DECEMBER 31, 2020
2020 Annual Report
BlackRock Funds II • BlackRock Managed Income Fund
Not FDIC Insured - May Lose Value - No Bank Guarantee The Markets in Review
Dear Shareholder,
7KHPRQWKUHSRUWLQJSHULRGDVRI'HFHPEHUKDVEHHQDWLPHRIVXGGHQFKDQJHLQJOREDO¿QDQFLDO markets, as the emergence and spread of the coronavirus (or “COVID-19”) led to a vast disruption in the global HFRQRP\DQG¿QDQFLDOPDUNHWV7KHWKUHDWIURPWKHFRURQDYLUXVEHFDPHLQFUHDVLQJO\DSSDUHQWWKURXJKRXW )HEUXDU\DQG0DUFKDQGFRXQWULHVDURXQGWKHZRUOGWRRNHFRQRPLFDOO\GLVUXSWLYHFRXQWHUPHDVXUHV6WD\ at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and XQHPSOR\PHQWFODLPVVSLNHGFDXVLQJDJOREDOUHFHVVLRQDQGDVKDUSIDOOLQHTXLW\SULFHV
After markets hit their lowest point of the reporting period in late March 2020, a steady recovery ensued, as EXVLQHVVHVEHJDQWRUHRSHQDQGJRYHUQPHQWVOHDUQHGWRDGDSWWROLIHZLWKWKHYLUXV(TXLW\SULFHVFRQWLQXHGWR ULVHWKURXJKRXWWKHVXPPHUIHGE\VWURQJ¿VFDODQGPRQHWDU\VXSSRUWDQGLPSURYLQJHFRQRPLFLQGLFDWRUV0DQ\ Rob Kapito equity indices neared or surpassed all-time highs late in the reporting period following a series of successful President, BlackRock Advisors, LLC YDFFLQHWULDOVDQGSDVVDJHRIDGGLWLRQDOVWLPXOXV,QWKH8QLWHG6WDWHVERWKODUJHDQGVPDOOFDSLWDOL]DWLRQ VWRFNVSRVWHGDVLJQL¿FDQWDGYDQFH,QWHUQDWLRQDOHTXLWLHVIURPGHYHORSHGHFRQRPLHVJUHZDWDPRUHPRGHVW SDFHODJJLQJHPHUJLQJPDUNHWVWRFNVZKLFKUHERXQGHGVKDUSO\ Total Returns as of December 31, 2020
'XULQJWKHPDUNHWGRZQWXUQWKHSHUIRUPDQFHRIGLIIHUHQWW\SHVRI¿[HGLQFRPHVHFXULWLHVLQLWLDOO\GLYHUJHGGXH 6-Month 12-Month WRDUHGXFHGLQYHVWRUDSSHWLWHIRUULVN867UHDVXULHVEHQH¿WHGIURPWKHULVNRIIHQYLURQPHQWDQGSRVWHGVROLG U.S. large cap equities 22.16% 18.40% UHWXUQVDVWKH\HDU867UHDVXU\\LHOG ZKLFKLVLQYHUVHO\UHODWHGWRERQGSULFHV WRXFKHGDQDOOWLPHORZ (S&P 500® Index) ,QWKHFRUSRUDWHERQGPDUNHWVXSSRUWIURPWKH86)HGHUDO5HVHUYH WKH³)HG´ DVVXDJHGFUHGLWFRQFHUQVDQG U.S. small cap equities 37.85 19.96 ERWKLQYHVWPHQWJUDGHDQGKLJK\LHOGERQGVUHFRYHUHGWRSRVWSRVLWLYHUHWXUQV (Russell 2000® Index) Following the coronavirus outbreak, the Fed instituted two emergency interest rate cuts, pushing short- International equities 21.61 7.82 (MSCI Europe, Australasia, WHUPLQWHUHVWUDWHVDOUHDG\ORZDVWKH\HDUEHJDQFORVHWR]HUR7RVWDELOL]HFUHGLWPDUNHWVWKH)HGDOVR Far East Index) implemented a new bond-buying program, as did several other central banks around the world, including the (XURSHDQ&HQWUDO%DQNDQGWKH%DQNRI-DSDQ Emerging market equities 31.14 18.31 (MSCI Emerging Markets Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we Index) EHOLHYHWKDWWKHJOREDOH[SDQVLRQLVOLNHO\WRDFFHOHUDWHDVYDFFLQDWLRQHIIRUWVJHWXQGHUZD\7KHUHVXOWVRIWKH 3-month Treasury bills 0.07 0.67 86HOHFWLRQVDOVRFOHDUHGWKHZD\IRUDGGLWLRQDOVWLPXOXVVSHQGLQJLQZKLFKLVOLNHO\WREHDVROLGWDLOZLQG (ICE BofA 3-Month U.S. IRUHFRQRPLFJURZWK,QÀDWLRQVKRXOGLQFUHDVHDVWKHH[SDQVLRQFRQWLQXHVEXWDVKLIWLQFHQWUDOEDQNSROLF\ Treasury Bill Index) PHDQVWKDWPRGHUDWHLQÀDWLRQLVOHVVOLNHO\WREHIROORZHGE\LQWHUHVWUDWHKLNHVWKDWFRXOGWKUHDWHQWKHHTXLW\ U.S. Treasury securities (1.87) 10.58 H[SDQVLRQ (ICE BofA 10-Year U.S. Treasury Index) 2YHUDOOZHIDYRUDSRVLWLYHVWDQFHWRZDUGULVNZLWKDQRYHUZHLJKWLQERWKHTXLWLHVDQGFUHGLW:HVHH86DQG U.S. investment grade bonds 1.29 7.51 $VLDQHTXLWLHVEHQH¿WLQJIURPVWUXFWXUDOJURZWKWUHQGVLQWHFKZKLOHHPHUJLQJPDUNHWVVKRXOGEHSDUWLFXODUO\ (Bloomberg Barclays U.S. KHOSHGE\DYDFFLQHOHGHFRQRPLFH[SDQVLRQ,QFUHGLWULVLQJLQÀDWLRQVKRXOGSURYLGHWDLOZLQGVIRULQÀDWLRQ Aggregate Bond Index) SURWHFWHGERQGVDQG(XURDUHDSHULSKHUDOVDQG$VLDQERQGVDOVRSURYLGHDWWUDFWLYHRSSRUWXQLWLHV:HEHOLHYH Tax-exempt municipal bonds 2.92 4.95 WKDW LQWHUQDWLRQDO GLYHUVL¿FDWLRQ DQG D IRFXV RQ VXVWDLQDELOLW\ FDQ KHOS SURYLGH SRUWIROLR UHVLOLHQFH DQG WKH (S&P Municipal Bond Index) GLVUXSWLRQFUHDWHGE\WKHFRURQDYLUXVDSSHDUVWREHDFFHOHUDWLQJWKHVKLIWWRZDUGVXVWDLQDEOHLQYHVWPHQWV U.S. high yield bonds 11.32 7.05 ,QWKLVHQYLURQPHQWRXUYLHZLVWKDWLQYHVWRUVQHHGWRWKLQNJOREDOO\H[WHQGWKHLUVFRSHDFURVVDEURDGDUUD\RI (Bloomberg Barclays U.S. DVVHWFODVVHVDQGEHQLPEOHDVPDUNHWFRQGLWLRQVFKDQJH:HHQFRXUDJH\RXWRWDONZLWK\RXU¿QDQFLDODGYLVRU Corporate High Yield 2% Issuer Capped Index) and visit blackrock.comIRUIXUWKHULQVLJKWDERXWLQYHVWLQJLQWRGD\¶VPDUNHWV Past performance is not an indication of future results. Index Sincerely, performance is shown for illustrative purposes only. You cannot invest directly in an index.
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2 T HIS P AGEIS NOT P ART O F YOUR F U ND R E P ORT Table of Contents
Page 7KH0DUNHWVLQ5HYLHZ 2 Annual Report: Fund Summary 4 About Fund Performance 7 'LVFORVXUHRI([SHQVHV 7 Derivative Financial Instruments 8 Financial Statements: Schedule of Investments 9 Statement of Assets and Liabilities 51 Statement of Operations 53 Statements of Changes in Net Assets 54 Financial Highlights 55 Notes to Financial Statements 59 5HSRUWRI,QGHSHQGHQW5HJLVWHUHG3XEOLF$FFRXQWLQJ)LUP 71 ,PSRUWDQW7D[,QIRUPDWLRQ 72 6WDWHPHQW5HJDUGLQJ/LTXLGLW\5LVN0DQDJHPHQW3URJUDP 73 7UXVWHHDQG2I¿FHU,QIRUPDWLRQ 74 Additional Information 78 *ORVVDU\RI7HUPV8VHGLQWKLV5HSRUW 80
3 Fund Summary as of December 31, 2020 BlackRock Managed Income Fund
Investment Objective
BlackRock Managed Income Fund’s (the “Fund”)LQYHVWPHQWREMHFWLYHLVWRVHHNWRPD[LPL]HFXUUHQWLQFRPHZLWKFRQVLGHUDWLRQIRUULVNPDQDJHGWRWDOUHWXUQ
Portfolio Management Commentary
How did the Fund perform? )RUWKHPRQWKSHULRGHQGHG'HFHPEHUWKH)XQGXQGHUSHUIRUPHGLWV&XVWRPL]HG5HIHUHQFH%HQFKPDUNDEOHQGRI6 3®,QGH[%ORRPEHUJ %DUFOD\V86$JJUHJDWH%RQG,QGH[)RUWKHVDPHSHULRGWKH)XQGDOVRXQGHUSHUIRUPHGWKH%ORRPEHUJ%DUFOD\V86$JJUHJDWH%RQG,QGH[
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7KH)XQG¶VDOORFDWLRQWRLQYHVWPHQWJUDGHERQGVZKLFKLVWKHODUJHVWSRVLWLRQLQWKHSRUWIROLRGXHWRWKHFDWHJRU\¶VPRUHFRQVHUYDWLYHULVNSUR¿OHZDVWKHOHDGLQJFRQWULEXWRU WR)XQGUHWXUQV$QDOORFDWLRQWRKLJK\LHOGERQGVDOVRPHDQLQJIXOO\FRQWULEXWHGIURPWKH¿UVWTXDUWHURIRQZDUG86HTXLW\SRVLWLRQLQJZDVDQRWKHUVLJQL¿FDQW FRQWULEXWRU2WKHUQRWDEOHFRQWULEXWRUVLQFOXGHGSRVLWLRQVLQDJHQF\PRUWJDJHEDFNHGVHFXULWLHVÀRDWLQJUDWHORDQLQWHUHVWV ³EDQNORDQV´ SUHIHUUHGVWRFNVDQGHPHUJLQJ PDUNHWHTXLWLHV6RPHRIWKH)XQG VSRVLWLRQLQJLQ86(XURSHDQDQGHPHUJLQJPDUNHWVWRFNVZDVDFKLHYHGWKURXJKWKHXVHRIGHULYDWLYHV
Describe recent portfolio activity. 7KH)XQGUHGXFHGRYHUDOOSRUWIROLRULVNGXULQJWKHVHOORIIDVVRFLDWHGZLWK&29,' SULPDULO\E\GHFUHDVLQJLWVH[SRVXUHWRVWRFNVDQGORZHUTXDOLW\ERQGVDVZHOODVE\ EXLOGLQJXSKLJKHUOHYHOVRIFDVK$VYRODWLOLW\VWDUWHGWRFRPHGRZQGXULQJWKHVXPPHUWKHLQYHVWPHQWDGYLVHUEHJDQWRUHGXFHFDVKDQGDGGEDFNWRKLJKHUULVNVHJPHQWV RIWKHFUHGLWPDUNHWVVXFKDVKLJK\LHOGERQGV%\WKHIRXUWKTXDUWHURIWKHLQYHVWPHQWDGYLVHU¶VHFRQRPLFRXWORRNKDGLPSURYHGQRWDEO\$FFRUGLQJO\WKH)XQGVWDUWHG WRWDNHSUR¿WVRQSRVLWLRQVLQPRUHFRQVHUYDWLYHLQYHVWPHQWVWKDWKDGPHDQLQJIXOO\DSSUHFLDWHG VXFKDVLQYHVWPHQWJUDGHFRUSRUDWHERQGVDQGDJHQF\PRUWJDJHV DQG DOORFDWLQJWRWKHULVNLHUSDUWVRIWKHPDUNHW%\WKHHQGRIWKH\HDUWKH)XQGKHOGLWVODUJHVWZHLJKWLQJLQHTXLWLHV²SULPDULO\WKURXJKJOREDOGLYLGHQGVWRFNVDQGFRYHUHG FDOOV²VLQFHLWVLQFHSWLRQ
Describe portfolio positioning at period end. 7KH)XQGZDVGLYHUVL¿HGDFURVVVHYHUDOLQFRPHSURGXFLQJDVVHWFODVVHVLQFOXGLQJLQYHVWPHQWJUDGHGHEWKLJK\LHOGERQGVEDQNORDQVFRYHUHGFDOOVJOREDOHTXLWLHV SUHIHUUHG VWRFNV PRUWJDJHEDFNHG VHFXULWLHV DQG FDVK DQG LW FRQWLQXHG WR XVH ULVNPDQDJHPHQW VWUDWHJLHV 7KH )XQG¶V GXUDWLRQ LQWHUHVWUDWH VHQVLWLYLW\ VWRRG DW DSSUR[LPDWHO\\HDUVZKLFKUHSUHVHQWHGWKHORZHUHQGRIWKHUDQJHIRU
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4 202 0 B L A CKR OCK A NNU AL R E P O R T TO S HAR E H O LDERS Fund Summary as of December 31, 2020 (continued) BlackRock Managed Income Fund
TOTAL RETURN BASED ON A $10,000 INVESTMENT
$ 21,000
$19,640 19,000 $17,973 17,000 $16,735
15,000 $14,576
13,000
11,000
9,000 Dec 10 Dec 11 Dec 12 Dec 13 Dec 14 Dec 15 Dec 16 Dec 17 Dec 18 Dec 19 Dec 20
InstitutionalInstitutional InvestorInvestor A A CustomizedCustomized BloombergBloomberg SharesShares(a)(b)(a)(b) SharesShares(a)(b)(a)(b) ReferenceReference BarclaysBarclays U.S. U.S. BenchmarkBenchmark(c)(c) AggregateAggregate Bond IndexBond(d) Index(d)
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1 Year 5 Years 10 Years Standardized Unsubsidized 6-Month w/o sales w/sales w/o sales w/sales w/o sales w/sales 30-Day Yields 30-Day Yields Total Returns charge charge charge charge charge charge Institutional 1$ 1$ 1$ Investor A Investor C &ODVV. 1$ 1$ 1$ Bloomberg Barclays U.S. Aggregate Bond Index ...... ² ² 1$ 1$ 1$ Customized Reference Benchmark ... ² ² 1$ 1$ 1$
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F U ND S U MMARY 5 Fund Summary as of December 31, 2020 (continued) BlackRock Managed Income Fund
Portfolio Information
PORTFOLIO COMPOSITION CREDIT QUALITY ALLOCATION
Percent of at Percent of Asset Type Total Investments (a) Credit Rating (a) Total Investments (b)
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6 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS About Fund Performance
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8 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020
Par (000) Par (000) Security Par (000) Value Security Par (000) Value Asset-Backed Securities — 6.9% Asset-Backed Securities (continued) )XQGLQJ&/2/WG(a)(b): 6HULHV$&ODVV$55 /,%2586' 6HULHV$&ODVV$ /,%2586' 0RQWK 86' $ 0RQWK 86' 900 $ 899,121 6HULHV$&ODVV$ /,%2586' 6HULHV$&ODVV% /,%2586' 0RQWK 1,850 0RQWK 500 'HHU&UHHN&/2/WG6HULHV$&ODVV $,*&/2/WG6HULHV $&ODVV$ % /,%2586'0RQWK /,%2586'0RQWK (a)(b) 500 498,748 (a)(b) 1,000 1,000,993 Dryden 49 Senior Loan Fund(a)(b): $,0&2&/26HULHV$$&ODVV$ /,%25 6HULHV $&ODVV$ /,%2586' 86'0RQWK (a)(b) 500 500,109 0RQWK $OOHJUR&/29,/WG6HULHV$&ODVV 6HULHV $&ODVV% /,%2586' $ /,%2586'0RQWK 0RQWK 1,000 994,058 (a)(b) 400 397,373 (OPZRRG&/2,,/WG6HULHV $&ODVV $OOHJUR&/2;/WG6HULHV $&ODVV$ $ /,%2586'0RQWK /,%2586'0RQWK (a)(b) 500 500,552 (a)(b) 500 502,712 First Franklin Mortgage Loan Trust, Series $0657UXVW(b): ))&ODVV$0 /,%2586' 6HULHV6)5&ODVV( 0RQWK (a) 932 891,310 1,000 1,020,718 *LOEHUW3DUN&/2/WG6HULHV$&ODVV 6HULHV6)5&ODVV) $ /,%2586'0RQWK 1,000 1,009,284 (a)(b) 750 749,999 $QFKRUDJH&DSLWDO&/2/WG(a)(b): Greywolf&/29,,/WG6HULHV$&ODVV 6HULHV$&ODVV$5 /,%2586' $ /,%2586'0RQWK 0RQWK 500 499,999 (a)(b) 500 499,999 6HULHV$&ODVV$$ /,%2586' Grippen3DUN&/2/WG6HULHV$&ODVV 0RQWK 500 $ /,%2586'0RQWK $UHV;/,&/2/WG6HULHV$&ODVV (a)(b) 1,500 $5 /,%2586'0RQWK Highbridge/RDQ0DQDJHPHQW/WG6HULHV (a)(b) 1,000 999,998 $&ODVV$ /,%2586'0RQWK $UHV;;;,5&/2/WG6HULHV5$ (a)(b) 500 &ODVV$ /,%2586'0RQWK .D\QH&/2,,,/WG6HULHV $&ODVV$ (a)(b) 500 /,%2586'0RQWK $UHV;;;9,,&/2/WG6HULHV$&ODVV (a)(b) 1,000 1,005,107 $5 /,%2586'0RQWK 0DGLVRQ3DUN)XQGLQJ;;9/WG6HULHV (a)(b) 250 248,933 $&ODVV$ /,%2586'0RQWK $UHV;;;95&/2/WG6HULHV5$ (a)(b) 1,500 1,495,041 &ODVV$ /,%2586'0RQWK 0DGLVRQ3DUN)XQGLQJ;;9,,/WG6HULHV (a)(b) 1,000 999,998 $&ODVV$$ /,%2586'0RQWK $WULXP,;6HULHV $&ODVV$5 /,%2586' (a)(b) 1,000 0RQWK (a)(b) 1,000 997,053 0LORV&/2/WG6HULHV$&ODVV$5 %D\YLHZ)LQDQFLDO5HYROYLQJ$VVHW7UXVW /,%2586'0RQWK 6HULHV$&ODVV$ /,%2586' (a)(b) 700 0RQWK (a)(b) 905 03&/2,,,/WG6HULHV$&ODVV$5 %HQH¿W6WUHHW3DUWQHUV&/2,9/WG6HULHV /,%2586'0RQWK ,9$&ODVV$55 /,%2586' (a)(b) 250 249,382 0RQWK (a)(b) 500 500,171 1HXEHUJHU%HUPDQ/RDQ$GYLVHUV&/2/WG %HQH¿W6WUHHW3DUWQHUV&/29,,,/WG6HULHV 6HULHV$&ODVV$ /,%2586' $&ODVV$$5 /,%2586' 0RQWK (a)(b) 750 0RQWK (a)(b) 500 497,530 2&3&/2/WG6HULHV$&ODVV$$ &DUO\OH*OREDO0DUNHW6WUDWHJLHV&/2/WG /,%2586'0RQWK 6HULHV5$&ODVV$ /,%2586' (a)(b) 500 499,998 0RQWK (a)(b) 493 2FWDJRQ,QYHVWPHQW3DUWQHUV/WG6HULHV &%$0/WG(a)(b): $&ODVV%5 /,%2586'0RQWK 6HULHV$&ODVV% /,%2586' (a)(b) 500 492,330 0RQWK 1,000 985,231 2FWDJRQ,QYHVWPHQW3DUWQHUV/WG6HULHV 6HULHV$&ODVV$ /,%2586' $&ODVV$ /,%2586'0RQWK 0RQWK 1,000 1,003,084 (a)(b) 500 &HGDU)XQGLQJ9,,,&/2/WG6HULHV$ 2+$/RDQ)XQGLQJ/WG(a)(b): &ODVV$ /,%2586'0RQWK 6HULHV$&ODVV%5 /,%2586' (a)(b) 513 514,248 0RQWK 1,000 993,218 &HGDU)XQGLQJ;,&/2/WG6HULHV $ 6HULHV$&ODVV$5 /,%2586' &ODVV$$ /,%2586'0RQWK 0RQWK 500 500,505 (a)(b) 500 500,435 2=/0;,;/WG6HULHV $&ODVV$ &,)&)XQGLQJ/WG(a)(b): /,%2586'0RQWK 6HULHV$&ODVV$55 /,%2586' (a)(b) 250 249,583 0RQWK 1,000 991,243
S C HEDU LE O F INVES T MENTS 9 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020
Par (000) Shares Security Par (000) Value Security Shares Value Asset-Backed Securities (continued) 3DOPHU6TXDUH&/2/WG(a)(b): $=(.&R,QF 7KH (c) 54 $ 6HULHV$&ODVV$$ /,%2586' &DUULHU*OREDO&RUS 22,570 851,341 0RQWK 86' 1,000 $ 999,998 853,417 6HULHV $&ODVV$ /,%2586' Communications Equipment — 0.1% 0RQWK 1,000 1,005,034 &LVFR6\VWHPV,QF 758,155
6HULHV $&ODVV$ /,%2586' 0RQWK 1,000 1,008,975 Containers & Packaging — 0.2% 3DUN$YHQXH,QVWLWXWLRQDO$GYLVHUV&/2/WG Amcor plc, CDI 43,099 511,810 6HULHV$&ODVV$$ /,%2586' ,QWHUQDWLRQDO3DSHU&R 17,312 (a)(b) 0RQWK 750 749,998 3URJUHVV5HVLGHQWLDO7UXVW(b): 6HULHV6)5&ODVV) Distributors — 0.1% 1,000 *HQXLQH3DUWV&R 5,254 6HULHV6)5&ODVV$ 'LYHUVLÀHG7HOHFRPPXQLFDWLRQ6HUYLFHV³ 1,000 1,025,377 7(/86&RUS
6HULHV6)5&ODVV% 1,000 Electrical Equipment — 0.2% 5HJDWWD9,,,)XQGLQJ/WG6HULHV$ (DWRQ&RUSSOF 5,782 &ODVV$ /,%2586'0RQWK 6FKQHLGHU(OHFWULF6( 2,921 (a)(b) 500 500,001 5HJDWWD;,)XQGLQJ/WG6HULHV$&ODVV % /,%2586'0RQWK Food & Staples Retailing — 0.1% (a)(b) 6\VFR&RUS 11,115 825,400 5HJDWWD;,9)XQGLQJ/WG6HULHV$ Food Products — 0.1% &ODVV$ /,%2586'0RQWK
(a)(b) 1,000 999,295 1HVWOH6$ 5HJLVWHUHG 5HJDWWD;9)XQGLQJ/WG6HULHV$ Health Care Equipment & Supplies — 0.2% &ODVV$ /,%2586'0RQWK $QVHOO/WG 378,553 (a)(b) 700 .RQLQNOLMNH Philips NV(c) 14,214 7,&3&/29,,/WG6HULHV$&ODVV$65 Medtronic plc 4,577
/,%2586'0RQWK (a)(b) 1,300 1,301,244 :HEVWHU3DUN&/2/WG6HULHV$&ODVV Health Care Providers & Services — 0.3% $%5 /,%2586'0RQWK 6RQLF+HDOWKFDUH/WG 400,988 (a)(b) 1,000 8QLWHG+HDOWK*URXS,QF 3,797 1,331,532
Total Asset-Backed Securities — 6.9% 1,732,520 (Cost: $47,468,160) Household Products — 0.3%
Shares 3URFWHU *DPEOH&R 7KH 7,091 Shares 5HFNLWW%HQFNLVHU*URXSSOF 1,327,031
Insurance — 0.2% Aerospace & Defense — 0.6% $VVXUDQW,QF 798,385 %$(6\VWHPVSOF 227,331 3URJUHVVLYH&RUS 7KH 7,984 789,458
/RFNKHHG0DUWLQ&RUS 4,552 5D\WKHRQ7HFKQRORJLHV&RUS 9,451 1,587,843 IT Services — 0.6% 3,807,729 Amadeus IT Group SA 14,528 1,072,417 Air Freight & Logistics — 0.1% 3D\FKH[,QF 18,399 1,714,419 'HXWVFKH3RVW$* 5HJLVWHUHG 13,157
9LVD,QF&ODVV$ 7,290 1,594,542 Banks — 0.4% 4,381,378 &LWL]HQV)LQDQFLDO*URXS,QF 1,057,352 Leisure Products — 0.2% '%6*URXS+ROGLQJV/WG 20,400 +DVEUR,QF 1,399,358
0 7%DQN&RUS 7,879 1,002,997 8QLWHG2YHUVHDV%DQN/WG 19,100 325,548 Machinery — 0.2% .RQH2<-&ODVV% 4,703 383,201 2,772,492 2WLV:RUOGZLGH&RUS 15,274 1,031,759
Beverages — 0.2% &RFD&ROD&R 7KH 12,427 Diageo plc 10,499 415,432 Media — 0.2% Heineken NV 3,811 &RPFDVW&RUS&ODVV$ 31,511
Oil, Gas & Consumable Fuels — 0.0% Biotechnology — 0.2% &DOLIRUQLD5HVRXUFHV&RUS(c) 2,501 $EE9LH,QF 10,011
10 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020
Shares Par (000) Security Shares Value Security Par (000) Value
Personal Products — 0.2% Aerospace & Defense (continued) 8QLOHYHUSOF 24,003 $ 1,439,548 86' 75 $ 84,180 100 115,552 Pharmaceuticals — 0.9% 290 347,733 AstraZeneca plc 10 11,049 1,445,051 %ULVWRO0\HUV6TXLEE&R 50 50,757 3,398 534,777 -RKQVRQ -RKQVRQ 50 11,291 1RYDUWLV$* 5HJLVWHUHG /RFNKHHG0DUWLQ&RUS 170 220,910 721,031 1RYR1RUGLVN$6&ODVV% 1RUWKURS*UXPPDQ&RUS 20,012 6DQR¿ 200
245,279 5D\WKHRQ7HFKQRORJLHV&RUS 10*,QF(c) 10,788 24 5(/;SOF 54,923 1,342,132 50 54,004 85 1,352,920 370 441,100 Semiconductors & Semiconductor Equipment — 0.4% 50 74,093 7DLZDQ6HPLFRQGXFWRU0DQXIDFWXULQJ&R/WG 1,059,378 180 234,722 7H[DV,QVWUXPHQWV,QF 10,438 1,713,189 75,955 80 15 Software — 0.3% 6LJQDWXUH$YLDWLRQ86+ROGLQJV,QF(b): 0LFURVRIW&RUS 8,187 1,820,953
44 45,100 Tobacco — 0.4% 84 84,559 %ULWLVK$PHULFDQ7REDFFRSOF 34,225 1,271,009 6SLULW$HUR6\VWHPV,QF(b) 57 3KLOLS0RUULV,QWHUQDWLRQDO,QF 18,391 1,522,591 66/5RERWLFV//& (b) 35 39,550 TransDigm,QF (b) Trading Companies & Distributors — 0.2% (b) 1,557,030 Ferguson plc 8,842
7ULXPSK*URXS,QF(b) 323 354,493
Total Common Stocks — 7.5% (Cost: $48,488,991) Air Freight & Logistics — 0.0% Par (000) )HG([&RUS Par (000) 40 Corporate Bonds — 45.6% 145 45 Aerospace & Defense — 1.3% 294,949 %RHLQJ&R 7KH Airlines — 0.4% 86' 290 294,873 Air Canada Pass-Through Trust, Series 2017-1, &ODVV$$(b) 15,809 20 American Airlines Pass-Through Trust: 100 105,014 6HULHV &ODVV% 75 585 6HULHV&ODVV$$ 40 $PHULFDQ$LUOLQHV,QF(b) 233 485 %ULWLVK$LUZD\V3DVV7KURXJK7UXVW(b): 40 41,258 6HULHV &ODVV$ 43 40,583 5 6HULHV&ODVV$ 110 10 'HOWD$LU/LQHV,QF 55 75,798 100 70 99,301 (b) 91 %RPEDUGLHU,QF(b): (b) 80 85,509 309 (b) 237 81 79,178 0LOHDJH3OXV+ROGLQJV//&(b) 594 50 6SLULW/R\DOW\&D\PDQ/WG (b) 22 10 9,275 8QLWHG$LUOLQHV3DVV7KURXJK7UXVW 118 108,494 6HULHV&ODVV% 101 101,728 %:;7HFKQRORJLHV,QF(b): 6HULHV&ODVV$ 700 117 121,534 6HULHV &ODVV$$ 44 42,134 107 111,414 *HQHUDO'\QDPLFV&RUS 91 118,455 +RZPHW$HURVSDFH,QF 2 2,202 Auto Components — 0.3% .UDWRV'HIHQVH 6HFXULW\6ROXWLRQV,QF $GLHQW86//& (b) 38 42,370 (b) 177 $OOLVRQ7UDQVPLVVLRQ,QF(b): /+DUULV7HFKQRORJLHV,QF 117 129,285 100 108,015 98
S C HEDU LE O F INVES T MENTS 11 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020
Par (000) Par (000) Security Par (000) Value Security Par (000) Value
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341,909 70 78,310 5RSHU7HFKQRORJLHV,QF $1*,*URXS//&(b) 83 84,452 179,032 %RRNLQJ+ROGLQJV,QF 85 40 41,954 45 51,034 H%D\,QF 50 Insurance — 0.7% ([SHGLD*URXS,QF $FULVXUH//&(b) 20 21,174 (b) Alliant Holdings Intermediate LLC(b): (b) 479 555,209 (b) 80 589 75 $OOLDQ]6( 867UHDVXU\ S C HEDU LE O F INVES T MENTS 23 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Par (000) Security Par (000) Value Security Par (000) Value IT Services (continued) Machinery (continued) 86' 50 $ 86' 91 $ 290 2WLV:RUOGZLGH&RUS 30 43 ,QWHUQDWLRQDO%XVLQHVV0DFKLQHV&RUS 995 5%6*OREDO,QF(b) 57,050 74,358 6WHYHQV+ROGLQJ&R,QF(b) 21 295 387,374 7HUH[&RUS(b) 17 17,512 .%5,QF (b) 58 7LWDQ$FTXLVLWLRQ/WG(b) 297 308,880 Mastercard,QF 9HUWLFDO861HZFR,QF(b) 400 424,000 5 :DEDVK1DWLRQDO&RUS(b) 101 103,020 45 58,082 (b) 22 25,080 1RUWKZHVW)LEHU//& Media — 2.1% 3D\3DO+ROGLQJV,QF $GYDQWDJH6DOHV 0DUNHWLQJ,QF 180 192,354 (b) 47 49,702 100,299 $OWLFH)LQDQFLQJ6$(b) 200 $0&1HWZRUNV,QF 83 85,714 45 51,911 %ORFN&RPPXQLFDWLRQV,QF(b) 39 40,170 3UHVLGLR+ROGLQJV,QF(b) 140 148,509 &DEOH2QH,QF(b) 79 6FLHQFH$SSOLFDWLRQV,QWHUQDWLRQDO&RUS Charter Communications Operating LLC: (b) 54 57,240 730 Tempo Acquisition LLC(b): 430 499,423 101 107,312 99 258 8QLV\V&RUS(b) 34 37,145 95 115,949 9LVD,QF 12 18,200 30 90 90,733 55 &OHDU&KDQQHO:RUOGZLGH+ROGLQJV,QF :(;,QF(b) 131 (b) 710 717,100 Leisure Products — 0.1% &RPFDVW&RUS 0DWWHO,QF 835 (b) 175,208 185 208,792 (b) 75 90,283 35 100 109,398 200 227,214 450 593,022 342,252 15 20,324 Life Sciences Tools & Services — 0.1% 92 115,902 &KDUOHV5LYHU/DERUDWRULHV,QWHUQDWLRQDO,QF 220 229,347 (b) 48,185 150 6\QHRV+HDOWK,QF (b) 147 147,407 70 Thermo)LVKHU6FLHQWL¿F,QF CSC Holdings LLC: 27 29,225 150 (b) 200 219,250 50 55,738 (b) 418 40 (b) 405 50 (b) 'LDPRQG6SRUWV*URXS//& 110 89,375 591,494 Discovery Communications LLC: Machinery — 0.3% 237 $PVWHG,QGXVWULHV,QF(b) 32 34,000 (b) 77 $76$XWRPDWLRQ7RROLQJ6\VWHPV,QF 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Mortgage Real Estate Investment Trusts (REITs) — 0.0% 6FULSSV(VFURZ,,,QF(b): 6WDUZRRG3URSHUW\7UXVW,QF 30 31,178 (b) 10 10,450 53 55,252 6LQFODLU7HOHYLVLRQ*URXS,QF Multiline Retail — 0.0%(b) (b) 218 0DF\ V,QF 157 174,348 6LULXV;05DGLR,QF(b): 1RUGVWURP,QF 133 31 32,124 323,315 75 82,523 Multi-Utilities — 0.2% 144,755 &HQWHU3RLQW(QHUJ\,QF 25 25,841 (b) 200 6N\/WG &06(QHUJ\&RUS (b) 313 345,083 7HUULHU0HGLD%X\HU,QF 125 137,781 7LPH:DUQHU&DEOH//& 100 112,998 100 101,419 &RQVXPHUV(QHUJ\&R 70 93,433 50 37 43,357 100 115,597 (b) 24 7RZQVTXDUH0HGLD,QF 5 5,024 (b): 8QLYLVLRQ&RPPXQLFDWLRQV,QF 'RPLQLRQ(QHUJ\,QF 58 58,435 (h) 35 35,311 130 (h) 200 90 98,383 9LDFRP&%6,QF (h) 35 37,783 Virgin Media Vendor Financing Notes IV DAC, 120 (b) 403 419,120 6HULHV& 50 (b) 200 =LJJR%RQG&R%9 1L6RXUFH,QF =LJJR%9(b) 300 313,125 140 14,511,017 30 34,715 Metals & Mining — 0.5% 107 140,143 $OOHJKHQ\7HFKQRORJLHV,QF 6HPSUD(QHUJ\ (h) 240 273,341 Arconic&RUS(b): 150 173,745 134 Oil, Gas & Consumable Fuels — 4.5% %+3%LOOLWRQ)LQDQFH86$/WG $QWHUR0LGVWUHDP3DUWQHUV/3 25 25,713 (b) 103 25 $QWHUR5HVRXUFHV&RUS(b) 17 17,352 (b) 351 379,080 %LJ5LYHU6WHHO//& $SDFKH&RUS Constellium (b): 6( 71,020 250 255,312 72 250 257,500 5 5,389 )UHHSRUW0F0R5DQ,QF 74 112 119,000 55,251 137 150,358 414 515,430 $VFHQW5HVRXUFHV8WLFD+ROGLQJV//&(b): -RVHSK75\HUVRQ 6RQ,QF 72 79,920 (b) 104 117,780 35,910 .DLVHU$OXPLQXP&RUS(b): %D\WH[(QHUJ\&RUS(b) 44 27,998 27 28,890 %OXH5DFHU0LGVWUHDP//&(b) 53 58 S C HEDU LE O F INVES T MENTS 25 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Par (000) Security Par (000) Value Security Par (000) Value Oil, Gas & Consumable Fuels (continued) Oil, Gas & Consumable Fuels (continued) %3&DSLWDO0DUNHWV$PHULFD,QF 86' 11 $ 10,422 86' 30 $ 31,030 DCP Midstream Operating LP: 85 92,891 58 175 55 35 39,807 (b) 78 84,240 50 (b) 74,520 135 'HYRQ(QHUJ\&RUS 12 'LDPRQGEDFN(QHUJ\,QF %3&DSLWDO0DUNHWVSOF 455 478,273 70 55 867UHDVXU\ 26 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Par (000) Security Par (000) Value Security Par (000) Value Oil, Gas & Consumable Fuels (continued) Oil, Gas & Consumable Fuels (continued) (b) 86' 143 $ 86' $ (47&RUS 2FFLGHQWDO3HWUROHXP&RUS 75 74,509 144 144,180 45 47,444 103 102,902 (h) 31 37,975 21 ([[RQ0RELO&RUS 302 455 497,999 43 44,832 10 11,080 22 20,975 10 11,429 3 2,805 *HQHVLV(QHUJ\/3 2 2,348 32 31,200 184 25 18 17,235 111 93,853 *UHDW:HVWHUQ3HWUROHXP//& 239 (b) 40,020 81 +DUYHVW0LGVWUHDP,/3 (b) 94 99,993 387 337,321 +HVV&RUS 9 9,132 200 220,494 104 102 124,477 13 87 50,530 Hess Midstream Operations LP(b): 30 25,284 17 Ovintiv([SORUDWLRQ,QF 31 32,405 30 31,159 +ROO\(QHUJ\3DUWQHUV/3(b) 32 32,240 12 12,878 +ROO\)URQWLHU&RUS 155 158,411 Ovintiv,QF ,QGLJR1DWXUDO5HVRXUFHV//& 225 227,828 (b) 150 153,375 10 .LQGHU0RUJDQ(QHUJ\3DUWQHUV/3 3DUNODQG&RUS(b) 48 51,899 171,382 3DUVOH\(QHUJ\//&(b): 402,057 70 95,782 119 97 128,250 154 .LQGHU0RUJDQ,QF 3%)+ROGLQJ&R//& (b) 354 349,009 (b) 215 3'&(QHUJ\,QF 415 (e) 54 114 48 49,325 132 5 4,938 0DUDWKRQ2LO&RUS 105 108,413 3KLOOLSV 145 145,351 340,159 3LRQHHU1DWXUDO5HVRXUFHV&R 22 25,058 50 57,820 0DUDWKRQ3HWUROHXP&RUS 595 Plains All American Pipeline LP: 35 40,094 200 205,935 54 9 9,419 0DWDGRU5HVRXUFHV&R 5 4,919 0(*(QHUJ\&RUS(b): 21 22,287 78 78,780 4(35HVRXUFHV,QF 209 215,280 27 27,878 93 97,883 MPLX LP: 28,510 210 220,554 5DQJH5HVRXUFHV&RUS 50 52,955 35 130 134,538 9 8,775 190 219,134 11 10,390 70 80,539 5DWWOHU0LGVWUHDP/3(b) 25 28,595 Sabine Pass Liquefaction LLC: 0XUSK\2LO&RUS 708,842 24 55 (h) 5 (b) 271 321,210 1HZ)RUWUHVV(QHUJ\,QF (b) 349 370,701 60(QHUJ\&R 1REOH(QHUJ\,QF 140 182,441 73 70,445 NuStar Logistics LP: (b) 172 184,900 42 44,730 6RXWKZHVWHUQ(QHUJ\&R 39 42,179 40 40,200 S C HEDU LE O F INVES T MENTS 27 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Par (000) Security Par (000) Value Security Par (000) Value Oil, Gas & Consumable Fuels (continued) Paper & Forest Products (continued) (h) 86' $ 27,040 86' $ 21 22,029 234,154 44 47,740 Personal Products — 0.0% Sunoco Logistics Partners Operations LP: (GJHZHOO3HUVRQDO&DUH&R(b) 31 450 487,251 90 98,830 Pharmaceuticals — 0.8% %DXVFK+HDOWK$PHULFDV,QF(b): 20 22,300 191 213,411 132 Sunoco LP: %DXVFK+HDOWK&RV,QF(b): 39 39,492 109 120,331 11 110 117,975 22 88 (b) 58,240 12 7DOOJUDVV(QHUJ\3DUWQHUV/3(b): 250 44 47,502 89 48 49,394 319 334,950 7DUJD5HVRXUFHV3DUWQHUV/3 92 45 48,825 %D\HU86)LQDQFH,,//&(b): 87 91,834 30 200 133 144,398 %D\HU86)LQDQFH//&(b) 200 218,289 (b) %ULVWRO0\HUV6TXLEE&R 7HQQHVVHH*DV3LSHOLQH&R//& 70,541 9 11,732 30 34,925 7HUUD)RUP3RZHU2SHUDWLQJ//& &DWDOHQW3KDUPD6ROXWLRQV,QF (b) 35 37,450 (b) 101 TransCanada PipeLines/WG (ODQFR$QLPDO+HDOWK,QF (h) 8 9,440 100 103,338 (QGR'$& 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377,853 3HQVNH7UXFN/HDVLQJ&R/3(b): 10 320 328,483 100 110,255 120 152,905 520 233,597 100 100,855 20 5\GHU6\VWHP,QF 216HPLFRQGXFWRU&RUS (b) 104 215 48$/&200,QF 250 272,895 50 71,139 8EHU7HFKQRORJLHV,QF(b): 79 107,114 334 7H[DV,QVWUXPHQWV,QF 45 95 144 158,400 82 89,175 Software — 1.1% 8QLRQ3DFL¿F&RUS $&,:RUOGZLGH,QF(b) 188 198,810 125 Ascend Learning LLC: (b) 185 90 $XWRGHVN,QF 100 110,770 50 52,421 15 75 84,543 50 %R[HU3DUHQW&R,QF(b): 130 89 25 30,807 215 231,125 (b) 100 123,783 %<&URZQ3DUHQW//&(b): 283 350,308 14 14,245 220 225,500 4,929,001 40 41,207 Semiconductors & Semiconductor Equipment — 1.0% &$,QF &DPHORW)LQDQFH6$(b) 198 $QDORJ'HYLFHV,QF &DVWOH86+ROGLQJ&RUS (b) 200 &KDQJH+HDOWKFDUH+ROGLQJV//& 25 (b) 535 545,700 $SSOLHG0DWHULDOV,QF 180 203,859 0LFURVRIW&RUS %URDGFRP,QF 270 332,944 90 93,995 29 410 450,455 391 495,782 1,109 1,270,878 27,418 104 1XDQFH&RPPXQLFDWLRQV,QF 175 200,417 48 50,790 232 257,417 2SHQ7H[W+ROGLQJV,QF(b) 92 97,870 89 101,859 2UDFOH&RUS 100 119,272 590 280 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Planview3DUHQW,QF'HOD\HG'UDZVW/LHQ /RDQ /,%2586'0RQWK 7HUP/RDQ(a)(j)(k) 22 22,322 , 157 153,159 5H¿QLWLY86+ROGLQJV,QF7HUP/RDQ /,%25 %DXVFK+HDOWK&RV,QF7HUP/RDQ 86'0RQWK ,(a) (k) 252 251,171 Severin Acquisition LLC, 1st Lien Term Catalent3KDUPD6ROXWLRQV,QF7HUP/RDQ /RDQ /,%2586'0RQWK % /,%2586'0RQWK ,(a) 245 , 131 130,507 6RODU:LQGV+ROGLQJV,QFVW/LHQ7HUP (ODQFR$QLPDO+HDOWK,QF7HUP/RDQ /,%25 /RDQ /,%2586'0RQWK 86'0RQWK , 134 ,(a) Grifols:RUOGZLGH2SHUDWLRQV/WG7HUP 66 &7HFKQRORJLHV+ROGLQJV,QF7HUP /RDQ% /,%2586':HHN /RDQ% /,%2586'0RQWK , 99 98,072 ,(a) 15,377 -DJXDU+ROGLQJ&R,//&7HUP/RDQ /,%25 7,%&26RIWZDUH,QFQG/LHQ7HUP 86'0RQWK , 259,558 /RDQ /,%2586'0RQWK (a) 1,025,140 , 217 219,198 Professional Services — 0.1%(a) 8OWLPDWH6RIWZDUH*URXS,QF 7KH VW/LHQ (a) 'XQ %UDGVWUHHW&RUS 7KH 7HUP/RDQ Term Loan: (k) 94 /,%2586'0RQWK /,%2586'0RQWK 347 435 434,520 /,%2586'0RQWK STG-Fairway Holdings LLC, Facility 1st Lien 343 7HUP/RDQ /,%2586'0RQWK 8OWLPDWH6RIWZDUH*URXS,QF 7KH QG/LHQ , 7HUP/RDQ /,%2586'0RQWK (a) , 124 127,255 591,047 Real Estate Management & Development — 0.0% (a) 5HDORJ\*URXS//&7HUP/RDQ /,%2586' Specialty Retail — 0.1% 0RQWK ,(a) 13 %HOURQ)LQDQFH86//&7HUP/RDQ% /,%25 86'0RQWK , 149 148,174 Road & Rail — 0.0% 0DYLV7LUH([SUHVV6HUYLFHV&RUSVW/LHQ 8EHU7HFKQRORJLHV,QF7HUP/RDQ /,%25 7HUP/RDQ(k) 90 88,020 86'0RQWK ,(a) 141 0DYLV7LUH([SUHVV6HUYLFHV&RUSVW/LHQ 7HUP/RDQ% /,%2586'0RQWK , 88 88,220 216HPLFRQGXFWRU&RUS7HUP/RDQ 0('ParentCo LP, Delayed Draw 1st Lien % /,%2586'0RQWK 7HUP/RDQ /,%2586'0RQWK , (a) 32 31,732 , 25,589 Software — 0.6% 0('ParentCo/3VW/LHQ7HUP/RDQ %DUUDFXGD1HWZRUNV,QFVW/LHQ7HUP/RDQ /,%2586'0RQWK (a)(k) 239 238,044 , 104 102,041 %<&URZQ3DUHQW//&7HUP/RDQ% /,%25 Midas Intermediate Holdco II LLC, Term Loan, (k) 86'0RQWK ,(a) 210 209,417 80 81,378 &ORXGHUD,QF7HUP/RDQ(a)(k) 41 40,897 3HW6PDUW,QF7HUP/RDQ /,%2586' Cornerstone OnDemand,QF7HUP 0RQWK , 313 /RDQ /,%2586'0RQWK :RRI+ROGLQJV,QFVW/LHQ7HUP/RDQ (k) ,(a) 74 74,174 35,925 '7,+ROGFR,QF7HUP/RDQ% /,%2586' 0RQWK , (a) 112 99,715 S C HEDU LE O F INVES T MENTS 41 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Par (000) Security Par (000) Value Security Par (000) Value Technology Hardware, Storage & Peripherals — 0.0%(a) Preferred Securities — 1.9% (OHFWURQLFVIRU,PDJLQJ,QFVW/LHQ7HUP Capital Trusts — 1.5% /RDQ /,%2586'0RQWK Banks — 0.6%(a)(d) 81 $ , 86' %DQNRI$PHULFD&RUS :HVWHUQ'LJLWDO&RUS7HUP/RDQ% /,%25 6HULHV; /,%2586'0RQWK 86'0RQWK , 39 39,230 86' $ 108,431 6HULHV$$ /,%2586'0RQWK Trading Companies & Distributors — 0.0%(a) 315 %HDFRQ5RR¿QJ6XSSO\,QF7HUP/RDQ 6HULHV'' /,%2586'0RQWK 325 379,437 /,%2586'0RQWK &LWLJURXS,QF , 40 6HULHV4 /,%2586'0RQWK 70.+DZN3DUHQW&RUS7HUP/RDQ$ /,%25 40 39,800 , (j) 37 86'0RQWK 6HULHV9 62)5 300 308,277 70.+DZN3DUHQW&RUS7HUP/RDQ% /,%25 )LIWK7KLUG%DQFRUS (j) 86'0RQWK , 122 6HULHV+ /,%2586'0RQWK 850 Wireless Telecommunication Services — 0.1%(a) 6HULHV- /,%2586'0RQWK 125 119,375 Digicel,QWHUQDWLRQDO)LQDQFH/WGVW/LHQ7HUP /RDQ% /,%2586'0RQWK -30RUJDQ&KDVH &R 6HULHV9 /,%2586'0RQWK , 73 19 Hargray&RPPXQLFDWLRQV*URXS,QF7HUP 6HULHV, /,%2586'0RQWK /RDQ /,%2586'0RQWK 55,885 , 197 6HULHV= /,%2586'0RQWK 6%$6HQLRU)LQDQFH,,//&7HUP/RDQ /,%25 225 86'0RQWK , 6HULHV)) 62)5 244 428,730 6HULHV; /,%2586'0RQWK 135 Total Floating Rate Loan Interests — 5.9% 6HULHV++ 62)5 490 505,925 (Cost: $40,707,376) :HOOV)DUJR &R 6HULHV6 /,%2586'0RQWK Foreign Agency Obligations — 0.0% 570 Saudi Arabia — 0.0% 6HULHV8 /,%2586'0RQWK , (b) 200 202,750 443 502,251 6DXGL$UDELDQ2LO&R Total Foreign Agency Obligations — 0.0% 4,589,290 (a)(d) (Cost: $198,810) 202,750 Capital Markets — 0.1% *ROGPDQ6DFKV*URXS,QF 7KH 6HULHV2 Shares /,%2586'0RQWK Shares 0RUJDQ6WDQOH\6HULHV+ /,%2586' 0RQWK 131 130,057 Investment Companies — 20.2% %ODFN5RFN$OORFDWLRQ7DUJHW6KDUHV%$76 785,389 Series A* Consumer Finance — 0.3%(a)(d) %ODFN5RFN)ORDWLQJ5DWH,QFRPH3RUWIROLR &DSLWDO2QH)LQDQFLDO&RUS6HULHV( /,%25 &ODVV.6KDUHV* 11,008,080 86'0RQWK 594,780 %ODFN5RFN*10$3RUWIROLR&ODVV.6KDUHV* 'LVFRYHU)LQDQFLDO6HUYLFHV6HULHV& /,%25 %ODFN5RFN+LJK Total Investment Companies — 20.2% 9R\D)LQDQFLDO,QF6HULHV$ 867UHDVXU\ (Cost: $136,451,328) 139,089,054 42 202 0 B L A CKR OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 Par (000) Shares Security Par (000) Value Security Shares Value Insurance — 0.2%(a)(d) Warrants — 0.0% 0HW/LIH,QF6HULHV* 867UHDVXU\ Total Warrants — 0.0% ...... 208 Multi-Utilities — 0.1% Total Long-Term Investments — 95.8% 6HPSUD(QHUJ\ 867UHDVXU\ 71RWH&RQVWDQW0DWXULW\ 999,131 Total Investments Before Options Written — 99.2% Total Capital Trusts — 1.5% (Cost: $658,951,633) (Cost: $10,121,811) 10,480,078 Total Options Written — (0.0)% Shares (Premium Received — $34,152) (9,405) Shares Total Investments Net of Options Written — 99.2% Preferred Stocks — 0.4% (Cost: $658,917,481) Banks — 0.0%(a)(d) Other Assets Less Liabilities — 0.8% .H\&RUS6HULHV( /,%2586'0RQWK 183,259 Net Assets — 100.0% $ 86%DQFRUS6HULHV) /,%2586'0RQWK 5,000 133,300 Capital Markets — 0.1% 0RUJDQ6WDQOH\6HULHV. /,%2586' 0RQWK (a)(d) 15,000 432,750 6/0&RUS6HULHV% /,%2586'0RQWK (a)(d) 2,500 132,500 (QWHUJ\$UNDQVDV//& 25,000 $OOVWDWH&RUS 7KH 6HULHV+(d) 15,000 419,250 Oil, Gas & Consumable Fuels — 0.1% (QHUJ\7UDQVIHU2SHUDWLQJ/36HULHV( /,%2586'0RQWK (a)(d) 25,000 Total Preferred Stocks — 0.4% (Cost: $2,496,214) 2,523,059 Trust Preferreds — 0.0% Commercial Services & Supplies — 0.0% ,/)&(&DSLWDO7UXVW, <&07 (a)(b) 100,000 Total Trust Preferreds — 0.0% (Cost: $95,250) Total Preferred Securities — 1.9% (Cost: $12,713,275) 13,070,137 S C HEDU LE O F INVES T MENTS 43 Schedule of Investments (continued) BlackRock Managed Income Fund (Percentages shown are based on Net Assets) December 31, 2020 (a) 9DULDEOHUDWHVHFXULW\,QWHUHVWUDWHUHVHWVSHULRGLFDOO\7KHUDWHVKRZQLVWKHHIIHFWLYHLQWHUHVWUDWHDVRISHULRGHQG6HFXULW\GHVFULSWLRQDOVRLQFOXGHVWKHUHIHUHQFHUDWHDQGVSUHDGLI SXEOLVKHGDQGDYDLODEOH (b) 6HFXULW\H[HPSWIURPUHJLVWUDWLRQSXUVXDQWWR5XOH$XQGHUWKH6HFXULWLHV$FWRI DVDPHQGHG7KHVHVHFXULWLHVPD\EHUHVROGLQWUDQVDFWLRQVH[HPSWIURPUHJLVWUDWLRQWR TXDOL¿HGLQVWLWXWLRQDOLQYHVWRUV (c) 1RQLQFRPHSURGXFLQJVHFXULW\ (d) 3HUSHWXDOVHFXULW\ZLWKQRVWDWHGPDWXULW\GDWH (e) &RQYHUWLEOHVHFXULW\ (f) =HURFRXSRQERQG (g) 3D\PHQWLQNLQGVHFXULW\ZKLFKPD\SD\LQWHUHVWGLYLGHQGVLQDGGLWLRQDOSDUVKDUHVDQGRULQFDVK5DWHVVKRZQDUHWKHFXUUHQWUDWHDQGSRVVLEOHSD\PHQWUDWHV (h) 6WHSXSERQGWKDWSD\VDQLQLWLDOFRXSRQUDWHIRUWKH¿UVWSHULRGDQGWKHQDKLJKHUFRXSRQUDWHIRUWKHIROORZLQJSHULRGV5DWHDVRISHULRGHQG (i) $PRXQWLVOHVVWKDQ (j) 6HFXULW\LVYDOXHGXVLQJVLJQL¿FDQWXQREVHUYDEOHLQSXWVDQGLVFODVVL¿HGDV/HYHOLQWKHIDLUYDOXHKLHUDUFK\ (k) 5HSUHVHQWVDQXQVHWWOHGORDQFRPPLWPHQWDWSHULRGHQG&HUWDLQGHWDLOVDVVRFLDWHGZLWKWKLVSXUFKDVHDUHQRWNQRZQSULRUWRWKHVHWWOHPHQWGDWHLQFOXGLQJFRXSRQUDWH (l) )L[HGUDWH (m) $OORUDSRUWLRQRIWKLVVHFXULW\LVRQORDQ (n) $QQXDOL]HGGD\\LHOGDVRISHULRGHQG (o) $OORUDSRUWLRQRIWKLVVHFXULW\ZDVSXUFKDVHGZLWKWKHFDVKFROODWHUDOIURPORDQHGVHFXULWLHV * ,QYHVWPHQWVLQLVVXHUVFRQVLGHUHGWREHDI¿OLDWH V RIWKH)XQGGXULQJWKH\HDUHQGHG'HFHPEHUIRUSXUSRVHVRI6HFWLRQ D RIWKH,QYHVWPHQW&RPSDQ\$FWRI DV amended, were as follows: Capital Gain Change in Distributions Net Unrealized Shares from Value at Purchases at Proceeds from Realized Appreciation Value at Held at Underlying $I¿OLDWHG,VVXHU 12/31/19 Cost Sale Gain (Loss) (Depreciation) 12/31/20 12/31/20 Income Funds %ODFN5RFN/LTXLGLW\)XQGV T-Fund, Institutional Class(a) $ 9,094,815 $ 13,933,790 $ ² $ ² $ ² $ $ 88,902 $ ² SL Liquidity Series, LLC, Money Market Series(a) 8,423,887 ² 1,113 ² 357,289 357,182 13,343(b) ² %ODFN5RFN$OORFDWLRQ7DUJHW 6KDUHV%$766HULHV$ 28,029,701 ² ² 1,222,009 8,131 %ODFN5RFN)ORDWLQJ5DWH,QFRPH 3RUWIROLR&ODVV.6KDUHV 49,027,543 4,989,938 (42,801,194) 11,008,080 9,153 %ODFN5RFN*10$3RUWIROLR&ODVV .6KDUHV 19,157,781 (21,718,429) 707,208 1,253,131 ² %ODFN5RFN+LJK $ (132,273) $ 1,917,814 $ $ 5,004,235 $ 17,284 (a) 5HSUHVHQWVQHWDPRXQWSXUFKDVHG VROG (b) $OORUDSRUWLRQUHSUHVHQWVVHFXULWLHVOHQGLQJLQFRPHHDUQHGIURPWKHUHLQYHVWPHQWRIFDVKFROODWHUDOIURPORDQHGVHFXULWLHVQHWRIIHHVDQGFROODWHUDOLQYHVWPHQWH[SHQVHVDQGRWKHU SD\PHQWVWRDQGIURPERUURZHUVRIVHFXULWLHV (c) $VRISHULRGHQGWKHHQWLW\LVQRORQJHUKHOG )RU)XQGFRPSOLDQFHSXUSRVHVWKH)XQG VLQGXVWU\FODVVL¿FDWLRQVUHIHUWRRQHRUPRUHRIWKHLQGXVWU\VXEFODVVL¿FDWLRQVXVHGE\RQHRUPRUHZLGHO\UHFRJQL]HGPDUNHW LQGH[HVRUUDWLQJJURXSLQGH[HVDQGRUDVGH¿QHGE\WKHLQYHVWPHQWDGYLVHU7KHVHGH¿QLWLRQVPD\QRWDSSO\IRUSXUSRVHVRIWKLVUHSRUWZKLFKPD\FRPELQHVXFKLQGXVWU\ VXEFODVVL¿FDWLRQVIRUUHSRUWLQJHDVH 44 202 0 B L A CKR OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 Derivative Financial Instruments Outstanding as of Period End Futures Contracts Value/ Unrealized Number of Expiration Notional Appreciation Description Contracts Date Amount (000) (Depreciation) Long Contracts 06&,(PHUJLQJ0DUNHWV(0LQL,QGH[ 124 $ 7,987 $ Short Contracts *%3&XUUHQF\ 95 8,110 (243,499) (852672;;,QGH[ (44,589) 867UHDVXU\ 98,351 $ Exchange-Traded Options Purchased Number of Expiration Exercise Notional Description Contracts Date Price Amount (000) Value Put 5XVVHOO,QGH[ 38 86' 86' 7,504 $ 27,170 Exchange-Traded Options Written Number of Expiration Exercise Notional Description Contracts Date Price Amount (000) Value Put 5XVVHOO,QGH[ 38 86' 86' 7,504 $ (9,405) Centrally Cleared Credit Default Swaps — Buy Protection Upfront Financing Premium Unrealized Rate Paid Payment Termination Notional Paid Appreciation Reference Obligation/Index by the Fund Frequency Date Amount (000) Value (Received) (Depreciation) &';1$,*9 Quarterly 86' 1,185 $ $ (29,510) $ 114 OTC Credit Default Swaps — Buy Protection Upfront Financing Premium Unrealized Rate Paid Payment Termination Notional Paid Appreciation Reference Obligation/Index by the Fund Frequency Counterparty Date Amount (000) Value (Received) (Depreciation) :HVWHUQ8QLRQ&R 7KH Quarterly -30RUJDQ&KDVH%DQN1$ 86' 100 $ $ 91 $ (754) $ – $ – $ – S C HEDU LE O F INVES T MENTS 45 Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 OTC Credit Default Swaps — Sell Protection Upfront Financing Notional Premium Unrealized Rate Received Payment Termination Credit Amount Paid Appreciation Reference Obligation/Index by the Fund Frequency Counterparty Date Rating (a) (000) (b) Value (Received) (Depreciation) 0RUJDQ6WDQOH\ &R $PHULFDQ7RZHU&RUS Quarterly International plc %%% 86' 475 $ 1,243 $ (1,734) $ 2,977 (a) 8VLQJWKHUDWLQJRIWKHLVVXHURUWKHXQGHUO\LQJVHFXULWLHVRIWKHLQGH[DVDSSOLFDEOHSURYLGHGE\6 3*OREDO5DWLQJV (b) 7KHPD[LPXPSRWHQWLDODPRXQWWKH)XQGPD\SD\VKRXOGDQHJDWLYHFUHGLWHYHQWWDNHSODFHDVGH¿QHGXQGHUWKHWHUPVRIWKHDJUHHPHQW i Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written Swap Swap Premiums Premiums Unrealized Unrealized Paid Received Appreciation Depreciation Value Centrally Cleared Swaps (a) $ ² $ (29,510) $ 114 $ ² $ ² OTC Swaps 91 (1,734) 2,977 (754) ² 2SWLRQV:ULWWHQ 1$ 1$ 24,747 ² (9,405) ,QFOXGHVFXPXODWLYHDSSUHFLDWLRQ GHSUHFLDWLRQ RQFHQWUDOO\FOHDUHGVZDSVDVUHSRUWHGLQWKH6FKHGXOHRI,QYHVWPHQWV2QO\FXUUHQWGD\¶VYDULDWLRQPDUJLQLVUHSRUWHGZLWKLQWKH6WDWHPHQW RI$VVHWVDQG/LDELOLWLHVDQGLVQHWRIDQ\SUHYLRXVO\SDLG UHFHLYHG VZDSSUHPLXPDPRXQWV Derivative Financial Instruments Categorized by Risk Exposure $VRISHULRGHQGWKHIDLUYDOXHVRIGHULYDWLYH¿QDQFLDOLQVWUXPHQWVORFDWHGLQWKH6WDWHPHQWRI$VVHWVDQG/LDELOLWLHVZHUHDVIROORZV Foreign Currency Interest Commodity Credit Equity Exchange Rate Other Contracts Contracts Contracts Contracts Contracts Contracts Total Assets — Derivative Financial Instruments Futures contracts 8QUHDOL]HGDSSUHFLDWLRQRQIXWXUHVFRQWUDFWV(a) $ ² $ ² $ $ ² $ 490,149 $ ² $ Options purchased ,QYHVWPHQWVDWYDOXH²XQDI¿OLDWHG(b) ² ² 27,170 ² ² ² 27,170 6ZDSV²FHQWUDOO\FOHDUHG 8QUHDOL]HGDSSUHFLDWLRQRQFHQWUDOO\FOHDUHGVZDSV(a) ² 114 ² ² ² ² 114 6ZDSV²27& 8QUHDOL]HGDSSUHFLDWLRQRQ27&VZDSV 6ZDSSUHPLXPV paid ² ² ² ² ² $ ² $ 3,182 $ $ ² $ 490,149 $ ² $ 747,017 Liabilities — Derivative Financial Instruments Futures contracts 8QUHDOL]HGGHSUHFLDWLRQRQIXWXUHVFRQWUDFWV(a) ² ² 44,589 243,499 103,710 ² 391,798 Options written Options written at value ² ² 9,405 ² ² ² 9,405 6ZDSV²27& 8QUHDOL]HGGHSUHFLDWLRQRQ27&VZDSV 6ZDSSUHPLXPV received ² 2,488 ² ² ² ² 2,488 $ ² $ 2,488 $ 53,994 $ 243,499 $ 103,710 $ ² $ (a) 1HWFXPXODWLYHXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQIXWXUHVFRQWUDFWVDQGFHQWUDOO\FOHDUHGVZDSVLIDQ\DUHUHSRUWHGLQWKH6FKHGXOHRI,QYHVWPHQWV,QWKH6WDWHPHQWRI$VVHWVDQG /LDELOLWLHVRQO\FXUUHQWGD\ VYDULDWLRQPDUJLQLVUHSRUWHGLQUHFHLYDEOHVRUSD\DEOHVDQGWKHQHWFXPXODWLYHXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ LVLQFOXGHGLQDFFXPXODWHGHDUQLQJV ORVV (b) ,QFOXGHVRSWLRQVSXUFKDVHGDWYDOXHDVUHSRUWHGLQWKH6FKHGXOHRI,QYHVWPHQWV 46 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 )RUWKH\HDUHQGHG'HFHPEHUWKHHIIHFWRIGHULYDWLYH¿QDQFLDOLQVWUXPHQWVLQWKH6WDWHPHQWRI2SHUDWLRQVZDVDVIROORZV Foreign Currency Interest Commodity Credit Equity Exchange Rate Other Contracts Contracts Contracts Contracts Contracts Contracts Total Net Realized Gain (Loss) from: Futures contracts $ ² $ ² $ 4,089,205 $ $ (4,514,952) $ ² $ Swaps ² ² ² ² ² $ ² $ $ 4,089,205 $ $ (4,514,952) $ ² $ 352,339 Net Change in Unrealized Appreciation (Depreciation) on: Futures contracts ² ² (237,422) (9,805) ² (339,853) Options purchased (a) ² ² (47,053) ² ² ² (47,053) Options written ² ² 24,747 ² ² ² 24,747 Swaps ² 2,822 ² ² ² ² 2,822 $ ² $ 2,822 $ (114,932) $ (237,422) $ (9,805) $ ² $ (359,337) 2SWLRQVSXUFKDVHGDUHLQFOXGHGLQQHWFKDQJHLQXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQLQYHVWPHQWV²XQDI¿OLDWHG Average Quarterly Balances of Outstanding Derivative Financial Instruments Futures contracts: $YHUDJHQRWLRQDOYDOXHRIFRQWUDFWV²ORQJ $ 13,757,829 $YHUDJHQRWLRQDOYDOXHRIFRQWUDFWV²VKRUW Options: Average value of option contracts purchased Average value of option contracts written 2,351 Credit default swaps: $YHUDJHQRWLRQDOYDOXH²EX\SURWHFWLRQ 4,722,592 $YHUDJHQRWLRQDOYDOXH²VHOOSURWHFWLRQ 797,500 )RUPRUHLQIRUPDWLRQDERXWWKH)XQG¶VLQYHVWPHQWULVNVUHJDUGLQJGHULYDWLYH¿QDQFLDOLQVWUXPHQWVUHIHUWRWKH1RWHVWR)LQDQFLDO6WDWHPHQWV Derivative Financial Instruments — Offsetting as of Period End 7KH)XQG VGHULYDWLYHDVVHWVDQGOLDELOLWLHV E\W\SH ZHUHDVIROORZV Assets Liabilities Derivative Financial Instruments: $ ² Futures contracts $ ² $ 193,230 Options (a) 27,170 9,405 6ZDSV²&HQWUDOO\FOHDUHG ² 704 6ZDSV²27&(b) 2,488 Total derivative assets and liabilities in the Statement of Assets and Liabilities $ 30,238 $ 205,827 Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") (27,170) (203,339) Total derivative assets and liabilities subject to an MNA $ $ 2,488 (a) ,QFOXGHVRSWLRQVSXUFKDVHGDWYDOXHZKLFKLVLQFOXGHGLQ,QYHVWPHQWVDWYDOXH±XQDI¿OLDWHGLQWKH6WDWHPHQWRI$VVHWVDQG/LDELOLWLHVDQGUHSRUWHGLQWKH6FKHGXOHRI,QYHVWPHQWV (b) ,QFOXGHVXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQ27&VZDSVDQGVZDSSUHPLXPVSDLGUHFHLYHGLQWKH6WDWHPHQWRI$VVHWVDQG/LDELOLWLHV 7KHIROORZLQJWDEOHVSUHVHQWWKH)XQG VGHULYDWLYHDVVHWVDQGOLDELOLWLHVE\FRXQWHUSDUW\QHWRIDPRXQWVDYDLODEOHIRURIIVHWXQGHUDQ01$DQGQHWRIWKHUHODWHGFROODWHUDO received and pledged by the Fund: Derivative Assets Subject to Derivatives Non-cash Cash Net Amount an MNA by Available Collateral Collateral of Derivative Counterparty Counterparty for Offset (a) Received Received Assets (b) -30RUJDQ&KDVH%DQN1$ $ 91 $ (91) $ ² $ ² $ ² 0RUJDQ6WDQOH\ &R,QWHUQDWLRQDOSOF 2,977 (1,734) ² ² 1,243 $ $ (1,825) $ ² $ ² $ 1,243 S C HEDU LE O F INVES T MENTS 47 Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 Derivative Liabilities Subject to Derivatives Non-cash Cash Net Amount of an MNA by Available Collateral Collateral Derivative Counterparty Counterparty for Offset (a) Pledged Pledged Liabilities (c) -30RUJDQ&KDVH%DQN1$ $ 754 $ (91) $ ² $ ² $ 0RUJDQ6WDQOH\ &R,QWHUQDWLRQDOSOF 1,734 (1,734) ² ² ² $ 2,488 $ (1,825) $ ² $ ² $ (a) 7KHDPRXQWRIGHULYDWLYHVDYDLODEOHIRURIIVHWLVOLPLWHGWRWKHDPRXQWRIGHULYDWLYHDVVHWVDQGRUOLDELOLWLHVWKDWDUHVXEMHFWWRDQ01$ (b) 1HWDPRXQWUHSUHVHQWVWKHQHWDPRXQWUHFHLYDEOHIURPWKHFRXQWHUSDUW\LQWKHHYHQWRIGHIDXOW (c) 1HWDPRXQWUHSUHVHQWVWKHQHWDPRXQWSD\DEOHGXHWRWKHFRXQWHUSDUW\LQWKHHYHQWRIGHIDXOW Fair Value Hierarchy as of Period End 9DULRXVLQSXWVDUHXVHGLQGHWHUPLQLQJWKHIDLUYDOXHRI¿QDQFLDOLQVWUXPHQWV)RUDGHVFULSWLRQRIWKHLQSXWOHYHOVDQGLQIRUPDWLRQDERXWWKH)XQG¶VSROLF\UHJDUGLQJ YDOXDWLRQRI¿QDQFLDOLQVWUXPHQWVUHIHUWRWKH1RWHVWR)LQDQFLDO6WDWHPHQWV 7KHIROORZLQJWDEOHVVXPPDUL]HWKH)XQG¶VLQYHVWPHQWVDQGGHULYDWLYH¿QDQFLDOLQVWUXPHQWVFDWHJRUL]HGLQWKHGLVFORVXUHKLHUDUFK\7KHEUHDNGRZQRIWKH)XQG V LQYHVWPHQWVLQWRPDMRUFDWHJRULHVLVGLVFORVHGLQWKH6FKHGXOHRI,QYHVWPHQWVDERYH Level 1 Level 2 Level 3 Total Assets: Investments: Long-Term Investments: $VVHW%DFNHG6HFXULWLHV $ ² $ $ ² $ Common Stocks: $HURVSDFH 'HIHQVH 2,291,710 ² 3,807,729 $LU)UHLJKW /RJLVWLFV ² ² %DQNV 712,143 ² 2,772,492 %HYHUDJHV 415,432 ² %LRWHFKQRORJ\ ² ² %XLOGLQJ3URGXFWV 853,417 ² ² 853,417 &RPPXQLFDWLRQV(TXLSPHQW 758,155 ² ² 758,155 &RQWDLQHUV 3DFNDJLQJ 511,810 ² Distributors ² ² 'LYHUVL¿HG7HOHFRPPXQLFDWLRQ6HUYLFHV ² ² (OHFWULFDO(TXLSPHQW ² )RRG 6WDSOHV5HWDLOLQJ 825,400 ² ² 825,400 Food Products ² ² +HDOWK&DUH(TXLSPHQW 6XSSOLHV ² +HDOWK&DUH3URYLGHUV 6HUYLFHV 1,331,532 400,988 ² 1,732,520 Household Products 1,327,031 ² Insurance 1,587,843 ² ² 1,587,843 IT Services 1,072,417 ² 4,381,378 Leisure Products 1,399,358 ² ² 1,399,358 Machinery 1,031,759 383,201 ² Media ² ² 2LO*DV &RQVXPDEOH)XHOV 2,501 ² ² 2,501 Personal Products ² 1,439,548 ² 1,439,548 Pharmaceuticals 1,979,828 4,331,145 ² Professional Services ² 1,352,920 ² 1,352,920 6HPLFRQGXFWRUV 6HPLFRQGXFWRU(TXLSPHQW 1,713,189 1,059,378 ² Software 1,820,953 ² ² 1,820,953 Tobacco 1,522,591 1,271,009 ² 7UDGLQJ&RPSDQLHV 'LVWULEXWRUV ² ² &RUSRUDWH%RQGV ² ² (TXLW\/LQNHG1RWHV ² 53,541,595 ² 53,541,595 )ORDWLQJ5DWH/RDQ,QWHUHVWV $HURVSDFH 'HIHQVH ² Airlines ² ² Auto Components ² 537,552 ² 537,552 Automobiles ² ² %XLOGLQJ3URGXFWV ² 451,195 ² 451,195 Capital Markets ² ² 48 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 Level 1 Level 2 Level 3 Total Chemicals $ ² $ 1,333,445 $ ² $ 1,333,445 &RPPHUFLDO6HUYLFHV 6XSSOLHV ² &RQVWUXFWLRQ (QJLQHHULQJ ² ² Construction Materials ² 507,818 47,000 554,818 &RQWDLQHUV 3DFNDJLQJ ² ² Distributors ² 47,000 ² 47,000 'LYHUVL¿HG&RQVXPHU6HUYLFHV ² ² 'LYHUVL¿HG)LQDQFLDO6HUYLFHV ² 54,135 'LYHUVL¿HG7HOHFRPPXQLFDWLRQ6HUYLFHV ² 1,940,878 ² 1,940,878 (OHFWULF8WLOLWLHV ² 113,197 ² 113,197 (OHFWULFDO(TXLSPHQW ² 342,817 ² 342,817 (QWHUWDLQPHQW ² ² (TXLW\5HDO(VWDWH,QYHVWPHQW7UXVWV 5(,7V ² 125,938 ² 125,938 )RRG 6WDSOHV5HWDLOLQJ ² 540,803 ² 540,803 Food Products ² 1,254,351 19,043 1,273,394 +HDOWK&DUH(TXLSPHQW 6XSSOLHV ² 301,853 ² 301,853 +HDOWK&DUH3URYLGHUV 6HUYLFHV ² 231,951 Health Care Technology ² ² +RWHOV5HVWDXUDQWV /HLVXUH ² 2,037,022 Household Durables ² 78,039 ² 78,039 ,QGHSHQGHQW3RZHUDQG5HQHZDEOH(OHFWULFLW\3URGXFHUV ² ² Industrial Conglomerates ² 721,122 ² 721,122 Insurance ² ² ,QWHUDFWLYH0HGLD 6HUYLFHV ² 570,415 ² 570,415 ,QWHUQHW 'LUHFW0DUNHWLQJ5HWDLO ² ² IT Services ² ² Leisure Products ² 108,579 ² 108,579 /LIH6FLHQFHV7RROV 6HUYLFHV ² 483,888 Machinery ² 744,118 ² 744,118 Media ² 240,185 0HWDOV 0LQLQJ ² 304,250 ² 304,250 0XOWLOLQH5HWDLO ² ² 2LO*DV &RQVXPDEOH)XHOV ² 203,395 ² 203,395 Personal Products ² 432,014 ² 432,014 Pharmaceuticals ² 1,025,140 ² 1,025,140 Professional Services ² 591,047 ² 591,047 5HDO(VWDWH0DQDJHPHQW 'HYHORSPHQW ² ² 5RDG 5DLO ² ² 6HPLFRQGXFWRUV 6HPLFRQGXFWRU(TXLSPHQW ² 31,732 ² 31,732 Software ² 4,052,003 6SHFLDOW\5HWDLO ² ² 7HFKQRORJ\+DUGZDUH6WRUDJH 3HULSKHUDOV ² 108,431 ² 108,431 7UDGLQJ&RPSDQLHV 'LVWULEXWRUV ² 130,183 :LUHOHVV7HOHFRPPXQLFDWLRQ6HUYLFHV ² 428,730 ² 428,730 Foreign Agency Obligations ² 202,750 ² 202,750 Investment Companies 139,089,054 ² ² 139,089,054 Preferred Securities: %DQNV 4,589,290 ² 4,905,849 Capital Markets 432,750 785,389 ² 1,218,139 &RPPHUFLDO6HUYLFHV 6XSSOLHV ² ² Consumer Finance 132,500 1,777,255 ² 1,909,755 'LYHUVL¿HG)LQDQFLDO6HUYLFHV ² 502,313 ² 502,313 (OHFWULF8WLOLWLHV ² ² Insurance 419,250 ² 0XOWL8WLOLWLHV ² 480,937 ² 480,937 2LO*DV &RQVXPDEOH)XHOV 999,131 ² :DUUDQWV 208 ² ² 208 Short-Term Securities 23,322,772 ² ² 23,322,772 Options Purchased: (TXLW\FRQWUDFWV 27,170 ² ² 27,170 Subtotal $ $ $ 1,049,200 $ Investments valued at NAV (a) 357,289 $ ² Total Investments $ $ ² S C HEDU LE O F INVES T MENTS 49 Schedule of Investments (continued) BlackRock Managed Income Fund December 31, 2020 Level 1 Level 2 Level 3 Total Derivative Financial Instruments (b) Assets: Credit contracts $ ² $ 3,091 $ ² $ 3,091 (TXLW\FRQWUDFWV ² ² Interest rate contracts 490,149 ² ² 490,149 Liabilities: Credit contracts ² (754) ² (754) (TXLW\FRQWUDFWV (53,994) ² ² (53,994) )RUHLJQFXUUHQF\H[FKDQJHFRQWUDFWV (243,499) ² ² (243,499) Interest rate contracts (103,710) ² ² (103,710) $ $ 2,337 $ ² $ 317,799 (a) &HUWDLQLQYHVWPHQWVRIWKH)XQGZHUHIDLUYDOXHGXVLQJ1$9SHUVKDUHDVQRTXRWHGPDUNHWYDOXHLVDYDLODEOHDQGWKHUHIRUHKDYHEHHQH[FOXGHGIURPWKHIDLUYDOXHKLHUDUFK\ (b) 'HULYDWLYH¿QDQFLDOLQVWUXPHQWVDUHVZDSVIXWXUHVFRQWUDFWVDQGRSWLRQVZULWWHQ6ZDSVDQGIXWXUHVFRQWUDFWVDUHYDOXHGDWWKHXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQWKHLQVWUXPHQWDQG RSWLRQVZULWWHQDUHVKRZQDWYDOXH 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV 50 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Statement of Assets and Liabilities December 31, 2020 %ODFN5RFN Managed Income Fund ASSETS ,QYHVWPHQWVDWYDOXH²XQDI¿OLDWHG LQFOXGLQJVHFXULWLHVORDQHGDWYDOXHRI FRVW² $ 521,839,978 ,QYHVWPHQWVDWYDOXH²DI¿OLDWHG FRVW² Cash 38,894 Cash pledged: – Futures contracts 2,998,000 Centrally cleared swaps )RUHLJQFXUUHQF\DWYDOXH FRVW² 5HFHLYDEOHV – Investments sold 6HFXULWLHVOHQGLQJLQFRPH²DI¿OLDWHG 2,250 Capital shares sold 1,512,512 'LYLGHQGV²DI¿OLDWHG 214,095 'LYLGHQGV²XQDI¿OLDWHG 102,481 ,QWHUHVW²XQDI¿OLDWHG From the Manager Swap premiums paid 91 8QUHDOL]HGDSSUHFLDWLRQRQ – OTC swaps 2,977 3UHSDLGH[SHQVHV Other assets Total assets LIABILITIES Collateral on securities loaned at value 357,925 Options written at value (premium received $34,152) 9,405 Payables: – Investments purchased Capital shares redeemed 1,254,401 Income dividend distributions Investment advisory fees 7UXVWHHV DQG2I¿FHU VIHHV 2,594 2WKHUDI¿OLDWHIHHV Service and distribution fees Variation margin on futures contracts 193,230 Variation margin on centrally cleared swaps 704 2WKHUDFFUXHGH[SHQVHV 304,005 Swap premiums received 1,734 8QUHDOL]HGGHSUHFLDWLRQRQ – OTC swaps 754 Total liabilities 4,401,401 1(7$66(76 $ NET ASSETS CONSIST OF Paid-in capital $ Accumulated earnings 23,950,710 1(7$66(76 $ F INANC IAL S T ATEMENTS 51 Statement of Assets and Liabilities (continued) December 31, 2020 %ODFN5RFN Managed Income Fund NET ASSET VALUE Institutional Net assets $ Shares outstanding 30,905,728 Net asset value $ 6KDUHVDXWKRUL]HG 8QOLPLWHG Par value Investor A Net assets $ Shares outstanding 25,419,507 Net asset value $ 6KDUHVDXWKRUL]HG 8QOLPLWHG Par value Investor C Net assets $ Shares outstanding Net asset value $ 6KDUHVDXWKRUL]HG 8QOLPLWHG Par value Class K Net assets $ Shares outstanding 8,133,105 Net asset value $ 6KDUHVDXWKRUL]HG 8QOLPLWHG Par value 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV 52 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Statement of Operations %ODFN5RFN Managed Income Fund INVESTMENT INCOME 'LYLGHQGV²DI¿OLDWHG $ 4,990,892 'LYLGHQGV²XQDI¿OLDWHG 482,078 ,QWHUHVW²XQDI¿OLDWHG 6HFXULWLHVOHQGLQJLQFRPH²DI¿OLDWHG²QHW 13,343 )RUHLJQWD[HVZLWKKHOG (7,713) Total investment income (;3(16(6 Investment advisory 2,018,452 6HUYLFHDQGGLVWULEXWLRQ²FODVVVSHFL¿F 782,881 7UDQVIHUDJHQW²FODVVVSHFL¿F 398,270 Administration 243,085 Accounting services 5HJLVWUDWLRQ 130,001 Professional $GPLQLVWUDWLRQ²FODVVVSHFL¿F 115,331 Custodian Printing and postage 34,572 7UXVWHHVDQG2I¿FHU 14,489 Miscellaneous 7RWDOH[SHQVHV 4,211,980 Less: – $GPLQLVWUDWLRQIHHVZDLYHG²FODVVVSHFL¿F (115,331) )HHVZDLYHGDQGRUUHLPEXUVHGE\WKH0DQDJHU (1,040,331) Transfer agent fees waLYHGDQGRU UHLPEXUVHG²FODVVVSHFL¿F 7RWDOH[SHQVHVDIWHUIHHVZDLYHGDQGRUUHLPEXUVHG 2,908,802 Net investment income 19,551,200 REALIZED AND UNREALIZED GAIN (LOSS) $ 15,002,714 1HWUHDOL]HGJDLQ ORVV IURP $ – ,QYHVWPHQWV²DI¿OLDWHG (132,273) ,QYHVWPHQWV²XQDI¿OLDWHG (1,352,499) &DSLWDOJDLQGLVWULEXWLRQVIURPXQGHUO\LQJIXQGV²DI¿OLDWHG 17,284 Foreign currency transactions Futures contracts Swaps A 1HWFKDQJHLQXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQ ,QYHVWPHQWV²DI¿OLDWHG 1,917,814 ,QYHVWPHQWV²XQDI¿OLDWHG Foreign currency translations 878 Futures contracts (339,853) Options written 24,747 Swaps 2,822 A 15,970,983 1HWUHDOL]HGDQGXQUHDOL]HGJDLQ 1(7,1&5($6(,11(7$66(765(68/7,1*)52023(5$7,216 $ 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV F INANC IAL S T ATEMENTS 53 Statements of Changes in Net Assets %ODFN5RFN0DQDJHG,QFRPH)XQG INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income $ 19,551,200 $ 1HWUHDOL]HGJDLQ ORVV 1HWFKDQJHLQXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ 15,970,983 Net increase in net assets resulting from operations 33,470,177 DISTRIBUTIONS TO SHAREHOLDERS (a) Institutional Investor A (7,243,709 ) Investor C (520,143 ) &ODVV. (2,449,422 ) Decrease in net assets resulting from distributions to shareholders CAPITAL SHARE TRANSACTIONS Net increase in net assets derived from capital share transactions NET ASSETS Total increase in net assets %HJLQQLQJRI\HDU 472,908,314 (QGRI\HDU $ $ 472,908,314 (a) 'LVWULEXWLRQVIRUDQQXDOSHULRGVGHWHUPLQHGLQDFFRUGDQFHZLWK86IHGHUDOLQFRPHWD[UHJXODWLRQV 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV 54 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Financial Highlights (For a share outstanding throughout each period) %ODFN5RFN0DQDJHG,QFRPH)XQG Institutional Net asset value, beginning of period $ $ $ $ $ $ Net investment income (a) 1HWUHDOL]HGDQGXQUHDOL]HGJDLQ ORVV Net increase (decrease) from investment operations Distributions (b) –––––– From net investment income )URPQHWUHDOL]HGJDLQ ² ² Total distributions Net asset value, end of period $ $ $ $ $ $ Total Return (c) ² ² %DVHGRQQHWDVVHWYDOXH (d) Ratios to Average Net Assets (e) 7RWDOH[SHQVHV (f) 7RWDOH[SHQVHVDIWHUIHHVZDLYHGDQGRUUHLPEXUVHG (f) Net investment income (f) Supplemental Data Net assets, end of year (000) $ $ 199,220 $ 117,904 $ 51,542 $ 23,083 $ 15,100 Portfolio turnover rate (g) (a) %DVHGRQDYHUDJHVKDUHVRXWVWDQGLQJ (b) 'LVWULEXWLRQVIRUDQQXDOSHULRGVGHWHUPLQHGLQDFFRUGDQFHZLWK86IHGHUDOLQFRPHWD[UHJXODWLRQV (c) :KHUHDSSOLFDEOHDVVXPHVWKHUHLQYHVWPHQWRIGLVWULEXWLRQV (d) $JJUHJDWHWRWDOUHWXUQ (e) ([FOXGHVH[SHQVHVLQFXUUHGLQGLUHFWO\DVDUHVXOWRILQYHVWPHQWVLQXQGHUO\LQJIXQGVDVIROORZV (f) $QQXDOL]HG (g) ([FOXGHVHTXLW\OLQNHGQRWHV$GGLWLRQDOLQIRUPDWLRQUHJDUGLQJSRUWIROLRWXUQRYHUUDWHLVDVIROORZV 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV F INANC IAL HI G H L I G H TS 55 Financial Highlights (continued) (For a share outstanding throughout each period) %ODFN5RFN0DQDJHG,QFRPH)XQG Investor A Net asset value, beginning of period $ $ $ $ $ $ Net investment income (a) 1HWUHDOL]HGDQGXQUHDOL]HGJDLQ ORVV Net increase (decrease) from investment operations Distributions (b) –––––– From net investment income )URPQHWUHDOL]HGJDLQ ² ² Total distributions Net asset value, end of period $ $ $ $ $ $ Total Return (c) ² ² %DVHGRQQHWDVVHWYDOXH (d) Ratios to Average Net Assets (e) 7RWDOH[SHQVHV (f) 7RWDOH[SHQVHVDIWHUIHHVZDLYHGDQGRUUHLPEXUVHG (f) Net investment income (f) Supplemental Data Net assets, end of year (000) $ $ 190,848 $ 107,314 $ 59,591 $ $ 29,957 Portfolio turnover rate (g) (a) %DVHGRQDYHUDJHVKDUHVRXWVWDQGLQJ (b) 'LVWULEXWLRQVIRUDQQXDOSHULRGVGHWHUPLQHGLQDFFRUGDQFHZLWK86IHGHUDOLQFRPHWD[UHJXODWLRQV (c) :KHUHDSSOLFDEOHH[FOXGHVWKHHIIHFWVRIDQ\VDOHVFKDUJHVDQGDVVXPHVWKHUHLQYHVWPHQWRIGLVWULEXWLRQV (d) $JJUHJDWHWRWDOUHWXUQ (e) ([FOXGHVH[SHQVHVLQFXUUHGLQGLUHFWO\DVDUHVXOWRILQYHVWPHQWVLQXQGHUO\LQJIXQGVDVIROORZV (f) $QQXDOL]HG (g) ([FOXGHVHTXLW\OLQNHGQRWHV$GGLWLRQDOLQIRUPDWLRQUHJDUGLQJSRUWIROLRWXUQRYHUUDWHLVDVIROORZV 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV 56 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Financial Highlights (continued) (For a share outstanding throughout each period) %ODFN5RFN0DQDJHG,QFRPH)XQG Investor C Net asset value, beginning of period $ $ $ $ $ Net investment income (b) 1HWUHDOL]HGDQGXQUHDOL]HGJDLQ ORVV Net increase (decrease) from investment operations Distributions (c) ––––– From net investment income )URPQHWUHDOL]HGJDLQ ² Total distributions Net asset value, end of period $ $ $ $ $ Total Return (d) ² %DVHGRQQHWDVVHWYDOXH (e) Ratios to Average Net Assets (f) 7RWDOH[SHQVHV (g) 7RWDOH[SHQVHVDIWHUIHHVZDLYHGDQGRUUHLPEXUVHG (g) Net investment income (g) Supplemental Data Net assets, end of period (000) $ $ 23,347 $ 11,983 $ 4,122 $ Portfolio turnover rate (h) (a) &RPPHQFHPHQWRIRSHUDWLRQV (b) %DVHGRQDYHUDJHVKDUHVRXWVWDQGLQJ (c) 'LVWULEXWLRQVIRUDQQXDOSHULRGVGHWHUPLQHGLQDFFRUGDQFHZLWK86IHGHUDOLQFRPHWD[UHJXODWLRQV (d) :KHUHDSSOLFDEOHH[FOXGHVWKHHIIHFWVRIDQ\VDOHVFKDUJHVDQGDVVXPHVWKHUHLQYHVWPHQWRIGLVWULEXWLRQV (e) $JJUHJDWHWRWDOUHWXUQ (f) ([FOXGHVH[SHQVHVLQFXUUHGLQGLUHFWO\DVDUHVXOWRILQYHVWPHQWVLQXQGHUO\LQJIXQGVDVIROORZV (g) $QQXDOL]HG (h) ([FOXGHVHTXLW\OLQNHGQRWHV$GGLWLRQDOLQIRUPDWLRQUHJDUGLQJSRUWIROLRWXUQRYHUUDWHLVDVIROORZV 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV F INANC IAL HI G H L I G H TS 57 Financial Highlights (continued) (For a share outstanding throughout each period) %ODFN5RFN0DQDJHG,QFRPH)XQG &ODVV. Net asset value, beginning of period $ $ $ $ $ $ Net investment income (a) 1HWUHDOL]HGDQGXQUHDOL]HGJDLQ ORVV Net increase (decrease) from investment operations Distributions (b) –––––– From net investment income )URPQHWUHDOL]HGJDLQ ² ² Total distributions Net asset value, end of period $ $ $ $ $ $ Total Return (c) ² ² %DVHGRQQHWDVVHWYDOXH (d) Ratios to Average Net Assets (e) 7RWDOH[SHQVHV (f) 7RWDOH[SHQVHVDIWHUIHHVZDLYHGDQGRUUHLPEXUVHG (f) Net investment income (f) Supplemental Data Net assets, end of year (000) $ 83,808 $ 59,493 $ 59,030 $ 59,555 $ 54,321 $ 54,344 Portfolio turnover rate (g) (a) %DVHGRQDYHUDJHVKDUHVRXWVWDQGLQJ (b) 'LVWULEXWLRQVIRUDQQXDOSHULRGVGHWHUPLQHGLQDFFRUGDQFHZLWK86IHGHUDOLQFRPHWD[UHJXODWLRQV (c) :KHUHDSSOLFDEOHDVVXPHVWKHUHLQYHVWPHQWRIGLVWULEXWLRQV (d) $JJUHJDWHWRWDOUHWXUQ (e) ([FOXGHVH[SHQVHVLQFXUUHGLQGLUHFWO\DVDUHVXOWRILQYHVWPHQWVLQXQGHUO\LQJIXQGVDVIROORZV (f) $QQXDOL]HG (g) ([FOXGHVHTXLW\OLQNHGQRWHV$GGLWLRQDOLQIRUPDWLRQUHJDUGLQJSRUWIROLRWXUQRYHUUDWHLVDVIROORZV 6HHQRWHVWR¿QDQFLDOVWDWHPHQWV 58 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Notes to Financial Statements 1. 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ORWVL]HEXWDIXQGPD\KROGRUWUDQVDFWLQVXFKVHFXULWLHVLQVPDOOHURGGORWVL]HV2GGORWVPD\WUDGHDWORZHUSULFHVWKDQLQVWLWXWLRQDOURXQGORWV7KHSULFLQJVHUYLFHV PD\XVHPDWUL[SULFLQJRUYDOXDWLRQPRGHOVWKDWXWLOL]HFHUWDLQLQSXWVDQGDVVXPSWLRQVWRGHULYHYDOXHVLQFOXGLQJWUDQVDFWLRQGDWD HJUHFHQWUHSUHVHQWDWLYHELGVDQG RIIHUV PDUNHWGDWD FUHGLWTXDOLW\LQIRUPDWLRQSHUFHLYHGPDUNHWPRYHPHQWVQHZVDQGRWKHUUHOHYDQWLQIRUPDWLRQ&HUWDLQ¿[HGLQFRPHVHFXULWLHVLQFOXGLQJDVVHW EDFNHGDQGPRUWJDJHUHODWHGVHFXULWLHVPD\EHYDOXHGEDVHGRQYDOXDWLRQPRGHOVWKDWFRQVLGHUWKHHVWLPDWHGFDVKÀRZVRIHDFKWUDQFKHRIWKHHQWLW\HVWDEOLVKD EHQFKPDUN\LHOGDQGGHYHORSDQHVWLPDWHGWUDQFKHVSHFL¿FVSUHDGWRWKHEHQFKPDUN\LHOGEDVHGRQWKHXQLTXHDWWULEXWHVRIWKHWUDQFKH7KHDPRUWL]HGFRVWPHWKRG RIYDOXDWLRQPD\EHXVHGZLWKUHVSHFWWRGHEWREOLJDWLRQVZLWKVL[W\GD\VRUOHVVUHPDLQLQJWRPDWXULW\XQOHVVWKH0DQDJHUGHWHUPLQHVVXFKPHWKRGGRHVQRWUHSUHVHQW IDLUYDOXH • ,QYHVWPHQWVLQRSHQHQG86PXWXDOIXQGV LQFOXGLQJPRQH\PDUNHWIXQGV DUHYDOXHGDWWKDWGD\ VSXEOLVKHGQHWDVVHWYDOXH ³1$9´ • The Fund values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata RZQHUVKLSLQWKHXQGHUO\LQJIXQG¶VQHWDVVHWV • )XWXUHVFRQWUDFWVDUH YDOXHGEDVHGRQWKDWGD\¶VODVWUHSRUWHGVHWWOHPHQWSULFHRQWKHH[FKDQJHZKHUHWKHFRQWUDFWLVWUDGHG • ([FKDQJHWUDGHGRSWLRQVDUHYDOXHGDWWKHPHDQEHWZHHQWKHODVW ELGDQGDVNSULFHVDWWKHFORVHRIWKHRSWLRQVPDUNHW LQZKLFKWKHRSWLRQVWUDGH$QH[FKDQJHWUDGHG RSWLRQIRUZKLFK WKHUHLVQRPHDQSULFHLVYDOXHGDWWKHODVWELG ORQJSRVLWLRQV RUDVN VKRUWSRVLWLRQV SULFH,IQRELGRUDVNSULFHLVDYDLODEOHWKHSULRUGD\ VSULFH ZLOO EHXVHGXQOHVVLWLVGHWHUPLQHGWKDWWKHSULRUGD\ VSULFHQRORQJHUUHÀHFWVWKHIDLUYDOXHRIWKHRSWLRQ27&RSWLRQVDQGRSWLRQVRQVZDSV ³VZDSWLRQV´ DUHYDOXHG by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying LQVWUXPHQWV • 6ZDSDJUHHPHQWVDUHYDOXHGXWLOL]LQJTXRWHVUHFHLYHGGDLO\E\LQGHSHQGHQW SULFLQJVHUYLFHVRUWKURXJKEURNHUVZKLFKDUHGHULYHGXVLQJGDLO\VZDSFXUYHVDQGPRGHOV WKDWLQFRUSRUDWHDQXPEHURIPDUNHWGDWDIDFWRUVVXFKDVGLVFRXQWHGFDVKÀRZVWUDGHVDQGYDOXHVRIWKHXQGHUO\LQJUHIHUHQFHLQVWUXPHQWV ,IHYHQWV HJDPDUNHWFORVXUHPDUNHWYRODWLOLW\FRPSDQ\DQQRXQFHPHQW RUDQDWXUDOGLVDVWHU RFFXUWKDWDUHH[SHFWHGWRPDWHULDOO\DIIHFWWKHYDOXHRIVXFKLQYHVWPHQWRU in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, RULIDSULFHLVQRWDYDLODEOHWKHLQYHVWPHQWZLOOEHYDOXHGE\WKH*OREDO9DOXDWLRQ&RPPLWWHHRULWVGHOHJDWHLQDFFRUGDQFHZLWKDSROLF\DSSURYHGE\WKH%RDUGDVUHÀHFWLQJ IDLUYDOXH ³)DLU9DOXHG,QYHVWPHQWV´ 7KHIDLUYDOXDWLRQDSSURDFKHVWKDWPD\EHXVHGE\WKH*OREDO9DOXDWLRQ&RPPLWWHH LQFOXGHPDUNHWDSSURDFKLQFRPHDSSURDFKDQG FRVWDSSURDFK9DOXDWLRQWHFKQLTXHVVXFKDVGLVFRXQWHGFDVKÀRZXVHRIPDUNHWFRPSDUDEOHVDQGPDWUL[SULFLQJDUHW\SHVRIYDOXDWLRQDSSURDFKHVDQGDUHW\SLFDOO\XVHGLQ 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Considered By Third Party Pricing Services Market approach (i UHFHQWPDUNHWWUDQVDFWLRQVLQFOXGLQJVXEVHTXHQWURXQGVRI¿QDQFLQJLQWKHXQGHUO\LQJLQYHVWPHQWRUFRPSDUDEOH LVVXHUV LL UHFDSLWDOL]DWLRQVDQGRWKHUWUDQVDFWLRQVDFURVVWKHFDSLWDOVWUXFWXUH DQG LLL PDUNHWPXOWLSOHVRIFRPSDUDEOHLVVXHUV Income approach (i IXWXUHFDVKÀRZVGLVFRXQWHGWRSUHVHQWDQGDGMXVWHGDVDSSURSULDWHIRUOLTXLGLW\FUHGLWDQGRUPDUNHWULVNV LL TXRWHGSULFHVIRUVLPLODULQYHVWPHQWVRUDVVHWVLQDFWLYHPDUNHWV DQG (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, UHFRYHU\UDWHVOLTXLGDWLRQDPRXQWVDQGRUGHIDXOWUDWHV Cost approach (i DXGLWHGRUXQDXGLWHG¿QDQFLDOVWDWHPHQWVLQYHVWRUFRPPXQLFDWLRQVDQG¿QDQFLDORURSHUDWLRQDOPHWULFV LVVXHGE\WKH3ULYDWH&RPSDQ\ LL FKDQJHVLQWKHYDOXDWLRQRIUHOHYDQWLQGLFHVRUSXEOLFO\WUDGHGFRPSDQLHVFRPSDUDEOHWRWKH3ULYDWH&RPSDQ\ LLL UHOHYDQWQHZVDQGRWKHUSXEOLFVRXUFHV DQG (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity LQFRPSDQLHVFRPSDUDEOHWRWKH3ULYDWH&RPSDQ\ ,QYHVWPHQWVLQVHULHVRISUHIHUUHGVWRFNLVVXHGE\3ULYDWH&RPSDQLHVDUHW\SLFDOO\YDOXHGXWLOL]LQJPDUNHWDSSURDFKLQGHWHUPLQLQJWKHHQWHUSULVHYDOXHRIWKHFRPSDQ\6XFK LQYHVWPHQWVRIWHQFRQWDLQULJKWVDQGSUHIHUHQFHVWKDWGLIIHUIURPRWKHUVHULHVRISUHIHUUHGDQGFRPPRQVWRFNRIWKHVDPHLVVXHU9DOXDWLRQWHFKQLTXHVVXFKDVDQRSWLRQ SULFLQJPRGHO ³230´ DSUREDELOLW\ZHLJKWHGH[SHFWHGUHWXUQPRGHO ³3:(50´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air Value Hierarchy:9DULRXVLQSXWVDUHXVHGLQGHWHUPLQLQJWKHIDLUYDOXHRI¿QDQFLDOLQVWUXPHQWV7KHVHLQSXWVWRYDOXDWLRQWHFKQLTXHVDUHFDWHJRUL]HGLQWRDIDLUYDOXH KLHUDUFK\FRQVLVWLQJRIWKUHHEURDGOHYHOVIRU¿QDQFLDOUHSRUWLQJSXUSRVHVDVIROORZV • /HYHO²8QDGMXVWHGSULFHTXRWDWLRQVLQDFWLYHPDUNHWVH[FKDQJHVIRULGHQWLFDODVVHWVRUOLDELOLWLHVWKDWWKH)XQGKDVWKHDELOLW\WRDFFHVV • /HYHO²2WKHUREVHUYDEOHLQSXWV LQFOXGLQJEXWQRWOLPLWHGWRTXRWHGSULFHVIRUVLPLODUDVVHWVRUOLDELOLWLHVLQPDUNHWVWKDWDUHDFWLYHTXRWHGSULFHVIRULGHQWLFDORU similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield FXUYHVYRODWLOLWLHVSUHSD\PHQWVSHHGVORVVVHYHULWLHVFUHGLWULVNVDQGGHIDXOWUDWHV RURWKHUPDUNHW±FRUURERUDWHGLQSXWV DQG • /HYHO ²8QREVHUYDEOHLQSXWVEDVHGRQWKHEHVWLQIRUPDWLRQDYDLODEOHLQWKHFLUFXPVWDQFHVWRWKHH[WHQWREVHUYDEOHLQSXWVDUHQRWDYDLODEOH LQFOXGLQJWKH*OREDO 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¿QDQFLDOLQVWUXPHQWVDQGLVQRWQHFHVVDULO\DQLQGLFDWLRQRIWKHULVNVDVVRFLDWHGZLWKLQYHVWLQJLQWKRVHVHFXULWLHV As of December 31, 2020, certain investments of the Fund were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have EHHQH[FOXGHGIURPWKHIDLUYDOXHKLHUDUFK\ 4. SECURITIES AND OTHER INVESTMENTS Asset-Backed and Mortgage-Backed Securities:$VVHWEDFNHGVHFXULWLHVDUHJHQHUDOO\LVVXHGDVSDVVWKURXJKFHUWL¿FDWHVRUDVGHEWLQVWUXPHQWV$VVHWEDFNHGVHFXULWLHV LVVXHGDVSDVVWKURXJKFHUWL¿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premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of $VVHWVDQG/LDELOLWLHVDQGDPRUWL]HGRYHUWKHWHUPRIWKHFRQWUDFW7KHGDLO\ÀXFWXDWLRQLQPDUNHWYDOXHLVUHFRUGHGDVXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ RQ27&6ZDSV LQWKH6WDWHPHQWRI$VVHWVDQG/LDELOLWLHV3D\PHQWVUHFHLYHGRUSDLGDUHUHFRUGHGLQWKH6WDWHPHQWRI2SHUDWLRQVDVUHDOL]HGJDLQVRUORVVHVUHVSHFWLYHO\:KHQDQ27& VZDSLVWHUPLQDWHGDUHDOL]HGJDLQRUORVVLVUHFRUGHGLQWKH6WDWHPHQWRI2SHUDWLRQVHTXDOWRWKHGLIIHUHQFHEHWZHHQWKHSURFHHGVIURP RUFRVWRI WKHFORVLQJWUDQVDFWLRQ DQGWKH)XQG¶VEDVLVLQWKHFRQWUDFWLIDQ\*HQHUDOO\WKHEDVLVRIWKHFRQWUDFWLVWKHSUHPLXPUHFHLYHGRUSDLG ,QDFHQWUDOO\FOHDUHGVZDSLPPHGLDWHO\IROORZLQJH[HFXWLRQRIWKHVZDSFRQWUDFWWKHVZDSFRQWUDFWLVQRYDWHGWRDFHQWUDOFRXQWHUSDUW\ WKH³&&3´ DQGWKH&&3EHFRPHV WKH )XQG¶VFRXQWHUSDUW\RQWKHVZDS7KH)XQGLVUHTXLUHGWRLQWHUIDFHZLWKWKH&&3WKURXJKWKHEURNHU8SRQHQWHULQJLQWRDFHQWUDOO\FOHDUHGVZDSWKH)XQGLVUHTXLUHGWR GHSRVLWLQLWLDOPDUJLQZLWKWKHEURNHULQWKHIRUPRIFDVKRUVHFXULWLHVLQDQDPRXQWWKDWYDULHVGHSHQGLQJRQWKHVL]HDQGULVNSUR¿OHRIWKHSDUWLFXODUVZDS 6HFXULWLHVGHSRVLWHG as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and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• 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DPRXQWRIWKHVZDSOHVVWKHUHFRYHU\YDOXHRIWKHVHFXULW\RUXQGHUO\LQJVHFXULWLHVFRPSULVLQJWKHLQGH[$VDVHOOHU ZULWHU LIDQXQGHUO\LQJFUHGLWHYHQWRFFXUVWKH Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the LQGH[RUSD\DQHWVHWWOHPHQWRIFDVKHTXDOWRWKHQRWLRQDODPRXQWRIWKHVZDSOHVVWKHUHFRYHU\YDOXHRIWKHVHFXULW\RUXQGHUO\LQJVHFXULWLHVFRPSULVLQJWKHLQGH[ 6ZDSWUDQVDFWLRQVLQYROYHWRYDU\LQJGHJUHHVHOHPHQWVRILQWHUHVWUDWHFUHGLWDQGPDUNHWULVNLQH[FHVVRIWKHDPRXQWVUHFRJQL]HGLQWKH6WDWHPHQWRI$VVHWVDQG/LDELOLWLHV Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or GLVDJUHHDVWRWKHPHDQLQJRIWKHFRQWUDFWXDOWHUPVLQWKHDJUHHPHQWVDQGWKDWWKHUHPD\EHXQIDYRUDEOHFKDQJHVLQLQWHUHVWUDWHVDQGRUPDUNHWYDOXHVDVVRFLDWHGZLWK WKHVHWUDQVDFWLRQV Master Netting Arrangements:,QRUGHUWRGH¿QHLWVFRQWUDFWXDOULJKWVDQGWRVHFXUHULJKWVWKDWZLOOKHOSLWPLWLJDWHLWVFRXQWHUSDUW\ULVND)XQGPD\HQWHULQWRDQ,QWHUQDWLRQDO 6ZDSVDQG'HULYDWLYHV$VVRFLDWLRQ,QF0DVWHU$JUHHPHQW ³,6'$0DVWHU$JUHHPHQW´ RUVLPLODUDJUHHPHQWZLWKLWVFRXQWHUSDUWLHV$Q,6'$0DVWHU$JUHHPHQWLVDELODWHUDO agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting SURYLVLRQVLQWKHHYHQWRIDGHIDXOWDQGRUWHUPLQDWLRQHYHQW8QGHUDQ,6'$0DVWHU$JUHHPHQWD)XQGPD\XQGHUFHUWDLQFLUFXPVWDQFHVRIIVHWZLWKWKHFRXQWHUSDUW\ FHUWDLQGHULYDWLYH¿QDQFLDOLQVWUXPHQWV¶SD\DEOHVDQGRUUHFHLYDEOHVZLWKFROODWHUDOKHOGDQGRUSRVWHGDQGFUHDWHRQHVLQJOHQHWSD\PHQW7KHSURYLVLRQVRIWKH,6'$0DVWHU $JUHHPHQWW\SLFDOO\SHUPLWDVLQJOHQHWSD\PHQWLQWKHHYHQWRIGHIDXOWLQFOXGLQJWKHEDQNUXSWF\RULQVROYHQF\RIWKHFRXQWHUSDUW\+RZHYHUEDQNUXSWF\RULQVROYHQF\ODZV RIDSDUWLFXODUMXULVGLFWLRQPD\LPSRVHUHVWULFWLRQVRQRUSURKLELWLRQVDJDLQVWWKHULJKWRIRIIVHWLQEDQNUXSWF\LQVROYHQF\RURWKHUHYHQWV For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount IRUHDFKWUDQVDFWLRQXQGHUVXFKDJUHHPHQWDQGFRPSDULQJWKDWDPRXQWWRWKHYDOXHRIDQ\FROODWHUDOFXUUHQWO\SOHGJHGE\WKH)XQGDQGWKHFRXQWHUSDUW\ 64 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Notes to Financial Statements (continued) Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of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¿QHGLQWKHXQGHUO\LQJ,6'$0DVWHU$JUHHPHQWEHSHUPLWWHGWRXVHFDVKFROODWHUDOUHFHLYHG,QVXFKFDVHVLQWHUHVWPD\EHSDLG SXUVXDQWWRWKHFROODWHUDODUUDQJHPHQWZLWKWKHFRXQWHUSDUW\7RWKHH[WHQWDPRXQWVGXHWRWKH)XQGIURP WKHFRXQWHUSDUWLHVDUHQRWIXOO\FROODWHUDOL]HG WKH)XQG EHDUVWKH ULVNRIORVVIURPFRXQWHUSDUW\QRQSHUIRUPDQFH/LNHZLVHWRWKHH[WHQWWKH)XQGKDVGHOLYHUHGFROODWHUDOWRDFRXQWHUSDUW\DQGVWDQGVUHDG\WRSHUIRUPXQGHUWKHWHUPVRILWV agreement with such counterparty, the Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return VXFKFROODWHUDO%DVHGRQWKHWHUPVRIDJUHHPHQWVFROODWHUDOPD\QRWEHUHTXLUHGIRUDOOGHULYDWLYHFRQWUDFWV )RU¿QDQFLDOUHSRUWLQJSXUSRVHVWKH)XQGGRHVQRWRIIVHWGHULYDWLYHDVVHWVDQGGHULYDWLYHOLDELOLWLHVWKDWDUHVXEMHFWWRQHWWLQJDUUDQJHPHQWVLIDQ\LQWKH6WDWHPHQWRI$VVHWV DQG/LDELOLWLHV 6.INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES Investment Advisory: The Trust, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of %ODFN5RFN,QF ³%ODFN5RFN´ WRSURYLGHLQYHVWPHQWDGYLVRU\VHUYLFHV7KH0DQDJHULVUHVSRQVLEOHIRUWKHPDQDJHPHQWRIWKH)XQG¶VSRUWIROLR DQGSURYLGHVWKHSHUVRQQHOIDFLOLWLHVHTXLSPHQWDQGFHUWDLQRWKHUVHUYLFHVQHFHVVDU\WRWKHRSHUDWLRQVRIWKH)XQG For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets: Investment Average Daily Net Assets Advisory Fees )LUVW%LOOLRQ %LOOLRQ%LOOLRQ %LOOLRQ%LOOLRQ *UHDWHUWKDQ%LOOLRQ 7KH0DQDJHUHQWHUHGLQWR DVXEDGYLVRU\DJUHHPHQWZLWK%ODFN5RFN,QWHUQDWLRQDO/LPLWHG ³%,/´ DQDI¿OLDWHRIWKH0DQDJHU 7KH0DQDJHUSD\V%,/ IRUVHUYLFHVLW SURYLGHV IRUWKDWSRUWLRQRIWKH)XQGIRUZKLFK%,/DFWVDVVXEDGYLVHUDPRQWKO\IHHWKDWLVHTXDOWRDSHUFHQWDJHRIWKHLQYHVWPHQWDGYLVRU\IHHVSDLGE\ WKH)XQGWRWKH0DQDJHU Service and Distribution Fees: 7KH7UXVWRQEHKDOIRIWKH)XQGHQWHUHGLQWRD'LVWULEXWLRQ$JUHHPHQWDQGD'LVWULEXWLRQDQG6HUYLFH3ODQZLWK%ODFN5RFN,QYHVWPHQWV//& ³%5,/´ DQDI¿OLDWHRIWKH0DQDJHU3XUVXDQWWRWKH'LVWULEXWLRQDQG6HUYLFH3ODQDQGLQDFFRUGDQFHZLWK5XOHEXQGHUWKH $FWWKH)XQGSD\V%5,/RQJRLQJVHUYLFH DQGGLVWULEXWLRQIHHV7KHIHHVDUHDFFUXHGGDLO\DQGSDLGPRQWKO\DWDQQXDOUDWHVEDVHGXSRQWKHDYHUDJHGDLO\QHWDVVHWVRIWKHUHOHYDQWVKDUHFODVVRIWKH)XQGDVIROORZV Service Fees Distribution Fees Investor A ² Investor C %5,/DQGEURNHUGHDOHUVSXUVXDQWWRVXEDJUHHPHQWVZLWK%5,/SURYLGHVKDUHKROGHUVHUYLFLQJDQGGLVWULEXWLRQVHUYLFHV WRWKH)XQG7KHRQJRLQJVHUYLFHDQGRUGLVWULEXWLRQ IHH FRPSHQVDWHV%5,/DQGHDFKEURNHUGHDOHUIRUSURYLGLQJVKDUHKROGHUVHUYLFLQJDQGRUGLVWULEXWLRQ UHODWHGVHUYLFHVWRVKDUHKROGHUV )RUWKH \HDUHQGHG'HFHPEHUWKHIROORZLQJWDEOHVKRZVWKHFODVVVSHFL¿FVHUYLFHDQGGLVWULEXWLRQIHHVERUQHGLUHFWO\E\HDFKVKDUHFODVVRIWKH)XQG Service and Distribution Fees Investor A $ 534,051 Investor C 248,830 $ 782,881 Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with the Manager, an indirectZKROO\RZQHGVXEVLGLDU\RI%ODFN5RFNWRSURYLGH DGPLQLVWUDWLYHVHUYLFHV)RUWKHVHVHUYLFHVWKH0DQDJHUUHFHLYHVDQDGPLQLVWUDWLRQIHHFRPSXWHGGDLO\DQGSD\DEOHPRQWKO\EDVHGRQDSHUFHQWDJHRIWKHDYHUDJHGDLO\QHW DVVHWVRIWKH)XQG7KHDGPLQLVWUDWLRQIHHZKLFKLVVKRZQDVDGPLQLVWUDWLRQLQWKH6WDWHPHQWRI2SHUDWLRQVLVSDLGDWWKHDQQXDOUDWHVEHORZ Average Daily Net Assets Administration Fees First $500 Million 0LOOLRQ%LOOLRQ %LOOLRQ%LOOLRQ %LOOLRQ%LOOLRQ %LOOLRQ%LOOLRQ *UHDWHUWKDQ%LOOLRQ ,QDGGLWLRQWKH0DQDJHUFKDUJHVHDFKRIWKHVKDUHFODVVHVDQDGPLQLVWUDWLRQIHHZKLFKLVVKRZQDVDGPLQLVWUDWLRQ ²FODVVVSHFL¿FLQWKH6WDWHPHQWRI2SHUDWLRQVDWDQ DQQXDOUDWHRI RIWKHDYHUDJHGDLO\QHWDVVHWVRIHDFKUHVSHFWLYHFODVV N O TES TO FI N A N C IAL S T ATEMEN TS 65 Notes to Financial Statements (continued) )RUWKH\HDUHQGHG'HFHPEHU WKHIROORZLQJWDEOHVKRZVWKHFODVVVSHFL¿FDGPLQLVWUDWLRQIHHVERUQHGLUHFWO\E\HDFKVKDUHFODVVRIWKH)XQG Institutional $ 52,545 Investor A 42,721 Investor C &ODVV. 15,089 $ 115,331 Transfer Agent:3XUVXDQWWRZULWWHQDJUHHPHQWVFHUWDLQ¿QDQFLDOLQWHUPHGLDULHVVRPHRIZKLFKPD\EHDI¿OLDWHVSURYLGHWKH)XQGZLWKVXEDFFRXQWLQJUHFRUGNHHSLQJ VXEWUDQVIHUDJHQF\DQGRWKHUDGPLQLVWUDWLYHVHUYLFHVZLWKUHVSHFWWRVHUYLFLQJRIXQGHUO\LQJLQYHVWRUDFFRXQWV)RUWKHVHVHUYLFHVWKHVHHQWLWLHVUHFHLYHDQDVVHWEDVHG IHHRUDQDQQXDOIHHSHUVKDUHKROGHUDFFRXQWZKLFKZLOOYDU\GHSHQGLQJRQVKDUHFODVVDQGRUQHWDVVHWV)RUWKH\HDUHQGHG'HFHPEHUWKH)XQGdid not pay any DPRXQWVWRDI¿OLDWHVLQUHWXUQIRUWKHVHVHUYLFHV 7KH0DQDJHUPDLQWDLQVDFDOOFHQWHUWKDWLVUHVSRQVLEOHIRUSURYLGLQJFHUWDLQVKDUHKROGHUVHUYLFHVWRWKH)XQG6KDUHKROGHUVHUYLFHVLQFOXGHUHVSRQGLQJWRLQTXLULHVDQG SURFHVVLQJSXUFKDVHVDQGVDOHVEDVHGXSRQLQVWUXFWLRQVIURPVKDUHKROGHUV)RUWKH\HDUHQGHG'HFHPEHUWKH)XQGUHLPEXUVHGWKH0DQDJHUWKHIROORZLQJ DPRXQWVIRUFRVWVLQFXUUHGLQUXQQLQJWKHFDOOFHQWHUZKLFKDUHLQFOXGHGLQWUDQVIHUDJHQW²FODVVVSHFL¿FLQWKH6WDWHPHQWRI2SHUDWLRQV Institutional $ 431 Investor A 903 Investor C 572 &ODVV. 30 $ )RUWKH\HDU HQGHG'HFHPEHUWKHIROORZLQJWDEOHVKRZVWKHFODVVVSHFL¿FWUDQVIHUDJHQWIHHVERUQHGLUHFWO\E\HDFKVKDUHFODVVRIWKH)XQG Institutional $ 254,190 Investor A 124,504 Investor C 19,54 &ODVV. 30 $ 398,270 Other Fees: For the year ended December 31, 2020DI¿OLDWHVHDUQHGXQGHUZULWLQJGLVFRXQWVGLUHFWFRPPLVVLRQVDQGGHDOHUFRQFHVVLRQVRQVDOHVRIWKH)XQG¶V,QYHVWRU A Shares of )RUWKH \HDUHQGHG'HFHPEHUDI¿OLDWHVUHFHLYHG&'6&VDVIROORZV Investor A $ Investor C 10,958 Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory IHHVWKH)XQGSD\VWRWKH0DQDJHULQGLUHFWO\WKURXJKLWVLQYHVWPHQWLQDI¿OLDWHGPRQH\PDUNHWIXQGV WKH³DI¿OLDWHGPRQH\PDUNHWIXQGZDLYHU´ WKURXJK$SULO The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not "interested persons" of the )XQGDVGH¿QHGLQWKH940 Act ("Independent Trustees”), or by a YRWHRIDPDMRULW\RIWKHRXWVWDQGLQJYRWLQJVHFXULWLHVRIWKH)XQG7KHDPRXQWRIZDLYHUVDQGRUUHLPEXUVHPHQWVRIIHHVDQGH[SHQVHV PDGHSXUVXDQWWRWKHH[SHQVHOLPLWDWLRQVGHVFULEHGEHORZZLOOEHUHGXFHGE\WKHDPRXQWRIWKHDI¿OLDWHGPRQH\PDUNHWIXQGZDLYHU3ULRUWRApril 29, 2020, this waiver was YROXQWDU\7KLVDPRXQWLVLQFOXGHGLQIHHVZDLYHGDQGRUUHLPEXUVHGE\WKH0DQDJHULQWKH6WDWHPHQWRI2SHUDWLRQV)RUWKH\HDUHQGHG'HFHPEHUWKHDPRXQW ZDLYHGZDV 7KH0DQDJHUKDVFRQWUDFWXDOO\DJUHHGWRZDLYHLWVLQYHVWPHQWDGYLVRU\IHHZLWKUHVSHFWWRDQ\SRUWLRQRIWKH)XQG¶VDVVHWVLQYHVWHGLQDI¿OLDWHGHTXLW\DQG¿[HGLQFRPH PXWXDO IXQGVDQGDI¿OLDWHGH[FKDQJHWUDGHGIXQGVWKDWKDYHDFRQWUDFWXDOPDQDJHPHQWIHHWKURXJK$SULO7KHFRQWUDFWXDODJUHHPHQWPD\EHWHUPLQDWHGXSRQ GD\V¶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¶VEXVLQHVV ³H[SHQVHOLPLWDWLRQ´ (IIHFWLYH0DUFKWKH%RDUGDSSURYHGWKHWHUPLQDWLRQRIWKHVHFRQWUDFWXDOH[SHQVHOLPLWDWLRQV7KHH[SHQVHOLPLWDWLRQVDVDSHUFHQWDJHRI average daily net assets were as follows Institutional Investor A Investor C &ODVV. 66 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Notes to Financial Statements (continued) 7KH0DQDJHUFRQWUDFWXDOO\DJUHHGWRZDLYHDQGRUUHLPEXUVHIHHVRUH[SHQVHVLQRUGHUWROLPLW2WKHU([SHQVHVRIWKH)XQGH[FOXGLQJGLYLGHQGH[SHQVHLQWHUHVWH[SHQVH DQGFHUWDLQRWKHUIXQGH[SHQVHV7KHH[SHQVHOLPLWDWLRQVDVDSHUFHQWDJHRIDYHUDJHGDLO\QHWDVVHWVDUHDVIROORZV Institutional Investor A Investor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²FODVVVSHFL¿FDQGWUDQVIHUDJHQWIHHVZDLYHGDQGRU UHLPEXUVHG²FODVVVSHFL¿FUHVSHFWLYHO\LQWKH6WDWHPHQWRI2SHUDWLRQV)RUWKH\HDU HQGHG'HFHPEHUFODVVVSHFL¿FH[SHQVHZDLYHUVDQGRUUHLPEXUVHPHQWV DUH as follows: Administration Fees Waived Institutional $ 52,545 Investor A 42,721 Investor C &ODVV. 15,089 $ 115,331 Transfer Agent Fees Waived and/or Reimbursed Institutional $ 122,842 Investor A 17,543 Investor C 7,101 &ODVV. 30 $ Securities Lending: 7KH866HFXULWLHVDQG([FKDQJH&RPPLVVLRQ ³6(&´ KDVLVVXHGDQH[HPSWLYHRUGHUZKLFKSHUPLWV%,0DQDI¿OLDWHRIWKH0DQDJHUWRVHUYHDV securities lending agent for the Fund, subjectWRDSSOLFDEOHFRQGLWLRQV$VVHFXULWLHVOHQGLQJDJHQW%,0EHDUVDOORSHUDWLRQDOFRVWVGLUHFWO\UHODWHGWRVHFXULWLHVOHQGLQJ7KH )XQGLVUHVSRQVLEOHIRUH[SHQVHVLQFRQQHFWLRQZLWKWKHLQYHVWPHQWRIFDVKFROODWHUDOUHFHLYHGIRUVHFXULWLHVRQORDQ WKH³FROODWHUDOLQYHVWPHQWH[SHQVHV´ 7KHFDVKFROODWHUDO LVLQYHVWHGLQDSULYDWHLQYHVWPHQWFRPSDQ\6//LTXLGLW\6HULHV//& 0RQH\0DUNHW6HULHV PDQDJHGE\WKH0DQDJHURULWVDI¿OLDWHV+RZHYHU%,0KDVDJUHHGWRFDS WKHFROODWHUDOLQYHVWPHQWH[SHQVHVRIWKH0RQH\0DUNHW6HULHVWRDQDQQXDOUDWHRI7KHLQYHVWPHQWDGYLVHUWRWKH0RQH\0DUNHW6HULHVZLOOQRWFKDUJHDQ\DGYLVRU\ IHHVZLWKUHVSHFWWRVKDUHVSXUFKDVHGE\WKH)XQG7KH0RQH\0DUNHW6HULHVPD\XQGHUFHUWDLQFLUFXPVWDQFHVLPSRVHDOLTXLGLW\IHHRIXSWRRIWKHYDOXHZLWKGUDZQRU 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 fall below certain 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\HDUH[FHHGVDVSHFL¿HGWKUHVKROG WKH)XQGSXUVXDQWWRWKHVHFXULWLHVOHQGLQJDJUHHPHQWZLOOUHWDLQIRUWKHUHPDLQGHURIWKDWFDOHQGDU\HDUVHFXULWLHVOHQGLQJLQFRPHLQ DQDPRXQWHTXDOWRRIVHFXULWLHVOHQGLQJLQFRPH ZKLFKH[FOXGHVFROODWHUDOLQYHVWPHQWH[SHQVHV DQGWKLVDPRXQWUHWDLQHGFDQQHYHUEHOHVVWKDQRIWKHWRWDORI VHFXULWLHVOHQGLQJLQFRPHSOXVWKHFROODWHUDOLQYHVWPHQWH[SHQVHV 7KH VKDUH RI VHFXULWLHV OHQGLQJ LQFRPH HDUQHG E\ WKH )XQG LV VKRZQ DV VHFXULWLHV OHQGLQJ LQFRPH ² DI¿OLDWHG ² QHW LQ WKH 6WDWHPHQW RI 2SHUDWLRQV )RU WKH \HDU HQGHG 'HFHPEHUWKH)XQGSDLG%,0 IRUVHFXULWLHVOHQGLQJ DJHQWVHUYLFHV Interfund Lending: In accordance with an H[HPSWLYHRUGHU WKH³2UGHU´ IURPWKH6(&WKH)XQGPD\SDUWLFLSDWHLQDMRLQWOHQGLQJDQGERUURZLQJIDFLOLW\IRUWHPSRUDU\ purposes (the “Interfund/HQGLQJ3URJUDP´ VXEMHFWWRFRPSOLDQFHZLWKWKHWHUPVDQGFRQGLWLRQVRIWKH2UGHUDQGWRWKHH[WHQWSHUPLWWHGE\WKH)XQG¶VLQYHVWPHQWSROLFLHV DQGUHVWULFWLRQV7KH)XQGLVFXUUHQWO\SHUPLWWHGWRERUURZXQGHUWKHInterfund Lending3URJUDP 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PURCHASES AND SALES )RUWKH \HDUHQGHG'HFHPEHUSXUFKDVHVDQGVDOHVRILQYHVWPHQWVH[FOXGLQJVKRUWWHUPLQYHVWPHQWVDQGHTXLW\OLQNHGQRWHV ZHUH DQG UHVSHFWLYHO\ )RUWKH\HDU HQGHG'HFHPEHUSXUFKDVHVDQGVDOHVUHODWHGWRHTXLW\OLQNHGQRWHVZHUH DQG UHVSHFWLYHO\ 8.INCOME TAX INFORMATION ,WLVWKH)XQG¶VSROLF\WRFRPSO\ZLWKWKHUHTXLUHPHQWVRIWKH,QWHUQDO5HYHQXH&RGHRI DVDPHQGHGDSSOLFDEOHWRUHJXODWHGLQYHVWPHQWFRPSDQLHVDQGWRGLVWULEXWH VXEVWDQWLDOO\DOORILWVWD[DEOHLQFRPHWRLWVVKDUHKROGHUV7KHUHIRUHQR86IHGHUDOLQFRPHWD[SURYLVLRQLVUHTXLUHG 7KH)XQG¿OHV86IHGHUDODQGYDULRXVVWDWHDQGORFDOWD[UHWXUQV1RLQFRPHWD[UHWXUQVDUHFXUUHQWO\XQGHUH[DPLQDWLRQ7KHVWDWXWHRIOLPLWDWLRQVRQWKH)XQG V86IHGHUDO WD[UHWXUQVJHQHUDOO\UHPDLQVRSHQIRUDSHULRGRIWKUHH¿VFDO\HDUVDIWHUWKH\DUH¿OHG7KHVWDWXWHVRIOLPLWDWLRQVRQWKH)XQG¶VVWDWHDQGORFDOWD[UHWXUQVPD\UHPDLQRSHQ IRUDQDGGLWLRQDO\HDUGHSHQGLQJXSRQWKHMXULVGLFWLRQ 0DQDJHPHQWKDVDQDO\]HGWD[ODZVDQGUHJXODWLRQVDQGWKHLUDSSOLFDWLRQWRWKH )XQGDVRI'HFHPEHULQFOXVLYHRIWKHRSHQWD[UHWXUQ\HDUVDQGGRHVQRWEHOLHYH WKDWWKHUHDUHDQ\XQFHUWDLQWD[SRVLWLRQVWKDWUHTXLUHUHFRJQLWLRQRIDWD[OLDELOLW\LQWKH)XQG V¿QDQFLDOVWDWHPHQWV 7KHWD[FKDUDFWHURIGLVWULEXWLRQVSDLGZDVDVIROORZV test 12/31/20 12/31/19 Ordinary income $ $ $VRISHULRGHQGWKHWD[FRPSRQHQWVRIDFFXPXODWHG HDUQLQJV ORVV ZHUHDVIROORZV 8QGLVWULEXWHGRUGLQDU\LQFRPH $ 742,035 1RQH[SLULQJFDSLWDOORVVFDUU\IRUZDUGV(a) 1HWXQUHDOL]HGJDLQV ORVVHV (b) 24,207,742 $ 23,950,710 (a)$PRXQWVDYDLODEOHWRRIIVHWIXWXUHUHDOL]HGFDSLWDOJDLQV (b)7KHGLIIHUHQFHEHWZHHQERRNEDVLVDQGWD[EDVLVQHWXQUHDOL]HGJDLQV ORVVHV ZDVDWWULEXWDEOHSULPDULO\WRWKHWD[GHIHUUDORIORVVHVRQZDVKVDOHVWKHUHDOL]DWLRQIRUWD[SXUSRVHVRIXQUHDOL]HG JDLQV ORVVHV RQFHUWDLQIXWXUHVDPRUWL]DWLRQPHWKRGVIRUSUHPLXPVDQGGLVFRXQWVRQ¿[HGLQFRPHVHFXULWLHVWKHFODVVL¿FDWLRQRILQYHVWPHQWVDQGWKHDFFRXQWLQJIRUVZDSDJUHHPHQWV $VRI'HFHPEHU JURVVXQUHDOL]HGDSSUHFLDWLRQDQGGHSUHFLDWLRQEDVHGRQFRVWRILQYHVWPHQWV LQFOXGLQJVKRUWSRVLWLRQVDQGGHULYDWLYHVLIDQ\ IRU86IHGHUDO LQFRPHWD[SXUSRVHVZHUHDVIROORZV 7D[FRVW $ *URVVXQUHDOL]HGDSSUHFLDWLRQ $ *URVVXQUHDOL]HGGHSUHFLDWLRQ (2,575,711 ) 1HWXQUHDOL]HGDSSUHFLDWLRQ GHSUHFLDWLRQ $ 68 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Notes to Financial Statements (continued) 9. 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¶VFXVWRPHUDFFRXQWV:KLOHFOHDULQJEURNHUVDUHUHTXLUHGWRVHJUHJDWHFXVWRPHUPDUJLQIURPWKHLU own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the )XQG Concentration Risk:$GLYHUVL¿HGSRUWIROLRZKHUHWKLVLVDSSURSULDWHDQGFRQVLVWHQWZLWKDIXQG VREMHFWLYHVPLQLPL]HVWKHULVNWKDWDSULFHFKDQJHRIDSDUWLFXODULQYHVWPHQW ZLOOKDYHDPDWHULDOLPSDFWRQWKH1$9RIDIXQG7KHLQYHVWPHQWFRQFHQWUDWLRQVZLWKLQWKH)XQG VSRUWIROLRDUHGLVFORVHGLQLWV6FKHGXOHRI,QYHVWPHQWV 7KH)XQGLQYHVWVDVLJQL¿FDQWSRUWLRQRILWVDVVHWVLQ¿[HGLQFRPHVHFXULWLHVDQGRUXVHVGHULYDWLYHVWLHGWRWKH¿[HGLQFRPHPDUNHWV&KDQJHVLQPDUNHWLQWHUHVWUDWHVRU HFRQRPLFFRQGLWLRQVPD\DIIHFWWKHYDOXHDQGRUOLTXLGLW\RIVXFKLQYHVWPHQWV,QWHUHVWUDWHULVNLVWKHULVNWKDWSULFHVRIERQGVDQGRWKHU¿[HGLQFRPHVHFXULWLHVZLOOLQFUHDVH DVLQWHUHVWUDWHVIDOODQGGHFUHDVHDVLQWHUHVWUDWHVULVH7KH)XQGPD\EHVXEMHFWWRDJUHDWHUULVNRIULVLQJLQWHUHVWUDWHVGXHWRWKHFXUUHQWSHULRGRIKLVWRULFDOO\ORZUDWHV LIBOR Transition Risk:7KH8QLWHG.LQJGRP¶V)LQDQFLDO&RQGXFW$XWKRULW\DQQRXQFHGDSKDVHRXWRIWKH/RQGRQ,QWHUEDQN2IIHUHG5DWH ³/,%25´ E\WKHHQGRI 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CAPITAL SHARE TRANSACTIONS Transactions in capital shares for each class were as follows: 12. SUBSEQUENT EVENTS 0DQDJHPHQWKDVHYDOXDWHGWKHLPSDFWRIDOOVXEVHTXHQWHYHQWVRQWKH)XQGWKURXJKWKHGDWHWKH¿QDQFLDOVWDWHPHQWVZHUHLVVXHGDQGKDVGHWHUPLQHGWKDWWKHUHZHUHQR VXEVHTXHQWHYHQWVUHTXLULQJDGMXVWPHQWRUDGGLWLRQDOGLVFORVXUHLQWKH¿QDQFLDOVWDWHPHQWV 70 202 0 B L A C K R OCK A NNU AL R E P O R T TO S HAR E H O LDERS Report of Independent Registered Public Accounting Firm 7RWKH6KDUHKROGHUVRI%ODFN5RFN0DQDJHG,QFRPH)XQGDQG%RDUGRI7UXVWHHVRI%ODFN5RFN)XQGV,, Opinion on the Financial Statements and Financial Highlights :HKDYHDXGLWHGWKHDFFRPSDQ\LQJVWDWHPHQWRIDVVHWVDQGOLDELOLWLHVRI%ODFN5RFN0DQDJHG,QFRPH)XQGRI%ODFN5RFN)XQGV,, WKH³)XQG´ LQFOXGLQJWKHVFKHGXOHRI investments, as of December 31, 2020, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the SHULRGWKHQHQGHGWKH¿QDQFLDOKLJKOLJKWVIRUHDFKRIWKHIRXU\HDUVLQWKHSHULRGWKHQHQGHGWKHSHULRGIURP2FWREHUWKURXJK'HFHPEHUDQGWKH\HDU 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¿QDQFLDOVWDWHPHQWVDQG¿QDQFLDOKLJKOLJKWV2XUDXGLWVDOVRLQFOXGHGHYDOXDWLQJWKHDFFRXQWLQJSULQFLSOHVXVHGDQGVLJQL¿FDQWHVWLPDWHVPDGHE\PDQDJHPHQWDVZHOODV HYDOXDWLQJWKHRYHUDOOSUHVHQWDWLRQRIWKH¿QDQFLDOVWDWHPHQWVDQG¿QDQFLDOKLJKOLJKWV2XUSURFHGXUHVLQFOXGHGFRQ¿UPDWLRQRIVHFXULWLHVRZQHGDVRI'HFHPEHU E\FRUUHVSRQGHQFHZLWKWKHFXVWRGLDQDQGEURNHUV ZKHQUHSOLHVZHUHQRWUHFHLYHGIURPEURNHUVZHSHUIRUPHGRWKHUDXGLWLQJSURFHGXUHV:HEHOLHYHWKDWRXUDXGLWVSURYLGH DUHDVRQDEOHEDVLVIRURXURSLQLRQ 'HORLWWH 7RXFKH//3 %RVWRQ0DVVDFKXVHWWV February 23, 2021 :HKDYHVHUYHGDVWKHDXGLWRURIRQHRUPRUH%ODFN5RFNLQYHVWPHQWFRPSDQLHVVLQFH R E P O R T O F INDEPENDENT R EGI S TER E D P U BLIC A CCOUNTING F I R M 71 Important Tax Information (unaudited) )RUFRUSRUDWHVKDUHKROGHUVWKHSHUFHQWDJHRIRUGLQDU\LQFRPHGLVWULEXWLRQVSDLGGXULQJWKH¿VFDO\HDUHQGHG'HFHPEHUWKDWTXDOL¿HGIRUWKHGLYLGHQGVUHFHLYHG deduction were as follows: 'LYLGHQG5HFHLYHG Fund Deduction %ODFN5RFN0DQDJHG,QFRPH)XQG 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THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. Want to know more? blackrock.com | 800-441-7762 This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change. MIIP-12/20-AR Go paperless. . . It’s Easy, Economical and Green! Go to www.blackrock.com/edelivery