2020 Annual Report - blackrock.com · 2020 Annual Report BlackRock Event Driven Equity Fund...

MAY 31, 2020

2020 Annual Report

BlackRock Event Driven Equity Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of theFund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock orfrom your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will benotified 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 afinancial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary torequest that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offerthis service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors ortheir 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 atblackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financialintermediary, 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 growthand positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the firstpart of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears anddoubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and asluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus becamemore apparent throughout February and March 2020, leading countries around the world took economicallydisruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some ofthese losses as countries around the world begin reopening, there is still significant uncertainty surroundingthe long-term impact of the pandemic on the global economy.

Returns for most securities were robust for the first part of the reporting period, as investors began to realizethat the U.S. economy was maintaining the modest yet steady growth that had characterized this economiccycle. However, once stay-at-home orders and closures of non-essential businesses became widespread,many workers were laid off and unemployment claims spiked. With large portions of the global economy onhold, all types of international equities ended the 12-month reporting period with negative performance, whilein the United States large-capitalization stocks, which investors saw as more resilient than smaller companies,delivered solid returns.

The performance of different types of fixed-income securities diverged substantially due to a reduced investorappetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-yearU.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-gradecorporate bonds also delivered a solid return, while high-yield corporate returns were muted due to creditconcerns.

The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economicgrowth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interestrates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as didseveral other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruption is certain to hurt worldwide economic growth, the globalexpansion is likely to continue once the impact of the outbreak subsides. We are encouraged by the strongcoordinated monetary and fiscal response that is underway, both in the United States and abroad. However,there remains a risk that policy fatigue and recent improvements in economic indicators could lead lawmakersto retreat from needed stimulus measures too soon.

Overall, we favor a neutral stance toward risk, given the uncertainty surrounding the path to recovery. Amongequities, we see an advantage in U.S. stocks compared to other developed markets, given the diversity of theU.S. economy and the impressive scope of monetary and fiscal stimulus. In bonds, the swift action taken by theworld’s central banks means there are attractive opportunities in credit, and we expect credit spreads to narrowas markets stabilize. 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 sustainableinvestments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array ofasset classes, and be nimble as market conditions change. We encourage you to talk with your financialadvisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

Rob KapitoPresident, BlackRock Advisors, LLC

Total Returns as of May 31, 2020

6-Month 12-Month

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

(2.10)% 12.84%

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

(13.53) (3.44)

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

(11.48) (2.81)

Emerging marketequities (MSCI EmergingMarkets Index)

(9.69) (4.39)

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

0.73 1.84

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

11.55 15.87

U.S. investment gradebonds (Bloomberg BarclaysU.S. Aggregate Bond Index)

5.40 9.42

Tax-exempt municipalbonds (S&P MunicipalBond Index)

1.52 3.87

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

(2.84) 1.31

Past performance is no guarantee of future results. Indexperformance is shown for illustrative purposes only. Youcannot invest directly in an index.

The Markets in Review

Rob KapitoPresident, BlackRock Advisors, LLC

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

Page

The Markets in Review ............................................................................................................................................................ 2Annual Report:Fund Summary ................................................................................................................................................................... 4About Fund Performance .......................................................................................................................................................... 7Disclosure of Expenses ........................................................................................................................................................... 7Derivative Financial Instruments ................................................................................................................................................... 7Financial Statements:

Schedule of Investments ........................................................................................................................................................ 8Statement of Assets and Liabilities .............................................................................................................................................. 21Statements of Operations ....................................................................................................................................................... 23Statements of Changes in Net Assets ........................................................................................................................................... 24

Financial Highlights ............................................................................................................................................................... 25Notes to Financial Statements ..................................................................................................................................................... 28Report of Independent Registered Public Accounting Firm .......................................................................................................................... 40Important Tax Information ......................................................................................................................................................... 41Disclosure of Investment Advisory Agreement ...................................................................................................................................... 42Director and Officer Information .................................................................................................................................................... 45Additional Information ............................................................................................................................................................. 49Glossary of Terms Used in this Report ............................................................................................................................................. 51

Table of Contents

3

Investment Objective

BlackRock Event Driven Equity Fund’s (the “Fund”) investment objective is to seek long-term capital growth.

On November 13, 2019, the Board of Directors of BlackRock Large Cap Series Funds, Inc. approved a change in the fiscal year-end of the Fund, effective as of May 31, 2020,from September 30 to May 31.

Portfolio Management Commentary

How did the Fund perform?For the abbreviated annual reporting period from October 1, 2019 to May 31, 2020, the Fund’s Institutional and Investor A Shares returned 1.53% and 1.40%, respectively,outperforming the ICE BofAML 3-Month U.S. Treasury Bill Index, which returned 1.05%, The Fund’s Investor C Shares returned 0.93%, underperforming the ICE BofAML3-Month U.S. Treasury Bill Index. For the same period, the Fund underperformed the Russell 1000� Index, which returned 3.68%.

What factors influenced performance?The Fund is an absolute return strategy managed to a cash benchmark, the ICE BofAML 3-Month U.S. Treasury Bill Index. The Fund diversifies across hard catalyst (primarilypublicly announced mergers), soft catalyst (companies undergoing meaningful corporate events), and credit opportunities.

Hard catalyst, soft catalyst, and credit investments all contributed to Fund returns over the period. The primary contributor to returns was the Fund’s position in the AbbVie, Inc./Allergan PLC merger. The investment adviser added to this high conviction idea during the fourth quarter of 2019, making it the largest position in the Fund entering 2020. Thecompanies made strong progress against key risks and obtained regulatory approval in both China and Europe during the first half of the period. The transaction continued toadvance through the regulatory process with the announcement of divestitures in February, and it subsequently went on to successfully close in early May. An investment inThermo Fisher Scientific Inc./Qiagen NV further benefitted Fund performance over the period as speculation emerged on the potential for an increased offer or a competingbid. The Fund’s position in the Nvidia Corp./ Mellanox Technologies Ltd. merger supported results as well. The transaction secured requisite regulatory approvals throughoutthe period, including approval from the European Union in the fourth quarter of 2019 and from China in early April 2020. The transaction completed successfully at the end ofApril.

Amid increased market volatility at the end of the first quarter of 2020, merger spreads (which reflect the difference between the price the target company is trading at in themarket and the offer price of the transaction) widened substantially across much of the portfolio. Though the Fund has not experienced a single deal break through the end ofMay and merger spreads have begun to normalize, spreads remain elevated versus historic norms and certain transactions continue to be particularly impacted by the effectsof the coronavirus. The largest detractor from Fund performance over the period was an investment in the LVMH/Tiffany & Co. transaction, as the merger spread widened amidfears that Covid-19 related store closures will adversely impact the transaction’s outcome. Similarly, positioning in Simon Property Group / Taubman Centers detracted fromreturns as the pandemic’s impact on malls and shopping centers led to modest spread widening over the period. The Fund’s position in the Peugeot / Fiat Chrysler mergerfurther detracted, as concerns regarding the impact of the pandemic on auto industry fundamentals caused the merger spread to widen during the back half of the period.

Describe recent portfolio activity.Coming into 2020, the investment adviser was of the view that the risk-return profile of the market was highly asymmetric, offering limited upside against a larger potentialdownside. As a result, though the portfolio remains highly hedged with a low net market exposure at all times, the Fund entered 2020 with some of its most conservativepositioning since inception. It was positioned toward the low end of its historical long market value and toward the higher end of its historical hedging paradigm. Thisconservative positioning was beneficial during the sell-off and allowed the investment adviser to take advantage of opportunities as they arose. As the market stress createdlarge dislocations and, in many cases, significant opportunity, the investment adviser added meaningfully to the portfolio across all three sub-strategies (hard catalyst, softcatalyst, and credit) at more attractive price levels, while remaining cautious and ensuring to never exceed any risk limits.

The Fund held derivatives during the period as part of its investment strategy. Contracts for difference are used by the investment adviser as the primary instrument to gainexposure to merger arbitrage situations. As a result, cash and cash equivalents are not representative of unencumbered cash, and the portfolio remains fully invested as ofMay 31, 2020. The Fund’s use of derivatives had a positive impact on Fund performance.

Describe portfolio positioning at period end.The Fund remained diversified across the spectrum of corporate events, while maintaining a skew to hard catalyst, merger arbitrage opportunities. The Fund was comprisedof 83 investments at the end of the period, with roughly 70% of the portfolio invested in hard catalyst opportunities and the other 30% in soft catalyst and credit opportunities.From a geographical perspective, the Fund’s exposure was concentrated in the United States, with nearly 75% of the Fund’s gross exposure in North America, 25% in Europeand less than 1% in Asia Pacific. The Fund remained diversified across sectors and market capitalizations.

These views are not intended to be a forecast of future events and are no guarantee of future results.

Fund Summary as of May 31, 2020 BlackRock Event Driven Equity Fund

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

TOTAL RETURN BASED ON $10,000 INVESTMENT

$24,637

$34,161

$22,735

$10,654

5,000

10,000

15,000

20,000

25,000

30,000

35,000

$40,000

May 20May 19May 18May 17May 16May 15May 14May 13May 12May 11

Institutional Shares(a)(b) Investor A Shares(a)(b)

Russell 1000® Index(c) ICE BofAML 3-Month U.S. Treasury Bill Index(d)

(a) Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory fees and administration fees, if any. Institutional Shares do nothave a sales charge.

(b) Under normal market conditions, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities and related derivativeinstruments with similar economic characteristics. The Fund’s total returns prior to May 8, 2015 are the returns of the Fund when it utilized different investment strategies under the nameBlackRock Large Cap Core Plus Fund.

(c) An index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000� Index and includes approximately 1,000 of the largestsecurities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell3000� Index.

(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 Indexto ICE BofA 3-Month U.S. Treasury Bill Index.

Performance Summary for the Period Ended May 31, 2020Average Annual Total Returns(a)(b)

1 Year 5 Years 10 Years

6-MonthTotal

Returns

WithoutSales

Charge

WithSales

Charge

WithoutSales

Charge

WithSales

Charge

WithoutSales

Charge

WithSales

Charge

Institutional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.61% 4.27% N/A 4.54% N/A 9.44% N/AInvestor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.55 4.14 (1.33)% 4.29 3.17% 9.15 8.56%Investor C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.22 3.35 2.35 3.54 3.54 8.37 8.37

Russell 1000� Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2.17) 12.54 N/A 9.58 N/A 13.07 N/AICE BofAML 3-Month U.S. Treasury Bill Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.73 1.84 N/A 1.19 N/A 0.64 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 FundPerformance” 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) Under normal market conditions, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities and related derivativeinstruments with similar economic characteristics. The Fund’s total returns prior to May 8, 2015 are the returns of the Fund when it utilized different investment strategies under the nameBlackRock Large Cap Core Plus Fund.

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 as of May 31, 2020 (continued) BlackRock Event Driven Equity Fund

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

Expense ExampleActual Hypothetical(a)

IncludingInterest Expense

ExcludingInterest Expense

IncludingInterest Expense

ExcludingInterest Expense

BeginningAccount Value

(12/01/19)

EndingAccount Value

(05/31/20)

ExpensesPaid During

the Period(b)

ExpensesPaid During

the Period(c)

BeginningAccount Value

(12/01/19)

EndingAccount Value

(05/31/20)

ExpensesPaid During

the Period(b)

EndingAccount Value

(05/31/20)

ExpensesPaid During

the Period(c)

Institutional . . . $ 1,000.00 $ 1,006.10 $ 5.96 $ 5.95 $ 1,000.00 $ 1,019.05 $ 6.00 $ 1,019.06 $ 5.99Investor A. . . . . 1,000.00 1,005.50 7.18 7.17 1,000.00 1,017.84 7.22 1,017.85 7.21Investor C . . . . 1,000.00 1,002.20 10.77 10.76 1,000.00 1,014.24 10.83 1,014.25 10.82

(a) Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent six-months divided by 366.(b) For each class of the Fund, expenses are equal to the annualized expense ratio for the class (1.19% for Institutional, 1.43% for Investor A, and 2.15% for Investor C), multiplied by

average account value over the period, multiplied by 183/366 (to reflect the six-month period shown).(c) For each class of the Fund, expenses are equal to the annualized expense ratio for the class (1.19% for Institutional, 1.43% for Investor A, and 2.15% for Investor C), multiplied by

average account value over the period, multiplied by 183/366 (to reflect the six-month period shown).

See “Disclosure of Expenses” on page 7 for further information on how expenses were calculated.

Portfolio Information

SECTOR ALLOCATION

Percent of Total Investments(a)

Sector(b) Long Short Total

Financials. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15% 11% 26%Consumer Discretionary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 5 20Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 1 19Information Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3 14Industrials. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 1 8Investment Companies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 4 5Materials. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1 4Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 — 2Communication Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 — 1Energy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 —(c) 1

74% 26% 100%

(a) Total investments include the gross notional values of long and short equitysecurities of the underlying derivative contracts utilized by the Fund and excludeshort-term securities and borrowed bonds.

(b) For Fund compliance purposes, the Fund’s sector classifications refer to one ormore of the sector sub-classifications used by one or more widely recognizedmarket indexes or ratings group indexes, and/or as defined by the investmentadviser. These definitions may not apply for purposes of this report, which maycombine such sector sub-classifications for reporting ease.

(c) Amount is less than 1%.

Fund Summary as of May 31, 2020 (continued) BlackRock Event Driven Equity Fund


About Fund Performance

Institutional 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.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptionsof 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 generallyavailable 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 aservice fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares afterapproximately 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 wouldpay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table on page 5 assume reinvestment of all distributions, if any, at net assetvalue (“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 beworth 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 feesapplicable 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 suchwaivers and/or reimbursements, the Fund’s performance would have been lower. With respect to the Fund’s contractual waivers, the Manager is under no obligation tocontinue 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 informationon waivers and/or reimbursements.

Disclosure of ExpensesShareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees,service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown on the previous page (which isbased on a hypothetical investment of $1,000 invested on December 1, 2019 and held through May 31, 2020) is intended to assist shareholders both in calculating expensesbased 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 coveredby 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 rateof 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, ifany. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning differentfunds. If these transactional expenses were included, shareholder expenses would have been higher.

Derivative Financial InstrumentsThe Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assetswithout owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currencyexchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfectcorrelation 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 beassured. 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 investmentand/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.

A B O U T F U N D P E R F O R M A N C E 7

Security Shares Value

Common Stocks

Aerospace & Defense — 0.7%Howmet Aerospace, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 2,720,642 $ 35,585,997

Banks — 0.0%Valley National Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . 125,854 1,004,315

Biotechnology — 0.0%Beam Therapeutics, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . 47,552 1,214,954

Capital Markets — 0.5%Bolsas y Mercados Espanoles SHMSF SA . . . . . . . 684,417 25,025,200

Chemicals — 0.9%Akzo Nobel NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,536 1,850,607Axalta Coating Systems Ltd.(a) . . . . . . . . . . . . . . . . . . . 460,963 10,652,855Corteva, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,349 118,771Dow, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,349 167,871DuPont de Nemours, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 142,672 7,237,751Olin Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 970,382 11,673,695Sherwin-Williams Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,374 12,099,100

43,800,650

Commercial Services & Supplies — 0.3%GFL Environmental, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 652,643 12,511,166

Diversified Consumer Services — 0.1%Service Corp. International. . . . . . . . . . . . . . . . . . . . . . . 91,539 3,609,383

Diversified Telecommunication Services — 0.2%AT&T Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234,545 7,238,059

Electric Utilities — 0.0%Energy Harbor Corp.(a)(b) . . . . . . . . . . . . . . . . . . . . . . . . 53,430 2,057,055

Electrical Equipment — 0.2%OSRAM Licht AG(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205,900 9,004,535

Electronic Equipment, Instruments & Components — 0.2%Keysight Technologies, Inc.(a) . . . . . . . . . . . . . . . . . . . . 101,290 10,952,488

Equity Real Estate Investment Trusts (REITs) — 0.1%VEREIT, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158,504 868,602VICI Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121,465 2,383,143

3,251,745

Food & Staples Retailing — 0.0%Walgreens Boots Alliance, Inc. . . . . . . . . . . . . . . . . . . . 40,199 1,726,145

Food Products — 0.2%Conagra Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325,797 11,334,478

Health Care Equipment & Supplies — 0.8%Cooper Cos., Inc.(c). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,336 2,325,365Danaher Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129,867 21,637,141Envista Holdings Corp.(a) . . . . . . . . . . . . . . . . . . . . . . . . 728,067 15,391,337SmileDirectClub, Inc.(a)(c) . . . . . . . . . . . . . . . . . . . . . . . . 205,026 1,601,253

40,955,096

Health Care Providers & Services — 0.7%1Life Healthcare, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . 14,557 470,191Anthem, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,711 797,332Brookdale Senior Living, Inc.(a). . . . . . . . . . . . . . . . . . . 2,917,972 10,679,777Cigna Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,246 20,767,141

32,714,441

Health Care Technology — 0.0%Schrodinger, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,398 1,601,593

Household Durables — 0.1%Casper Sleep, Inc.(a)(c). . . . . . . . . . . . . . . . . . . . . . . . . . . 352,363 2,487,683


Insurance — 0.0%Selectquote, Inc.(a)(c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,242 $ 2,098,180

Leisure Products — 0.0%Peloton Interactive, Inc., Class A(a) . . . . . . . . . . . . . . . 25,563 1,078,503

Life Sciences Tools & Services — 0.2%10X Genomics, Inc., Class A(a) . . . . . . . . . . . . . . . . . . . 18,184 1,417,806PPD, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 354,245 9,649,634

11,067,440

Machinery — 0.0%Altra Industrial Motion Corp. . . . . . . . . . . . . . . . . . . . . . 628 19,468Fortive Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,552 155,621

175,089

Media — 0.2%Charter Communications, Inc., Class A(a) . . . . . . . . . 17,792 9,678,848

Metals & Mining — 0.3%Arconic Corp.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 922,621 13,350,326

Oil, Gas & Consumable Fuels — 0.4%Williams Cos., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 874,400 17,863,992

Personal Products — 0.2%Coty, Inc., Class A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,630,011 9,546,940

Pharmaceuticals — 0.6%Elanco Animal Health, Inc.(a) . . . . . . . . . . . . . . . . . . . . . 1,375,244 29,443,974Pfizer, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,071 2,637,821

32,081,795

Software — 0.1%Bill.com Holdings, Inc.(a)(c) . . . . . . . . . . . . . . . . . . . . . . . 5,309 369,719Cloudflare, Inc., Class A(a) . . . . . . . . . . . . . . . . . . . . . . . 31,865 926,316Datadog, Inc., Class A(a) . . . . . . . . . . . . . . . . . . . . . . . . . 10,576 753,751Ping Identity Holding Corp.(a) . . . . . . . . . . . . . . . . . . . . 65,405 1,851,616VMware, Inc., Class A(a) . . . . . . . . . . . . . . . . . . . . . . . . . 18,090 2,826,924

6,728,326

Wireless Telecommunication Services — 0.1%T-Mobile U.S., Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,376 4,339,335

Total Common Stocks — 7.1%(Cost: $327,878,714) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 354,083,757

Par(000)

Corporate Bonds

Aerospace & Defense — 0.2%Bombardier, Inc., 8.75%, 12/01/21(d) . . . . . . . . . . . . . USD 3,200 2,320,000Howmet Aerospace, Inc., 6.88%, 05/01/25. . . . . . . . 4,565 4,850,420TransDigm, Inc., 8.00%, 12/15/25(d) . . . . . . . . . . . . . . 2,714 2,931,120

10,101,540

Airlines — 0.2%Delta Air Lines, Inc., 2.60%, 12/04/20 . . . . . . . . . . . . 10,000 9,933,107

Automobiles — 0.4%Volkswagen Group of America Finance LLC,

4.00%, 11/12/21(d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,500 18,035,826

Banks — 0.5%Bank of America Corp., (3 mo. LIBOR US +

0.660%), 2.37%, 07/21/21(e)(f) . . . . . . . . . . . . . . . . . 25,000 25,031,048

Chemicals — 0.1%Olin Corp., 9.50%, 06/01/25(d) . . . . . . . . . . . . . . . . . . . 7,129 7,779,521

Diversified Consumer Services — 0.0%Sotheby’s, 7.38%, 10/15/27(d). . . . . . . . . . . . . . . . . . . . 1,857 1,689,870

Schedule of InvestmentsMay 31, 2020

BlackRock Event Driven Equity Fund(Percentages shown are based on Net Assets)


SecurityPar

(000) Value

Diversified Telecommunication Services — 0.3%Frontier Communications Corp., 8.00%,

04/01/27(a)(d)(g) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 12,500 $ 12,859,375

Electric Utilities — 0.1%Energy Harbor Corp. Escrow, 0.01%, 01/06/34(b) . 5,000 25,000Pacific Gas and Electric Co.

6.05%, 03/01/34(a)(g) . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500 2,850,0003.75%, 08/15/42(a)(g) . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000 2,925,000

5,800,000

Health Care Equipment & Supplies — 0.3%Envista Holdings Corp., 2.38%, 06/01/25(d)(h) . . . . . 12,333 14,764,279

Health Care Providers & Services — 0.3%Tenet Healthcare Corp., 8.13%, 04/01/22 . . . . . . . . . 13,375 13,976,875

Hotels, Restaurants & Leisure — 0.1%MGM Resorts International, 7.75%, 03/15/22 . . . . . 5,000 5,204,250

Media — 0.1%Cengage Learning, Inc., 9.50%, 06/15/24(d). . . . . . . 4,500 3,037,500

Oil, Gas & Consumable Fuels — 0.1%Occidental Petroleum Corp., 2.70%, 08/15/22 . . . . 5,000 4,600,000

Pharmaceuticals — 0.1%Bausch Health Cos., Inc., 6.50%, 03/15/22(d) . . . . . 5,000 5,085,000

Specialty Retail — 0.3%PetSmart, Inc., 7.13%, 03/15/23(d) . . . . . . . . . . . . . . . 6,000 5,820,000Staples, Inc.

7.50%, 04/15/26(d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,400 1,222,97010.75%, 04/15/27(d). . . . . . . . . . . . . . . . . . . . . . . . . . . 13,398 9,115,597

16,158,567

Wireless Telecommunication Services — 0.1%Sprint Corp., 7.25%, 09/15/21. . . . . . . . . . . . . . . . . . . . 5,000 5,240,250

Total Corporate Bonds — 3.2%(Cost: $159,236,714) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,297,008

Floating Rate Loan Interests(i)

Diversified Telecommunication Services — 0.1%Windstream Services LLC (FKA Windstream

Corp.), Term Facility (DIP), (1 mo. LIBOR US +2.500%, 0.00% Floor), 2.68%, 02/26/21 . . . . . . . 5,500 5,390,000

Health Care Technology — 0.2%athenahealth, Inc., Term B Loan (First Lien),

(3 mo. LIBOR US + 4.50%, 0.00% Floor),5.28%, 02/11/26(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,712 13,198,272

Leisure Products — 0.1%NorthPole Newco S.à r.l., Tranche B-1 Term Loan,

(3 mo. LIBOR US + 7.000%, 0.00% Floor),8.45%, 03/18/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,344 3,811,750

Software — 0.3%Blackboard, Inc., Term B-5 Loan (First Lien),

(3 mo. LIBOR US + 6.000%, 1.00% Floor),7.00%, 06/30/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,925 13,306,533

Total Floating Rate Loan Interests — 0.7%(Cost: $37,168,456). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,706,555


Investment Companies

Equity Funds — 0.2%Altaba, Inc. Escrow(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 445,570 $ 9,067,350

Fixed-Income Funds — 0.7%iShares iBoxx High Yield Corporate Bond ETF(j) . . 440,927 36,341,203

Total Investment Companies — 0.9%(Cost: $41,796,682). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,408,553

Preferred Securities

Preferred Stocks — 0.4%

Health Care Equipment & Supplies — 0.3%Danaher Corp., Series B, 5.00%(h) . . . . . . . . . . . . . . . 16,721 17,364,591

Pharmaceuticals — 0.1%Elanco Animal Health, Inc., 5.00%(h). . . . . . . . . . . . . . 155,400 5,909,862

Total Preferred Securities — 0.4%(Cost: $24,491,000). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,274,453

Rights

Pharmaceuticals — 0.0%Bristol-Myers Squibb Co., CVR(a) . . . . . . . . . . . . . . . . 361,183 1,188,292

Total Rights — 0.0%(Cost: $1,255,877) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,188,292

Total Long-Term Investments — 12.3%(Cost: $591,827,443) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618,958,618

Par(000)

Short-Term Securities

Borrowed Bond Agreements — 0.0%Citigroup Global Markets, Inc., (0.15)%

(Purchased on 03/23/20 to be repurchased at$1,409,595, collateralized by T-Mobile U.S.A.,Inc., 5.13% due at 04/15/25, par and fair valueof USD 1,500,000 and $1,530,000,respectively), Open(k)(l). . . . . . . . . . . . . . . . . . . . . . . . USD 1,410 1,410,000

Shares

Money Market Funds — 85.7%BlackRock Liquidity Funds, T-Fund, Institutional

Class, 0.11%(j)(m) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,284,012,733 4,284,012,733SL Liquidity Series, LLC, Money Market Series,

0.63%(j)(m)(n). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,652,323 6,658,975

4,290,671,708

Par(000)

Time Deposits — 0.2%Canada — 0.0%Brown Brothers Harriman & Co., 0.04%,

06/01/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 2 1,422

Schedule of Investments (continued)

May 31, 2020


S C H E D U L E O F I N V E S T M E N T S 9

SecurityPar

(000) Value

United Kingdom — 0.2%Brown Brothers Harriman & Co., 0.01%,

06/01/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 $ 1,969Citibank, London, (0.66)%, 06/01/20 . . . . . . . . . . . . EUR 6,494 7,208,403

7,210,372

7,211,794

Total Short-Term Securities — 85.9%(Cost: $4,299,189,939) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,299,293,502

Total Investments Before Borrowed Bonds — 98.2%(Cost: $4,891,017,382) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,918,252,120

Borrowed Bonds

Corporate Bonds — (0.0)%Wireless Telecommunication Services — (0.0)%T-Mobile U.S.A., Inc., 5.13%, 04/15/25 . . . . . . . . . . USD 1,500 (1,530,000)

Total Borrowed Bonds — (0.0)%(Proceeds: $(1,511,250)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,530,000)

Total Investments — 98.2%(Cost: $4,889,506,132) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,916,722,120

Other Assets Less Liabilities — 1.8%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,479,243

Net Assets — 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,005,201,363

(a) Non-income producing security.(b) Security is valued using significant unobservable inputs and is classified as Level 3 in the

fair value hierarchy.

(c) All or a portion of this security is on loan.(d) 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 toqualified institutional investors.

(e) All or a portion of the security has been pledged as collateral in connection withoutstanding borrowed bonds.

(f) Variable rate security. Security may be issued at a fixed coupon rate, which converts to avariable rate at a specified date. Rate shown is the rate in effect as of period end.

(g) Issuer filed for bankruptcy and/or is in default.(h) Convertible security.(i) Variable rate security. Rate shown is the rate in effect as of period end.(j) Affiliate of the Fund.(k) Certain agreements have no stated maturity and can be terminated by either party at any

time.(l) The amount to be repurchased assumes the maturity will be the day after the period end.(m) Annualized 7-day yield as of period end.(n) All or a portion of this security was purchased with the cash collateral from loaned

securities.

Affiliates

Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended May 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Actof 1940, as amended, were as follows:

Affiliated Issuer

SharesHeld at

09/30/19Shares

PurchasedShares

Sold

SharesHeld at

05/31/20Value at

05/31/20 Income

NetRealized

Gain (Loss)(a)

Change inUnrealized

Appreciation(Depreciation)

BlackRock Liquidity Funds, T-Fund,Institutional Class . . . . . . . . . . . . . . . . . . . 2,874,770,397 1,409,242,336(b) — 4,284,012,733 $ 4,284,012,733 $ 27,979,554 $ 7,569 $ —

iShares iBoxx High Yield CorporateBond ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . — 440,927 — 440,927 36,341,203 106,015 — 1,171,526

SL Liquidity Series, LLC, Money MarketSeries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,737,701 — (1,085,378)(b) 6,652,323 6,658,975 743,096(c) (1,782) 3,648

$ 4,327,012,911 $ 28,828,665 $ 5,787 $ 1,175,174

(a) Includes net capital gain distributions, if applicable.(b) Represents net shares purchased (sold).(c) Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

DescriptionNumber ofContracts

ExpirationDate

NotionalAmount

(000)

Value/Unrealized

Appreciation(Depreciation)

Long ContractsS&P 500 E-Mini Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 716 06/19/20 $ 108,904 $ 17,035,607


May 31, 2020



Centrally Cleared Credit Default Swaps — Sell Protection

ReferenceObligation/Index

FinancingRate

Receivedby

the FundPayment

FrequencyTermination

DateCredit

Rating(a)

NotionalAmount(000)(b) Value

UpfrontPremium

Paid(Received)

UnrealizedAppreciation

(Depreciation)

CDX.NA.HY.34.V4 . . 5.00% Quarterly 06/20/25 B+ USD 220,675 $ (1,534,157) $ (11,476,913) $ 9,942,756

(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 agreement.

OTC Total Return Swaps(a)

Reference Entity CounterpartyTermination

DateNet

Notional


(Depreciation)

Net Value ofReference

Entity

Gross NotionalAmount

Net AssetPercentage

Equity Securities Long/Short . . Barclays Bank PLC 10/01/20–01/12/24 $ 92,302,145 $ (1,529,902) (b) $ 90,936,844 1.9%Citibank N.A. 02/24/23 143,193,380 11,768,999 (c) 157,076,708 2.9Citibank N.A. 02/24/23 (113,564,601) (4,093,962) (d) (117,389,752) 2.9Credit Suisse International 02/08/23 236,305,464 3,903,176 (e) 239,956,271 11.7Goldman Sachs Bank USA 08/31/21 (3,131) 616 (f) (2,412) 0.0Goldman Sachs Bank USA 02/27/23 822,082,776 (20,196,670) (g) 803,873,918 29.5JPMorgan Chase Bank N.A. 02/08/23 106,829,976 5,174,838 (h) 110,910,049 5.1JPMorgan Chase Bank N.A. 02/08/23 36,333,740 458,591 (i) 36,318,112 0.7Morgan Stanley & Co. International PLC 12/04/22–03/27/23 63,651,793 (2,781,351) (j) 61,064,836 1.3Morgan Stanley & Co. International PLC 02/27/23–05/19/23 (14,944,327) 14,471,195 (k) (587,467) 4.1Morgan Stanley & Co. International PLC 05/15/23–05/18/23 (3,409,254) (1,138,516) (4,547,770) 0.1UBS AG 03/01/23–12/10/24 79,734,228 2,517,038 (l) 84,977,300 9.8

$8,554,052 $1,462,586,637

(a) The Fund receives or pays the total return on a portfolio of long and 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 0 - 300 basis points. The benchmark and spread are determined based upon the country and/or currency of theindividual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:Canada 1 Month Bankers’ Acceptances RateEuro Interbank Offered Rate:

EUR 1 MonthEUR 1 Week

Euro OverNight Index AverageIntercontinental Exchange LIBOR:

EUR 1 MonthUSD 1 MonthUSD 1 Week

U.S. Overnight Federal Funds Effective RateUSD Overnight Bank Funding Rate

(b) Amount includes $(164,601) of net dividends and financing fees.(c) Amount includes $(2,114,329) of net dividends and financing fees.(d) Amount includes $(268,811) of net dividends and financing fees.(e) Amount includes $252,369 of net dividends and financing fees.(f) Amount includes $(103) of net dividends and financing fees.(g) Amount includes $(1,987,812) of net dividends and financing fees.(h) Amount includes $1,094,765 of net dividends and financing fees.(i) Amount includes $474,219 of net dividends and financing fees.(j) Amount includes $(194,394) of net dividends and financing fees.(k) Amount includes $114,335 of net dividends and financing fees.(l) Amount includes $(2,726,034) of net dividends and financing fees.


May 31, 2020



The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Barclays Bank PLCas of period end, termination dates October 1, 2020 to January 12, 2024:

Shares Value

% ofBasket

Value

Reference Entity — Long

Common Stocks

Capital MarketsBolsas y Mercados Espanoles SHMSF SA . . . . . . 26,015 $ 951,219 1.1%

Commercial Services & SuppliesAdvanced Disposal Services, Inc.. . . . . . . . . . . . . . . 1,680,649 52,402,636 57.6

Electronic Equipment, Instruments &ComponentsFitbit, Inc., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,617,662 10,255,977 11.3

Health Care Equipment & SuppliesWright Medical Group NV . . . . . . . . . . . . . . . . . . . . . . 785,198 23,202,601 25.5

Hotels, Restaurants & LeisureCaesars Entertainment Corp. . . . . . . . . . . . . . . . . . . . 502,846 5,727,416 6.3

Total Reference Entity — Long. . . . . . . . . . . . . . . . 92,539,849

Reference Entity — Short

Common Stocks

Hotels, Restaurants & LeisureEldorado Resorts, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 45,206 (1,603,005) (1.8)

Net Value of Reference Entity —Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . $ 90,936,844

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

Shares Value

% ofBasket

Value


Common Stocks

Life Sciences Tools & ServicesQIAGEN NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,599,711 $ 157,077,281 100.0%


Common Stocks

Hotels, Restaurants & LeisureFlutter Entertainment PLC . . . . . . . . . . . . . . . . . . . . 5 (573) (0.0)

Net Value of Reference Entity —Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 157,076,708

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

Shares Value

% ofBasket

Value


Common Stocks

Aerospace & DefenseHowmet Aerospace, Inc. . . . . . . . . . . . . . . . . . . . . . . . 51,939 $ 679,362 (0.6)%

Health Care Providers & ServicesAnthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,296 14,498,446 (12.3)Cigna Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,102 414,767 (0.4)

14,913,213

MediaViacomCBS, Inc., Class B. . . . . . . . . . . . . . . . . . . . . . 22,974 476,481 (0.4)

Metals & MiningArconic Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,984 187,879 (0.2)

Oil, Gas & Consumable FuelsWilliams Cos., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,180 2,598,287 (2.2)

Total Reference Entity — Long . . . . . . . . . . . . . . . 18,855,222


Common Stocks

BanksBank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 2,041 (49,229) 0.0JPMorgan Chase & Co. . . . . . . . . . . . . . . . . . . . . . . . . 524 (50,990) 0.1

(100,219)

ChemicalsAir Products and Chemicals, Inc. . . . . . . . . . . . . . . . 22 (5,316) 0.0Albemarle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 (2,831) 0.0Eastman Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . 33 (2,247) 0.0Ecolab, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 (5,315) 0.0FMC Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 (4,428) 0.0International Flavors & Fragrances, Inc.. . . . . . . . . 25 (3,330) 0.0Livent Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 (283) 0.0LyondellBasell Industries NV, Class A. . . . . . . . . . . 33 (2,104) 0.0Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141 (1,705) 0.0PPG Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 (3,152) 0.0

(30,711)

Construction MaterialsMartin Marietta Materials, Inc. . . . . . . . . . . . . . . . . . . 17 (3,265) 0.0Vulcan Materials Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 (3,250) 0.0

(6,515)

Containers & PackagingAvery Dennison Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . 33 (3,652) 0.0Ball Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 (6,200) 0.0International Paper Co. . . . . . . . . . . . . . . . . . . . . . . . . 65 (2,213) 0.0Sealed Air Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 (2,600) 0.0Westrock Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 (1,515) 0.0

(16,180)

Health Care Providers & ServicesUnitedHealth Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . 27,272 (8,313,869) 7.1


May 31, 2020



Shares Value

% ofBasket

Value

Life Sciences Tools & ServicesMettler-Toledo International, Inc.. . . . . . . . . . . . . . . . 5,921 $ (4,707,195) 4.0%Waters Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,824 (4,161,676) 3.6

(8,868,871)

Metals & MiningFreeport-McMoRan, Inc. . . . . . . . . . . . . . . . . . . . . . . . 198 (1,796) 0.0Newmont Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 (5,087) 0.0Nucor Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 (2,409) 0.0

(9,292)

Oil, Gas & Consumable FuelsEnbridge, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,039 (942,316) 0.8Kinder Morgan, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,854 (1,324,893) 1.2

(2,267,209)

PharmaceuticalsJohnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,597 (535,054) 0.4Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,642 (536,142) 0.5

(1,071,196)

Semiconductors & SemiconductorEquipmentAdvanced Micro Devices, Inc. . . . . . . . . . . . . . . . . . . 48,250 (2,595,850) 2.2Analog Devices, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,815 (2,012,204) 1.7Applied Materials, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 38,227 (2,147,593) 1.8ASML Holding NV, NY Shares . . . . . . . . . . . . . . . . . . 6,281 (2,069,652) 1.8KLA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,547 (2,383,730) 2.0Lam Research Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,679 (2,922,522) 2.5Maxim Integrated Products, Inc. . . . . . . . . . . . . . . . . 31,562 (1,820,496) 1.6Microchip Technology, Inc. . . . . . . . . . . . . . . . . . . . . . 19,974 (1,917,904) 1.6Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 38,521 (1,845,541) 1.6MKS Instruments, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 6,136 (648,146) 0.6Monolithic Power Systems, Inc.. . . . . . . . . . . . . . . . . 3,237 (678,961) 0.6NXP Semiconductors NV. . . . . . . . . . . . . . . . . . . . . . . 104,331 (10,026,209) 8.5ON Semiconductor Corp.. . . . . . . . . . . . . . . . . . . . . . . 31,045 (511,932) 0.4Qorvo, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,276 (1,181,048) 1.0Skyworks Solutions, Inc. . . . . . . . . . . . . . . . . . . . . . . . 16,174 (1,917,266) 1.6Taiwan Semiconductor Manufacturing Co. Ltd. . . 39,299 (1,977,919) 1.7Teradyne, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,090 (1,078,352) 0.9Texas Instruments, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 16,419 (1,949,592) 1.7Xilinx, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,577 (1,432,305) 1.2

(41,117,222)


Equity FundsAlerian MLP ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359,655 (9,645,947) 8.2Energy Select Sector SPDR Fund . . . . . . . . . . . . . . 2,200 (85,272) 0.1Industrial Select Sector SPDR Fund . . . . . . . . . . . . 789,027 (53,393,457) 45.5iShares U.S. Real Estate ETF . . . . . . . . . . . . . . . . . . 353 (27,329) 0.0SPDR S&P 500 ETF Trust . . . . . . . . . . . . . . . . . . . . . 36,998 (11,259,232) 9.6SPDR S&P Regional Banking ETF . . . . . . . . . . . . . 850 (32,453) 0.0

(74,443,690)

Total Reference Entity — Short . . . . . . . . . . . . . . . (136,244,974)

Net Value of Reference Entity —Citibank N.A.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (117,389,752)

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Credit SuisseInternational as of period end, termination date February 8, 2023:

Shares Value

% ofBasket

Value


Common Stocks

Capital MarketsE*TRADE Financial Corp. . . . . . . . . . . . . . . . . . . . . 1,724,750 $ 78,545,115 32.8%Legg Mason, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,392,773 69,401,878 28.9TD Ameritrade Holding Corp. . . . . . . . . . . . . . . . . . 2,125,369 79,212,503 33.0

227,159,496

Equity Real Estate Investment Trusts(REITs)Northview Apartment Real Estate Investment

Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256 6,457 0.0

Health Care Equipment & SuppliesWright Medical Group NV. . . . . . . . . . . . . . . . . . . . . 1,319,659 38,995,924 16.2

Life Sciences Tools & ServicesQIAGEN NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,117,418 136,031,905 56.7

Total Reference Entity — Long . . . . . . . . . . . . . . 402,193,782


Common Stocks

Capital MarketsCharles Schwab Corp. . . . . . . . . . . . . . . . . . . . . . . . 2,303,263 (82,710,175) (34.5)Morgan Stanley . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,799,261 (79,527,336) (33.1)

Total Reference Entity — Short . . . . . . . . . . . . . (162,237,511)

Net Value of Reference Entity —Credit Suisse International . . . . . . . . . . . . . . . $ 239,956,271

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Goldman SachsBank USA as of period end, termination date August 31, 2021:

Shares Value

% ofBasket

Value


Common Stocks

BanksBank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100 $ (2,412) 100.0%

Net Value of Reference Entity —Goldman Sachs Bank USA . . . . . . . . . . . . . . . . . . . . . . . . $ (2,412)


May 31, 2020



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

Shares Value

% ofBasket

Value


Common Stocks

Auto ComponentsDelphi Technologies PLC. . . . . . . . . . . . . . . . . . . . 1,494,257 $ 19,246,030 2.4%

BiotechnologyPortola Pharmaceuticals, Inc.. . . . . . . . . . . . . . . . 1,056,429 18,962,901 2.4

Capital MarketsE*TRADE Financial Corp. . . . . . . . . . . . . . . . . . . . 2,109,410 96,062,531 11.9Legg Mason, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 873,009 43,502,039 5.4TD Ameritrade Holding Corp. . . . . . . . . . . . . . . . . 2,665,690 99,350,266 12.4

238,914,836

Commercial Services & SuppliesAdvanced Disposal Services, Inc.. . . . . . . . . . . . 3,074,778 95,871,578 11.9

Electronic Equipment, Instruments &ComponentsAnixter International, Inc. . . . . . . . . . . . . . . . . . . . . 1,354,295 129,619,575 16.1Fitbit, Inc., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . 5,438,224 34,478,340 4.3

164,097,915

Equity Real Estate Investment Trusts(REITs)Taubman Centers, Inc. . . . . . . . . . . . . . . . . . . . . . . 1,732,451 71,619,524 8.9

Health Care Equipment & SuppliesWright Medical Group NV . . . . . . . . . . . . . . . . . . . 4,577,483 135,264,623 16.8

Hotels, Restaurants & LeisureCaesars Entertainment Corp.. . . . . . . . . . . . . . . . 8,386,535 95,522,634 11.9

Internet & Direct Marketing RetailGrubhub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 445,641 25,285,670 3.1

MediaCentral European Media Enterprises Ltd.,

Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,528,942 10,115,768 1.3

SoftwareLogMeIn, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,125,721 95,573,713 11.9

Specialty RetailTiffany & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 946,846 121,319,378 15.1

Total Reference Entity — Long. . . . . . . . . . . . . 1,091,794,570


Common Stocks

Auto ComponentsBorgWarner, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . 643,577 (20,691,000) (2.6)

Shares Value

% ofBasket

Value

Capital MarketsCharles Schwab Corp. . . . . . . . . . . . . . . . . . . . . . . 2,888,808 $ (103,737,095) (12.9)%Morgan Stanley. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,200,653 (97,268,863) (12.1)

(201,005,958)

Hotels, Restaurants & LeisureEldorado Resorts, Inc. . . . . . . . . . . . . . . . . . . . . . . 753,130 (26,705,990) (3.3)

Road & RailUber Technologies, Inc. . . . . . . . . . . . . . . . . . . . . . 857,859 (31,157,439) (3.9)

Trading Companies & DistributorsWESCO International, Inc. . . . . . . . . . . . . . . . . . . 251,059 (8,360,265) (1.0)

Total Reference Entity — Short . . . . . . . . . . . . (287,920,652)

Net Value of Reference Entity —Goldman Sachs Bank USA . . . . . . . . . . . . . . $ 803,873,918

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

Shares Value

% ofBasket

Value


Common Stocks

Capital MarketsTD Ameritrade Holding Corp. . . . . . . . . . . . . . . . . . . 1,389,826 $ 51,798,815 46.7%

Electronic Equipment, Instruments &ComponentsAnixter International, Inc.. . . . . . . . . . . . . . . . . . . . . . 458,244 43,858,533 39.5

Hotels, Restaurants & LeisureCaesars Entertainment Corp.. . . . . . . . . . . . . . . . . . 5,707,610 65,009,678 58.6

InsuranceWillis Towers Watson PLC . . . . . . . . . . . . . . . . . . . . 57,649 11,696,982 10.6

SoftwareRIB Software SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 426,569 13,731,880 12.4

Transportation InfrastructureDP World PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 823,563 12,977,063 11.7

Total Reference Entity — Long . . . . . . . . . . . . . . 199,072,951


Common Stocks

Capital MarketsCharles Schwab Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,506,154 (54,085,990) (48.8)

Hotels, Restaurants & LeisureEldorado Resorts, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 512,352 (18,168,002) (16.4)

InsuranceAon PLC, Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,206 (12,251,471) (11.0)


May 31, 2020



Shares Value

% ofBasket

Value

Trading Companies & DistributorsWESCO International, Inc. . . . . . . . . . . . . . . . . . . . . 109,833 $ (3,657,439) (3.3)%

Total Reference Entity — Short . . . . . . . . . . . . . . (88,162,902)

Net Value of Reference Entity —JPMorgan Chase Bank N.A.. . . . . . . . . . . . . . . $ 110,910,049

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

Shares Value

% ofBasket

Value


Common Stocks

Semiconductors & Semiconductor EquipmentNXP Semiconductors NV . . . . . . . . . . . . . . . . . . . . . . . . 377,920 $ 36,318,112 100.0%

Net Value of Reference Entity —JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . $ 36,318,112

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Morgan Stanley &Co. International PLC as of period end, termination dates December 4, 2022 toMarch 27, 2023:

Shares Value

% ofBasket

Value


Common Stocks

Specialty RetailTiffany & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 476,585 $ 61,064,836 100.0%

Net Value of Reference Entity —Morgan Stanley & Co. International PLC. . . . . $ 61,064,836

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Morgan Stanley &Co. International PLC as of period end, termination dates February 27, 2023 toMay 19, 2023:

Shares Value

% ofBasket

Value


Common Stocks

Aerospace & DefenseRaytheon Technologies Corp. . . . . . . . . . . . . . . . . . . 121,506 $ 7,839,567 (1,334.5)%TransDigm Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 58,944 25,040,590 (4,262.4)

32,880,157

Shares Value

% ofBasket

Value

Building ProductsCarrier Global Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 287,139 $ 5,877,735 (1,000.5)%

ChemicalsCorteva, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 724,526 19,786,805 (3,368.2)Dow, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,845 3,892,617 (662.6)DuPont de Nemours, Inc. . . . . . . . . . . . . . . . . . . . . . . 490,868 24,901,734 (4,238.8)

48,581,156

Health Care Providers & ServicesAnthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,866 6,725,119 (1,144.8)Cigna Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,615 3,081,152 (524.5)Humana, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,054 18,912,075 (3,219.2)

28,718,346

MachineryOtis Worldwide Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 93,746 4,935,727 (840.2)

Total Reference Entity — Long . . . . . . . . . . . . . . . 120,993,121

Reference Entity — ShortCommon Stocks

BanksBank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 4,300 (103,716) 17.6Citigroup, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,521 (120,781) 20.6JPMorgan Chase & Co. . . . . . . . . . . . . . . . . . . . . . . . . 1,148 (111,712) 19.0

(336,209)

ChemicalsAir Products and Chemicals, Inc. . . . . . . . . . . . . . . . 10,822 (2,615,136) 445.2Albemarle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,502 (2,334,013) 397.3Eastman Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . 32,880 (2,238,470) 381.0Ecolab, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,025 (2,768,855) 471.3FMC Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,404 (2,204,778) 375.3International Flavors & Fragrances, Inc.. . . . . . . . . 15,579 (2,074,967) 353.2Livent Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,851 (12,476) 2.1LyondellBasell Industries NV, Class A. . . . . . . . . . . 39,889 (2,543,323) 432.9Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,771 (1,907,451) 324.7PPG Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,866 (2,528,126) 430.4

(21,227,595)

Commercial Services & SuppliesRepublic Services, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . 13,780 (1,177,639) 200.5Waste Management, Inc.. . . . . . . . . . . . . . . . . . . . . . . 11,176 (1,193,038) 203.1

(2,370,677)

Construction MaterialsMartin Marietta Materials, Inc. . . . . . . . . . . . . . . . . . . 10,240 (1,967,002) 334.8Vulcan Materials Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,686 (1,915,747) 326.1

(3,882,749)

Containers & PackagingAvery Dennison Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . 18,095 (2,002,574) 340.9Ball Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,565 (2,178,062) 370.8International Paper Co. . . . . . . . . . . . . . . . . . . . . . . . . 55,404 (1,886,506) 321.1Sealed Air Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,322 (2,096,836) 356.9Westrock Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,040 (1,796,962) 305.9

(9,960,940)

Health Care Providers & ServicesUnitedHealth Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . 9,626 (2,934,486) 499.5

Metals & MiningFreeport-McMoRan, Inc. . . . . . . . . . . . . . . . . . . . . . . . 230,699 (2,092,440) 356.2


May 31, 2020



Shares Value

% ofBasket

Value

Metals & MiningNewmont Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,082 $ (2,168,184) 369.1%Nucor Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,987 (2,366,011) 402.7

(6,626,635)


Equity FundsIndustrial Select Sector SPDR Fund . . . . . . . . . . . . 507,144 (34,318,435) 5,841.8iShares Russell 2000 ETF. . . . . . . . . . . . . . . . . . . . . . 60,199 (8,361,641) 1,423.3iShares U.S. Real Estate ETF . . . . . . . . . . . . . . . . . . 43,615 (3,376,673) 574.8Materials Select Sector SPDR Fund . . . . . . . . . . . . 238,044 (13,199,540) 2,246.8SPDR S&P 500 ETF Trust . . . . . . . . . . . . . . . . . . . . . 40,717 (12,390,997) 2,109.2SPDR S&P Regional Banking ETF . . . . . . . . . . . . . 1,922 (73,382) 12.5VanEck Vectors Semiconductor ETF. . . . . . . . . . . . 17,873 (2,520,629) 429.1

(74,241,297)

Total Reference Entity — Short . . . . . . . . . . . . . . . (121,580,588)

Net Value of Reference Entity —Morgan Stanley & Co. International PLC . . . $ (587,467)

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Morgan Stanley &Co International PLC as of period end, termination dates May 15, 2023 to May 18,2023:

Shares Value

% ofBasket

Value


Common Stocks

AirlinesDelta Air Lines, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 $ (1,260,500) 27.7%

Health Care Equipment & SuppliesEnvista Holdings Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . 155,500 (3,287,270) 72.3

Net Value of Reference Entity —Morgan Stanley & Co. International PLC . . . . . $ (4,547,770)

The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with UBS AG as of periodend, termination dates March 1, 2023 to December 10, 2024:

Shares Value

% ofBasket

Value


Common Stocks

Auto ComponentsDelphi Technologies PLC. . . . . . . . . . . . . . . . . . . . 1,181,361 $ 15,215,930 17.9%Faurecia SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646,104 25,050,602 29.5

40,266,532

Shares Value

% ofBasket

Value

AutomobilesFiat Chrysler Automobiles NV . . . . . . . . . . . . . . . 15,919,775 $ 142,092,130 167.2%

Diversified Financial ServicesFGL Holdings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,934,175 21,389,074 25.1

Electrical EquipmentOSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . 481,119 21,741,815 25.6

Electronic Equipment, Instruments &ComponentsIngenico Group SA . . . . . . . . . . . . . . . . . . . . . . . . . 578,586 80,533,339 94.8

Total Reference Entity — Long . . . . . . . . . . . . 306,022,890

Reference Entity — ShortCommon Stocks

Auto ComponentsBorgWarner, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . 508,812 (16,358,306) (19.2)

AutomobilesPeugeot SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,138,881 (131,192,387) (154.4)

InsuranceFidelity National Financial, Inc. . . . . . . . . . . . . . . 164,405 (5,244,519) (6.2)

IT ServicesWorldline SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 908,959 (68,250,378) (80.3)

Total Reference Entity — Short . . . . . . . . . . . . (221,045,590)

Net Value of Reference Entity —UBS AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 84,977,300


May 31, 2020



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

SwapPremium

Paid

SwapPremiumReceived


UnrealizedDepreciation

Centrally Cleared Swaps(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ (11,476,913) $ 9,942,756 $ —OTC Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 38,294,453 (29,740,401)

(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 theStatement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

CommodityContracts

CreditContracts

EquityContracts

ForeignCurrency

ExchangeContracts

InterestRate

ContractsOther

Contracts Total

Assets — Derivative Financial InstrumentsFutures contracts(a)

Unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ 17,035,607 $ — $ — $ — $ 17,035,607Swaps — centrally cleared(a)

Unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,942,756 — — — — 9,942,756Swaps — OTC

Unrealized appreciation;Swap premiums paid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 38,294,453 — — — 38,294,453

$ — $ 9,942,756 $ 55,330,060 $ — $ — $ — $ 65,272,816

Liabilities — Derivative Financial InstrumentsSwaps — OTC

Unrealized depreciation;Swap premiums received. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ 29,740,401 $ — $ — $ — $ 29,740,401

(a) 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 Assetsand Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulatedearnings (loss).

For the period ended May 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

CommodityContracts

CreditContracts

EquityContracts

ForeignCurrency

ExchangeContracts

InterestRate

ContractsOther

Contracts Total

Net Realized Gain (Loss) fromFutures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ 5,236,605 $ — $ — $ — $ 5,236,605Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (4,808,592) (19,256,588) — — — (24,065,180)

$ — $ (4,808,592) $ (14,019,983) $ — $ — $ — $ (18,828,575)

Net Change in Unrealized Appreciation (Depreciation)on

Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ 17,035,607 $ — $ — $ — $ 17,035,607Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 10,061,508 12,154,145 — — — 22,215,653

$ — $ 10,061,508 $ 29,189,752 $ — $ — $ — $ 39,251,260


May 31, 2020



Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contractsAverage notional value of contracts — long. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 153,351,035

Credit default swapsAverage notional value — buy protection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,558,333Average notional value — sell protection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,068,333

Total return swapsAverage notional amount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,819,281,613

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 InstrumentsFutures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 139,620 $ —Swaps - centrally cleared. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,307,526 —Swaps - OTC(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,294,453 29,740,401

Total derivative assets and liabilities in the Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 39,741,599 $ 29,740,401

Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,447,146) —

Total derivative assets and liabilities subject to an MNA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38,294,453 $ 29,740,401

(a) Includes unrealized appreciation (depreciation) on OTC swaps 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 collateralreceived and pledged by the Fund:

Counterparty

DerivativeAssets

Subject toan MNA by

Counterparty

DerivativesAvailable

for Offset(a)

Non-Cash

CollateralReceived

CashCollateral

Received(b)

NetAmount ofDerivative

Assets(c)

Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,768,999 $ (4,093,962) $ — $ (7,675,037) $ —Credit Suisse International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,903,176 — — (3,903,176) —Goldman Sachs Bank USA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616 (616) — — —JPMorgan Chase Bank N.A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,633,429 — — (5,633,429) —Morgan Stanley & Co. International PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,471,195 (3,919,867) — (9,760,000) 791,328UBS AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,517,038 — — — 2,517,038

$ 38,294,453 $ (8,014,445) $ — $ (26,971,642) $ 3,308,366

Counterparty

DerivativeLiabilities

Subject toan MNA by

Counterparty

DerivativesAvailable

for Offset(a)

Non-Cash

CollateralPledged

CashCollateralPledged

NetAmount ofDerivative

Liabilities(d)

Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,529,902 $ — $ — $ — $ 1,529,902Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,093,962 (4,093,962) — — —Goldman Sachs Bank USA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,196,670 (616) — (17,860,000) 2,336,054Morgan Stanley & Co. International PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,919,867 (3,919,867) — — —

$ 29,740,401 $ (8,014,445) $ — $ (17,860,000) $ 3,865,956

(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 represents the net amount payable due to the counterparty in the event of default.


May 31, 2020



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 ofinvestments 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:

Level 1 Level 2 Level 3 Total

AssetsInvestments

Long-Term InvestmentsCommon Stocks

Aerospace & Defense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35,585,997 $ — $ — $ 35,585,997Banks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,315 — — 1,004,315Biotechnology. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,214,954 — — 1,214,954Capital Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 25,025,200 — 25,025,200Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,950,043 1,850,607 — 43,800,650Commercial Services & Supplies. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,511,166 — — 12,511,166Diversified Consumer Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,609,383 — — 3,609,383Diversified Telecommunication Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,238,059 — — 7,238,059Electric Utilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 2,057,055 2,057,055Electrical Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,004,535 — 9,004,535Electronic Equipment, Instruments & Components . . . . . . . . . . . . . . . . . . . . . . . 10,952,488 — — 10,952,488Equity Real Estate Investment Trusts (REITs). . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,251,745 — — 3,251,745Food & Staples Retailing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,726,145 — — 1,726,145Food Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,334,478 — — 11,334,478Health Care Equipment & Supplies. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,955,096 — — 40,955,096Health Care Providers & Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,714,441 — — 32,714,441Health Care Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,601,593 — — 1,601,593Household Durables. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,487,683 — — 2,487,683Insurance. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,098,180 — — 2,098,180Leisure Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,078,503 — — 1,078,503Life Sciences Tools & Services. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,067,440 — — 11,067,440Machinery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175,089 — — 175,089Media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,678,848 — — 9,678,848Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,350,326 — — 13,350,326Oil, Gas & Consumable Fuels. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,863,992 — — 17,863,992Personal Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,546,940 — — 9,546,940Pharmaceuticals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,081,795 — — 32,081,795Software. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,728,326 — — 6,728,326Wireless Telecommunication Services. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,339,335 — — 4,339,335

Corporate Bonds(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 159,272,008 25,000 159,297,008Floating Rate Loan Interests(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 22,508,283 13,198,272 35,706,555Investment Companies(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,341,203 — 9,067,350 45,408,553Preferred Securities(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,274,453 — — 23,274,453Rights(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,188,292 — — 1,188,292

Short-Term SecuritiesBorrowed Bond Agreements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,410,000 — 1,410,000Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,284,012,733 — — 4,284,012,733Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7,211,794 — 7,211,794

LiabilitiesBorrowed Bonds(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (1,530,000) — (1,530,000)

$ 4,660,963,041 $ 224,752,427 $ 24,347,677 4,910,063,145

Investments Valued at NAV(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,658,975

$ 4,916,722,120

Derivative Financial Instruments(c)

AssetsCredit Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 9,942,756 $ — $ 9,942,756Equity Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,035,607 38,294,453 — 55,330,060


May 31, 2020



Level 1 Level 2 Level 3 Total

LiabilitiesEquity Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ (29,740,401) $ — $ (29,740,401)

$ 17,035,607 $ 18,496,808 $ — $ 35,532,415

(a) See above Schedule of Investments for values in each industry.(b) Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.(c) Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See notes to financial statements.


May 31, 2020



BlackRock EventDriven Equity

Fund

ASSETSInvestments at value — unaffiliated(a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 591,239,209Investments at value — affiliated(c). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,327,012,911Cash pledged:

Collateral — OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,980,000Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,546,000Centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,259,000

Foreign currency at value(d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,606Receivables:

Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,155,601Securities lending income — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164,084Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140,269,826Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,101,400Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385,146Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403,004Interest — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,934,135Variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139,620Variation margin on centrally cleared swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,307,526

Unrealized appreciation on OTC swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,294,453Prepaid expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299,194

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,231,492,715

LIABILITIESBank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185,709Cash received as collateral for OTC derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,690,000Borrowed bonds at value(e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,530,000Cash collateral on securities loaned at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,654,811Payables:

Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,873,939Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68,864,134Capital shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,187,186Interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,872Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,384,275Directors’ and Officer’s fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,316Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 408,547Other affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 678,169Service and distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,993

Unrealized depreciation on OTC swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,740,401

Total liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,291,352

NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,005,201,363

NET ASSETS CONSIST OFPaid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,001,779,135Accumulated earnings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,422,228

NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,005,201,363(a) Investments at cost — unaffiliated. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 565,179,645(b) Securities loaned at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,523,117(c) Investments at cost — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,325,837,737(d) Foreign currency at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,584(e) Proceeds received from borrowed bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,511,250

Statement of Assets and LiabilitiesMay 31, 2020

F I N A N C I A L S T A T E M E N T S 21

BlackRock EventDriven Equity

Fund

NET ASSET VALUEInstitutional

Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,779,208,242

Shares outstanding. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492,520,097

Net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.70

Shares authorized. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100,000,000

Par value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.10

Investor ANet assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 161,797,346


Net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.31

Shares authorized. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000,000

Par value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.10

Investor CNet assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,195,775


Net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8.33

Shares authorized. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000,000

Par value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.10


Statement of Assets and Liabilities (continued)

May 31, 2020



Period from10/01/19 to 05/31/20

Year Ended09/30/19

INVESTMENT INCOMEDividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,053,575 $ 1,012,572Dividends — affiliated. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,085,569 35,518,963Interest — unaffiliated. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,508,624 10,390,562Securities lending income — affiliated — net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 743,096 62,298Other income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,245 —Foreign taxes withheld . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (116,288) (13,636)

Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,305,821 46,970,759

EXPENSESInvestment advisory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,436,211 22,864,927Transfer agent — class specific . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,931,119 2,091,340Service and distribution — class specific . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 636,117 433,501Registration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 364,240 353,785Accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218,732 166,744Professional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119,980 131,136Custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97,463 33,716Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,302 41,866Directors and Officer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,933 32,351Board realignment and consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7,235Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,904 27,432

Total expenses excluding interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,922,001 26,184,033Interest expense — unaffiliated. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148,160 540,274

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,070,161 26,724,307Less:

Fees waived and/or reimbursed by the Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,928,263) (1,160,438)

Total expenses after fees waived and/or reimbursed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,141,898 25,563,869

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,163,923 21,406,890

REALIZED AND UNREALIZED GAIN (LOSS)Net realized gain (loss) from:

Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,834,406 23,170,897Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,782) 2,251Borrowed bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,769 (69,657)Capital gain distributions from investment companies — affiliated. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,569 —Options written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (293,328)Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,236,605 4,907,217Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (261,855) 27,323Swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,065,180) 89,179,974

(15,231,468) 116,924,677

Net change in unrealized appreciation (depreciation) on:Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,368,334 11,440,869Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,175,174 (13)Borrowed bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,650 (87,625)Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,035,607 —Foreign currency translations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107,360 27,598Swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,215,653 (18,516,396)

53,931,778 (7,135,567)

Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,700,310 109,789,110

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 39,864,233 $ 131,196,000


Statements of Operations

F I N A N C I A L S T A T E M E N T S 23


Period from10/01/19

to 05/31/20

Year Ended September 30,

2019 2018

INCREASE (DECREASE) IN NET ASSETS

OPERATIONSNet investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,163,923 $ 21,406,890 $ 2,974,329Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (15,231,468) 116,924,677 6,125,196Net change in unrealized appreciation (depreciation). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,931,778 (7,135,567) 12,988,436

Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,864,233 131,196,000 22,087,961

DISTRIBUTIONS TO SHAREHOLDERS(a)

Institutional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (128,011,849) (20,637,746) (9,172,632)Investor A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,687,762) (766,494) (1,510,831)Investor C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,788,885) (176,256) (298,775)

Decrease in net assets resulting from distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (134,488,496) (21,580,496) (10,982,238)

CAPITAL SHARE TRANSACTIONS

Net increase in net assets derived from capital share transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,797,158,781 2,367,258,732 630,936,787

NET ASSETSTotal increase in net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,702,534,518 2,476,874,236 642,042,510Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,302,666,845 825,792,609 183,750,099

End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,005,201,363 $ 3,302,666,845 $ 825,792,609

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


Statements of Changes in Net Assets



Institutional

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.88 $ 9.39 $ 9.58 $ 8.80 $ 8.94 $ 14.55

Net investment income (loss)(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00(b) 0.11 0.07 (0.04) (0.06) (0.04)Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.14 0.56 0.20 0.92 0.46 0.60

Net increase from investment operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.14 0.67 0.27 0.88 0.40 0.56

Distributions(c)

From net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.05) (0.06) — — — —From net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.27) (0.12) (0.46) (0.10) (0.58) (6.17)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.32) (0.18) (0.46) (0.10) (0.58) (6.17)

Capital contributions — affiliated(d). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — 0.04 —

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.70 $ 9.88 $ 9.39 $ 9.58 $ 8.80 $ 8.94

Total Return(e)

Based on net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.53%(f) 7.30% 3.04% 10.08% 5.11%(g) 2.28%

Ratios to Average Net Assets(h)

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27%(i) 1.34% 1.43% 1.55% 1.58% 2.54%

Total expenses after fees waived and/or reimbursed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.20%(i) 1.28% 1.36% 1.41% 1.42% 1.89%

Total expenses after fees waived and/or reimbursed and excluding dividend expense . . . . . . . . . . 1.20%(i) 1.28% 1.36% 1.41% 1.42% 1.65%

Total expenses after fees waived and/or reimbursed and excluding dividend expenses, stockloan fees and interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.19%(i) 1.25% 1.30% 1.38% 1.38% 1.38%

Net investment income (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06%(i) 1.11% 0.75% (0.39)% (0.67)% (0.26)%

Supplemental DataNet assets, end of period (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,779,208 $ 3,128,313 $ 786,155 $ 145,557 $ 76,046 $ 8,077

Portfolio turnover rate(j) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63% 177% 135% 199% 233% 81%

(a) Based on average shares outstanding.(b) Amount is less than $0.005 per share.(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.(d) Payment received from affiliates related to certain shareholder transactions.(e) Where applicable, assumes the reinvestment of distributions.(f) Aggregate total return.(g) Includes payment received from affiliates, which impacted the Fund’s total return. Excluding the payment from affiliates, the Fund’s total return is 4.64%.(h) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Investments in underlying funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.16% 0.22% 0.20% 0.15% 0.16% 0.04%

(i) Annualized.(j) Excludes underlying investments in total return swaps.


Financial Highlights(For a share outstanding throughout each period)

F I N A N C I A L H I G H L I G H T S 25

BlackRock Event Driven Equity Fund (continued)

Investor A

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.49 $ 9.03 $ 9.22 $ 8.48 $ 8.65 $ 14.31

Net investment income (loss)(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.01) 0.08 0.03 (0.06) (0.07) (0.07)Net realized and unrealized gain. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.13 0.54 0.22 0.88 0.44 0.58

Net increase from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.12 0.62 0.25 0.82 0.37 0.51

Distributions(b)

From net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.03) (0.04) — — — —From net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.27) (0.12) (0.44) (0.08) (0.58) (6.17)

Total distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.30) (0.16) (0.44) (0.08) (0.58) (6.17)

Capital contributions — affiliated(c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — 0.04 —

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.31 $ 9.49 $ 9.03 $ 9.22 $ 8.48 $ 8.65

Total Return(d)

Based on net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.40%(e) 7.04% 2.86% 9.71% 4.92%(f) 1.91%

Ratios to Average Net Assets(g)

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.52%(h) 1.59% 1.69% 1.86% 1.92% 2.85%

Total expenses after fees waived and/or reimbursed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.45%(h) 1.53% 1.63% 1.68% 1.70% 2.12%

Total expenses after fees waived and/or reimbursed and excluding dividend expense . . . . . . . . . . . . . . . 1.45%(h) 1.53% 1.63% 1.68% 1.70% 1.90%

Total expenses after fees waived and/or reimbursed and excluding dividend expenses, stock loanfees and interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.44%(h) 1.51% 1.59% 1.65% 1.65% 1.65%

Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.17)%(h) 0.86% 0.31% (0.69)% (0.88)% (0.55)%

Supplemental DataNet assets, end of period (000). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 161,797 $ 130,066 $ 31,321 $ 31,506 $ 26,523 $ 10,143

Portfolio turnover rate(i) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63% 177% 135% 199% 233% 81%

(a) Based on average shares outstanding.(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.(c) Payment received from affiliates related to certain shareholder transactions.(d) Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.(e) Aggregate total return.(f) Includes payment received from affiliates, which impacted the Fund’s total return. Excluding the payment from affiliates, the Fund’s total return is 4.43%.(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Investments in underlying funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.16% 0.22% 0.20% 0.15% 0.16% 0.04%

(h) Annualized.(i) Excludes underlying investments in total return swaps.


Financial Highlights (continued)

(For a share outstanding throughout each period)


BlackRock Event Driven Equity Fund (continued)

Investor C

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8.53 $ 8.15 $ 8.37 $ 7.69 $ 7.94 $ 13.70

Net investment income (loss)(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.05) 0.01 (0.03) (0.11) (0.12) (0.16)Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.12 0.49 0.19 0.79 0.41 0.57

Net increase from investment operations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07 0.50 0.16 0.68 0.29 0.41

Distributions(b)

From net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (0.00)(c) — — — —From net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.27) (0.12) (0.38) — (0.58) (6.17)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.27) (0.12) (0.38) — (0.58) (6.17)

Capital contributions — affiliated(d). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — 0.04 —

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8.33 $ 8.53 $ 8.15 $ 8.37 $ 7.69 $ 7.94

Total Return(e)

Based on net asset value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.93%(f) 6.30% 2.06% 8.84% 4.32%(g) 1.16%

Ratios to Average Net Assets(h)

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.25%(i) 2.30% 2.44% 2.64% 2.74% 3.61%

Total expenses after fees waived and/or reimbursed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.18%(i) 2.24% 2.37% 2.42% 2.43% 2.86%

Total expenses after fees waived and/or reimbursed and excluding dividend expense . . . . . . . . . . . . . . . . . . . . . 2.18%(i) 2.24% 2.37% 2.42% 2.43% 2.64%

Total expenses after fees waived and/or reimbursed and excluding dividend expenses, stock loan fees andinterest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.17%(i) 2.21% 2.33% 2.39% 2.39% 2.39%

Net investment income (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.91)%(i) 0.15% (0.42)% (1.38)% (1.57)% (1.28)%

Supplemental DataNet assets, end of period (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64,196 $ 44,288 $ 8,316 $ 6,686 $ 6,112 $ 6,165

Portfolio turnover rate(j) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63% 177% 135% 199% 233% 81%

(a) Based on average shares outstanding.(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.(c) Amount is greater than $(0.005) per share.(d) Payment received from affiliates related to certain shareholder transactions.(e) Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.(f) Aggregate total return.(g) Includes payment received from affiliates, which impacted the Fund’s total return. Excluding the payment from affiliates, the Fund’s total return is 3.78%.(h) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

Period from10/01/19

to 05/31/20


2019 2018 2017 2016 2015

Investments in underlying funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.16% 0.22% 0.20% 0.15% 0.16% 0.04%

(i) Annualized.(j) Excludes underlying investments in total return swaps.


Financial Highlights (continued)

(For a share outstanding throughout each period)

F I N A N C I A L H I G H L I G H T S 27

1. ORGANIZATION

BlackRock Large Cap Series Funds, Inc. (the "Corporation”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-endmanagement investment company. The Corporation is organized as a Maryland corporation. BlackRock Event Driven Equity Fund (the “Fund”) is a series of the Corporation,although the Fund may invest in companies with any capitalization. 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 Shares are sold only to certain eligible investors.Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to thedistribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect tomatters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Sharesdistribution and service plan).

Share Class Initial Sales Charge CDSC Conversion Privilege

Institutional Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No No NoneInvestor A Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes No(a) NoneInvestor C Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No Yes(b) To Investor A Shares after approximately 10 years(a) Investor A Shares may be subject to a contingent deferred sales charge ("CDSC") for certain redemptions where no initial sales charge was paid at the time of purchase.(b) A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase.

On November 13, 2019, the Board of Directors of the Corporation (the “Board”) approved a change in the fiscal year end of the Fund, effective as of May 31, 2020, fromSeptember 30 to May 31.

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity,multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.

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 requiremanagement to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets andliabilities 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 resultscould differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable toinvestment 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 theex-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-dividenddate. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portionof the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income,including amortization and accretion of premiums and discounts on debt securities are recognized on an accrual basis. Income, expenses and realized and unrealized gainsand 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 aretranslated 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 arerecorded 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, theinvestments 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 heldor sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from theeffects 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 reportsrealized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such componentsare 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, swaps and short sales) that would be treated as “seniorsecurities” 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 ofits future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange orcounterparty 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 certaininvestments or obligations.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with U.S. federalincome tax regulations, which may differ from U.S. GAAP.

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

Notes to Financial Statements


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 otherfunds 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 andother shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraftcharges. The Fund may incur charges on overdrafts, subject to certain conditions.

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 tradingon the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAPdefines 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 measurementdate. 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’smarket 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 approvedby the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by managementto 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 thanone 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 therewere no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting thevalues 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’snet 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 suchforeign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

• Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations providedby 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 ordealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lotsize, 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 mayuse 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 mortgagerelated 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 developan 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 withrespect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

• The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rataownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although theMoney Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject toRule 2a-7 under the 1940 Act.

• Futures contracts traded on exchanges are valued at their last sale price.

• 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 thatincorporate 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 thatthe 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 priceis 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 costapproach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used indetermining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fundmight 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 basedupon 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 allFair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Notes to Financial Statements (continued)

N O T E S T O F I N A N C I A L S T A T E M E N T S 29

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 followinginputs.

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 PrivateCompany;

(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. Suchinvestments 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 pricingmodel (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemedappropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocatethe 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 recentlyavailable 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 valueof 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 arecategorized 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 similarassets 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 GlobalValuation 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 tounobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. Theinputs 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 isdetermined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservableinputs 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 financialinstruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated withinvesting in those securities.

As of May 31, 2020, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from thefair value hierarchy.

4. SECURITIES AND OTHER INVESTMENTS

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 theissuer 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 andperceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debtsecurities 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 seniordebt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s boardof directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publiclyoffered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertainand 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 fullyfunded 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 interestsgenerally 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 prevailinginterest 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 loaninterests. 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 rateoffered 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 foreigncurrencies. 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, afund 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 aretypically 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. Prepaymentpenalty 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 multipleseries 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”) orassignments (“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, notwith 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 uponreceipt 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 borrowerwith 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 haspurchased 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 loanparticipation 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 theParticipation, 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 resultin 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 aborrowed 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 cashwill 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 cashcollateral 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 ofthe 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 bondchanges, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experiencedelays in gaining access to the collateral.

Borrowed bond agreements are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, includingan 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 createone single net payment due to or from a fund. With borrowed bond agreements, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use thecollateral 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 theevent 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 inexcess 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 isconsidered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of the Fund’s open borrowed bond agreements by counterparty which are subject to offset under an MRA on a net basis:

Counterparty

BorrowedBond

Agreements(a)

BorrowedBonds

at ValueIncludingAccrued

Interest(b)

ExposureDue (to)/

fromCounterparty

Before Collateral

Non-CashCollateralPledged

NetExposureDue (to)/

fromCounterparty(c)

Citigroup Global Markets, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,410,000 $ (1,539,872) $ (129,872) $ 124,178 $ (5,694)(d)

(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 $9,872 which is included in interest expense payable in the Statement of Assets and Liabilities.(c) Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default.(d) Net receivable/payable is subject to set-off provision with net receivable/payable under the ISDA Agreement.

When a fund enters into an MRA and International Swaps and Derivatives Association, Inc. (an “ISDA”) and/or Master Securities Lending Agreements (“MSLA”) with the samecounterparty, the agreements may contain a set-off provision allowing a fund to offset a net amount payable with a net amount receivable upon default 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. For example, regardless of thecontractual rights included in an MRA, such laws may prohibit a fund from setting off amounts owed to a defaulting counterparty under an MRA against amounts owed to a fundby affiliates of the defaulting counterparty. However, the insolvency regimes of many jurisdictions generally permit set-off of simultaneous payables and receivables with thesame legal entity under certain types of financial contracts. These rules would apply upon a default of the legal entity, regardless of the existence of a contractual set-off rightin those contracts.



In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted whilethe counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

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 makesa 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 equalto 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 valueof 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 Statements ofOperations. 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 wassold. 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 possibilityof 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 securityshort. 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 isno assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.

Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintainswith the Fund collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateralreceived by the Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value ofthe loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returnedby the Fund, on the next business day. During the term of the loan, the Fund is entitled to all distributions made on or in respect of the loaned securities, but does not receiveinterest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities withinthe standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Fund’s Schedule of Investments, and the value of any related collateral areshown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated, and collateral on securities loaned at value, respectively. Asof period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRockInvestment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.

Securities lending transactions are entered into by the Fund under MSLAs, which provide the right, in the event of default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, theFund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than thatof the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particularjurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absentan event of default, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral received in connection with loaned securities. Uponan event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securitiesor the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. Thedefaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:

CounterpartySecurities

Loaned at ValueCash

Collateral Received(a)Net

Amount

Citigroup Global Markets, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,035,387 $ (3,035,387) $ —Goldman Sachs & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,691,068 (2,691,068) —Morgan Stanley & Co. LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 796,662 (796,662) —

$ 6,523,117 $ (6,523,117) $ —

(a) Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statementof Assets and Liabilities.

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

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 riskssuch 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 instrumentscategorized 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 valueof equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).



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 specifieddate. 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 onthe 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 variesdepending 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, whichare 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 theStatement 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 marketvalue 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 Statements of Operations equal to thedifference 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 therisk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty tomake 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 beentered 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 ofAssets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swapsin the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTCswap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transactionand 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’scounterparty 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, theFund 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 Statementof Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets andLiabilities. 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 swapsin the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statementsof 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 ofcorporate 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 tradedindexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protectionseller 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 notionalamount 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 amountof 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 willeither 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 paya 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 orto 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 pricerisk 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 pluscapital 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 theinstrument(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 makesa 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 tradein 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 tocertain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received andpaid, 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 ofthe 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 specifiedspread 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 feesbecome 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 Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and thecounterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the 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 ordisagree 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 thesetransactions.

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 ISDAMaster Agreement or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certainOTC 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 ISDAMaster Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateralheld 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 thebankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency orother events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amountfor 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 ofAssets 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 ofInvestments. 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 isdetermined 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 isnot 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 defaultor certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuantto 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 fromcounterparty 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 withsuch 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 onthe 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 Assetsand Liabilities.

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Corporation, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and anindirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for themanagement 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.20%$1 billion - $3 billion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.13$3 billion - $5 billion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.08$5 billion - $10 billion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04Greater than $10 billion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.02

Service and Distribution Fees: The Corporation, on behalf of the Fund, entered into a Distribution Agreement and Distribution Plans with BlackRock Investments, LLC(“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plans and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service anddistribution 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:

Share Class Service Fees Distribution Fees

Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.25% N/AInvestor 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 distributionfee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.



The following table shows the class specific service and distribution fees borne directly by each share class of the Fund:

Share ClassPeriod from

10/01/19 to 05/31/20Year Ended

09/30/19

Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 251,392 $ 195,686Investor C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384,725 237,815

$ 636,117 $ 433,501

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 feeor an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the period ended May 31, 2020 and year ended September 30,2019, the Fund paid $985,816 and $509,626, respectively, for the Fund’s Institutional Shares to affiliates of BlackRock in return for these services, which are included intransfer agent — class specific in the Statements of Operations.

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


10/01/19 to 05/31/20Year Ended

09/30/19

Institutional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,987 $ 4,147Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,651 1,073Investor C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643 366

$ 8,281 $ 5,586

The following table shows the class specific transfer agent fees borne directly by each share class of the Fund:


10/01/19 to 05/31/20Year Ended

09/30/19

Institutional. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,797,934 $ 1,984,559Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,840 86,909Investor C. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,345 19,872

$ 2,931,119 $ 2,091,340

Other Fees: For the period ended May 31, 2020 and year ended September 30, 2019, affiliates earned underwriting discounts, direct commissions and dealer concessions onsales of the Fund’s Investor A Shares of $13,753 and $21,433, respectively.

Affiliates received CDSCs as follows:


10/01/19 to 05/31/20Year Ended

09/30/19

Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,119 $ 2,781Investor C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,211 3,673

$ 32,330 $ 6,454

Expense Limitations, Waivers and Reimbursements: With respect to the Fund, the Manager contractually agreed to waive its investment advisory fees by the amount ofinvestment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). Thecontractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Corporation, as defined in the 1940 Act(“Independent Directors”), 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 madepursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. This amount is included in fees waived and/orreimbursed by the Manager in the Statement of Operations. For the period ended May 31, 2020 and year ended September 30, 2019, the amounts waived and/or reimbursedwere $1,928,263 and $1,153,203, respectively.

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 mutualfunds and affiliated exchange-traded funds that have a contractual management fee through January 31, 2021. The contractual agreement may be terminated upon 90 days’notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the period ended May 31, 2020 and year endedSeptember 30, 2019, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.

The Fund incurred expenses in connection with the realignment and consolidation of the boards of directors of certain BlackRock-advised funds. The Manager has voluntarilyagreed to reimburse the Fund for all or a portion of such expenses, which amounts are included in fees waived and/or reimbursed by the Manager in the Statements ofOperations. For the year ended September 30, 2019, the amount reimbursed to the Fund was $7,235.



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

Institutional Investor A Investor C

1.38% 1.65% 2.39%

The Manager has agreed not to reduce or discontinue these contractual expense limitations through January 31, 2021, unless approved by the Board, including a majority ofthe Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the period ended May 31, 2020 and year ended September 30, 2019,there were no fees waived and/or reimbursed by the Manager.

For the period ended May 31, 2020 and year ended September 30, 2019, the Fund reimbursed the Manager $33,749 and $20,609, respectively, for certain accountingservices, which is included in accounting services in the Statements of Operations.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve assecurities lending agent for the Fund, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. TheFund is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateralis invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the privateinvestment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchasedby the Fund. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the valuewithdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fallbelow certain thresholds.

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

Pursuant to the current securities lending agreement, the Fund retains 75% of securities lending income (which excludes collateral investment expenses), and this amountretained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendaryear exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in anamount equal to 80% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total ofsecurities lending income plus the collateral investment expenses.

Prior to January 1, 2020, the Fund retained 73.5% of securities lending income (which excluded collateral investment expenses) and the amount retained could never be lessthan 70% of the total of securities lending income plus the collateral investment expenses. In addition, commencing the business day following the date that the aggregatesecurities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeded a specified threshold, the Fund would retain for the remainder of thatcalendar year 80% of securities lending income (which excluded collateral investment expenses), and the amount retained could never be less than 70% of the total ofsecurities lending income plus the collateral investment expenses.

The share of securities lending income earned by the Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the period endedMay 31, 2020 and year ended September 30, 2019, the Fund paid BIM $224,282 and $22,321, respectively, for securities lending agent services.

Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Fund may participate in a joint lending and borrowing facility for temporarypurposes (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 policiesand 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 InterfundLending 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 anylower 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 itsoutstanding 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 emergencypurposes 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 period ended May 31, 2020, the Fund did not participate in the Interfund Lending Program.

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

7. PURCHASES AND SALES

For the period ended May 31, 2020, purchases and sales of investments, excluding short-term securities, were $451,253,076 and $220,637,636, respectively.



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 distributesubstantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federaltax returns generally remains open for the period ended May 31, 2020 and each of the four years ended September 30, 2019. The statutes of limitations on the Fund’s stateand 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 May 31, 2020, inclusive of the open tax return years, and does not believe that thereare any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have noeffect on net assets or NAVs per share. As of period end, the following permanent difference attributable to the use of equalization was reclassified to the following accounts:

Amounts

Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24,894,624Accumulated earnings (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,894,624)

The tax character of distributions paid was as follows:

05/31/20(a) 09/30/19(a) 09/30/18

Ordinary income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 152,796,086 $ 31,229,449 $ 10,355,118Long-term capital gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,587,034 283,100 627,120

$ 159,383,120 $ 31,512,549 $ 10,982,238

(a) Distribution amounts may include a portion of the proceeds from redeemed shares.

As of period end, the tax components of accumulated net earnings were as follows:

Amounts

Undistributed ordinary income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 144,480,920Undistributed long-term capital gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,714,008Net unrealized losses(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (155,772,700)

$ 3,422,228

(a) The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales and straddles, the accounting for swapagreements, the timing and recognition of partnership income and the realization for tax purposes of unrealized gains on constructive sales.

As of May 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

Amounts

Tax cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,893,941,431

Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 116,346,068Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (272,142,412)

Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (155,796,344)

9. BANK BORROWINGS

The Corporation, 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 billioncredit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certainindividual 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 assetcoverage 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 andinterest 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 Fundsrate (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 orrenewed. 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 period ended May 31, 2020 and year ended September 30, 2019, 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 variousrisks, 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. TheFund’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 declininginterest 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 theFund’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’scurrent earnings rate.

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

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline dueto 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. TheFund 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 conditionsin 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 illiquidinvestments 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 significantincreases 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 theindividual results of the securities and other instruments in which the Fund invests.

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 tradein 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 inputsand 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 andtherefore 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 couldrealize 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 bytechnological 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 supplychains 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 affectthe 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 insubstantial 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 withcertainty.

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 tounsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financialresources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer andcounterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer andcounterparty 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 theFund.

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 underlyinginstrument. 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.

With 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 thatis 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 brokerbecomes 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 theshortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

As of period end, the Fund invested a significant portion of its assets in securities in the financials sector. Changes in economic conditions affecting such sector would have agreater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.



11. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

Period from10/01/19 to 05/31/20 Year Ended 09/30/19 Year Ended 09/30/18

Share Class Shares Amounts Shares Amounts Shares Amounts

Institutional

Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304,112,457 $ 2,947,159,774 290,800,810 $ 2,795,254,199 81,169,298 $ 746,245,154

Shares issued in reinvestment of distributions . . . . . . . . . . . . . . . . . . . . 10,386,347 100,539,839 1,492,940 13,869,414 990,341 8,932,873

Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (138,586,900) (1,307,266,555) (59,365,590) (571,048,852) (13,674,463) (126,546,800)

175,911,904 $ 1,740,433,058 232,928,160 $ 2,238,074,761 68,485,176 $ 628,631,227

Investor A

Shares sold and automatic conversion of shares. . . . . . . . . . . . . . . . . . 8,846,594 $ 82,575,134 12,692,072 $ 117,047,639 2,456,882 $ 21,769,106

Shares issued in reinvestment of distributions . . . . . . . . . . . . . . . . . . . . 492,339 4,573,826 82,359 735,463 167,023 1,451,431

Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,663,652) (51,791,829) (2,530,791) (23,367,829) (2,571,181) (22,669,604)

3,675,281 $ 35,357,131 10,243,640 $ 94,415,273 52,724 $ 550,933

Investor C

Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,173,078 $ 26,709,754 4,496,605 $ 37,472,780 367,721 $ 2,942,319

Shares issued in reinvestment of distributions . . . . . . . . . . . . . . . . . . . . 213,421 1,779,931 21,698 175,103 37,684 297,325

Shares redeemed and automatic conversion of shares . . . . . . . . . . . . (869,500) (7,121,093) (344,513) (2,879,185) (184,088) (1,485,017)

2,516,999 $ 21,368,592 4,173,790 $ 34,768,698 221,317 $ 1,754,627

182,104,184 $ 1,797,158,781 247,345,590 $ 2,367,258,732 68,759,217 $ 630,936,787

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 nosubsequent events requiring adjustment or additional disclosure in the financial statements.



Report of Independent Registered Public Accounting Firm

To the Shareholders of BlackRock Event Driven Equity Fund and the Board of Directors of BlackRock Large Cap Series Funds, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of BlackRock Event Driven Equity Fund of BlackRock Large Cap Series Funds, Inc. (the “Fund”),including the schedule of investments, as of May 31, 2020, the related statements of operations for the period from October 1, 2019 through May 31, 2020 and for the yearended September 30, 2019, the statements of changes in net assets for the period from October 1, 2019 through May 31, 2020 and for each of the two years in the periodended September 30, 2019, the financial highlights for the period from October 1, 2019 through May 31, 2020 and for each of the five years in the period ended September 30,2019, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as ofMay 31, 2020, and the results of its operations for the period from October 1, 2019 through May 31, 2020 and for the year ended September 30, 2019, the changes in its netassets for the period from October 1, 2019 through May 31, 2020 and for each of the two years in the period ended September 30, 2019, and the financial highlights for theperiod from October 1, 2019 through May 31, 2020 and each of the five years in the period ended September 30, 2019, in conformity with accounting principles generallyaccepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, andperforming procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financialstatements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluatingthe overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of May 31, 2020, by correspondencewith the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our auditsprovide a reasonable basis for our opinion.

Deloitte & Touche LLPBoston, MassachusettsJuly 22, 2020

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


Important Tax Information (unaudited)

For corporate shareholders, the percentage of ordinary income distributions paid during the period ended May 31, 2020 that qualified for the dividends-received deductionwere as follows:

Fund NameDividends-Received

Deduction

BlackRock Event Driven Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.65%

The following maximum amounts are hereby designated as qualified dividend income for individuals for the period ended May 31, 2020:

Fund NameQualified Dividend

Income

BlackRock Event Driven Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,648,581

For the period ended May 31, 2020, the Fund hereby designates the following maximum amounts allowable as interest-related dividends eligible for exemption fromU.S. withholding tax for nonresident aliens and foreign corporations:

Fund NameInterest-Related

Dividends

BlackRock Event Driven Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 152,796,086

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 areadvised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following distribution amounts are hereby designated for the period ended May 31, 2020:

Fund Name

Short-TermCapital Gain

Dividends

20% RateLong-Term

Capital GainDividends

BlackRock Event Driven Equity Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 152,796,086 $ 6,587,034

I M P O R T A N T T A X I N F O R M A T I O N 41

The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Large Cap Series Funds, Inc. (the “Company”) met on April 7,2020 (the “April Meeting”) and May 11-13, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Company,on behalf of BlackRock Event Driven Equity Fund (the “Fund”), and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Fund’s investment advisor.

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of fourteen individuals, twelve of whom were not “interested persons” of the Company as defined in the InvestmentCompany Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of theCompany and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independentlegal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: anAudit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Ad Hoc Topics Committee, each of whichis chaired by an Independent Board Member and composed of Independent Board Members (except for the Ad Hoc Topics Committee, which also has one interested BoardMember).

The Agreement

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreement 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 toconsider specific information surrounding the renewal of the Agreement, the Board’s consideration entails a year-long deliberative process whereby the Board and itscommittees 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 Fundby BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight, administrative and shareholderservices; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during thecontract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessionsoutside 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 Agreement,including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response tospecific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreement.” Among the mattersthe Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, an applicablebenchmark, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for anyoutperformance 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) theresources devoted to risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatoryrequirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investmentmanagement services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and riskand compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions andexecution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for productswith 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 servicesprovided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along withinvestment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Independent Board Members arecontinuously 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 assistits deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by BroadridgeFinancial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peergroup 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 profitsrealized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided byBlackRock 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, asapplicable; (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 aggregateamounts 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 asappropriate regarding BlackRock’s and the Fund’s operations.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and asa culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded tothese questions and requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investmentperformance 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

Disclosure of Investment Advisory Agreement


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 andsharing 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 factorsdeemed 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 lendingand 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 toengage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributeddifferent 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 ofservices provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fundperformance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s seniormanagement personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfoliomanagement 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 portfoliomanagement team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment tocompliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory andmanagement personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to addresscybersecurity 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 theFund’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 servicesincluding, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional informationand periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating theactivities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings andpreparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its considerationof strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for theoperation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder callcenter and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments andconsidered 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 performancehistory 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’sperformance 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 desirablequartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fundas compared to its Performance Peers and, in light of the Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome Oriented PerformanceMetrics”). The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund throughout theyear.

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 providedby 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 objective and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and thatselecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even oneperiod 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 thatfor the one-year, three-year and since-inception periods reported, the Fund outperformed, outperformed, and underperformed, respectively, its total return target. The Boardnoted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for the Fund, and that BlackRock has explained itsrationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its total return target during the applicable period.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates fromtheir Relationship with the Fund: The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of itsExpense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account anyreimbursements 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 totalexpense 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 expensereimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the servicesprovided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts andsub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also providedwith an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewedBlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to availableaggregate 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

Disclosure of Investment Advisory Agreement (continued)

D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T 43

managed by BlackRock 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 BlackRock, the types of funds managed, precision of expense allocations and business mix. The Board thusrecognized 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 operatingmargin, 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 obligationsunder the Agreement 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 toBlackRock’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 otherproducts with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investmenttrust, and institutional separate account product channels, as applicable.

The Board noted that the Fund’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each rankedin the second 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 feerate 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 losethe 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 percentageof 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 theFund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had beenapproved 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 Boardalso 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 orbreakpoint 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 currentfee 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 toleverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisorycommunity, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash managementservices. 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 inmanaging all or a number of its other client accounts.

In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board receivedreports 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 andexpenses 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 Agreement between the Manager and the Company, on behalf of theFund, 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, includingthe Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arrivingat its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, anddifferent Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice ofindependent legal counsel in making this determination.

Disclosure of Investment Advisory Agreement (continued)


Independent Directors(a)

NameYear of Birth(b)

Position(s) Held(Length ofService)(c) Principal Occupation(s) During Past Five Years

Number of BlackRock-AdvisedRegistered Investment Companies(“RICs”) Consisting of InvestmentPortfolios (“Portfolios”) Overseen

Public Companyand OtherInvestmentCompany

DirectorshipsHeld During

Past Five Years

Mark Stalnecker1951

Chair of theBoard(Since 2019) andDirector(Since 2015)

Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee andChair of the Finance and Investment Committees, Winterthur Museum and CountryEstate from 2005 to 2016; Member of the Investment Committee, Delaware PublicEmployees’ Retirement System since 2002; Member of the Investment Committee,Christiana Care Health System from 2009 to 2017; Member of the InvestmentCommittee, Delaware Community Foundation from 2013 to 2014; Director and Chairof the Audit Committee, SEI Private Trust Co. from 2001 to 2014.

36 RICs consisting of153 Portfolios

None

Bruce R. Bond1946

Director(Since 2019)

Board Member, Amsphere Limited (software) since 2018; Trustee and Member ofthe Governance Committee, State Street Research Mutual Funds from 1997 to2005; Board Member of Governance, Audit and Finance Committee, Avaya Inc.(computer equipment) from 2003 to 2007.


None

Susan J. Carter1956


Director, Pacific Pension Institute from 2014 to 2018; Advisory Board Member,Center for Private Equity and Entrepreneurship at Tuck School of Business since1997; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief ExecutiveOfficer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from2015 to 2018 and Board Member thereof since 2018; Advisory Board Member,Bridges Fund Management since 2016; Trustee, Financial Accounting Foundationsince 2017; Practitioner Advisory Board Member, Private Capital Research Institute(“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School ofManagement since 2019.


None

Collette Chilton1958


Chief Investment Officer, Williams College since 2006; Chief Investment Officer,Lucent Asset Management Corporation from 1998 to 2006.


None

Neil A. Cotty1954


Bank of America Corporation from 1996 to 2015, serving in various senior financeleadership roles, including Chief Accounting Officer from 2009 to 2015, ChiefFinancial Officer of Global Banking, Markets and Wealth Management from 2008 to2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer ofConsumer Bank from 2003 to 2004, Chief Financial Officer of Global CorporateInvestment Bank from 1999 to 2002.


None

Lena G. Goldberg1949


Senior Lecturer, Harvard Business School, since 2008; Director, Charles StarkDraper Laboratory, Inc. since 2013; FMR LLC/Fidelity Investments (financialservices) from 1996 to 2008, serving in various senior roles including Executive VicePresident - Strategic Corporate Initiatives and Executive Vice President and GeneralCounsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associatethereof from 1979 to 1985.


None

Henry R. Keizer1956


Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG AmericasHoldings Corporation and MUFG Union Bank, N.A. (financial and bank holdingcompany) from 2014 to 2016; Director, American Institute of Certified PublicAccountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisoryservices) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 andU.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit,KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of GreaterNew York from 2006 to 2010.


Hertz GlobalHoldings (carrental); MontpelierRe Holdings, Ltd.(publicly heldproperty andcasualtyreinsurance) from2013 until 2015;WABCO(commercialvehicle safetysystems); SealedAir Corp.(packaging)

Cynthia A.Montgomery1952


Professor, Harvard Business School since 1989. 36 RICs consisting of153 Portfolios

NewellRubbermaid, Inc.(manufacturing)

Director and Officer Information

D I R E C T O R A N D O F F I C E R I N F O R M A T I O N 45

Independent Directors(a)


Position(s) Held(Length ofService)(c) Principal Occupation(s) During Past Five Years



DirectorshipsHeld During

Past Five Years

Donald C. Opatrny1952


Trustee, Vice Chair, Member of the Executive Committee and Chair of theInvestment Committee, Cornell University since 2004; President, Trustee andMember of the Investment Committee, The Aldrich Contemporary Art Museum from2007 to 2014; Member of the Board and Investment Committee, University Schoolfrom 2007 to 2018; Member of the Investment Committee, Mellon Foundation from2009 to 2015; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015;President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018;Director, Athena Capital Advisors LLC (investment management firm) since 2013;Trustee and Chair of the Investment Committee, Community Foundation of JacksonHole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyomingsince 2018; Member, Investment Funds Committee, State of Wyoming since 2017;Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundationand Member of Investment Committee since 2020.


None

Joseph P. Platt1947


General Partner, Thorn Partners, LP (private investments) since 1998; Director,WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, BasicHealth International (non-profit) since 2015.


Greenlight CapitalRe, Ltd.(reinsurancecompany); ConsolEnergy Inc.

Kenneth L. Urish1951


Managing Partner, Urish Popeck & Co., LLC (certified public accountants andconsultants) since 1976; Past-Chairman of the Professional Ethics Committee of thePennsylvania Institute of Certified Public Accountants and Committee Memberthereof since 2007; Member of External Advisory Board, The Pennsylvania StateUniversity Accounting Department since founding in 2001; Principal, UP StrategicWealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institutefrom 2001 to 2010; President and Trustee, Pittsburgh Catholic PublishingAssociates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.


None

Claire A. Walton1957


Chief Operating Officer and Chief Financial Officer of Liberty Square AssetManagement, LP from 1998 to 2015; General Partner of Neon Liberty CapitalManagement, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to2018; Director, Woodstock Ski Runners since 2013; Director, MassachusettsCouncil on Economic Education from 2013 to 2015.


None

Director and Officer Information (continued)


Interested Directors(a)(d)


Position(s)Held

(Length ofService)(c) Principal Occupation(s) During Past Five Years



DirectorshipsHeld During Past

Five Years

Robert Fairbairn1965


Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s GlobalExecutive and Global Operating Committees; Co-Chair of BlackRock’s HumanCapital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019;oversaw BlackRock’s Strategic Partner Program and Strategic ProductManagement Group from 2012 to 2019; Member of the Board of Managers ofBlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retailand iShares� businesses from 2012 to 2016.


None

John M. Perlowski1964(e)

Director(since 2015),President andChief ExecutiveOfficer (Since2010)

Managing Director of BlackRock, Inc. since 2009; Head of BlackRock GlobalAccounting and Product Services since 2009; Advisory Director of Family ResourceNetwork (charitable foundation) since 2009.


None

(a) The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.(b) Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of

Independent Directors on a case-by-case basis, as appropriate.(c) Following the combination of Merrill Lynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were

realigned and consolidated into three new fund boards in 2007. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRockFund Complexes. As a result, although the chart shows the year that each Independent Director joined the Board, certain Independent Directors first became members of the boards of otherBlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Bruce R. Bond, 2005; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; LenaG. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.

(d) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Corporation based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr.Perlowski are also board members of the BlackRock Fixed-Income Complex.

(e) Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund.


D I R E C T O R A N D O F F I C E R I N F O R M A T I O N 47

Officers Who Are Not Directors(a)


Position(s) Held(Length ofService) Principal Occupation(s) During Past Five Years

JenniferMcGovern1977

Vice President(Since 2014)

Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development andGovernance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Groupfrom 2013 to 2019.

Neal J. Andrews1966

Chief FinancialOfficer(Since 2007)

Chief Financial Officer of the iShares� exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife1970

Treasurer(Since 2007)

Managing Director of BlackRock, Inc. since 2007.

Charles Park1967

ChiefComplianceOfficer(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 andChief Compliance Officer for iShares� Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief ComplianceOfficer for the BFA-advised iShares� exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset ManagementInternational Inc. since 2012.

Lisa Belle1968

Anti-MoneyLaunderingComplianceOfficer(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 Ahn1975

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 Corporation serve at the pleasure of the Board.

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

Effective December 31, 2019, Robert M. Hernandez retired as Director of the Corporation.

Investment AdviserBlackRock Advisors, LLCWilmington, DE 19809

Accounting Agent and Transfer AgentBNY Mellon Investment Servicing (US) Inc.Wilmington, DE 19809

CustodianBrown Brothers Harriman & Co.Boston, MA 02109

DistributorBlackRock Investments, LLCNew York, NY 10022

Independent Registered Public Accounting FirmDeloitte & Touche LLPBoston, MA 02116

Legal CounselSidley Austin LLPNew York, NY 10019

Address of the Corporation100 Bellevue ParkwayWilmington, DE 19809



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 multipleaccounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholderdocuments. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents tobe 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’sForm 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 uses 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 requestand 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. Visitblackrock.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 alsovisit 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 anyof 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 accountbalance is at least $10,000.

Retirement Plans

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

Additional Information

A D D I T I O N A L I N F O R M A T I O N 49

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-publicpersonal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why incertain 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 setforth 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, ifapplicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information wereceive 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 respondto 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 onlyfor 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 toyou. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for theinformation. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, includingprocedures relating to the proper storage and disposal of such information.

Additional Information (continued)


Currency Abbreviation

CAD Canadian Dollar

EUR Euro

GBP British Pound

USD United States Dollar

Portfolio Abbreviation

CVR Contingent Value Rights

ETF Exchange-Traded Fund

FKA Formally Known As

LIBOR London Interbank Offered Rate

S&P Standard & Poor’s

SPDR Standard & Poor’s Depository Receipt

Glossary of Terms Used in this Report

G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 51

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 buyshares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown inthis report should not be considered a representation of future performance. Investment returns and principal value ofshares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and otherinformation herein are as dated and are subject to change.

EDE-5/20-AR

Go to www.blackrock.com/edelivery.

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