |||||||||||||||||
|
S&P 500 Index |
172 | 09/18/20 | USD | 3,400.00 | USD | 56,263 | 553,840 | |||||||||||||||||
|
VanEck Vectors Gold Miners ETF |
1,000 | 09/18/20 | USD | 50.00 | USD | 4,294 | 79,500 | |||||||||||||||||
|
Walt Disney Co. (The) |
500 | 09/18/20 | USD | 150.00 | USD | 5,847 | 10,500 | |||||||||||||||||
|
Walt Disney Co. (The) |
750 | 09/18/20 | USD | 145.00 | USD | 8,771 | 21,750 | |||||||||||||||||
|
Walt Disney Co. (The) |
1,250 | 09/18/20 | USD | 155.00 | USD | 14,618 | 21,875 | |||||||||||||||||
|
Xilinx, Inc. |
2,000 | 09/18/20 | USD | 120.00 | USD | 21,470 | 337,000 | |||||||||||||||||
|
Zimmer Biomet Holdings, Inc. |
150 | 09/18/20 | USD | 155.00 | USD | 2,023 | 18,375 | |||||||||||||||||
|
Zimmer Biomet Holdings, Inc. |
400 | 09/18/20 | USD | 150.00 | USD | 5,394 | 80,000 | |||||||||||||||||
|
Micron Technology, Inc. |
250 | 10/16/20 | USD | 60.00 | USD | 1,251 | 27,125 | |||||||||||||||||
|
Micron Technology, Inc. |
500 | 10/16/20 | USD | 65.00 | USD | 2,503 | 28,000 | |||||||||||||||||
|
Sabre Corp. |
500 | 10/16/20 | USD | 15.00 | USD | 378 | 6,250 | |||||||||||||||||
|
Western Digital Corp. |
2,352 | 10/16/20 | USD | 70.00 | USD | 10,137 | 23,520 | |||||||||||||||||
|
Xerox Holdings Corp. |
2,000 | 10/16/20 | USD | 25.00 | USD | 3,330 | 20,000 | |||||||||||||||||
|
Freeport-McMoran, Inc. |
1,250 | 11/20/20 | USD | 15.00 | USD | 1,615 | 94,375 | |||||||||||||||||
|
Altice Europe NV |
6,721 | 12/18/20 | EUR | 4.50 | EUR | 2,695 | 360,224 | |||||||||||||||||
|
EURO STOXX 50 Index |
367 | 12/18/20 | EUR | 3,300.00 | EUR | 11,650 | 532,387 | |||||||||||||||||
|
S&P 500 Index |
228 | 12/18/20 | USD | 3,500.00 | USD | 74,582 | 1,641,600 | |||||||||||||||||
|
Xerox Holdings Corp. |
525 | 01/15/21 | USD | 30.00 | USD | 874 | 7,876 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 8,459,006 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Put | ||||||||||||||||||||||||
|
iShares Russell 2000 ETF |
500 | 08/07/20 | USD | 142.00 | USD | 7,368 | 36,500 | |||||||||||||||||
|
SPDR S&P 500 ETF Trust |
515 | 08/07/20 | USD | 312.00 | USD | 16,816 | 24,205 | |||||||||||||||||
|
EURO STOXX 50 Index |
527 | 08/14/20 | EUR | 3,300.00 | EUR | 16,729 | 793,977 | |||||||||||||||||
|
SPDR S&P 500 ETF Trust |
500 | 08/14/20 | USD | 307.00 | USD | 16,326 | 47,000 | |||||||||||||||||
|
American Airlines Group, Inc. |
800 | 08/21/20 | USD | 9.00 | USD | 890 | 15,200 | |||||||||||||||||
|
Avis Budget Group, Inc. |
427 | 08/21/20 | USD | 8.00 | USD | 1,106 | 3,203 | |||||||||||||||||
|
CommScope Holding Co., Inc. |
550 | 08/21/20 | USD | 8.00 | USD | 510 | 13,750 | |||||||||||||||||
|
EURO STOXX 50 Index |
351 | 08/21/20 | EUR | 3,200.00 | EUR | 11,142 | 322,706 | |||||||||||||||||
|
Ford Motor Co. |
850 | 08/21/20 | USD | 5.00 | USD | 562 | 1,275 | |||||||||||||||||
|
iShares Russell 2000 ETF |
500 | 08/21/20 | USD | 135.00 | USD | 7,368 | 51,750 | |||||||||||||||||
|
Macy’s, Inc. |
500 | 08/21/20 | USD | 5.00 | USD | 303 | 6,250 | |||||||||||||||||
|
Macy’s, Inc. |
1,000 | 08/21/20 | USD | 3.00 | USD | 606 | 2,500 | |||||||||||||||||
|
Occidental Petroleum Corp. |
750 | 08/21/20 | USD | 11.00 | USD | 1,181 | 21,000 | |||||||||||||||||
|
Occidental Petroleum Corp. |
1,150 | 08/21/20 | USD | 10.00 | USD | 1,810 | 41,975 | |||||||||||||||||
|
Occidental Petroleum Corp. |
2,000 | 08/21/20 | USD | 12.50 | USD | 3,148 | 70,000 | |||||||||||||||||
|
Restaurant Brands International, Inc. |
750 | 08/21/20 | USD | 45.00 | USD | 4,286 | 13,125 | |||||||||||||||||
|
S&P 500 Index |
71 | 08/21/20 | USD | 3,100.00 | USD | 23,225 | 142,710 | |||||||||||||||||
|
S&P 500 Index |
71 | 08/21/20 | USD | 3,150.00 | USD | 23,225 | 202,705 | |||||||||||||||||
|
S&P 500 Index |
124 | 08/21/20 | USD | 2,875.00 | USD | 40,562 | 65,100 | |||||||||||||||||
|
S&P 500 Index |
124 | 08/21/20 | USD | 3,150.00 | USD | 40,562 | 344,100 | |||||||||||||||||
|
S&P 500 Index |
142 | 08/21/20 | USD | 2,900.00 | USD | 46,450 | 88,750 | |||||||||||||||||
|
S&P 500 Index |
144 | 08/21/20 | USD | 3,100.00 | USD | 47,104 | 300,960 | |||||||||||||||||
|
Tesla, Inc. |
51 | 08/21/20 | USD | 1,100.00 | USD | 7,297 | 59,543 | |||||||||||||||||
|
Teva Pharmaceutical Industries Ltd. |
850 | 08/21/20 | USD | 10.00 | USD | 981 | 18,275 | |||||||||||||||||
|
Uber Technologies, Inc. |
750 | 08/21/20 | USD | 28.00 | USD | 2,270 | 64,125 | |||||||||||||||||
| 30 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund
|
Exchange-Traded Options Purchased (continued)
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||
|
VanEck Vectors Semiconductor ETF |
535 | 08/21/20 | USD | 135.00 | USD | 8,893 | $ | 6,420 | ||||||||||||||||
|
Delta Air Lines, Inc. |
750 | 09/18/20 | USD | 12.00 | USD | 1,873 | 6,375 | |||||||||||||||||
|
Invesco Senior Loan ETF |
3,510 | 09/18/20 | USD | 20.00 | USD | 7,596 | 61,425 | |||||||||||||||||
|
S&P 500 Index |
106 | 09/18/20 | USD | 3,225.00 | USD | 34,674 | 904,180 | |||||||||||||||||
|
S&P 500 Index |
106 | 09/18/20 | USD | 2,925.00 | USD | 34,674 | 304,750 | |||||||||||||||||
|
Southwest Airlines Co. |
350 | 09/18/20 | USD | 20.00 | USD | 1,081 | 5,075 | |||||||||||||||||
|
Southwest Airlines Co. |
1,600 | 09/18/20 | USD | 15.00 | USD | 4,942 | 13,600 | |||||||||||||||||
|
Teva Pharmaceutical Industries Ltd. |
750 | 09/18/20 | USD | 10.00 | USD | 866 | 31,125 | |||||||||||||||||
|
Uber Technologies, Inc. |
750 | 09/18/20 | USD | 20.00 | USD | 2,270 | 11,250 | |||||||||||||||||
|
AerCap Holdings NV |
1,250 | 10/16/20 | USD | 15.00 | USD | 3,366 | 25,000 | |||||||||||||||||
|
Air Canada |
2,000 | 10/16/20 | CAD | 10.00 | CAD | 3,022 | 79,137 | |||||||||||||||||
|
American Airlines Group, Inc. |
1,000 | 11/20/20 | USD | 6.00 | USD | 1,112 | 53,000 | |||||||||||||||||
|
American Airlines Group, Inc. |
1,500 | 11/20/20 | USD | 8.00 | USD | 1,668 | 180,750 | |||||||||||||||||
|
Allegiant Travel Co. |
200 | 12/18/20 | USD | 40.00 | USD | 2,241 | 23,500 | |||||||||||||||||
|
Southwest Airlines Co. |
500 | 12/18/20 | USD | 15.00 | USD | 1,545 | 8,750 | |||||||||||||||||
|
Southwest Airlines Co. |
500 | 12/18/20 | USD | 12.50 | USD | 1,545 | 9,500 | |||||||||||||||||
|
Air Canada |
400 | 01/15/21 | CAD | 8.00 | CAD | 604 | 19,112 | |||||||||||||||||
|
Allegiant Travel Co. |
200 | 01/15/21 | USD | 40.00 | USD | 2,241 | 27,500 | |||||||||||||||||
|
American Airlines Group, Inc. |
750 | 01/15/21 | USD | 7.00 | USD | 834 | 103,125 | |||||||||||||||||
|
American Airlines Group, Inc. |
2,500 | 01/15/21 | USD | 5.00 | USD | 2,780 | 182,500 | |||||||||||||||||
|
Delta Air Lines, Inc. |
1,000 | 01/15/21 | USD | 5.00 | USD | 2,497 | 11,500 | |||||||||||||||||
|
United Airlines Holdings, Inc. |
150 | 01/15/21 | USD | 15.00 | USD | 471 | 14,025 | |||||||||||||||||
|
United Airlines Holdings, Inc. |
850 | 01/15/21 | USD | 10.00 | USD | 2,667 | 35,275 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 4,867,558 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 13,326,564 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
OTC Options Purchased
| Description | Counterparty |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | ||||||||||||||||||||||||
|
Call |
||||||||||||||||||||||||||||||
|
SoftBank Group Corp. |
Goldman Sachs International | 502 | 09/04/20 | JPY | 7,000.00 | JPY | 3,311 | $ | 57,381 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Put | ||||||||||||||||||||||||||||||
|
SoftBank Group Corp. |
Goldman Sachs International | 1,152 | 08/28/20 | JPY | 5,750.00 | JPY | 7,597 | 112,916 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| $ | 170,297 | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
OTC Credit Default Swaptions Purchased
|
|
Paid by the Fund | Received by the Fund |
|
|
|
|
|
|
||||||||||||||||||||||||||
| Description | Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty |
Expiration
Date |
Exercise
Price |
Notional
Amount
(000)(a) |
Value | |||||||||||||||||||||||||
|
Call |
||||||||||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
CDX.NA.IG.34.V1 | Quarterly | 1.00% | Quarterly |
Goldman Sachs
International |
08/19/20 USD | 65.00 | USD | 50,000 | $ | 26,886 | |||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
CDX.NA.IG.34.V1 | Quarterly | 1.00 | Quarterly |
Morgan Stanley
& Co. International plc |
08/19/20 USD | 70.00 | USD | 100,000 | 153,624 | ||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
CDX.NA.HY.34.V7 | Quarterly | 5.00 | Quarterly |
Goldman Sachs
International |
08/19/20 USD | 103.00 | USD | 20,000 | 103,377 | ||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly | BNP Paribas SA | 09/16/20 EUR | 337.50 | EUR | 16,600 | 90,270 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| 374,157 | ||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| SCHEDULE OF INVESTMENTS | 31 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund
|
OTC Credit Default Swaptions Purchased (continued)
|
|
Paid by the Fund | Received by the Fund |
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
| Description | Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty |
Expiration
Date |
Exercise
Price |
Notional Amount (000)(a) |
Value | |||||||||||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00% | Quarterly | CDX.NA.HY.34.V7 | Quarterly |
|
Goldman
Sachs International |
|
08/19/20 USD | 97.00 | USD | 11,275 | $ | 9,313 | |||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00 | Quarterly |
|
ITRAXX.EUR.
CROSSOVER.33. V1 |
|
Quarterly |
|
BNP
Paribas SA |
|
11/18/20 EUR | 400.00 | EUR | 49,500 | 1,415,019 | ||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00 | Quarterly |
|
ITRAXX.EUR.
CROSSOVER.33. V1 |
|
Quarterly |
|
Credit
Suisse International |
|
08/19/20 EUR | 412.50 | EUR | 49,800 | 296,379 | ||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00 | Quarterly |
|
ITRAXX.EUR.
CROSSOVER.33. V1 |
|
Quarterly |
|
JPMorgan
Chase Bank NA |
|
08/19/20 EUR | 437.50 | EUR | 49,800 | 187,786 | ||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00 | Quarterly |
|
ITRAXX.EUR.
CROSSOVER.33. V1 |
|
Quarterly |
|
Credit
Suisse International |
|
10/21/20 EUR | 450.00 | EUR | 33,000 | 529,347 | ||||||||||||||||||||||||||
|
Bought Protection on 5-Year Credit Default Swap |
5.00 | Quarterly |
|
ITRAXX.EUR.
CROSSOVER.33. V1 |
|
Quarterly |
|
BNP
Paribas SA |
|
11/18/20 EUR | 625.00 | EUR | 49,500 | 414,703 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||
| 2,852,547 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||
| $ | 3,226,704 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||
| (a) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Exchange-Traded Options Written
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||
| Call | ||||||||||||||||||||||||
|
Xilinx, Inc. |
1,350 | 08/07/20 | USD | 120.00 | USD | 14,492 | $ | (8,100 | ) | |||||||||||||||
|
Microsoft Corp. |
1,000 | 08/21/20 | USD | 260.00 | USD | 20,501 | (14,000 | ) | ||||||||||||||||
|
STOXX Europe 600 Banks Index |
2,036 | 08/21/20 | EUR | 115.00 | EUR | 9,065 | (41,970 | ) | ||||||||||||||||
|
STOXX Europe 600 Banks Index |
4,508 | 08/21/20 | EUR | 110.00 | EUR | 20,072 | (106,204 | ) | ||||||||||||||||
|
VanEck Vectors Gold Miners ETF |
1,000 | 08/21/20 | USD | 50.00 | USD | 4,294 | (25,000 | ) | ||||||||||||||||
|
Walmart, Inc. |
1,000 | 08/21/20 | USD | 155.00 | USD | 12,940 | (10,000 | ) | ||||||||||||||||
|
Western Digital Corp. |
750 | 08/21/20 | USD | 52.50 | USD | 3,233 | (16,875 | ) | ||||||||||||||||
|
EURO STOXX 50 Index |
629 | 09/18/20 | EUR | 3,550.00 | EUR | 19,966 | (23,339 | ) | ||||||||||||||||
|
S&P 500 Index |
163 | 09/18/20 | USD | 3,300.00 | USD | 53,319 | (1,259,175 | ) | ||||||||||||||||
|
S&P 500 Index |
244 | 09/18/20 | USD | 3,500.00 | USD | 79,815 | (264,740 | ) | ||||||||||||||||
|
Walt Disney Co. (The) |
750 | 09/18/20 | USD | 160.00 | USD | 8,771 | (10,124 | ) | ||||||||||||||||
|
Altice Europe NV |
6,721 | 12/18/20 | EUR | 6.50 | EUR | 2,695 | (83,129 | ) | ||||||||||||||||
|
EURO STOXX 50 Index |
367 | 12/18/20 | EUR | 3,550.00 | EUR | 11,650 | (151,524 | ) | ||||||||||||||||
|
S&P 500 Index |
228 | 12/18/20 | USD | 3,600.00 | USD | 74,582 | (953,040 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| (2,967,220 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Put | ||||||||||||||||||||||||
|
iShares Russell 2000 ETF |
500 | 08/07/20 | USD | 134.00 | USD | 7,368 | (4,750 | ) | ||||||||||||||||
|
SPDR S&P 500 ETF Trust |
1,030 | 08/07/20 | USD | 300.00 | USD | 33,632 | (13,905 | ) | ||||||||||||||||
|
EURO STOXX 50 Index |
527 | 08/14/20 | EUR | 3,100.00 | EUR | 16,729 | (189,959 | ) | ||||||||||||||||
|
SPDR S&P 500 ETF Trust |
500 | 08/14/20 | USD | 297.00 | USD | 16,326 | (22,000 | ) | ||||||||||||||||
|
iShares Russell 2000 ETF |
500 | 08/21/20 | USD | 125.00 | USD | 7,368 | (14,250 | ) | ||||||||||||||||
|
Restaurant Brands International, Inc. |
750 | 08/21/20 | USD | 40.00 | USD | 4,286 | (11,250 | ) | ||||||||||||||||
|
S&P 500 Index |
53 | 08/21/20 | USD | 3,000.00 | USD | 17,337 | (56,710 | ) | ||||||||||||||||
|
S&P 500 Index |
71 | 08/21/20 | USD | 2,800.00 | USD | 23,225 | (26,270 | ) | ||||||||||||||||
|
S&P 500 Index |
71 | 08/21/20 | USD | 2,900.00 | USD | 23,225 | (42,245 | ) | ||||||||||||||||
|
S&P 500 Index |
124 | 08/21/20 | USD | 3,025.00 | USD | 40,562 | (155,000 | ) | ||||||||||||||||
|
S&P 500 Index |
215 | 08/21/20 | USD | 3,000.00 | USD | 70,329 | (239,725 | ) | ||||||||||||||||
|
STOXX Europe 600 Banks Index |
2,254 | 08/21/20 | EUR | 92.50 | EUR | 10,036 | (617,311 | ) | ||||||||||||||||
|
Tesla, Inc. |
51 | 08/21/20 | USD | 1,000.00 | USD | 7,297 | (34,298 | ) | ||||||||||||||||
| 32 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund
|
Exchange-Traded Options Written (continued)
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||||||
|
Uber Technologies, Inc. |
750 | 08/21/20 | USD | 23.00 | USD | 2,270 | $ | (9,750) | ||||||||||||||||||||
|
VanEck Vectors Semiconductor ETF |
535 | 08/21/20 | USD | 120.00 | USD | 8,893 | (6,955) | |||||||||||||||||||||
|
Invesco Senior Loan ETF |
1,250 | 09/18/20 | USD | 17.00 | USD | 2,705 | (7,500) | |||||||||||||||||||||
|
S&P 500 Index |
106 | 09/18/20 | USD | 3,100.00 | USD | 34,674 | (576,110) | |||||||||||||||||||||
|
S&P 500 Index |
106 | 09/18/20 | USD | 3,050.00 | USD | 34,674 | (481,770) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (2,509,758) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | (5,476,978) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
OTC Options Written
| Description | Counterparty |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | ||||||||||||||||||
| Call | ||||||||||||||||||||||||
|
SoftBank Group Corp. |
Goldman Sachs International | 502 | 09/04/20 | JPY | 8,000.00 | JPY | 3,311 | $ | (3,396 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||||||
OTC Credit Default Swaptions Written
|
|
Paid by the Fund | Received by the Fund |
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||||
| Description | Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty |
Expiration
Date |
Credit
Rating (a) |
Exercise
Price |
Notional
Amount (000) (b) |
Value | ||||||||||||||||||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
CDX.NA.HY.34.V7 | Quarterly | 5.00% | Quarterly |
|
Goldman
Sachs International |
|
08/19/20 | NR | USD | 92.00 | USD | 11,275 | $ | (5,333 | ) | ||||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly |
|
BNP
Paribas SA |
|
09/16/20 | NR | EUR | 475.00 | EUR | 16,600 | (121,118 | ) | |||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly |
|
Credit
Suisse International |
|
08/19/20 | NR | EUR | 487.50 | EUR | 49,800 | (88,707 | ) | |||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly |
|
BNP
Paribas SA |
|
11/18/20 | NR | EUR | 500.00 | EUR | 49,500 | (775,951 | ) | |||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly |
|
BNP
Paribas SA |
|
11/18/20 | NR | EUR | 525.00 | EUR | 49,500 | (677,842 | ) | |||||||||||||||||||||||||||||||
|
Sold Protection on 5-Year Credit Default Swap |
|
ITRAXX.EUR.
CROSSOVER.33.V1 |
|
Quarterly | 5.00 | Quarterly |
|
Credit
Suisse International |
|
10/21/20 | NR | EUR | 550.00 | EUR | 33,000 | (276,482 | ) | |||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||||||||||
| $ | (1,945,433 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||||||||||
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Credit Default Swaps — Buy Protection
|
Reference Obligation/Index |
|
Financing
Rate Paid by the Fund |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Notional
Amount (000) |
|
Value |
|
Upfront
Premium Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
|||||||||||||
|
CDX.NA.HY.33.V10 |
5.00 | % | Quarterly | 12/20/24 | USD | 2,778 | $ | (95,947) | $ | (254,357) | $ | 158,410 | ||||||||||||||||||||
|
ITRAXX.FINSUB.32.V1 |
1.00 | Quarterly | 12/20/24 | EUR | 18,450 | 320,236 | 1,149,983 | (829,747) | ||||||||||||||||||||||||
|
CDX.NA.HY.34.V1 |
5.00 | Quarterly | 06/20/25 | USD | 12,455 | (423,178) | (201,890) | (221,288) | ||||||||||||||||||||||||
|
ITRAXX.EUR.CROSSOVER.33.V1 |
5.00 | Quarterly | 06/20/25 | EUR | 12,848 | (900,076) | (984,126) | 84,050 | ||||||||||||||||||||||||
|
ITRAXX.EUR.MAIN.33.V1 |
1.00 | Quarterly | 06/20/25 | EUR | 182,510 | (4,404,046) | (4,120,948) | (283,098) |
| SCHEDULE OF INVESTMENTS | 33 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
Centrally Cleared Credit Default Swaps — Buy Protection (continued)
|
Reference Obligation/Index |
|
Financing
Rate Paid by the Fund |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Notional
Amount (000) |
|
Value |
|
Upfront
Premium Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
|||||||||||||||||
|
ITRAXX.FINSUB.33.V1 |
1.00 | % | Quarterly | 06/20/25 | EUR | 24,930 | $ | 689,664 | $ | 1,150,646 | $ | (460,982 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (4,813,347) | $ | (3,260,692) | $ | (1,552,655 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Centrally Cleared Credit Default Swaps — Sell Protection
|
Reference Obligation/Index |
|
Financing
Rate Received by the Fund |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Credit
Rating |
(a) |
|
Notional
Amount (000) (b) |
|
Value |
|
Upfront
Premium Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
||||||||||||
|
ITRAXX.FINSR.33.V1 |
1.00 | % | Quarterly | 06/20/25 | A- | EUR | 600 | $ | 9,976 | $ | 5,762 | $ | 4,214 | |||||||||||||||||||||
|
|
|
|
|
|
|
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Interest Rate Swaps
| Paid by the Fund |
Received by the Fund |
|
|
|
|
|
||||||||||||||||
| Rate | Frequency | Rate | Frequency |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||
|
3.15% |
Semi-Annual | 3 month LIBOR | Quarterly |
11/16/23 |
USD | 33,000 | $ | (3,403,476 | ) | $ | — | $ (3,403,476) | ||||||||||
|
|
|
|
|
|
||||||||||||||||||
OTC Credit Default Swaps — Buy Protection
|
Reference Obligation/Index |
|
Financing
Rate Paid by the Fund |
|
|
Payment
Frequency |
|
Counterparty |
|
Termination
Date |
|
|
Notional
Amount (000) |
|
Value |
|
Upfront
Premium Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
||||||||||||||
|
American Airlines Group, Inc. |
5.00 | % | Quarterly | Goldman Sachs International | 12/20/20 | USD | 5,000 | $ | 341,830 | $ | 550,781 | $ | (208,951 | ) | ||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Barclays Bank plc | 12/20/20 | USD | 260 | (1,878 | ) | 19,210 | (21,088 | ) | |||||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Barclays Bank plc | 12/20/20 | USD | 260 | (1,878 | ) | 30,969 | (32,847 | ) | |||||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Barclays Bank plc | 12/20/20 | USD | 260 | (1,885 | ) | 24,053 | (25,938 | ) | |||||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Goldman Sachs International | 12/20/20 | USD | 265 | (1,914 | ) | 17,166 | (19,080 | ) | |||||||||||||||||||||||
|
Mattel, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/20 | USD | 4,870 | (8,604 | ) | 21,378 | (29,982 | ) | |||||||||||||||||||||||
|
Mattel, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/20 | USD | 4,870 | (8,604 | ) | 15,288 | (23,892 | ) | |||||||||||||||||||||||
|
Altice Luxembourg SA |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/21 | EUR | 2,220 | (102,651 | ) | (68,400 | ) | (34,251 | ) | ||||||||||||||||||||||
|
American Airlines Group, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/21 | USD | 3,000 | 730,925 | 843,600 | (112,675 | ) | ||||||||||||||||||||||||
|
American Airlines Group, Inc. |
5.00 | Quarterly | Goldman Sachs Bank USA | 06/20/21 | USD | 3,000 | 730,925 | 753,913 | (22,988 | ) | ||||||||||||||||||||||||
|
American Airlines Group, Inc. |
5.00 | Quarterly | Goldman Sachs Bank USA | 06/20/21 | USD | 3,000 | 730,925 | 1,217,276 | (486,351 | ) | ||||||||||||||||||||||||
|
Carnival Corp. |
1.00 | Quarterly | Goldman Sachs International | 06/20/21 | USD | 2,040 | 117,726 | 158,831 | (41,105 | ) | ||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Goldman Sachs International | 06/20/21 | EUR | 660 | 23,068 | 16,722 | 6,346 | |||||||||||||||||||||||||
|
Delta Air Lines, Inc. |
5.00 | Quarterly | Goldman Sachs International | 06/20/21 | USD | 3,000 | 18,352 | 110,870 | (92,518 | ) | ||||||||||||||||||||||||
|
Ford Motor Co. |
5.00 | Quarterly | Goldman Sachs International | 06/20/21 | USD | 1,710 | (54,736 | ) | 38,988 | (93,724 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/21 | EUR | 1,670 | 82,239 | 148,711 | (66,472 | ) | ||||||||||||||||||||||||
|
HP, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/21 | USD | 5,500 | (49,124 | ) | 46,434 | (95,558 | ) | |||||||||||||||||||||||
|
SoftBank Group Corp. |
1.00 | Quarterly | Citibank NA | 06/20/21 | JPY | 333,801 | 20,959 | 30,316 | (9,357 | ) | ||||||||||||||||||||||||
|
United Airlines Holdings, Inc. |
5.00 | Quarterly | Goldman Sachs Bank USA | 06/20/21 | USD | 3,000 | 122,494 | 255,000 | (132,506 | ) | ||||||||||||||||||||||||
|
United Airlines Holdings, Inc. |
5.00 | Quarterly | Goldman Sachs Bank USA | 06/20/21 | USD | 3,000 | 122,494 | 194,257 | (71,763 | ) | ||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Morgan Stanley & Co. International plc | 12/20/21 | EUR | 2,500 | 138,730 | (9,041 | ) | 147,771 | ||||||||||||||||||||||||
|
Iceland Bondco plc |
5.00 | Quarterly | Credit Suisse International | 12/20/21 | EUR | 2,150 | 22,611 | 19,773 | 2,838 | |||||||||||||||||||||||||
|
J.P. Morgan Structured Products BV |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 12/20/21 | EUR | 1,850 | 28,930 | 112,188 | (83,258 | ) | ||||||||||||||||||||||||
|
Vue International Bidco plc |
5.00 | Quarterly | Credit Suisse International | 12/20/21 | EUR | 3,730 | 330,681 | (71,037 | ) | 401,718 | ||||||||||||||||||||||||
|
Stonegate Pub Co. Financing plc |
5.00 | Quarterly | Credit Suisse International | 03/20/22 | EUR | 1,700 | (48,100 | ) | (39,329 | ) | (8,771 | ) | ||||||||||||||||||||||
|
Altice Luxembourg SA |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/22 | EUR | 2,480 | (167,625 | ) | (48,640 | ) | (118,985 | ) |
| 34 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Buy Protection (continued)
| Reference Obligation/Index |
Financing
Rate Paid by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional
(000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||
|
American Airlines Group, Inc. |
5.00 | % | Quarterly | Barclays Bank plc | 06/20/22 | USD | 3,000 | $ | 1,308,384 | $ | 1,495,265 | $ | (186,881 | ) | ||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Citibank NA | 06/20/22 | USD | 1,680 | 9,285 | 89,285 | (80,000 | ) | ||||||||||||||||||||||
|
Bausch Health Cos., Inc. |
5.00 | Quarterly | Citibank NA | 06/20/22 | USD | 3,350 | (278,809 | ) | (231,570 | ) | (47,239 | ) | ||||||||||||||||||||
|
Ford Motor Co. |
5.00 | Quarterly | Goldman Sachs International | 06/20/22 | USD | 1,020 | (55,256 | ) | 57,740 | (112,996 | ) | |||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/22 | EUR | 3,240 | 296,144 | (6,064 | ) | 302,208 | ||||||||||||||||||||||
|
Marks & Spencer plc |
1.00 | Quarterly | Barclays Bank plc | 06/20/22 | EUR | 1,100 | 26,942 | 38,609 | (11,667 | ) | ||||||||||||||||||||||
|
Marks & Spencer plc |
1.00 | Quarterly | Deutsche Bank AG | 06/20/22 | EUR | 800 | 19,594 | 23,565 | (3,971 | ) | ||||||||||||||||||||||
|
Staples, Inc. |
5.00 | Quarterly | Goldman Sachs International | 06/20/22 | USD | 1,650 | 312,303 | 180,411 | 131,892 | |||||||||||||||||||||||
|
Staples, Inc. |
5.00 | Quarterly | Goldman Sachs International | 06/20/22 | USD | 875 | 165,615 | 106,013 | 59,602 | |||||||||||||||||||||||
|
Staples, Inc. |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/22 | USD | 1,000 | 189,274 | 165,259 | 24,015 | |||||||||||||||||||||||
|
Stonegate Pub Co. Financing plc |
5.00 | Quarterly | Barclays Bank plc | 06/20/22 | EUR | 1,650 | (44,658 | ) | (6,858 | ) | (37,800 | ) | ||||||||||||||||||||
|
Stonegate Pub Co. Financing plc |
5.00 | Quarterly | Citibank NA | 06/20/22 | EUR | 2,640 | (71,453 | ) | (79,494 | ) | 8,041 | |||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/22 | EUR | 6,610 | 675,106 | (79,921 | ) | 755,027 | ||||||||||||||||||||||
|
Vue International Bidco plc |
5.00 | Quarterly | Credit Suisse International | 12/20/22 | EUR | 740 | 89,307 | 26,359 | 62,948 | |||||||||||||||||||||||
|
Ally Financial, Inc. |
5.00 | Quarterly | Goldman Sachs International | 06/20/23 | USD | 1,710 | (210,402 | ) | (138,755 | ) | (71,647 | ) | ||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | Goldman Sachs International | 06/20/23 | USD | 2,000 | 38,672 | 54,844 | (16,172 | ) | ||||||||||||||||||||||
|
Cable & Wireless International Finance BV |
5.00 | Quarterly | Goldman Sachs International | 12/20/23 | EUR | 1,480 | (268,337 | ) | (213,386 | ) | (54,951 | ) | ||||||||||||||||||||
|
Cable & Wireless International Finance BV |
5.00 | Quarterly | Goldman Sachs International | 12/20/23 | EUR | 1,398 | (253,417 | ) | (191,849 | ) | (61,568 | ) | ||||||||||||||||||||
|
Cable & Wireless International Finance BV |
5.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/23 | EUR | 1,434 | (259,951 | ) | (207,263 | ) | (52,688 | ) | ||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | BNP Paribas SA | 06/20/24 | EUR | 1,371 | 170,871 | 45,129 | 125,742 | |||||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | EUR | 1,355 | 168,799 | 58,278 | 110,521 | |||||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | EUR | 914 | 113,914 | 30,086 | 83,828 | |||||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | EUR | 1,217 | 151,691 | 78,504 | 73,187 | |||||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | EUR | 4,018 | 500,694 | 248,254 | 252,440 | |||||||||||||||||||||||
|
Jaguar Land Rover Automotive plc |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/24 | EUR | 2,295 | 285,933 | 81,026 | 204,907 | |||||||||||||||||||||||
|
Staples, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/24 | USD | 3,725 | 1,237,238 | 86,889 | 1,150,349 | |||||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | Barclays Bank plc | 06/20/24 | EUR | 3,700 | (56,949 | ) | 59,341 | (116,290 | ) | |||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | Citibank NA | 06/20/24 | EUR | 3,750 | (57,718 | ) | 59,834 | (117,552 | ) | |||||||||||||||||||||
|
Accor SA |
1.00 | Quarterly | Barclays Bank plc | 12/20/24 | EUR | 5,692 | 303,126 | (53,802 | ) | 356,928 | ||||||||||||||||||||||
|
Accor SA |
1.00 | Quarterly | Goldman Sachs International | 12/20/24 | EUR | 1,898 | 101,077 | (13,428 | ) | 114,505 | ||||||||||||||||||||||
|
Ardagh Packaging Finance plc |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | EUR | 1,840 | (269,627 | ) | (120,757 | ) | (148,870 | ) | ||||||||||||||||||||
|
Ardagh Packaging Finance plc |
5.00 | Quarterly | Citibank NA | 12/20/24 | EUR | 2,575 | (377,397 | ) | (389,861 | ) | 12,464 | |||||||||||||||||||||
|
Ardagh Packaging Finance plc |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | EUR | 5,430 | (795,636 | ) | (782,375 | ) | (13,261 | ) | ||||||||||||||||||||
|
Ardagh Packaging Finance plc |
5.00 | Quarterly | Morgan Stanley & Co. International plc | 12/20/24 | EUR | 848 | (124,207 | ) | (111,783 | ) | (12,424 | ) | ||||||||||||||||||||
|
Ardagh Packaging Finance plc |
5.00 | Quarterly | Morgan Stanley & Co. International plc | 12/20/24 | EUR | 913 | (133,761 | ) | (120,382 | ) | (13,379 | ) | ||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/24 | USD | 270 | 12,558 | 19,887 | (7,329 | ) | ||||||||||||||||||||||
|
Caterpillar, Inc. |
1.00 | Quarterly | Goldman Sachs International | 12/20/24 | USD | 12,650 | (442,946 | ) | (285,467 | ) | (157,479 | ) | ||||||||||||||||||||
|
Devon Energy Corp. |
1.00 | Quarterly | BNP Paribas SA | 12/20/24 | USD | 1,000 | 23,846 | (2,494 | ) | 26,340 | ||||||||||||||||||||||
|
Devon Energy Corp. |
1.00 | Quarterly | Citibank NA | 12/20/24 | USD | 2,250 | 53,653 | (13,001 | ) | 66,654 | ||||||||||||||||||||||
|
Financial Guaranty Insurance Company |
1.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/24 | USD | 800 | 1,613 | 21,533 | (19,920 | ) | ||||||||||||||||||||||
|
Hess Corp. |
1.00 | Quarterly | BNP Paribas SA | 12/20/24 | USD | 1,300 | 21,279 | 36,850 | (15,571 | ) | ||||||||||||||||||||||
|
HSBC Holdings plc |
1.00 | Quarterly | Citibank NA | 12/20/24 | EUR | 3,795 | 47,660 | 9,072 | 38,588 | |||||||||||||||||||||||
|
ITV plc |
5.00 | Quarterly | Goldman Sachs International | 12/20/24 | EUR | 6,070 | (1,122,110 | ) | (1,052,148 | ) | (69,962 | ) | ||||||||||||||||||||
|
Netflix, Inc. |
5.00 | Quarterly | Barclays Bank plc | 12/20/24 | USD | 911 | (159,413 | ) | (161,334 | ) | 1,921 | |||||||||||||||||||||
|
Netflix, Inc. |
5.00 | Quarterly | Citibank NA | 12/20/24 | USD | 1,167 | (204,339 | ) | (198,245 | ) | (6,094 | ) | ||||||||||||||||||||
|
Netflix, Inc. |
5.00 | Quarterly | Citibank NA | 12/20/24 | USD | 911 | (159,413 | ) | (158,971 | ) | (442 | ) | ||||||||||||||||||||
|
Netflix, Inc. |
5.00 | Quarterly | Goldman Sachs International | 12/20/24 | USD | 662 | (115,937 | ) | (117,334 | ) | 1,397 | |||||||||||||||||||||
|
Next Group plc |
1.00 | Quarterly | Barclays Bank plc | 12/20/24 | EUR | 10,240 | 257,931 | 95,182 | 162,749 | |||||||||||||||||||||||
|
Occidental Petroleum Corp. |
1.00 | Quarterly | Barclays Bank plc | 12/20/24 | USD | 560 | 74,809 | 257,733 | (182,924 | ) | ||||||||||||||||||||||
|
Republic of Italy |
1.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/24 | USD | 39,430 | 697,432 | 698,393 | (961 | ) | ||||||||||||||||||||||
|
SCHEDULE OF INVESTMENTS |
35 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Buy Protection (continued)
| Reference Obligation/Index |
Financing
Rate Paid by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||
|
Southwest Airlines Co. |
1.00 | % | Quarterly | Citibank NA | 12/20/24 | USD | 5,000 | $ | 207,832 | $ | (41,962 | ) | $ | 249,794 | ||||||||||||||||||
|
Southwest Airlines Co. |
1.00 | Quarterly | Citibank NA | 12/20/24 | USD | 10,000 | 415,664 | (181,595 | ) | 597,259 | ||||||||||||||||||||||
|
Standard Chartered plc |
1.00 | Quarterly | Goldman Sachs International | 12/20/24 | EUR | 5,740 | 65,993 | (27,609 | ) | 93,602 | ||||||||||||||||||||||
|
Staples, Inc. |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | USD | 500 | 176,920 | 6,863 | 170,057 | |||||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | Bank of America NA | 12/20/24 | EUR | 1,900 | (23,842 | ) | (17,959 | ) | (5,883 | ) | ||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | BNP Paribas SA | 12/20/24 | EUR | 1,900 | (23,842 | ) | (18,159 | ) | (5,683 | ) | ||||||||||||||||||||
|
Sunrise Communications AG |
5.00 | Quarterly | Barclays Bank plc | 12/20/24 | EUR | 4,090 | (965,407 | ) | (795,773 | ) | (169,634 | ) | ||||||||||||||||||||
|
Sunrise Communications AG |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | EUR | 5,290 | (1,248,656 | ) | (1,105,807 | ) | (142,849 | ) | ||||||||||||||||||||
|
Xerox Corp. |
1.00 | Quarterly | Barclays Bank plc | 12/20/24 | USD | 4,000 | 324,980 | 260,401 | 64,579 | |||||||||||||||||||||||
|
Ally Financial, Inc. |
5.00 | Quarterly | Citibank NA | 06/20/25 | USD | 1,320 | (242,733 | ) | (138,852 | ) | (103,881 | ) | ||||||||||||||||||||
|
Ally Financial, Inc. |
5.00 | Quarterly | Citibank NA | 06/20/25 | USD | 880 | (161,822 | ) | (92,583 | ) | (69,239 | ) | ||||||||||||||||||||
|
Altice France SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 3,362 | (402,196 | ) | (399,777 | ) | (2,419 | ) | ||||||||||||||||||||
|
Anglo American Capital plc |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 3,400 | (797,050 | ) | (676,171 | ) | (120,879 | ) | ||||||||||||||||||||
|
Anglo American Capital plc |
5.00 | Quarterly | Deutsche Bank AG | 06/20/25 | EUR | 1,640 | (384,459 | ) | (336,587 | ) | (47,872 | ) | ||||||||||||||||||||
|
ArcelorMittal SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 1,700 | (254,260 | ) | — | (254,260 | ) | |||||||||||||||||||||
|
Avis Budget Car Rental LLC |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | USD | 270 | 14,073 | 32,819 | (18,746 | ) | ||||||||||||||||||||||
|
Avnet, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | USD | 5,265 | (108,273 | ) | (113,857 | ) | 5,584 | |||||||||||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA |
1.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,825 | 77,268 | 273,688 | (196,420 | ) | ||||||||||||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA |
1.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,825 | 77,268 | 272,107 | (194,839 | ) | ||||||||||||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | EUR | 3,330 | 140,987 | 144,321 | (3,334 | ) | ||||||||||||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA |
5.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,700 | (321,823 | ) | (168,247 | ) | (153,576 | ) | ||||||||||||||||||||
|
Banco Santander SA |
1.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,800 | 59,102 | 254,254 | (195,152 | ) | ||||||||||||||||||||||
|
Banco Santander SA |
1.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,833 | 60,186 | 258,915 | (198,729 | ) | ||||||||||||||||||||||
|
Boparan Finance plc |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 2,300 | 145,460 | 145,718 | (258 | ) | ||||||||||||||||||||||
|
BP Capital Markets plc |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 3,400 | (39,390 | ) | (23,914 | ) | (15,476 | ) | ||||||||||||||||||||
|
Caterpillar, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 5,000 | (186,741 | ) | (104,943 | ) | (81,798 | ) | ||||||||||||||||||||
|
Caterpillar, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 2,150 | (80,298 | ) | (41,985 | ) | (38,313 | ) | ||||||||||||||||||||
|
Caterpillar, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 3,000 | (112,044 | ) | (57,203 | ) | (54,841 | ) | ||||||||||||||||||||
|
Caterpillar, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | USD | 4,000 | (149,392 | ) | (56,834 | ) | (92,558 | ) | ||||||||||||||||||||
|
CenturyLink, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | USD | 2,220 | 211,052 | 283,956 | (72,904 | ) | ||||||||||||||||||||||
|
Continental AG |
1.00 | Quarterly | Bank of America NA | 06/20/25 | EUR | 2,120 | (10,993 | ) | 84,917 | (95,910 | ) | |||||||||||||||||||||
|
Continental AG |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 3,420 | (17,733 | ) | 134,342 | (152,075 | ) | |||||||||||||||||||||
|
Crown European Holdings SA |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 700 | (148,861 | ) | (125,707 | ) | (23,154 | ) | ||||||||||||||||||||
|
Deutsche Telekom International Finance BV |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 3,370 | (139,874 | ) | (120,845 | ) | (19,029 | ) | ||||||||||||||||||||
|
Deutsche Telekom International Finance BV |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 3,370 | (139,874 | ) | (126,065 | ) | (13,809 | ) | ||||||||||||||||||||
|
Enel SpA |
1.00 | Quarterly | Deutsche Bank AG | 06/20/25 | EUR | 3,610 | (97,612 | ) | (20,674 | ) | (76,938 | ) | ||||||||||||||||||||
|
Federative Republic of Brazil |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | USD | 1,710 | 90,800 | 194,693 | (103,893 | ) | ||||||||||||||||||||||
|
Federative Republic of Brazil |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | USD | 3,420 | 181,599 | 410,057 | (228,458 | ) | ||||||||||||||||||||||
|
Federative Republic of Brazil |
1.00 | Quarterly | HSBC Bank plc | 06/20/25 | USD | 3,360 | 178,413 | 260,039 | (81,626 | ) | ||||||||||||||||||||||
|
Ford Motor Co. |
5.00 | Quarterly | Bank of America NA | 06/20/25 | USD | 1,020 | (78,165 | ) | 125,031 | (203,196 | ) | |||||||||||||||||||||
|
Ford Motor Co. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | USD | 1,530 | (117,247 | ) | 216,514 | (333,761 | ) | |||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,000 | 125,983 | 112,815 | 13,168 | |||||||||||||||||||||||
|
General Electric Co. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | USD | 5,000 | 182,447 | 236,228 | (53,781 | ) | ||||||||||||||||||||||
|
General Electric Co. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | USD | 4,350 | 158,729 | 258,532 | (99,803 | ) | ||||||||||||||||||||||
|
Glencore Finance Europe Ltd. |
5.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,700 | (342,236 | ) | (120,565 | ) | (221,671 | ) | ||||||||||||||||||||
|
Glencore Finance Europe Ltd. |
5.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 3,420 | (688,498 | ) | (242,549 | ) | (445,949 | ) | ||||||||||||||||||||
|
Glencore Finance Europe Ltd. |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 3,370 | (678,433 | ) | (514,615 | ) | (163,818 | ) | ||||||||||||||||||||
|
Halliburton Co. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | USD | 3,150 | 17,125 | 296,768 | (279,643 | ) | ||||||||||||||||||||||
|
Halliburton Co. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,350 | 7,339 | 127,006 | (119,667 | ) | ||||||||||||||||||||||
|
HeidelbergCement AG |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 3,370 | (811,861 | ) | (676,295 | ) | (135,566 | ) | ||||||||||||||||||||
|
HSBC Holdings plc |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | EUR | 6,080 | 120,972 | 172,660 | (51,688 | ) | ||||||||||||||||||||||
|
HSBC HOLDINGS plc |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | EUR | 3,370 | 67,052 | 79,919 | (12,867 | ) | ||||||||||||||||||||||
|
ITV plc |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 1,023 | (202,916 | ) | (97,363 | ) | (105,553 | ) | ||||||||||||||||||||
| 36 | 2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Buy Protection (continued)
| Reference Obligation/Index |
Financing
Rate Paid by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||
|
J.P. Morgan Structured Products BV |
1.00 | % | Quarterly | Citibank NA | 06/20/25 | EUR | 1,700 | $ | 191,157 | $ | 272,210 | $ | (81,053 | ) | ||||||||||||||||||
|
J.P. Morgan Structured Products BV |
1.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 1,700 | 191,157 | 270,378 | (79,221 | ) | ||||||||||||||||||||||
|
Macy’s Retail Holdings LLC |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | USD | 2,215 | 681,535 | 543,601 | 137,934 | |||||||||||||||||||||||
|
Macy’s Retail Holdings LLC |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 2,300 | 707,689 | 545,789 | 161,900 | |||||||||||||||||||||||
|
Michelin Luxembourg SCS |
1.00 | Quarterly | Deutsche Bank AG | 06/20/25 | EUR | 3,420 | (138,104 | ) | (35,757 | ) | (102,347 | ) | ||||||||||||||||||||
|
Monitchem HoldCo 3 SA |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 1,000 | (111,417 | ) | (97,401 | ) | (14,016 | ) | ||||||||||||||||||||
|
Monitchem HoldCo 3 SA |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | EUR | 3,050 | (339,823 | ) | (329,262 | ) | (10,561 | ) | ||||||||||||||||||||
|
Next Group plc |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 2,540 | 81,867 | 230,659 | (148,792 | ) | ||||||||||||||||||||||
|
Nokia OYJ |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 3,420 | (792,285 | ) | (618,361 | ) | (173,924 | ) | ||||||||||||||||||||
|
Occidental Petroleum Corp. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 880 | 130,232 | 243,985 | (113,753 | ) | ||||||||||||||||||||||
|
Occidental Petroleum Corp. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,320 | 195,348 | 365,391 | (170,043 | ) | ||||||||||||||||||||||
|
Peugeot SA |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,710 | (323,610 | ) | (222,739 | ) | (100,871 | ) | ||||||||||||||||||||
|
Renault SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 3,420 | 251,275 | 378,773 | (127,498 | ) | ||||||||||||||||||||||
|
Repsol International Finance BV |
1.00 | Quarterly | Deutsche Bank AG | 06/20/25 | EUR | 3,410 | (22,873 | ) | 192,561 | (215,434 | ) | |||||||||||||||||||||
|
Repsol International Finance BV |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,700 | (11,403 | ) | 93,106 | (104,509 | ) | |||||||||||||||||||||
|
Repsol International Finance BV |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,720 | (11,537 | ) | 75,526 | (87,063 | ) | |||||||||||||||||||||
|
Repsol International Finance BV |
1.00 | Quarterly | HSBC Bank plc | 06/20/25 | EUR | 1,770 | (11,872 | ) | 94,368 | (106,240 | ) | |||||||||||||||||||||
|
Republic of Italy |
1.00 | Quarterly | Bank of America NA | 06/20/25 | USD | 19,700 | 448,389 | 1,219,493 | (771,104 | ) | ||||||||||||||||||||||
|
SES SA |
1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 112 | 53 | 2,629 | (2,576 | ) | ||||||||||||||||||||||
|
SES SA |
1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 108 | 50 | 2,767 | (2,717 | ) | ||||||||||||||||||||||
|
SES SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,700 | 795 | 39,324 | (38,529 | ) | ||||||||||||||||||||||
|
SES SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,710 | 800 | 49,483 | (48,683 | ) | ||||||||||||||||||||||
|
Simon Property Group LP |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | USD | 4,250 | 72,004 | 297,304 | (225,300 | ) | ||||||||||||||||||||||
|
Simon Property Group LP |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,000 | 16,942 | 105,394 | (88,452 | ) | ||||||||||||||||||||||
|
Simon Property Group LP |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,200 | 20,330 | 96,215 | (75,885 | ) | ||||||||||||||||||||||
|
Simon Property Group LP |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/25 | USD | 4,325 | 73,274 | 354,600 | (281,326 | ) | ||||||||||||||||||||||
|
Southwest Airlines Co. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,535 | 74,537 | 52,256 | 22,281 | |||||||||||||||||||||||
|
Southwest Airlines Co. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 1,535 | 74,537 | 52,256 | 22,281 | |||||||||||||||||||||||
|
Stora Enso OYJ |
5.00 | Quarterly | Citibank NA | 06/20/25 | EUR | 3,400 | (866,515 | ) | (681,041 | ) | (185,474 | ) | ||||||||||||||||||||
|
Stora Enso OYJ |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 4,140 | (1,055,110 | ) | (805,043 | ) | (250,067 | ) | ||||||||||||||||||||
|
Stora Enso OYJ |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,700 | (433,258 | ) | (355,521 | ) | (77,737 | ) | ||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 2,936 | (28,631 | ) | 91,844 | (120,475 | ) | |||||||||||||||||||||
|
Sudzucker International Finance BV |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | EUR | 3,414 | (33,292 | ) | 103,439 | (136,731 | ) | |||||||||||||||||||||
|
Telefonica Emisiones SA |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | EUR | 3,360 | (57,528 | ) | (25,682 | ) | (31,846 | ) | ||||||||||||||||||||
|
Telefonica Emisiones SA |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | EUR | 3,700 | (63,349 | ) | 102,105 | (165,454 | ) | |||||||||||||||||||||
|
Teva Pharmaceutical Finance Co. BV |
1.00 | Quarterly | Citibank NA | 06/20/25 | USD | 970 | 128,027 | 134,444 | (6,417 | ) | ||||||||||||||||||||||
|
Teva Pharmaceutical Finance Co. BV |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 2,155 | 284,430 | 306,744 | (22,314 | ) | ||||||||||||||||||||||
|
Teva Pharmaceutical Finance Co. BV |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/25 | USD | 1,150 | 151,784 | 156,112 | (4,328 | ) | ||||||||||||||||||||||
|
United Mexican States |
1.00 | Quarterly | Bank of America NA | 06/20/25 | USD | 5,000 | 95,823 | 322,983 | (227,160 | ) | ||||||||||||||||||||||
|
United Mexican States |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/25 | USD | 5,000 | 95,823 | 82,139 | 13,684 | |||||||||||||||||||||||
|
Valeo SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,300 | 56,360 | 144,380 | (88,020 | ) | ||||||||||||||||||||||
|
Valeo SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 380 | 16,475 | 36,502 | (20,027 | ) | ||||||||||||||||||||||
|
Valeo SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 700 | 30,348 | 73,333 | (42,985 | ) | ||||||||||||||||||||||
|
Valeo SA |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | EUR | 1,700 | 73,702 | 191,861 | (118,159 | ) | ||||||||||||||||||||||
|
Xerox Corp. |
1.00 | Quarterly | Barclays Bank plc | 06/20/25 | USD | 2,360 | 231,026 | 169,882 | 61,144 | |||||||||||||||||||||||
|
Xerox Corp. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | USD | 1,375 | 134,602 | 123,715 | 10,887 | |||||||||||||||||||||||
|
Xerox Corp. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 2,200 | 215,363 | 235,256 | (19,893 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (435,256 | ) | $ | 6,656,144 | $ | (7,091,400 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
SCHEDULE OF INVESTMENTS |
37 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Sell Protection
| Reference Obligation/Index |
Financing
Rate Received by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Credit
Rating (a) |
Notional
Amount
|
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||||
|
ITRAXX.ASIA.XJ.IG.24.V1 |
1.00 | % | Quarterly | Goldman Sachs International | 12/20/20 | A- | USD | 3,750 | $ | 22,353 | $ | (8,104 | ) | $ | 30,457 | |||||||||||||||||||||
|
Matalan Finance plc |
5.00 | Quarterly | Credit Suisse International | 06/20/21 | D | EUR | 2,380 | (1,977,415 | ) | (1,545,879 | ) | (431,536 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/23 | B- | EUR | 115 | (12,900 | ) | (12,772 | ) | (128 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/23 | B- | EUR | 1,400 | (157,039 | ) | (2,448 | ) | (154,591 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/23 | B- | EUR | 2,260 | (253,506 | ) | (12,964 | ) | (240,542 | ) | |||||||||||||||||||||||
|
Advanced Micro Devices, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/24 | BB | USD | 1,000 | 185,662 | 152,457 | 33,205 | ||||||||||||||||||||||||||
|
Financial Guaranty Insurance Company |
1.00 | Quarterly | Citibank NA | 06/20/24 | BBB- | USD | 23,695 | 219,110 | (1,410,897 | ) | 1,630,007 | |||||||||||||||||||||||||
|
Financial Guaranty Insurance Company |
1.00 | Quarterly | Citibank NA | 06/20/24 | BBB- | USD | 7,900 | 73,052 | (470,398 | ) | 543,450 | |||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | BNP Paribas SA | 06/20/24 | B- | EUR | 1,579 | (192,433 | ) | (267,944 | ) | 75,511 | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | BNP Paribas SA | 06/20/24 | B- | EUR | 1,000 | (121,834 | ) | (66,605 | ) | (55,229 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 2,150 | (261,943 | ) | (28,948 | ) | (232,995 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 1,700 | (207,118 | ) | (189,168 | ) | (17,950 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 1,021 | (124,335 | ) | (176,516 | ) | 52,181 | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 1,340 | (163,257 | ) | (96,226 | ) | (67,031 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 1,890 | (230,266 | ) | (159,518 | ) | (70,748 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 880 | (107,214 | ) | (144,202 | ) | 36,988 | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B- | EUR | 2,300 | (280,218 | ) | (166,275 | ) | (113,943 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Goldman Sachs International | 06/20/24 | B- | EUR | 1,500 | (182,751 | ) | (65,318 | ) | (117,433 | ) | |||||||||||||||||||||||
|
HCA, Inc. |
5.00 | Quarterly | Citibank NA | 06/20/24 | NR | USD | 4,900 | 752,453 | 638,185 | 114,268 | ||||||||||||||||||||||||||
|
Advanced Micro Devices, Inc. |
5.00 | Quarterly | Barclays Bank plc | 12/20/24 | BB | USD | 14,150 | 2,907,052 | 2,591,493 | 315,559 | ||||||||||||||||||||||||||
|
Advanced Micro Devices, Inc. |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | BB | USD | 1,000 | 205,445 | 193,785 | 11,660 | ||||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | B- | EUR | 383 | (47,519 | ) | 7,988 | (55,507 | ) | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | B- | EUR | 767 | (95,038 | ) | 15,325 | (110,363 | ) | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 60 | (7,438 | ) | (704 | ) | (6,734 | ) | |||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 5,420 | (671,874 | ) | — | (671,874 | ) | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 40 | (4,958 | ) | 1,245 | (6,203 | ) | ||||||||||||||||||||||||
|
HCA, Inc. |
5.00 | Quarterly | Barclays Bank plc | 12/20/24 | NR | USD | 1,500 | 249,985 | 217,015 | 32,970 | ||||||||||||||||||||||||||
|
HCA, Inc. |
5.00 | Quarterly | BNP Paribas SA | 12/20/24 | NR | USD | 5,000 | 833,283 | 831,736 | 1,547 | ||||||||||||||||||||||||||
|
HCA, Inc. |
5.00 | Quarterly | Goldman Sachs International | 12/20/24 | NR | USD | 5,800 | 966,608 | 981,247 | (14,639 | ) | |||||||||||||||||||||||||
|
HCA, Inc. |
5.00 | Quarterly | Goldman Sachs International | 12/20/24 | NR | USD | 2,950 | 491,637 | 456,283 | 35,354 | ||||||||||||||||||||||||||
|
Republic of Italy |
1.00 | Quarterly | JPMorgan Chase Bank NA | 12/20/24 | BBB | USD | 39,430 | (48,875 | ) | 32,353 | (81,228 | ) | ||||||||||||||||||||||||
|
ADLER Real Estate AG |
5.00 | Quarterly | Citibank NA | 06/20/25 | BB+ | EUR | 1,710 | 225,887 | 126,219 | 99,668 | ||||||||||||||||||||||||||
|
ADLER Real Estate AG |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB+ | EUR | 1,040 | 137,382 | 26,045 | 111,337 | ||||||||||||||||||||||||||
|
ADLER Real Estate AG |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB+ | EUR | 1,830 | 241,739 | (19,605 | ) | 261,344 | |||||||||||||||||||||||||
|
Altice France SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | B | EUR | 60 | 6,783 | 6,779 | 4 | ||||||||||||||||||||||||||
| 38 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Sell Protection (continued)
| Reference Obligation/Index |
Financing
Rate Received by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Credit
Rating (a) |
Notional
Amount
|
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||||
|
AT&T, Inc. |
1.00 | % | Quarterly | BNP Paribas SA | 06/20/25 | BBB | USD | 3,050 | $ | 32,486 | $ | (63,445 | ) | $ | 95,931 | |||||||||||||||||||||
|
AT&T, Inc. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | BBB | USD | 5,250 | 55,918 | (144,667 | ) | 200,585 | |||||||||||||||||||||||||
|
AT&T, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BBB | USD | 3,000 | 31,953 | 21,398 | 10,555 | ||||||||||||||||||||||||||
|
Atlantia SpA |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB- | EUR | 1,700 | (120,458 | ) | (143,620 | ) | 23,162 | ||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | B | EUR | 1,980 | (336,876 | ) | (130,175 | ) | (206,701 | ) | |||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | B | EUR | 770 | (131,007 | ) | (79,427 | ) | (51,580 | ) | |||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | B | EUR | 1,650 | (280,730 | ) | (218,577 | ) | (62,153 | ) | |||||||||||||||||||||||
|
Freeport-McMoran, Inc. |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/25 | BB | USD | 3,000 | (67,490 | ) | (149,125 | ) | 81,635 | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | B- | EUR | 1,980 | (249,447 | ) | (216,958 | ) | (32,489 | ) | |||||||||||||||||||||||
|
Ladbrokes Group Finance plc |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | BB | EUR | 1,026 | (59,027 | ) | (130,140 | ) | 71,113 | ||||||||||||||||||||||||
|
Loxam SAS |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | CCC+ | EUR | 1,690 | (226,818 | ) | (374,317 | ) | 147,499 | ||||||||||||||||||||||||
|
Loxam SAS |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | CCC+ | EUR | 1,650 | (221,450 | ) | (285,101 | ) | 63,651 | ||||||||||||||||||||||||
|
Loxam SAS |
5.00 | Quarterly | Goldman Sachs International | 06/20/25 | CCC+ | EUR | 1,700 | (228,160 | ) | (251,555 | ) | 23,395 | ||||||||||||||||||||||||
|
Loxam SAS |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | CCC+ | EUR | 1,680 | (225,476 | ) | (355,469 | ) | 129,993 | ||||||||||||||||||||||||
|
Loxam SAS |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | CCC+ | EUR | 1,680 | (225,476 | ) | (382,708 | ) | 157,232 | ||||||||||||||||||||||||
|
MGM Resorts International |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB- | USD | 5,000 | 159,533 | (49,874 | ) | 209,407 | |||||||||||||||||||||||||
|
NRG Energy, Inc. |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | BB+ | USD | 1,275 | 185,321 | 180,127 | 5,194 | ||||||||||||||||||||||||||
|
NRG Energy, Inc. |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | BB+ | USD | 750 | 109,012 | 106,026 | 2,986 | ||||||||||||||||||||||||||
|
NRG Energy, Inc. |
5.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB+ | USD | 2,125 | 308,868 | 284,299 | 24,569 | ||||||||||||||||||||||||||
|
OI European Group BV |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | B+ | EUR | 684 | 110,650 | 34,490 | 76,160 | ||||||||||||||||||||||||||
|
Petroleos Mexicanos |
1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/25 | BBB | USD | 5,000 | (915,775 | ) | (944,095 | ) | 28,320 | ||||||||||||||||||||||||
|
Republic of Italy |
1.00 | Quarterly | Bank of America NA | 06/20/25 | BBB | USD | 19,700 | (80,612 | ) | (697,457 | ) | 616,845 | ||||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | BB | EUR | 1,640 | (273,672 | ) | (229,544 | ) | (44,128 | ) | |||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | BB | EUR | 1,700 | (283,684 | ) | (237,942 | ) | (45,742 | ) | |||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | Citibank NA | 06/20/25 | BB | EUR | 1,700 | (283,684 | ) | (386,431 | ) | 102,747 | ||||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | Citibank NA | 06/20/25 | BB | EUR | 69 | (11,461 | ) | (12,196 | ) | 735 | ||||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | Citibank NA | 06/20/25 | BB | EUR | 31 | (5,226 | ) | (5,562 | ) | 336 | ||||||||||||||||||||||||
|
Rolls-Royce plc |
1.00 | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BB | EUR | 70 | (11,681 | ) | (10,123 | ) | (1,558 | ) | |||||||||||||||||||||||
|
Sprint Communications, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | BB | USD | 2,000 | 372,451 | 320,540 | 51,911 | ||||||||||||||||||||||||||
|
Sprint Communications, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | BB | USD | 667 | 124,150 | 122,422 | 1,728 | ||||||||||||||||||||||||||
|
Sprint Communications, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | BB | USD | 1,300 | 242,093 | 231,363 | 10,730 | ||||||||||||||||||||||||||
|
Sprint Communications, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | BB | USD | 2,200 | 409,696 | 402,667 | 7,029 | ||||||||||||||||||||||||||
|
Sprint Communications, Inc. |
5.00 | Quarterly | Barclays Bank plc | 06/20/25 | BB | USD | 3,000 | 558,676 | 441,767 | 116,909 | ||||||||||||||||||||||||||
|
thyssenkrupp AG |
1.00 | Quarterly | Credit Suisse International | 06/20/25 | BB- | EUR | 1,980 | (227,009 | ) | (169,648 | ) | (57,361 | ) | |||||||||||||||||||||||
|
thyssenkrupp AG |
1.00 | Quarterly | Credit Suisse International | 06/20/25 | BB- | EUR | 1,710 | (196,053 | ) | (298,442 | ) | 102,389 | ||||||||||||||||||||||||
|
Verisure Midholding AB |
5.00 | Quarterly | Credit Suisse International | 06/20/25 | CCC+ | EUR | 1,040 | 149,293 | 11,693 | 137,600 | ||||||||||||||||||||||||||
|
Verizon Communications, Inc. |
1.00 | Quarterly | Citibank NA | 06/20/25 | BBB+ | USD | 2,200 | 49,009 | (15,332 | ) | 64,341 | |||||||||||||||||||||||||
|
Verizon Communications, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/25 | BBB+ | USD | 5,300 | 118,066 | (24,653 | ) | 142,719 | |||||||||||||||||||||||||
|
SCHEDULE OF INVESTMENTS |
39 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
OTC Credit Default Swaps — Sell Protection (continued)
| Reference Obligation/Index |
Financing
Rate Received by the Fund |
Payment
Frequency |
Counterparty |
Termination
Date |
Credit
Rating (a) |
Notional
Amount
|
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||||||
|
Verizon Communications, Inc. |
1.00 | % | Quarterly | JPMorgan Chase Bank NA | 06/20/25 | BBB+ | USD | 4,250 | $ | 94,676 | $ | 85,807 | $ | 8,869 | ||||||||||||||||||||||||
|
Yum! Brands, Inc. |
1.00 | Quarterly | BNP Paribas SA | 06/20/25 | B+ | USD | 2,540 | (24,773 | ) | (23,830 | ) | (943 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 796,306 | $ | (2,354,150 | ) | $ | 3,150,456 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Total Return Swaps
| Paid by the Fund |
Received by the Fund |
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
Rate (Amount)/ Reference |
Frequency | Rate/Reference | Frequency | Counterparty |
Termination
Date |
Notional Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||
|
Caterpillar, Inc. |
Quarterly | 3 month LIBOR minus 1.50% | Quarterly |
BNP Paribas SA |
08/07/20 | USD | 5 | $ | (139,520 | ) | $ | — | $ | (139,520 | ) | |||||||||||||||||||
|
General Electric Co. |
Quarterly | 3 month LIBOR minus 0.25% | Quarterly |
Citibank NA |
08/31/20 | USD | 50 | 24,551 | — | 24,551 | ||||||||||||||||||||||||
|
3 month EURIBOR |
Quarterly | Markit iBoxx EUR Liquid High Yield Total Return Index | At Termination |
BNP Paribas SA |
09/20/20 | EUR | 10,600 | (96,515 | ) | 5,049 | (101,564 | ) | ||||||||||||||||||||||
|
3 month EURIBOR |
At Termination | Markit iBoxx EUR Liquid High Yield Total Return Index | At Termination |
BNP Paribas SA |
09/20/20 | EUR | 8,180 | (52,414 | ) | 2,539 | (54,953 | ) | ||||||||||||||||||||||
|
3 month EURIBOR |
At Termination | Markit iBoxx EUR Liquid High Yield Total Return Index | At Termination |
JPMorgan Chase Bank NA |
09/20/20 | EUR | 8,180 | (64,570 | ) | 2,976 | (67,546 | ) | ||||||||||||||||||||||
|
VanEck Vectors Semiconductor ETF |
Quarterly | 3 month LIBOR minus 0.65% | Quarterly |
BNP Paribas SA |
10/19/20 | USD | 5 | (30,134 | ) | — | (30,134 | ) | ||||||||||||||||||||||
|
iShares Preferred & Income Securities ETF |
Quarterly | 3 month LIBOR minus 1.00% | Quarterly |
Credit Suisse International |
11/25/20 | USD | 50 | (96,265 | ) | — | (96,265 | ) | ||||||||||||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | 1 month LIBOR minus 2.95% | Monthly |
Citibank NA |
11/27/20 | USD | 50 | (221,923 | ) | — | (221,923 | ) | ||||||||||||||||||||||
|
iShares MSCI India ETF |
Quarterly | 3 month LIBOR minus 1.20% | Quarterly |
Credit Suisse International |
11/30/20 | USD | 45 | (205,414 | ) | — | (205,414 | ) | ||||||||||||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | 3 month LIBOR minus 3.25% | Quarterly |
Citibank NA |
02/12/21 | USD | 25 | (182,586 | ) | — | (182,586 | ) | ||||||||||||||||||||||
|
Oasis Petroleum, Inc. |
Quarterly | 3 month LIBOR minus 10.00% | Quarterly | Credit Suisse International | 04/23/21 | USD | 27 | 1,858 | — | 1,858 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | (1,062,932 | ) | $ | 10,564 | $ | (1,073,496 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
OTC Total Return Swaps
| Reference Entity |
Payment Frequency |
Counterparty |
Termination
Date |
Net Notional |
Accrued Unrealized
Appreciation (Depreciation) |
Net Value of
Reference Entity |
Gross
Notional Amount Net Asset Percentage |
|||||||||||||||||||
|
Equity Securities Long/Short |
Monthly | Bank of America NA | (a) | 02/15/23 | $ | 10,776,234 | $ | (370,633) | (b) | $ | 10,429,871 | 2.0 | % | |||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 40 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS
|
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
| (a) |
The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 20-80 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest: |
Euro Interbank Offer Rate:
EUR 1 Week
Intercontinental Exchange LIBOR:
GBP 1 Week
USD 1 Week
USD 1 Month
| (b) |
Amount includes $(24,270) of net dividends and financing fees. |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Bank of America NA, as of July 31, 2020, expiration date 02/15/23:
| Shares | Value |
% of Basket
Value |
||||||||||
|
Reference Entity — Long |
|
|||||||||||
| Brazil | ||||||||||||
|
Oi SA, ADR |
629,896 | $ | 1,039,328 | 10.0 | % | |||||||
|
|
|
|||||||||||
| Germany | ||||||||||||
|
Aroundtown SA |
205,456 | 1,237,169 | 11.9 | |||||||||
|
Tele Columbus AG |
612,462 | 2,526,565 | 24.2 | |||||||||
|
|
|
|||||||||||
| 3,763,734 | ||||||||||||
| Italy | ||||||||||||
|
Telecom Italia SpA |
9,439,670 | 3,794,582 | 36.4 | |||||||||
|
UniCredit SpA |
85,436 | 784,126 | 7.5 | |||||||||
|
|
|
|||||||||||
| 4,578,708 | ||||||||||||
| Netherlands | ||||||||||||
|
Altice Europe NV |
851,526 | 4,037,313 | 38.7 | |||||||||
|
|
|
|||||||||||
| United Kingdom | ||||||||||||
|
Arrow Global Group plc |
1,290,230 | 1,276,817 | 12.3 | |||||||||
|
ITV plc |
1,812,374 | 1,336,478 | 12.8 | |||||||||
|
|
|
|||||||||||
| 2,613,295 | ||||||||||||
| United States | ||||||||||||
|
Ardagh Group SA |
38,247 | 520,542 | 5.0 | |||||||||
|
Bausch Health Cos., Inc. |
82,784 | 1,512,464 | 14.5 | |||||||||
| Shares | Value |
% of Basket
Value |
||||||||||
|
United States (continued) |
|
|||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF |
55,000 | $ | 4,696,450 | 45.0 | % | |||||||
|
Southwest Airlines Co. |
10,000 | 308,900 | 3.0 | |||||||||
|
|
|
|||||||||||
| 7,038,356 | ||||||||||||
|
|
|
|||||||||||
|
Total Reference Entity — Long |
|
23,070,734 | ||||||||||
|
|
|
|||||||||||
|
Reference Entity — Short |
|
|||||||||||
| United Kingdom | ||||||||||||
|
EnQuest plc |
(2,045,774 | ) | (352,379 | ) | (3.4 | ) | ||||||
|
|
|
|||||||||||
| United States | ||||||||||||
|
Allegiant Travel Co. |
(7,500 | ) | (840,225 | ) | (8.1 | ) | ||||||
|
Ally Financial, Inc. |
(75,000 | ) | (1,507,500 | ) | (14.5 | ) | ||||||
|
Caterpillar, Inc. |
(7,500 | ) | (996,600 | ) | (9.6 | ) | ||||||
|
CommScope Holding Co., Inc. |
(273,460 | ) | (2,537,709 | ) | (24.3 | ) | ||||||
|
Industrial Select Sector SPDR Fund |
(5,000 | ) | (358,650 | ) | (3.4 | ) | ||||||
|
iShares MSCI Brazil ETF |
(50,000 | ) | (1,627,000 | ) | (15.6 | ) | ||||||
|
iShares Russell 2000 ETF |
(30,000 | ) | (4,420,800 | ) | (42.4 | ) | ||||||
|
|
|
|||||||||||
| (12,288,484 | ) | |||||||||||
|
|
|
|||||||||||
|
Total Reference Entity — Short |
|
(12,640,863 | ) | |||||||||
|
|
|
|||||||||||
| Net Value of Reference Entity — Bank of America NA |
|
$ | 10,429,871 | |||||||||
|
|
|
|||||||||||
The following reference rates, and their values as of period end, are used for security descriptions:
| Reference Index | Reference Rate | |||||
|
1 month LIBOR |
London Interbank Offered Rate | 0.15 | % | |||
|
3 month LIBOR |
London Interbank Offered Rate | 0.25 | ||||
Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
|
Swap
Premiums Paid |
Swap
Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
Value | ||||||||||||||||
|
Centrally Cleared Swaps (a) |
$ | 2,306,391 | $ | (5,561,321 | ) | $ | 246,674 | $ | (5,198,591 | ) | $ | — | ||||||||
|
OTC Swaps |
29,775,753 | (25,463,195 | ) | 12,437,274 | (17,822,347 | ) | — | |||||||||||||
|
Options Written |
N/A | N/A | 2,828,979 | (2,413,688 | ) | (7,425,807 | ) | |||||||||||||
| (a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
|
SCHEDULE OF INVESTMENTS |
41 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
|
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
|
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
|
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
|
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 711,945 | $ | — | $ | — | $ | 711,945 | ||||||||||||||
|
Options purchased |
||||||||||||||||||||||||||||
|
Investments at value — unaffiliated (a) |
— | 3,226,704 | 13,496,861 | — | — | — | 16,723,565 | |||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized appreciation on centrally cleared swaps (b) |
— | 246,674 | — | — | — | — | 246,674 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 42,176,054 | 26,409 | — | 10,564 | — | 42,213,027 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 45,649,432 | $ | 13,523,270 | $ | 711,945 | $ | 10,564 | $ | — | $ | 59,895,211 | |||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
|
Futures contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on futures contracts (b) |
— | — | 131,679 | — | 1,597,058 | — | 1,728,737 | |||||||||||||||||||||
|
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 27,346,282 | — | — | 27,346,282 | |||||||||||||||||||||
|
Options written |
||||||||||||||||||||||||||||
|
Options written at value |
— | 1,945,433 | 5,480,374 | — | — | — | 7,425,807 | |||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized depreciation on centrally cleared swaps (b) |
— | 1,795,115 | — | — | 3,403,476 | — | 5,198,591 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 41,815,004 | 1,246,475 | — | 224,063 | — | 43,285,542 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 45,555,552 | $ | 6,858,528 | $ | 27,346,282 | $ | 5,224,597 | $ | — | $ | 84,984,959 | |||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (a) |
Includes options purchased at value as reported in the Schedule of Investments. |
| (b) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the 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 accumulated earnings (loss). |
For the year ended July 31, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:
|
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest Rate
Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
|
Net Realized Gain (Loss) from: |
|
|||||||||||||||||||||||||||
|
Futures contracts |
$ | (415,167 | ) | $ | — | $ | (7,657,064 | ) | $ | — | $ | (14,773,786 | ) | $ | — | $ | (22,846,017 | ) | ||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | 29,494,615 | — | — | 29,494,615 | |||||||||||||||||||||
|
Options purchased (a) |
— | 8,341,586 | 54,355,875 | (112,567 | ) | (1,814,360 | ) | — | 60,770,534 | |||||||||||||||||||
|
Options written |
— | (1,510,115 | ) | (54,546,171 | ) | — | — | — | (56,056,286 | ) | ||||||||||||||||||
|
Swaps |
— | 3,105,325 | (4,166,543 | ) | — | (2,608,660 | ) | — | (3,669,878 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | (415,167 | ) | $ | 9,936,796 | $ | (12,013,903 | ) | $ | 29,382,048 | $ | (19,196,806 | ) | $ | — | $ | 7,692,968 | ||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation)
on: |
||||||||||||||||||||||||||||
|
Futures contracts |
— | — | 229,291 | — | 262,189 | — | 491,480 | |||||||||||||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | (50,141,711 | ) | — | — | (50,141,711 | ) | |||||||||||||||||||
|
Options purchased (b) |
— | 859,305 | 602,640 | — | 229,706 | — | 1,691,651 | |||||||||||||||||||||
|
Options written |
— | (455,459 | ) | (65,236 | ) | — | — | — | (520,695 | ) | ||||||||||||||||||
|
Swaps |
— | 4,524,513 | (2,249,210 | ) | — | (331,638 | ) | — | 1,943,665 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 4,928,359 | $ | (1,482,515 | ) | $ | (50,141,711 | ) | $ | 160,257 | $ | — | $ | (46,535,610 | ) | ||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (a) |
Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
| 42 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
Futures contracts: |
||||
|
Average notional value of contracts — long |
$ | 10,456,828 | ||
|
Average notional value of contracts — short |
176,860,133 | |||
|
Forward foreign currency exchange contracts: |
||||
|
Average amounts purchased — in USD |
1,227,446,993 | |||
|
Average amounts sold — in USD |
660,983,082 | |||
|
Options: |
||||
|
Average value of option contracts purchased |
11,052,597 | |||
|
Average value of option contracts written |
5,007,386 | |||
|
Average notional value of swaption contracts purchased |
571,925,646 | |||
|
Average notional value of swaption contracts written |
325,036,780 | |||
|
Credit default swaps: |
||||
|
Average notional value — buy protection |
771,037,070 | |||
|
Average notional value — sell protection |
292,275,497 | |||
|
Interest rate swaps: |
||||
|
Average notional value — pays fixed rate |
76,708,750 | |||
|
Total return swaps: |
||||
|
Average notional value |
39,252,462 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
|
Derivative Financial Instruments: |
||||||||
|
Futures contracts |
$ | 135,853 | $ | 83,503 | ||||
|
Forward foreign currency exchange contracts |
711,945 | 27,346,282 | ||||||
|
Options (a) |
16,723,565 | 7,425,807 | ||||||
|
Swaps — Centrally cleared |
— | 128,622 | ||||||
|
Swaps — OTC (b) |
42,213,027 | 43,285,542 | ||||||
|
|
|
|||||||
|
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
$ | 59,784,390 | $ | 78,269,756 | ||||
|
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(13,462,417) | (5,689,103) | ||||||
|
|
|
|||||||
|
Total derivative assets and liabilities subject to an MNA |
$ | 46,321,973 | $ | 72,580,653 | ||||
|
|
|
|||||||
| (a) |
Includes options purchased at value which is included in Investments at value – unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments. |
| (b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities. |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| Counterparty |
Derivative
Assets Subject to an MNA by Counterparty |
Derivatives
Available for Offset (a) |
Non-cash
Collateral Received |
Cash
Collateral Received (b) |
Net Amount
of Derivative Assets (c)(d) |
|||||||||||||||
|
Bank of America NA |
$ | 2,369,269 | $ | (2,369,269 | ) | $ | — | $ | — | $ | — | |||||||||
|
Barclays Bank plc |
11,692,629 | (4,763,675 | ) | — | (6,800,000 | ) | 128,954 | |||||||||||||
|
BNP Paribas SA |
5,531,326 | (4,415,234 | ) | — | (1,116,092 | ) | — | |||||||||||||
|
Citibank NA |
6,601,019 | (6,601,019 | ) | — | — | — | ||||||||||||||
|
Credit Suisse International |
4,238,529 | (4,238,529 | ) | — | — | — | ||||||||||||||
|
Deutsche Bank AG |
218,407 | (218,407 | ) | — | — | — | ||||||||||||||
|
Goldman Sachs Bank USA |
2,420,446 | (713,608 | ) | — | (1,590,000 | ) | 116,838 | |||||||||||||
|
Goldman Sachs International |
7,467,017 | (7,467,017 | ) | — | — | — | ||||||||||||||
|
HSBC Bank plc |
354,407 | (354,407 | ) | — | — | — | ||||||||||||||
|
JPMorgan Chase Bank NA |
3,822,413 | (2,880,063 | ) | — | (820,000 | ) | 122,350 | |||||||||||||
|
Morgan Stanley & Co. International plc |
1,130,073 | (1,130,073 | ) | — | — | — | ||||||||||||||
|
State Street Bank and Trust Co. |
105,696 | (105,696 | ) | — | — | — | ||||||||||||||
|
UBS AG |
370,742 | (370,742 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 46,321,973 | $ | (35,627,739 | ) | $ | — | $ | (10,326,092 | ) | $ | 368,142 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
SCHEDULES OF INVESTMENTS |
43 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
| Counterparty |
Derivative
Liabilities Subject to an MNA by Counterparty |
Derivatives
Available for Offset (a) |
Non-cash
Collateral Pledged |
Cash
Collateral Pledged (e) |
Net Amount of
Derivative Liabilities (d)(f) |
|||||||||||||||
|
Banco Santander SA |
$ | 165,212 | $ | — | $ | — | $ | — | $ | 165,212 | ||||||||||
|
Bank of America NA |
2,390,160 | (2,369,269 | ) | — | (20,891 | ) | — | |||||||||||||
|
Barclays Bank plc |
4,763,675 | (4,763,675 | ) | — | — | — | ||||||||||||||
|
BNP Paribas SA |
4,415,234 | (4,415,234 | ) | — | — | — | ||||||||||||||
|
Citibank NA |
27,436,139 | (6,601,019 | ) | — | (20,000,000 | ) | 835,120 | |||||||||||||
|
Credit Suisse International |
10,375,485 | (4,238,529 | ) | — | (6,136,956 | ) | — | |||||||||||||
|
Deutsche Bank AG |
850,798 | (218,407 | ) | — | (632,391 | ) | — | |||||||||||||
|
Goldman Sachs Bank USA |
713,608 | (713,608 | ) | — | — | — | ||||||||||||||
|
Goldman Sachs International |
13,700,890 | (7,467,017 | ) | — | (1,480,000 | ) | 4,753,873 | |||||||||||||
|
HSBC Bank plc |
1,559,815 | (354,407 | ) | — | — | 1,205,408 | ||||||||||||||
|
JPMorgan Chase Bank NA |
2,880,063 | (2,880,063 | ) | — | — | — | ||||||||||||||
|
Morgan Stanley & Co. International plc |
1,983,493 | (1,130,073 | ) | — | (853,420 | ) | — | |||||||||||||
|
Royal Bank of Canada |
94,548 | — | — | — | 94,548 | |||||||||||||||
|
Standard Chartered Bank |
97,350 | — | — | — | 97,350 | |||||||||||||||
|
State Street Bank and Trust Co. |
108,914 | (105,696 | ) | — | — | 3,218 | ||||||||||||||
|
UBS AG |
542,199 | (370,742 | ) | — | — | 171,457 | ||||||||||||||
|
Westpac Banking Corp. |
503,070 | — | — | — | 503,070 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 72,580,653 | $ | (35,627,739 | ) | $ | — | $ | (29,123,658 | ) | $ | 7,829,256 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
| (b) |
Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
| (c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
| (d) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (e) |
Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| (f) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
| 44 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
|
SCHEDULE OF INVESTMENTS |
45 |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Luxembourg |
$ | — | $ | 3,447,318 | $ | — | $ | 3,447,318 | ||||||||
|
Spain |
2,507,000 | — | — | 2,507,000 | ||||||||||||
|
United Kingdom |
— | 5,269,410 | — | 5,269,410 | ||||||||||||
|
Warrants |
— | 254,369 | 22,042 | 276,411 | ||||||||||||
|
Short-Term Securities: |
||||||||||||||||
|
Borrowed Bond Agreements |
— | 170,118,481 | — | 170,118,481 | ||||||||||||
|
Money Market Funds |
19,476,089 | — | — | 19,476,089 | ||||||||||||
|
Options Purchased: |
||||||||||||||||
|
Credit contracts |
— | 3,226,704 | — | 3,226,704 | ||||||||||||
|
Equity contracts |
13,326,564 | 170,297 | — | 13,496,861 | ||||||||||||
|
Liabilities: |
||||||||||||||||
|
Borrowed Bonds |
— | (175,605,430 | ) | — | (175,605,430 | ) | ||||||||||
|
Investments Sold Short |
— | (1,313,935 | ) | — | (1,313,935 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 44,200,729 | $ | 1,553,053,049 | $ | 101,000,217 | $ | 1,698,253,995 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Derivative Financial Instruments (a) |
||||||||||||||||
|
Assets: |
||||||||||||||||
|
Credit contracts |
$ | — | $ | 12,657,539 | $ | — | $ | 12,657,539 | ||||||||
|
Equity contracts |
— | 26,409 | — | 26,409 | ||||||||||||
|
Foreign currency exchange contracts |
— | 711,945 | — | 711,945 | ||||||||||||
|
Liabilities: |
||||||||||||||||
|
Credit contracts |
— | (20,092,357 | ) | — | (20,092,357 | ) | ||||||||||
|
Equity contracts |
(5,608,657 | ) | (1,249,871 | ) | — | (6,858,528 | ) | |||||||||
|
Foreign currency exchange contracts |
— | (27,346,282 | ) | — | (27,346,282 | ) | ||||||||||
|
Interest rate contracts |
(1,597,058 | ) | (3,627,539 | ) | — | (5,224,597 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (7,205,715 | ) | $ | (38,920,156 | ) | $ | — | $ | (46,125,871 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, Reverse Repurchase Agreements of $50,232,376 are categorized as Level 2 within the disclosure hierarchy.
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
Asset-
Backed Securities |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Warrants | Total | |||||||||||||||||||
|
Investments: |
||||||||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Opening balance, as of July 31, 2019 |
$ | 4,414,952 | $ | 295,357 | $ | 47,640,619 | $ | 59,376,916 | $ | — | $ | 111,727,844 | ||||||||||||
|
Transfers into level 3 (a) |
— | — | 40,000,000 | 127,967 | — | 40,127,967 | ||||||||||||||||||
|
Transfers out of level 3 |
— | (273,315) | — | (2,701,531) | — | (2,974,846) | ||||||||||||||||||
|
Other (b) |
— | (22,042) | — | — | 22,042 | — | ||||||||||||||||||
|
Accrued discounts/premiums |
— | — | (1,633) | 34,970 | — | 33,337 | ||||||||||||||||||
|
Net realized loss |
— | — | — | (355,440) | — | (355,440) | ||||||||||||||||||
|
Net change in unrealized appreciation (depreciation) (c)(d) |
(21,964) | 139,570 | (15,347,236) | (1,030,837) | — | (16,260,467) | ||||||||||||||||||
|
Purchases |
— | 145,743 | 18,362,640 | 5,923,646 | — | 24,432,029 | ||||||||||||||||||
|
Sales |
(4,392,988) | — | (9,207,485) | (42,129,734) | — | (55,730,207) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Closing balance, as of July 31, 2020 |
$ | — | $ | 285,313 | $ | 81,446,905 | $ | 19,245,957 | $ | 22,042 | $ | 101,000,217 | ||||||||||||
|
|
|
|||||||||||||||||||||||
|
Net change in unrealized appreciation (depreciation) on investments still held at July 31, 2020 (d) |
$ | — | $ | 139,570 | $ | (15,289,789) | $ | (1,036,704) | $ | — | $ | (16,186,923) | ||||||||||||
|
|
|
|||||||||||||||||||||||
| (a) |
As of July 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of July 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
| (b) |
Certain Level 3 investments were re-classified between Common Stocks and Warrants. |
| (c) |
Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. |
| (d) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at July 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
| 46 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) July 31, 2020 |
BlackRock Global Long/Short Credit Fund |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $19,549,133. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.
| Value |
Valuation
Approach |
Unobservable Inputs |
Range of
Unobservable Inputs Utilized (a) |
Weighted
Average of Unobservable Inputs Based on Fair Value |
||||||||||||||
|
Corporate Bonds |
$ | 81,446,905 | Income | Discount Rate | 10% — 17% | 14% | ||||||||||||
| Estimated Recovery | — | — | ||||||||||||||||
|
Floating Rate Loan Interests |
4,179 | Market | Value | |||||||||||||||
|
|
|
|||||||||||||||||
| $ | 81,451,084 | |||||||||||||||||
|
|
|
|||||||||||||||||
| (a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
See notes to financial statements.
|
SCHEDULE OF INVESTMENTS |
47 |
Statement of Assets and Liabilities
July 31, 2020
|
BlackRock
Fund |
||||
|
ASSETS |
||||
|
Investments at value — unaffiliated (cost — $1,915,282,061) |
$ | 1,852,855,321 | ||
|
Investments at value — affiliated (cost — $22,278,361) |
22,318,039 | |||
|
Cash pledged: |
||||
|
Collateral — borrowed bond agreements |
7,578,151 | |||
|
Collateral — OTC derivatives |
58,640,000 | |||
|
Futures contracts |
2,342,880 | |||
|
Centrally cleared swaps |
6,782,710 | |||
|
Foreign currency at value (cost — $56,647,334) |
57,351,056 | |||
|
Receivables: |
||||
|
Investments sold |
77,679,255 | |||
|
Swaps |
270,927 | |||
|
Capital shares sold |
6,111,098 | |||
|
Dividends — affiliated |
3,658 | |||
|
Interest — unaffiliated |
19,627,939 | |||
|
Variation margin on futures contracts |
135,853 | |||
|
Swap premiums paid |
29,775,753 | |||
|
Unrealized appreciation on: |
||||
|
Forward foreign currency exchange contracts |
711,945 | |||
|
OTC swaps |
12,437,274 | |||
|
Prepaid expenses |
81,504 | |||
|
|
|
|||
|
Total assets |
2,154,703,363 | |||
|
|
|
|||
|
LIABILITIES |
||||
|
Investments sold short at value (proceeds $1,311,650) |
1,313,935 | |||
|
Bank overdraft |
27,514,010 | |||
|
Cash received: |
||||
|
Collateral — borrowed bond agreements |
77,000 | |||
|
Collateral — OTC derivatives |
10,530,000 | |||
|
Borrowed bonds at value (proceeds $166,493,071) |
175,605,430 | |||
|
Options written at value (premium received $7,841,098) |
7,425,807 | |||
|
Reverse repurchase agreements at value |
50,232,376 | |||
|
Payables: |
||||
|
Investments purchased |
45,286,985 | |||
|
Administration fees |
81,546 | |||
|
Capital shares redeemed |
7,316,396 | |||
|
Interest expense |
1,999,041 | |||
|
Investment advisory fees |
1,383,135 | |||
|
Trustees’ and Officer’s fees |
15,002 | |||
|
Other affiliate fees |
6,619 | |||
|
Service and distribution fees |
89,830 | |||
|
Variation margin on futures contracts |
83,503 | |||
|
Variation margin on centrally cleared swaps |
128,622 | |||
|
Other accrued expenses |
1,516,935 | |||
|
Swap premiums received |
25,463,195 | |||
|
Unrealized depreciation on: |
||||
|
Forward foreign currency exchange contracts |
27,346,282 | |||
|
OTC swaps |
17,822,347 | |||
|
|
|
|||
|
Total liabilities |
401,237,996 | |||
|
|
|
|||
|
NET ASSETS |
$ | 1,753,465,367 | ||
|
|
|
|||
|
NET ASSETS CONSIST OF |
||||
|
Paid-in capital |
$ | 2,247,454,668 | ||
|
Accumulated loss |
(493,989,301) | |||
|
|
|
|||
|
NET ASSETS |
$ | 1,753,465,367 | ||
|
|
|
|||
| 48 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Statement of Assets and Liabilities (continued)
July 31, 2020
|
BlackRock
Global Long/
|
||||
|
NET ASSET VALUE |
||||
|
Institutional — Based on net assets of $1,223,281,904 and 125,048,371 shares outstanding, unlimited number of shares authorized, $0.001 par value |
$ | 9.78 | ||
|
|
|
|||
|
Investor A — Based on net assets of $101,727,148 and 10,419,244 shares outstanding, unlimited number of shares authorized, $0.001 par value |
$ | 9.76 | ||
|
|
|
|||
|
Investor C — Based on net assets of $29,291,488 and 3,058,882 shares outstanding, unlimited number of shares authorized, $0.001 par value |
$ | 9.58 | ||
|
|
|
|||
|
Class K — Based on net assets of $399,164,827 and 40,770,340 shares outstanding, unlimited number of shares authorized, $0.001 par value |
$ | 9.79 | ||
|
|
|
|||
See notes to financial statements.
|
FINANCIAL STATEMENTS |
49 |
Year Ended July 31, 2020
|
BlackRock
Global Long/ Short Credit Fund |
||||
|
INVESTMENT INCOME |
||||
|
Dividends — affiliated |
$ | 653,818 | ||
|
Dividends — unaffiliated |
744,995 | |||
|
Interest — unaffiliated |
117,374,486 | |||
|
Foreign taxes withheld |
(15,978) | |||
|
|
|
|||
|
Total investment income |
118,757,321 | |||
|
|
|
|||
|
EXPENSES |
||||
|
Investment advisory |
19,494,239 | |||
|
Transfer agent — class specific |
1,354,222 | |||
|
Administration |
828,632 | |||
|
Service and distribution — class specific |
793,181 | |||
|
Accounting services |
419,132 | |||
|
Administration — class specific |
318,427 | |||
|
Professional |
277,755 | |||
|
Registration |
277,203 | |||
|
Custodian |
236,374 | |||
|
Printing and postage |
42,785 | |||
|
Trustees and Officer |
17,075 | |||
|
Miscellaneous |
232,042 | |||
|
|
|
|||
|
Total expenses excluding dividend expense, and interest expense |
24,291,067 | |||
|
Dividends expense — unaffiliated |
15,067 | |||
|
Interest expense |
15,338,453 | |||
|
|
|
|||
|
Total expenses |
39,644,587 | |||
|
Less: |
||||
|
Administration fees waived — class specific |
(257) | |||
|
Fees waived and/or reimbursed by the Manager |
(69,800) | |||
|
|
|
|||
|
Total expenses after fees waived and/or reimbursed |
39,574,530 | |||
|
|
|
|||
|
Net investment income |
79,182,791 | |||
|
|
|
|||
|
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
|
Net realized gain (loss) from: |
||||
|
Investments — affiliated |
203,939 | |||
|
Investments — unaffiliated |
54,772,753 | |||
|
Borrowed bonds |
81,242 | |||
|
Capital gain distributions from underlying funds — affiliated |
30 | |||
|
Forward foreign currency exchange contracts |
29,494,615 | |||
|
Foreign currency transactions |
(5,446,397) | |||
|
Futures contracts |
(22,846,017) | |||
|
Options written |
(56,056,286) | |||
|
Payment by affiliate |
6,646 | |||
|
Short sales — affiliated |
113,840 | |||
|
Short sales — unaffiliated |
(1,999,532) | |||
|
Swaps |
(3,669,878) | |||
|
|
|
|||
| (5,345,045) | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments — affiliated |
39,678 | |||
|
Investments — unaffiliated |
(13,826,848) | |||
|
Borrowed bonds |
(20,525) | |||
|
Forward foreign currency exchange contracts |
(50,141,711) | |||
|
Foreign currency translations |
1,972,704 | |||
|
Futures contracts |
491,480 | |||
|
Options written |
(520,695) | |||
|
Short sales — unaffiliated |
(3,285) | |||
|
Swaps |
1,943,665 | |||
|
Unfunded floating rate loan interests |
(609) | |||
|
|
|
|||
| (60,066,146) | ||||
|
|
|
|||
|
Net realized and unrealized loss |
(65,411,191) | |||
|
|
|
|||
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 13,771,600 | ||
|
|
|
|||
See notes to financial statements.
| 50 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
FINANCIAL STATEMENTS |
51 |
(For a share outstanding throughout each period)
| BlackRock Global Long/Short Credit Fund | ||||||||||||||||||||
| Institutional | ||||||||||||||||||||
| Year Ended July 31, | ||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Net asset value, beginning of year |
$ | 10.05 | $ | 10.36 | $ | 10.36 | $ | 9.91 | $ | 10.51 | ||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income(a) |
0.37 | 0.37 | 0.33 | 0.30 | 0.27 | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.27) | (0.10) | (0.21) | 0.15 | (0.37) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net increase (decrease) from investment operations |
0.10 | 0.27 | 0.12 | 0.45 | (0.10) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Distributions from net investment income(b) |
(0.37) | (0.58) | (0.12) | — | (0.50) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net asset value, end of year |
$ | 9.78 | $ | 10.05 | $ | 10.36 | $ | 10.36 | $ | 9.91 | ||||||||||
|
|
|
|||||||||||||||||||
|
Total Return(c) |
||||||||||||||||||||
|
Based on net asset value |
0.96% | (d) | 2.83% | (d) | 1.16% | (d) | 4.54% | (0.92)% | ||||||||||||
|
|
|
|||||||||||||||||||
|
Ratios to Average Net Assets(e) |
||||||||||||||||||||
|
Total expenses |
1.85% | 2.03% | 2.00% | 1.86% | 2.08% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed |
1.85% | 2.01% | 1.98% | 1.86% | 2.07% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense, broker fees and expenses on short sales |
1.12% | 1.07% | 1.05% | 1.08% | 1.09% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income |
3.74% | 3.67% | 3.21% | 2.91% | 2.69% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of year (000) |
$ | 1,223,282 | $ | 1,747,346 | $ | 2,305,172 | $ | 3,640,459 | $ | 3,378,151 | ||||||||||
|
|
|
|||||||||||||||||||
|
Portfolio turnover rate |
232% | 226% | 185% | 229% | 253% | |||||||||||||||
|
|
|
|||||||||||||||||||
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (d) |
Includes payment received from an affiliate, which had no impact on the Fund’s total return. |
| (e) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| Year Ended July 31, | ||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Investments in underlying funds |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
|
|
|
|||||||||||||||||||
See notes to financial statements.
| 52 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Global Long/Short Credit Fund | ||||||||||||||||||||
| Investor A | ||||||||||||||||||||
| Year Ended July 31, | ||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Net asset value, beginning of year |
$ | 10.03 | $ | 10.33 | $ | 10.31 | $ | 9.88 | $ | 10.48 | ||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income(a) |
0.34 | 0.34 | 0.31 | 0.26 | 0.24 | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.27) | (0.10) | (0.23) | 0.17 | (0.36) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net increase (decrease) from investment operations |
0.07 | 0.24 | 0.08 | 0.43 | (0.12) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Distributions from net investment income(b) |
(0.34) | (0.54) | (0.06) | — | (0.48) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net asset value, end of year |
$ | 9.76 | $ | 10.03 | $ | 10.33 | $ | 10.31 | $ | 9.88 | ||||||||||
|
|
|
|||||||||||||||||||
|
Total Return(c) |
||||||||||||||||||||
|
Based on net asset value |
0.69% | (d) | 2.60% | (d) | 0.81% | (d) | 4.35% | (1.15)% | ||||||||||||
|
|
|
|||||||||||||||||||
|
Ratios to Average Net Assets(e) |
||||||||||||||||||||
|
Total expenses |
2.10% | 2.29% | (f) | 2.25% | 2.13% | 2.29% | ||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed |
2.10% | 2.27% | 2.24% | 2.12% | 2.29% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense, broker fees and expenses on short sales |
1.37% | 1.33% | 1.31% | 1.35% | 1.34% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income |
3.49% | 3.43% | 2.99% | 2.63% | 2.41% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of year (000) |
$ | 101,727 | $ | 117,093 | $ | 168,471 | $ | 228,373 | $ | 422,079 | ||||||||||
|
|
|
|||||||||||||||||||
|
Portfolio turnover rate |
232% | 226% | 185% | 229% | 253% | |||||||||||||||
|
|
|
|||||||||||||||||||
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (d) |
Includes payment received from an affiliate, which had no impact on the Fund’s total return. |
| (e) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
|
Year Ended July 31, |
||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Investments in underlying funds |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
| (f) |
Includes recoupment of past waived and/or reimbursed fees. Excluding the recoupment of past waived and/or reimbursed fees for the year ended July 31, 2019, the expense ratio would have been 2.28%. |
See notes to financial statements.
|
FINANCIAL HIGHLIGHTS |
53 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Global Long/Short Credit Fund | ||||||||||||||||||||
| Investor C | ||||||||||||||||||||
| Year Ended July 31, | ||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Net asset value, beginning of year |
$ | 9.82 | $ | 10.12 | $ | 10.10 | $ | 9.76 | $ | 10.38 | ||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income(a) |
0.27 | 0.26 | 0.23 | 0.19 | 0.17 | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.26) | (0.10) | (0.21) | 0.15 | (0.36) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net increase (decrease) from investment operations |
0.01 | 0.16 | 0.02 | 0.34 | (0.19) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Distributions from net investment income(b) |
(0.25) | (0.46) | — | — | (0.43) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net asset value, end of year |
$ | 9.58 | $ | 9.82 | $ | 10.12 | $ | 10.10 | $ | 9.76 | ||||||||||
|
|
|
|||||||||||||||||||
|
Total Return(c) |
||||||||||||||||||||
|
Based on net asset value |
0.03% | (d) | 1.72%(d) | 0.20%(d) | 3.48% | (1.85)% | ||||||||||||||
|
|
|
|||||||||||||||||||
|
Ratios to Average Net Assets(e) |
||||||||||||||||||||
|
Total expenses |
2.86% | 3.05%(f) | 3.02% | 2.87% | 3.06% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed |
2.86% | 3.03% | 3.01% | 2.87% | 3.06% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense, broker fees and expenses on short sales |
2.13% | 2.09% | 2.08% | 2.10% | 2.09% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income |
2.75% | 2.65% | 2.25% | 1.88% | 1.69% | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of year (000) |
$ | 29,291 | $ | 68,930 | $ | 100,645 | $ | 132,965 | $ | 215,364 | ||||||||||
|
|
|
|||||||||||||||||||
|
Portfolio turnover rate |
232% | 226% | 185% | 229% | 253% | |||||||||||||||
|
|
|
|||||||||||||||||||
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (d) |
Includes payment received from an affiliate, which had no impact on the Fund’s total return. |
| (e) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
|
Year Ended July 31, |
||||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
|
Investments in underlying funds |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
| (f) |
Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratios. |
See notes to financial statements.
| 54 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Global Long/Short Credit Fund | ||||||||||||||||||||
| Class K | ||||||||||||||||||||
| Year Ended July 31, |
Period from 03/28/16 (a) to 07/31/16 |
|||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | |||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.06 | $ | 10.37 | $ | 10.37 | $ | 9.92 | $ | 9.70 | ||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income(b) |
0.38 | 0.38 | 0.35 | 0.30 | 0.11 | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.27) | (0.11) | (0.21) | 0.15 | 0.11 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net increase from investment operations |
0.11 | 0.27 | 0.14 | 0.45 | 0.22 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Distributions from net investment income(c) |
(0.38) | (0.58) | (0.14) | — | — | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net asset value, end of period |
$ | 9.79 | $ | 10.06 | $ | 10.37 | $ | 10.37 | $ | 9.92 | ||||||||||
|
|
|
|||||||||||||||||||
|
Total Return(d) |
||||||||||||||||||||
|
Based on net asset value |
1.04%(e) | 2.91%(e) | 1.34%(e) | 4.54% | 2.27%(f) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Ratios to Average Net Assets(g) |
||||||||||||||||||||
|
Total expenses |
1.77% | 1.96% | 1.94% | 1.79% | 2.14%(h) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed |
1.76% | 1.94% | 1.93% | 1.79% | 2.14%(h) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Total expenses after fees waived and/or reimbursed and excluding dividend expense, interest expense, broker fees and expenses on short sales |
1.04% | 1.00% | 0.99% | 1.02% | 1.01%(h) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Net investment income |
3.85% | 3.75% | 3.33% | 2.97% | 3.35%(h) | |||||||||||||||
|
|
|
|||||||||||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of period (000) |
$ | 399,165 | $ | 1,104,061 | $ | 1,323,371 | $ | 30,093 | $ | 27,712 | ||||||||||
|
|
|
|||||||||||||||||||
|
Portfolio turnover rate |
232% | 226% | 185% | 229% | 253%(i) | |||||||||||||||
|
|
|
|||||||||||||||||||
| (a) |
Commencement of operations. |
| (b) |
Based on average shares outstanding. |
| (c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Includes payment received from an affiliate, which had no impact on the Fund’s total return. |
| (f) |
Aggregate total return. |
| (g) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| Year Ended July 31, |
Period from 03/28/16 (a) to 07/31/16 |
|||||||||||||||||||
| 2020 | 2019 | 2018 | 2017 | |||||||||||||||||
|
Investments in underlying funds |
0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||
| (h) |
Annualized. |
| (i) |
Portfolio turnover rate is representative of the Fund for the entire year. |
See notes to financial statements.
|
FINANCIAL HIGHLIGHTS |
55 |
| 1. |
ORGANIZATION |
BlackRock Funds IV (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Massachusetts business trust. BlackRock Global Long/Short Credit Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with an initial sales charge, and 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. Investor C Shares may be subject to a 1.00% CDSC if redeemed within one year of purchase. Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Investor C Shares automatically convert to Investor A Shares after approximately ten years. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Shares distribution and service plan).
| Share Class | Initial Sales Charge | CDSC | Conversion Privilege | |||||
|
Institutional and Class K Shares |
No | No | None | |||||
|
Investor A Shares |
Yes | No | (a) | None | ||||
| To Investor A Shares after | ||||||||
|
Investor C Shares |
No | Yes | (b) | approximately 10 years | ||||
| (a) |
Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase. |
| (b) |
A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase. |
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
| 2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: The Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions from net investment income are declared and paid at least annually Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Trustees of the Trust (the “Board”), the trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected
| 56 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Fund, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statement of Assets and Liabilities and will remain as a liability of the Fund until such amounts are distributed in accordance with the Plan.
Recent Accounting Standards: The Fund has adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Fund has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning with the fiscal period ended July 31, 2020. The adjusted cost basis of securities at July 31, 2019 is $3,055,433,497.
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value (“NAV”) of the Fund.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
| 3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
| • |
Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
| • |
Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices 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), 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. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Fund’s net assets. Each business day, the Fund uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
| • |
Investments in open-end U.S. mutual funds are valued at NAV each business day. |
| • |
Futures contracts are valued based on that day’s last reported settlement price on the exchange where the contract is traded. |
| • |
Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
| • |
Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and |
|
NOTES TO FINANCIAL STATEMENTS |
57 |
Notes to Financial Statements (continued)
prices of the underlying instruments.
| • |
Swap agreements are valued utilizing quotes received daily by the Fund’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By 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. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM 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 as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
| • |
Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
| • |
Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| • |
Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 58 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| 4. |
SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
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.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
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.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more
|
NOTES TO FINANCIAL STATEMENTS |
59 |
Notes to Financial Statements (continued)
risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statement of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statement of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the year ended July 31, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Fund were $40,145,203 and 2.09%, respectively.
Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/ or posted to the counterparty and create one single net payment due to or from a fund. With borrowed bond agreements and reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
| 60 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
As of period end, the following table is a summary of the Fund’s open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an Master Repurchase Agreements (an “MRA”) on a net basis:
| Counterparty |
Borrowed
Bond Agreements (a) |
Reverse
Agreements |
Borrowed
Bond at Value including Accrued Interest (b) |
Exposure Due
(to) / from Counterparty before Collateral |
Non-cash
Collateral Received |
Cash
Collateral Received |
Fair Value
of
Non-cash Collateral Pledged Including Accrued Interest (c) |
Cash
Collateral Pledged |
Net
Collateral (Received) / Pledged |
Net Exposure Due (to) /from Counterparty (d) |
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|
Barclays Bank plc |
$ | 32,878,874 | $ | (23,008,446 | ) | $ | (36,171,845 | ) | $ | (26,301,417 | ) | $ | — | $ | — | $ | 26,301,417 | $ | — | $ | 26,301,417 | $ | — | |||||||||||||||||
|
Barclays Capital, Inc. |
802,500 | — | (797,280 | ) | 5,220 | — | — | — | — | — | 5,220 | |||||||||||||||||||||||||||||
|
BNP Paribas SA |
20,512,037 | (27,223,930 | ) | (21,162,933 | ) | (27,874,826 | ) | — | — | 27,874,826 | — | 27,874,826 | — | |||||||||||||||||||||||||||
|
Citigroup Global Markets, |
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|
Inc. |
21,540,813 | — | (23,486,970 | ) | (1,946,157 | ) | — | — | 279,357 | 1,509,851 | 1,789,208 | (156,949 | ) | |||||||||||||||||||||||||||
|
Citigroup Global Markets |
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|
Ltd. |
11,917,444 | — | (12,068,111 | ) | (150,667 | ) | — | — | — | — | — | (150,667 | ) | |||||||||||||||||||||||||||
|
Credit Suisse Securities |
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|
USA LLC |
6,337,781 | — | (7,176,695 | ) | (838,914 | ) | — | — | — | 808,000 | 808,000 | (30,914 | ) | |||||||||||||||||||||||||||
|
Goldman Sachs |
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|
International |
5,562,762 | — | (5,531,693 | ) | 31,069 | — | (31,069 | ) | — | — | (31,069 | ) | — | |||||||||||||||||||||||||||
|
JPMorgan Securities plc |
25,570,197 | — | (25,464,424 | ) | 105,773 | — | — | — | — | — | 105,773 | |||||||||||||||||||||||||||||
|
Merrill Lynch International |
4,397,700 | — | (4,547,688 | ) | (149,988 | ) | — | — | — | — | — | (149,988 | ) | |||||||||||||||||||||||||||
|
RBC Capital Markets LLC |
37,407,400 | — | (37,944,203 | ) | (536,803 | ) | — | — | — | 536,803 | 536,803 | — | (e) | |||||||||||||||||||||||||||
|
RBC Europe Ltd |
3,190,973 | — | (3,252,630 | ) | (61,657 | ) | — | — | — | — | — | (61,657 | ) | |||||||||||||||||||||||||||
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| $ | 170,118,481 | $ | (50,232,376 | ) | $ | (177,604,472 | ) | $ | (57,718,367 | ) | $ | — | $ | (31,069 | ) | $ | 54,455,600 | $ | 2,854,654 | $ | 57,279,185 | $ | (439,182 | ) | ||||||||||||||||
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| (a) |
Included in Investments at value-unaffiliated in the Statement of Assets and Liabilities. |
| (b) |
Includes accrued interest on borrowed bonds in the amount of $1,999,041 which is included in interest expense payable in the Statement of Assets and Liabilities. |
| (c) |
Net collateral, including accrued interest, with a value of $57,020,261 has been pledged in connection with open reverse repurchase agreements. |
| (d) |
Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
| (e) |
Borrowed bond agreement with a value of $1,706,250 has been purchased and is pending settlement as of July 31, 2020. |
Short Sale Transactions (Borrowed Bonds): In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statement of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
Short Sale Transactions: In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short from a broker/counterparty and deliver the security to the purchaser. To close out a short position, a fund delivers the same security to the broker and records a liability to reflect the obligation to return the security to the broker. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund maintains a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. Cash deposited with the broker is recorded as an asset in the Statement of Assets and Liabilities. Securities segregated as collateral are denoted in the Schedule of Investments. A fund may pay a financing fee for the difference between the market value of the short position and the cash collateral deposited with the broker which would be recorded as interest expense. A fund is required to repay the counterparty any dividends received on the security sold short, which, if applicable, is shown as dividend expense in the Statement of Operations. A fund may pay a fee on the assets borrowed from the counterparty, which, if applicable, is shown as broker fees and expenses on short sales in the Statement of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
| 5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
|
NOTES TO FINANCIAL STATEMENTS |
61 |
Notes to Financial Statements (continued)
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the 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 Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the 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, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities.
Options: The Fund purchases and writes call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Fund writes a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statement of Assets and Liabilities.
| • |
Swaptions – The Fund purchases and writes options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that it may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the 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 Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the 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
| 62 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and 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, including at termination, are recorded as realized gains (losses) in the Statement of Operations.
| • |
Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| • |
Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Fund receives payment from or makes a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
| • |
Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk 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 Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent
|
NOTES TO FINANCIAL STATEMENTS |
63 |
Notes to Financial Statements (continued)
default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it bears the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
| 6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Trust, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| Average Daily Net Assets |
Investment
Advisory Fees |
|||
|
First $1 Billion |
0.95 | % | ||
|
$1 Billion — $3 Billion |
0.89 | |||
|
$3 Billion — $5 Billion |
0.86 | |||
|
$5 Billion — $6.5 Billion |
0.83 | |||
|
$6.5 Billion — $10 Billion |
0.80 | |||
|
Greater than $10 Billion |
0.76 | |||
The Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BRS, for services they provide for that portion of the Fund for which BIL and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.
Service and Distribution Fees: The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| Service Fees | Distribution Fees | |||||||
|
Investor A |
0.25% | —% | ||||||
|
Investor C |
0.25 | 0.75 | ||||||
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
For the year ended July 31, 2020, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:
|
Service and Distribution Fees |
||||
|
Investor A |
$ | 251,705 | ||
|
Investor C |
541,476 | |||
| $ | 793,181 | |||
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with the Manager, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services. For these services, the Manager receives an administration fee computed daily and payable monthly, based on a percentage of the average daily net assets of the Fund. The administration fee, which is shown as administration in the Statement of Operations, is paid at the annual rates below.
| Average Daily Net Assets | Administration Fees | |||
|
First $500 Million |
0.0425 | % | ||
|
$500 Million — $1 Billion |
0.0400 | |||
|
$1 Billion — $2 Billion |
0.0375 | |||
|
$2 Billion — $4 Billion |
0.0350 | |||
|
$4 Billion — $13 Billion |
0.0325 | |||
|
Greater than $13 Billion |
0.0300 | |||
In addition, the Manager charges each of the share classes an administration fee, which is shown as administration — class specific in the Statement of Operation, at an annual rate of 0.015% of the average daily net assets of each respective class.
| 64 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
For the year ended July 31, 2020, the Fund paid the following to the Manager in return for these services, which are included in administration — class specific in the Statement of Operations:
| Institutional | $216,537 | |||
|
Investor A |
15,082 | |||
|
Investor C |
8,111 | |||
|
Class K |
78,697 | |||
| $ | 318,427 | |||
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended July 31, 2020, the Fund did not pay any amounts to affiliates in return for these services.
| Institutional | $651 |
The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the year ended July 31, 2020, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:
| Institutional | $ 114 | |||
|
Class K |
913 | |||
| $ | 1,027 | |||
For the year ended July 31, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| Institutional | $1,210,910 | |||
|
Investor A |
83,142 | |||
|
Investor C |
49,784 | |||
|
Class K |
10,386 | |||
| $ | 1,354,222 | |||
Other Fees: For the year ended July 31, 2020, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $1,819.
For the year ended July 31, 2020, affiliates received CDSCs as follows:
| Investor A | $4,289 | |||
|
Investor C |
2,273 | |||
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through November 30, 2020. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. 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. Prior to November 27, 2019, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended July 31, 2020, the amount waived was $63,215.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through November 30, 2020. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in fees waived and/ or reimbursed by the Manager in the Statement of Operations. For the year ended July 31, 2020, the Manager waived $6,585 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 Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| Institutional | 1.20% | |||
|
Investor A |
1.40 | |||
|
Investor C |
2.15 | |||
|
Class K |
1.15 | |||
|
NOTES TO FINANCIAL STATEMENTS |
65 |
Notes to Financial Statements (continued)
The Manager has agreed not to reduce or discontinue these contractual expense limitations through November 30, 2020, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended July 31, 2020, there were no fees waived and/or reimbursed by the Manager.
These amounts waived and/or reimbursed are included in administration fees waived — class specific in the Statement of Operations. For the year ended July 31, 2020, class specific expense waivers and/or reimbursements are as follows:
|
Administration Fees
Waived |
||||
|
Investor A |
$ | 163 | ||
|
Investor C |
94 | |||
| $ | 257 | |||
With respect to the contractual expense limitation, if during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
| (1) |
The Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and |
| (2) |
The Manager or an affiliate continues to serve as the 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 December 1, 2019, the repayment arrangement between the Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under the Fund’s contractual caps on net expenses was terminated.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the year ended July 31, 2020, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in Trustees and Officer in the Statement of Operations.
Other Transactions: During the year ended July 31, 2020, the Fund received a reimbursement of $6,646 from an affiliate, which is included in payment by affiliate in the Statement of Operations, related to an operating event.
The Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended July 31, 2020, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
|
Purchases |
$ | 13,776,102 | ||
|
Sales |
22,239,214 | |||
|
Net Realized Gain |
597,114 |
| 7. |
PURCHASES AND SALES |
For the year ended July 31, 2020, purchases and sales of investments, including paydowns, and excluding short-term securities, were as follows:
| Purchases | Sales | |||||||
|
Non-U.S. Government Securities |
$ | 4,545,429,707 | $ | 5,440,031,432 | ||||
|
U.S. Government Securities |
302,913,479 | 369,286,992 | ||||||
| 8. |
INCOME TAX INFORMATION |
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
| 66 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2020. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of July 31, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
The tax character of distributions paid was as follows:
| 07/31/20 | 07/31/19 | |||||||
|
Ordinary income |
$ | 82,000,050 | $ | 200,000,118 | ||||
As of period end, the tax components of accumulated earnings (loss) were as follows:
|
Undistributed ordinary income |
$ | 35,087,474 | ||
|
Non-expiring capital loss carryforwards (a) |
(403,744,692) | |||
|
Net unrealized losses (b) |
(125,332,083) | |||
|
|
|
|||
| $ | (493,989,301) | |||
|
|
|
| (a) |
Amounts available to offset future realized capital gains. |
| (b) |
The difference between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures, options and foreign currency contracts, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the classification of investments, dividends recognized for tax purposes and the accounting for swap agreements. |
As of July 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
Tax cost |
$ | 1,952,040,662 | ||
|
|
|
|||
|
Gross unrealized appreciation |
$ | 94,810,654 | ||
|
Gross unrealized depreciation |
(192,147,327 | ) | ||
|
|
|
|||
|
Net unrealized appreciation (depreciation) |
$ | (97,336,673 | ) | |
|
|
|
| 9. |
BANK BORROWINGS |
The Trust, on behalf of the Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2021 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended July 31, 2020, the Fund did not borrow under the credit agreement.
| 10. |
PRINCIPAL RISKS |
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
|
NOTES TO FINANCIAL STATEMENTS |
67 |
Notes to Financial Statements (continued)
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the 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 the 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 the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The 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.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund.
For OTC options purchased, the Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. The Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
Concentration Risk: The Fund invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
The Fund invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Fund concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on its investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.
The Fund invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Fund’s investments.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Fund may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Fund is uncertain.
| 68 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| 11. |
CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
|
Year Ended
07/31/20 |
Year Ended
07/31/19 |
|||||||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||||||
|
Institutional |
||||||||||||||||||||
|
Shares sold |
37,242,261 | $ | 364,920,209 | 48,991,655 | $ | 487,797,446 | ||||||||||||||
|
Shares issued in reinvestment of distributions |
4,364,363 | 43,294,485 | 9,415,832 | 90,297,831 | ||||||||||||||||
|
Shares redeemed |
(90,408,343 | ) | (883,285,188 | ) | (107,040,864 | ) | (1,068,527,141 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
|
Net decrease |
(48,801,719 | ) | $ | (475,070,494 | ) | (48,633,377 | ) | $ | (490,431,864 | ) | ||||||||||
|
|
|
|||||||||||||||||||
|
Investor A |
||||||||||||||||||||
|
Shares sold and automatic conversion of shares |
3,845,781 | $ | 37,756,275 | 2,023,087 | $ | 20,240,257 | ||||||||||||||
|
Shares issued in reinvestment of distributions |
337,860 | 3,351,574 | 723,582 | 6,939,151 | ||||||||||||||||
|
Shares redeemed |
(5,438,906 | ) | (53,440,400 | ) | (7,375,676 | ) | (73,363,833 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
|
Net decrease |
(1,255,265 | ) | $ | (12,332,551 | ) | (4,629,007 | ) | $ | (46,184,425 | ) | ||||||||||
|
|
|
|||||||||||||||||||
|
Investor C |
||||||||||||||||||||
|
Shares sold |
148,852 | $ | 1,461,364 | 305,154 | $ | 3,008,094 | ||||||||||||||
|
Shares issued in reinvestment of distributions |
132,496 | 1,294,486 | 380,544 | 3,588,532 | ||||||||||||||||
|
Shares redeemed and automatic conversion of shares |
(4,240,321 | ) | (40,869,430 | ) | (3,617,837 | ) | (35,433,484 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
|
Net decrease |
(3,958,973 | ) | $ | (38,113,580 | ) | (2,932,139 | ) | $ | (28,836,858 | ) | ||||||||||
|
|
|
|||||||||||||||||||
|
Class K |
||||||||||||||||||||
|
Shares sold |
7,407,680 | $ | 72,103,260 | 32,772,447 | $ | 330,392,565 | ||||||||||||||
|
Shares issued in reinvestment of distributions |
73,812 | 732,947 | 236,751 | 2,272,811 | ||||||||||||||||
|
Shares redeemed |
(76,472,535 | ) | (763,055,677 | ) | (50,861,196 | ) | (508,506,773 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
|
Net decrease |
(68,991,043 | ) | $ | (690,219,470 | ) | (17,851,998 | ) | $ | (175,841,397 | ) | ||||||||||
|
|
|
|||||||||||||||||||
|
Total Net Decrease |
(123,007,000 | ) | $ | (1,215,736,095 | ) | (74,046,521 | ) | $ | (741,294,544 | ) | ||||||||||
|
|
|
|||||||||||||||||||
| 12. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Fund 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.
|
NOTES TO FINANCIAL STATEMENTS |
69 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
BlackRock Funds IV and Shareholders of BlackRock Global Long/Short Credit Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Global Long/Short Credit Fund (one of the funds constituting BlackRock Funds IV referred to hereafter as the “Fund”) as of July 31, 2020, the related statement of operations for the year ended July 31, 2020, the statements of changes in net assets for each of the two years in the period ended July 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2020 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
September 22, 2020
We have served as the auditor of one or more BlackRock investment companies since 2000.
| 70 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Important Tax Information (unaudited)
For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended July 31, 2020 that qualified for the dividends-received deduction were as follows:
| Fund |
Dividends-Received Deduction |
|
|
BlackRock Global Long/Short Credit Fund |
2.55% |
The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended July 31, 2020:
| Fund | Qualified Dividend Income | |
|
BlackRock Global Long/Short Credit Fund |
$ 12,230,989 |
For the fiscal year ended July 31, 2020, the Fund hereby designates the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:
| Fund | Interest-Related Dividends | |
|
BlackRock Global Long/Short Credit Fund |
$ 30,652,932 |
The Fund hereby designates the following amount of distributions from direct federal obligation interest for the fiscal year ended July 31, 2020:
| Fund | Federal Obligation Interest | |
|
BlackRock Global Long/Short Credit Fund |
$ 1,216,937 |
The law varies in each state as to whether and what percent of ordinary income dividends attribute 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.
|
IMPORTANT TAX INFORMATION |
71 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Funds IV (the “Trust”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BlackRock Global Long/Short Credit Fund (the “Fund”), and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. The Board also considered the approval of the sub-advisory agreements (the “Sub-Advisory Agreements”) between (1) the Manager and BlackRock International Limited (“BIL”), with respect to the Fund and (2) the Manager and BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”), with respect to the Fund. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreements
Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to the Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) economies of scale; (c) fund expenses and potential fee waivers; and (d) differences in services provided and management fees between open-end funds and other product channels.
| 72 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third-parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2019, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and, in light of the Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome-Oriented Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of the Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board reviewed and considered the Fund’s performance relative to the Fund’s Outcome-Oriented Performance Metrics including a total return target. The Board noted that for the one-, three-, and five-year periods reported, the Fund outperformed, underperformed, and underperformed, respectively, its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its total return target during the applicable periods.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund: The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
|
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS |
73 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board noted that if the size of the Fund were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which the Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of the Fund, for a one-year term ending June 30, 2021, and the Sub-Advisory Agreements between the Manager and the Sub-Advisors, with respect to the Fund, for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
| 74 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information
| Independent Trustees (a) | ||||||||
|
Name Year of Birth (b) |
Position(s) Held
(Length of Service) (c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen |
Public Company and
Other Investment Company Directorships Held During the Past Five Years |
||||
| Richard E. Cavanagh 1946 |
Co-Chair of the Board and Trustee (Since 2019) |
Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | 86 RICs consisting of 110 Portfolios | None | ||||
| Karen P. Robards 1950 |
Co-Chair of the Board and Trustee (Since 2019) |
Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. | 86 RICs consisting of 110 Portfolios | Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017 | ||||
| Michael J. Castellano 1946 |
Trustee (Since 2019) |
Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015. | 86 RICs consisting of 110 Portfolios | None | ||||
|
Cynthia L. Egan
1955 |
Trustee (Since 2019) |
Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | 86 RICs consisting of 110 Portfolios | Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016 | ||||
| Frank J. Fabozzi (d) 1948 |
Trustee (Since 2019) |
Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011. Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year. | 87 RICs consisting of 111 Portfolios | None | ||||
| R. Glenn Hubbard 1958 |
Trustee (Since 2019) |
Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | 86 RICs consisting of 110 Portfolios | ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014 | ||||
| W. Carl Kester (d) 1951 |
Trustee (Since 2019) |
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 87 RICs consisting of 111 Portfolios | None | ||||
| Catherine A. Lynch (d) 1961 |
Trustee (Since 2019) |
Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | 87 RICs consisting of 111 Portfolios | None | ||||
|
TRUSTEE AND OFFICER INFORMATION |
75 |
Trustee and Officer Information (continued)
| Interested Trustees (a)(e) | ||||||||
|
Robert Fairbairn 1965 |
Trustee (Since 2018) |
Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. | 122 RICs consisting of 265 Portfolios | None | ||||
|
John M. Perlowski (d)
1964 |
Trustee (Since 2015); President and Chief Executive Officer (Since 2010) |
Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 123 RICs consisting of 266 Portfolios | None | ||||
| (a) |
The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
| (b) |
Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
| (c) |
Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016. |
| (d) |
Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund. |
| (e) |
Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex. |
| 76 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information (continued)
| Officers Who Are Not Trustees (a) | ||||
|
Name
Year of Birth (b) |
Position(s) Held
(Length of Service) |
Principal Occupation(s) During Past Five Years | ||
| Jennifer McGovern 1977 |
Vice President
(Since 2014) |
Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of American 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. | ||
|
Neal J. Andrews 1966 |
Chief Financial Officer
(Since 2007) |
Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006. | ||
|
Jay M. Fife 1970 |
Treasurer
(Since 2007) |
Managing Director of BlackRock, Inc. since 2007. | ||
|
Charles Park 1967 |
Chief Compliance Officer
(Since 2014) |
Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||
|
Lisa Belle 1968 |
Anti-Money Laundering Compliance Officer
(Since 2019) |
Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. | ||
|
Janey Ahn 1975 |
Secretary
(Since 2019) |
Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. | ||
| (a) |
The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
| (b) |
Officers of the Trust serve at the pleasure of the Board. |
Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisors
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited
079912 Singapore
Accounting Agent
JPMorgan Chase Bank, N.A.
New York, NY 10179
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
JPMorgan Chase Bank, N.A.
New York, NY 10179
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
|
TRUSTEE AND OFFICER INFORMATION |
77 |
General Information
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT are available on the SEC’s website at sec.gov.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.
Availability of Proxy Voting Record
Information about how the Fund voted proxies relating to securities held in the Fund’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) 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.
| 78 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
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.
|
ADDITIONAL INFORMATION |
79 |
Glossary of Terms Used in this Report
| Currency | ||
| CAD | Canadian Dollar | |
| EUR | Euro | |
| GBP | British Pound | |
| HKD | Hong Kong Dollar | |
| JPY | Japanese Yen | |
| USD | United States Dollar | |
| Portfolio Abbreviations | ||
| ADR | American Depositary Receipts | |
| CLO | Collateralized Loan Obligation | |
| DAC | Designated Activity Company | |
| ETF | Exchange-Traded Fund | |
| EURIBOR | Euro Interbank Offered Rate | |
| LIBOR | London Interbank Offered Rate | |
| MSCI | Morgan Stanley Capital International | |
| OTC | Over-the-counter | |
| PCL | Public Company Limited | |
| PIK | Payment-In-Kind | |
| S&P | Standard & Poor’s | |
| SCA | Svenska Cellulosa Aktiebolaget | |
| SPDR | Standard & Poor’s Depositary Receipts | |
| 80 |
2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
CSGLSCMT-7/20-AR
|
|
|
| Item 3 – |
Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
Michael Castellano
Frank J. Fabozzi
Catherine A. Lynch
Karen P. Robards
The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
| Item 4 – |
Principal Accountant Fees and Services |
The following table presents fees billed by Pricewaterhouse Coopers (“PwC”) in each of the last two fiscal years for the services rendered to the Fund:
| (a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees | |||||||||||||
| Entity Name |
Current
Fiscal Year End |
Previous
End |
Current
End |
Previous
End |
Current
End |
Previous
End |
Current
End |
Previous
Fiscal Year End |
||||||||
|
BlackRock Global Long/Short Credit Fund |
$74,100 | $74,100 | $0 | $0 | $0 | $0 | $0 | $0 | ||||||||
2
The following table presents fees billed by PwC that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
| Current Fiscal Year End | Previous Fiscal Year End | |||
|
(b) Audit-Related Fees1 |
$0 |
$0 | ||
|
(c) Tax Fees2 |
$0 |
$0 | ||
|
(d) All Other Fees3 |
$0 |
$0 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee
3
pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
| Entity Name |
Current Fiscal Year End |
Previous Fiscal Year
End |
||||
| BlackRock Global Long/Short Credit Fund | $0 | $0 |
(h) The Committee has considered and determined that the provision of
non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph
(c)(7)(ii) of
Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
| Item 5 – |
Audit Committee of Listed Registrant – Not Applicable |
| Item 6 – |
Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 8 – |
Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
| Item 9 – |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 10 – |
Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 11 – |
Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially
4
affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – |
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies –Not Applicable |
| Item 13 – |
Exhibits attached hereto |
(a)(1) – Code of Ethics – See Item 2
(a)(2) – Section 302 Certifications are attached
(a)(3) – Not Applicable
(a)(4) – Not Applicable
(b) – Section 906 Certifications are attached
5
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Funds IV
| By: | /s/ John M. Perlowski | |
| John M. Perlowski | ||
| Chief Executive Officer (principal executive officer) of | ||
| BlackRock Funds IV | ||
| Date: | October 2, 2020 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ John M. Perlowski | |
| John M. Perlowski | ||
| Chief Executive Officer (principal executive officer) of | ||
| BlackRock Funds IV | ||
| Date: | October 2, 2020 | |
| By: | /s/ Neal J. Andrews | |
| Neal J. Andrews | ||
| Chief Financial Officer (principal financial officer) of | ||
| BlackRock Funds IV | ||
| Date: | October 2, 2020 | |
6